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)
Bellevue Park Corporate Center
103 Bellevue Parkway
Wilmington, DE 19809
(Address of principal executive offices) (Zip code)
Salvatore Faia
BNY Mellon Investment Servicing (US) Inc.
103 Bellevue Parkway
Wilmington, DE 19809
(Name and address of agent for service)
Registrant's telephone number, including area code: 302-791-1851
Date of fiscal year end: August 31
Date of reporting period: February 28, 2011
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. Section 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
The Report to Shareholders is attached herewith.
(BEAR STEARNS LOGO)
BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO
OF
THE RBB FUND, INC.
SEMI-ANNUAL REPORT
February 28, 2011
(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 current prospectus for the Portfolio.
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
PERFORMANCE DATA
FEBRUARY 28, 2011
(UNAUDITED)
TOTAL RETURNS AS OF FEBRUARY 28, 2011
Average Annual Average Annual
Total Returns Total Returns
Six-Month* 1 Year 3 Year Since Inception**
---------- ------- -------------- -----------------
Bear Stearns CUFS(R) MLP Mortgage Portfolio(1) 4.02% 7.67% -0.24% 1.05%
Barclay's Capital U.S. Treasury Bills 1 to 3 Month Index(2) 0.07% 0.14% 0.52% 3.43%
1 Month LIBOR(3) 0.13% 0.28% 0.98% 4.61%
PERFORMANCE QUOTED IS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS.
INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT
PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS QUOTED ABOVE. CALL CUFS(R)
AT 1-800-519-CUFS (2837) FOR RETURNS CURRENT TO THE MOST RECENT MONTH-END. THE
PORTFOLIO'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT
PROSPECTUS, IS 0.88%. THE PERFORMANCE DATA REFLECTS FEE WAIVERS AND EXPENSE
REIMBURSEMENTS. THE RETURNS WOULD HAVE BEEN LOWER IF THESE WAIVERS AND EXPENSE
REIMBURSEMENTS WERE NOT IN EFFECT.
PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE.
----------
* Not annualized.
** The inception date of the Portfolio was December 19, 2006.
(1) Net of fees and expenses.
(2) The Barclay's Capital U.S. Treasury Bills 1-3 Month Index includes all
publicly issued zero-coupon U.S. Treasury Bills that have a remaining
maturity of less than 3 months and more than 1 month, are rated investment
grade, and have $250 million or more of outstanding face value. It is not
possible to invest directly in an index.
(3) The 1-Month LIBOR is a constant maturity index of the London Interbank
Offering Rate established to reflect the total return of the 1-Month LIBOR
rate. Source: Merrill Lynch.
1
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
FUND EXPENSE EXAMPLE
(UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees and other Portfolio
expenses. The example is intended to help you understand your ongoing costs (in
dollars) of investing in the Portfolio 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 that was invested at the
beginning of the period from September 1, 2010 through February 28, 2011, and
held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying table 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 table provides information about
hypothetical account values and hypothetical expenses based on the Portfolio's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Portfolio'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 Portfolio 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 table are meant to
highlight your ongoing costs only and do not reflect any transactional costs.
Therefore, the second line of the accompanying 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 any transactional costs were included,
your costs would have been higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD*
----------------------- --------------------- --------------------
Actual $1,000.00 $1,040.20 $4.40
Hypothetical
(5% return before expenses) 1,000.00 1,020.43 4.37
----------
* Expenses are equal to the Portfolio's annualized six-month expense ratio of
0.87%, which includes waived fees or reimbursed expenses, 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 Portfolio's ending account
value on the first line is based on the actual six-month total return of
4.02%.
2
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
SECURITY TYPE/INDUSTRY CLASSIFICATION ASSETS VALUE
-------------------------------------------- -------- ------------
GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 49.6% $ 61,973,755
COLLATERALIZED MORTGAGE OBLIGATIONS 22.3 27,818,097
SHORT TERM OBLIGATIONS 20.1 25,168,363
MORTGAGE DERIVATIVES 9.6 11,963,752
LIABILITIES IN EXCESS OF OTHER ASSETS (1.6) (2,006,177)
----- ------------
NET ASSETS 100.0% $124,917,790
===== ============
----------
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
3
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011 (UNAUDITED)
MOODY'S/ PAR MARKET
S&P (b) (000'S) VALUE
-------- ---------- ----------
GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES--49.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION--17.9%
5.000% 05/01/18 Aaa/AAA $ 906 $ 970,553
5.000% 09/01/19 Aaa/AAA 1,297 1,388,800
5.000% 09/01/20 Aaa/AAA 1,333 1,425,011
4.500% 11/01/20 Aaa/AAA 815 862,570
4.500% 06/01/21 Aaa/AAA 1,234 1,304,451
4.500% 12/01/21 Aaa/AAA 1,154 1,221,423
4.500% 08/01/22 Aaa/AAA 2,203 2,329,939
4.500% 08/01/22 Aaa/AAA 1,757 1,859,345
5.000% 10/01/23 Aaa/AAA 3,452 3,687,902
5.983% 08/01/36 (a) Aaa/AAA 2,309 2,433,875
5.977% 09/01/36 (a) Aaa/AAA 1,086 1,151,659
5.784% 11/01/36 (a) Aaa/AAA 1,358 1,431,012
5.801% 08/01/37 (a) Aaa/AAA 2,132 2,261,734
----------
22,328,274
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--31.7%
5.000% 06/01/18 Aaa/AAA 1,400 1,488,256
5.000% 02/01/19 Aaa/AAA 1,453 1,544,076
5.000% 04/01/19 Aaa/AAA 916 982,971
5.000% 07/01/19 Aaa/AAA 1,234 1,327,634
4.500% 03/01/20 Aaa/AAA 2,314 2,446,439
5.000% 04/01/21 Aaa/AAA 1,172 1,250,303
4.500% 10/01/23 Aaa/AAA 10,702 11,281,936
5.000% 09/01/25 Aaa/AAA 2,998 3,192,623
2.024% 12/01/34 (a) Aaa/AAA 3,159 3,285,457
6.013% 10/01/36 (a) Aaa/AAA 977 1,035,246
6.014% 10/01/36 (a) Aaa/AAA 437 463,633
5.500% 12/01/36 Aaa/AAA 282 302,385
5.658% 12/01/36 (a) Aaa/AAA 726 765,848
5.524% 09/01/37 (a) Aaa/AAA 1,399 1,492,538
4.500% 04/01/40 Aaa/AAA 8,609 8,786,136
----------
39,645,481
----------
TOTAL GOVERNMENT AGENCY
MORTGAGE-BACKED SECURITIES
(COST $60,628,414) ............ 61,973,755
----------
MORTGAGE DERIVATIVES--9.6%
FANNIE MAE (IO)--7.2%
4.500% 12/01/18 Aaa/AAA 3,938 358,200
4.500% 01/01/19 Aaa/AAA 3,903 352,014
4.500% 03/01/20 Aaa/AAA 1,439 136,376
4.500% 03/01/20 Aaa/AAA 1,487 142,645
5.500% 05/25/23 Aaa/AAA 1,060 152,785
5.500% 12/25/24 Aaa/AAA 3,673 381,570
5.500% 10/25/31 Aaa/AAA 10,219 1,108,911
7.589% 04/25/32 (a) Aaa/AAA 2,040 354,805
6.789% 09/25/32 (a) Aaa/AAA 3,080 379,326
5.000% 10/01/33 Aaa/AAA 5,904 1,190,834
5.000% 12/01/33 Aaa/AAA 1,179 211,436
5.000% 12/01/33 Aaa/AAA 1,900 343,364
5.000% 08/01/34 Aaa/AAA 1,858 398,917
5.500% 04/01/36 Aaa/AAA 3,879 702,952
5.500% 04/01/36 Aaa/AAA 6,078 1,085,611
MOODY'S/ PAR MARKET
S&P (b) (000'S) VALUE
--------- -------- ----------
MORTGAGE DERIVATIVES--(CONTINUED)
FANNIE MAE (IO)--(CONTINUED)
7.039% 08/25/36 (a) Aaa/AAA $ 3,409 $ 668,442
5.000% 10/01/36 Aaa/AAA 4,605 993,191
----------
8,961,379
----------
FANNIE MAE (PO)--0.1%
4.000% 06/25/36 (d) Aaa/AAA 133 129,815
----------
FREDDIE MAC (IO)--1.5%
6.889% 02/25/32 (a) Aaa/AAA 3,132 313,019
6.219% 06/15/36 (a) Aaa/AAA 2,135 282,628
6.314% 09/15/36 (a) Aaa/AAA 4,041 645,036
6.384% 11/15/36 (a) Aaa/AAA 4,010 612,804
----------
1,853,487
----------
FREDDIE MAC (PO)--0.1%
4.000% 09/15/35 (d) Aaa/AAA 157 146,879
----------
NON-AGENCY (IO)--0.7%
CWALT Series 2006-43CB (b)
6.000% 02/25/37 C (e) 5,079 872,192
----------
TOTAL MORTGAGE DERIVATIVES
(COST $10,976,059) ............ 11,963,752
----------
COLLATERALIZED MORTGAGE
OBLIGATIONS--22.3%
Banc of America Mortgage
Securities, Inc.
Series 2005-H (a) (b)
3.183% 09/25/35 Bbb/B 2,000 1,631,578
Banc of America
Mortgage Securities, Inc.
Series 2006-B (a) (b)
3.202% 10/20/46 C/CCC 2,406 1,453,765
Banc of America
Mortgage Securities, Inc.
Series 2007-3 (b)
6.000% 09/25/37 Cc/CCC 3,284 3,043,800
Citigroup Mortgage
Loan Trust, Inc.
Series 2007-AR8 (a)
5.777% 07/25/37 Caa3/CC 3,043 2,348,670
Countrywide Asset-Backed
Certificates
Series 2004-AB2 (a)
0.862% 05/25/36 Baa3/B- 500 131,172
Countrywide Home Loan
Mortgage Pass-Through
Trust Series 2003-3 (a) (b)
0.762% 04/25/18 Aaa/AAA 35 34,559
Countrywide Home Loan
Mortgage Pass-Through
Trust Series 2007-HY1 (a) (b)
5.451% 04/25/37 C/CC 1,749 226,041
CWALT Series 2006-43CB (b)
6.000% 02/25/37 C/CC 571 414,070
The accompanying notes are an integral part of the financial statements.
4
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
MOODY'S/ PAR MARKET
S&P (b) (000'S) VALUE
-------- ------- -----------
COLLATERALIZED MORTGAGE
OBLIGATIONS--(CONTINUED)
CWALT Series 2006-HY13 (a) (b)
5.684% 02/25/37 C/CC $ 8,197 $ 649,550
CWALT Series 2006-J2
6.000% 04/25/36 Caa2/CC 4,640 3,996,667
CWALT Series 2007-2CB
5.750% 03/25/37 C/CC 3,394 265,273
CWALT Series 2007-J2 (b)
6.000% 07/25/37 Caa3/C 1,345 1,103,734
Fannie Mae REMICS
Series 2005-25 (a)
0.612% 04/25/35 Aaa/AAA 1,626 1,615,114
Fannie Mae REMICS
Series 2006-61
6.000% 10/25/30 Aaa/AAA 124 123,945
First Horizon Asset
Securities, Inc.
Series 2006-AR1 (a) (b)
3.966% 05/25/36 Cc/CCC 2,599 710,563
Freddie Mac REMICS
Series 2752 (a)
0.616% 12/15/30 Aaa/AAA 266 266,237
Freddie Mac REMICS
Series 2995 (a)
0.666% 06/15/35 Aaa/AAA 422 421,037
JPMorgan Mortgage
Trust Series 2005-A4 (a) (c)
5.156% 07/25/35 Ba1/AAA 603 586,587
JPMorgan Mortgage Trust
Series 2005-A6 (a) (b) (c)
3.142% 08/25/35 Aa/B+ 516 458,441
Residential Asset
Securitiation Trust
Series 2007-A5
6.000% 05/25/37 Caa2/CCC 1,125 885,809
Residential Funding
Mortgage Securities I
Series 2006-SA4 (a)
6.077% 11/25/36 Caa3/CCC 4,237 3,137,927
Washington Mutual, Inc.
Series 2007-HY3 (a) (b)
4.546% 03/25/37 C/CCC 1,635 111,336
Washington Mutual, Inc.
Series 2007-HY4 (a) (b)
5.283% 04/25/37 C/CCC 2,848 2,121,456
Wells Fargo Mortgage
Backed Securities Trust
Series 2007-10 (b)
6.250% 07/25/37 B2/CCC 2,183 2,080,766
------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS
(COST $49,209,204) 27,818,097
------------
PAR MARKET
(000'S) VALUE
------- ------------
SHORT TERM OBLIGATIONS--20.1%
U.S. TREASURY BILLS--20.1%
U.S. Treasury Bill (d)
0.095% 03/10/11 $ 4,000 $ 3,999,905
0.110% 03/24/11 21,000 20,998,524
U.S. Treasury Bill (d) (f)
0.150% 06/09/11 170 169,934
------------
25,168,363
------------
TOTAL SHORT TERM OBLIGATIONS
(COST $25,168,358) ............ 25,168,363
------------
TOTAL INVESTMENTS--101.6%
(Cost $145,982,035) ........... 126,923,967
------------
LIABILITIES IN EXCESS
OF OTHER ASSETS (g)--(1.6)% ... (2,006,177)
NET ASSETS--100.0% ............... ------------
$124,917,790
============
----------------
CWALT Countrywide Alternative Loan Trust
IO Interest Only
PO Principal Only
(a) Adjustable rate security. Interest rate varies due to interest rate
fluctuations, or, in the case of certain asset-backed securities, interest
payment shortfalls.
(b) Where Moody's or S&P rating is not available, Fitch rating is substituted,
if available. (Unaudited)
(c) Security was purchased prior to the Portfolio's affiliation with JPMorgan
Chase & Co.
(d) Rate represents the yield at the time of purchase.
(e) Not rated by Moody's or S&P, Fitch rating is substituted.
The accompanying notes are an integral part of the financial statements.
5
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011 (UNAUDITED)
(f) All or a portion of the security held as collateral for the following
Futures contracts open at February 28, 2011:
NUMBER VALUE VALUE UNREALIZED
OF EXPIRATION AT TRADE AT APPRECIATION
CONTRACTS TYPE MONTH DATE 02/28/2011 (DEPRECIATION)*
---------------- ------------- ---------- ----------- ----------- ---------------
Long Positions:
107 U.S. Treasury
10 Year Note 06/2011 $12,706,507 $12,738,016 $ 31,509
Short Positions:
43 U.S. Treasury
2 Year Note 06/2011 9,373,506 9,386,766 (13,260)
48 U.S. Treasury
5 Year Note 06/2011 5,597,604 5,613,000 (15,396)
---------
$ 2,853
=========
(g) Liabilities in excess of other assets include interest rate swaps as
follows:
NOTIONAL
TERMINATION AMOUNT FIXED FLOATING VALUE AT UNREALIZED
COUNTERPARTY DATE (000) RATE RATE 02/28/2011 (DEPRECIATION)*
--------------- ----------- --------- ------ ------------- ----------- ---------------
Deutsche Bank** 09/17/2013 $20,000 4.520% 3 MONTH LIBOR $(2,075,497) $(2,075,497)
=========== ===========
* Primary risk exposure is interest rate contracts.
** Portfolio pays the fixed rate and receives the floating rate.
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Portfolio's investments carried at market value (See Note 1 in the
Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- --------- ----------- ------------
GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES $61,973,755 $ -- $ 61,973,755 $--
MORTGAGE DERIVATIVES 11,963,752 -- 11,963,752 --
COLLATERALIZED MORTGAGE OBLIGATIONS 27,818,097 -- 27,818,097 --
SHORT TERM OBLIGATIONS 25,168,363 -- 25,168,363 --
ASSET DERIVATIVES
INTEREST RATE CONTRACTS*** 31,509 31,509 -- --
----------- -------- ----------- ---
TOTAL ASSETS $ 126,955,476 $ 31,509 $126,923,967 $--
=========== ======== =========== ===
LEVEL 2 LEVEL 3
TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- --------- ----------- -------------
LIABILITY DERIVATIVES
INTEREST RATE CONTRACTS*** $(2,104,153) $(28,656) $(2,075,497) $--
----------- -------- ----------- ---
TOTAL LIABILITIES $(2,104,153) $(28,656) $(2,075,497) $--
=========== ======== =========== ===
*** Interest rate contracts include open futures contracts and swap contracts.
The accompanying notes are an integral part of the financial statements.
6
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value+ ................................................... $126,923,967
Cash ..................................................................... 1,242,402
Segregated cash .......................................................... 2,253,369
Receivables
Dividends and interest ................................................ 486,939
Investments sold ...................................................... 158,039
Prepaid expenses and other assets ........................................ 20,177
------------
Total assets ....................................................... 131,084,893
------------
LIABILITIES
Unrealized depreciation on swap agreements* .............................. 2,075,497
Payables
Investments purchased ................................................. 3,674,473
Distributions to shareholders ......................................... 318,061
Investment adviser .................................................... 45,834
Variation margin due to broker ........................................ 6,031
Other accrued expenses and liabilities ................................ 47,207
------------
Total liabilities .................................................. 6,167,103
------------
Net Assets ............................................................... $124,917,790
============
NET ASSETS CONSIST OF:
Par value ................................................................ $ 15,085
Paid-in capital .......................................................... 150,314,189
Undistributed net investment income ...................................... 135,985
Accumulated net realized loss from investments, futures transactions,
TBA sales commitments, swap agreements and purchased options .......... (4,416,757)
Net unrealized depreciation from investments, futures transactions and
swap agreements ....................................................... (21,130,712)
------------
Net Assets ............................................................... $124,917,790
============
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 15,085,138
------------
Net asset value, offering and redemption price per share ................. $ 8.28
============
+ Investment in securities, at cost ...................................... $145,982,035
============
----------
* Primary risk exposure is interest rate contracts.
The accompanying notes are an integral part of the financial statements.
7
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Interest ............................................................... $ 2,694,927
-----------
Total investment income ............................................. 2,694,927
-----------
EXPENSES
Advisory fees .......................................................... 293,997
Administration and accounting fees ..................................... 91,815
Legal fees ............................................................. 67,324
Transfer agent fees .................................................... 22,205
Audit fees ............................................................. 14,741
Custodian fees ......................................................... 13,947
Directors' and officers' fees .......................................... 9,513
Registration and filing fees ........................................... 7,966
Printing and shareholder reporting fees ................................ 2,898
Insurance .............................................................. 2,562
Other expenses ......................................................... 8,953
-----------
Total expenses 535,921
-----------
Net investment income .................................................. 2,159,006
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS, FUTURES
TRANSACTIONS, AND SWAP AGREEMENTS
NET REALIZED LOSS FROM:
Investments ......................................................... (1,674,810)
Futures* ............................................................ (617,344)
Swap agreements* .................................................... (409,690)
-----------
Total realized loss from investments, futures transactions, and swap
agreements .......................................................... (2,701,844)
-----------
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments ......................................................... 5,023,950
Futures* ............................................................ (70,467)
Swap agreements* .................................................... 449,460
-----------
Total net changes in unrealized appreciation/(depreciation) on
investments, futures transactions, and swap agreements
5,402,943
-----------
Net realized and unrealized gain/(loss) on investments, futures
transactions, and swap agreements
2,701,099
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $ 4,860,105
===========
----------
* Primary risk exposure is interest rate contracts.
The accompanying notes are an integral part of the financial statements.
8
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS
ENDED FOR THE YEAR
FEBRUARY 28, 2011 ENDED
(UNAUDITED) AUGUST 31, 2010
------------------ ---------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ................................................. $ 2,159,006 $ 4,350,630
Net realized gain/(loss) from investments, futures transactions,
purchased options and swap agreements .............................. (2,701,844) 1,820,653
Net change in unrealized appreciation from investments,
futures transactions, TBA sale commitments and swap agreements ..... 5,402,943 6,233,526
------------ ------------
Net increase in net assets resulting from operations ..................... 4,860,105 12,404,809
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................. (2,008,236) (6,097,351)
------------ ------------
Net decrease in net assets from dividends and distributions to
shareholders .......................................................... (2,008,236) (6,097,351)
------------ ------------
CAPITAL TRANSACTIONS:
Reinvestment of distributions ......................................... -- 1,318,552
------------ ------------
Net increase in net assets from capital transactions ..................... -- 1,318,552
------------ ------------
Total increase in net assets .......................................... 2,851,869 7,626,010
NET ASSETS:
Beginning of period ................................................... 122,065,921 114,439,911
------------ ------------
End of period ......................................................... $124,917,790 $122,065,921
============ ============
Undistributed net investment income/(loss), end of period ............. $ 135,985 $ (14,785)
============ ============
SHARE TRANSACTIONS:
Shares reinvested ..................................................... -- 165,888
------------ ------------
Total share transactions .............................................. -- 165,888
============ ============
The accompanying notes are an integral part of the financial statements.
9
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for a share outstanding
during each period, 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 FOR THE PERIOD
MONTHS ENDED FOR THE FOR THE FOR THE DECEMBER 19,
FEBRUARY 28, YEAR ENDED YEAR ENDED YEAR ENDED 2006* TO
2011 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 2010 2009 2008 2007
------------ ---------- ---------- ---------- --------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........ $ 8.09 $ 7.67 $ 8.93 $ 9.92 $ 10.00
-------- -------- -------- -------- --------
Net investment income ....................... 0.14 0.29 0.54 0.54 0.38
Net realized and unrealized gain/
(loss) on investments, futures
transactions, TBA sale commitments,
swap agreements and options .............. 0.18 0.54 (1.28) (0.98) (0.08)
-------- -------- -------- -------- --------
Net increase/(decrease) in net
assets resulting from operations ......... 0.32 0.83 (0.74) (0.44) 0.30
-------- -------- -------- -------- --------
Dividends to shareholders from:
Net investment income ....................... (0.13) (0.41) (0.52) (0.55) (0.38)
Net realized capital gains .................. -- -- -- -- --
-------- -------- -------- -------- --------
Net asset value, end of period .............. $ 8.28 $ 8.09 $ 7.67 $ 8.93 $ 9.92
======== ======== ======== ======== ========
Total investment return(1) .................. 4.02%(2) 10.96% (7.82)% (4.76)% 3.10%(2)
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted) .......................... $124,918 $122,066 $114,440 $129,888 $161,278
Ratio of expenses to average net assets
with waivers and expense
reimbursements (excluding
interest expense) ........................ 0.87%(3) 0.78% 0.60% 0.60% 0.60%(3)
Ratio of expenses to average net assets
with waivers and expense
reimbursements (including
interest expense) ........................ 0.87%(3) 0.78% 0.60% 0.60% 0.78%(3)
Ratio of expenses to average net assets
without waivers and expense
reimbursements
(including interest expense) ............. 0.87%(3) 0.86% 0.88% 0.80% 0.95%(3)
Ratio of net investment income to
average net assets ....................... 3.52%(3) 3.63% 7.30% 5.56% 5.58%(3)
Portfolio turnover rate ..................... 16.36%(2) 180.05%(4) 410.52%(4) 190.88%(4) 259.47%(2)(4)
----------
* Commencement of operations.
(1) Total investment return is calculated by 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) Not annualized.
(3) Annualized.
(4) The portfolio turnover rate excluding TBA transactions (see Note 1 in Notes
to the Financial Statements) is 42.09% for the year ended August 31, 2010,
35.58% for the year ended August 31, 2009, 32.83% for the year ended August
31, 2008 and 125.15% for the period December 19, 2006 to August 31, 2007,
respectively.
The accompanying notes are an integral part of the financial statements.
10
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active
investment portfolios, including the Bear Stearns CUFS(R) MLP Mortgage Portfolio
(the "Portfolio"), which commenced investment operations on December 19, 2006.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
On April 5, 2010, the Board of Directors of the Company (the "Board")
approved a plan of liquidation and termination providing for the liquidation of
the Portfolio on or about April 30, 2010 (the "Liquidation"). Effective April 6,
2010, new account requests and purchase orders for the Portfolio's shares were
no longer permissible and daily dividends were suspended. Subsequently, at the
unanimous request of the shareholders of the Portfolio, the Board postponed
indefinitely the Liquidation of the Portfolio while other options with regards
to the Portfolio are explored. Daily dividends have resumed; however, the
Portfolio remains closed to new investments.
In the event that a shareholder of the Portfolio requests a redemption of
all or any portion of the shares in the Portfolio held by it, the Board has
approved the liquidation of the Portfolio within no more than seven (7) days
after the date of such redemption request in order not to disadvantage the
Portfolio's remaining shareholders.
As of period end and through the date of issuance of the financial
statements, no requests for redemptions have been received.
PORTFOLIO VALUATION -- The Portfolio's 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. Fixed income securities having a remaining maturity of greater than 60
days are valued using an independent pricing service. These fixed income
securities are valued by pricing services approved by the Board of Directors
based upon market transactions for normal, institutional-size trading units of
similar securities. The services may use various pricing techniques which take
into account appropriate factors such as yield, quality, coupon rate, maturity,
type of issue, trading characteristics and other data, as well as broker quotes.
Debt securities for which quotations are readily available are valued at an
over-the-counter or exchange bid quotation. Certain debt securities, which tend
to be more thinly traded and of lesser quality, are priced based on fundamental
analysis of the financial condition of the issuer and the estimated value of any
collateral. Valuations developed through pricing techniques may materially vary
from the actual amounts realized upon sale of the securities, and the potential
material variation may be greater for those securities valued using fundamental
analysis. Fixed income securities having a remaining maturity of 60 days or less
are valued at amortized cost, which approximates market value. Investments in
other open-end investment companies, if held, are valued based on the NAV of the
investment companies (which may use fair value pricing as discussed in their
prospectuses). If price quotes are unavailable or deemed unreliable, securities
will be fair valued in accordance with procedures adopted by the Company's Board
of Directors. Relying on prices supplied by pricing services or dealers or
using fair valuation may result in values that are higher or lower than the
values used by other investment companies and investors to price the same
investments.
The inputs and valuation techniques used to measure fair value of the
Portfolio's investments are summarized into three levels as described below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Portfolio's
own assumptions in determining the fair value of investments)
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that
11
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
do not have a readily available market value, the fair value of the Portfolio's
investments may fluctuate from period to period. Additionally, the fair value of
investments may differ significantly from the values that would have been used
had a ready market existed for such investments and may differ materially from
the values the Portfolio may ultimately realize. Further, such investments may
be subject to legal and other restrictions on resale or otherwise less liquid
than publicly traded securities. For the six months ended February 28, 2011,
there were no transfers between Levels 1, 2 and 3 for the Portfolio.
The fair value of the Portfolio's bonds are generally based on quotes
received from brokers of independent pricing services. Bonds with quotes that
are based on actual trades with a sufficient level of activity on or near the
measurement date are classified as Level 2 assets.
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Portfolio's investments as of February
28, 2011 is included in the Portfolio of Investments.
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 and these differences could be significant.
INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Portfolio
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. Paydown gains and losses on
mortgage and asset-backed securities are presented as an adjustment to interest
income. Dividend income is recorded on the ex-dividend date. Distributions
received on securities that represent a return of capital or capital gains are
recorded as a reduction of cost of investments and/or as a realized gain. The
Portfolio estimates the components of distributions received that may be
considered return of capital distributions or capital gain distributions. The
Portfolio's investment income, expenses and unrealized and realized gains and
losses are allocated daily. Expenses incurred for all of the RBB funds (such as
director or professional fees) are charged to all funds in proportion to their
average net assets of RBB, 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 Portfolio.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared daily and paid monthly. Distributions from net
realized capital gains, if any, are declared and paid at least annually to
shareholders and recorded on ex-date for the Portfolio. 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
in the United States of America.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the
Portfolio'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.
CASH AND CASH EQUIVALENTS -- The Portfolio considers liquid assets
deposited into a bank demand deposit account to be cash equivalents. These
investments represent amounts held with financial institutions that are readily
accessible to pay Portfolio expenses or purchase investments. Cash and cash
equivalents are valued at cost plus accrued interest, which approximates market
value.
OTHER -- In the normal course of business, the Portfolio may enter into
contracts that provide general indemnifications. The Portfolio's maximum
exposure under these arrangements is dependent on claims that may be made
against the Portfolio in the future, and, therefore, cannot be estimated;
however, based on experience, the risk of material loss from such claims is
considered remote.
MORTGAGE-RELATED SECURITIES -- The Portfolio may invest in mortgage
pass-through securities and multiple-class pass-through securities, such as
collateralized mortgage obligations ("CMOs") and Real Estate Mortgage Investment
Conduit ("REMIC") pass-through or participation certificates as well as other
securities collateralized by or representing a direct or indirect interest in
mortgage-related securities or mortgage loans. The Portfolio may also invest in
certain stripped mortgage-backed securities. Some of these securities may
contain "embedded leverage" which can make them more sensitive to small
movements in interest rates.
12
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
The types of mortgage-related securities in which the Portfolio may invest
include: mortgage pass-through securities, including CMOs and REMICs, which may
or may not be U.S. Government guaranteed, privately issued mortgage-related
securities, stripped mortgage-backed securities, including interest only ("IO")
or principal only ("PO") class securities, and floating rate and inverse
floating rate securities. Stripped mortgage-backed securities represent a
participation in, or are secured by and payable from, mortgage loans on real
property, and may be structured in classes with rights to receive varying
proportions of principal and interest. Payments received for IOs and POs are
used to reduce the cost of the security. Payments in excess of cost are
recognized as interest income on the Statement of Operations based on a
security's yield to maturity. If the underlying mortgage assets experience
greater than anticipated payments of principal, the Portfolio may fail to recoup
some or all of its initial investment in IO securities. For PO securities,
accelerated payments of principal will cause a faster than anticipated return of
the initial investment resulting in an increased yield to maturity for the
security. The market value of these securities is highly sensitive to changes in
interest rates.
The Portfolio is subject to risks associated with securities with
contractual cash flows including mortgage related securities such as
collateralized mortgage obligations, mortgage pass-through securities and
commercial mortgage-backed securities, including some securities that are backed
by sub-prime mortgages. The value, liquidity and related income of these
securities are sensitive to changes in economic conditions, including real
estate value, pre-payments, delinquencies and/or defaults, and may be adversely
affected by shifts in the market's perception of the issuers and changes in
interest rates. A significant portion of the Portfolio's investments are
comprised of mortgage related securities, including some securities that are
backed by sub-prime mortgages.
TBA COMMITMENTS -- The Portfolio may purchase securities on a
to-be-announced ("TBA") basis, with payment and delivery scheduled for a future
date. These transactions are subject to market fluctuations and are subject to
the risk that their value at delivery may be more or less than the trade date
purchase price. Although the Portfolio may purchase securities on a when-issued
or forward commitment basis with the intention of acquiring the securities for
its portfolio, the Portfolio may dispose of when-issued securities or forward
commitments prior to settlement if the Adviser deems it appropriate.
MORTGAGE DOLLAR ROLLS - The Portfolio can enter into dollar roll
transactions, pursuant to which it sells a mortgage-backed TBA or security and
simultaneously purchases a similar, but not identical, TBA with the same issuer,
rate and terms. The Portfolio may execute a "roll" to obtain better underlying
mortgage securities or to increase yield. The Portfolio accounts for dollar roll
transactions as purchases and sales, which has the effect of increasing its
portfolio turnover rates. Risks associated with dollar rolls are that actual
mortgages received by the Portfolio may be less favorable than those anticipated
or that counterparties may fail to perform under the terms of the contracts. For
the six months ended February 28, 2011, the Portfolio did not enter into any
dollar roll transactions.
FINANCIAL FUTURES CONTRACTS -- The Portfolio is subject to interest rate
risk exposure in the normal course of pursuing its investment objectives. The
Portfolio may enter into futures contracts to hedge against changes in interest
rates and securities prices, or to otherwise manage its term structure, sector
selections and duration. Upon entering into a futures contract, the Portfolio
is required to deposit with the broker an amount of cash or cash equivalents
equal to a certain percentage of the contract amount. This is known as the
"initial margin." Subsequent payments ("variation margin") are made or received
by the Portfolio each day, depending on the daily fluctuation of the value of
the contract. The daily changes in the contract are recorded as unrealized gain
or loss. The Portfolio recognizes a realized gain or loss when the contract is
closed.
The risks associated with entering into financial futures contracts include
the possibility that a change in the value of the contract may not correlate
with the changes in the value of the underlying instruments. In addition,
investing in financial futures contracts involves the risk that the Portfolio
could lose more than the original margin deposit and subsequent payments
required for a futures transaction. Risks may also arise upon entering into
these contracts from the potential inability of the counterparties to meet the
terms of their contracts. For the six months ended February 28, 2011, the
Portfolio's average volume of futures contracts is 165 for long position
contracts and 64 for short position contracts.
OPTIONS CONTRACTS -- The Portfolio is subject to interest rate risk
exposure in the normal course of pursuing its investment objectives. The
Portfolio may write covered call and put options on futures, or securities it
owns or in which it may invest. Writing put options tends to increase the
Portfolio's exposure to the underlying instrument. When the Portfolio writes a
call or put option, an amount equal to the premium received is recorded as a
liability and subsequently marked to market to reflect the current value of the
option written. These liabilities are reflected as written options outstanding
in the Statement of Assets and Liabilities. Payments received or made, if any,
from writing options with premiums to be determined on a future date are
reflected as such on the Statement of Assets and Liabilities. Premiums received
from writing options that expire are treated as realized gains. Premiums
received from writing options that are exercised or closed are added to the
proceeds or offset against amounts paid on the underlying future or security
transaction to determine the realized gain or loss. The Portfolio, as a writer
of an option, has no control over whether the underlying future or security may
be sold (call) or pur-
13
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
chased (put), and as a result bears the market risk of an unfavorable change in
the price of the future or security underlying the written option. The Portfolio
may not be able to enter into a closing transaction because of an illiquid
market.
The Portfolio may also purchase put and call options. Purchasing call
options tends to increase the Portfolio's exposure to the underlying instrument.
Purchasing put options tends to decrease the Portfolio's exposure to the
underlying instrument. The Portfolio pays a premium which is included in the
Portfolio's Statement of Assets and Liabilities as an investment and
subsequently marked to market to reflect the current value of the option.
Premiums paid for purchasing options that expire are treated as realized losses.
The risk associated with purchasing put and call options is limited to the
premium paid. Premiums paid for purchasing options that are exercised or closed
are added to the amounts paid or offset against the proceeds on the underlying
future or security transaction to determine the realized gain or loss.
SWAP AGREEMENTS -- The Portfolio is subject to interest rate risk exposure
in the normal course of pursuing its investment objectives. The Portfolio may
invest in swap agreements for the purpose of hedging against changes in interest
rates. Swap agreements involve the exchange by the Portfolio with another party
of their respective commitments to pay or receive interest with respect to a
notional amount of principal. Swaps are marked to market daily based upon
quotations from independent market makers and the change, if any, is recorded
as unrealized gain or loss in the statement of operations. Net payments of
interest are recorded as realized gain or loss. Cash in the amount of $2,253,369
held as collateral for swap agreements is classified as segregated cash on the
Portfolio's Statement of Assets and Liabilities.
The Portfolio is also subject to counterparty credit risk, which is the
risk that a counterparty fails to perform on agreements with the Portfolio such
as swap contracts, option contracts, and TBA securities.
The Portfolio is party to various derivative contracts governed by
International Swaps and Derivatives Association Master Agreements (ISDA
agreements). The Portfolio's ISDA agreements, which are separately negotiated
with each dealer counterparty, typically contain provisions allowing, absent
other considerations, a counterparty to exercise rights, to the extent not
otherwise waived, against the Portfolio in the event the Portfolio's net assets
decline over time by a pre-determined percentage or fall below a pre-determined
floor. Such rights often include the ability to terminate (i.e., close out) open
contracts at prices which may favor the counterparty, which could have an
adverse impact on the Portfolio. For open swap contracts, see the Portfolio of
Investments, which is also indicative of activity for the six months ended
February 28, 2011.
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 as collateral, subject to the agreement at not less than the
repurchase price plus accrued interest. If the value of the collateral falls
below this amount, 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.
2. INVESTMENT ADVISER AND OTHER SERVICES
Bear Stearns Asset Management Inc. ("BSAM" or the "Adviser"), an indirect
wholly-owned subsidiary of JPMorgan Chase & Co., serves as investment adviser to
the Portfolio pursuant to an investment advisory agreement with the Company (the
"Advisory Agreement"). For its services, the Adviser is paid a monthly fee at
the annual rate of 0.48% of the Portfolio's average daily net assets. Through
December 31, 2009, BSAM was voluntarily waiving a portion of its advisory fee
and reimbursing certain expenses in order to limit the Portfolio's total annual
portfolio operating expenses excluding interest expense to 0.60% of the
Portfolio's average daily net assets. As of January 1, 2010, BSAM terminated its
voluntary fee waivers and expense reimbursements. For the six months ended
February 28, 2011, investment advisory fees were $293,997.
BNY Mellon Investment Servicing (US) Inc., ("BNY Mellon") serves as
administrator for the Portfolio. For providing administration and accounting
services, BNY Mellon is entitled to receive a monthly fee equal to an annual
percentage rate of the Portfolio's average daily net assets, subject to certain
minimum monthly fees.
Included in the administration and accounting fees, are fees for providing
regulatory administration services to RBB. For providing these services, BNY
Mellon is entitled to receive compensation as agreed to by the Company and BNY
Mellon. This fee is allocated to each portfolio in proportion to its net assets
of the Company.
For providing transfer agent services, BNY Mellon is entitled to receive a
monthly fee equal to an annual percentage rate of the Portfolio's average daily
net assets, subject to certain minimum monthly fees.
14
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York
Mellon Corporation and provides certain custodial services to the Portfolio.
PFPC Trust is entitled to receive a monthly fee equal to an annual percentage
rate of the Portfolio's average daily net assets, subject to certain minimum
monthly fees.
BNY Mellon Distributors Inc. serves as the principal underwriter and
distributor of the Portfolio's shares pursuant to a Distribution Agreement with
RBB.
The Portfolio will not pay BNY Mellon or BNY Mellon's affiliates at a later
time for any amounts waived or any amounts assumed.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Portfolio during the six months ended February 28, 2011 was
$8,346. Certain employees of BNY Mellon are Officers of the Company. They are
not compensated by the Portfolio or the Company.
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding short-term investments) of the Portfolio
were as follows:
PURCHASES SALES
----------- ----------
Investments in U.S. Government Securities .......... $18,516,811 $8,943,333
Investments in Non-U.S. Government Securities ...... -- 7,084,473
5. CAPITAL STOCK TRANSACTIONS
As of February 28, 2011, the Portfolio had individual shareholder accounts,
which individually amounted to more than 10% of the total shares outstanding of
the Portfolio as detailed below.
% OF SHARES NUMBER OF
OUTSTANDING ACCOUNTS
----------- ---------
100% 5
Significant shareholder transactions, if any, may impact the Portfolio's
performance.
6. FEDERAL INCOME TAX INFORMATION
Management has analyzed the Portfolio's tax positions taken on federal
income tax returns for all open tax years (August 31, 2007 - 2010) and has
concluded that no provision for federal income tax is required in the
Portfolio's financial statements. The Portfolio's federal and state income and
federal excise tax returns for tax years for which the applicable statutes of
limitations have not expired are subject to examination by the Internal Revenue
Service and state departments of revenue.
As of February 28, 2011, federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by the Portfolio were as
follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED
COST APPRECIATION DEPRECIATION DEPRECIATION
------------ ------------ ------------ --------------
$145,982,035 $4,050,706 $(23,108,774) $(19,058,068)
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
As of August 31, 2010, the components of distributable earnings on a tax
basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY INCOME LONG-TERM GAINS
--------------- ---------------
$353,429 $--
15
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011 (UNAUDITED)
The difference 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 capital gains are reported as ordinary
income dividends for federal tax purposes.
The federal income tax character of dividends and distributions paid fiscal
year end was as follows:
AUGUST 31, 2010
---------------
Ordinary income $6,097,351
Long-term capital gains --
Dividends from net investment income and short-term capital gains are
treated as ordinary income dividends for federal income tax purposes.
As of August 31, 2010, the Portfolio had a capital loss carryforward of
$1,382,809 available to offset future capital gains. The capital loss
carryforward will expire in 2015 $483,278, 2016 $832,226 and 2018 $67,305 if not
utilized by 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, 2010, the Portfolio
deferred post-October capital losses of $258,784.
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are currently effective for interim and annual
reporting periods beginning after December 15, 2009, and other required
disclosures are effective for fiscal years beginning after December 15, 2010,
and for interim periods within those fiscal years. Management has evaluated the
impact and has incorporated the appropriate disclosures required by ASU No.
2010-06 in its financial statement disclosures.
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the
Portfolio through the date the financial statements were issued, and has
determined that there were no subsequent events.
16
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
OTHER INFORMATION
(UNAUDITED)
PROXY VOTING
Policies and procedures that the Portfolio uses to determine how to vote
proxies relating to portfolio securities as well as information regarding how
the Portfolio voted proxies relating to portfolio securities for the most recent
12-month period ended June 30 are available without charge, upon request, by
calling Bear Stearns CUFS(R) MLP Mortgage Portfolio at (800) 519-CUFS (2837) and
on the Securities and Exchange Commission's ("SEC") website at
http://www.sec.gov.
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 (202) 551-8090.
17
BEAR STEARNS CUFS(R) MLP
MORTGAGE PORTFOLIO
INVESTMENT ADVISER
Bear Stearns Asset Management
c/o JP Morgan Asset Management
245 Park Avenue
New York, NY 10167
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103
LEGAL COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Suite 2000
Philadelphia, PA 19103-6996
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FUND EXPENSE EXAMPLES
(UNAUDITED)
As a shareholder of the Portfolio, you incur two types of costs: (1) transaction
costs and (2) ongoing costs, including management fees, distribution fees, and
other Portfolio expenses. These examples are intended to help you understand
your ongoing costs (in dollars) of investing in the Portfolio 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, 2010 through February 28, 2011 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 Portfolio's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Portfolio'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 Portfolio 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, 2010 FEBRUARY 28, 2011 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,000.10 $1.54
Hypothetical (5% return before expenses) 1,000.00 1,023.24 1.56
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS
-----------------------------------------------------
BEGINNING ENDING EXPENSES PAID
ACCOUNT VALUE ACCOUNT VALUE DURING
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD*
----------------- ----------------- -------------
Actual $1,000.00 $1,000.40 $1.24
Hypothetical (5% return before expenses) 1,000.00 1,023.54 1.26
* Expenses are equal to the Portfolio's annualized six month expense ratio of
0.31% for the Bedford Class shares and 0.25% 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 Portfolio's ending account value on the first
line in each table is based on the actual six-month total return of 0.01%
for the Bedford Class shares and 0.04% for the Sansom Street Class shares.
1
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
SECURITY TYPE ASSETS VALUE
------------- -------- ------------
Short Term Investments:
Commercial Paper .................... 31.7% $234,163,605
Certificates of Deposit ............. 30.1 222,565,164
U.S. Treasury Obligations ........... 14.2 105,148,542
Agency Obligations .................. 8.8 64,973,473
Municipal Bonds ..................... 8.4 61,940,000
Repurchase Agreement ................ 6.5 48,147,000
Variable Rate Obligations ........... 1.2 8,900,000
Liabilities in Excess of Other Assets .. (0.9) (6,747,344)
----- ------------
NET ASSETS ............................. 100.0% $739,090,440
===== ============
Portfolio holdings are subject to change at any time.
2
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
PAR
(000) VALUE
------------ ------------
CERTIFICATES OF DEPOSIT--30.1%
DOMESTIC CERTIFICATES OF DEPOSIT--1.8%
Harris NA
0.250%, 03/10/11 .............................. $ 3,000 $ 3,000,000
State Street Bank & Trust Co.
0.250%, 04/28/11 .............................. 6,000 6,000,000
0.250%, 05/03/11 .............................. 4,500 4,500,000
------------
13,500,000
------------
YANKEE DOLLAR CERTIFICATES OF DEPOSIT--28.3% (a)
Bank of Montreal, Chicago
0.270%, 03/01/11 .............................. 10,000 10,000,000
0.230%, 03/21/11 .............................. 5,000 5,000,000
0.312%, 08/29/11(b) ........................... 4,500 4,500,000
Bank of Nova Scotia, Houston
0.270%, 03/01/11 .............................. 4,000 4,000,000
0.260%, 03/10/11 .............................. 7,000 6,999,990
0.280%, 04/05/11 .............................. 5,000 5,000,000
0.265%, 05/25/11 .............................. 5,000 5,000,000
Bank of Tokyo-Mitsubishi UFJ, Ltd.,
New York
0.250%, 03/15/11 .............................. 7,000 7,000,000
0.300%, 04/11/11 .............................. 5,000 5,000,000
Barclays Bank PLC, New York
0.400%, 03/04/11 .............................. 6,000 6,000,000
BNP Paribas SA, New York
0.260%, 03/08/11 .............................. 10,000 10,000,000
0.390%, 05/05/11 .............................. 8,000 8,000,000
Credit Agricole Corp. & Investment
Bank, New York
0.270%, 03/14/11 .............................. 5,000 5,000,000
0.270%, 03/14/11 .............................. 11,000 11,000,000
Credit Suisse, New York
0.280%, 04/12/11 .............................. 8,500 8,500,000
0.250%, 04/25/11 .............................. 11,000 11,000,000
Deutsche Bank AG, New York
0.300%, 04/06/11 .............................. 8,000 8,000,000
0.305%, 06/17/11 .............................. 7,000 7,000,000
0.333%, 08/04/11(b) ........................... 6,500 6,500,000
Dexia Credit Local, GTD, New York(b)(d)
2.053%, 03/17/11 .............................. 6,000 6,000,000
Lloyds TSB Bank PLC, New York
0.322%, 02/14/12 (b) .......................... 8,065 8,065,000
National Australia Bank(b)
0.354%, 02/10/12 .............................. 4,000 4,000,000
PAR
(000) VALUE
------------ ------------
CERTIFICATES OF DEPOSIT--(CONTINUED)
YANKEE DOLLAR CERTIFICATES OF DEPOSIT--(CONTINUED)
Nordea Bank Finland PLC, New York
0.320%, 04/15/11 .............................. $ 7,000 $ 7,000,174
Rabobank Nederland NV, New York(b)
0.356%, 09/15/11 .............................. 5,000 5,000,000
Royal Bank of Canada, New York(b)
0.330%, 10/14/11 .............................. 5,000 5,000,000
0.311%, 02/29/12 .............................. 7,500 7,500,000
Royal Bank of Scotland PLC, Connecticut
0.490%, 04/19/11 .............................. 7,000 7,000,000
Societe Generale, New York(b)
0.370%, 04/21/11 .............................. 5,000 5,000,000
Sumitomo Mitsui Banking Corp., New York
0.300%, 04/20/11 .............................. 5,000 5,000,000
Toronto Dominion Bank, New York(b)
0.344%, 01/12/12 .............................. 4,000 4,000,000
Westpac Banking Corp., New York(b)
0.338%, 11/04/11 .............................. 7,000 7,000,000
0.354%, 12/09/11 .............................. 5,000 5,000,000
------------
209,065,164
------------
TOTAL CERTIFICATES OF DEPOSIT
(Cost $222,565,164) ..................... 222,565,164
------------
COMMERCIAL PAPER--31.7%
ASSET BACKED--19.6% (e)
Antalis US Funding Corp.
0.280%, 03/07/11 .............................. 8,180 8,179,618
0.280%, 03/10/11 .............................. 8,800 8,799,384
0.280%, 03/11/11 .............................. 4,000 3,999,689
0.270%, 03/16/11 .............................. 10,000 9,998,875
Aspen Funding Corp.
0.260%, 03/17/11 .............................. 10,000 9,998,844
Fairway Finance Co. LLC
0.270%, 05/05/11 .............................. 7,794 7,790,200
Falcon Asset Securitization Co. LLC
0.260%, 05/19/11 .............................. 6,500 6,496,291
Gotham Funding Corp.
0.260%, 03/17/11 .............................. 7,936 7,935,083
Jupiter Securitization Co. LLC
0.260%, 04/05/11 .............................. 8,000 7,997,978
LMA Americas LLC
0.250%, 03/22/11 .............................. 10,000 9,998,542
See Accompanying Notes to Financial Statements.
3
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
PAR
(000) VALUE
------------ ------------
COMMERCIAL PAPER--(CONTINUED)
ASSET BACKED--(CONTINUED)
Manhattan Asset Funding Co. LLC
0.260%, 03/18/11 .............................. $ 5,000 $ 4,999,386
Mont Blanc Capital Corp.
0.280%, 03/09/11 .............................. 8,000 7,999,502
Scaldis Capital LLC
0.280%, 03/17/11 .............................. 10,000 9,998,756
Solitaire Funding LLC
0.260%, 03/08/11 .............................. 15,000 14,999,242
0.260%, 03/18/11 .............................. 10,000 9,998,772
Surrey Funding Corp.
0.240%, 03/22/11 .............................. 7,000 6,999,020
Ticonderoga Funding LLC
0.280%, 04/04/11 .............................. 6,500 6,498,281
Variable Funding
0.270%, 04/26/11 .............................. 2,000 1,999,160
------------
144,686,623
------------
BANKS--9.9%
BNP Paribas Finance, Inc.(e)
0.420%, 03/01/11 .............................. 4,000 4,000,000
BNZ International Funding, Ltd.(b)
0.380%, 03/22/11 .............................. 7,000 6,998,448
Commonwealth Bank of Australia(b)
0.323%, 10/06/11 .............................. 7,000 6,999,518
Danske Corp.(e)
0.277%, 03/09/11 .............................. 8,000 7,999,507
Grampian Funding LLC(e)
0.270%, 03/21/11 .............................. 10,000 9,998,500
JPMorgan Chase & Co.(e)
0.230%, 06/27/11 .............................. 5,500 5,495,854
Nordea North America(e)
0.270%, 03/14/11 .............................. 8,000 7,999,220
Novartis Finance Corp.(e)
0.260%, 08/12/11 .............................. 3,000 2,996,447
State Street Corp.(e)
0.260%, 05/24/11 .............................. 8,000 7,995,147
Westpac Banking Corp., New York(b)
0.344%, 01/06/12 .............................. 8,000 8,000,000
0.420%, 01/13/12 .............................. 5,000 5,000,000
------------
73,482,641
------------
PAR
(000) VALUE
------------ ------------
COMMERCIAL PAPER--(CONTINUED)
LIFE INSURANCE--2.2%
Metlife Short Term Funding(e)
0.280%, 03/07/11 .............................. $ 5,000 $ 4,999,767
0.260%, 04/13/11 .............................. 5,000 4,998,447
0.280%, 05/23/11 .............................. 6,000 5,996,127
------------
15,994,341
------------
TOTAL COMMERCIAL PAPER
(Cost $234,163,605) ..................... 234,163,605
------------
MUNICIPAL BONDS--8.4%
CALIFORNIA--1.7%
California Bay Area Toll Authority,
Toll Bridge Revenue, RB (LOC:
Bank of America)(b)(d)
0.190%, 03/07/11 .............................. 5,000 5,000,000
California Housing Finance Agency
Revenue, Series A, RB (LOC:
Fannie Mae, Freddie Mac)(b)(d)
0.260%, 03/07/11 .............................. 3,400 3,400,000
San Francisco, City & County
Redevelopment Agency,
Multifamily Revenue, Series A, RB (Liquidity
Facility: Fannie Mae)(b)(d)
0.240%, 03/07/11 .............................. 4,000 4,000,000
------------
12,400,000
------------
COLORADO--0.9%
Colorado State, Housing Finance Authority,
Class I, Series A-3, RB (LOC:
Fannie Mae, Freddie Mac)(b)(d)
0.260%, 03/07/11 .............................. 6,500 6,500,000
------------
CONNECTICUT--0.8%
Connecticut State, Health & Educational
Facilities Authority Revenue, New Haven
Hospital, Series K-2, RB (LOC: JPMorgan
Chase Bank)(b)(d)
0.230%, 03/07/11 .............................. 5,800 5,800,000
------------
ILLINOIS--0.7%
Illinois State, Toll Highway Authority,
Toll Highway Revenue, Series A-2, RB
(SBPA: JPMorgan Chase Bank)(b)(d)
0.290%, 03/07/11 .............................. 5,000 5,000,000
------------
See Accompanying Notes to Financial Statements.
4
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
PAR
(000) VALUE
------------ ------------
MUNICIPAL BONDS--(CONTINUED)
MASSACHUSETTS--0.5%
Massachusetts Bay Transportation
Authority, General Transportation
System, RB (SBPA: Dexia Credit
Local)(b)(d)
0.280%, 03/07/11 .............................. $ 4,000 $ 4,000,000
------------
NEW YORK--2.8%
New York City, Housing Development
Corp., Multifamily Rent Housing
Revenue, Series A, RB (LOC:
Fannie Mae)(b)(d)
0.250%, 03/07/11 .............................. 6,000 6,000,000
New York City, Industrial Development
Agency Civic Facility Revenue,
New York Law School Project,
Series A, RB (LOC: JPMorgan
Chase Bank)(b)(d)
0.240%, 03/07/11 .............................. 4,445 4,445,000
New York State, Housing Finance
Agency Revenue, RB (Liquidity
Facility: Freddie Mac)(b)(d)
0.220%, 03/07/11 .............................. 5,200 5,200,000
Westchester County, Health Care
Revenue, RB (LOC: TB Bank NA)(b)(d)
0.240%, 03/07/11 .............................. 5,000 5,000,000
------------
20,645,000
------------
TEXAS--1.0%
Harris County, Municipal Securities
Trust Receipts, Class A, RB (LOC:
Societe Generale)(b)(c)(d)
0.260%, 03/07/11 .............................. 3,695 3,695,000
Texas State, Veterans Housing
Assessment Project, Series A-2, GO
(Liquidity Facility: JPMorgan Chase &
Co.)(b)(d)
0.230%, 03/07/11 .............................. 3,900 3,900,000
------------
7,595,000
------------
TOTAL MUNICIPAL BONDS
(Cost $61,940,000) ...................... 61,940,000
------------
PAR
(000) VALUE
------------ ------------
VARIABLE RATE OBLIGATIONS--1.2%
BANKS--1.2%
Merill Lynch, Pierce, Fenner and
Smith Inc.(b)(d)
0.330%, 03/01/11 .............................. $ 4,000 $ 4,000,000
Rabobank Nederland NV(b)(c)(d)
2.053%, 04/07/11 .............................. 4,900 4,900,000
------------
8,900,000
------------
TOTAL VARIABLE RATE OBLIGATIONS
(Cost $8,900,000) ....................... 8,900,000
------------
AGENCY OBLIGATIONS--8.8%
Fannie Mae(b)
0.252%, 07/26/12 .............................. 6,500 6,498,175
0.294%, 09/17/12 .............................. 6,000 5,998,119
0.293%, 12/20/12 .............................. 3,500 3,498,719
Federal Home Loan Bank(b)
0.243%, 10/06/11 .............................. 7,000 6,998,293
Freddie Mac
0.363%, 04/01/11 (b) .......................... 5,000 5,000,429
0.191%, 05/05/11(b) ........................... 10,000 9,999,463
0.190%, 08/30/11(e) ........................... 5,000 4,995,197
0.212%, 12/29/11(b) ........................... 5,000 4,997,904
0.233%, 04/03/12(b) ........................... 6,000 5,997,339
0.202%, 11/02/12(b) ........................... 7,000 6,992,903
0.320%, 01/24/13(b) ........................... 4,000 3,996,932
------------
TOTAL AGENCY OBLIGATIONS
(Cost $64,973,473) ...................... 64,973,473
------------
U.S. TREASURY OBLIGATIONS--14.2%
U.S. Treasury Bills(e)
0.195%, 03/17/11 .............................. 6,500 6,499,437
0.195%, 03/31/11 .............................. 10,000 9,998,379
0.190%, 05/26/11 .............................. 3,500 3,498,411
0.212%, 06/02/11 .............................. 7,400 7,395,947
0.225%, 06/30/11 .............................. 8,000 7,993,950
0.200%, 07/07/11 .............................. 8,500 8,493,956
U.S. Treasury Notes
0.875%, 03/31/11 .............................. 8,500 8,504,414
4.875%, 05/31/11 .............................. 5,000 5,057,621
1.125%, 06/30/11 .............................. 11,750 11,784,240
5.000%, 08/15/11 .............................. 8,000 8,174,695
1.000%, 09/30/11 .............................. 17,500 17,576,691
See Accompanying Notes to Financial Statements.
5
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
PAR
(000) VALUE
------------ ------------
U.S. TREASURY OBLIGATIONS--(CONTINUED)
1.000%, 10/31/11 .............................. $ 5,000 $ 5,025,499
4.625%, 10/31/11 .............................. 5,000 5,145,302
------------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $105,148,542) ..................... 105,148,542
------------
REPURCHASE AGREEMENT--6.5%
Deutsche Bank Securities Inc.
(Tri-Party Agreement dated
02/28/11 to be repurchased at
$48,147,254, collateralized by
$48,185,000 par value, Federal
National Mortgage Association
Structured Notes and Federal Home
Loan Mortgage Corp. Structured
Notes, 0.00% to 6.00%, due
02/10/2012 to 04/18/2036,
Fair Value of the collateral is
$49,110,586)
0.190%, 03/01/11 .............................. 48,147 48,147,000
------------
TOTAL REPURCHASE AGREEMENT
(Cost $48,147,000) ...................... 48,147,000
------------
TOTAL INVESTMENTS AT VALUE--100.9%
(Cost $745,837,784)* .......................... 745,837,784
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.9)% .......................... (6,747,344)
------------
NET ASSETS (APPLICABLE TO
721,032,664 BEDFORD SHARES
AND 18,053,088 SANSOM
STREET SHARES )--100.0% ....................... $739,090,440
============
* Aggregate cost is the same for financial reporting and Federal tax
purposes.
(a) Issuer is a US branch of a foreign domiciled bank.
(b) Variable Rate Security. Rate shown is as of report date.
(c) Security is exempt from registration under Rule 144A of the Securities Act
of 1933. This security may be resold in trans-actions exempt from
registration, normally to qualified insti-tutional investors. At February
28, 2011, this security amounted to $8,595,000 or 1.2% of net assets. This
security has been determined by the Adviser to be a liquid security.
(d) Rate shown is as of report date and the date shown is date on which
principal and accrued interest may be recovered through demand.
(e) Rate disclosed represents the discount rate at the time of purchase.
GO General Obligation
LOC Line of Credit
RB Revenue Bond
SBPA Standby Bond Purchase Agreement
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Portfolio's investments carried at value (See Note 1 in Notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ------- ------------ ------------
Investments in Securities* $745,837,784 $-- $745,837,784 $--
============ === ============ ===
* Please refer to the Schedule of Investments for industry and security type
breakouts.
See Accompanying Notes to Financial Statements.
6
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (Cost $697,690,784) ............................... $697,690,784
Repurchase agreement, at value (Cost $48,147,000) ....................... 48,147,000
Cash .................................................................... 13
Receivables
Interest receivable .................................................. 458,453
Prepaid expenses and other assets ....................................... 35,636
------------
Total assets ...................................................... 746,331,886
------------
LIABILITIES
Payables
Investments purchased ................................................ 6,992,903
Distribution to shareholders ......................................... 1,218
Investment advisory and administration fees .......................... 100,448
Custodian fees ....................................................... 46,139
Distribution fees .................................................... 24,505
Professional fees .................................................... 20,544
Service organization fees (Sansom Street Class) ...................... 1,600
Other accrued expenses and liabilities ............................... 54,089
------------
Total liabilities ................................................. 7,241,446
------------
Net Assets ........................................................ $739,090,440
============
NET ASSETS CONSIST OF
Par Value ............................................................... $ 739,086
Paid-in Capital ......................................................... 738,346,642
Accumulated net realized gain from investments .......................... 4,712
------------
Net Assets .............................................................. $739,090,440
============
BEDFORD CLASS
Net assets .............................................................. $721,037,706
------------
Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 721,032,664
------------
Net asset value, offering and redemption price per share ................ $ 1.00
============
SANSOM STREET CLASS
Net assets .............................................................. $ 18,052,734
------------
Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 18,053,088
------------
Net asset value, offering and redemption price per share ................ $ 1.00
============
See Accompanying Notes to Financial Statements.
7
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Interest ........................................... $ 1,165,836
-----------
Total investment income ......................... 1,165,836
-----------
EXPENSES
Distribution fees (Bedford Class)(1) ............... 2,178,621
Investment advisory and administration fees ........ 1,406,523
Custodian fees ..................................... 75,952
Professional fees .................................. 57,131
Directors' and officers' fees ...................... 43,933
Printing and shareholder reporting fees ............ 30,701
Regulatory administration fees ..................... 28,255
Transfer agent fees ................................ 27,465
Registration and filing fees ....................... 16,466
Insurance fees ..................................... 9,479
Other expenses ..................................... 9,002
-----------
Total expenses before waivers ................... 3,883,528
Less: Advisory and administration waivers ....... (833,126)
Less: Distribution fee waivers .................. (1,961,132)
-----------
Net expenses after waivers ......................... 1,089,270
-----------
Net investment income .............................. 76,566
-----------
Net realized gain from investments ................. 4,712
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .. $ 81,278
===========
(1) See Note 2 in Notes to Financial Statements
See Accompanying Notes to Financial Statements.
8
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 2011 AUGUST 31,
(UNAUDITED) 2010
----------------- -------------
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income ................................ $ 76,566 $ 163,554
Net realized gain from investments ................... 4,712 11,771
------------- -------------
Net increase in net assets resulting from operations ....... 81,278 175,325
------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income:
Bedford Class ........................................ (77,058) (190,149)
Sansom Street Class .................................. (11,321) (40,344)
------------- -------------
Net decrease in net assets from dividends to shareholders .. (88,379) (230,493)
------------- -------------
CAPITAL TRANSACTIONS (AT $1.00 PER SHARE):
Proceeds from shares sold:
Bedford Class ........................................ 494,359,402 811,191,644
Sansom Street Class .................................. 72,969,141 126,322,590
Shares issued on reinvestment of distributions:
Bedford Class ........................................ 75,452 185,482
Sansom Street Class .................................. 168 597
Shares repurchased:
Bedford Class ........................................ (366,960,298) (762,949,046)
Sansom Street Class .................................. (92,624,289) (121,108,751)
------------- -------------
Net increase in net assets derived from capital
transactions ............................................ 107,819,576 53,642,516
------------- -------------
Total increase in net assets ............................... 107,812,475 53,587,348
NET ASSETS:
Beginning of period .................................. 631,277,965 577,690,617
------------- -------------
End of period ........................................ $ 739,090,440 $ 631,277,965
============= =============
Undistributed net investment income, end of period ......... $ -- $ 11,813
============= =============
SHARE TRANSACTIONS:
Shares sold
Bedford Class ........................................ 494,359,402 806,442,244
Sansom Street Class .................................. 72,969,141 126,322,590
Shares reinvested
Bedford Class ........................................ 75,452 185,482
Sansom Street Class .................................. 168 597
Shares repurchased
Bedford Class ........................................ (366,960,298) (758,199,646)
Sansom Street Class .................................. (92,624,289) (121,108,751)
------------- -------------
Total Share Activity ....................................... 107,819,576 53,642,516
============= =============
See Accompanying Notes to Financial Statements.
9
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS
FOR THE -------------------------------------------------------------------------------
SIX MONTHS FOR FOR FOR FOR FOR
ENDED THE THE THE THE THE
FEBRUARY 28, YEAR YEAR YEAR YEAR YEAR
2011 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 AUGUST 31, 2007 AUGUST 31, 2006
------------ --------------- --------------- --------------- --------------- ---------------
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 ............. 0.0001 0.0003 0.0074 0.0307 0.0447 0.0388
Net gains (losses) on securities .. --(b) --(b) --(b) --(b) --(b) --(b)
-------- -------- -------- -------- -------- --------
Total net income from investment
operations .................. 0.0001 0.0003 0.0074 0.0307 0.0447 0.0388
-------- -------- -------- -------- -------- --------
Less dividends and distributions:
Dividends (from net investment
income) ........................ (0.0001) (0.0003) (0.0074) (0.0307) (0.0447) (0.0388)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return ...................... 0.01%(c) 0.03% 0.74% 3.12% 4.56% 3.95%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) ................ $721,038 $593,570 $545,194 $319,387 $218,914 $150,657
Ratios of expenses to average
net assets(a) .................. 0.31%(d) 0.31% 0.69% 0.90% 0.90% 0.85%
Ratios of net investment income
to average net assets .......... 0.02%(d) 0.02% 0.65% 2.94% 4.47% 3.81%
(a) Without the waiver of advisory fees, distribution fees, and/or
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 1.14% (annualized) for the six months ended February 28,
2011 and 1.18%, 1.24%, 1.23%, 1.29% and 1.34% for the years ended August
31, 2010, 2009, 2008, 2007 and 2006 respectively.
(b) Amount is less than $0.00005 per share.
(c) Not annualized.
(d) Annualized.
See Accompanying Notes to Financial Statements.
10
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
FINANCIAL HIGHLIGHTS (CONCLUDED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS
FOR THE -------------------------------------------------------------------------------
SIX MONTHS FOR FOR FOR FOR FOR
ENDED THE THE THE THE THE
FEBRUARY 28, YEAR YEAR YEAR YEAR YEAR
2011 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 AUGUST 31, 2007 AUGUST 31, 2006
------------ --------------- --------------- --------------- --------------- ---------------
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 ............. 0.0004 0.0010 0.0121 0.0365 0.0502 0.0434
Net gains (losses) on securities .. --(b) --(b) --(b) --(b) --(b) --(b)
-------- -------- -------- -------- -------- --------
Total net income from investment
operations .................. 0.0004 0.0010 0.0121 0.0365 0.0502 0.0434
-------- -------- -------- -------- -------- --------
Less dividends and distributions:
Dividends (from net investment
income) ........................ (0.0004) (0.0010) (0.0121) (0.0365) (0.0502) (0.0434)
-------- -------- -------- -------- -------- --------
Net asset value, end of
period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
======== ======== ======== ======== ======== ========
Total Return ....................... 0.04%(c) 0.10% 1.21% 3.71% 5.14% 4.42%
Ratios/Supplemental Data
Net assets, end of period
(000's omitted) ................ $ 18,053 $ 37,708 $ 32,496 $ 28,749 $ 15,352 $ 15,525
Ratios of expenses to average
net assets(a) .................. 0.25%(d) 0.24% 0.25% 0.31% 0.35% 0.26%
Ratios of net investment income
to average net assets .......... 0.08%(d) 0.09% 0.93% 3.64% 5.02% 4.25%
(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
0.49%(annualized) for the six months ended February 28, 2011 and 0.54%,
0.60%, 0.60%, 0.69% and 0.67% for the years ended August 31, 2010, 2009,
2008, 2007 and 2006, respectively.
(b) Amount is less than $0.00005 per share.
(c) Not annualized.
(d) Annualized.
See Accompanying Notes to Financial Statements.
11
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011 (UNAUDITED)
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active investment portfolios, including
the Money Market Portfolio ("Portfolio").
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio. The Portfolio has issued shares
with a par value of $0.001.
SECURITY VALUATION -- Securities held in the Portfolio are valued under the
amortized cost method, which approximates fair value. Under this method,
securities are valued at cost when purchased and thereafter a 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 fair value and to avoid dilution or other
unfair results to shareholders. The Portfolio seeks to maintain net asset value
("NAV") per share at $1.00.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to
measure fair value of the Portfolio's investments are summarized into three
levels as described below:
- Level 1 -- unadjusted quoted prices in active markets for identical
securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Portfolio's
own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Portfolio's investments as of February
28, 2011 is included with the Portfolio's Schedule of Investments.
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities for changes in liquidity, including but not
limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates Level 1 and Level 2 assets and liabilities on a quarterly basis for
changes in listings or delistings on national exchanges. Due to the inherent
uncertainty of determining the fair value of investments that do not have a
readily available market value, the fair value of the Portfolio's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Portfolio may ultimately realize. Further, such investments may be subject
to legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Level 1 and Level 2 for the Fund.
12
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
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 fee and service organization fees, 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. Expenses incurred on behalf of a specific class, fund or
fund family of the Company are charged directly to the class, fund or fund
family (in proportion to net assets). Expenses incurred for all portfolios
within the Company (such as director or professional fees) are charged to all
portfolios in proportion to their average net assets of RBB, or in such other
manner as the Company's 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 NAV of the Portfolio.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income are declared daily, recorded on the ex-date and paid monthly.
All dividends from net investment income are taxed as ordinary income. Any net
realized capital gains are distributed at least annually. Income subject to
dividends and capital gain subject to 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.
FEDERAL INCOME TAXES -- No provision is made for federal income taxes. It
is the Company's intention to have the Portfolio 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 federal income and excise taxes.
REPURCHASE AGREEMENTS -- Money market instruments may be purchased from
financial institutions, such as banks and non-bank dealers, subject to the
seller's agreement to repurchase them at an agreed upon date and price.
Collateral for repurchase agreements may have longer maturities than the maximum
permissible remaining maturity of portfolio investments, provided the repurchase
agreements themselves mature in 13 months or less. The seller is required on a
daily basis to maintain the value of the securities subject to the agreement at
no less than the repurchase price. The agreements are conditioned upon the
collateral being deposited under the Federal Reserve book entry system or held
in a separate account by the Portfolio's custodian or an authorized securities
depository. In the event the counterparty defaults and the fair value of the
collateral declines, the Portfolio could experience losses, delays and costs in
liquidating the collateral.
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 and those differences could be
significant.
OTHER -- In the normal course of business, the Portfolio may enter into
contracts that provide general indemnifications. The Portfolio's maximum
exposure under these arrangements is dependent on claims that may be made
against the Portfolio in the future and therefore, cannot be estimated; however,
based on experience, the risk of material loss for such claims is considered
remote.
13
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
2. INVESTMENT ADVISER AND OTHER SERVICES
Pursuant to an Investment Advisory and Administration Agreement, BlackRock
Institutional Management Corp. (the "Adviser" or "BIMC"), an indirect wholly
owned subsidiary of BlackRock, Inc., serves as investment adviser and
administrator for the Portfolio. BIMC and BNY Mellon Investment Servicing (US)
Inc, ("BNY Mellon"), entered into a delegation agreement on behalf of the
Portfolio, wherein BNY Mellon 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:
ANNUAL RATE
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.
BIMC may, at its discretion, voluntarily waive and/or reimburse 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, 2011, advisory fees and
waivers were as follows:
GROSS ADVISORY NET ADVISORY
AND AND
ADMINISTRATION ADMINISTRATION
FEE WAIVER FEE
-------------- --------- --------------
$1,406,523 $(833,126) $573,397
As of February 28, 2011, the Portfolio owed BIMC $100,448 in advisory and
administration fees.
BNY Mellon and BNY Mellon Distributors Inc., ("BNY Mellon Distributors"),
may also voluntarily waive a portion of their fees and/or reimburse expenses.
The Portfolio will not pay BIMC, BNY Mellon or BNY Mellon Distributors at a
later time for any amounts waived or assumed.
For providing regulatory administration services to RBB, BNY Mellon is
entitled to receive compensation as agreed to by the Company and BNY Mellon.
This fee is allocated to each portfolio in proportion to its net assets of the
Company.
In addition, BNY Mellon serves as the Portfolio's transfer and dividend
disbursing agent. For providing transfer agent services, BNY Mellon is entitled
to receive a monthly fee equal to an annual percentage rate of the Portfolio's
average daily net assets and is subject to certain minimum monthly fees.
For providing custodial services to the Portfolio, PFPC Trust Company, an
affiliate of BNY Mellon, is entitled to receive a monthly fee equal to an annual
percentage rate of the Portfolio's average daily net assets subject to certain
minimum monthly fees.
The Portfolio, on behalf of the Bedford Class of shares of the Portfolio,
has adopted a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the
"Plan"). The Portfolio has entered into a Distribution Agreement with BNY Mellon
Distributors.
14
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
The Plan provides for the Bedford Class to make monthly payments, based on
average net assets, to BNY Mellon Distributors of up to 0.65% on an annualized
basis. BNY Mellon Distributors may voluntarily waive these fees at its
discretion. For the six months ended February 28, 2011, distribution fees paid
to BNY Mellon Distributors for the Bedford Class were as follows:
GROSS NET
DISTRIBUTION DISTRIBUTION
FEE WAIVER FEE
------------ ----------- ------------
Bedford Class $2,178,621 $(1,961,132) $217,489
The Portfolio has entered into service agreements with BNY Mellon which
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.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Portfolio during the six months ended February 28, 2011 was
$37,314. Certain employees of BNY Mellon are Officers of the Company. They are
not compensated by the Portfolio or the Company.
4. SIGNIFICANT SHAREHOLDERS
For the period ended February 28, 2011, the Portfolio had one shareholder
account and/or Omnibus account (comprised of a group of individual shareholders)
that amounted to 98% of the total shares outstanding of the Portfolio.
5. FEDERAL INCOME TAX INFORMATION
The Portfolio intends to continue to qualify as a regulated investment
company and distribute all of its taxable income. Therefore, no federal tax
provision is required.
Management has analyzed the Portfolio's tax positions taken on federal
income tax returns for all open tax years (August 31, 2007 - 2010) and has
concluded that no provision for federal income tax is required in the
Portfolio's financial statements. The Portfolio's federal and state income and
federal excise tax returns for tax years for which the applicable statutes of
limitations have not expired are subject to examination by the Internal Revenue
Service and state departments of revenue.
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
As of August 31, 2010 the Portfolio had $17,335 of undistributed ordinary
income for federal tax purposes.
The difference 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 capital gains are reported as ordinary
income dividends for Federal income tax purposes.
15
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
The tax character of dividends and distributions paid during the year ended
August 31, 2010 was as follows:
ORDINARY LONG-TERM
INCOME GAINS
---------- ---------
2010 $3,031,192 $1,432
Dividends paid from net investment income and short-term capital gains are
treated as ordinary income distributions for federal income tax purposes.
For federal income tax purposes, realized capital losses may be carried
forward and applied against future realized gains. As of August 31, 2010, the
Portfolio had no 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, 2010, the Portfolio did not
incur a net post-October capital loss.
6. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are effective for interim and annual reporting
periods beginning after December 15, 2009, and other required disclosures are
effective for fiscal years beginning after December 15, 2010, and for interim
periods within those fiscal years. Management has evaluated the impact and has
incorporated the appropriate disclosures required by ASU No. 2010-06 in its
financial statement disclosures.
7. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Fund
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
16
THE RBB FUND, INC.
MONEY MARKET PORTFOLIO
ADDITIONAL INFORMATION
(UNAUDITED)
PROXY VOTING
Policies and procedures that the Portfolio uses to determine how to vote
proxies relating to portfolio securities as well as information regarding how
the Portfolio 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.
Bedford (800) 888-9723
Sansom Street (800) 430-9618
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 (202) 551-8090.
CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP ("D&T") was replaced as the independent registered
public accounting firm to the Portfolio effective upon the completion of
services related to the audit for the Portfolio's 2010 fiscal year. The
Company's Audit Committee participated in, and approved, the decision to change
auditors. D&T's reports on the Portfolio's financial statements for the fiscal
years ended August 31, 2010 and August 31, 2009 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Portfolio's fiscal years ended
August 31, 2010 and August 31, 2009 and through November 11, 2010, (i) there
were no disagreements with D&T on any matter of accounting principles or
practices, financial statement disclosure or auditing scope or procedure, which
disagreements, if not resolved to the satisfaction of D&T, would have caused it
to make reference to the subject matter of the disagreements in connection with
its reports on the Portfolio's financial statements for such years, and (ii)
there were no "reportable events" of the kind described in Item 304(a)(1)(v) of
Regulation S-K under the Securities Exchange Act of 1934, as amended.
On November 11, 2010, the Company by action of its Board of Directors upon
the recommendation of the Company's Audit Committee engaged
PricewaterhouseCoopers LLP ("PwC") as the independent registered public
accounting firm to audit the Portfolio's financial statements for the fiscal
year ending August 31, 2011. During the Portfolio's fiscal years ended August
31, 2010 and August 31, 2009 and through November 11, 2010, neither the Company,
its portfolios nor anyone on their behalf has consulted PwC on items which (i)
concerned the application of accounting principles to a specified transaction,
either completed or proposed, or the type of audit opinion that might be
rendered on the Portfolio's financial statements or (ii) concerned the subject
of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation
S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item
304). PwC also serves as independent registered public accounting firm for
certain of the Company's other portfolios.
17
[THIS PAGE INTENTIONALLY LEFT BLANK.]
[THIS PAGE INTENTIONALLY LEFT BLANK.]
INVESTMENT ADVISER
BlackRock Institutional Management Corporation
100 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
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, Ste. 2000
Philadelphia, PA 19103-6996
================================================================================
THE BEDFORD
CLASS
OF
THE RBB FUND, INC.
MONEY MARKET
PORTFOLIO
SEMI ANNUAL REPORT
FEBRUARY 28, 2011
(UNAUDITED)
AN INVESTMENT IN THE PORTFOLIO IS NOT INSURED OR GUARANTEED BY THE FEDERAL
DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE
PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE,
IT'S POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO.
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 PORTFOLIO.
================================================================================
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
SEMIANNUAL REPORT FOR THE SIX-MONTH PERIOD ENDED FEBRUARY 28, 2011
(UNAUDITED)
Fellow Shareholder:
Performance for both the Bogle Small Cap Growth Fund (the "Fund") and the
benchmark Russell 2000(R) turned strongly positive in September 2010, the start
of the latest semiannual reporting period. After a difficult summer for U.S.
equity markets, the tone in the market shifted sharply in September, as
investors turned optimistic on merger and acquisition activity and signs that
the worst of the recession was over. U.S. equity markets generally advanced from
September 2010 through February 2011. Both the Fund and the benchmark posted
robust gains for the six months, and both ended the period above pre-2008 credit
crisis levels but below highs set in the summer of 2007. In addition to strong
absolute performance, the Fund produced consistent, positive relative
performance, outperforming the benchmark in five of the six months in the
semiannual period. During the semiannual period, the Fund's Investor shares
advanced +43.46% net of all fees and Institutional shares gained +43.55% net of
all fees; these results were about six percentage points (unannual-
INVESTMENT PERFORMANCE - PERIODS ENDING FEBRUARY 28, 2011
BOGLE FUND VS. RUSSELL 2000(R) BENCHMARK
(PERFORMANCE GRAPH)
(PLOT POINTS TO COME)
* Due to recent market conditions, the Fund has experienced relatively high
one-year performance which may not be sustainable or repeated in the
future.
----------
ALL FUND RETURNS ARE PRESENTED NET OF FEES AND INCLUDE THE REINVESTMENT OF ALL
DIVIDENDS AND OTHER EARNINGS. MULTI-YEAR PERIOD RETURNS ARE ANNUALIZED.
RETURNS SHOWN REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS.
CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS SHOWN ABOVE. THE
INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL
FLUC-TUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR
LESS THAN THEIR ORIGINAL COST. RETURNS CURRENT TO THE MOST RECENT MONTH-END MAY
BE OBTAINED AT 1-877-264-5346. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES.
THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS
IN THEIR ABSENCE. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE
CURRENT PROSPECTUS, ARE 1.51% FOR THE INSTITUTIONAL CLASS AND 1.61% FOR THE
INVESTOR CLASS, PRIOR TO FEE WAIVERS.
THE FUND'S INVESTMENT ADVISER, BOGLE INVESTMENT MANAGEMENT, L.P., HAS
CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE EXPENSES THROUGH
DECEMBER 31, 2011 TO THE EXTENT THAT TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED
1.25% AND 1.35% FOR THE INSTITUTIONAL CLASS AND INVESTOR CLASS, RESPECTIVELY.
THE ADVISER, IN ITS DISCRETION, HAS THE RIGHT TO EXTEND THIS WAIVER. THE RUSSELL
2000(R) IS AN INDEX OF STOCKS 1001 THROUGH 3000 IN THE RUSSELL 3000(R) INDEX AS
RANKED BY TOTAL MARKET CAPITALIZATION. A DIRECT INVESTMENT IN THE INDEX IS NOT
POSSIBLE. INVESTING IN SMALL COMPANIES CAN INVOLVE MORE VOLATILITY, LESS
LIQUIDITY AND LESS AVAILABLE INFORMATION THAN INVESTING IN LARGE COMPANIES.
1
ized) ahead of the Russell 2000(R) benchmark return of +37.55%. The market
environment is discussed in more detail in the next section of this letter.
Semiannual performance is discussed further on pages two and three, including
investment model performance, other performance attribution, and a few stock
specific examples. We then present the fundamental characteristics of the Fund
and benchmark, highlighting the Fund's above benchmark median expected growth
rate and below benchmark price-based ratios. Finally, we close with an update on
developments at Bogle Investment Management, L.P.
MARKET ENVIRONMENT. As mentioned in our introduction, U.S. equity market
performance was generally robust in the semiannual reporting period. The advance
was also generally uninterrupted during the six month period, with two notable
exceptions. Large cap value stocks declined in November, as this market segment
was the most affected during the month by concerns about European sovereign debt
defaults and the impact on European economies. Small cap growth stocks retreated
in January, reflecting some profit taking in the market segment that had
advanced the most since August. Investors showed a preference for small
capitalization stocks during the semiannual period, as the Russell 2000(R) Index
returned +37.55% compared with a +28.65% return for the Russell 1000(R). Within
small capitalization stocks, growth outperformed value for the six months
ended February 28, 2011, as the Russell 2000(R) Growth advanced +40.75%, while
the Russell 2000(R) Value gained +34.31%. Cap-weighted and equal-weighted small
cap indices showed similar performance for the six months (the equal-weighted
Russell 2000(R) was up +38.64%) and we did not discern a strong investor
preference for either stocks with positive price momentum or stocks that had
been beaten down. Among small cap stocks (categorized using our eight
proprietary sectors), the energy, basic industry and technology sectors were the
strongest performers, while financials and utilities were the weakest. Market
volatility was highest at the start of the semiannual period and was lowest at
the end of the calendar year. Although the market generally continued to advance
into 2011, returns were less consistent and volatility increased during January
and February, reflecting concerns about the Middle East, ongoing uncertainty
about European macroeconomies, and a general waning of investor enthusiasm for
the U.S. equity markets.
PERFORMANCE ATTRIBUTION. Our return attribution analysis shows that positive
stock selection, as usual, accounted for the majority of the Fund's
outperformance relative to its benchmark in the semiannual period. Recall that
our three longer-term fundamental models seek to identify the following: 1)
stocks that have demonstrated an ability to generate better earnings than the
market expects (the earnings expectations model); 2) companies that do not have
to "manufacture" earnings growth through aggressive accounting and that have a
low percentage of their shares held by short sellers (financial quality model);
and 3) stocks that trade at attractive valuations relative to their most similar
peers (relative valuation model). You may also recall that last year we changed
the way in which we trade the Fund, taking advantage of inefficiencies related
to trading behavior that help us to implement our investment process more
efficiently. On a stand-alone basis, within our small cap investable universe,
all of our sub-models posted positive returns during the semiannual period.
Financial quality sub-model performance was strongest, with positive returns in
each month of the period except for December, when performance was flat. The
earnings expectations sub-model extended its positive performance; the sub-model
had struggled when trends were shifting during the market downturn and rebound,
but it began to produce more consistently positive results in May of last year.
Relative valuation sub-model performance was positive specifically in the last
three months of the semiannual period. Stock selection was strongest in
technology, energy and basic industry stocks, and was also positive in the
consumer sectors. The Fund's modest growth orientation and approximately equal
weighted portfolio construction (versus the benchmark's capitalization weighting
of positions) both enhanced performance for the semiannual period. As you know,
it is our policy to be essentially fully invested to maintain exposure to the
small cap market, as we do not believe that we, nor most professional investors,
can successfully forecast market direction. We also maintain factor and sector
exposures that are very similar to those of our
2
benchmark (see table below), such that the significant majority of our relative
returns have historically been attributed to stock selection.
We continue to maintain a diversified portfolio of 150 to 200 stocks in order to
minimize the impact any single stock can have on total Fund performance. At the
end of the semiannual period, the Fund held 180 stocks and the largest holding
represented 1.4% of net assets. Approximately 80% of the Fund was invested in 81
positions. In the stock specific examples that follow, we illustrate how our
models led us to two stocks that outperformed the benchmark and one where our
investment underperformed. NEWPORT CORPORATION develops, manufactures, and
markets technology products and systems (including precision positioning systems
and subsystems, optics, and lasers) to various industries worldwide. At the
start of the semiannual period, the stock was experiencing good earning growth,
and it was achieving this growth with conservative accounting. The stock price
appreciated strongly relative to peers during the semiannual period, based on
strong financial results and increased earnings and sales projections. We
continued to hold the stock at the end of the semiannual period, as the
composite fundamental model score remained strong and short-term performance
indicators were also positive. Another strong relative contributor during the
six months was CVR ENERGY, INC., a company that refines and markets
transportation fuels and produces and markets nitrogen fertilizer products.
Although the company's earnings expectations signal was weak when we first
purchased the stock for the Fund in February 2010, the company appeared to have
conservative accounting and a relatively inexpensive valuation. The stock price
increased relative to the Russell 2000(R) in all six months of the semiannual
period and earnings estimates were revised upward in January and February. The
earnings score has since improved dramatically, while the other longer term
fundamental measures also remain positive. Turning to an investment that
negatively impacted performance, we built a position throughout the semiannual
period in INTERACTIVE BROKERS GROUP, INC., an automated global electronic market
maker and broker. As we initiated the position in mid-November, the stock
ranked in the top 20% of financial stocks in our investable universe according
to its composite score, with positive (although not strong) earnings
expectations and very attractive relative valuation. As earning prospects have
failed to improve, the stock price has been penalized. Attractive valuation
characteristics have kept this investment in the portfolio.
FUNDAMENTAL CHARACTERISTICS
FEBRUARY 28, 2011
RUSSELL
MEDIAN BOGLX* 2000(R)
-------- ------ -------
Median Market Cap. ($mil.) $ 967 $1,204
Estimated Long-Term Earnings Growth Rate** 16.0% 13.3%
Price/Historical Earnings 19.0x 20.9x
Price/Forward Earnings 14.0x 17.2x
Price/Sales 1.0x 1.9x
* THE BOGLE SMALL CAP GROWTH FUND INVESTOR SHARES. MEDIAN CHARACTERISTICS
REFER TO THE FUND'S HOLDINGS, NOT THE FUND ITSELF.
** THE ESTIMATED LONG-TERM EARNINGS GROWTH RATE IS CALCULATED FOR THE FUND'S
PORTFOLIO OF COMPANIES AND THE BENCHMARK COMPANIES FROM FIRST CALL
ANALYSTS' MEDIAN ESTIMATED EARNINGS GROWTH RATE OVER THE NEXT 3 TO 5 YEARS.
THIS FIGURE IS NOT INDICATIVE OF FUTURE PERFORMANCE OF THE FUND; THE
PORTFOLIO AND BENCHMARK COMPANIES' ACTUAL EARNINGS GROWTH RATE WILL VARY
FROM THIS FIGURE.
INVESTMENT POSITIONING. As you can see in the table to the right, Fund
characteristics remain in line with the benchmark. Note that small deviations
from the benchmark reflected in the fundamental characteristics (and sector
exposures) of the Fund arise purely from the bottom up stock selection process
and do not reflect attempts to actively time the overall market, style
preferences, or sector rotation. As of the end of February, the Fund's median
market capitalization was below that of the benchmark, as we have continued to
take advantage of our small size in pursuit of these smaller, less liquid
opportunities. The Fund has had a higher median analysts' expected long-term
earnings growth rate versus the benchmark since June of 2009. At the same time,
the Fund has maintained its attractive valuation exposure, with
price-to-earnings and price-to-sales ratios below the
3
benchmark. Selected risk statistics for the portfolio and benchmark are
presented in the table to the right. Total fund volatility, as measured by the
annualized standard deviation of daily returns, fell steadily for most of the
semiannual period to below long-term average levels. Active volatility, or the
standard deviation of the difference between the Fund and benchmark daily
returns, fluctuated between 3.5% and 5.5% (annualized) over the last six months,
also indicating stable markets.
RISK STATISTICS***
SEMIANNUAL PERIOD
RUSSELL
MEASUREMENT*** BOGLX 2000(R)
--------------- ----- -------
Annualized Standard Deviation 19.7% 18.8%
Annualized Active Volatility 4.9%
Beta with Russell 2000(R) 1.02
Average Cash 0.8%
*** RISK STATISTICS APPLY TO THE FUND AND BENCHMARK. STANDARD DEVIATION IS A
STATISTICAL MEASURE OF THE RANGE OF PERFORMANCE. ACTIVE RISK IS THE
STANDARD DEVIATION OF THE DIFFERENCE BETWEEN THE FUND AND BENCHMARK
PERFORMANCE. BETA IS A MEASURE OF A PORTFOLIO'S SENSITIVITY TO MARKET
MOVEMENTS.
PROGRESS AT BOGLE INVESTMENT MANAGEMENT, L.P. At the end of February 2011,
assets in the Fund were $123 million. Net cashflows into the Fund turned
positive in the fourth quarter of last year and we believe that we will see
continued positive net flows if market volatility remains low and portfolio
performance remains consistent. As we have always done, we will monitor growth
in the Fund, growth in overall firm assets, and market liquidity conditions to
determine when it is appropriate to reclose our investment strategies. We
anticipate that if and when we reclose the Fund we will be able to remain open
for existing shareholders and financial advisers, as we did when we closed in
2002. Finally, we are happy to report that our team remains the same, and we
have not lost a single investment professional since inception of the firm
eleven and a half years ago.
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.
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 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 REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS
IN THEIR ABSENCE.
PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE.
THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
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, 2010 through February 28, 2011, 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, 2010 FEBRUARY 28, 2011 PERIOD*
----------------------- -------------------- --------------------
Actual $1,000.00 $1,435.50 $7.55
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, 2010 FEBRUARY 28, 2011 PERIOD*
----------------------- -------------------- --------------------
Actual $1,000.00 $1,434.60 $8.15
Hypothetical
(5% return before expenses) 1,000.00 1,018.02 6.78
----------
* Expenses are equal to the Fund's annualized six-month 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 six-month total return for each class of
43.55% for the Institutional Class and 43.46% for the Investor Class.
6
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
SECURITY TYPE & SECTOR CLASSIFICATION ASSETS VALUE
------------------------------------- -------- ------------
COMMON STOCKS:
Technology 25.3% $ 31,179,481
Consumer Growth 23.4 28,931,030
Financial 15.1 18,642,477
Consumer Cyclical 12.0 14,826,581
Industrial 10.9 13,500,046
Basic Industry 6.9 8,518,600
Energy 5.1 6,248,096
Utility 0.1 135,173
SHORT-TERM INVESTMENTS 1.0 1,254,498
OTHER ASSETS IN EXCESS OF LIABILITIES 0.2 277,221
----- ------------
NET ASSETS 100.0% $123,513,203
===== ============
----------
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
7
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
COMMON STOCKS--98.8%
BASIC INDUSTRY--6.9%
Boise, Inc ....................................... 35,743 $ 320,972
Buckeye Technologies, Inc. ....................... 58,774 1,539,879
Endeavour Silver Corp. * ......................... 153,657 1,138,598
Ferro Corp. * .................................... 83,214 1,324,767
Georgia Gulf Corp. * ............................. 1,307 41,719
Huntsman Corp. ................................... 1,307 23,069
Innospec, Inc. * ................................. 46,645 1,250,552
Kronos Worldwide, Inc. ........................... 18,743 927,779
New Gold, Inc. * ................................. 52,747 506,899
Noranda Aluminum Holding Corp. * ................. 85,027 1,340,876
Schnitzer Steel Industries, Inc., Class A ........ 1,612 103,490
------------
8,518,600
------------
CONSUMER CYCLICAL--12.0%
Bon-Ton Stores, Inc., (The) * .................... 42,017 657,986
Destination Maternity Corp. ...................... 5,910 266,541
Domino's Pizza, Inc. * ........................... 75,205 1,268,708
Eastman Kodak Co. * .............................. 16,964 57,678
Express, Inc. .................................... 64,351 1,157,031
Foot Locker, Inc. ................................ 67,300 1,337,251
Goodyear Tire & Rubber Co., (The) * .............. 93,113 1,320,342
Imax Corp. * ..................................... 20,807 551,594
Liz Claiborne, Inc. * ............................ 253,961 1,305,360
LoJack Corp. * ................................... 74,821 447,430
Melco Crown Entertainment Ltd., ADR * ............ 184,080 1,279,356
New York & Co., Inc. * ........................... 2,533 17,604
Pantry, Inc., (The) * ............................ 56,780 894,853
PEP Boys-Manny, Moe & Jack ....................... 40,089 502,315
Rick's Cabaret International, Inc. * ............. 654 7,116
Select Comfort Corp. * ........................... 1,274 14,180
Susser Holdings Corp. * .......................... 12,600 174,510
TAM SA, SP ADR ................................... 60,776 1,302,430
Timberland Co., (The), Class A * ................. 2,933 108,345
Valuevision Media, Inc., Class A * ............... 192,273 1,286,306
Washington Post Co., (The), Class B .............. 2,008 869,645
------------
14,826,581
------------
NUMBER
OF SHARES VALUE
--------- ------------
CONSUMER GROWTH--23.4%
Accuray, Inc. * .................................. 73,986 $ 732,461
AMERIGROUP Corp. * ............................... 23,286 1,335,452
Arthrocare Corp. * ............................... 27,178 937,369
Boston Beer Co., Inc., (The), Class A * .......... 13,786 1,279,617
Cardica, Inc. * .................................. 192 630
Cardiovascular Systems, Inc. * ................... 33,921 301,897
Cia Cervecerias Unidas SA, ADR ................... 3,308 179,128
Coca-Cola Bottling Co. Consolidated .............. 11,488 662,858
Cosan Ltd., Class A .............................. 101,873 1,401,772
Coventry Health Care, Inc. * ..................... 16,741 505,578
Depomed, Inc. * .................................. 6,782 56,901
Elizabeth Arden, Inc. * .......................... 41,756 1,214,682
Emergent Biosolutions, Inc. * .................... 21,869 460,124
Endo Pharmaceuticals Holdings, Inc. * ............ 1,667 59,212
Genomic Health, Inc. * ........................... 10,814 272,945
Health Management Associates, Inc., Class A * .... 59,292 592,920
Health Net, Inc. * ............................... 42,048 1,237,052
Herbalife Ltd. ................................... 2,646 207,473
Hill-Rom Holdings, Inc. .......................... 33,126 1,261,107
Impax Laboratories, Inc. * ....................... 61,392 1,264,061
Inspire Pharmaceuticals, Inc. * .................. 64,380 258,808
Integra LifeSciences Holdings Corp. * ............ 257 12,889
ISTA Pharmaceuticals, Inc. * ..................... 32,633 251,600
Jazz Pharmaceuticals, Inc. * ..................... 56,391 1,388,910
Lincoln Educational Services Corp. ............... 82,323 1,276,830
Magellan Health Services, Inc. * ................. 25,913 1,243,306
Medicines Co., (The) * ........................... 57,501 999,942
Nabi Biopharmaceuticals * ........................ 27,415 155,169
Orthofix International, N.V. * ................... 703 22,215
Par Pharmaceutical Cos., Inc. * .................. 39,598 1,222,786
PDL BioPharma, Inc ............................... 256,113 1,421,427
Providence Service Corp. * ....................... 18,677 306,490
Smithfield Foods, Inc. * ......................... 5,148 119,176
SunOpta, Inc. * .................................. 85,676 588,594
SXC Health Solutions Corp. * ..................... 2,359 116,417
Team Health Holdings, Inc. * ..................... 13,408 247,914
Tyson Foods, Inc., Class A ....................... 71,253 1,327,443
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, 2011 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
CONSUMER GROWTH--(CONTINUED)
Universal Technical Institute,Inc. ............... 38,751 $ 713,018
Viropharma, Inc. * ............................... 74,186 1,330,155
WellCare Health Plans, Inc. * .................... 33,307 1,250,678
Wright Medical Group, Inc. * ..................... 37,330 590,934
WuXi Pharmatech Cayman, Inc., ADR * .............. 8,098 123,090
------------
28,931,030
------------
ENERGY--5.1%
Callon Petroleum Co. * ........................... 9,024 75,621
China Sunergy Co., Ltd., ADR * ................... 24,758 111,411
Clayton Williams Energy, Inc. * .................. 12,409 1,316,347
CVR Energy, Inc. * ............................... 65,400 1,236,060
Energy Partners Ltd. * ........................... 83,873 1,373,001
Hercules Offshore, Inc. * ........................ 42,179 208,364
Petrobras Argentina SA, ADR ...................... 23,494 540,597
SEACOR Holdings, Inc. ............................ 12,050 1,141,979
SinoCoking Coal and Coke Chemical Industries,
Inc. * ........................................ 18,509 192,864
Western Refining, Inc. * ......................... 3,187 51,852
------------
6,248,096
------------
FINANCIAL--15.1%
Advance America Cash Advance Centers, Inc. ....... 98,168 528,144
American Financial Group, Inc. ................... 36,641 1,268,878
American Safety Insurance Holdings Ltd. * ........ 37,609 802,952
BanColumbia SA, SP ADR ........................... 23,394 1,331,820
BGC Partners, Inc., Class A ...................... 38,582 368,844
Calamos Asset Management, Inc., Class A .......... 79,680 1,321,094
CapitalSource, Inc. .............................. 87,179 660,817
Cardtronics, Inc. * .............................. 73,057 1,384,430
E*TRADE Financial Corp. * ........................ 71,827 1,147,795
FBL Financial Group, Inc., Class A
4,827 150,795
Financial Engines, Inc. * ........................ 25,100 612,691
FXCM, Inc., Class A * ............................ 1,681 19,130
Grupo Financiero Galicia SA, ADR * ............... 88,402 1,270,337
NUMBER
OF SHARES VALUE
--------- ------------
FINANCIAL--(CONTINUED)
Interactive Brokers Group, Inc., Class A ......... 80,707 $ 1,246,923
LPL Investment Holdings, Inc. * .................. 38,523 1,294,758
Maiden Holdings Ltd. ............................. 43,146 344,737
MarketAxess Holdings, Inc. ....................... 2,504 53,561
MB Financial, Inc. ............................... 1,721 35,401
MF Global Holdings Ltd. * ........................ 86,604 750,857
Nara Bancorp, Inc. * ............................. 14,499 151,950
Netspend Holdings, Inc. * ........................ 60,556 793,889
Pzena Investment Management, Inc., Class A ....... 75,285 568,402
Transatlantic Holdings, Inc. ..................... 12,914 657,710
United Fire & Casualty Co. ....................... 3,831 79,263
Unitrin, Inc. .................................... 44,915 1,315,560
Universal American Corp. ......................... 220 4,528
Waddell & Reed Financial, Inc., Class A .......... 11,818 477,211
------------
18,642,477
------------
INDUSTRIAL--10.9%
Altra Holdings, Inc. * ........................... 1,626 35,170
AMERCO * ......................................... 13,214 1,276,340
CAI International, Inc. * ........................ 26,370 558,517
Casella Waste Systems, Inc., Class A * ........... 24,487 179,490
China Digital TV Holding Co., Ltd., ADR .......... 23,392 167,253
Diebold, Inc. .................................... 1,879 66,066
DXP Enterprises, Inc. * .......................... 16,264 345,773
G & K Services, Inc., Class A .................... 320 10,374
Great Lakes Dredge & Dock Co. .................... 163,039 1,283,117
iRobot Corp. * ................................... 11,427 328,183
KEMET Corp. * .................................... 94,428 1,312,549
Kforce, Inc. * ................................... 581 10,377
Mueller Industries, Inc. ......................... 572 19,437
Navios Maritime Holdings, Inc. ................... 4,167 23,627
Navistar International Corp. * ................... 20,463 1,268,297
Park-Ohio Holdings Corp * ........................ 1,866 41,201
Quality Distribution, Inc. * ..................... 490 4,949
RailAmerica, Inc. * .............................. 34,453 516,795
Ryder System, Inc. ............................... 26,392 1,262,329
Sauer-Danfoss, Inc. * ............................ 43,053 1,314,408
The accompanying notes are an integral part of the financial statements.
9
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
INDUSTRIAL--(CONTINUED)
Steelcase, Inc., Class A ......................... 53,629 $ 520,738
TAL International Group, Inc. .................... 4,154 144,892
Timken Co., (The) ................................ 2,939 143,188
TriMas Corp. * ................................... 62,427 1,284,123
TrueBlue, Inc. * ................................. 7,665 123,790
Twin Disc, Inc. .................................. 38,908 1,259,063
------------
13,500,046
------------
TECHNOLOGY--25.3%
ACI Worldwide, Inc. * ............................ 46,081 1,442,796
Airmedia Group, Inc., ADR * ...................... 86,251 568,394
Allot Communications Ltd. * ...................... 47,134 751,080
Ancestry.com, Inc. * ............................. 4,193 137,782
AudioCodes Ltd. * ................................ 150,240 978,062
Brightpoint, Inc. * .............................. 133,349 1,680,197
Coherent, Inc. * ................................. 2,922 180,434
Datalink Corp. * ................................. 134,069 904,966
Energy Conversion Devices, Inc. * ................ 248,810 975,335
Entegris, Inc. * ................................. 146,344 1,276,120
FEI Co. * ........................................ 422 14,150
Glu Mobile, Inc. * ............................... 270,686 1,226,208
HealthStream, Inc. * ............................. 30,281 235,889
Internap Network Services Corp. * ................ 21,308 144,894
Itron, Inc. * .................................... 17,368 984,939
Jabil Circuit, Inc. .............................. 59,200 1,268,656
Keynote Systems, Inc. ............................ 70,498 1,240,060
Kulicke & Soffa Industries, Inc. * ............... 10,434 100,062
Lattice Semiconductor Corp. * .................... 117,342 779,151
LeCroy Corp. * ................................... 88,253 1,239,072
Manhattan Associates, Inc. * ..................... 35,124 1,130,993
Monotype Imaging Holdings, Inc. * ................ 82,374 1,102,164
NaviSite, Inc. * ................................. 245 1,338
Newport Corp. * .................................. 73,698 1,227,072
Nova Measuring Instruments Ltd. * ................ 133,567 1,255,530
O2Micro International Ltd., ADR * ................ 946 7,738
Online Resources Corp. * ......................... 9,557 62,598
Oplink Communications, Inc. * .................... 1,052 28,625
OPNET Technologies, Inc. ......................... 3,391 115,565
NUMBER
OF SHARES VALUE
--------- ------------
TECHNOLOGY--(CONTINUED)
Orbotech Ltd. * .................................. 53,430 $ 752,294
Photronics, Inc. * ............................... 147,035 1,314,493
RealNetworks, Inc. * ............................. 81,027 311,954
Rudolph Technologies, Inc. * ..................... 19,539 216,492
Silicon Image, Inc. * ............................ 180,730 1,453,069
Silicon Motion Technology Corp., ADR * ........... 1,767 16,044
Spreadtrum Communications, Inc., ADR * ........... 61,839 1,234,306
Unisys Corp. * ................................... 34,877 1,296,029
USA Mobility, Inc. ............................... 57,562 858,825
Verint Systems, Inc. * ........................... 38,018 1,307,059
Vishay Intertechnology, Inc. * ................... 245 4,275
WebMD Health Corp. * ............................. 1,776 103,008
Websense, Inc. * ................................. 58,439 1,251,763
------------
31,179,481
------------
UTILITY--0.1%
Pampa Energia SA, SP ADR ......................... 8,665 135,173
------------
TOTAL COMMON STOCKS
(Cost $108,683,408) ........................ 121,981,484
------------
SHORT-TERM INVESTMENTS--1.0%
Columbia Prime Reserves Fund ..................... 1,254,498 1,254,498
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $1,254,498) .......................... 1,254,498
------------
TOTAL INVESTMENTS--99.8%
(Cost $109,937,906) .............................. 123,235,982
------------
OTHER ASSETS IN EXCESS OF LIABILITIES--0.2% ......... 277,221
------------
NET ASSETS--100.0% .................................. $123,513,203
============
----------
* Non-income producing.
ADR -- American Depositary Receipt.
SP ADR -- Sponsored American Depositary Receipt.
The accompanying notes are an integral part of the financial statements.
10
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011 (UNAUDITED)
The following is a summary of inputs used, as of February 28, 2011, in valuing
the Fund's investments carried at market value (see note 1 in the Notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ------------ ----------- ------------
TOTAL INVESTMENTS* $123,235,982 $123,235,982 $-- $--
============ ============ === ===
* See Portfolio of Investments detail for security type and sector
classification breakout.
The accompanying notes are an integral part of the financial statements.
11
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (cost $109,937,906) .............................. $123,235,982
Receivables for:
Investments sold .................................................... 7,234,543
Capital shares sold ................................................. 707,227
Dividends ........................................................... 64,039
Prepaid expenses and other assets ................................... 17,242
------------
Total assets ..................................................... 131,259,033
------------
LIABILITIES
Payables for:
Investments purchased ............................................... 7,373,721
Capital shares redeemed ............................................. 217,914
Investment advisory fees and shareholder servicing fees ............. 83,636
Directors' and officers' fees ....................................... 1,628
Other accrued expenses and liabilities .............................. 68,931
------------
Total liabilities ................................................ 7,745,830
------------
Net assets ............................................................. $123,513,203
============
NET ASSETS CONSIST OF
Capital stock, $0.001 par value ........................................ $ 5,861
Paid-in capital ........................................................ 155,716,212
Accumulated net investment loss ........................................ (320,834)
Accumulated net realized loss from investments ......................... (45,186,112)
Net unrealized appreciation on investments ............................. 13,298,076
------------
Net assets ............................................................. $123,513,203
============
INSTITUTIONAL CLASS
Net assets ............................................................. $ 46,152,691
------------
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 2,170,999
------------
Net asset value, offering and redemption price per share ............... $ 21.26
============
INVESTOR CLASS
Net assets ............................................................. $ 77,360,512
------------
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 3,690,451
------------
Net asset value, offering and redemption price per share ............... $ 20.96
============
The accompanying notes are an integral part of the financial statements.
12
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $600) ................... $ 346,933
-----------
Total investment income .......................................... 346,933
-----------
EXPENSES
Advisory fees .......................................................... 509,289
Administration and accounting fees ..................................... 76,440
Transfer agent fees .................................................... 71,699
Shareholder servicing fees ............................................. 31,156
Professional fees ...................................................... 23,437
Registration and filing fees ........................................... 17,852
Custodian fees ......................................................... 16,473
Printing and shareholder reporting fees ................................ 14,876
Chief compliance officer fees .......................................... 6,815
Directors' and officers' fees .......................................... 6,373
Insurance fees ......................................................... 3,650
Other expenses ......................................................... 9,735
-----------
Total expenses before waivers ....................................... 787,795
Less: waivers ....................................................... (120,028)
-----------
Net expenses after waivers ............................................. 667,767
-----------
Net investment loss .................................................... (320,834)
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
Net realized gain/(loss) from investments .............................. 21,280,529
Net change in unrealized appreciation/(depreciation) on investments .... 13,752,596
-----------
Net realized and unrealized gain from investments ......................... 35,033,125
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $34,712,291
===========
The accompanying notes are an integral part of the financial statements.
13
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS
ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ---------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss .................................................... $ (320,834) $ (486,243)
Net realized gain from investments ..................................... 21,280,529 19,623,580
Net change in unrealized appreciation/(depreciation) on investments .... 13,752,596 (14,010,093)
------------ ------------
Net increase in net assets resulting from operations ................... 34,712,291 5,127,244
------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL TRANSACTIONS:
Institutional Class
Proceeds from shares sold ........................................... 5,498,186 8,195,988
Distributions for shares redeemed ................................... (4,693,887) (13,976,421)
------------ ------------
Total Institutional Class ........................................... 804,299 (5,780,433)
Investor Class
Proceeds from shares sold ........................................... 14,627,104 5,494,728
Distributions for shares redeemed ................................... (6,790,504) (13,630,981)
------------ ------------
Total Investor Class 7,836,600 (8,136,253)
------------ ------------
Net increase/(decrease) in net assets from capital share transactions ..... 8,640,899 (13,916,686)
------------ ------------
Total increase/(decrease) in net assets ................................... 43,353,190 (8,789,442)
------------ ------------
NET ASSETS
Beginning of period .................................................... 80,160,013 88,949,455
------------ ------------
End of period .......................................................... $123,513,203 $ 80,160,013
============ ============
Undistributed net investment income/(loss), end of period .............. $ (320,834) $ --
============ ============
The accompanying notes are an integral part of the financial statements.
14
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE
SIX MONTHS
ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ---------------
INCREASE/(DECREASE) IN SHARES OUTSTANDING
DERIVED FROM SHARE TRANSACTIONS:
Institutional Class
Shares sold ......................................................... 283,925 519,898
Shares redeemed ..................................................... (254,420) (912,854)
-------- --------
Total Institutional Class ........................................... 29,505 (392,956)
-------- --------
Investor Class
Shares sold ......................................................... 739,661 360,412
Shares redeemed ..................................................... (364,963) (895,346)
-------- --------
Total Investor Class ................................................ 374,698 (534,934)
-------- --------
Total decrease in shares outstanding derived from share transactions ... 404,203 (927,890)
======== ========
The accompanying notes are an integral part of the financial statements.
15
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
2/28/11 8/31/10 8/31/09 8/31/08 8/31/07 8/31/06
----------- ------- ------- ------- -------- --------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........ $ 14.81 $ 14.03 $ 17.35 $ 24.61 $ 27.74 $ 28.78
------- ------- ------- ------- -------- --------
Net investment loss* ........................ (0.05) (0.07) (0.05) (0.13) (0.08) (0.16)
Net realized and unrealized gain/(loss)
from investments ......................... 6.50 0.85 (3.27) (3.99) 2.74 3.08
------- ------- ------- ------- -------- --------
Net increase/(decrease) in net assets
resulting from operations ................ 6.45 0.78 (3.32) (4.12) 2.66 2.92
------- ------- ------- ------- -------- --------
Distributions to shareholders from:
Net realized capital gains .................. -- -- -- (3.14) (5.79) (3.96)
------- ------- ------- ------- -------- --------
Net asset value, end of period .............. $ 21.26 $ 14.81 $ 14.03 $ 17.35 $ 24.61 $ 27.74
======= ======= ======= ======= ======== ========
Total investment return(1) .................. 43.55%(2) 5.56% (19.08)% (19.33)% 10.29% 12.46%
======= ======= ======= ======= ======== ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ... $46,153 $31,714 $35,571 $84,546 $197,415 $189,920
Ratio of expenses to average net assets
with waivers and reimbursements .......... 1.25%(3) 1.25% 1.25% 1.25% 1.25% 1.25%
Ratio of expenses to average net assets
without waivers and reimbursements ....... 1.49%(3) 1.51% 1.57% 1.44% 1.43% 1.43%
Ratio of net investment loss to
average net assets ....................... (0.56)%(3) (0.48)% (0.44)% (0.64)% (0.30)% (0.55)%
Portfolio turnover rate ..................... 138.80%(2) 196.03% 159.14% 162.10% 142.45% 126.64%
----------
* 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) Not Annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
16
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
2/28/11 8/31/10 8/31/09 8/31/08 8/31/07 8/31/06
----------- ------- ------- ------- -------- --------
(UNAUDITED)
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ........ $ 14.61 $ 13.86 $ 17.14 $ 24.38 $ 27.56 $ 28.65
------- ------- ------- ------- -------- --------
Net investment loss* ........................ (0.06) (0.09) (0.06) (0.14) (0.10) (0.18)
Net realized and unrealized gain/(loss)
from investments ......................... 6.41 0.84 (3.22) (3.96) 2.71 3.05
------- ------- ------- ------- -------- --------
Net increase/(decrease) in net assets
resulting from operations ................ 6.35 0.75 (3.28) (4.10) 2.61 2.87
------- ------- ------- ------- -------- --------
Distributions to shareholders from:
Net realized capital gains .................. -- -- -- (3.14) (5.79) (3.96)
------- ------- ------- ------- -------- --------
Net asset value, end of period .............. $ 20.96 $ 14.61 $ 13.86 $ 17.14 $ 24.38 $ 27.56
======= ======= ======= ======= ======== ========
Total investment return(1) .................. 43.46%(2) 5.41% (19.14)% (19.45)% 10.15% 12.33%
======= ======= ======= ======= ======== ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ... $77,360 $48,446 $53,379 $82,477 $135,752 $147,471
Ratio of expenses to average net assets
with waivers and reimbursements .......... 1.35%(3) 1.35% 1.35% 1.35% 1.35% 1.35%
Ratio of expenses to average net assets
without waivers and reimbursements ....... 1.59%(3) 1.62% 1.67% 1.54% 1.53% 1.53%
Ratio of net investment loss to
average net assets ....................... (0.67)%(3) (0.58)% (0.56)% (0.74)% (0.40)% (0.65)%
Portfolio turnover rate ..................... 138.80%(2) 196.03% 159.14% 162.10% 142.45% 126.64%
---------
* 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) Not Annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
17
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen 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 one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION -- The Fund's 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 Fund are valued using the closing price or the last sale
price on a national securities exchange or the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed income securities having a remaining
maturity of 60 days or less are amortized to maturity based on their cost.
Investments in other open-end investment companies are valued based on the NAV
of those investment companies (which may use fair value pricing as discussed in
their prospectuses). If market quotations are unavailable or deemed unreliable,
securities will be valued in accordance with procedures adopted by the
Company's Board of Directors. Relying on prices supplied by pricing services or
dealers or using fair valuation may result in values that are higher or lower
than the values used by other investment companies and investors to price the
same investments.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to
measure fair value of the Fund's investments are summarized into three levels as
described below:
- Level 1 - unadjusted quoted prices in active markets for identical
securities
- Level 2 - other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit
risk, etc.)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
18
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such investments may be subject to
legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Levels 1, 2 and 3 for the Fund.
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Fund's investments as of February 28,
2011 is included with the Fund's Portfolio of Investments.
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 and those differences could be significant.
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 of the Company are
charged directly to the class, fund or fund family (in proportion to net
assets). Expenses incurred for all of the RBB funds (such as director or
professional fees) are charged to all funds in proportion to their average net
assets of RBB, or in such other manner as the Company's Board of Directors deems
fair or equitable. Expenses and fees, including investment advisory and
administration fees, are accrued daily for the purpose of determining the NAV 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 the
ex-dividend 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.
19
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
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.
CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited
into bank demand deposit accounts to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
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 from such claims is considered remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Bogle Investment Management, L.P. (the "Adviser" or "Bogle") serves as the
Fund's investment adviser. For its advisory services, the Adviser is entitled to
receive a monthly fee from the Fund calculated at an annual rate of 1.00% of the
Fund's average daily net assets.
The Adviser has contractually agreed to limit the Fund's total operating
expenses (other than acquired fund fees and expenses, brokerage commissions,
extraordinary items, interest and taxes) through December 31, 2011 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-month period ended February 28, 2011,
investment advisory fees and waivers of the Fund were as follows:
GROSS NET
ADVISORY FEES WAIVERS ADVISORY FEES
------------- --------- -------------
$509,289 $(113,662) $395,627
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 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.
BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as
administrator for the Fund. For providing administrative and accounting
services, BNY Mellon is entitled to receive a monthly fee equal to an annual
percentage rate of the Fund's average daily net assets, subject to certain
minimum monthly fees.
20
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
BNY Mellon has voluntarily agreed to waive a portion of its administration
and accounting fees for the Fund. For the six-month period ended February 28,
2011, administration and accounting fees and waivers of the Fund were as
follows:
GROSS ADMINISTRATION NET ADMINISTRATION
AND ACCOUNTING AND ACCOUNTING
FEES WAIVERS FEES
-------------------- ------- ------------------
$76,440 $(6,366) $70,074
For providing regulatory administration services to RBB, BNY Mellon is
entitled to receive compensation as agreed to by the Company and BNY Mellon.
This fee is allocated to each portfolio in proportion to its net assets of the
Company.
In addition, BNY Mellon serves as the Fund's transfer and dividend
disbursing agent. For providing transfer agent services, BNY Mellon is entitled
to receive a monthly fee equal to an annual percentage rate of the Fund's
average daily net assets and is subject to certain minimum monthly fees.
For providing custodial services to the Fund, PFPC Trust Company, a member
of The Bank of New York Mellon Corporation, is entitled to receive a monthly fee
equal to an annual percentage rate of the Fund's average daily net assets
subject to certain minimum monthly fees.
BNY Mellon Distributors Inc. serves as the principal underwriter and
distributor of the Fund's shares pursuant to a Distribution Agreement with RBB.
The Fund will not pay The Bank of New York Mellon Corporation or any of its
members or BNY Mellon's affiliates at a later time for any amounts waived or any
amounts assumed.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Fund during the six-month period ended February 28, 2011 was
$6,600. Certain employees of BNY Mellon are Officers of the Company. They are
not compensated by the Fund or the Company.
4. INVESTMENT IN SECURITIES
For the six-month period ended February 28, 2011, aggregate purchases and
sales of investment securities (excluding short-term investments) of the Fund
were as follows:
INVESTMENT SECURITIES
---------------------------
PURCHASES SALES
------------ ------------
$146,640,938 $139,582,135
21
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2011, 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.
As of February 28, 2011, the Fund had two shareholder accounts and/or
omnibus accounts (comprised of a group of individual shareholders) that held 31%
of the total shares outstanding of the Fund.
6. FEDERAL INCOME TAX INFORMATION
Management has analyzed the Fund's tax positions taken on federal income
tax returns for all open tax years (current and prior three tax years), and has
concluded that no provision for federal income tax is required in the Fund's
financial statements. The Fund's federal and state income and federal excise tax
returns for tax years for which the applicable statutes of limitations have not
expired are subject to examination by the Internal Revenue Service and state
departments of revenue.
As of February 28, 2011, 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 DEPRECIATION
------------ ------------ ------------ --------------
$109,937,906 $15,360,691 $(2,062,615) $13,298,076
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
There were no dividends or distributions paid during the fiscal year ended
August 31, 2010. Dividends from net investment income and short-term capital
gains are treated as ordinary income dividends for federal income tax purposes.
As of August 31, 2010, the Fund had a capital loss carryforward of
$65,547,173 available to offset future capital gains. This capital loss
carryforward will expire as follows:
August 31, 2018 ........... $26,317,731
August 31, 2017 ........... $36,842,815
August 31, 2016 ........... $ 2,386,627
22
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
(UNAUDITED)
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, 2010, the Fund did not
incur a net post-October capital loss.
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are currently effective for interim and annual
reporting periods beginning after December 15, 2009, and other required
disclosures are effective for fiscal years beginning after December 15, 2010,
and for interim periods within those fiscal years. Management has evaluated the
impact and has incorporated the appropriate disclosures required by ASU No.
2010-06 in its financial statement disclosures.
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Fund
though the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
23
BOGLE INVESTMENT MANAGEMENT
SMALL CAP GROWTH FUND
OTHER INFORMATION
(UNAUDITED)
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.
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 (202) 551-8090.
24
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INVESTMENT ADVISER
Bogle Investment Management, L.P.
2310 Washington Street
Suite 310
Newton Lower Falls, MA 02462
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
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, Ste. 2000
Philadelphia, PA 19103-6996
BOGLE
INVESTMENT
MANAGEMENT
SMALL CAP
GROWTH FUND
OF THE RBB FUND, INC.
SEMIANNUAL REPORT
FEBRUARY 28, 2011
(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.
FREE MARKET FUNDS
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT
FEBRUARY 28, 2011
(UNAUDITED)
Dear Fellow Shareholder,
The Free Market Mutual Funds (the "Funds") have steadily gained assets
since their start and are collectively approaching the $2 billion mark. We would
like to extend a warm and grateful thank you to all investors who have embraced
our Free Market Portfolio Strategies.
Over the past six months ended February 28, 2011, investors who remained
invested have continued to experience the gains from the upward rally that
started March 9, 2009. Global equity markets over the past six months have risen
24.75% as measured by the MSCI All Country World Index. Furthermore, U.S. Small
stocks and U.S. Small Value stocks led the way with double digit returns over
the past half a year. However, the majority of all the equity asset classes
experienced double digit returns for the period. The Barclays Capital US
Government/Credit Intermediate Bond Index slipped slightly with returns of
-0.62% for the last six months.
Matson Money, Inc. ("Matson Money") strives to deliver the performance of
capital markets and add value through Free Market Investment strategies and
Structured Market Portfolios. Grounded in the conviction that Free Markets work,
Matson Money avoids the cost-generating activity of stock picking and market
timing. Instead, we focus on the dimensions of capital markets that we believe
reward investors as intelligently and effectively as possible. Our disciplined
approach to lifelong investing provides both the individual investor and the
financial professional with the academic foundation upon which to help achieve
investment goals.
Sound economic and financial research has documented that, over the long
term, small cap stocks outperform large cap stocks, and value stocks outperform
growth stocks. These returns seem to be compensation for risk. In fixed income,
risk is well described by bond maturity and credit quality. Matson Money's
vehicles deliberately target specific risk and return trade offs. The Funds are
broadly diversified and designed to work together in your total investment plan.
We invite you to contact your financial professional or explore our
website, www.MyMatrix.cc, to learn more about the concepts and strategies of
Matson Money's investing.
We appreciate your support and confidence in our firm's investment
philosophy, process and people.
/s/ Daniel J List
Daniel J List
Chief Compliance Officer and
Director of Portfolio Management
Matson Money, Inc.
1
FREE MARKET FUNDS
PERFORMANCE DATA
(UNAUDITED)
FREE MARKET U.S. EQUITY FUND
Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL
-----------------------------
SIX ONE THREE SINCE
MONTHS* YEAR YEAR INCEPTION**
------- ----- ----- -----------
FREE MARKET U.S. EQUITY FUND 36.51%*** 30.62%*** 5.45% 5.99%
RUSSELL 2500(R) INDEX 36.04% 32.74% 7.80% 4.18%
COMPOSITE INDEX 31.70% 26.76% 4.33% 1.11%
* Not annualized.
** The Fund commenced operations on December 31, 2007.
*** Due to recent market conditions, the Fund has experienced relatively high
performance which might not be sustainable or repeated in the future.
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. 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. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING
EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.01% (INCLUDED IN THE RATIO
IS 0.34%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES).
The Fund's aggregate total return since inception is based on an increase in net
asset value from $10.00 per share on December 31, 2007 (commencement of
operations) to $11.74 per share on February 28, 2011.
Portfolio composition is subject to change.
The Free Market U.S. Equity Fund's underlying funds invest in small-cap and
micro-cap stocks, large-cap stocks and other equity securities. In addition to
the ordinary risks of equity investing, small companies entail special risk.
Small companies tend to have more risk than large companies. An investor in the
Fund will incur the expenses of the underlying funds in addition to the Fund
expenses.
FREE MARKET INTERNATIONAL EQUITY FUND
Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL
-----------------------------
SIX ONE THREE SINCE
MONTHS* YEAR YEAR INCEPTION**
------- ----- ----- -----------
FREE MARKET INTERNATIONAL EQUITY FUND 26.73%*** 25.62%*** 1.24% 1.37%
MSCI WORLD (EXCLUDING U.S.) INDEX 24.42% 21.22% -2.04% -4.27%
COMPOSITE INDEX 22.56% 22.27% -0.71% -3.01%
* Not annualized.
** The Fund commenced operations on December 31, 2007.
*** Due to recent market conditions, the Fund has experienced relatively high
performance which might not be sustainable or repeated in the future.
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. 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. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING
EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.21% (INCLUDED IN THE RATIO
IS 0.53%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES).
The Fund's aggregate total return since inception is based on a decrease in net
asset value from $10.00 per share on December 31, 2007 (commencement of
operations) to $9.97 per share on February 28, 2011.
Portfolio composition is subject to change.
2
FREE MARKET FUNDS
PERFORMANCE DATA
(UNAUDITED)
The Free Market International Equity Fund's underlying funds invest in common
stock, preferred stock, securities convertible into stocks and other equity
securities issued by foreign companies. In addition to the ordinary risks of
equity investing, foreign and small companies entail special risk. The return on
foreign equities may be adversely affected by currency fluctuations. Emerging
markets may be subject to social instability and lack of market liquidity. Small
companies tend to have more risk than large companies. An investor in the Fund
will incur the expenses of the underlying funds in addition to the Fund
expenses.
FREE MARKET FIXED INCOME FUND
Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL
--------------------------
SIX ONE THREE SINCE
MONTHS* YEAR YEAR INCEPTION**
------- ---- ----- -----------
FREE MARKET FIXED INCOME FUND -0.74% 1.83% 2.66% 2.65%
CITIGROUP WORLD GOVT. BOND 1-5 YEAR
CURRENCY HEDGED U.S. DOLLAR INDEX -0.74% 1.01% 2.81% 3.36%
COMPOSITE INDEX -0.43% 2.64% 3.21% 3.73%
* Not annualized.
** The Fund commenced operations on December 31, 2007.
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. 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. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING
EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 0.90% (INCLUDED IN THE RATIO
IS 0.22%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES).
The Fund's aggregate total return since inception is based on an increase in net
asset value from $10.00 per share on December 31, 2007 (commencement of
operations) to $10.25 per share on February 28, 2011.
Portfolio composition is subject to change.
The Free Market Fixed Income Fund's underlying funds invest in fixed income
securities. The underlying funds may invest their assets in bonds and other debt
securities issued by domestic and foreign governments and companies. Debt
instruments involve the risk that their prices will fall when interest rates
rise, and they are subject to the risk that the borrower may default. In
addition, the return on foreign debt securities may be adversely affected by
currency fluctuations. An investor in the Fund will incur the expenses of the
underlying funds in addition to the Fund expenses.
3
FREE MARKET FUNDS
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 six-month period from September 1, 2010 through February 28, 2011, 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 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.
FREE MARKET U.S. EQUITY FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $1,365.10 $3.81
Hypothetical (5% return before expenses) 1,000.00 1,021.53 3.26
FREE MARKET INTERNATIONAL EQUITY FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $1,267.30 $3.71
Hypothetical (5% return before expenses) 1,000.00 1,021.48 3.31
4
FREE MARKET FUNDS
FUND EXPENSE EXAMPLES (CONCLUDED)
(UNAUDITED)
FREE MARKET FIXED INCOME FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $ 992.60 $3.26
Hypothetical (5% return before expenses) 1,000.00 1,021.48 3.31
* Expenses are equal to an annualized six-month expense ratio of 0.65% for
the Free Market U.S. Equity Fund, 0.66% for the Free Market International
Equity Fund and 0.66% for the Free Market Fixed Income Fund, 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 annualized expense ratios do not reflect fees
and expenses associated with the underlying funds. If such fees and
expenses had been included, the expenses would have been higher. The range
of weighted expense ratios of the underlying funds held by the Funds, as
stated in their current prospectuses, were as follows:
FREE MARKET U.S. FREE MARKET INTERNATIONAL FREE MARKET FIXED
EQUITY FUND EQUITY FUND INCOME FUND
---------------- ------------------------- -----------------
0.10%-0.54% 0.28%-0.80% 0.15%-0.30%
Each Fund's ending account values on the first line in each table are based on
the actual six-month total return for each Fund of 36.51% for the Free Market
U.S. Equity Fund, 26.73% for the Free Market International Equity Fund and
-0.74% for the Free Market Fixed Income Fund.
5
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------- ---------------
EQUITY FUNDS -- 99.9%
U.S. Large Cap Value Portfolio III(a) ............ 12,726,467 $ 213,295,580
U.S. Large Company Portfolio(a) .................. 10,123,440 106,093,646
U.S. Micro Cap Portfolio(b) ...................... 7,385,091 106,493,018
U.S. Small Cap Portfolio(b) ...................... 4,729,851 106,800,025
U.S. Small Cap Value Portfolio(b) ................ 6,556,325 178,725,428
---------------
TOTAL EQUITY FUNDS
(Cost $537,215,638) ........................... 711,407,697
---------------
TOTAL INVESTMENTS -- 99.9%
(Cost $537,215,638) ........................... 711,407,697
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% .... 796,589
---------------
NET ASSETS -- 100.0% ............................. $ 712,204,286
===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET
ASSETS VALUE
--------------- ---------------
Equity Funds ..................................... 99.9% $ 711,407,697
Other Assets In Excess of Liabilities ............ 0.1% 796,589
----- ---------------
NET ASSETS ....................................... 100.0% $ 712,204,286
===== ===============
----------
(a) A portfolio of Dimensional Investment Group Inc.
(b) A portfolio of DFA Investment Dimensions Group Inc.
Portfolio holdings are subject to change at any time.
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's assets carried at value (See Note 1 in Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUT INPUT
----------------- ------------ ----------- ------------
Investments in Securities* $711,407,697 $711,407,697 $-- $--
============ ============ === ===
* Please refer to the Portfolio of Investments for further details.
The accompanying notes are an integral part of the financial statements.
6
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------- ---------------
INTERNATIONAL EQUITY FUNDS -- 99.8%
Asia Pacific Small Company Portfolio(a) .......... 387,393 $ 10,223,300
Continental Small Company Portfolio(a) ........... 1,173,077 21,502,504
DFA International Small Cap Value
Portfolio(a) .................................. 11,381,788 205,668,903
DFA International Value Portfolio III(b) ......... 8,315,674 154,006,288
Emerging Markets Portfolio(a) .................... 905,221 26,830,752
Emerging Markets Small Cap Portfolio(a) .......... 1,110,883 24,839,339
Emerging Markets Value Portfolio(a) .............. 722,680 24,889,084
Japanese Small Company Portfolio(a) .............. 612,383 10,288,029
Large Cap International Portfolio(a) ............. 1,215,453 25,718,979
United Kingdom Small Company Portfolio(a) ........ 331,404 8,705,996
---------------
TOTAL INTERNATIONAL EQUITY FUNDS
(Cost $418,621,277) ........................... 512,673,174
---------------
TOTAL INVESTMENTS -- 99.8%
(Cost $418,621,277) ........................... 512,673,174
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% .... 899,143
---------------
NET ASSETS -- 100.0% ............................. $ 513,572,317
===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET
ASSETS VALUE
--------------- ---------------
International Equity Funds ....................... 99.8% $ 512,673,174
Other Assets In Excess of Liabilities ............ 0.2% 899,143
----- ---------------
NET ASSETS ....................................... 100.0% $ 513,572,317
===== ===============
----------
(a) A portfolio of DFA Investment Dimensions Group Inc.
(b) A portfolio of Dimensional Investment Group Inc.
Portfolio holdings are subject to change at any time.
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's assets carried at value (See Note 1 in Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUT INPUT
----------------- ------------ ----------- ------------
Investments in Securities* $512,673,174 $512,673,174 $-- $--
============ ============ === ===
* Please refer to the Portfolio of Investments for further details.
The accompanying notes are an integral part of the financial statements.
7
FREE MARKET FUNDS
FREE MARKET FIXED INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------------- ---------------
FIXED INCOME FUNDS -- 99.8%
DFA Five-Year Global Fixed Income
Portfolio(a) .................................. 12,935,245 $ 140,994,172
DFA Short-Term Government Portfolio(a) ........... 4,169,765 44,950,067
DFA Inflation-Protected Securities
Portfolio(a) .................................. 2,467,880 28,207,870
DFA Intermediate Government Fixed Income
Portfolio(a) .................................. 5,499,744 67,591,848
DFA One-Year Fixed Income Portfolio(a) ........... 13,552,833 140,000,768
DFA Two-Year Global Fixed Income Portfolio(a) .... 13,848,336 140,699,091
---------------
TOTAL FIXED INCOME FUNDS
(Cost $564,138,849) ........................... 562,443,816
---------------
TOTAL INVESTMENTS -- 99.8%
(Cost $564,138,849) ........................... 562,443,816
---------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% .... 1,062,010
---------------
NET ASSETS -- 100.0% ............................. $ 563,505,826
===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET
ASSETS VALUE
--------------- ---------------
Fixed Income Funds ............................... 99.8% $ 562,443,816
Other Assets In Excess of Liabilities ............ 0.2% 1,062,010
----- ---------------
NET ASSETS ....................................... 100.0% $ 563,505,826
===== ===============
----------
(a) A portfolio of DFA Investment Dimensions Group Inc.
Portfolio holdings are subject to change at any time.
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's assets carried at value (See Note 1 in Notes to Financial
Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUT INPUT
----------------- ------------ ----------- ------------
Investments in Securities* $562,443,816 $562,443,816 $-- $--
============ ============ === ===
* Please refer to the Portfolio of Investments for further details.
The accompanying notes are an integral part of the financial statements.
8
FREE MARKET FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011 (UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET
U.S. EQUITY INTERNATIONAL FIXED INCOME
FUND EQUITY FUND FUND
------------ ------------- ------------
ASSETS
Investments in non-affiliated funds, at value + ............. $711,407,697 $512,673,174 $562,443,816
Cash and cash equivalents ................................... 458,124 603,389 255,783
Receivables
Receivable for investments sold .......................... -- -- 195,103
Receivable for capital shares sold ....................... 1,025,272 787,008 950,207
Dividends and interest receivable ........................ 400 268 27
Prepaid expenses and other assets ........................... 36,908 32,581 33,472
------------ ------------ ------------
Total assets .......................................... 712,928,401 514,096,420 563,878,408
------------ ------------ ------------
LIABILITIES
Payables
Investments purchased .................................... -- 95,000 --
Capital shares redeemed .................................. 377,719 167,538 92,658
Investment adviser ....................................... 268,042 194,157 212,850
Administration and accounting fees ....................... 50,665 40,099 42,741
Other accrued expenses and liabilities ...................... 27,689 27,309 24,333
------------ ------------ ------------
Total liabilities ..................................... 724,115 524,103 372,582
------------ ------------ ------------
Net Assets .................................................. $712,204,286 $513,572,317 $563,505,826
============ ============ ============
NET ASSETS CONSISTS OF
Par value ................................................... $ 60,646 $ 51,490 $ 54,953
Paid-in capital ............................................. 540,375,374 419,647,222 562,716,458
Accumulated net investment loss ............................. (719,649) (562,497) (2,129,692)
Accumulated net realized gain/(loss) from investments ....... (1,704,144) 384,205 4,559,140
Net unrealized appreciation/(depreciation) on investments ... 174,192,059 94,051,897 (1,695,033)
------------ ------------ ------------
Net Assets .................................................. $712,204,286 $513,572,317 $563,505,826
============ ============ ============
Shares outstanding ($0.001 par value, 100,000,000
shares authorized) ....................................... 60,645,716 51,490,414 54,952,971
------------ ------------ ------------
Net asset value, offering and redemption price per share .... $ 11.74 $ 9.97 $ 10.25
============ ============ ============
+ Investment in non-affiliated funds, at cost ............... $537,215,638 $418,621,277 $564,138,849
============ ============ ============
The accompanying notes are an integral part of the financial statements.
9
FREE MARKET FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET
U.S. EQUITY INTERNATIONAL FIXED INCOME
FUND EQUITY FUND FUND
------------ ------------- ------------
INVESTMENT INCOME
Dividends from non-affiliated funds ......................... $ 5,057,999 $ 4,186,407 $ 7,626,639
Interest from non-affiliated funds .......................... 151 137 138
------------ ------------ ------------
Total investment income .................................. 5,058,150 4,186,544 7,626,777
------------ ------------ ------------
EXPENSES
Advisory fees (Note 2) ...................................... 1,532,577 1,118,302 1,249,710
Administration and accounting fees (Note 2) ................. 320,860 249,758 275,483
Professional fees ........................................... 42,587 35,317 40,069
Directors' and officers' fees ............................... 38,733 29,843 33,343
Printing and shareholder reporting fees ..................... 12,107 11,056 10,239
Transfer agent fees (Note 2) ................................ 7,439 7,439 7,186
Custodian fees (Note 2) ..................................... 5,013 6,441 8,991
Other expenses .............................................. 25,077 24,154 23,108
------------ ------------ ------------
Total expenses ........................................... 1,984,393 1,482,310 1,648,129
------------ ------------ ------------
Net investment income ....................................... 3,073,757 2,704,234 5,978,648
------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
NET REALIZED GAIN/(LOSS) FROM:
Non-affiliated funds ..................................... 1,536,773 (291,011) 47,276
Capital gain distributions from non-affiliated fund
investments ........................................... -- 6,117,170 4,662,503
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Non-affiliated funds ..................................... 179,814,536 92,896,786 (14,117,319)
------------ ------------ ------------
Net realized and unrealized gain/(loss) on investments ...... 181,351,309 98,722,945 (9,407,540)
------------ ------------ ------------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM
OPERATIONS .................................................. $184,425,066 $101,427,179 $ (3,428,892)
============ ============ ============
The accompanying notes are an integral part of the financial statements.
10
FREE MARKET U.S. EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ---------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ...................................................... $ 3,073,757 $ 946,302
Net realized gain/(loss) from investments .................................. 1,536,773 (1,664,650)
Net change in unrealized appreciation (depreciation) from investments ...... 179,814,536 12,498,101
------------ ------------
Net increase/(decrease) in net assets resulting from operations ............... 184,425,066 11,779,753
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................................... (3,793,406) (1,601,122)
Net realized capital gains ................................................. (18,738) --
Return of capital .......................................................... -- (327,363)
------------ ------------
Net decrease in net assets from dividends and distributions to shareholders ... (3,812,144) (1,928,485)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold .................................................. 110,054,572 239,392,683
Reinvestment of distributions .............................................. 3,812,144 1,928,485
Shares redeemed ............................................................ (67,466,343) (78,085,179)
------------ ------------
Net increase in net assets from capital shares ................................ 46,400,373 163,235,989
------------ ------------
Total increase in net assets .................................................. 227,013,295 173,087,257
NET ASSETS:
Beginning of period ........................................................ 485,190,991 312,103,734
------------ ------------
End of period .............................................................. $712,204,286 $485,190,991
============ ============
Undistributed / accumulated net investment income (loss), end of period ....... $ (719,649) $ --
============ ============
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................................ 10,450,433 26,371,487
Shares reinvested .......................................................... 345,930 216,684
Shares redeemed ............................................................ (6,256,593) (8,483,879)
------------ ------------
Total share transactions ...................................................... 4,539,770 18,104,292
============ ============
The accompanying notes are an integral part of the financial statements.
11
FREE MARKET INTERNATIONAL EQUITY FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ----------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ...................................................... $ 2,704,234 $ 4,041,960
Net realized gain/(loss) from investments .................................. 5,826,159 (4,118,689)
Net change in unrealized appreciation (depreciation) from investments ...... 92,896,786 148,229
------------ ------------
Net increase/(decrease) in net assets resulting from operations ............... 101,427,179 71,500
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................................... (6,163,601) (3,144,188)
Net realized capital gains ................................................. -- (1,183,603)
------------ ------------
Net decrease in net assets from dividends and distributions to shareholders ... (6,163,601) (4,327,791)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold .................................................. 82,924,579 177,149,715
Reinvestment of distributions .............................................. 6,163,601 4,327,791
Shares redeemed ............................................................ (36,244,640) (70,388,120)
------------ ------------
Net increase in net assets from capital shares ................................ 52,843,540 111,089,386
------------ ------------
Total increase in net assets .................................................. 148,107,118 106,833,095
NET ASSETS:
Beginning of period ........................................................ 365,465,199 258,632,104
------------ ------------
End of period .............................................................. $513,572,317 $365,465,199
============ ============
Undistributed / accumulated net investment income (loss), end of period ....... $ (562,497) $ 2,896,870
============ ============
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................................ 8,870,368 21,412,066
Shares reinvested .......................................................... 643,382 517,060
Shares redeemed ............................................................ (3,861,671) (8,352,036)
------------ ------------
Total share transactions ...................................................... 5,652,079 13,577,090
============ ============
The accompanying notes are an integral part of the financial statements.
12
FREE MARKET FIXED INCOME FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ----------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ...................................................... $ 5,978,648 $ 4,452,311
Net realized gain/(loss) from investments .................................. 4,709,779 577,583
Net change in unrealized appreciation (depreciation) from investments ...... (14,117,319) 9,412,700
------------ ------------
Net increase/(decrease) in net assets resulting from operations ............... (3,428,892) 14,442,594
------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................................... (8,108,340) (6,051,846)
Net realized capital gains ................................................. (232,406) (1,159,271)
------------ ------------
Net decrease in net assets from dividends and distributions to shareholders ... (8,340,746) (7,211,117)
------------ ------------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares sold .................................................. 143,809,759 288,483,371
Reinvestment of distributions .............................................. 8,340,746 7,211,117
Shares redeemed ............................................................ (36,156,803) (53,751,044)
------------ ------------
Net increase in net assets from capital shares ................................ 115,993,702 241,943,444
------------ ------------
Total increase in net assets .................................................. 104,224,064 249,174,921
NET ASSETS:
Beginning of period ........................................................ 459,281,762 210,106,841
------------ ------------
End of period .............................................................. $563,505,826 $459,281,762
============ ============
Undistributed / accumulated net investment income (loss), end of period ....... $ (2,129,692) $ --
============ ============
CAPITAL SHARE TRANSACTIONS:
Shares sold ................................................................ 13,879,066 27,950,700
Shares reinvested .......................................................... 809,022 707,254
Shares redeemed ............................................................ (3,483,743) (5,205,656)
------------ ------------
Total share transactions ...................................................... 11,204,345 23,452,298
============ ============
The accompanying notes are an integral part of the financial statements.
13
FREE MARKET FUNDS
FREE MARKET U.S. EQUITY 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 FOR THE PERIOD
ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1)
FEBRUARY 28, 2011 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008
------------------ --------------- --------------- --------------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................ $ 8.65 $ 8.21 $ 10.29 $ 10.00
-------- -------- -------- --------
Net investment income ............................... 0.05(2) 0.02(2) 0.10(2) --(3)
Net realized and unrealized gain/(loss) on
investments ...................................... 3.10 0.46 (2.09) 0.29
-------- -------- -------- --------
Net increase/(decrease) in net assets resulting
from operations .................................. 3.15 0.48 (1.99) 0.29
-------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ............................... (0.06) (0.03) (0.09) --
Net realized capital gains .......................... --(4) -- -- --
Tax return of capital ............................... -- (0.01) -- --
-------- -------- -------- --------
Total dividends and distributions to shareholders ... (0.06) (0.04) (0.09) --
-------- -------- -------- --------
Net asset value, end of period ...................... $ 11.74 $ 8.65 $ 8.21 $ 10.29
======== ======== ======== ========
Total investment return(5) .......................... 36.51%(6) 5.88% (19.19)% 2.90%(6)
======== ======== ======== ========
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $712,204 $485,191 $312,104 $187,039
Ratio of expenses to average net assets(7) .......... 0.65%(8) 0.67% 0.72% 0.84%(8)
Ratio of net investment income to average net
assets(7) ........................................ 1.00%(8) 0.22% 1.37% 0.02%(8)
Portfolio turnover rate ............................. 4%(6) 3% 1% 0%(6)
----------
(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares
outstanding method for the period.
(3) Amount less than $0.005 per share.
(4) Amount less than $(0.005) per share.
(5) Total investment return is calculated by 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.
(6) Not annualized.
(7) The Fund also will indirectly bear its prorated share of expenses of the
underlying funds. Such expenses are not included in the calculation of this
ratio.
(8) Annualized.
The accompanying notes are an integral part of the financial statements.
14
FREE MARKET FUNDS
FREE MARKET INTERNATIONAL EQUITY 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 FOR THE PERIOD
ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1)
FEBRUARY 28, 2011 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008
------------------ --------------- --------------- --------------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................ $ 7.97 $ 8.02 $ 8.85 $ 10.00
-------- -------- -------- --------
Net investment income ............................... 0.06(2) 0.11(2) 0.13(2) 0.08
Net realized and unrealized gain/(loss) on
investments ...................................... 2.07 (0.04) (0.85) (1.23)
-------- -------- -------- --------
Net increase/(decrease) in net assets resulting
from operations .................................. 2.13 0.07 (0.72) (1.15)
-------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ............................... (0.13) (0.09) (0.11) --
Net realized capital gains .......................... -- (0.03) -- --
-------- -------- -------- --------
Total dividends and distributions to shareholders ... (0.13) (0.12) (0.11) --
-------- -------- -------- --------
Net asset value, end of period ...................... $ 9.97 $ 7.97 $ 8.02 $ 8.85
======== ======== ======== ========
Total investment return(3) .......................... 26.73%(4) 0.86% (7.71)% (11.50)%(4)
======== ======== ======== ========
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $513,572 $365,465 $258,632 $130,821
Ratio of expenses to average net assets(5) .......... 0.66%(6) 0.68% 0.73% 0.92%(6)
Ratio of net investment income to average
net assets(5) .................................... 1.21%(6) 1.29% 2.01% 2.94%(6)
Portfolio turnover rate ............................. 1%(4) 8% 2% 0%(4)
----------
(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares
outstanding method for the period.
(3) Total investment return is calculated by 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.
(4) Not annualized.
(5) The Fund also will indirectly bear its prorated share of expenses of the
underlying funds. Such expenses are not included in the calculation of this
ratio.
(6) Annualized.
The accompanying notes are an integral part of the financial statements.
15
FREE MARKET FUNDS
FREE MARKET FIXED INCOME 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 FOR THE PERIOD
ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1)
FEBRUARY 28, 2011 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008
------------------ --------------- --------------- --------------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ................ $ 10.50 $ 10.35 $ 10.04 $ 10.00
-------- -------- -------- --------
Net investment income ............................... 0.13(2) 0.13(2) 0.21(2) 0.02
Net realized and unrealized gain on investments ..... (0.21) 0.27 0.25 0.04
-------- -------- -------- --------
Net increase/(decrease) in net assets resulting
from operations .................................. (0.08) 0.40 0.46 0.06
-------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ............................... (0.17) (0.21) (0.15) (0.02)
Net realized capital gains .......................... --(3) (0.04) -- --
Tax return of capital ............................... -- -- -- --(3)
-------- -------- -------- --------
Total dividends and distributions to shareholders ... (0.17) (0.25) (0.15) (0.02)
-------- -------- -------- --------
Net asset value, end of period ...................... $ 10.25 $ 10.50 $ 10.35 $ 10.04
======== ======== ======== ========
Total investment return(4) .......................... (0.74)%(5) 3.96% 4.62% 0.61%(5)
======== ======== ======== ========
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $536,506 $459,282 $210,107 $128,982
Ratio of expenses to average net assets(6) .......... 0.66%(7) 0.68% 0.75% 0.97%(7)
Ratio of net investment income to average
net assets(6) .................................... 2.39%(7) 1.31% 2.06% 0.26%(7)
Portfolio turnover rate ............................. 0%(5) 1% 84% 0%(5)
----------
(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares
outstanding method for the period.
(3) Amount less than $(0.005) per share.
(4) Total investment return is calculated by 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.
(5) Not annualized.
(6) The Fund also will indirectly bear its prorated share of expenses of the
underlying funds. Such expenses are not included in the calculation of this
ratio.
(7) Annualized.
The accompanying notes are an integral part of the financial statements.
16
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active investment portfolios, including
the Free Market U.S. Equity Fund, Free Market International Equity Fund, and the
Free Market Fixed Income Fund (each a "Fund," collectively the "Funds"). Each
Fund operates as a "Fund of Funds" and commenced investment operations on
December 31, 2007.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION -- Investments in the underlying funds are valued at
each fund's net asset value determined as of the close of business on the New
York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some
securities and assets may be valued at fair value as determined in good faith by
the Company's Board of Directors. Direct investments in fixed income securities
having a remaining maturity of 60 days or less are valued at amortized cost,
which approximates market value.
Fair Value Measurements -- The inputs and valuations techniques used to
measure fair value of the Funds' investments are summarized into three levels as
described below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Funds' investments as of February 28,
2011 is included with each Fund's Portfolio of Investments.
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such
17
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
investments may be subject to legal and other restrictions on resale or
otherwise less liquid than publicly traded securities. For the six months ended
February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the
Fund.
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 and those differences could be significant.
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 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. Each Fund's investment income, expenses and unrealized and
realized gains and losses are allocated daily. Expenses incurred on behalf of a
specific class, fund or fund family of the Company are charged directly to the
class, fund or fund family (in proportion to net assets). Expenses incurred for
all of the RBB funds (such as director or professional fees) are charged to all
funds in proportion to their average net assets of RBB, 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. In
addition to the net annual operating expenses that the Funds bear directly, the
shareholders indirectly bear the Fund's pro-rata expenses of the underlying
mutual funds in which each Fund invests.
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-dividend
date for all Funds with the exception of the Free Market Fixed Income Fund which
declares and pays quarterly 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 U.S. generally accepted
accounting principles.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each
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.
CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited
with a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
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
18
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
future, and, therefore, cannot be estimated; however, based on experience, the
risk of material loss for such claims is considered remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Matson Money, Inc. ("Matson Money" or the "Adviser"), serves as each Fund's
investment adviser. For its advisory services, Matson Money is entitled to
receive 0.50% of each Fund's average daily net assets, computed daily and
payable monthly. The Adviser has voluntarily agreed to waive its advisory fee
and/or reimburse certain expenses in order to limit total annual fund operating
expenses of Free Market U.S. Equity Fund, Free Market International Equity Fund
and the Free Market Fixed Income Fund to 1.13%, 1.35% and 1.00%, respectively,
of the particular Fund's average daily net assets. The expense limitations
include expenses incurred as a result of investing in other investment
companies. The Adviser may discontinue these arrangements at any time.
The Funds will not pay Matson Money at a later time for any amounts they
may waive or any amounts that Matson Money has assumed.
BNY Mellon Investment Servicing (US) Inc. ("BNY"), a member of Bank of New
York Mellon Corporation ("BNY Mellon") serves as administrator for the Funds.
Administration and accounting fees accrued also include transfer agent,
custodian fees and administrative service fees. For providing administrative and
accounting services, BNY Mellon is entitled to receive a monthly fee equal to an
annual percentage rate of the Fund's average daily net assets and is subject to
certain minimum monthly fees.
Included in the administration and accounting fees are fees for providing
regulatory administration services to RBB. For providing these services, BNY
Mellon is entitled to receive compensation as agreed to by the Company and BNY
Mellon. This fee is allocated to each portfolio in proportion to its assets of
the Company.
For providing transfer agent services, BNY is entitled to receive
out-of-pocket expenses.
For providing custodian services to the Funds, PFPC Trust Company, a member
of BNY Mellon, is entitled to receive out of pocket expenses.
BNY Mellon Distributors Inc., a member of BNY Mellon, serves as the
principal underwriter and distributor of the Funds' shares pursuant to a
Distribution Agreement with RBB.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The aggregate remuneration paid to
the Directors by the Funds during the six months ended February 28, 2011 was
$79,136. Certain employees of BNY Mellon are Officers of the Company. They are
not compensated by the Funds or the Company.
19
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding short-term investments) of the Funds were
as follows:
PURCHASES SALES
------------ -----------
Free Market U.S. Equity Fund $ 69,428,013 $24,266,151
Free Market International Equity Fund 59,788,720 4,932,218
Free Market Fixed Income Fund 119,635,316 1,946,201
5. CAPITAL SHARE TRANSACTION
As of February 28, 2011, each Fund has 100,000,000 shares of $0.001 per
value common stock authorized.
As of February 28, 2011, 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.
Free Market U.S. Equity Fund (2 shareholders) 98%
Free Market International Equity Fund (2 shareholders) 98%
Free Market Fixed Income Fund (2 shareholders) 99%
6. FEDERAL INCOME TAX INFORMATION
Management has analyzed each Fund's tax positions taken on federal income
tax returns for all open tax years (tax years August 31, 2007-2010) and has
concluded that no provision for federal income tax is required in the Funds'
financial statements. The Funds' federal and state income and federal excise tax
returns for tax years for which the applicable statutes of limitations have not
expired are subject to examination by the Internal Revenue Service and state
departments of revenue.
As of February 28, 2011, federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by each Fund were as follows:
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
Free Market U.S. Equity Fund $537,215,638 $174,192,059 $ -- $174,192,059
Free Market International Equity Fund 418,621,277 94,051,897 -- 94,051,897
Free Market Fixed Income Fund 564,138,849 1,941,774 (3,636,807) (1,695,033)
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
20
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
As of August 31, 2010, the components of distributable earnings on a tax
basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED
ORDINARY INCOME LONG-TERM GAINS
--------------- ---------------
Free Market U.S. Equity Fund $ -- $ --
Free Market International Equity Fund 2,896,870 --
Free Market Fixed Income Fund -- 208,642
The difference 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
reportable as ordinary income for Federal income tax purposes.
The tax character of distributions paid during the fiscal year ended August
31, 2010 were as follows:
ORDINARY LONG-TERM RETURN OF
INCOME GAINS CAPITAL TOTAL
---------- ---------- --------- ----------
Free Market U.S. Equity Fund $1,398,503 $ 202,619 $327,363 $1,928,485
Free Market International Equity Fund 3,144,179 1,183,612 -- 4,327,791
Free Market Fixed Income Fund 6,962,760 248,357 -- 7,211,117
Dividends from net investment income and short-term capital gains are
treated as ordinary income dividends for federal income tax purposes.
For federal income tax purposes, capital loss carryforwards are available
to offset future capital gains. As of August 31, 2010, the Free Market
International Equity Fund had a capital loss carryforward of $111,839 available
to offset future capital gains. This capital loss carryforward will expire on
August 31, 2018.
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, 2011, the Funds did
not incur any net Post-October currency or capital losses.
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are effective for interim and annual reporting
periods beginning after December 15, 2009, and other required disclosures are
effective for fiscal years beginning after December 15, 2010, and for interim
periods within those fiscal years. Management has evaluated the impact and has
incorporated the appropriate disclosures required by ASU No. 2010-06 in its
financial statement disclosures.
21
FREE MARKET FUNDS
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
22
FREE MARKET 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 Free
Market Funds at (866) 780-0357, ext. 3863 and on the Securities and Exchange
Commission's ("SEC") website at http://www.sec.gov.
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 (202) 551-8090.
23
INVESTMENT ADVISER
MATSON MONEY, INC.
5955 Deerfield Blvd.
Mason, OH 45040
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
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, Ste. 2000
Philadelphia, PA 19103-6996
FREE MARKET
U.S. EQUITY FUND
FREE MARKET
INTERNATIONAL EQUITY FUND
FREE MARKET
FIXED INCOME FUND
OF
THE RBB FUND, INC.
SEMI-ANNUAL
REPORT
February 28, 2011
(Unaudited)
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 the Free Market Funds are
distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA
19406.
(MARVIN & PALMER (R) ASSOCIATES, INC. LOGO)
GLOBAL EQUITY MANAGEMENT
MARVIN & PALMER
LARGE CAP
GROWTH FUND
of The RBB Fund, Inc.
Semi-Annual Report
February 28, 2011
(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. Shares of the Fund are distributed by BNY
Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406.
MARVIN & PALMER
LARGE CAP GROWTH FUND
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT
FEBRUARY 28, 2011
(UNAUDITED)
DEAR FELLOW SHAREHOLDER:
During the period from September 1, 2010 through February 28, 2011, the Fund
returned 31.52%. It slightly outperformed the Russell 1000(R) Growth Index which
was up 31.04% for the same period.
INVESTMENT CLIMATE AND OUTLOOK
The six month period started positively as readings on GDP, core Consumer Price
Index, existing home sales, advanced retail sales and Institute of Supply
Management manufacturing all came in better than expected. This, combined with
the Federal Reserve's continued suggestion that it would maintain or even
enhance accommodative monetary policy, lifted the market to its strongest
September since 1939. Throughout the period, equity markets benefitted from a
perception that economic growth was starting to pick up in the developed world
at the same time that emerging markets continued to show strong growth.
Near-term concerns centered on the uncertainty of energy prices caused by
upheaval in the Middle East that developed during February. There are differing
opinions as to whether these uncertainties could be more like 1979 or 1989. As
you recall, 1979 led to the overthrow of the Shah of Iran and substantial
dislocation in the political direction of the Middle East. On the other hand,
1989 was highlighted by the fall of the Berlin Wall and the demise of the old
Soviet Union. This led to a major opportunity for the world to incorporate new
economies and political systems in a globalized march towards growth.
Earnings from U.S. corporations remain strong while their improving balance
sheets and increasing orientation toward overseas/emerging markets growth
continue to provide ample quality growth opportunities. We believe that the
market will reward cyclical sensitivity as 2011 unfolds, and we are emphasizing
leaders in the materials, energy and industrials sectors. The potential for a
significant shift back to equities from bonds exists as the outlook improves.
INVESTMENT REVIEW AND PORTFOLIO STRATEGY
The Marvin & Palmer Large Cap Growth Fund slightly outperformed the Russell 1000
Growth Index and fared better against the broader S&P 500 Index, which returned
27.73% during the six months ended February 28, 2011. The Fund's outperformance
was driven primarily by sector allocation. Stock selection was also a positive
contributor. The industrials, energy and health care sectors helped the most,
while consumer discretionary and information technology were the only sectors
that hurt. The Fund's best performing stocks were Joy Global, National Oilwell
Varco and Avago Technologies. The worst contributing stocks were Qualcomm,
Akamai Technologies and EMC.*
The Fund has been emphasizing cyclical sensitivity focused on materials, energy
and industrials stocks. Technology exposure is neutral and focused on the types
of companies that enable data mobility. These areas should continue to lead if
energy prices do not substantially upset the global economy. At this point we
are willing to maintain our exposure to cyclical sensitivity.
David F. Marvin, CFA
Chairman
Marvin & Palmer Associates, Inc.
----------
* The Fund's holdings in Akamai Technologies and EMC were sold during the
period. Portfolio composition is subject to change.
1
MARVIN & PALMER
LARGE CAP GROWTH FUND
SEMI-ANNUAL REPORT
FEBRUARY 28, 2011
(UNAUDITED)
Total Returns for the Period Ended February 28, 2011
AVERAGE ANNUAL
----------------------------------
SIX SINCE
MONTHS* ONE YEAR THREE YEAR INCEPTION**
------ ----------------------------------
LARGE CAP GROWTH FUND 31.52%*** 27.86%*** -1.92% -2.17%
RUSSELL 1000(R) GROWTH INDEX 31.04% 24.94% 4.93% 2.05%
* NOT ANNUALIZED
** INCEPTION DATE JUNE 29, 2007.
*** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH
PERFORMANCE WHICH MIGHT NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE.
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 BY CALLING (877) 821-2117.
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 TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY
ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE PERFORMANCE QUOTED
REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. THE
FUND'S GROSS ANNUAL OPERATING EXPENSE RATIO, AS STATED IN THE CURRENT
PROSPECTUS, IS 2.62% AND THE FUND'S NET OPERATING EXPENSE RATIO IS 0.80%. THE
EXPENSE RATIO IS CONTRACTUALLY CAPPED AT 0.80% THROUGH DECEMBER 31, 2011,
WITHOUT WHICH PERFORMANCE WOULD HAVE BEEN LESS. THIS CAP CAN BE DISCONTINUED AT
ANY TIME AFTER DECEMBER 31, 2011.
THE FUND'S TOTAL RETURNS SINCE INCEPTION ARE BASED ON A CHANGE IN NET ASSET
VALUE FROM $10.00 PER SHARE ON JUNE 29, 2007 (INCEPTION) TO $9.18 PER SHARE ON
FEBRUARY 28, 2011.
PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE.
2
MARVIN & PALMER
LARGE CAP GROWTH FUND
FUND EXPENSE DISCLOSURE
FEBRUARY 28, 2011
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees; and (2) ongoing costs, including management
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 six-month period from September 1, 2010 through February 28, 2011, and
held for the entire period.
ACTUAL EXPENSES
The first line of the accompanying 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 accompanying 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 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 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.
LARGE CAP GROWTH FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual $1,000.00 $1,315.20 $4.59
Hypothetical (5% return before expenses) 1,000.00 1,020.78 4.02
----------
* Expenses are equal to an annualized six-month expense ratio of 0.80% for
the 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 period (181), then divided by 365 to reflect the
one-half year period. The Fund's ending account values are based on the
actual six-month total return for the Fund of 31.52%.
3
MARVIN & PALMER
LARGE CAP GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% of Net
Assets Value
-------- -----------
Common Stocks:
Energy ............................................ 15.5% $ 1,742,686
Capital Goods ..................................... 13.4 1,506,329
Software & Services ............................... 12.5 1,407,960
Technology Hardware & Equipment ................... 12.1 1,355,764
Materials ......................................... 10.9 1,219,110
Retailing ......................................... 5.4 603,293
Consumer Durables & Apparel ....................... 5.2 577,590
Semiconductors & Semiconductor Equipment .......... 4.2 471,328
Transportation .................................... 3.5 392,829
Consumer Services ................................. 3.1 351,809
Pharmaceuticals, Biotechnology & Life Sciences .... 2.3 255,900
Health Care Equipment & Services .................. 1.7 195,365
Food & Staples Retailing .......................... 1.5 164,538
Diversified Financials ............................ 1.3 147,356
Household & Personal Products ..................... 0.8 84,969
Food, Beverage & Tobacco .......................... 0.6 71,036
Other Assets in Excess of Liabilities ................ 6.0 677,757
----- -----------
NET ASSETS ........................................... 100.0% $11,225,619
===== ===========
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
4
MARVIN & PALMER
LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
Shares Value
------ -----------
COMMON STOCKS -- 94.0%
CAPITAL GOODS -- 13.4%
Caterpillar, Inc. .................................... 2,900 $ 298,497
Cummins, Inc. ........................................ 1,600 161,792
Deere & Co. .......................................... 3,100 279,465
Joy Global, Inc. ..................................... 3,900 379,782
Precision Castparts Corp. ............................ 1,550 219,713
United Technologies Corp. ............................ 2,000 167,080
-----------
1,506,329
-----------
CONSUMER DURABLES & APPAREL -- 5.2%
Coach, Inc. .......................................... 5,400 296,568
Hasbro, Inc. ......................................... 1,500 67,350
NIKE, Inc., Class B .................................. 2,400 213,672
-----------
577,590
-----------
CONSUMER SERVICES -- 3.1%
Starbucks Corp. ...................................... 3,800 125,324
Yum! Brands, Inc. .................................... 4,500 226,485
-----------
351,809
-----------
DIVERSIFIED FINANCIALS -- 1.3%
T. Rowe Price Group, Inc. ............................ 2,200 147,356
-----------
ENERGY -- 15.5%
Cameron International Corp.* ......................... 5,900 348,867
FMC Technologies, Inc.* .............................. 3,100 291,555
National Oilwell Varco, Inc. ......................... 5,500 437,635
Peabody Energy Corp. ................................. 4,300 281,607
Schlumberger Ltd. .................................... 4,100 383,022
-----------
1,742,686
-----------
FOOD & STAPLES RETAILING -- 1.5%
Costco Wholesale Corp. ............................... 2,200 164,538
-----------
FOOD, BEVERAGES & TOBACCO -- 0.6%
Altria Group, Inc. ................................... 2,800 71,036
-----------
HEALTH CARE EQUIPMENT & SERVICES -- 1.7%
Express Scripts, Inc.* ............................... 2,600 146,172
Intuitive Surgical, Inc.* ............................ 150 49,193
-----------
195,365
-----------
HOUSEHOLD & PERSONAL PRODUCTS -- 0.8%
Estee Lauder Cos. Inc., Class A (The) ................ 900 84,969
-----------
MATERIALS -- 10.9%
CF Industries Holdings, Inc. ......................... 1,800 254,304
Cliffs Natural Resources, Inc. ....................... 3,700 359,159
Freeport-McMoRan Copper & Gold, Inc. ................. 5,600 296,520
Monsanto Co. ......................................... 4,300 309,127
-----------
1,219,110
-----------
Shares Value
------ -----------
PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES -- 2.3%
Alexion Pharmaceuticals, Inc.* ....................... 1,000 $ 96,280
Illumina, Inc.* ...................................... 2,300 159,620
-----------
255,900
-----------
RETAILING -- 5.4%
Amazon.com, Inc.* .................................... 2,700 467,883
Tiffany & Co. ........................................ 2,200 135,410
-----------
603,293
-----------
SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2%
Avago Technologies Ltd. (Singapore) .................. 10,000 339,900
NVIDIA Corp.* ........................................ 5,800 131,428
-----------
471,328
-----------
SOFTWARE & SERVICES -- 12.5%
Cognizant Technology Solutions Corp., Class A* ....... 4,400 338,228
Intuit, Inc.* ........................................ 5,900 310,222
Oracle Corp. ......................................... 9,000 296,100
Symantec Corp.* ...................................... 9,000 162,270
VMware, Inc., Class A* ............................... 3,600 301,140
-----------
1,407,960
-----------
TECHNOLOGY HARDWARE & EQUIPMENT -- 12.1%
Amphenol Corp., Class A .............................. 2,700 155,196
Apple, Inc.* ......................................... 1,450 512,154
Hewlett-Packard Co. .................................. 1,600 69,808
NetApp, Inc.* ........................................ 6,900 356,454
QUALCOMM, Inc. ....................................... 4,400 262,152
-----------
1,355,764
-----------
TRANSPORTATION -- 3.5%
CSX Corp. ............................................ 1,300 97,058
Union Pacific Corp. .................................. 3,100 295,771
-----------
392,829
-----------
TOTAL COMMON STOCKS
(Cost $7,506,583) ................................. 10,547,862
-----------
TOTAL INVESTMENTS -- 94.0%
(Cost $7,506,583) ................................. 10,547,862
-----------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 6.0% ........ 677,757
-----------
NET ASSETS -- 100.0% ................................. $11,225,619
===========
----------
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
5
MARVIN & PALMER
LARGE CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's investments carried at market value (See note 1 in the Notes
to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ----------- ----------- ------------
Investments in Securities* $10,547,862 $10,547,862 $-- $--
=========== =========== === ===
* Please refer to the Portfolio of Investments for industry and security type
breakouts.
The accompanying notes are an integral part of the financial statements.
6
MARVIN & PALMER
LARGE CAP GROWTH FUND
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (Cost $7,506,583) ................................ $ 10,547,862
Cash and cash equivalents .............................................. 164,020
Receivables
Investments sold .................................................... 513,867
Investment adviser .................................................. 29,031
Dividends and interest .............................................. 6,163
Prepaid expenses and other assets ...................................... 8,233
------------
Total assets ..................................................... 11,269,176
------------
LIABILITIES
Other accrued expenses and liabilities ................................. 43,557
------------
Total liabilities ................................................ 43,557
------------
Net Assets ............................................................. $ 11,225,619
============
NET ASSETS CONSIST OF
Par value .............................................................. $ 1,222
Paid-in capital ........................................................ 18,295,362
Undistributed net investment income .................................... 1,626
Accumulated net realized loss from investments ......................... (10,113,870)
Net unrealized appreciation on investments ............................. 3,041,279
------------
Net Assets ............................................................. $ 11,225,619
============
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 1,222,294
------------
Net asset value, offering and redemption price per share ............... $ 9.18
============
The accompanying notes are an integral part of the financial statements.
7
MARVIN & PALMER
LARGE CAP GROWTH FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Dividends ..................................................... $ 44,161
Interest ...................................................... 64
----------
Total investment income .................................... 44,225
----------
EXPENSES
Administration and accounting fees ............................ 75,976
Advisory fees ................................................. 34,612
Transfer agent fees ........................................... 16,165
Audit fees .................................................... 13,314
Directors' and officers' fees ................................. 8,747
Printing and shareholder reporting fees ....................... 8,676
Registration and filing fees .................................. 7,544
Legal fees .................................................... 5,209
Insurance ..................................................... 3,035
Custodian fees ................................................ 1,649
Other expenses ................................................ 1,146
----------
Total expenses before waivers and reimbursements ........... 176,073
----------
Less: waivers and reimbursements ........................... (133,474)
----------
Net expenses after waivers and reimbursements .............. 42,599
----------
Net investment income ......................................... 1,626
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
NET REALIZED GAIN/(LOSS) FROM:
Investments ................................................ 965,126
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments ................................................ 1,834,390
----------
Net realized and unrealized gain from investments ............. 2,799,516
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. $2,801,142
==========
The accompanying notes are an integral part of the financial statements.
8
MARVIN & PALMER
LARGE CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS
ENDED FOR THE YEAR
FEBRUARY 28, 2011 ENDED
(UNAUDITED) AUGUST 31, 2010
------------------ ---------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income/(loss) ................................................ $ 1,626 $ (750)
Net realized gain from investments .......................................... 965,126 3,394,602
Net change in unrealized appreciation/(depreciation) from investments ....... 1,834,390 (1,818,562)
----------- ------------
Net increase in net assets resulting from operations ........................... 2,801,142 1,575,290
----------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................................................... -- (31,926)
----------- ------------
Net decrease in net assets from dividends and distributions to shareholders .... -- (31,926)
----------- ------------
CAPITAL TRANSACTIONS:
Proceeds from shares sold ................................................... -- 1,407,000
Reinvestment of distributions ............................................... -- 31,506
Shares redeemed ............................................................. (555,812) (13,344,833)
----------- ------------
Net decrease in net assets from capital transactions ........................... (555,812) (11,906,327)
----------- ------------
Total increase/(decrease) in net assets ........................................ 2,245,330 (10,362,963)
NET ASSETS
Beginning of period ......................................................... 8,980,289 19,343,252
----------- ------------
End of period ............................................................... $11,225,619 $ 8,980,289
=========== ============
Undistributed net investment income, end of period .......................... $ 1,626 $ --
=========== ============
SHARE TRANSACTIONS:
Shares sold ................................................................. -- 191,656
Shares reinvested ........................................................... -- 4,376
Shares redeemed ............................................................. (63,659) (1,823,327)
----------- ------------
Total share transactions .................................................... (63,659) (1,627,295)
=========== ============
The accompanying notes are an integral part of the financial statements.
9
MARVIN & PALMER
LARGE CAP GROWTH 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 YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
FEBRUARY 28, ENDED ENDED ENDED JUNE 29, 2007*
2011 AUGUST 31, AUGUST 31, AUGUST 31, TO AUGUST 31,
(UNAUDITED) 2010 2009 2008 2007
------------ ------------ ------------ ------------ --------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ......................... $ 6.98 $ 6.64 $ 9.32 $ 10.20 $ 10.00
------- ------- ------- ------- -------
Net investment income/(loss) ................................. --(1) --(1) 0.02 0.01 --(1)
Net realized and unrealized gain/(loss) on investments ....... 2.20 0.35 (2.68) (0.89) 0.20
------- ------- ------- ------- -------
Net increase/(decrease) in net assets resulting
from operations ........................................... 2.20 0.35 (2.66) (0.88) 0.20
------- ------- ------- ------- -------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income ........................................ -- (0.01) (0.02) --(1) --
------- ------- ------- ------- -------
Net asset value, end of period ............................... $ 9.18 $ 6.98 $ 6.64 $ 9.32 $ 10.20
======= ======= ======= ======= =======
Total investment return(2) ................................... 31.52%(3) 5.28% (28.51)% (8.61)% 2.00%(3)
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) .................... $11,226 $ 8,980 $19,343 $28,780 $15,283
Ratio of expenses to average net assets ...................... 0.80%(4) 0.80% 0.80% 0.80% 0.80%(4)
Ratio of expenses to average net assets without waivers
and expense reimbursements ................................ 3.31%(4) 2.62% 2.27% 2.09% 3.93%(4)
Ratio of net investment income/(loss) to average net assets .. 0.03%(4) (0.01)% 0.37% 0.12% 0.21%(4)
Portfolio turnover rate ...................................... 58.13%(3) 138.68% 237.91% 252.37% 28.70%(3)
----------
* Commencement of Operations.
(1) Less than $0.005 per share.
(2) Total investment return is calculated by 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) Not Annualized.
(4) Annualized.
The accompanying notes are an integral part of the financial statements.
10
MARVIN & PALMER
LARGE CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active
investment portfolios, including the Marvin & Palmer Large Cap Growth Fund (the
"Fund"), which commenced investment operations on June 29, 2007.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION -- The Fund's 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 Fund are valued using the closing price or the last sale
price on a national securities exchange or the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed income securities having a remaining
maturity of 60 days or less are amortized to maturity based on their cost.
Foreign securities are valued based on prices from the primary market in which
they are traded, and are translated from the local currency into U.S. dollars
using current exchange rates. Investments in other open-end investment companies
are valued based on the NAV of the investment companies (which may use fair
value pricing as discussed in their prospectuses). If market quotations are
unavailable or deemed unreliable, securities will be valued in accordance with
procedures adopted by the Company's Board of Directors. Relying on prices
supplied by pricing services or dealers or using fair valuation may result in
values that are higher or lower than the values used by other investment
companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to
measure fair value of the Fund's investments are summarized into three levels as
described below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such investments may be subject to
legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Levels 1, 2 and 3 for the Fund.
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Fund's investments as of February 28,
2011 is included with the Fund's Schedule of Investments.
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 and those differences could be significant.
11
MARVIN & PALMER
LARGE CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
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. Distributions received on securities that represent a
return of capital or capital gains 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. The Fund's investment income, expenses and
unrealized and realized gains and losses are allocated daily. Expenses incurred
on behalf of a specific class, fund or fund family of the Company are charged
directly to the class, fund or fund family (in proportion to net assets).
Expenses incurred for all the RBB funds (such as director or professional fees)
are charged to all funds in proportion to their average net assets of RBB, or in
such other manner as the Company's 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 NAV of
the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income and distributions from net realized capital gains, if any, are
declared, 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
generally accepted accounting principles.
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.
CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited
into a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
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 from such claims is considered remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Marvin & Palmer Associates, Inc. ("Marvin & Palmer" or the "Adviser")
serves as investment adviser to the Fund pursuant to an investment advisory
agreement with the Company (the "Advisory Agreement"). For its services, the
Adviser is paid a monthly fee at the annual rate of 0.65% of the Fund's average
daily net assets. The Adviser has agreed to limit through December 31, 2011 the
Fund's total operating expenses (other than acquired fund fees and expenses,
brokerage commissions, extraordinary items, interest or taxes) to the extent
that such expenses exceed 0.80% of the Fund's average daily net assets. This
limitation is effected in waivers of advisory fees and reimbursement of expenses
exceeding the advisory fee as necessary. If at any time during the three years
ending March 4, 2013 the advisory agreement is in effect, the Fund's total
annual operating expenses for that year are less than 0.80% of the Fund's
average daily net assets, the Adviser is entitled to reimbursement by the Fund
of the advisory fees waived and other payments remitted by the Adviser to the
Fund during such three-year period. For the six months ended February 28, 2011,
investment advisory fees accrued and waived were $34,612 and expenses reimbursed
or to be reimbursed by the Adviser were $98,862. As of February 28, 2011, the
total fees which were previously waived by the Advisor which may be subject to
possible future reimbursements to the Adviser were as follows:
EXPIRATION
-----------------------------------------------------------------------
AUGUST 31, 2011 AUGUST 31, 2012 AUGUST 31, 2013 FEBRUARY 28, 2014
--------------- --------------- --------------- -----------------
$153,696 $268,864 $251,254 $133,474
BNY Mellon Investment Servicing (US), Inc. ("BNY Mellon") serves as
administrator for the Fund. Administration and accounting fees accrued also
include certain Transfer Agent and custodian fees. For providing administrative
and accounting services, BNY Mellon is entitled to receive a monthly fee equal
to an annual percentage rate of the Fund's average daily net assets, subject to
certain minimum monthly fees.
Included in the administration and accounting fees are fees for providing
regulatory administration services to RBB. For providing these services, BNY
Mellon is entitled to receive compensation as agreed to by the Company and BNY
Mellon. This fee is allocated to each portfolio in proportion to its net assets
of the Company.
12
MARVIN & PALMER
LARGE CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
In addition, BNY Mellon serves as the Fund's transfer and dividend
disbursing agent. For providing transfer agent services, BNY Mellon is entitled
to receive out of pocket expenses.
For providing custodial services to the Fund, PFPC Trust Company, a member
of The Bank of New York Mellon Corp., is entitled to receive out of pocket
expenses.
BNY Mellon Distributors Inc. serves as the principal underwriter and
distributor of the Fund's shares pursuant to a Distribution Agreement with RBB.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Fund during the six months ended February 28, 2011 was $2,394.
Certain employees of BNY Mellon are Officers of the Company. They are not
compensated by the Fund or the Company.
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding short-term investments) of the Fund were as
follows:
PURCHASES SALES
---------- ----------
Investment Securities..... $5,961,118 $7,001,647
5. SIGNIFICANT SHAREHOLDERS
As of February 28, 2011, the Fund had 1 shareholder account and/or omnibus
account (comprised of a group of individual shareholders) that amounted to 69%
of the total shares outstanding of the Fund.
6. FEDERAL TAX INFORMATION
Management has analyzed the Fund's tax positions taken on federal income
tax returns for all open tax years (August 31, 2007 - 2010) and has concluded
that no provision for federal income tax is required in the Fund's financial
statements. The Fund's federal and state income and federal excise tax returns
for tax years for which the applicable statutes of limitations have not expired
are subject to examination by the Internal Revenue Service and state departments
of revenue.
As of February 28, 2011, 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
----------- ------------ ------------ --------------
$7,506,583 $3,067,561 $(26,282) $3,041,279
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
As of February 28, 2011 the Fund had no tax-basis distributable earnings.
The difference 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
reportable as ordinary income for federal income tax purposes.
13
MARVIN & PALMER
LARGE CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
The tax character of distributions paid during the fiscal year ended August
31, 2010 was as follows:
Ordinary income .................................... $31,926
Long-term capital gains ............................ --
-------
Total distributions ................................ $31,926
=======
Dividends from net investment income and short-term capital gains are
treated as ordinary income dividends for federal income tax purposes.
For federal income tax purposes, capital loss carryforwards are available
to offset future capital gains. As of August 31, 2010, the Fund had a capital
loss carryforward of $11,054,164 which will expire as follows:
August 31, 2018 .................... $3,287,157
August 31, 2017 .................... $7,438,269
August 31, 2016 .................... $ 328,738
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are currently effective for interim and annual
reporting periods beginning after December 15, 2009, and other required
disclosures are effective for fiscal years beginning after December 15, 2010,
and for interim periods within those fiscal years. Management has evaluated the
impact and has incorporated the appropriate disclosures required by ASU No.
2010-06 in its financial statement disclosures.
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Fund
through the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
14
MARVIN & PALMER
LARGE CAP GROWTH FUND
OTHER INFORMATION
(UNAUDITED)
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
Marvin and Palmer at (877) 821-2117 and on the Securities and Exchange
Commission's ("SEC") website at http://www.sec.gov.
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 (202) 551-8090.
15
[THIS PAGE INTENTIONALLY LEFT BLANK.]
Investment Adviser
Marvin & Palmer Associates, Inc.
1201 N. Market Street
Suite 2300
Wilmington, DE 19801-1165
Administrator
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
Transfer Agent
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
Principal Underwriter
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
Custodian
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
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, Ste. 2000
Philadelphia, PA 19103-6996
18
PERIMETER SMALL CAP GROWTH FUND
OF THE RBB FUND, INC.
SEMI-ANNUAL REPORT FEBRUARY 28, 2011
(UNAUDITED)
(PERIMETER LOGO)
CAPITAL MANAGEMENT
INVESTMENT ADVISER:
PERIMETER CAPITAL MANAGEMENT LLC
This report has been prepared for Shareholders of the Perimeter Small Cap Growth
Fund. It is not authorized for distribution to prospective investors unless
preceded by or accompanied by a current prospectus.
The Perimeter Small Cap Growth Fund is distributed by BNY Mellon Distributors
Inc., which is not an adviser affiliate.
PERIMETER
SMALL CAP GROWTH FUND
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT
FEBRUARY 28, 2011
(UNAUDITED)
Dear Shareholders:
The Perimeter Small Cap Growth Fund (the "Fund") returned 35.63% (I Shares) and
35.50% (Investor Shares) versus the 40.76% return of the Russell 2000(R) Growth
Index during the six-month period ended February 28, 2011. The Fund's fiscal
year began with the market posting the best September ever for the Russell
2000(R) Index, up 12.5%. A combination of better than expected retail sales,
statements from the Fed about a second round of quantitative easing and
accelerating merger & acquisition (M&A) activity enabled the market to climb,
defying investors' fears of a double-dip recession. Economically sensitive
sectors and high beta stocks led the market, with Energy, Materials and
Technology up 19%+ in September alone. In a reversal from previous months,
traditional "safe haven" sectors trailed with sub-par returns from the Consumer
Staples, Healthcare and Utilities sectors.
Consumer Discretionary continued to be the top contributor to Perimeter's
performance. Of significant benefit has been our focus on dominant brand name
companies such as Fossil*, Warnaco and Steve Madden. We also benefited from our
overweight position and solid stock selection in the Materials sector as a
downward trending dollar seemed to re-inflate global commodity prices. Our
overweight to the Energy sector has been a positive contributor as we have found
many attractive growth prospects given the global economic recovery, rising oil
prices and increasing factory utilization.
The most significant driver of underperformance over the past six months was
from the Technology sector. The Fund did not significantly benefit from recent
increased M&A activity in the sector and the resulting speculation that occurred
during the later stages of 2010. When combined with our underweight to this
strong performing sector, this produced a substantial headwind for the Fund.
Further, the highest beta stocks in the Russell 2000(R) Growth Index
outperformed their lower beta counterparts by a wide margin, particularly within
Technology. This factor presented an additional headwind, as Perimeter has a
quality-focused stock selection process that results in a portfolio of companies
with a beta that is typically less than that of the Russell 2000(R) Growth
benchmark. The goal of our process is to not only capture the growth of the
benchmark, but also to reduce volatility and produce more consistent returns
over the long-term.
Looking ahead, after back-to-back years of very strong small cap performance, we
would not be surprised to see some type of market correction in the coming
months, although we remain positively biased for the rest of the year. We would
expect record high correlations among stock returns to begin to moderate. This
should lead to quality, company-specific fundamentals returning as a driver to
stock performance rather than recent macro perceptions. In the meantime,
Perimeter continues to employ our bottom-up, company-specific, fundamental
process designed to lead us to companies we feel can generate strong fundamental
momentum and accelerating growth in any market environment.
Sincerely,
Perimeter Capital Management LLC
* The Fund's holdings in Fossil were sold during the period.
THIS REPRESENTS THE MANAGER'S ASSESSMENT OF THE FUND AND THE MARKET
ENVIRONMENT AT A SPECIFIC POINT IN TIME AND SHOULD NOT BE RELIED UPON BY
THE READER AS RESEARCH OR INVESTMENT ADVICE. PORTFOLIO HOLDINGS ARE SUBJECT
TO CHANGE AT ANY TIME.
THE RUSSELL 2000(R) GROWTH INDEX IS A WIDELY-RECOGNIZED,
CAPITALIZATION-WEIGHTED INDEX THAT MEASURES THE PERFORMANCE OF THE SMALLEST
2,000 COMPANIES IN THE RUSSELL 3000(R) INDEX. THE RUSSELL 2000(R) GROWTH
INDEX MEASURES THE PERFORMANCE OF THOSE RUSSELL 2000 COMPANIES WITH HIGHER
PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES.
1
PERIMETER
SMALL CAP GROWTH FUND
SEMI-ANNUAL REPORT
FEBRUARY 28, 2011
(UNAUDITED)
AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2011
SINCE
SIX MONTHS* ONE YEAR THREE YEAR INCEPTION
----------- -------- ---------- ---------
PERIMETER SMALL CAP GROWTH FUND, INVESTOR CLASS SHARES** ... 35.50%(1) 29.04%(1) 5.23% 4.30%
PERIMETER SMALL CAP GROWTH FUND, I SHARES*** ............... 35.63%(1) 29.48%(1) 5.40% 1.24%
RUSSELL 2000(R) GROWTH INDEX ............................... 40.76% 36.33% 8.61% 6.05%
----------
* Not Annualized.
** Investor Class Shares were offered beginning September 29, 2006.
*** I Shares were offered beginning December 31, 2007. The performance shown
for the I Shares prior to December 31, 2007 is based on the performance and
expenses of the Investor Class Shares, and has not been adjusted for the
shareholder servicing fee charged specifically to the Investor Class
Shares.
(1) Due to recent market conditions, the Fund has experienced relatively high
performance which might not be sustainable or repeated in the future.
THE PERFORMANCE DATA QUOTED HEREIN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE
DOES NOT GUARANTEE FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL
FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS
THAN ITS ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE
PERFORMANCE QUOTED. FOR PERFORMANCE CURRENT TO THE MOST RECENT MONTH-END, PLEASE
CALL 1-888-968-4964. PERFORMANCE ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL
GAINS. UNLIKE A MUTUAL FUND, INDEX RETURNS DO NOT REFLECT TAXES, FEES OR
EXPENSES. THE FUND'S GROSS TOTAL EXPENSE RATIO AS STATED IN THE PROSPECTUS IS
1.47% FOR INVESTOR SHARES AND 1.22% FOR I SHARES. THE PERFORMANCE QUOTED
REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LOWER IN THEIR ABSENCE. THE
FUND CHARGES A 2.00% REDEMPTION FEE IF REDEEMED WITHIN 7 DAYS. THE ADVISER HAS
CONTRACTUALLY AGREED TO LIMIT THE TOTAL EXPENSES OF THE INVESTOR CLASS SHARES
AND I SHARES OF THE FUND (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE
COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) TO 1.35% AND 1.10% OF THE
AVERAGE DAILY NET ASSETS OF THE FUND'S INVESTOR CLASS SHARES AND I SHARES,
RESPECTIVELY, THROUGH DECEMBER 31, 2011.
RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY
ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES.
MUTUAL FUND INVESTING INVOLVES RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
THE FUND INVESTS IN SMALL CAP STOCKS WHICH GENERALLY INVOLVE MORE RISK THAN
LARGE CAP STOCKS DUE TO POTENTIALLY GREATER VOLATILITY AND LESS MARKET
LIQUIDITY.
2
PERIMETER
SMALL CAP GROWTH FUND
FUND EXPENSE DISCLOSURE
FEBRUARY 28, 2011
(UNAUDITED)
As a shareholder of the Fund, you incur two types of costs: (1) transaction
costs, including redemption fees; 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.
This example is based on an investment of $1,000 invested at the beginning
of the six-month period from September 1, 2010 through February 28, 2011, 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 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.
PERIMETER SMALL CAP GROWTH FUND -- INVESTOR CLASS
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual ....................................... $1,000.00 $1,355.00 $7.82
Hypothetical -- (5% return before expenses) .. 1,000.00 1,018.07 6.73
PERIMETER SMALL CAP GROWTH FUND -- I SHARES
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- --------------
Actual ....................................... $1,000.00 $1,356.30 $6.37
Hypothetical -- (5% return before expenses) .. 1,000.00 1,019.32 5.47
* Expenses are equal to an annualized six-month expense ratio of 1.35% for
the Investor Class and 1.10% for the I Shares which includes waived fees,
reimbursed expenses or recoupment, multiplied by the average account value
over the period, multiplied by the number of days in the most recent period
(181), then divided by 365 to reflect the six-month period. The Fund's
ending account values on the first line in each table are based on the
actual six-month total return for the Fund of 35.50% for the Investor Class
and 35.63% for the I Shares.
3
PERIMETER
SMALL CAP GROWTH FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
ASSETS VALUE
-------- ------------
Domestic Common Stocks:
Consumer Non-cyclical ................. 20.0% $ 91,492,067
Industrial ............................ 18.4 84,074,906
Consumer Cyclical ..................... 13.9 63,723,661
Technology ............................ 13.3 61,063,870
Communications ........................ 11.0 50,395,461
Energy ................................ 7.3 33,355,849
Financial ............................. 4.8 21,837,674
Basic Materials ....................... 3.5 16,149,067
Utilities ............................. 0.3 1,495,217
Other Assets In Excess of Liabilities .... 7.5 34,115,909
----- ------------
NET ASSETS ............................... 100.0% $457,703,681
===== ============
The accompanying notes are an integral part of the financial statements.
4
PERIMETER
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
COMMON STOCK+ -- 92.5%
BASIC MATERIALS -- 3.5%
Buckeye Technologies ............................. 82,300 $ 2,156,260
Kraton Performance Polymers* ..................... 60,130 2,062,459
Kronos Worldwide ................................. 73,305 3,628,598
Solutia* ......................................... 110,507 2,564,867
Stillwater Mining* ............................... 141,969 3,388,800
Thompson Creek Metals* ........................... 178,155 2,348,083
------------
16,149,067
------------
COMMUNICATIONS -- 11.0%
APAC Customer Services* .......................... 249,606 1,462,691
Aruba Networks* .................................. 93,850 2,857,732
Atlantic Tele-Network ............................ 35,380 1,379,466
Blue Coat Systems* ............................... 106,676 3,001,863
ClickSoftware Technologies* ...................... 294,822 2,393,955
DigitalGlobe* .................................... 86,870 2,804,164
Dolan* ........................................... 146,123 1,826,537
eResearchTechnology* ............................. 283,980 1,803,273
EZchip Semiconductor* ............................ 56,160 1,689,293
HealthStream* .................................... 14,290 111,319
Infospace* ....................................... 175,200 1,412,112
Keynote Systems .................................. 83,770 1,473,514
Neutral Tandem* .................................. 195,370 3,360,364
NIC .............................................. 177,751 1,802,395
NICE Systems, ADR* ............................... 88,179 3,054,961
Novatel Wireless* ................................ 304,150 1,800,568
Plantronics ...................................... 61,500 2,145,735
SAVVIS* .......................................... 69,939 2,272,318
Shutterfly* ...................................... 48,207 2,058,439
TIBCO Software* .................................. 103,950 2,559,249
Travelzoo* ....................................... 70,861 2,795,466
US Auto Parts Network* ........................... 178,990 1,453,399
ValueClick* ...................................... 190,575 2,845,285
Zix* ............................................. 550,505 2,031,363
------------
50,395,461
------------
CONSUMER CYCLICAL -- 13.9%
99 Cents Only Stores* ............................ 166,277 2,766,849
Ascena Retail Group* ............................. 76,700 2,396,108
BJ's Restaurants* ................................ 11,813 424,677
Buckle ........................................... 62,890 2,458,370
Caribou Coffee* .................................. 160,365 1,577,992
Cash America International ....................... 64,121 2,738,608
Casual Male Retail Group* ........................ 451,828 1,929,306
Deckers Outdoor* ................................. 42,585 3,756,849
Domino's Pizza* .................................. 164,470 2,774,609
Finish Line, Cl A ................................ 147,940 2,583,032
First Cash Financial Services* ................... 49,766 1,629,339
Genesco* ......................................... 82,011 3,241,075
Group 1 Automotive ............................... 51,880 2,191,930
Hibbett Sports* .................................. 34,385 1,080,033
Iconix Brand Group* .............................. 107,370 2,372,877
SHARES VALUE
------------ ------------
CONSUMER CYCLICAL -- (CONTINUED)
JOS A Bank Clothiers* ............................ 57,825 $ 2,666,311
Lithia Motors, Cl A .............................. 56,566 856,409
Pep Boys-Manny Moe & Jack ........................ 221,870 2,780,031
Perry Ellis International* ....................... 51,920 1,507,757
Ruby Tuesday* .................................... 177,967 2,377,639
Rush Enterprises, Cl A* .......................... 83,861 1,574,071
Steelcase, Cl A .................................. 185,265 1,798,923
Steven Madden* ................................... 65,636 2,831,537
Texas Roadhouse* ................................. 91,784 1,558,492
Ulta Salon Cosmetics & Fragrance* ................ 40,057 1,671,579
Wabash National* ................................. 203,682 2,122,366
Warnaco Group* ................................... 50,442 2,961,450
Westport Innovations* ............................ 151,643 2,785,682
Williams-Sonoma .................................. 64,000 2,309,760
------------
63,723,661
------------
CONSUMER NON-CYCLICAL -- 20.0%
Abaxis* .......................................... 49,515 1,313,138
Advisory Board* .................................. 35,257 1,803,748
Akorn* ........................................... 358,475 2,003,875
AngioDynamics* ................................... 103,938 1,748,237
ArthroCare* ...................................... 89,500 3,086,855
Atrion ........................................... 7,399 1,304,740
Bio-Reference Laboratories* ...................... 77,202 1,615,066
Bruker* .......................................... 156,455 3,002,371
Cardiome Pharma* ................................. 240,860 1,389,762
Consolidated Graphics* ........................... 52,780 2,878,621
Dollar Financial* ................................ 60,796 1,300,426
Ensign Group ..................................... 62,090 1,888,157
FTI Consulting* .................................. 33,890 1,118,031
Hain Celestial Group* ............................ 90,161 2,688,601
Healthspring* .................................... 34,610 1,302,720
Hillenbrand ...................................... 149,130 3,243,578
Huron Consulting Group* .......................... 65,240 1,814,977
ICON ADR* ........................................ 124,023 2,466,817
ICU Medical* ..................................... 59,420 2,495,046
Impax Laboratories* .............................. 149,084 3,069,640
Integra LifeSciences Holdings* ................... 35,290 1,769,794
Inter Parfums .................................... 70,664 1,276,898
Invacare ......................................... 94,420 2,791,999
Jazz Pharmaceuticals* ............................ 113,930 2,806,096
Kforce* .......................................... 125,155 2,235,268
Korn/Ferry International* ........................ 89,570 2,047,570
LHC Group* ....................................... 14,610 436,255
Merge Healthcare* ................................ 324,667 1,626,582
Natus Medical* ................................... 122,212 1,938,282
Nektar Therapeutics* ............................. 235,017 2,253,813
Onyx Pharmaceuticals* ............................ 83,770 2,952,055
PAREXEL International* ........................... 110,438 2,591,980
Princeton Review* ................................ 413,347 380,279
QKL Stores* ...................................... 86,763 262,892
The accompanying notes are an integral part of the financial statements.
5
PERIMETER
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
CONSUMER NON-CYCLICAL -- (CONTINUED)
Salix Pharmaceuticals* ........................... 67,320 $ 2,244,449
Sirona Dental Systems* ........................... 69,320 3,497,887
SunOpta* ......................................... 245,730 1,688,165
SuperGen* ........................................ 438,120 1,301,216
Synovis Life Technologies* ....................... 131,683 2,599,422
TeleTech Holdings* ............................... 96,600 2,200,548
TreeHouse Foods* ................................. 55,394 2,889,905
TrueBlue* ........................................ 126,729 2,046,673
US Physical Therapy* ............................. 87,007 1,720,128
Valassis Communications* ......................... 65,340 1,843,895
Wright Express* .................................. 50,110 2,555,610
------------
91,492,067
------------
ENERGY -- 7.3%
Brigham Exploration* ............................. 76,360 2,793,249
Dawson Geophysical* .............................. 48,195 2,405,894
Georesources* .................................... 36,530 1,149,599
International Coal Group* ........................ 269,590 2,660,853
Key Energy Services* ............................. 146,291 2,267,511
Kodiak Oil & Gas* ................................ 327,310 2,477,737
Magnum Hunter Resources* ......................... 370,897 2,655,623
Newpark Resources* ............................... 294,886 2,058,304
North American Energy Partners* .................. 244,237 3,221,486
OYO Geospace* .................................... 28,421 2,889,847
Patterson-UTI Energy ............................. 109,550 2,995,097
Penn Virginia .................................... 61,440 999,629
Rex Energy* ...................................... 182,660 2,301,516
Swift Energy* .................................... 57,730 2,479,504
------------
33,355,849
------------
FINANCIAL -- 4.8%
Altisource Portfolio Solutions SA* ............... 67,810 2,047,184
Boston Private Financial Holdings ................ 186,530 1,322,498
Columbia Banking System .......................... 104,190 2,067,130
Encore Capital Group* ............................ 113,636 3,094,308
First Citizens BancShares, Cl A .................. 8,006 1,617,212
IBERIABANK ....................................... 35,070 2,009,160
Knight Capital Group, Cl A* ...................... 175,130 2,453,571
Montpelier Re Holdings ........................... 83,740 1,689,036
Provident Financial Services ..................... 74,970 1,110,306
Stifel Financial* ................................ 32,560 2,335,854
Umpqua Holdings .................................. 182,816 2,091,415
------------
21,837,674
------------
INDUSTRIAL -- 18.4%
A.O. Smith ....................................... 64,375 2,600,750
Actuant, Cl A .................................... 88,560 2,506,248
Applied Industrial Technologies .................. 89,214 2,858,417
Atlas Air Worldwide Holdings* .................... 47,710 3,257,639
Briggs & Stratton ................................ 95,610 1,924,629
Celadon Group* ................................... 147,770 2,158,920
Columbus McKinnon* ............................... 97,600 1,685,552
SHARES VALUE
------------ ------------
INDUSTRIAL -- (CONTINUED)
Drew Industries .................................. 79,698 $ 1,843,415
DXP Enterprises* ................................. 50,735 1,078,626
EnerSys* ......................................... 82,133 2,915,722
EnPro Industries* ................................ 71,975 2,855,968
Esterline Technologies* .......................... 35,002 2,505,093
Fushi Copperweld* ................................ 124,023 1,206,744
General Cable* ................................... 37,500 1,628,250
GrafTech International* .......................... 118,900 2,379,189
Harbin Electric* ................................. 118,861 2,255,982
Hexcel* .......................................... 92,780 1,721,069
HUB Group, Cl A* ................................. 90,702 3,170,942
IESI-BFC ......................................... 112,128 2,789,745
II-VI* ........................................... 45,526 2,330,476
KEMET* ........................................... 160,584 2,232,118
Kennametal ....................................... 46,031 1,770,352
L.B. Foster, Cl A* ............................... 19,795 831,390
Littelfuse ....................................... 16,310 861,657
Marten Transport ................................. 68,323 1,458,696
Middleby* ........................................ 28,540 2,559,182
Newport* ......................................... 136,770 2,277,221
NVE* ............................................. 28,786 1,705,571
Old Dominion Freight Line* ....................... 91,920 2,829,298
OSI Systems* ..................................... 45,665 1,717,917
Power-One* ....................................... 300,290 2,471,387
Rock-Tenn ........................................ 32,770 2,249,661
Rofin-Sinar Technologies* ........................ 70,279 2,725,420
RTI International Metals* ........................ 79,288 2,259,708
Silgan Holdings .................................. 55,930 2,040,326
STR Holdings* .................................... 120,132 2,175,591
TAL International Group .......................... 63,140 2,202,323
TriMas* .......................................... 44,440 914,131
VSE .............................................. 35,135 952,510
Werner Enterprises ............................... 92,020 2,167,071
------------
84,074,906
------------
TECHNOLOGY -- 13.3%
Compuware* ....................................... 277,470 3,124,312
CSG Systems International* ....................... 119,740 2,340,917
Electronics for Imaging* ......................... 136,780 2,110,515
Emulex* .......................................... 238,410 2,622,510
Entegris* ........................................ 352,260 3,071,707
Fortinet* ........................................ 56,629 2,312,728
Insight Enterprises* ............................. 147,853 2,704,231
Interactive Intelligence* ........................ 70,996 2,442,972
Lattice Semiconductor* ........................... 324,777 2,156,519
LivePerson* ...................................... 164,066 1,645,582
LTX-Credence* .................................... 189,928 1,697,956
Maxwell Technologies* ............................ 62,970 1,140,387
Microsemi* ....................................... 99,470 2,191,324
MIPS Technologies* ............................... 193,260 2,351,974
Monolithic Power Systems* ........................ 155,426 2,401,332
The accompanying notes are an integral part of the financial statements.
6
PERIMETER
SMALL CAP GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
TECHNOLOGY -- (CONTINUED)
NetScout Systems* ................................ 72,330 $ 1,807,527
O2Micro International* ........................... 157,981 1,292,285
Open Text* ....................................... 46,140 2,718,569
PMC-Sierra* ...................................... 319,250 2,522,075
Progress Software* ............................... 64,270 1,886,967
Radiant Systems* ................................. 107,646 1,846,129
RADWARE* ......................................... 44,990 1,694,773
Riverbed Technology* ............................. 56,970 2,352,291
Schawk ........................................... 42,454 767,144
Silicon Image* ................................... 242,075 1,946,283
Smith Micro Software* ............................ 139,274 1,304,997
Sykes Enterprises* ............................... 124,519 2,316,053
Ultimate Software Group* ......................... 38,410 2,052,630
Volterra Semiconductor* .......................... 88,830 2,241,181
------------
61,063,870
------------
SHARES VALUE
------------ ------------
UTILITIES -- 0.3%
Avista ........................................... 66,990 $ 1,495,217
------------
TOTAL COMMON STOCK
(Cost $329,055,300) ........................ 423,587,772
------------
TOTAL INVESTMENTS -- 92.5%
(Cost $329,055,300) ........................... 423,587,772
------------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 7.5% .... 34,115,909
------------
NET ASSETS -- 100.0% ............................. $457,703,681
============
----------
+ More narrow industries are utilized for compliance purposes, whereas broad
sectors are utilized for reporting purposes.
* Non-income producing security.
ADR American Depositary Receipt
Cl Class
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's investments carried at market value (See Note 1 in Notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ------------ ----------- ------------
Investments in Securities* ... $423,587,772 $423,587,772 $-- $--
============ ============ === ===
----------
* Please refer to the Portfolio of Investments for industry and security type
breakouts.
The accompanying notes are an integral part of the financial statements.
7
PERIMETER
SMALL CAP GROWTH FUND
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (Cost $329,055,300) .................. $423,587,772
Receivables
Investments sold ........................................ 37,024,799
Capital shares sold ..................................... 752,480
Dividends and interest .................................. 69,461
Prepaid expenses and other assets .......................... 45,205
------------
Total assets ......................................... 461,479,717
------------
LIABILITIES
Cash overdraft ............................................. 1,027,550
Payable for investments purchased .......................... 1,319,585
Capital shares redeemed .................................... 1,014,508
Investment advisory fees ................................... 317,595
Administration and accounting fees ......................... 30,588
Other accrued expenses and liabilities ..................... 66,210
------------
Total liabilities .................................... 3,776,036
------------
Net Assets ................................................. $457,703,681
============
NET ASSETS CONSIST OF
Par value .................................................. $ 38,300
Paid-in capital ............................................ 334,934,871
Accumulated net investment loss ............................ (1,558,337)
Accumulated net realized gain from investments ............. 29,756,375
Net unrealized appreciation on investments ................. 94,532,472
------------
Net Assets ................................................. $457,703,681
------------
INVESTOR CLASS
Net Assets ................................................. $211,390,949
------------
Shares outstanding ($0.001 par value, 100,000,000
shares authorized) ...................................... 17,751,054
------------
Net asset value, offering and redemption price per share ... $ 11.91
============
I SHARES
Net Assets ................................................. $246,312,732
------------
Shares outstanding ($0.001 par value, 100,000,000
shares authorized) ...................................... 20,549,062
------------
Net asset value, offering and redemption price per share ... $ 11.99
============
The accompanying notes are an integral part of the financial statements.
8
PERIMETER
SMALL CAP GROWTH FUND
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $1,799) ........ $ 1,000,393
Interest ................................................... 1,697
------------
Total investment income ................................. 1,002,090
------------
EXPENSES
Advisory fees .............................................. 1,895,240
Distribution fees(1) ....................................... 244,024
Administration and accounting fees ......................... 181,037
Transfer agent fees ........................................ 91,151
Professional fees .......................................... 40,486
Directors' and officers' fees .............................. 24,549
Printing and shareholder reporting fees .................... 22,167
Registration and filing fees ............................... 21,939
Custodian fees ............................................. 12,757
Insurance fees ............................................. 4,976
Other expenses ............................................. 1,367
------------
Total expenses before waivers and recoupment ............ 2,539,693
------------
Less: waiver of Advisory fees ........................... (5,695)
Plus net expenses recouped (Note 2) ............... 26,429
------------
Net expenses after waivers and recoupment ............... 2,560,427
------------
Net investment loss ........................................ (1,558,337)
------------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
NET REALIZED GAIN/(LOSS) FROM:
Investments ............................................. 40,865,694
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments ................................................... 81,617,059
------------
Net realized and unrealized gain from investments .......... 122,482,753
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... $120,924,416
============
----------
(1) Attributable to Investor Class Shares.
The accompanying notes are an integral part of the financial statements.
9
PERIMETER
SMALL CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE
MONTHS ENDED ONE MONTH FOR THE YEAR
FEBRUARY 28, 2011 PERIOD ENDED ENDED
(UNAUDITED) AUGUST 31, 2010* JULY 31, 2010
----------------- ---------------- -------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss ............................................ $ (1,558,337) $ (245,658) $ (2,802,352)
Net realized gain from investments ............................. 40,865,694 395,360 31,732,848
Net change in unrealized appreciation/(depreciation) from
investments ................................................. 81,617,059 (27,503,824) 10,207,973
------------ ------------ ------------
Net increase/(decrease) in net assets resulting from operations ... 120,924,416 (27,354,122) 39,138,469
------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL TRANSACTIONS:
Investor Class
Proceeds from shares sold ...................................... 21,066,059 2,458,564 58,722,592
Shares redeemed ................................................ (26,542,406) (2,914,696) (41,879,703)
------------ ------------ ------------
Total Investor Class ........................................ (5,476,347) (456,132) 16,842,889
------------ ------------ ------------
I Shares
Proceeds from shares sold ...................................... 44,813,028 3,287,158 58,747,611
Shares redeemed ................................................ (28,387,821) (3,370,264) (54,840,925)
------------ ------------ ------------
Total I Shares .............................................. 16,425,207 (83,106) 3,906,686
------------ ------------ ------------
Redemption fees ................................................... 262 3 1,373
------------ ------------ ------------
Net increase/(decrease) in net assets from capital transactions ... 10,949,122 (539,235) 20,750,948
------------ ------------ ------------
Total increase/(decrease) in net assets ........................... 131,873,538 (27,893,357) 59,889,417
NET ASSETS
Beginning of period ............................................ 325,830,143 353,723,500 293,834,083
------------ ------------ ------------
End of period .................................................. $457,703,681 $325,830,143 $353,723,500
============ ============ ============
Undistributed/accumulated net investment income (loss), end
of period ...................................................... $ (1,558,337) $ -- $ --
============ ============ ============
----------
* The Fund changed its fiscal year end to August 31.
The accompanying notes are an integral part of the financial statements.
10
PERIMETER
SMALL CAP GROWTH FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX FOR THE
MONTHS ENDED ONE MONTH FOR THE YEAR
FEBRUARY 28, 2011 PERIOD ENDED ENDED
(UNAUDITED) AUGUST 31, 2010* JULY 31, 2010
----------------- ---------------- -------------
INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS:
Investor Class
Shares sold ........................................................... 1,915,394 262,205 6,349,320
Shares redeemed ....................................................... (2,416,549) (312,042) (4,485,456)
---------- -------- ----------
Total Investor Class ............................................... (501,155) (49,837) 1,863,864
---------- -------- ----------
I Shares
Shares sold ........................................................... 4,359,248 356,707 6,443,881
Shares redeemed ....................................................... (2,515,808) (369,113) (5,996,326)
---------- -------- ----------
Total I Shares ..................................................... 1,843,440 (12,406) 447,555
---------- -------- ----------
Net increase/(decrease) in shares outstanding from share transactions .... 1,342,285 (62,243) 2,311,419
========== ======== ==========
----------
* The Fund changed its fiscal year end to August 31.
The accompanying notes are an integral part of the financial statements.
11
PERIMETER
SMALL CAP GROWTH 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.
INVESTOR CLASS SHARES
----------------------------------------------------------------------
SIX MONTHS
PERIOD ENDED ONE MONTH YEAR YEAR YEAR PERIOD
FEBRUARY 28, PERIOD ENDED ENDED ENDED ENDED ENDED
2011 AUGUST 31, JULY 31, JULY 31, JULY 31, JULY 31,
(UNAUDITED) 2010* 2010 2009 2008 2007**
------------ ------------ -------- -------- -------- --------
Net asset value, Beginning of Period ...... $ 8.79 $ 9.53 $ 8.45 $ 10.40 $ 11.49 $ 10.00
Income (Loss) from Operations:
Net Investment Loss(1) ................. (0.05) (0.01) (0.09) (0.05) (0.08) (0.08)(2)
Net Realized and Unrealized Gains
(Loss) on Investments ............... 3.17 (0.73) 1.17 (1.90) (0.88) 1.57(2)
-------- -------- -------- -------- -------- -------
Total from Operations ..................... 3.12 (0.74) 1.08 (1.95) (0.96) 1.49
-------- -------- -------- -------
Dividends and Distributions from:
Net Realized Gains ..................... -- -- -- -- (0.13) --
-------- -------- -------- -------- -------- -------
Total Dividends and Distributions ......... -- -- -- -- (0.13) --
-------- -------- -------- -------- -------- -------
Redemption Fees ........................... --(3) --(3) --(3) --(3) -- --
-------- -------- -------- -------- -------- -------
Net Asset Value, End of Period ............ $ 11.91 $ 8.79 $ 9.53 $ 8.45 $ 10.40 $ 11.49
======== ======== ======== ======== ======== =======
TOTAL RETURN+ 35.50% (7.77)% 12.78% (18.75)% (8.47)% 14.90%
======== ======== ======== ======== ======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) ..... $211,391 $160,496 $174,434 $138,929 $122,353 $53,100
Ratio of Expenses to Average Net Assets
(including waivers and recoupment,
excluding fees paid indirectly) ........ 1.35%*** 1.35%*** 1.29% 1.11% 1.20% 1.38%***
Ratio of Expenses to Average Net Assets
(including waivers, recoupment
and fees paid indirectly) .............. 1.35%*** 1.35%*** 1.29% 1.09% 1.16% 1.29%***
Ratio of Expenses to Average Net Assets
(excluding waivers, recoupment and
fees paid indirectly) .................. 1.34%*** 1.47%*** 1.34% 1.41% 1.51% 2.11%***
Ratio of Net Investment Loss to Average
Net Assets ............................. (0.87)%*** (0.97)%*** (0.93)% (0.66)% (0.74)% (0.79)%***
Portfolio Turnover Rate++ ................. 63% 7% 97% 126% 147% 88%
+ Total return has not been annualized for periods less than one year. Total
return would have been lower had certain expenses not been waived by the
Adviser during the period. The return shown does not reflect the deduction
of taxes that a shareholder would pay on Fund distributions or the
redemption of Fund shares.
++ Portfolio turnover rate has not been annualized for periods less than one
year.
* The Fund changed its fiscal year end to August 31.
** Commenced operations on September 29, 2006.
*** Annualized
(1) Per share data calculated using average shares method.
(2) This amount is inconsistent with the Fund's aggregate net income, gains and
losses because of the timing of sales and redemption of Fund shares in
relation to fluctuating market values for the investment portfolio.
(3) Amount is less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
12
PERIMETER
SMALL CAP GROWTH 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.
I SHARES
------------------------------------------------------------
SIX MONTHS
PERIOD ENDED ONE MONTH YEAR YEAR PERIOD
FEBRUARY 28, PERIOD ENDED ENDED ENDED ENDED
2011 AUGUST 31, JULY 31, JULY 31, JULY 31,
(UNAUDITED) 2010* 2010 2009 2008**
------------ ------------ -------- -------- --------
Net asset value, Beginning of Period ................. $ 8.84 $ 9.58 $ 8.48 $ 10.42 $ 11.53
-------- -------- -------- -------- -------
Income (Loss) from Operations:
Net Investment Loss(1) ............................ (0.03) (0.01) (0.07) (0.05) (0.04)
Net Realized and Unrealized Gains (Loss) on
Investments .................................... 3.18 (0.73) 1.17 (1.89) (1.07)
-------- -------- -------- -------- -------
Total from Operations ................................ 3.15 (0.74) 1.10 (1.94) (1.11)
-------- -------- -------- -------- -------
Redemption Fees ...................................... --(2) --(2) --(2) --(2) --
-------- -------- -------- -------- -------
Net Asset Value, End of Period ....................... $ 11.99 $ 8.84 $ 9.58 $ 8.48 $ 10.42
======== ======== ======== ======== =======
TOTAL RETURN+ ........................................ 35.63% (7.73)% 12.97% (18.62)% (9.63)%
======== ======== ======== ======== =======
RATIOS AND SUPPLEMENTAL DATA
Net Assets, End of Period (Thousands) ................ $246,313 $165,334 $179,290 $154,905 $26,616
Ratio of Expenses to Average Net Assets (including
waivers and recoupment, excluding fees paid
indirectly) ....................................... 1.10%*** 1.10%*** 1.10% 1.04% 1.03%***
Ratio of Expenses to Average Net Assets (including
waivers, recoupment and fees paid indirectly) ..... 1.10%*** 1.10%*** 1.10% 1.03% 1.00%***
Ratio of Expenses to Average Net Assets (excluding
waivers, recoupment and fees paid indirectly) ..... 1.09%*** 1.22%*** 1.16% 1.36% 1.37%***
Ratio of Net Investment Loss to Average
Net Assets ........................................ (0.62)%*** (0.72)%*** (0.74)% (0.64)% (0.58)%***
Portfolio Turnover Rate++ ............................ 63% 7% 97% 126% 147%++++
----------
+ Total return has not been annualized for periods less than one year. Total
return would have been lower had certain expenses not been waived by the
Adviser during the period. The return shown does not reflect the deduction
of taxes that a shareholder would pay on Fund distributions or the
redemption of Fund shares.
++ Portfolio turnover rate has not been annualized for periods less than one
year.
++++ Portfolio turnover rate is for the Fund for the year ended July 31, 2008.
* The Fund changed its fiscal year end to August 31.
** Commenced operations on December 31, 2007.
*** Annualized
(1) Per share data calculated using average shares method.
(2) Amount is less than $0.01 per share.
The accompanying notes are an integral part of the financial statements.
13
PERIMETER
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active
investment portfolios, including the Perimeter Small Cap Growth Fund.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
The Fund commenced operations on September 29, 2006 as a separate portfolio
(the "Predecessor Fund") of The Advisors' Inner Circle Fund II. Immediately
prior to the opening of business on February 8, 2010, pursuant to an Agreement
and Plan of Reorganization (the "Reorganization") approved at a Meeting of
Shareholders held on January 14, 2010, the Fund received substantially all of
the assets and liabilities of the Predecessor Fund. The shareholders of the
Predecessor Fund received Investor Class Shares and I Shares of the Fund with an
aggregate net asset value equal to the aggregate net asset value of their shares
in the Predecessor Fund immediately prior to the Reorganization. The
Reorganization was treated as a tax-free reorganization for federal income tax
purposes and, accordingly, the basis of the assets of the Fund reflected the
historical basis of the assets of the Predecessor Fund as of the date of the
Reorganization. The Predecessor Fund and the Fund had identical investment
objectives and substantially similar investment policies and principal risks.
For financial reporting purposes, the Predecessor Fund's financial and
performance history prior to the Reorganization is carried forward and reflected
in the Fund's financial statements and financial highlights.
The investment objective of the Fund is to seek long-term capital
appreciation. The Fund invests primarily (at least 80% of its net assets) in
small-cap equity securities. The assets of each fund of the Company are
segregated, and a shareholder's interest is limited to the fund in which shares
are held.
The Fund is registered to offer Investor Class Shares and I Shares.
The fiscal year end of the Predecessor Fund was July 31. Subsequent to July
31, 2010, the Fund changed its fiscal year end to August 31 to reflect the
fiscal year end of the other series of RBB.
PORTFOLIO VALUATION -- The Fund's 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 Fund are valued using the closing price or the last sale
price on a national securities exchange or the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed income securities having a remaining
maturity of 60 days or less are amortized to maturity based on their cost.
Investments in other open-end investment companies are valued based on the NAV
of the investment companies (which may use fair value pricing as discussed in
their prospectuses). If market quotations are unavailable or deemed unreliable,
securities will be valued in accordance with procedures adopted by the Company's
Board of Directors. Relying on prices supplied by pricing services or dealers or
using fair valuation may result in values that are higher or lower than the
values used by other investment companies and investors to price the same
investments. As of February 28, 2011, there were no fair valued securities.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to
measure fair value of the Fund's investments are summarized into three levels
are described below:
- Level 1 -- unadjusted quoted prices in active markets for identical
assets and liabilities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
14
PERIMETER
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Fund's investments as of February 28,
2011 is included with the Fund's Portfolio of Investments.
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such investments may be subject to
legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Levels 1, 2 and 3 for the Fund.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with U.S. generally accepted accounting principles 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 and those
differences could be significant.
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. Distributions received on securities that represent a
return of capital or capital gains 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. The Fund's investment income, expenses and
unrealized and realized gains and losses are allocated daily. Expenses incurred
on behalf of a specific class, fund or fund family of the Company are charged
directly to the class, fund or fund family to each class of shares based upon
the relative proportion of net assets of each class at the beginning of the day.
Expenses incurred for all the RBB funds (such as director or professional fees)
are charged to all funds in proportion to their average net assets of RBB, or in
such other manner as the Company's 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 NAV of
the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income and distributions from net realized capital gains, if any, are
declared, 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
generally accepted accounting principles.
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.
CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited
into a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
REDEMPTION FEES -- The Fund retains a redemption fee of 2% on redemptions
of Fund shares held less than seven days. The fees are reflected on the
Statement of Changes in Net Assets. The Fund reserves the right to modify or
eliminate the redemption fees or waivers at any time.
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 from such claims is considered remote.
15
PERIMETER
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
2. INVESTMENT ADVISER AND OTHER SERVICES
Perimeter Capital Management, LLC (the "Adviser") serves as investment
adviser to the Fund. For its services, the Adviser is entitled to a fee, which
is calculated daily and paid monthly, at an annual rate of 0.90% of the Fund's
average daily net assets. The Adviser has contractually agreed to limit the
total expenses of the Investor Class Shares and I Shares of the Fund (excluding
acquired fund fees and expenses, brokerage commissions, extraordinary items,
interest or taxes) to 1.35% and 1.10% of the average daily net assets of the
Fund's Investor Class Shares and I Shares, respectively, through December 31,
2011. To maintain this expense limitation, the Adviser may waive a portion of
its advisory fee and/ or reimburse certain expenses of the Fund. If at any point
it becomes unnecessary for the Adviser to make expense limitation
reimbursements, the Adviser may retain the difference between the "Total Annual
Fund Operating Expenses" and the respective share class expense limitations to
recapture all or a portion of its prior expense limitation reimbursements made
during the preceding three-year period. As of February 28, 2011, the total fees
which were previously waived by the Adviser which may be subject to possible
future reimbursement to the Adviser were $56,926 and $5,695, expiring in 2013
and 2014, respectively.
Effective February 8, 2010, BNY Mellon Investment Servicing (US) Inc. ("BNY
Mellon"), serves as administrator for the Fund. For providing administrative and
accounting services, BNY Mellon is entitled to receive a monthly fee equal to an
annual percentage rate of the Fund's average daily net assets, subject to
certain minimum monthly fees. Prior to February 8, 2010, SEI Investments Global
Funds Services ("SEI") provided management and administrative services to the
Predecessor Fund at agreed upon rates.
Included in the administration and accounting service fees, shown on the
Statement of Operations, are fees for providing regulatory administration
services to RBB. For providing these services, BNY Mellon is entitled to receive
compensation as agreed to by the Company and BNY Mellon. This fee is allocated
to each portfolio in proportion to its net assets of the Company.
Effective February 8, 2010, BNY Mellon serves as the Fund's transfer and
dividend disbursing agent. For providing transfer agency services, BNY Mellon is
entitled to a monthly fee, subject to certain minimums. Prior to February 8,
2010, DST Systems, Inc. served as the transfer agent and dividend disbursing
agent for the Predecessor Fund.
Effective February 8, 2010, PFPC Trust Company ("PFPC Trust"), a member of
The Bank of New York Mellon Corporation, provides custodial services to the
Fund. PFPC Trust is entitled to receive a monthly fee equal to an annual
percentage rate of the Fund's average daily net assets, subject to certain
minimum monthly fees. Prior to February 8, 2010, Union Bank N.A. acted as
custodian for the Predecessor Fund.
Effective February 8, 2010, BNY Mellon Distributors (the "Distributor"), an
affiliate of BNY Mellon, serves as the principal underwriter and distributor of
the Fund's shares pursuant to a Distribution Agreement with RBB. Effective
February 8, 2010, the Board of Directors has adopted a separate Plan of
Distribution for the Investor Class Shares (the "Plan") pursuant to Rule 12b-1
under the Investment Company Act. Under the Plan, the Fund's Distributor is
entitled to receive from the Fund a distribution fee with respect to the
Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25%
on an annualized basis of the average daily net assets of the Investor Class
Shares.
Prior to February 8, 2010, the Predecessor Fund had entered into
shareholder servicing agreements with third-party service providers pursuant to
which the service providers provide certain shareholder services to Predecessor
Fund shareholders (the "Service Plan"). Under the Service Plan, the Predecessor
Fund could pay service providers a shareholder servicing fee at a rate of up to
0.25% annually of the average daily net assets of the Investor Class Shares of
the Predecessor Fund.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Fund during the six months ended February 28, 2011 was $21,611.
Certain employees of BNY Mellon are Officers of the Company. They are not
compensated by the Fund or the Company.
Prior to February 8, 2010, certain officers and a trustee of The Advisors'
Inner Circle Fund II (the "Predecessor Trust") were also officers of SEI. Such
officers were paid no fees by the Predecessor Trust for serving as officers of
the Predecessor Trust. The services provided by the Chief Compliance Officer
("CCO") of the Predecessor Trust and his staff, whom were employees of SEI, were
paid for by the Predecessor Trust as incurred. The services included regulatory
oversight of the Predecessor Trust's Advisors and service providers as required
by SEC regulations. The CCO's services had been approved by and were reviewed by
the board of the Predecessor Trust.
16
PERIMETER
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding short-term investments) of the Fund were as
follows:
PURCHASES SALES
------------ ------------
$253,477,610 $267,425,732
5. SIGNIFICANT SHAREHOLDERS
As of the period ended February 28, 2011, the Fund had three shareholder
accounts and/or omnibus accounts (comprised of a group of individual
shareholders) that amounted to 60% of the total shares outstanding of the Fund.
6. FEDERAL TAX INFORMATION
Management has analyzed the Fund's tax positions taken on federal income
tax returns for all open tax years (July 31, 2007-2010 and August 31, 2010) and
has concluded that no provision for federal income tax is required in the Fund's
financial statements. The Fund's federal and state income and federal excise tax
returns for tax years for which the applicable statutes of limitations have not
expired are subject to examination by the Internal Revenue Service and state
departments of revenue.
As of February 28, 2011, federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by the Fund were as follows:
NET UNREALIZED
FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/
COST APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ ------------ --------------
$329,055,300 $100,908,163 $(6,375,691) $94,532,472
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements.
As of August 31, 2010 and July 31, 2010, the components of distributable
earnings on a tax basis were as follows:
AUGUST 31, 2010 JULY 31, 2010
--------------- -------------
Capital Loss Carryforwards ... $(9,010,990) $(9,569,118)
Unrealized Appreciation ...... 10,817,084 38,483,676
----------- -----------
Total ........................ $ 1,806,094 $28,914,558
=========== ===========
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 gains are reported as ordinary income
for federal income tax purposes.
There were no distributions paid during the period ended August 31, 2010
and the fiscal years ended July 31, 2010 and July 31, 2009. Dividends from net
investment income and short-term capital gains are treated as ordinary income
dividends for federal income tax purposes.
For federal income tax purposes, capital loss carryforwards are available
to offset future capital gains. As of August 31, 2010 and July 31, 2010, the
Fund had capital loss carryforwards as follows:
EXPIRES AS OF AUGUST 31 AS OF JULY 31
------- --------------- -------------
August 2016 ... $9,010,990 $ --
July 2017 ..... -- 9,569,118
17
PERIMETER
SMALL CAP GROWTH FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are effective for interim and annual reporting
periods beginning after December 15, 2009, and other required disclosures are
effective for fiscal years beginning after December 15, 2010 and for interim
periods within those fiscal years. Management has evaluated the impact and has
incorporated the appropriate disclosures required by ASU No. 2010-06 in its
financial statement disclosures.
8. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund
through the date the financial statements were issued, and has determined that
there were no events requiring disclosure.
18
PERIMETER
SMALL CAP GROWTH FUND
OTHER INFORMATION
(UNAUDITED)
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
Perimeter at (888) 968-4964 and on the Securities and Exchange Commission's
("SEC") website at http://www.sec.gov.
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 (202) 551-8090.
19
THIS PAGE INTENTIONALLY LEFT BLANK
THIS PAGE INTENTIONALLY LEFT BLANK
INVESTMENT ADVISOR
Perimeter Capital Management LLC
Six Concourse Parkway
Suite 3300
Atlanta, GA 30328
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young, LLP
Two Commerce Square
2001 Market Street
Suite 4000
Philadelphia, PA 19103
LEGAL COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
(ROBECO LOGO)
ROBECO INVESTMENT FUNDS
OF THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2011 (UNAUDITED)
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
ROBECO WPG SMALL/MICRO CAP VALUE FUND
(FORMERLY ROBECO WPG SMALL CAP VALUE FUND)
SAM SUSTAINABLE GLOBAL ACTIVE 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 BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA
19406.
ROBECO INVESTMENT FUNDS
GENERAL MARKET COMMENTARY
Dear Shareholder:
With the continuation of a strong earnings recovery, the U.S. equity
markets have posted double-digit returns virtually across the board over the six
months ended February 28, 2011. Corporate America's operating earnings for the
third quarter 2010 alone grew by 37% on a year-over-year basis for S&P 500
companies and marked the seventh-consecutive quarter of earnings expansion. The
majority of companies beat earnings expectations, helped by continued gains on
the cost side and more prevalent revenue growth. Along the way, corporate
earnings have been steadily approaching prior peaks and current consensus
expectations estimate that those levels will be surpassed this year as well.
In the meantime, Corporate America's balance sheets and income statements
have been very strong. So too has been free cash flow generation. Equity free
cash flow yields (or the price investors are paying for cash flows) are at
exceptionally attractive levels relative to history and to the bond market.
Yields have more recently begun to flatten out from historic levels, but for
good reasons: business spending has been picking up and equity prices have been
rising.
Business spending has come back from the historic doldrums of the recession
as well. According to an International Strategy & Investment survey of 114
companies with annual sales totaling 12% of U.S. GDP growth, CFOs are expecting
to spend excess cash versus saving it for a rainy day. Capital spending for the
S&P 500 companies increased over 20% in the third quarter and continued double
digit growth is expected through 2011. A turn in sentiment and behavior helps
grease the wheels for growth.
We don't expect a smooth ride, however. The economy is squarely recovering,
but so far, its growth has been less than would be expected after a severe
recession. As we noted in our Annual Report commentary last year, global risk
levels in general are elevated. Government debt loads in many countries are high
and rising, which points to increases in interest rates and inflation down the
road. There are also significant growth challenges facing developed economies,
including the U.S.
Our investment process helps us keep these risks in perspective and keep
opportunities in view. It is data driven, objectively addressing the facts to
assess a stock's risk/return profile in the context of earnings and valuation.
On both counts the data have been very good. In addition, we are seeing
significant gains in business momentum in numerous areas of the market, from the
auto industry to retailing businesses.
In our day-to-day work as stock pickers we are seeing evidence of a truly
unique investment environment: a strong earnings recovery is in progress,
corporate fundamentals have improved dramatically and valuations are very
attractive across multiple measures. These conditions reward investors over
time, and we plan on discussing in our portfolio commentaries in the 2011 Annual
Report how we have been taking advantage of them to build your portfolio for the
future.
Sincerely,
Robeco Investment Funds
SEMI-ANNUAL REPORT 2011 | 1
ROBECO INVESTMENT FUNDS
TOTAL RETURNS FOR THE PERIOD ENDED FEBRUARY 28, 2011 (UNAUDITED)
AVERAGE ANNUAL
----------------------------
SINCE
SIX-MONTH 1 YEAR 5 YEAR 10 YEAR INCEPTION
--------- ------ ------ ------- ---------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
Institutional Class 34.07% 23.12% 4.78% 10.73% N/A
Investor Class 33.78% 22.69% 4.50% 10.45% N/A
Russell 2000(R) Value Index 34.31% 28.87% 2.91% 8.68% N/A
Russell 2000(R) Index(1) 37.55% 32.59% 3.80% 7.06% N/A
(1) This is not a primary benchmark of the Fund. Results of the index
performance are presented for general comparative purposes.
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
Institutional Class 27.70% 26.47% 16.72% 11.42% N/A
Investor Class 27.57% 26.15% 16.33% 11.08% N/A
S&P 500(R) Index 27.73% 22.58% 2.87% 2.62% N/A
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND
Institutional Class(1) N/A N/A N/A N/A 11.30%
S&P 500(R) Index N/A N/A N/A N/A 17.27%
Investor Class(2) N/A N/A N/A N/A 6.92%
S&P 500(R) Index N/A N/A N/A N/A 12.16%
(1) Inception date September 30, 2010
(2) Inception date November 29, 2010
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
Institutional Class(1) 26.52% 19.46% 5.76% N/A 9.96%
Investor Class(1) 26.43% 19.16% 5.49% N/A 9.69%
Russell 3000(R) Value Index 26.92% 22.71% 1.67% N/A 5.93%
Russell 3000(R) Index(2) 29.34% 24.25% 3.21% N/A 6.22%
(1) Inception date July 1, 2002
(2) This is not a primary benchmark of the Fund. Results of the index
performance are presented for general comparative purposes.
ROBECO WPG SMALL/MICRO CAP VALUE FUND
Institutional Class 29.96% 31.20% 4.59% 4.91% N/A
Russell 2000(R) Value Index 34.31% 28.87% 2.91% 8.68% N/A
SAM SUSTAINABLE GLOBAL ACTIVE FUND
Institutional Class(1) 26.97% 23.49% N/A N/A 27.58%
MSCI World Index 26.07% 21.67% N/A N/A 25.08%
Investor Class(2) 26.93% 23.22% N/A N/A 27.75%
MSCI World Index 26.07% 21.67% N/A N/A 26.81%
(1) Inception date June 18, 2009
(2) Inception date July 15, 2009
2 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
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. ROBECO INVESTMENT MANAGEMENT, INC. WAIVED A PORTION OF
ITS ADVISORY FEE AND AGREED TO REIMBURSE A PORTION OF EACH FUND'S OPERATING
EXPENSES, IF 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. EACH
FUND'S ANNUAL OPERATING EXPENSE RATIOS BELOW ARE AS STATED IN THE CURRENT
PROSPECTUSES. THESE RATES CAN FLUCTUATE AND MAY DIFFER FROM THE ACTUAL EXPENSES
INCURRED BY A FUND FOR THE PERIOD COVERED BY THIS REPORT. 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. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE
DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE
CALL 1-888-261-4073 OR VISIT OUR WEB SITE AT WWW.ROBECOINVEST.COM.
INVESTORS SHOULD NOTE THAT THE FUNDS ARE ACTIVELY MANAGED MUTUAL FUNDS WHILE THE
INDICES ARE UNMANAGED, DO NOT INCUR EXPENSE AND ARE NOT AVAILABLE FOR
INVESTMENT.
SMALL COMPANY STOCKS ARE GENERALLY RISKIER THAN LARGE COMPANY STOCKS DUE TO
GREATER VOLATILITY AND LESS LIQUIDITY.
VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE
SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING
PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED.
THE SAM SUSTAINABLE GLOBAL ACTIVE FUND IS NON-DIVERSIFIED. GAINS OR LOSSES IN A
SINGLE SECURITY OR SECTOR MAY HAVE A GREATER IMPACT ON THIS FUND.
The following are the Funds' gross annual operating expense ratios as stated in
the most recent prospectus:
INSTITUTIONAL INVESTOR
CLASS CLASS
------------- --------
Robeco Boston Partners Small Cap Value Fund II .......... 1.38% 1.63%
Robeco Boston Partners Long/Short Equity Fund ........... 3.45%(1) 3.70%(1)
Robeco Boston Partners Long/Short Research Fund ......... 3.36%(1) 3.61%(1)
Robeco Boston Partners All-Cap Value Fund ............... 1.10% 1.35%
Robeco WPG Small/Micro Cap Value Fund ................... 1.78% N/A
SAM Sustainable Global Active Fund ...................... 2.81% 3.06%
(1) Includes interest and dividend expense on short sales.
SEMI-ANNUAL REPORT 2011 | 3
ROBECO INVESTMENT FUNDS
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, 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 six-month period from September 1, 2010 through February 28, 2011, 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 a 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(s) 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.
EXPENSE TABLE
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES
VALUE VALUE EXPENSE PAID DURING
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 RATIO PERIOD*
----------------- ----------------- ---------- ----------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
INSTITUTIONAL
Actual ........................................... $1,000.00 $1,340.70 1.30% $ 7.54
Hypothetical ..................................... 1,000.00 1,018.27 1.30% 6.53
INVESTOR
Actual ........................................... $1,000.00 $1,337.80 1.55% $ 8.98
Hypothetical ..................................... 1,000.00 1,017.01 1.55% 7.78
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
INSTITUTIONAL
Actual ........................................... $1,000.00 $1,277.00 3.32%(1) $18.74
Hypothetical ..................................... 1,000.00 1,008.13 3.32%(1) 16.67
INVESTOR
Actual ........................................... $1,000.00 $1,275.70 3.55%(1) $20.03
Hypothetical ..................................... 1,000.00 1,006.97 3.55%(1) 17.82
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND(2)
INSTITUTIONAL
Actual(3) ........................................ $1,000.00 $1,113.00 2.70%(1) $11.72
Hypothetical(4) .................................. 1,000.00 1,011.24 2.70%(1) 13.56
INVESTOR
Actual(5) ........................................ $1,000.00 $1,069.20 2.95%(1) $ 7.53
Hypothetical(4) .................................. 1,000.00 1,009.98 2.95%(1) 14.81
4 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
FUND EXPENSE EXAMPLES (unaudited) (concluded)
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES
VALUE VALUE EXPENSE PAID DURING
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 RATIO PERIOD*
----------------- ----------------- ---------- ----------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
INSTITUTIONAL
Actual ........................................... $1,000.00 $1,265.20 0.70% $3.93
Hypothetical ..................................... 1,000.00 1,021.28 0.70% 3.51
INVESTOR
Actual ........................................... $1,000.00 $1,264.30 0.95% $5.33
Hypothetical ..................................... 1,000.00 1,020.03 0.95% 4.77
ROBECO BOSTON PARTNERS WPG SMALL/MICRO VALUE FUND
INSTITUTIONAL
Actual ........................................... $1,000.00 $1,299.60 1.69% $9.64
Hypothetical ..................................... 1,000.00 1,016.31 1.69% 8.48
SAM SUSTAINABLE GLOBAL ACTIVE FUND
INSTITUTIONAL
Actual ........................................... $1,000.00 $1,269.70 1.20% $6.75
Hypothetical ..................................... 1,000.00 1,018.77 1.20% 6.02
INVESTOR
Actual ........................................... $1,000.00 $1,269.30 1.45% $8.16
Hypothetical ..................................... 1,000.00 1,017.51 1.45% 7.28
* Expenses are equal to the Fund's annualized six-month 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-half year period.
(1) These amounts include dividends paid on securities which the Funds have
sold short ("short-sale dividends") and related interest expense. The
annualized amount of short-sale dividends and related interest expense was
0.84% and 0.64% of average net assets for the most recent fiscal half-year
for the Robeco Boston Partners Long/Short Equity Fund and the Robeco Boston
Partners Long/Short Research Fund, respectively.
(2) Institutional Class commenced operations on October 2, 2010. Investor Class
commenced operations on December 1, 2010.
(3) Expenses are equal to an annualized expense ratio for the period beginning
September 30, 2010 to February 28, 2011 of 2.70%, multiplied by the average
account value over the period, multiplied by the number of days in the most
recent period (150) then divided by 365 days.
(4) Expenses (hypothetical expenses if the Fund had been in existence from
September 1, 2010) are equal to the Fund's annualized expense ratio,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (181), then divided by
365.
(5) Expenses are equal to an annualized expense ratio for the period beginning
November 29, 2010 to February 28, 2011 of 2.95%, multiplied by the average
account value over the period, multiplied by the number of days in the most
recent period (90) then divided by 365 days.
SEMI-ANNUAL REPORT 2011 | 5
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
PORTFOLIO HOLDINGS SUMMARY TABLES
ROBECO BOSTON PARTNERS
SMALL CAP VALUE FUND II
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- ------------
COMMON STOCK
Finance .............................. 20.2% $ 23,909,653
Consumer Services .................... 20.2 23,833,892
Health Care .......................... 12.8 15,093,960
Capital Goods ........................ 10.0 11,832,202
Technology ........................... 9.8 11,598,422
Consumer Non-Durables ................ 7.7 9,098,869
Real Estate Investment Trusts ........ 5.2 6,121,220
Basic Industries ..................... 3.2 3,820,738
Consumer Durables .................... 2.4 2,888,759
Energy ............................... 2.2 2,614,288
Transportation ....................... 1.9 2,216,670
Communications ....................... 1.1 1,320,741
Utilities ............................ 0.8 901,220
SECURITIES LENDING COLLATERAL ........... 14.2 16,707,049
LIABILITIES IN EXCESS OF OTHER ASSETS ... (11.7) (13,769,526)
----- ------------
NET ASSETS .............................. 100.0% $118,188,157
===== ============
Portfolio holdings are subject to change at any time.
ROBECO BOSTON PARTNERS
LONG/SHORT RESEARCH FUND
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- -----------
COMMON STOCK
Consumer Services .................... 19.5% $ 3,535,456
Technology ........................... 18.5 3,362,395
Finance .............................. 17.8 3,229,711
Capital Goods ........................ 11.9 2,168,692
Health Care .......................... 8.1 1,466,013
Consumer Non-Durables ................ 4.8 867,600
Energy ............................... 4.8 866,910
Basic Industries ..................... 4.5 820,279
Communications ....................... 3.9 708,960
Consumer Durables .................... 2.3 421,960
Utilities ............................ 0.7 139,158
WARRANTS ................................ 1.0 175,138
SECURITIES SOLD SHORT ................... (41.1) (7,456,295)
OTHER ASSETS IN EXCESS OF LIABILITIES ... 43.3 7,854,803
----- -----------
NET ASSETS .............................. 100.0% $18,160,780
===== ===========
Portfolio holdings are subject to change at any time.
ROBECO BOSTON PARTNERS
LONG/SHORT EQUITY FUND
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- -------------
COMMON STOCK
Finance .............................. 22.4% $ 99,579,522
Technology ........................... 16.6 73,984,610
Consumer Services .................... 13.3 58,932,418
Health Care .......................... 9.2 40,700,725
Capital Goods ........................ 7.1 31,428,122
Consumer Non-Durables ................ 6.5 28,757,914
Basic Industries ..................... 5.2 23,142,098
Energy ............................... 3.3 14,675,815
Consumer Durables .................... 3.2 14,144,693
Communications ....................... 3.0 13,317,011
Transportation ....................... 1.3 5,997,980
Real Estate Investment Trusts ........ 0.2 1,084,293
PREFERRED STOCK ......................... 0.3 1,055,116
SECURITIES LENDING COLLATERAL ........... 1.6 7,155,540
SECURITIES SOLD SHORT ................... (46.0) (204,223,392)
OPTIONS WRITTEN ......................... 0.0 (161,510)
OTHER ASSETS IN EXCESS OF LIABILITIES ... 52.8 234,823,424
----- -------------
NET ASSETS .............................. 100.0% $ 444,394,379
===== =============
Portfolio holdings are subject to change at any time.
ROBECO BOSTON PARTNERS
ALL-CAP VALUE FUND
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- ------------
COMMON STOCK
Finance .............................. 27.3% $ 76,876,348
Technology ........................... 17.9 50,404,531
Consumer Services .................... 16.2 45,584,885
Health Care .......................... 13.6 38,189,692
Energy ............................... 9.4 26,524,306
Consumer Non-Durables ................ 5.2 14,802,374
Capital Goods ........................ 4.5 12,616,666
Communications ....................... 2.4 6,849,250
Consumer Durables .................... 0.8 2,226,198
Real Estate Investment Trusts ........ 0.4 1,125,547
Utilities ............................ 0.3 903,949
Basic Industries ..................... 0.3 869,829
PREFERRED STOCK ......................... 0.1 287,759
CORPORATE BONDS ......................... 0.1 95,130
SECURITIES LENDING COLLATERAL ........... 2.1 5,985,471
WRITTEN OPTIONS ......................... (0.3) (899,469)
LIABILITIES IN EXCESS OF OTHER ASSETS ... (0.3) (718,010)
----- ------------
NET ASSETS .............................. 100.0% $281,724,456
===== ============
Portfolio holdings are subject to change at any time.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
6 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
PORTFOLIO HOLDINGS SUMMARY TABLES
ROBECO WPG SMALL/MICRO CAP VALUE FUND
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- -----------
COMMON STOCK
Finance .............................. 22.3% $ 9,130,833
Consumer Services .................... 15.4 6,296,729
Health Care .......................... 9.9 4,065,687
Capital Goods ........................ 8.9 3,646,698
Real Estate Investment Trusts ........ 7.7 3,139,551
Transportation ....................... 7.2 2,960,794
Technology ........................... 6.4 2,629,614
Consumer Non-Durables ................ 6.2 2,557,656
Utilities ............................ 5.0 2,030,376
Energy ............................... 2.1 839,664
Communications ....................... 2.0 804,534
Consumer Durables .................... 1.4 572,427
Basic Industries ..................... 0.7 297,208
PREFFERED STOCK ......................... 0.2 77,248
SECURITIES LENDING COLLATERAL ........... 9.6 3,942,776
LIABILITIES IN EXCESS OF OTHER ASSETS ... (5.0) (2,052,471)
----- -----------
NET ASSETS .............................. 100.0% $40,939,324
===== ===========
Portfolio holdings are subject to change at any time.
SAM SUSTAINABLE GLOBAL ACTIVE FUND
% of Net
Security Type/Sector Classification Assets Value
----------------------------------- -------- -----------
COMMON STOCK
Financial ............................ 17.9% $ 3,831,264
Energy ............................... 11.5 2,472,829
Health Care .......................... 11.2 2,392,841
Industrials .......................... 10.7 2,297,009
Consumer Staples ..................... 10.6 2,282,154
Information Technology ............... 9.7 2,083,069
Materials ............................ 8.8 1,881,162
Consumer Discretionary ............... 6.8 1,453,055
Telecommunciation Services ........... 5.4 1,165,578
Utilities ............................ 4.0 860,183
SECURITIES LENDING COLLATERAL ........... 4.5 959,056
LIABILITIES IN EXCESS OF OTHER ASSETS ... (1.1) (238,032)
----- -----------
NET ASSETS .............................. 100.0% $21,440,168
===== ===========
Portfolio holdings are subject to change at any time.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 7
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
COMMON STOCK--97.5%
BASIC INDUSTRIES--3.2%
Graham Packaging Co., Inc. * .................. 93,610 $ 1,590,433
Haynes International, Inc. .................... 11,905 617,154
Schweitzer-Mauduit International,
Inc. ....................................... 13,800 756,653
Sensient Technologies Corp. ................... 14,645 488,849
Spartech Corp. * .............................. 43,355 367,649
------------
3,820,738
------------
CAPITAL GOODS--10.0%
Actuant Corp., Class A ........................ 27,045 765,373
Beacon Roofing Supply, Inc. * ................. 68,405 1,450,869
Brady Corp., Class A .......................... 24,343 870,018
Drew Industries, Inc. (a) ..................... 21,110 488,273
Globe Specialty Metals, Inc. .................. 39,380 917,159
Granite Construction, Inc. (a) ................ 20,130 573,704
Griffon Corp. * ............................... 77,025 928,922
Hillenbrand, Inc. ............................. 29,215 635,426
Insituform Technologies, Inc.,
Class A * .................................. 51,075 1,319,778
LSI Industries, Inc. .......................... 20,375 157,703
Mueller Industries, Inc. ...................... 10,625 361,038
Mueller Water Products, Inc.,
Class A .................................... 92,830 376,890
Olin Corp. .................................... 16,605 309,019
Rofin-Sinar Technologies, Inc. * .............. 6,260 242,763
Tutor Perini Corp. ............................ 35,665 849,540
UniTek Global Services, Inc. * ................ 45,670 446,653
WESCO International, Inc. * (a) ............... 19,565 1,139,074
------------
11,832,202
------------
COMMUNICATIONS--1.1%
EarthLink, Inc. ............................... 48,595 399,937
Monster Worldwide, Inc. * (a) ................. 34,365 589,360
Neutral Tandem, Inc. * ........................ 19,270 331,444
------------
1,320,741
------------
CONSUMER DURABLES--2.4%
Tempur-Pedic International,
Inc. * (a) ................................. 23,715 1,113,182
Thor Industries, Inc. ......................... 24,430 812,053
Tower International, Inc. * (a) ............... 55,695 963,524
------------
2,888,759
------------
CONSUMER NON-DURABLES--7.7%
Alliance One International, Inc. * ............ 82,365 298,985
Brown Shoe Co., Inc. .......................... 37,862 586,861
Callaway Golf Co. (a) ......................... 81,075 627,521
Dole Food Co., Inc. * (a) ..................... 90,760 1,338,710
Fresh Del Monte Produce, Inc. ................. 23,690 677,060
Matthews International Corp.,
Class A .................................... 10,115 375,772
Nu Skin Enterprises, Inc.,
Class A (a) ................................ 25,620 817,790
RC2 Corp. * ................................... 44,175 959,039
Sanderson Farms, Inc. (a) ..................... 19,700 814,595
Skechers U.S.A., Inc., Class A * (a) .......... 28,545 593,165
Steven Madden Ltd. * .......................... 15,617 673,717
Number
of Shares Value
------------ ------------
CONSUMER NON-DURABLES--(CONTINUED)
Take-Two Interactive Software,
Inc. * (a) ................................. 47,085 $ 756,656
Universal Corp. (a) ........................... 13,845 578,998
------------
9,098,869
------------
CONSUMER SERVICES--20.2%
ABM Industries, Inc. .......................... 20,515 546,314
Asbury Automative Group, Inc. * ............... 50,540 932,463
Ascena Retail Group, Inc. * ................... 43,530 1,359,877
Asset Acceptance Capital
Corp. * (a) ................................ 26,055 153,203
Brink's Co., (The) ............................ 38,010 1,173,369
CBIZ, Inc. * .................................. 50,990 361,009
Charming Shoppes, Inc. * (a) .................. 135,505 443,101
Children's Place Retail Stores,
Inc., (The) * (a) .......................... 12,255 560,054
Ennis, Inc. ................................... 20,330 330,363
Finish Line, Inc., (The), Class A (a) ......... 72,185 1,260,350
FTI Consulting, Inc. * ........................ 21,720 716,543
G&K Services, Inc., Class A ................... 17,162 556,392
Geo Group, Inc., (The) * ...................... 19,800 503,514
Group 1 Automotive, Inc. (a) .................. 17,070 721,208
Heidrick & Struggles
International, Inc. ........................ 36,965 1,006,557
International Speedway Corp.,
Class A .................................... 38,123 1,056,770
KAR Auction Services, Inc. * .................. 51,420 721,937
Knoll, Inc. ................................... 56,773 1,173,498
Knot, Inc., (The) * ........................... 40,605 407,268
Korn/Ferry International * .................... 17,540 400,964
Live Nation Entertainment, Inc. * ............. 68,400 727,092
MAXIMUS, Inc. ................................. 14,895 1,102,230
Men's Wearhouse, Inc., (The) .................. 24,155 644,939
Navigant Consulting, Inc. * ................... 58,215 546,639
Regis Corp. ................................... 37,770 662,108
Rent-A-Center, Inc. (a) ....................... 29,550 976,923
Service Corp. International ................... 57,665 628,549
SFN Group, Inc. * ............................. 104,810 1,449,522
Steiner Leisure Ltd. * ........................ 7,520 354,643
Steinway Musical Instruments * ................ 18,070 388,144
Viad Corp. .................................... 13,925 319,161
World Fuel Services Corp. ..................... 39,797 1,649,188
------------
23,833,892
------------
ENERGY--2.2%
Bristow Group, Inc. * ......................... 15,600 747,552
Helix Energy Solutions Group, Inc. * .......... 31,395 483,483
Rosetta Resources, Inc. * ..................... 30,495 1,383,253
------------
2,614,288
------------
FINANCE--20.2%
Ameris Bancorp * .............................. 22,453 226,551
AMERISAFE, Inc. * ............................. 17,575 350,797
Apollo Investment Corp. ....................... 35,245 435,981
Centerstate Banks, Inc. ....................... 52,040 377,290
Citizens Republic Bancorp, Inc. * ............. 440,240 370,198
CNA Surety Corp. * ............................ 13,635 344,693
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
8 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
FINANCE--(CONTINUED)
Columbia Banking System, Inc. ................. 26,900 $ 533,696
Cowen Group, Inc., Class A * .................. 26,110 111,751
Cypress Sharpridge Investments,
Inc ........................................ 80,260 1,000,040
FBR Capital Markets Corp. * ................... 116,265 432,506
Fifth Street Finance Corp. (a) ................ 87,945 1,211,003
First American Financial Corp. ................ 44,040 694,070
First Citizens Bancshares, Inc.,
Class A .................................... 3,185 643,370
Flagstone Reinsurance Holdings S.A. ........... 22,570 257,298
Gladstone Capital Corp. ....................... 14,910 169,825
Global Indemnity PLC * ........................ 13,553 302,232
Heritage Financial Corp. * .................... 23,135 346,100
Horace Mann Educators Corp. ................... 24,320 412,224
Infinity Property & Casualty Corp. ............ 10,630 645,347
JMP Group, Inc. ............................... 63,985 546,432
Knight Capital Group, Inc.,
Class A * .................................. 91,020 1,275,190
Maiden Holdings Ltd. .......................... 124,740 996,673
MGIC Investment Corp. * (a) ................... 123,140 1,057,773
Nara Bancorp, Inc. * .......................... 87,355 915,480
Navigators Group, Inc., (The) * ............... 8,475 444,599
Nelnet, Inc., Class A ......................... 47,131 1,052,435
Ocwen Financial Corp. * ....................... 117,670 1,244,949
Park Sterling Corp. * ......................... 41,650 207,834
PHH Corp. * (a) ............................... 69,875 1,724,515
Platinum Underwriters Holdings Ltd. ........... 23,010 959,517
ProAssurance Corp. * .......................... 4,005 253,637
Safety Insurance Group, Inc. .................. 9,610 462,433
State Auto Financial Corp. .................... 31,155 538,358
Stewart Information Services
Corp ....................................... 41,925 467,464
Student Loan Corp., (The) ..................... 18,405 46,013
SVB Financial Group * ......................... 10,275 556,700
Symetra Financial Corp. ....................... 73,825 1,055,698
TradeStation Group, Inc. * .................... 53,820 362,209
United Rentals, Inc. * (a) .................... 12,665 392,362
Washington Federal, Inc. ...................... 27,260 484,410
------------
23,909,653
------------
HEALTH CARE--12.8%
Addus HomeCare Corp. * ........................ 48,641 218,398
AmSurg Corp. * ................................ 20,110 475,199
Centene Corp. * ............................... 17,170 523,170
CONMED Corp. * ................................ 23,940 633,931
Haemonetics Corp. * ........................... 16,295 1,004,587
Hanger Orthopedic Group, Inc. * ............... 28,950 778,755
ICON PLC, Sponsored ADR * ..................... 49,685 988,235
Kindred Healthcare, Inc. * .................... 66,610 1,659,921
LHC Group, Inc. * ............................. 16,425 490,451
LifePoint Hospitals, Inc. * ................... 14,345 559,168
Owens & Minor, Inc. ........................... 25,317 789,890
PAREXEL International Corp. * ................. 28,325 664,788
PharMerica Corp. * ............................ 18,790 220,783
PSS World Medical, Inc. * (a) ................. 23,665 615,763
RehabCare Group, Inc. * ....................... 37,630 1,397,955
Number
of Shares Value
------------ ------------
HEALTH CARE--(CONTINUED)
Select Medical Holdings Corp. * ............... 85,035 $ 663,273
Skilled Healthcare Group, Inc.,
Class A * .................................. 48,730 668,088
Symmetry Medical, Inc. * ...................... 113,625 1,027,170
U.S. Physical Therapy, Inc. * ................. 86,719 1,714,435
------------
15,093,960
------------
REAL ESTATE INVESTMENT TRUSTS--5.2%
Anworth Mortgage Asset Corp. .................. 191,497 1,367,289
Capstead Mortgage Corp. ....................... 29,635 389,404
Chatham Lodging Trust ......................... 49,210 859,699
Colony Financial, Inc. (a) .................... 21,250 451,563
Gladstone Commercial Corp. .................... 17,185 315,517
Hatteras Financial Corp. ...................... 11,100 328,338
MFA Financial, Inc. (a) ....................... 87,825 743,878
Monmouth Real Estate Investment
Corp., Class A ............................. 67,190 554,989
Redwood Trust, Inc. (a) ....................... 44,110 722,522
Two Harbors Investment Corp. .................. 35,115 388,021
------------
6,121,220
------------
TECHNOLOGY--9.8%
Bel Fuse, Inc., Class B ....................... 15,215 333,209
Belden, Inc. .................................. 38,415 1,407,141
Brooks Automation, Inc. * ..................... 42,940 538,897
CIBER, Inc. * ................................. 83,335 389,174
Coherent, Inc. * .............................. 6,940 428,545
Dolan Co., (The) * ............................ 23,960 299,500
Electronics for Imaging, Inc. * ............... 26,980 416,301
EnerSys * ..................................... 39,715 1,409,883
Generac Holdings, Inc. * ...................... 22,590 414,075
Heartland Payment Systems, Inc. ............... 56,450 1,105,291
Imation Corp. * ............................... 29,160 334,757
Insight Enterprises, Inc. * ................... 18,615 340,468
Integrated Device Technology,
Inc. * ..................................... 75,355 584,001
Ness Technologies, Inc. * ..................... 34,970 207,372
NETGEAR, Inc. * ............................... 27,520 902,656
Sykes Enterprises, Inc. * ..................... 57,800 1,075,080
SYNNEX Corp. * ................................ 18,310 645,977
Teradyne, Inc. * (a) .......................... 26,345 490,807
Verigy Ltd. * (a) ............................. 21,225 275,288
------------
11,598,422
------------
TRANSPORTATION--1.9%
Arkansas Best Corp. ........................... 18,030 427,672
Diana Shipping, Inc. * ........................ 37,565 468,060
Landstar System, Inc. ......................... 13,865 616,577
UTI Worldwide, Inc. ........................... 35,395 704,361
------------
2,216,670
------------
UTILITIES--0.8%
PNM Resources, Inc. ........................... 67,710 901,220
------------
TOTAL COMMON STOCK
(Cost $91,200,297) ...................... 115,250,634
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 9
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
SECURITIES LENDING COLLATERAL--14.2%
Institutional Money Market Trust .............. 15,606,786 $ 15,606,786
KBC Bank NV, 0.15%,
03/01/11,TD ................................ 1,100,263 1,100,263
------------
TOTAL SECURITIES LENDING
COLLATERAL
(Cost $16,707,049) ...................... 16,707,049
------------
TOTAL INVESTMENTS--111.7%
(Cost $107,907,346) ........................... 131,957,683
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(11.7)% ......................... (13,769,526)
------------
NET ASSETS--100.0% ............................... $118,188,157
============
ADR -- American Depositary Receipt
PLC -- Public Limited Company
TD -- Time Deposits
* -- Non-income producing.
(a) -- All or a portion of the security is on loan. (See Note 6 of the Notes to
Financial Statements)
A summary of the inputs used to value the Fund's investments as of February 28,
2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
------------ ------------ ----------- ------------
Common Stock * $115,250,634 $115,250,634 $ -- $--
Securities Lending Collateral 16,707,049 15,606,786 1,100,263
------------ ------------ ---------- ---
Total Assets $131,957,683 $130,857,420 $1,100,263 $--
============ ============ ========== ===
* see Portfolio of Investments detail for industry and security type
breakout.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
10 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
LONG POSITIONS--93.2%
COMMON STOCK--91.3%
BASIC INDUSTRIES--5.2%
AbitibiBowater, Inc. * (a) .................... 74,880 $ 2,095,891
AEP Industries, Inc. * + ...................... 84,069 2,360,658
Cytec Industries, Inc. + ...................... 50,470 2,868,210
Haynes International, Inc. + .................. 48,729 2,526,111
PH Glatfelter Co. + ........................... 300,970 3,704,941
POSCO, ADR + .................................. 28,210 2,907,887
Smurfit-Stone Container Corp. *+ .............. 96,070 3,692,931
Spartech Corp. * .............................. 352,060 2,985,469
------------
23,142,098
------------
CAPITAL GOODS--7.1%
Chase Corp. + ................................. 122,802 1,994,304
Ducommun, Inc. + .............................. 170,125 3,805,696
Dynamics Research Corp. * + ................... 88,835 1,364,506
General Cable Corp. * + ....................... 66,455 2,885,476
Global Power Equipment Group, Inc. * + ........ 145,959 3,279,699
Griffon Corp. * + ............................. 157,011 1,893,553
Hardinge, Inc ................................. 98,040 1,308,834
Innovative Solutions and Support, Inc. * ...... 254,447 1,511,415
Michael Baker Corp. * + ....................... 87,190 2,743,869
Miller Industries, Inc ........................ 44,523 739,972
Mohawk Industries, Inc. * + ................... 38,860 2,258,155
NCI Building Systems, Inc. * + ................ 220,460 3,115,100
WaterFurnace Renewable Energy, Inc. ........... 69,755 1,950,742
Zagg, Inc. * (a) .............................. 285,360 2,576,801
------------
31,428,122
------------
COMMUNICATIONS--3.0%
DISH Network Corp., Class A * + ............... 155,840 3,623,280
InfoSpace, Inc. * + ........................... 603,445 4,863,767
SureWest Communications * + ................... 370,965 4,829,964
------------
13,317,011
------------
CONSUMER DURABLES--3.2%
China XD Plastics Co., Ltd. * (a) ............. 172,490 1,228,129
D.R. Horton, Inc. (a) + ....................... 157,780 1,868,115
Hooker Furniture Corp. + ...................... 91,327 1,243,874
Libbey, Inc. * (a) + .......................... 186,675 3,208,943
Pulte Homes, Inc. * (a) + ..................... 212,300 1,464,870
Toll Brothers, Inc. * + ....................... 89,660 1,906,172
Visteon Corp. * ............................... 43,605 3,224,590
------------
14,144,693
------------
CONSUMER NON-DURABLES--6.5%
Anheuser-Busch
InBev NV - Sponsored ADR + .................. 116,845 6,546,825
Brunswick Corp. (a) + ......................... 125,630 2,893,259
Coca-Cola Femsa
S.A. de C.V. - Sponsored ADR + .............. 35,165 2,569,155
Hanesbrands, Inc. * ........................... 89,550 2,320,241
Kenneth Cole Products, Inc., Class A * ........ 178,124 2,315,612
Kid Brands, Inc. * ............................ 142,747 1,336,112
Lorillard, Inc. + ............................. 41,885 3,215,511
Number
of Shares Value
------------ ------------
CONSUMER NON-DURABLES--(CONTINUED)
Matthews International Corp., Class A + ....... 63,640 $ 2,364,226
Perry Ellis International, Inc. * + ........... 56,290 1,634,662
Rocky Brands, Inc. * .......................... 60,657 884,986
VF Corp. (a) + ................................ 27,985 2,677,325
------------
28,757,914
------------
CONSUMER SERVICES--13.3%
AFC Enterprises, Inc. * + ..................... 136,771 2,022,843
Asbury Automative Group, Inc. * + ............. 163,790 3,021,926
Barrett Business Services, Inc. + ............. 127,695 1,863,070
Benihana, Inc., Class A * + ................... 256,275 2,357,730
Century Casinos, Inc. * ....................... 768,896 1,999,130
Charming Shoppes, Inc. * ...................... 582,330 1,904,219
Christopher & Banks Corp. + ................... 437,490 2,673,064
CRA International, Inc. * + ................... 60,595 1,571,834
CVS Caremark Corp ............................. 77,115 2,549,422
Destination Maternity Corp. + ................. 59,329 2,675,738
Ennis, Inc. + ................................. 188,320 3,060,200
G.Willi-Food International Ltd. * ............. 64,630 484,725
Hackett Group, Inc. (The) * ................... 475,144 1,715,270
Heidrick & Struggles International, Inc. + .... 140,175 3,816,965
Hudson Highland Group, Inc. * + ............... 578,788 3,883,667
MarineMax, Inc. * + ........................... 237,076 2,140,796
Multi-Color Corp. + ........................... 107,619 1,996,332
Navigant Consulting, Inc. * ................... 222,925 2,093,266
Saga Communications, Inc., Class A * + ........ 73,467 2,130,543
Schawk, Inc. + ................................ 62,257 1,124,984
Steiner Leisure Ltd. * + ...................... 38,595 1,820,140
Towers Watson & Co., Class A + ................ 51,105 3,004,974
Tuesday Morning Corp. * ....................... 855,238 3,993,961
Viad Corp. + .................................. 78,415 1,797,272
Walgreen Co. + ................................ 74,535 3,230,347
------------
58,932,418
------------
ENERGY--3.3%
Canadian Natural Resources Ltd. (a) + ......... 59,165 2,975,999
Cenovus Energy Inc. + ......................... 79,125 3,078,754
Ensco PLC, Sponsored ADR (a) + ................ 38,485 2,159,008
EOG Resources, Inc. + ......................... 30,955 3,476,556
Mitcham Industries, Inc. * .................... 129,445 1,434,251
PHI, Inc. * ................................... 72,151 1,551,247
------------
14,675,815
------------
FINANCE--22.4%
ACE Ltd. + .................................... 42,920 2,714,690
Advance America Cash Advance Centers, Inc. .... 212,945 1,145,644
Alterra Capital Holdings Ltd. + ............... 59,245 1,281,469
Aon Corp. + ................................... 49,320 2,596,205
Banco Santander SA-Sponsored ADR + ............ 148,042 1,820,917
Bank of America Corp. + ....................... 283,405 4,049,857
Bank of Commerce Holdings ..................... 204,419 827,897
BankFinancial Corp. + ......................... 87,510 765,712
Beacon Federal Bancorp, Inc. .................. 44,125 622,161
Brown & Brown, Inc. + ......................... 97,080 2,537,671
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 11
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
FINANCE--(CONTINUED)
Calamos Asset Management, Inc., Class A + ..... 248,795 $ 4,125,021
Capital One Financial Corp. + ................. 59,615 2,967,039
CapitalSource, Inc. + ......................... 397,640 3,014,111
Capitol Federal Financial, Inc. + ............. 239,050 3,021,592
Century Bancorp, Inc., Class A + .............. 34,978 945,805
Citigroup, Inc.* .............................. 816,275 3,820,167
Citizens Republic Bancorp, Inc. * ............. 1,734,240 1,458,322
Cowen Group, Inc., Class A * .................. 256,505 1,097,841
ESSA Bancorp, Inc ............................. 56,950 740,350
FBR Capital Markets Corp. * ................... 396,490 1,474,943
Fidelity National Financial, Inc.,
Class A (a) + .............................. 108,715 1,505,703
First American Financial Corp. + .............. 63,145 995,165
First California Financial Group, Inc. * ...... 352,275 1,306,940
First Place Financial Corp. * ................. 117,925 383,256
First Southern Bancorp, Inc., Class B
144A * +++ ................................ 64,350 964,606
Flushing Financial Corp. + .................... 145,356 2,081,498
Fox Chase Bancorp, Inc ........................ 81,820 1,050,569
Goldman Sachs Group, Inc., (The) .............. 16,743 2,742,169
HF Financial Corp. ............................ 77,114 848,254
Hopfed Bancorp, Inc. .......................... 50,835 470,732
Hudson City Bancorp, Inc. ..................... 128,620 1,479,130
Investors Title Co. + ......................... 6,765 214,924
JPMorgan Chase & Co. + ........................ 146,481 6,839,198
Kaiser Federal Financial Group, Inc. + ........ 88,448 1,193,164
KKR Financial Holdings LLC (a) + .............. 188,330 1,877,650
Loews Corp. + ................................. 77,070 3,333,278
Maiden Holdings Ltd. + ........................ 467,927 3,738,737
Morgan Stanley + .............................. 77,853 2,310,677
NBH Holdings Corp., Class A 144A * ++ ......... 79,735 1,375,429
New Hampshire Thrift Bancshares, Inc. ......... 29,529 394,507
Nicholas Financial, Inc. * .................... 149,247 1,855,140
OceanFirst Financial Corp. .................... 54,265 752,113
OmniAmerican Bancorp, Inc. * .................. 58,505 916,773
Oriental Financial Group, Inc. + .............. 198,695 2,378,379
Oritani Financial Corp. ....................... 131,920 1,697,810
Penn Millers Holding Corp. * (a) .............. 34,130 484,305
SLM Corp. * + ................................. 173,065 2,564,823
Stewart Information Services Corp. ............ 116,450 1,298,418
Sun Bancorp, Inc. * ........................... 184,905 809,884
Teche Holding Co. ............................. 10,222 373,819
TFS Financial Corp. ........................... 127,910 1,327,706
TradeStation Group, Inc. * + .................. 193,190 1,300,169
United Bancshares, Inc. ....................... 46,740 434,682
Univest Corp. of Pennsylvania ................. 37,820 682,273
Validus Holdings Ltd. + ....................... 88,757 2,747,029
West Coast Bancorp * .......................... 423,435 1,426,976
White Mountains Insurance Group Ltd. + ........ 6,310 2,396,223
------------
99,579,522
------------
Number
of Shares Value
------------ ------------
HEALTH CARE--9.2%
Affymetrix, Inc. * ............................ 561,435 $ 2,756,646
Allied Healthcare International Inc. * ........ 721,115 1,766,732
Alpha PRO Tech Ltd. * ......................... 446,605 652,043
AmSurg Corp. * + .............................. 83,840 1,981,139
Anika Therapeutics, Inc. * .................... 231,960 2,099,238
BioClinica, Inc. * ............................ 301,156 1,439,526
Biolase Technology, Inc. * (a) ................ 875,370 2,713,647
Cross Country Healthcare, Inc. * .............. 284,222 2,364,727
Hooper Holmes, Inc. * ......................... 792,223 625,856
ICON PLC, Sponsored ADR * + ................... 146,420 2,912,294
Immucor, Inc. * + ............................. 102,650 1,998,596
IMRIS, Inc. * ................................. 167,740 1,246,243
Kendle International, Inc. * + ................ 124,092 1,476,695
Lincare Holdings, Inc. (a) + .................. 97,234 2,852,846
NovaMed, Inc. * + ............................. 157,118 2,064,531
Pfizer, Inc. + ................................ 199,660 3,841,458
Rotech Healthcare, Inc. * ..................... 188,283 638,279
Synergetics USA, Inc. * ....................... 428,691 2,164,890
Teva Pharmaceutical Industries Ltd.,
Sponsored ADR .............................. 84,885 4,252,739
Theragenics Corp. * ........................... 487,200 852,600
------------
40,700,725
------------
REAL ESTATE INVESTMENT TRUSTS--0.2%
Reis, Inc.* ................................... 145,153 1,084,293
------------
TECHNOLOGY--16.6%
ADPT Corp. * .................................. 781,795 2,329,749
Amdocs Ltd. * + ............................... 107,180 3,198,251
Avnet, Inc. * + ............................... 74,500 2,548,645
CA, Inc. + .................................... 183,435 4,545,519
Cisco Systems, Inc. * (a) ..................... 178,640 3,315,558
Coleman Cable, Inc. * ......................... 627,793 4,639,390
Compuware Corp. * + ........................... 252,175 2,839,490
Concurrent Computer Corp. * ................... 329,422 2,019,357
CoreLogic, Inc. + ............................. 187,450 3,495,942
CSG Systems International, Inc. * + ........... 163,630 3,198,966
DragonWave, Inc. * ............................ 55,475 432,705
GSI Group, Inc. * + ........................... 144,395 1,862,696
Hewlett-Packard Co. + ......................... 84,913 3,704,754
Hurco Cos., Inc. * + .......................... 96,505 2,898,045
Microsoft Corp. + ............................. 312,210 8,298,542
MRV Communications, Inc. * .................... 1,427,815 2,498,676
Oracle Corp. + ................................ 103,049 3,390,312
PAR Technology Corp. * ........................ 172,193 922,954
Pulse Electronics Corp ........................ 362,818 2,191,421
Rimage Corp. * + .............................. 94,574 1,419,556
SL Industries, Inc. * + ....................... 42,370 810,538
Sykes Enterprises, Inc. * + ................... 162,390 3,020,454
Telular Corp. + ............................... 325,121 2,259,591
Tier Technologies, Inc., Class B * + .......... 226,035 1,417,239
Tyco Electronics Ltd. + ....................... 91,130 3,284,325
Xerox Corp. ................................... 320,180 3,441,935
------------
73,984,610
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
12 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
TRANSPORTATION--1.3%
Baltic Trading Ltd. ........................... 147,075 $ 1,392,800
DHT Holdings, Inc ............................. 492,385 2,289,590
Republic Airways Holdings, Inc.* .............. 365,235 2,315,590
------------
5,997,980
------------
TOTAL COMMON STOCK
(Cost $355,634,965) ..................... 405,745,201
------------
PREFERRED STOCK--0.3%
FINANCE--0.3%
First Southern Bancorp, Inc.,
5.000% 144A ++ ............................. 110 1,055,116
------------
TOTAL PREFERRED STOCK
(Cost $110,000) ......................... 1,055,116
------------
SECURITIES LENDING COLLATERAL--1.6%
Institutional Money Market Trust .............. 6,684,303 6,684,303
KBC Bank NV, 0.15%, 03/01/11,TD ............... 471,237 471,237
------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,155,540) ....................... 7,155,540
------------
TOTAL LONG POSITIONS--93.2%
(Cost $362,900,505) ........................... 413,955,857
------------
SECURITIES SOLD SHORT--(46.0%)
COMMON STOCK--(46.0%)
BASIC INDUSTRIES--(3.7%)
Arch Coal, Inc ................................ (65,440) (2,194,203)
Avalon Rare Metals, Inc. * .................... (127,460) (948,302)
Cliffs Natural Resources, Inc. ................ (26,820) (2,603,417)
Ethanex Energy, Inc. * ........................ (648) (44)
Intrepid Potash, Inc. * ....................... (65,870) (2,542,582)
Molycorp, Inc. * .............................. (19,615) (941,324)
NewMarket Corp ................................ (16,335) (2,092,677)
Rare Element Resources Ltd. * ................. (61,300) (744,795)
Seabridge Gold, Inc. * ........................ (72,370) (2,413,540)
Tanzanian Royalty Exploration Corp. * ......... (174,450) (1,217,661)
Uranium Resources, Inc. * ..................... (231,695) (655,697)
------------
(16,354,242)
------------
CAPITAL GOODS--(2.3%)
ADA-ES, Inc. * ................................ (68,138) (990,727)
Applied Energetics, Inc. * .................... (238,070) (198,074)
Applied Nanotech Holdings, Inc. * ............. (8,285) (5,385)
DynaMotive Energy Systems Corp. * ............. (72,185) (10,250)
Lindsay Corp .................................. (22,150) (1,564,012)
PMFG, Inc. * .................................. (57,765) (1,072,118)
Satcon Technology Corp. * ..................... (275,070) (1,001,255)
Trex Co., Inc.* ............................... (174,170) (5,216,392)
------------
(10,058,213)
------------
COMMUNICATIONS--(5.0%)
Akamai Technologies, Inc. * ................... (57,765) (2,167,920)
Ancestry.com, Inc. * .......................... (55,980) (1,839,503)
Cogent Communications Group, Inc. * ........... (148,790) (2,193,165)
Number
of Shares Value
------------ ------------
COMMUNICATIONS--(CONTINUED)
CTC Communications Group,
Inc. * +++ (triangle) ...................... (98,900) $ (10)
Equinix, Inc. * ............................... (28,675) (2,478,667)
GSI Commerce, Inc. * .......................... (95,270) (1,980,663)
Interliant, Inc. * ............................ (600) 0
LogMeIn, Inc. * ............................... (53,410) (1,916,885)
OpenTable, Inc. * ............................. (15,270) (1,357,045)
Quepasa Corp. * ............................... (90,675) (789,779)
Rackspace Hosting, Inc. * ..................... (115,260) (4,254,247)
SAVVIS, Inc. * ................................ (65,925) (2,141,903)
Wave Systems Corp., Class A * ................. (290,760) (1,145,594)
------------
(22,265,381)
------------
CONSUMER DURABLES--(1.1%)
Kandi Technolgies Corp. * ..................... (32,850) (117,932)
Middleby Corp., (The) * ....................... (14,550) (1,304,699)
QSound Labs, Inc. * ........................... (4,440) (799)
Tesla Motors, Inc. * .......................... (62,725) (1,498,500)
Universal Electronics Inc. * .................. (79,920) (2,177,820)
(5,099,750)
CONSUMER NON-DURABLES--(1.9%)
Amish Naturals, Inc. * ........................ (25,959) (106)
Cal-Maine Foods, Inc. ......................... (76,875) (2,219,381)
Diamond Foods, Inc ............................ (33,565) (1,710,137)
Green Mountain Coffee Roasters, Inc. * ........ (81,305) (3,315,618)
Primo Water Corp.* ............................ (79,650) (1,017,927)
Valence Technology, Inc. * .................... (27,585) (41,653)
------------
(8,304,822)
------------
CONSUMER SERVICES--(11.4%)
Arbitron, Inc. ................................ (84,495) (3,363,746)
Blue Nile, Inc. * ............................. (76,950) (4,400,001)
Buffalo Wild Wings, Inc. * .................... (49,460) (2,620,885)
Chipotle Mexican Grill, Inc. * ................ (9,565) (2,343,425)
Constant Contact, Inc. * ...................... (44,670) (1,292,303)
EnerNOC, Inc. * ............................... (181,765) (3,504,429)
Lululemon Athletica, Inc. * ................... (11,900) (923,321)
Lumber Liquidators Holdings, Inc. * ........... (107,940) (2,512,843)
Medifast, Inc. ................................ (53,215) (1,231,395)
Netflix, Inc. * ............................... (26,175) (5,409,587)
New Oriental Education & Technology Group,
Inc. - Sponsored ADR * ..................... (16,210) (1,566,048)
Pegasystems, Inc .............................. (53,910) (2,171,495)
ReachLocal, Inc. * ............................ (92,380) (1,758,915)
Rentrak Corp. * ............................... (94,085) (2,486,667)
Ritchie Bros. Auctioneers, Inc. ............... (136,255) (3,474,503)
Sturm Ruger & Co., Inc. ....................... (150,510) (2,718,211)
Texas Roadhouse, Inc. * ....................... (147,730) (2,508,455)
Vail Resorts, Inc. * .......................... (34,190) (1,668,472)
VistaPrint NV * ............................... (59,995) (3,072,344)
Zumiez, Inc. * ................................ (67,920) (1,770,674)
------------
(50,797,719)
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 13
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
ENERGY--(2.4%)
Beard Co.* .................................... (9,710) $ (3,787)
Chesapeake Energy Corp ........................ (58,495) (2,083,007)
Complete Production Services, Inc. * .......... (47,745) (1,375,533)
Goodrich Petroleum Corp. * .................... (65,630) (1,334,914)
Houston American Energy Corp. ................. (108,035) (1,729,640)
InterOil Corp. * .............................. (17,825) (1,324,219)
RPC, Inc. ..................................... (146,285) (2,864,260)
------------
(10,715,360)
------------
FINANCE--(0.2%)
China Logistics, Inc. * ....................... (26) (1)
Value Line, Inc ............................... (70,044) (1,010,034)
------------
(1,010,035)
------------
HEALTH CARE--(3.3%)
athenahealth, Inc. * .......................... (46,225) (2,095,842)
BioTime, Inc. * ............................... (89,210) (614,657)
Bodytel Scientific, Inc. * .................... (4,840) (68)
Conceptus, Inc. * ............................. (55,725) (783,494)
DexCom, Inc. * ................................ (68,385) (1,000,473)
HeartWare International, Inc. * ............... (14,400) (1,210,752)
IDEXX Laboratories, Inc. * .................... (13,515) (1,050,116)
Intuitive Surgical, Inc. * .................... (7,955) (2,608,842)
MAKO Surgical Corp. * ......................... (98,715) (2,033,529)
Mindray Medical International Ltd.-ADR ........ (75,570) (2,046,436)
Savient Pharmaceuticals, Inc. * ............... (83,715) (807,013)
Spectranetics Corp. * ......................... (94,170) (453,899)
------------
(14,705,121)
------------
REAL ESTATE INVESTMENT TRUSTS--(0.3%)
St. Joe Co., (The) * .......................... (45,490) (1,218,222)
------------
TECHNOLOGY--(13.8%)
3D Systems Corp. * ............................ (75,310) (3,686,425)
Acme Packet, Inc. * ........................... (17,605) (1,324,600)
Advanced Micro Devices, Inc. * ................ (141,320) (1,301,557)
Aixtron AG-Sponsored ADR ...................... (75,935) (3,180,917)
American Superconductor Corp. * ............... (28,215) (748,262)
ANSYS, Inc. * ................................. (19,595) (1,103,590)
ANTS Software, Inc. * ......................... (10,334) (4,754)
ARM Holdings plc - Sponsored ADR .............. (168,850) (5,111,090)
Cavium Networks, Inc. * ....................... (32,750) (1,414,145)
China Fire & Security Group, Inc. * ........... (78,320) (450,340)
Ciena Corp. * ................................. (147,625) (4,070,021)
Cirrus Logic, Inc. * .......................... (44,295) (1,034,288)
Citrix Systems, Inc. * ........................ (13,495) (946,809)
ConSyGen, Inc. * .............................. (200) (1)
Cree, Inc. * .................................. (27,945) (1,471,863)
Ener1, Inc. * ................................. (102,820) (379,406)
EZchip Semiconductor Ltd. * ................... (54,945) (1,652,746)
F5 Networks, Inc. * ........................... (20,785) (2,452,838)
First Solar, Inc. * ........................... (24,045) (3,543,993)
Hyperdynamics Corp. * ......................... (201,215) (1,094,610)
Infinera Corp. * .............................. (82,030) (657,060)
IXYS Corp. * .................................. (93,400) (1,160,028)
Juniper Networks, Inc. * ...................... (32,275) (1,420,100)
Nestor, Inc. * ................................ (15,200) (17)
Number
of Shares Value
------------ -------------
TECHNOLOGY--(CONTINUED)
Netlogic Microsystems, Inc. * ................. (20,880) $ (864,223)
NetSuite, Inc. * .............................. (66,305) (1,989,813)
OmniVision Technologies, Inc. * ............... (70,600) (2,161,772)
QuickLogic Corp. * ............................ (185,985) (929,925)
RealPage, Inc. * .............................. (115,070) (2,853,736)
Red Hat, Inc. * ............................... (46,935) (1,937,477)
Salesforce.com, Inc. * ........................ (16,395) (2,168,567)
STEC, Inc. * .................................. (99,215) (2,026,962)
SuccessFactors, Inc. * ........................ (73,035) (2,622,687)
Tiger Telematics, Inc. * ...................... (6,510) (7)
TigerLogic Corp. * ............................ (96,490) (463,152)
Tower Semiconductor Ltd. * .................... (514,365) (694,393)
Vicor Corp .................................... (148,320) (2,258,914)
VMware, Inc., Class A * ....................... (22,700) (1,898,855)
WorldGate Communications, Inc. * .............. (582,655) (116,531)
Xybernaut Corp. * +++(triangle) ............... (35,000) 0
-------------
(61,196,474)
-------------
UTILITIES--(0.6%)
Cadiz, Inc.* .................................. (64,210) (821,888)
Clean Energy Fuels Corp.* ..................... (119,385) (1,676,165)
-------------
(2,498,053)
-------------
TOTAL COMMON STOCK
(Proceeds $179,267,376) ................. (204,223,392)
-------------
WARRANTS--0.0%
UTILITIES--0.0%
Greenhunter Energy, Inc. Exercise
Price $27.50, Exp. 09/15/11 ................ (423) 0
-------------
TOTAL WARRANTS
(Proceeds $0) ........................... 0
-------------
TOTAL SECURITIES SOLD
SHORT --(46.0%)
(Proceeds $179,267,376) ................. (204,223,392)
-------------
Number of
Contracts
------------
OPTIONS WRITTEN++--0.0%
Rare Element Resources, Ltd.
Call Options Expires 01/21/12
Strike Price $18 ........................... (62) (10,540)
Rare Element Resources, Ltd.
Call Options Expires 01/21/12
Strike Price $15 ........................... (77) (17,710)
Uranium Energy Corp. ..........................
Call Options Expires 08/20/11
Strike Price $3 ............................ (222) (72,150)
Uranium Energy Corp. ..........................
Call Options Expires 05/21/11
Strike Price $3 ............................ (194) (61,110)
-------------
TOTAL OPTIONS WRITTEN
(Premiums received $208,871) ............ (161,510)
-------------
OTHER ASSETS IN EXCESS OF LIABILITIES--52.8% ..... 234,823,424
-------------
NET ASSETS--100.0% ............................... $ 444,394,379
=============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
14 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)
PORTFOLIO OF INVESTMENTS
ADR -- American Depositary Receipt
PLC -- Public Limited Company
TD -- Time Deposits
144A -- 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. As of February 28, 2011, these securities amounted
to $3,395,151 or 0.8% of net assets. These 144A securities have not been
deemed illiquid.
* -- Non-income producing.
(a) -- All or a portion of the security is on loan. See Note 6 of the Notes to
Financial Statements.
+ -- Security position is either entirely or partially held in a segregated
account as collateral for securities sold short.
++ -- Primary risk exposure is equity contracts.
+++ -- Security has been valued at fair market value as determined in good
faith by or under the direction of The RBB Fund, Inc.'s Board of
Directors. As of February 28, 2011, long positions amounted to
$3,395,151 and short positions amounted to ($10), or 0.8% and 0.0%,
respectively, of net assets.
(triangle) -- Security has been deemed illiquid. Less then 0.001% of the Fund's
net assets were reported illiquid by the portfolio manager under
the Fund's policy.
A summary of the inputs used to value the Fund's investments as of February 28,
2011 is as follows (see Notes 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
0/28/11 PRICE INPUTS INPUTS
------------ ------------ ----------- ------------
Common Stock
Basic Industries $ 23,142,098 $ 23,142,098 $ -- $ --
Capital Goods 31,428,122 31,428,122 -- --
Communications 13,317,011 13,317,011 -- --
Consumer Durables 14,144,693 14,144,693 -- --
Consumer Non-Durables 28,757,914 28,757,914 -- --
Consumer Services 58,932,418 58,932,418 -- --
Energy 14,675,815 14,675,815 -- --
Finance 99,579,522 97,239,487 -- 2,340,035
Health Care 40,700,725 40,700,725 -- --
Real Estate Investment Trusts 1,084,293 1,084,293 -- --
Technology 73,984,610 73,984,610 -- --
Transportation 5,997,980 5,997,980 -- --
Preferred Stocks
Finance 1,055,116 -- -- 1,055,116
Securities Lending Collateral 7,155,540 -- 7,155,540 --
------------ ------------ ---------- ----------
Total Assets $413,955,857 $403,405,166 $7,155,540 $3,395,151
============ ============ ========== ==========
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
0/28/11 PRICE INPUTS INPUTS
------------ ------------ ----------- ------------
Options Written $(161,510) $-- $(161,510) $--
--------- --- --------- ---
Total Assets $(161,510) $-- $(161,510) $--
========= === ========= ===
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 15
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded)
PORTFOLIO OF INVESTMENTS
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS --
------------- ------------- ----------- ------------
Securities Sold Short
Basic Industries $ (16,354,242) $ (16,354,242) $-- $ --
Capital Goods (10,058,213) (10,058,213) -- --
Communications (22,265,381) (22,265,371) -- (10)
Consumer Durables (5,099,750) (5,099,750) -- --
Consumer Non-Durables (8,304,822) (8,304,822) -- --
Consumer Services (50,797,719) (50,797,719) -- --
Energy (10,715,360) (10,715,360) -- --
Finance (1,010,035) (1,010,035) -- --
Health Care (14,705,121) (14,705,121) -- --
Real Estate Investment Trusts (1,218,222) (1,218,222) -- --
Technology (61,196,474) (61,196,474) -- --
Utilities (2,498,053) (2,498,053) -- --
------------- ------------- --- ----
Total Liabilities $(204,223,392) $(204,223,382) $-- $(10)
============= ============= === ====
The following is a reconciliation of the Fund's Level 3 investments for which
significant unobservable inputs were used to determine fair value.
COMMON PREFERRED
STOCK STOCK
TOTAL -----------------------
INVESTMENTS FINANCE FINANCE
----------- ---------- ----------
Balance as of August 31, 2010 $2,499,108 $2,236,410 $ 262,698
Accrued discounts/premiums -- -- --
Net realized gain/(loss) -- -- --
Change in unrealized appreciation/(depreciation) 896,043 103,625 792,418
Net purchases/(sales) -- -- --
Transfers in and/or (out) of Level 3 * -- -- --
---------- ---------- ----------
Balance as of February 28, 2011 $3,395,151 $2,340,035 $1,055,116
========== ========== ==========
SECURITIES SOLD SHORT
----------------------------
TOTAL
INVESTMENTS COMMUNICATIONS
----------- --------------
Balance as of August 31, 2010 $(10) $(10)
Accrued discounts/premiums -- --
Net realized gain/(loss) -- --
Change in unrealized appreciation/(depreciation) -- --
Net purchases/(sales) -- --
Transfers in and/or (out) of Level 3 * -- --
---- ----
Balance as of February 28, 2011 $(10) $(10)
==== ====
* Transfers in and/or (out) of Level 3 are recognized as of the actual date
of the event or change in circumstances that caused the transfer.The
transfer occurred because of lack of observable market data due to decrease
in market activity for this security.The Fund presents unrealized
appreciation/(depreciation) on the Statement of Operations as net change in
unrealized appreciation/(depreciation) on investments.The change in
unrealized appreciation/(depreciation) related to investments still held at
February 28, 2011 was $896,043.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
16 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
LONG POSITIONS--97.8%
COMMON STOCK--96.8%
BASIC INDUSTRIES--4.5%
AbitibiBowater, Inc. * ........................ 1,970 $ 55,140
Albemarle Corp. + ............................. 500 28,780
Ball Corp. .................................... 764 27,580
Bayer AG - Sponsored ADR + .................... 875 68,014
Crown Holdings, Inc. * ........................ 1,393 53,603
Cytec Industries, Inc. + ...................... 1,370 77,857
Haynes International, Inc. + .................. 2,135 110,678
PanAust Ltd. * ................................ 89,796 73,598
Rock-Tenn Co., Class A ........................ 985 67,620
Solutia, Inc. * ............................... 3,965 92,028
Spartech Corp. * + ............................ 3,712 31,478
Symrise AG .................................... 1,872 49,121
Yamana Gold, Inc. + ........................... 6,660 84,782
------------
820,279
------------
CAPITAL GOODS--11.9%
3M Co. + ...................................... 640 59,027
Briggs & Stratton Corp. ....................... 1,490 29,994
Chicago Bridge & Iron Co. NV * ................ 1,610 57,187
Cooper Industries PLC ......................... 470 30,245
Dah Chong Hong Holdings Ltd. .................. 51,000 53,567
Dover Corp. + ................................. 1,260 80,955
Globe Specialty Metals, Inc. + ................ 6,687 155,740
Honeywell International, Inc. + ............... 3,595 208,186
Illinois Tool Works, Inc. + ................... 1,495 80,880
Ingersoll-Rand PLC ............................ 1,360 61,608
ITT Corp. ..................................... 1,205 69,806
Kennametal, Inc. + ............................ 1,465 56,344
Koninklijke Philips Electronics NV ............ 3,160 103,173
Lockheed Martin Corp. + ....................... 800 63,328
Meggitt PLC ................................... 6,004 33,010
Northrop Grumman Corp. ........................ 990 66,013
Oshkosh Corp. * + ............................. 2,055 73,302
Precision Castparts Corp. + ................... 690 97,808
Raytheon Co. + ................................ 1,785 91,410
Siemens AG - Sponsored ADR + .................. 1,218 163,748
Stanley Black & Decker, Inc. .................. 855 64,835
Thomas & Betts Corp. * ........................ 540 29,911
TriMas Corp. * + .............................. 2,765 56,876
Tyco International Ltd. + ..................... 4,660 211,284
URS Corp. * ................................... 647 30,105
Volvo AB - Sponsored ADR ...................... 3,660 63,208
WESCO International, Inc. * + ................. 1,325 77,142
------------
2,168,692
------------
COMMUNICATIONS--3.9%
DIRECTV, Class A * + .......................... 1,415 65,047
Monster Worldwide, Inc. * ..................... 4,580 78,547
Netease.com, Inc. - ADR * ..................... 570 26,591
RigNet, Inc. * + .............................. 4,715 69,311
Shenandoah Telecommunications Co. + ........... 5,218 91,315
Time Warner Cable, Inc. ....................... 1,375 99,248
Vodafone Group PLC - Sponsored ADR + .......... 6,025 172,436
Windstream Corp. + ............................ 8,490 106,465
------------
708,960
------------
Number
of Shares Value
------------ ------------
CONSUMER DURABLES--2.3%
Goodyear Tire & Rubber Co., (The) * ........... 7,330 $ 103,939
Hoshizaki Electric Co. Ltd. ................... 3,100 57,146
Johnson Controls, Inc. ........................ 1,920 78,336
Lennar Corp., Class A + ....................... 1,602 32,296
LISI .......................................... 684 56,558
TRW Automotive Holdings Corp. * ............... 850 48,280
Visteon Corp.* ................................ 614 45,405
------------
421,960
------------
CONSUMER NON-DURABLES--4.8%
Activision Blizzard, Inc. * ................... 3,255 36,196
Anheuser-Busch InBev NV -
Sponsored ADR + ............................ 2,866 160,582
Coca-Cola Enterprises, Inc. + ................. 5,215 137,154
ConAgra Foods, Inc. + ......................... 5,415 125,411
Electronic Arts, Inc. * + ..................... 3,445 64,766
Guess?, Inc. + ................................ 2,365 107,111
Henkel AG & Co. KGaA .......................... 885 45,187
Kerry Group PLC, Class A ...................... 1,687 61,226
Lorillard, Inc. + ............................. 847 65,024
Omega Pharma .................................. 1,345 64,943
------------
867,600
------------
CONSUMER SERVICES--19.5%
AnnTaylor Stores Corp. * + .................... 3,117 72,345
Asbury Automative Group, Inc. * ............... 2,895 53,413
CBS Corp., Class B + .......................... 9,610 229,295
Century Casinos, Inc. * ....................... 19,193 49,902
Cinemark Holdings, Inc. + ..................... 7,940 159,435
CVS Caremark Corp. ............................ 2,994 98,982
eBay, Inc. * + ................................ 1,750 58,634
Equifax, Inc. + ............................... 4,696 167,882
Expedia, Inc. + ............................... 2,405 47,763
Finish Line, Inc., (The), Class A ............. 2,111 36,858
Gap, Inc., (The) + ............................ 4,880 109,946
Home Depot, Inc. (The) + ...................... 3,120 116,906
IAC/InterActiveCorp * ......................... 1,060 32,934
Kohl's Corp. * + .............................. 1,775 95,655
Liberty Media Corp.-Starz,
Series A * + ............................... 2,198 154,300
Lowe's Cos., Inc. ............................. 3,205 83,875
Macy's, Inc. + ................................ 3,213 76,791
Manpower, Inc. + .............................. 3,083 195,771
McGraw-Hill Cos., Inc., (The) + ............... 4,100 158,588
Moody's Corp. + ............................... 5,825 185,818
Mothercare PLC ................................ 7,135 55,675
Nordstrom, Inc. + ............................. 2,640 119,486
Omnicom Group, Inc. + ......................... 3,725 189,603
Robert Half International, Inc. + ............. 3,593 114,617
Target Corp. .................................. 1,665 87,496
Time Warner, Inc. + ........................... 4,660 178,012
Towers Watson & Co., Class A + ................ 2,033 119,540
Viacom, Inc., Class B + ....................... 4,795 214,145
Wal-Mart Stores, Inc. + ....................... 1,708 88,782
Walgreen Co. .................................. 2,095 90,797
Williams-Sonoma, Inc. ......................... 2,555 92,210
------------
3,535,456
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 17
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
ENERGY--4.8%
CE Franklin Ltd. * ............................ 11,688 $ 106,594
EOG Resources, Inc. + ......................... 968 108,716
Noble Energy, Inc. ............................ 743 68,846
Occidental Petroleum Corp. + .................. 875 89,224
Pace Oil and Gas Ltd. * ....................... 8,237 75,965
PetroBakken Energy Ltd., Class A .............. 2,922 67,060
Rosetta Resources, Inc. *+ .................... 1,714 77,747
Royal Dutch Shell PLC - ADR ................... 1,715 123,909
Technicoil Corp. * ............................ 43,018 84,128
Xtreme Coil Drilling Corp. * .................. 12,000 64,721
------------
866,910
------------
FINANCE--17.8%
ACE Ltd. + .................................... 1,841 116,443
American Express Co. + ........................ 3,075 133,978
Bank of America Corp. + ....................... 9,455 135,112
Barclays PLC - Sponsored ADR + ................ 8,724 181,197
Capital One Financial Corp. + ................. 2,850 141,844
Centerstate Banks, Inc. ....................... 13,210 95,772
Discover Financial Services + ................. 8,258 179,611
Federated Investors, Inc., Class B + .......... 3,280 90,397
Fifth Third Bancorp + ......................... 7,630 111,398
JPMorgan Chase & Co. + ........................ 4,072 190,122
Kaiser Federal Financial Group,
Inc. + ..................................... 9,845 132,809
Maiden Holdings Ltd. .......................... 12,310 98,357
Morgan Stanley + .............................. 6,280 186,390
Oriental Financial Group, Inc. + .............. 10,725 128,378
PNC Financial Services Group,
Inc. + ..................................... 2,610 161,037
Popular, Inc. * ............................... 36,605 118,966
Raymond James Financial, Inc. + ............... 4,015 153,855
SLM Corp. * + ................................. 9,503 140,834
State Street Corp. + .......................... 2,677 119,715
TD Ameritrade Holding Corp. ................... 2,560 55,808
Torchmark Corp. ............................... 1,545 100,811
TradeStation Group, Inc. * .................... 11,563 77,819
Travelers Cos., Inc., (The) ................... 1,604 96,128
Validus Holdings Ltd. ......................... 3,145 97,338
Wells Fargo & Co. + ........................... 5,753 185,592
------------
3,229,711
------------
HEALTH CARE--8.1%
Amgen, Inc. * + ............................... 1,197 61,442
Cardinal Health, Inc. + ....................... 2,015 83,905
CareFusion Corp. * + .......................... 1,033 28,221
Covidien PLC + ................................ 1,734 89,214
DaVita, Inc. * + .............................. 1,416 112,388
Hologic, Inc. * + ............................. 1,858 37,494
Hospira, Inc. * ............................... 859 45,398
Humana, Inc. * ................................ 1,558 101,285
ICON PLC, Sponsored ADR * ..................... 4,259 84,712
Johnson & Johnson + ........................... 905 55,603
Lincare Holdings, Inc. + ...................... 4,242 124,460
McKesson Corp. + .............................. 1,798 142,545
Novartis AG - ADR + ........................... 605 34,043
Omnicare, Inc. + .............................. 4,382 125,457
Pfizer, Inc. + ................................ 1,396 26,859
Number
of Shares Value
------------ ------------
HEALTH CARE--(CONTINUED)
Quest Diagnostics, Inc. + ..................... 1,535 $ 87,111
Roche Holding AG - Sponsored ADR + ............ 1,560 58,594
Stryker Corp. + ............................... 1,063 67,245
WellPoint, Inc. * + ........................... 1,505 100,037
------------
1,466,013
------------
TECHNOLOGY--18.5%
Accenture PLC, Class A + ...................... 1,942 99,974
Alliance Data Systems Corp. * + ............... 875 68,897
Amdocs Ltd. * + ............................... 5,795 172,923
Analog Devices, Inc. + ........................ 2,076 82,791
Arrow Electronics, Inc. *+ .................... 3,347 131,202
Avnet, Inc. *+ ................................ 3,245 111,011
CA, Inc. + .................................... 5,948 147,391
CACI International, Inc., Class A * + ......... 1,255 74,447
CDC Software Corp. - ADR * .................... 11,025 71,332
CGI Group, Inc., Class A * + .................. 6,570 131,072
EMC Corp. * + ................................. 7,607 206,986
Flextronics International Ltd. * .............. 9,584 77,535
Generac Holdings, Inc. * + .................... 4,785 87,709
Harris Corp. + ................................ 3,405 158,877
Hewlett-Packard Co. + ......................... 4,157 181,370
Ingram Micro, Inc., Class A * + ............... 9,290 185,150
International Business Machines Corp. + ...... 833 134,846
Littelfuse, Inc. + ............................ 2,385 126,000
Microsoft Corp. + ............................. 6,170 163,999
Oracle Corp. + ................................ 6,072 199,769
STMicroelectronics NV + ....................... 11,263 144,617
Symantec Corp. * .............................. 3,548 63,970
Texas Instruments, Inc. + ..................... 2,020 71,932
Thermo Fisher Scientific, Inc. * + ............ 660 36,841
Tyco Electronics Ltd. + ....................... 2,350 84,694
Western Digital Corp. * + ..................... 3,370 103,055
Western Union Co. + ........................... 4,610 101,374
Xerox Corp. + ................................. 13,268 142,631
------------
3,362,395
------------
UTILITIES--0.7%
American Electric Power Co., Inc. + ........... 1,838 65,764
FirstEnergy Corp. + ........................... 1,916 73,394
------------
139,158
------------
TOTAL COMMON STOCK
(Cost $16,440,229) ......................... 17,587,134
------------
WARRANTS--1.0%
FINANCE--1.0%
JPMorgan Chase & Co., Strike Price $42.42,
Exp. 10/28/18 .............................. 10,456 175,138
------------
TOTAL WARRANTS
(Cost $148,765) ............................ 175,138
------------
TOTAL LONG POSITIONS--97.8%
(Cost $16,588,994) ............................ 17,762,272
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
18 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
SECURITIES SOLD SHORT--(41.1%)
COMMON STOCK--(41.1%)
BASIC INDUSTRIES--(0.9%)
Arch Coal, Inc. ............................... (2,659) $ (89,156)
Seabridge Gold, Inc. * ........................ (834) (27,814)
Tanzanian Royalty Exploration Corp. * ......... (2,490) (17,380)
Texas Industries, Inc. ........................ (600) (24,468)
------------
(158,818)
------------
CAPITAL GOODS--(2.1%)
Donaldson Co., Inc. ........................... (410) (23,083)
Encore Wire Corp. ............................. (1,815) (42,580)
FLIR Systems, Inc. ............................ (2,725) (88,018)
Graco, Inc. ................................... (602) (24,507)
Lindsay Corp. ................................. (490) (34,599)
Otter Tail Corp. .............................. (1,140) (25,673)
PMFG, Inc. * .................................. (695) (12,899)
Quanta Services, Inc. * ....................... (1,330) (30,337)
Trex Co., Inc. * .............................. (795) (23,810)
Vulcan Materials Co. .......................... (815) (37,368)
Watsco, Inc. .................................. (568) (36,681)
------------
(379,555)
------------
COMMUNICATIONS--(4.1%)
Akamai Technologies, Inc. * ................... (850) (31,900)
Ancestry.com, Inc. * .......................... (1,015) (33,353)
Cbeyond, Inc. * ............................... (2,710) (37,886)
Cincinnati Bell, Inc. * ....................... (13,160) (34,742)
Clearwire Corp., Class A * .................... (7,370) (37,071)
Cogent Communications Group, Inc. * ........... (4,030) (59,402)
Equinix, Inc. * ............................... (1,385) (119,719)
Global Crossing Ltd. * ........................ (2,252) (35,469)
GSI Commerce, Inc. * .......................... (1,009) (20,977)
Leap Wireless International, Inc. * ........... (2,655) (32,444)
Level 3 Communications, Inc. * ................ (32,335) (45,269)
OpenTable, Inc. * ............................. (415) (36,881)
PAETEC Holding Corp. * ........................ (8,105) (30,799)
Rackspace Hosting, Inc. * ..................... (1,297) (47,872)
SAVVIS, Inc. * ................................ (2,175) (70,666)
Tata Communications Ltd. - ADR * .............. (3,255) (29,295)
tw telecom, inc.* ............................. (2,335) (43,431)
------------
(747,176)
------------
CONSUMER DURABLES--(1.4%)
Ethan Allen Interiors, Inc. ................... (3,895) (85,885)
Harley-Davidson, Inc. ......................... (750) (30,615)
KB Home ....................................... (2,080) (27,560)
LKQ Corp. * ................................... (1,314) (31,221)
Middleby Corp., (The) * ....................... (281) (25,197)
Ryland Group, Inc., (The) ..................... (1,061) (18,419)
Sherwin-Williams Co., (The) ................... (410) (33,669)
------------
(252,566)
------------
CONSUMER NON-DURABLES--(2.8%)
China New Borun Corp. - ADR * ................. (5,565) (69,117)
Diamond Foods, Inc. ........................... (1,355) (69,037)
Flowers Foods, Inc. ........................... (2,576) (68,522)
Gildan Activewear, Inc. ....................... (2,771) (88,617)
Number
of Shares Value
------------ ------------
CONSUMER NON-DURABLES--(CONTINUED)
Green Mountain Coffee Roasters, Inc. * ........ (1,342) $ (54,727)
K-Swiss, Inc., Class A * ...................... (7,715) (77,227)
Luxottica Group SPA - Sponsored ADR ........... (914) (28,425)
LVMH Moet Hennessy Louis Vuitton
SA - Unsponsored ADR ....................... (1,767) (55,714)
------------
(511,386)
------------
CONSUMER SERVICES--(8.6%)
Blue Nile, Inc. * ............................. (848) (48,489)
Buffalo Wild Wings, Inc. * .................... (1,680) (89,023)
Cenveo, Inc. * ................................ (9,110) (50,925)
Churchill Downs, Inc. ......................... (1,026) (42,846)
Clean Harbors, Inc. * ......................... (201) (18,468)
Concur Technologies, Inc. * ................... (1,104) (57,441)
Fastenal Co. .................................. (497) (30,879)
Iron Mountain, Inc. ........................... (2,932) (76,232)
Lamar Advertising Co., Class A * .............. (1,855) (71,918)
Lumber Liquidators Holdings, Inc. * ........... (3,910) (91,025)
McClatchy Co., (The), Class A * ............... (14,825) (59,448)
Media General, Inc., Class A * ................ (11,090) (75,856)
New Oriental Education &
Technology Group, Inc. -
Sponsored ADR * ............................ (413) (39,900)
Pegasystems, Inc. ............................. (2,005) (80,761)
Pool Corp. .................................... (1,530) (38,189)
Ritchie Bros. Auctioneers, Inc. ............... (2,771) (70,661)
Rite Aid Corp. * .............................. (66,887) (87,622)
Rollins, Inc. ................................. (4,526) (88,800)
Sinclair Broadcasting Group, Inc.,
Class A .................................... (5,770) (74,664)
Sonic Corp. * ................................. (8,740) (77,611)
Sysco Corp. ................................... (2,925) (81,286)
United Natural Foods, Inc. * .................. (2,170) (92,117)
Vail Resorts, Inc. * .......................... (748) (36,502)
Winn-Dixie Stores, Inc. * ..................... (10,405) (72,627)
------------
(1,553,290)
------------
ENERGY--(3.4%)
Basic Energy Services, Inc. * ................. (2,345) (44,977)
BPZ Resources, Inc. * ......................... (15,185) (98,702)
CARBO Ceramics, Inc. .......................... (454) (56,282)
Chesapeake Energy Corp. ....................... (3,500) (124,635)
Continental Resources, Inc. * ................. (744) (51,730)
Forest Oil Corp. * ............................ (1,725) (61,220)
Goodrich Petroleum Corp. * .................... (4,589) (93,340)
Range Resources Corp. ......................... (463) (25,141)
RPC, Inc. ..................................... (3,487) (68,275)
------------
(624,302)
------------
FINANCE--(5.2%)
CVB Financial Corp. ........................... (7,750) (64,790)
Eaton Vance Corp. ............................. (1,715) (53,680)
FirstMerit Corp. .............................. (3,290) (56,095)
Glacier Bancorp, Inc. ......................... (4,490) (70,179)
Greenhill & Co., Inc. ......................... (743) (53,370)
Hancock Holding Co. ........................... (2,040) (70,727)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 19
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
FINANCE--(CONTINUED)
New York Community Bancorp, Inc. .............. (3,075) $ (57,380)
PacWest Bancorp ............................... (3,030) (62,751)
Republic Bancorp, Inc., Class A ............... (2,995) (51,334)
Royal Bank of Canada .......................... (993) (58,160)
Texas Capital Bancshares, Inc. * .............. (2,965) (74,837)
Textainer Group Holdings Ltd. ................. (1,885) (66,635)
Tompkins Financial Corp. ...................... (1,575) (64,575)
UMB Financial Corp. ........................... (1,790) (71,385)
Valley National Bancorp ....................... (4,770) (65,015)
------------
(940,913)
------------
HEALTH CARE--(3.7%)
Align Technology, Inc.* ....................... (1,460) (30,441)
AstraZeneca PLC - Sponsored ADR ............... (529) (26,011)
athenahealth, Inc. * .......................... (2,250) (102,015)
BioTime, Inc. * ............................... (1,645) (11,334)
Boston Scientific Corp. * ..................... (2,665) (19,081)
Bristol-Myers Squibb Co. ...................... (1,803) (46,535)
Conceptus, Inc. * ............................. (1,218) (17,125)
Elan Corp. PLC - Sponsored ADR * .............. (3,250) (20,638)
IDEXX Laboratories, Inc. * .................... (544) (42,269)
Intuitive Surgical, Inc. * .................... (69) (22,629)
Lundbeck (H.) A/S ............................. (2,275) (52,001)
Orion OYJ, Class B * .......................... (885) (20,249)
Qiagen NV * ................................... (1,678) (34,617)
Seattle Genetics, Inc. * ...................... (1,035) (15,370)
Stericycle, Inc. * ............................ (837) (72,334)
STERIS Corp. .................................. (1,409) (47,695)
Valeant Pharmaceuticals International, Inc. ... (603) (24,168)
Warner Chilcott PLC, Class A .................. (1,530) (36,230)
Wright Medical Group, Inc.* ................... (1,485) (23,508)
------------
(664,250)
------------
TECHNOLOGY--(7.2%)
Alvarion Ltd. * ............................... (16,669) (32,671)
Aspen Technology, Inc. * ...................... (3,796) (57,813)
Blackboard, Inc. * ............................ (2,018) (70,650)
Ciena Corp. * ................................. (3,085) (85,053)
Cirrus Logic, Inc. * .......................... (2,974) (69,443)
Dassault Systemes SA - ADR .................... (771) (59,043)
Finisar Corp. * ............................... (2,140) (87,783)
First Solar, Inc. * ........................... (415) (61,167)
Infinera Corp. * .............................. (3,630) (29,076)
Itron, Inc. * ................................. (863) (48,941)
Logitech International SA * ................... (3,830) (72,272)
National Instruments Corp. .................... (1,836) (57,155)
NetSuite, Inc. * .............................. (2,204) (66,142)
Polycom, Inc. * ............................... (1,640) (78,392)
Red Hat, Inc. * ............................... (1,405) (57,998)
Salesforce.com, Inc. * ........................ (436) (57,670)
Skyworks Solutions, Inc. * .................... (2,095) (75,294)
Syntel, Inc. .................................. (1,168) (61,495)
Total Systems Services, Inc. .................. (2,810) (49,878)
VMware, Inc., Class A * ....................... (702) (58,722)
Wipro Ltd. - ADR .............................. (5,075) (66,787)
------------
(1,303,445)
------------
Number
of Shares Value
------------ ------------
TRANSPORTATION--(0.8%)
CH Robinson Worldwide, Inc. ................... (655) $ (47,415)
Expeditors International of
Washington, Inc. ........................... (1,132) (54,110)
Genco Shipping & Trading Ltd. * ............... (3,995) (48,499)
-----------
(150,024)
-----------
UTILITIES--(0.9%)
Aqua America, Inc. ............................ (708) (15,944)
Consolidated Edison, Inc. ..................... (324) (16,194)
NextEra Energy, Inc. .......................... (548) (30,398)
Progress Energy, Inc. ......................... (761) (34,785)
Wisconsin Energy Corp. ........................ (564) (33,389)
Xcel Energy, Inc. ............................. (1,665) (39,860)
-----------
(170,570)
----------
TOTAL COMMON STOCK
(Proceeds $6,971,229) ................... (7,456,295)
TOTAL SECURITIES SOLD
SHORT --(41.1%)
(Proceeds $6,971,229) ................... (7,456,295)
OTHER ASSETS IN EXCESS OF LIABILITIES--43.3% ..... 7,854,803
------------
NET ASSETS--100.0% ............................... $ 18,160,780
============
----------
ADR -- American Depositary Receipt
PLC -- Public Limited Company
* -- Non-income producing.
+ -- Security position is either entirely or partially held in a segregated
account as collateral for securities sold short.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
20 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (concluded)
PORTFOLIO OF INVESTMENTS
A summary of the inputs used to value the Fund's investments as of February 28,
2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
----------- ----------- ----------- ------------
Investment in securities * $17,762,272 $17,762,272 $-- $--
----------- ----------- --- ---
Total Assets $17,762,272 $17,762,272 $-- $--
----------- ----------- --- ---
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
----------- ----------- ----------- ------------
Investment in securities sold short * $(7,456,295) $(7,456,295) $-- $--
----------- ----------- --- ---
Total Liabilities $(7,456,295) $(7,456,295) $-- $--
=========== =========== === ===
* see Portfolio of Investments detail for country and security type breakout
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 21
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
COMMON STOCK--98.3%
BASIC INDUSTRIES--0.3%
Ball Corp. .................................... 24,095 $ 869,829
------------
CAPITAL GOODS--4.5%
Actuant Corp., Class A ........................ 42,355 1,198,646
Dover Corp. ................................... 30,460 1,957,055
Illinois Tool Works, Inc. ..................... 62,510 3,381,791
Parker-Hannifin Corp. ......................... 22,387 1,996,473
Spirit Aerosystems Holdings, Inc.,
Class A * .................................. 35,400 920,046
Stanley Black & Decker, Inc. .................. 20,810 1,578,022
Tyco International Ltd. ....................... 34,950 1,584,633
------------
12,616,666
------------
COMMUNICATIONS--2.4%
Monster Worldwide, Inc. * (a) ................. 57,355 983,638
Vodafone Group PLC -
Sponsored ADR .............................. 204,948 5,865,612
------------
6,849,250
------------
CONSUMER DURABLES--0.8%
Thor Industries, Inc. ......................... 24,095 800,918
Tower International, Inc. * ................... 31,305 541,577
Visteon Corp. * ............................... 11,950 883,703
------------
2,226,198
------------
CONSUMER NON-DURABLES--5.2%
Electronic Arts, Inc. * ....................... 146,365 2,751,662
Jones Group, Inc. (The) ....................... 72,300 961,590
Mattel, Inc. .................................. 133,860 3,354,532
Matthews International Corp.,
Class A .................................... 18,935 703,435
PepsiCo, Inc. ................................. 62,460 3,961,213
Philip Morris International, Inc. ............. 48,900 3,069,942
------------
14,802,374
------------
CONSUMER SERVICES--16.2%
CEC Entertainment, Inc. * ..................... 41,320 1,598,671
eBay, Inc. * .................................. 105,975 3,550,692
Equifax, Inc. ................................. 64,665 2,311,774
Expedia, Inc. # (a) ........................... 134,313 2,667,456
GameStop Corp., Class A * (a) ................. 97,810 1,951,310
Harte-Hanks, Inc. ............................. 106,405 1,350,279
Herbalife Ltd. ................................ 21,785 1,708,162
HSN, Inc. * # ................................. 44,540 1,446,659
IAC/InterActiveCorp * ......................... 26,970 837,958
Kohl's Corp. * ................................ 84,656 4,562,112
Manpower, Inc. ................................ 50,995 3,238,183
Omnicom Group, Inc. ........................... 75,145 3,824,881
Pantry, Inc. (The) * .......................... 18,635 293,688
Regis Corp. ................................... 130,105 2,280,741
Rent-A-Center, Inc. (a) ....................... 82,685 2,733,566
Target Corp. .................................. 59,720 3,138,286
Towers Watson & Co., Class A .................. 37,210 2,187,948
Viacom, Inc., Class B ......................... 40,930 1,827,934
Wal-Mart Stores, Inc. ......................... 46,515 2,417,850
Wright Express Corp. * ........................ 32,485 1,656,735
------------
45,584,885
------------
Number
of Shares Value
------------ ------------
ENERGY--9.4%
Apache Corp. .................................. 19,975 $ 2,489,284
Canadian Natural Resources Ltd. ............... 34,905 1,755,721
Chevron Corp. ................................. 71,265 7,393,744
EOG Resources, Inc. (a) ....................... 27,055 3,038,547
Noble Energy, Inc. # .......................... 26,300 2,436,958
Occidental Petroleum Corp. .................... 51,425 5,243,807
PetroBakken Energy Ltd., Class A .............. 50,195 1,151,975
Royal Dutch Shell PLC - ADR ................... 41,720 3,014,270
------------
26,524,306
------------
FINANCE--27.3%
ACE Ltd. ...................................... 38,995 2,466,434
Alleghany Corp. * ............................. 8,581 2,923,976
American Express Co. .......................... 69,140 3,012,430
Axis Capital Holdings Ltd. .................... 21,885 794,863
Bank of America Corp. ......................... 447,695 6,397,561
BB&T Corp. .................................... 85,355 2,355,798
Bond Street Holdings LLC,
Class A 144A * +++ ......................... 63,670 1,306,508
Capital One Financial Corp. ................... 65,220 3,245,999
Citigroup, Inc. * # ........................... 1,010,460 4,728,953
Federated Investors, Inc.,
Class B (a) ................................ 61,670 1,699,625
First American Financial Corp. ................ 56,290 887,130
First Southern Bancorp, Inc.,
Class B 144A * +++ ......................... 17,550 263,075
Flagstone Reinsurance
Holdings S.A. .............................. 95,295 1,086,363
Hanover Insurance Group,
Inc., (The) ................................ 28,750 1,336,013
Hercules Technology Growth
Capital, Inc. .............................. 74,655 825,684
J.G.Wentworth, Inc. * +/- (triangle) +++ ...... -- 0
JPMorgan Chase & Co. .......................... 219,595 10,252,891
Loews Corp. ................................... 147,714 6,388,631
Maiden Holdings Ltd. .......................... 38,990 311,530
Morgan Stanley ................................ 76,365 2,266,513
NBH Holdings Corp.,
Class A 144A * +++ ......................... 40,025 690,431
Peoples Choice Financial
Corp. 144A *(triangle) +++ ................. 1,465 0
SLM Corp. * ................................... 257,905 3,822,152
Solar Cayman Ltd. 144A * (triangle) +++ ....... 19,375 0
State Street Corp. ............................ 62,865 2,811,323
THL Credit, Inc. .............................. 29,905 402,222
Travelers Cos., Inc., (The) ................... 74,325 4,454,297
Unum Group .................................... 82,076 2,177,476
Validus Holdings Ltd. ......................... 62,199 1,925,059
Wells Fargo & Co. ............................. 157,395 5,077,563
White Mountains Insurance
Group Ltd. ................................. 7,810 2,965,848
------------
76,876,348
------------
HEALTH CARE--13.6%
Amgen, Inc. * ................................. 99,850 5,125,300
Becton, Dickinson & Co. ....................... 20,155 1,612,400
Cardinal Health, Inc. ......................... 65,860 2,742,410
CareFusion Corp. * ............................ 69,780 1,906,390
Covidien PLC .................................. 47,360 2,436,672
Humana, Inc. * ................................ 39,615 2,575,371
Johnson & Johnson ............................. 75,055 4,611,379
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
22 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
HEALTH CARE--(CONTINUED)
McKesson Corp. ................................ 40,530 $ 3,213,218
Medtronic, Inc. ............................... 37,750 1,506,980
Pfizer, Inc. .................................. 466,596 8,977,307
UnitedHealth Group, Inc. ...................... 41,920 1,784,954
WellPoint, Inc. * ............................. 25,535 1,697,311
------------
38,189,692
------------
REAL ESTATE INVESTMENT TRUSTS--0.4%
Ashford Hospitality Trust, Inc. * ............. 59,885 617,414
Colony Financial, Inc ......................... 11,810 250,963
Terreno Realty Corp. * ........................ 14,030 257,170
TMST, Inc. * +++ .............................. 191,097 0
------------
1,125,547
------------
TECHNOLOGY--17.9%
Accenture PLC, Class A ........................ 70,645 3,636,805
Arrow Electronics, Inc. * ..................... 63,195 2,477,244
Avnet, Inc. * ................................. 63,630 2,176,782
BancTec, Inc., 144A * +++ .................... 15,732 70,794
CA, Inc. ...................................... 125,310 3,105,182
Flextronics International Ltd. * .............. 175,376 1,418,792
Heartland Payment Systems, Inc. ............... 65,095 1,274,560
Hewlett-Packard Co. ........................... 91,445 3,989,745
International Business Machines
Corp. ...................................... 47,515 7,691,728
Maxim Integrated Products, Inc. ............... 40,025 1,103,890
Microchip Technology, Inc. (a) ................ 24,575 907,063
Micron Technology, Inc. * ..................... 171,530 1,909,129
Microsoft Corp. ............................... 192,885 5,126,883
Oracle Corp. # ................................ 108,020 3,553,858
Tech Data Corp. * ............................. 46,330 2,297,041
Texas Instruments, Inc. ....................... 82,990 2,955,274
Tyco Electronics Ltd. ........................ 118,320 4,264,253
Western Union Co. ............................. 111,210 2,445,508
------------
50,404,531
------------
UTILITIES--0.3%
FirstEnergy Corp. (a) ......................... 23,602 903,949
------------
TOTAL COMMON STOCK
(Cost $246,846,936) ..................... 276,973,575
------------
PREFERRED STOCK--0.1%
FINANCE--0.1%
First Southern Bancorp, Inc.,
5.000% 144A +++ ........................... 30 287,759
------------
TOTAL PREFERRED STOCK
(Cost $30,000) .......................... 287,759
------------
Par
(000)
------------
CORPORATE BONDS--0.1%
MBIA Insurance Corp. 144A + ##
14.00% 01/15/33 ............................ $ 151 95,130
Thornburg Mortgage, Inc. (PIK) @ (triangle) +++
18.00% 03/31/15 ............................ 74 0
Thornburg Mortgage, Inc. 144A @ (triangle) +++
18.00% 03/31/15 ............................ 824 0
------------
TOTAL CORPORATE BONDS
(Cost $981,305) ......................... 95,130
------------
Number
of Shares Value
------------ ------------
SECURITIES LENDING COLLATERAL--2.1%
Institutional Money Market Trust .............. 5,591,290 $ 5,591,290
KBC Bank NV, 0.15%, 03/01/11,TD ............... 394,181 394,181
------------
TOTAL SECURITIES LENDING
COLLATERAL
(Cost $5,985,471) ....................... 5,985,471
------------
TOTAL INVESTMENTS--100.6%
(Cost $253,843,712) ........................... 283,341,935
------------
Number of
Contracts
------------
OPTIONS WRITTEN++--(0.3%)
Citigroup, Inc. Call Options
Expires 01/21/12
Strike Price $4 ............................ (1,640) (164,000)
Citigroup, Inc. Call Options
Expires 01/19/13
Strike Price $6 ............................ (2,714) (132,986)
Expedia, Inc. Call Options
Expires 01/21/12
Strike Price $35 ........................... (352) (4,224)
HSN, Inc. Call Options
Expires 03/19/11
Strike Price $35 ........................... (161) (5,635)
Noble Energy, Inc. Call Options
Expires 05/21/11
Strike Price $75 ........................... (263) (460,250)
Oracle Corp. Call Options
Expires 01/21/12
Strike Price $35 ........................... (547) (132,374)
------------
TOTAL OPTIONS WRITTEN
(Premiums received $795,037) ............ (899,469)
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.3)% .......................... (718,010)
------------
NET ASSETS--100.0% ............................... $281,724,456
============
----------
144A -- 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. As of February 28, 2011, these securities amounted
to $2,713,697 or 1.0% of net assets. These 144A securities have not been
deemed illiquid.
ADR -- American Depositary Receipt
PIK -- Payment In Kind
PLC -- Public Limited Company
TD -- Time Deposits
* -- Non-income producing.
@ -- Security in default.
+++ -- Security has been valued at fair market value as determined in good
faith by or under the direction of The RBB Fund, Inc.'s Board of
Directors. As of February 28, 2011, these securities amounted to
$2,618,567 or 0.9% of net assets.
+/- -- Total shares owned by the Fund as of February 28, 2011 were less than
one share.
+ -- Adjustable rate security.
# -- Security segregated as collateral for options written.
## -- Callable security.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 23
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (concluded)
PORTFOLIO OF INVESTMENTS
(a) -- All or a portion of the security is on loan. See Note 6 of the Notes to
Financial Statements.
(triangle) -- Security has been deemed illiquid. Less than 0.1% of the Fund's
net assets were reported illiquid by the portfolio manager under the
Funds' policy.
++ -- Primary risk exposure is equity contracts.
A summary of the inputs used to value the Fund's investments as of Feburary 28,
2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
------------ ------------ ----------- ------------
Common Stock
Basic Industries $ 869,829 $ 869,829 $ -- $ --
Capital Goods 12,616,666 12,616,666 -- --
Communications 6,849,250 6,849,250 -- --
Consumer Durables 2,226,198 2,226,198 -- --
Consumer Non-Durables 14,802,374 14,802,374 -- --
Consumer Services 45,584,885 45,584,885 -- --
Energy 26,524,306 26,524,306 -- --
Finance 76,876,348 74,616,334 -- 2,260,014
Health Care 38,189,692 38,189,692 -- --
Real Estate Investment Trusts 1,125,547 1,125,547 -- --
Technology 50,404,531 50,333,737 -- 70,794
Utilities 903,949 903,949 -- --
Preferred Stocks 287,759 -- -- 287,759
Corporate Bonds 95,130 -- 95,130 --
Securities Lending Collateral 5,985,471 5,591,290 394,181 --
------------ ------------ -------- ----------
Total Assets $283,341,935 $280,234,057 $489,311 $2,618,567
============ ============ ======== ==========
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
----------- ------- ----------- ------------
Options Written $(899,469) $-- $(899,469) $--
--------- --- --------- ---
Total Liabilities $(899,469) $-- $(899,469) $--
========= === ========= ===
The following is a reconciliation of the Fund's Level 3 investments for which
significant unobservable inputs were used to determine fair value.
PREFERRED
COMMON STOCK STOCK
TOTAL ----------------------- --------
INVESTMENTS FINANCE TECHNOLOGY FINANCE
----------- ---------- ---------- ---------
Balance as of August 31, 2010 $2,456,323 $2,248,439 $136,239 $ 71,645
Accrued discounts/premiums -- -- -- --
Net realized gain/(loss) -- -- -- --
Change in unrealized appreciation/(depreciation) 162,244 11,575 (65,445) 216,114
Net purchases/(sales) -- -- -- --
Transfers in and/or (out) of Level 3 * -- -- -- --
---------- ---------- -------- --------
Balance as of February 28, 2011 $2,618,567 $2,260,014 $ 70,794 $287,759
========== ========== ======== ========
* Transfers in and/or (out) of Level 3 are recognized as of the actual date
of the event or change in circumstances that caused the transfer. The Fund
presents unrealized appreciation/(depreciation) on the Statement of
Operations as net change in unrealized appreciation/(depreciation) on
investments. The change in unrealized appreciation/(depreciation) related
to investments still held at February 28, 2011 was $162,244.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
24 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO WPG SMALL/MICRO CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
COMMON STOCK--95.2%
BASIC INDUSTRIES--0.7%
GrafTech International Ltd. * ................. 8,400 $ 168,084
Graham Packaging Co., Inc. * .................. 7,600 129,124
------------
297,208
------------
CAPITAL GOODS--8.9%
Beacon Roofing Supply, Inc.* .................. 9,700 205,737
Columbus McKinnon Corp. ....................... 24,500 423,115
Global Power Equipment
Group, Inc. * (a) .......................... 3,500 78,645
Globe Specialty Metals, Inc. .................. 27,900 649,791
Granite Construction, Inc. (a) ................ 7,500 213,750
Lakeland Industries, Inc. * ................... 18,400 149,040
Matrix Service Co. * .......................... 23,800 332,248
Mistras Group, Inc. * ......................... 3,100 46,779
RTI International Metals, Inc. * .............. 7,400 210,900
Trinity Industries, Inc. ...................... 7,700 239,855
Tutor Perini Corp. ............................ 20,500 488,310
Wabash National Corp. * ....................... 58,400 608,528
------------
3,646,698
------------
COMMUNICATIONS--2.0%
Digital River, Inc. * (a) ..................... 17,300 580,934
Neutral Tandem, Inc. * ........................ 13,000 223,600
------------
804,534
------------
CONSUMER DURABLES--1.4%
Libbey, Inc. * (a) ............................ 33,300 572,427
------------
CONSUMER NON-DURABLES--6.2%
Brown Shoe Co., Inc. .......................... 25,500 395,250
Chiquita Brands International, Inc. * ......... 59,600 1,024,524
Del Monte Foods Co. ........................... 38,400 726,912
Jones Group, Inc. (The) ....................... 30,900 410,970
------------
2,557,656
------------
CONSUMER SERVICES--15.4%
AMN Healthcare Services, Inc. * ............... 23,400 174,798
Body Central Corp. * .......................... 14,400 245,664
Casual Male Retail Group, Inc. * .............. 57,400 245,098
FTI Consulting, Inc. * ........................ 27,000 890,730
Geo Group, Inc., (The) * ...................... 47,500 1,207,925
Hackett Group, Inc. (The) * ................... 113,400 409,374
MDC Partners, Inc., Class A ................... 46,500 806,775
Navigant Consulting, Inc. * ................... 35,400 332,406
New Frontier Media, Inc. * .................... 68,700 144,957
Pantry, Inc. (The) * .......................... 45,800 721,808
Penske Automotive Group, Inc. * ............... 18,700 380,919
Pool Corp. .................................... 6,400 159,744
Providence Service Corp. * .................... 24,700 405,327
Shoe Carnival, Inc. * ......................... 6,600 171,204
------------
6,296,729
------------
Number
of Shares Value
------------ ------------
ENERGY--2.1%
Approach Resources, Inc. * .................... 5,300 $ 172,515
Delek US Holdings, Inc. ....................... 3,600 40,500
GeoMet, Inc. * ................................ 66,400 90,304
Global Geophysical Services, Inc. * ........... 8,900 125,223
Newpark Resources, Inc. * ..................... 58,900 411,122
------------
839,664
------------
FINANCE--22.3%
A.B.Whatley Group, Inc., 144A * ............... 93,855 375
Alterra Capital Holdings Ltd. ................. 13,800 298,494
Aspen Insurance Holdings Ltd. ................. 11,700 345,735
Bancorp Rhode Island, Inc. .................... 7,200 226,872
Boston Private Financial
Holdings, Inc. ............................. 73,300 519,697
Cathay General Bancorp ........................ 36,400 645,008
Delphi Financial Group, Inc.,
Class A (a) ................................ 17,000 526,320
Encore Bancshares, Inc. * ..................... 13,600 166,600
ESSA Bancorp, Inc. ............................ 12,300 159,900
FBR Capital Markets Corp. * ................... 121,700 452,724
Global Indemnity PLC * ........................ 4,100 91,430
Great American Group, Inc. * .................. 79,750 27,115
Home Bancshares, Inc. ......................... 19,200 432,576
Maiden Holdings Ltd. .......................... 44,500 355,555
Meadowbrook Insurance
Group, Inc. ................................ 100,300 1,019,048
National Penn Bancshares, Inc. ................ 44,600 354,124
Nelnet, Inc., Class A ......................... 15,200 339,416
Radian Group, Inc. (a) ........................ 41,000 289,460
Renasant Corp. ................................ 15,900 255,513
SCBT Financial Corp. .......................... 11,000 356,290
Simmons First National Corp.,
Class A .................................... 9,800 282,044
Stifel Financial Corp. * (a) .................. 3,369 241,692
THL Credit, Inc. .............................. 19,800 266,310
United Financial Bancorp, Inc. ................ 9,900 154,539
Validus Holdings Ltd. ......................... 13,500 417,825
ViewPoint Financial Group ..................... 32,600 432,928
Western Alliance Bancorp * (a) ................ 13,900 112,729
WSFS Financial Corp. .......................... 7,700 360,514
------------
9,130,833
------------
HEALTH CARE--9.9%
Accuray, Inc. * ............................... 37,600 372,240
Alere, Inc. * ................................. 14,700 568,008
Assisted Living Concepts, Inc.,
Class A * .................................. 11,300 406,235
eResearch Technology, Inc. * .................. 17,100 108,585
Exactech, Inc. * .............................. 11,000 208,450
Healthways, Inc. * ............................ 8,400 117,348
ICU Medical, Inc. * ........................... 11,900 499,681
Medical Action Industries, Inc. * ............. 47,000 388,220
RehabCare Group, Inc. * ....................... 26,600 988,190
Teleflex, Inc. (a) ............................ 7,000 408,730
------------
4,065,687
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 25
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO WPG SMALL/MICRO CAP VALUE FUND (continued)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
REAL ESTATE INVESTMENT TRUSTS--7.7%
American Campus Communities,
Inc. (a) ................................... 7,800 $ 260,676
American Capital Agency Corp. ................. 13,800 406,410
Campus Crest Communities, Inc. ................ 22,000 315,040
Chatham Lodging Trust * ....................... 12,300 214,881
Chimera Investment Corp. ...................... 70,100 302,131
Highwoods Properties, Inc. .................... 11,900 403,767
Kennedy-Wilson Holdings, Inc. * ............... 14,600 160,600
Lexington Realty Trust (a) .................... 45,400 429,938
Starwood Property Trust, Inc. ................. 14,000 327,460
Washington Real Estate Investment
Trust (a) .................................. 10,200 318,648
------------
3,139,551
------------
TECHNOLOGY--6.4%
Aeroflex Holding Corp. * ...................... 27,900 548,235
CDC Software Corp. - ADR * .................... 64,800 419,256
CIBER, Inc. * ................................. 88,800 414,696
Digi International, Inc. * .................... 39,100 432,837
Electronics for Imaging, Inc. * ............... 3,100 47,833
Generac Holdings, Inc. * ...................... 10,200 186,966
ManTech International Corp.,
Class A * (a) .............................. 3,100 133,920
Plantronics, Inc. ............................. 6,000 209,340
Zoran Corp. * ................................. 21,100 236,531
------------
2,629,614
------------
TRANSPORTATION--7.2%
Air Transport Services Group, Inc. * .......... 16,000 125,600
AirTran Holdings, Inc. * ...................... 49,500 361,350
Celadon Group, Inc. * ......................... 11,200 163,632
Hawaiian Holdings, Inc. * ..................... 38,900 258,296
Republic Airways Holdings, Inc. * (a) ......... 36,200 229,508
Scorpio Tankers, Inc. * ....................... 79,800 821,142
Swift Transporation Co. * ..................... 19,400 279,748
US Airways Group, Inc. * (a) .................. 83,800 721,518
------------
2,960,794
------------
Number
of Shares Value
------------ ------------
UTILITIES--5.0%
Aegean Marine Petroleum
Network, Inc. .............................. 74,600 $ 651,258
California Water Service Group ................ 4,700 165,816
Nicor, Inc. ................................... 3,400 179,316
Portland General Electric Co. ................. 16,300 381,746
StealthGas, Inc. * ............................ 28,000 195,720
UIL Holdings Corp. ............................ 9,200 282,808
Vectren Corp. ................................. 6,600 173,712
------------
2,030,376
------------
TOTAL COMMON STOCK
(Cost $30,821,916) ...................... 38,971,771
------------
PREFERRED STOCK--0.2%
ENERGY--0.2%
GeoMet, Inc., Series A ........................ 7,748 77,248
------------
TOTAL PREFERRED STOCK
(Cost $74,705) ......................... 77,248
------------
SECURITIES LENDING COLLATERAL--9.6%
Institutional Money Market Trust .............. 3,683,120 3,683,120
KBC Bank NV, 0.15%, 03/01/11,TD ............... 259,656 259,656
------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $3,942,776) ....................... 3,942,776
------------
TOTAL INVESTMENTS--105.0%
(Cost $34,839,397) ............................ 42,991,795
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(5.0)% .......................... (2,052,471)
------------
NET ASSETS--100.0% ............................... $ 40,939,324
============
----------
144A -- 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. As of February 28, 2011, these securities amounted
to $375 or 0.0 % of net assets.. These 144A securities have not been
deemed illiquid.
ADR -- American Depositary Receipt
PLC -- Public Limited Company
TD -- Time Deposits
* -- Non-income Producing
(a) -- All or a portion of the security is on loan. See Note 6 of the Notes to
Financial Statements.
A summary of the inputs used to value the Fund's investments as of February 28,
2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
0/28/11 PRICE INPUTS INPUTS
----------- ----------- ----------- ------------
Common Stock * $38,971,771 $38,971,771 $ -- $--
Preferred Stock - Energy 77,248 77,248 -- --
Securities Lending Collateral 3,942,776 3,683,120 259,656 --
----------- ----------- -------- ---
Total Assets $42,991,795 $42,732,139 $259,656 $--
=========== =========== ======== ===
* see Portfolio of Investments detail for industry and security type
breakout.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
26 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
ROBECO WPG SMALL/MICRO CAP VALUE FUND (concluded)
PORTFOLIO OF INVESTMENTS
The following is a reconciliation of the Fund's Level 3 investments for which
significant unobservable inputs were used to determine fair value.
PREFERRED STOCK
----------------------
TOTAL
INVESTMENTS ENERGY
----------- --------
Balance as of August 31, 2010 $ 74,710 $ 74,710
Accrued discounts/premiums -- --
Net realized gain/(loss) -- --
Change in unrealized appreciation/(depreciation) 2,538 2,538
Net purchases/(sales) -- --
Transfers in and/or (out) of Level 3 * (77,248) (77,248)
-------- --------
Balance as of February 28, 2011 $ -- $ --
======== ========
* Transfers in and/or (out) of Level 3 are recognized as of the actual date
of the event or change in circumstances that caused the transfer. The
tranfer occurred because the security listed and began trading on an
exchange, thereby providing market activity. The Fund presents unrealized
appreciation/(depreciation) on the Statement of Operations as net change in
unrealized appreciation/ (depreciation) on investments.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 27
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
SAM SUSTAINABLE GLOBAL ACTIVE FUND
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
COMMON STOCK--96.6%
AUSTRALIA--1.5%
National Australia Bank Ltd. (Financial) ...... 11,900 $ 312,594
------------
CANADA--9.7%
Bank of Nova Scotia (Financial)(a) ............ 4,700 290,695
Canadian Imperial Bank of Commerce
(Financial) ................................ 4,900 414,524
Sherritt International Corp. (Materials) ...... 85,100 796,211
Teck Resources Ltd., Class B (Materials) ...... 2,404 132,999
TELUS Corp. (Telecommunication Services) ...... 9,000 446,040
------------
2,080,469
------------
GERMANY--6.5%
Deutsche Bank AG (Financial) .................. 6,000 385,671
Henkel AG & Co. KGaA (Consumer Staples) ....... 5,076 305,824
MTU Aero Engines Holding AG (Industrials) ..... 4,400 293,360
Muenchener Rueckversicherungs-
Gesellschaft AG (Financial) ................ 2,462 410,922
------------
1,395,777
------------
ISRAEL--1.6%
Teva Pharmaceutical Industries Ltd.,
Sponsored ADR (Health Care) ................ 7,000 350,700
------------
ITALY--2.6%
Snam Rete Gas SpA (Utilities) ................. 100,000 547,015
------------
JAPAN--6.3%
Asahi Breweries Ltd. (Consumer Staples) ....... 16,800 323,657
ITOCHU Corp. (Industrials) .................... 39,600 409,530
Mitsubishi Corp. (Industrials) ................ 7,900 218,347
Mitsui O.S.K. Lines, Ltd. (Industrials) ....... 59,000 390,184
------------
1,341,718
------------
NETHERLANDS--1.5%
Koninklijke Philips Electronics NV
(Industrials) .............................. 10,000 326,498
------------
NORWAY--6.2%
Aker Solutions ASA (Energy) ................... 26,200 554,391
Norsk Hydro ASA (Materials) ................... 34,173 281,307
Telenor ASA (Telecommunication Services) ...... 30,000 497,393
------------
1,333,091
------------
SPAIN--1.3%
Repsol YPF SA (Energy) ........................ 8,500 285,382
------------
SWEDEN--2.9%
Boliden AB (Materials) ........................ 12,402 264,739
Svenska Cellulosa AB, Class B (Materials) ..... 21,300 352,108
------------
616,847
------------
Number
of Shares Value
------------ ------------
SWITZERLAND--2.0%
Zurich Financial Services AG (Financial) ...... 1,500 $ 435,421
------------
UNITED KINGDOM--13.4%
AstraZeneca PLC (Health Care) ................. 7,037 342,733
Barclays PLC (Financial) ...................... 101,260 526,514
BG Group PLC (Energy) ......................... 15,331 372,969
BT Group PLC (Telecommunication Services) ..... 75,000 222,145
Legal & General Group PLC (Financial) ......... 160,000 309,003
Logica PLC (Information Technology) ........... 198,900 445,887
Travis Perkins PLC (Industrials) .............. 40,747 659,090
------------
2,878,341
------------
UNITED STATES--41.1%
Chevron Corp. (Energy) ........................ 3,431 355,966
Del Monte Foods Co. (Consumer Staples) ........ 12,000 227,160
Forest Oil Corp. (Energy) (a) * ............... 11,911 422,721
Hartford Financial Services Group, Inc.
(Financial) ................................ 25,200 745,920
Health Net, Inc. (Health Care) * .............. 25,881 761,419
Hewlett-Packard Co. (Information Technology) .. 15,048 656,544
International Business Machines Corp.
(Information Technology) ................... 3,365 544,726
Johnson Controls, Inc. (Consumer
Discretionary) ............................. 12,600 514,080
Kimberly-Clark Corp. (Consumer Staples) ....... 5,766 379,979
Limited Brands, Inc. (Consumer Discretionary).. 13,036 417,413
McDonald's Corp. (Consumer Discretionary)(a) .. 2,656 201,006
Microsoft Corp. (Information Technology) ...... 16,400 435,912
Mylan, Inc. (Health Care) * ................... 18,000 411,660
Northeast Utilities (Utilities) ............... 9,200 313,168
Occidental Petroleum Corp. (Energy) ........... 4,721 481,400
Pfizer, Inc. (Health Care) .................... 27,356 526,329
Procter & Gamble Co. (Consumer Staples) ....... 8,962 565,054
Reynolds American, Inc. (Consumer Staples) .... 14,000 480,480
Target Corp. (Consumer Discretionary)(a) ...... 6,100 320,556
Temple-Inland, Inc. (Materials) ............... 2,300 53,798
------------
8,815,291
------------
TOTAL COMMON STOCK
(Cost $16,756,082) ...................... 20,719,144
------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
28 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
SAM SUSTAINABLE GLOBAL ACTIVE FUND (concluded)
PORTFOLIO OF INVESTMENTS
Number
of Shares Value
------------ ------------
SECURITIES LENDING COLLATERAL--4.5%
Institutional Money Market Trust .............. 895,896 $ 895,896
KBC Bank NV, 0.15%, 03/01/11,TD ............... 63,160 63,160
------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $959,056) ......................... 959,056
------------
TOTAL INVESTMENTS--101.1%
(Cost $17,715,138) ............................ 21,678,200
------------
LIABILITIES IN EXCESS OF OTHER ASSETS--(1.1)% .... (238,032)
------------
NET ASSETS--100.0% ............................... $ 21,440,168
============
----------
ADR -- American Depositary Receipt
PLC -- Public Limited Company
TD -- Time Deposits
* -- Non-income producing.
(a) -- All or a portion of the security is on loan. (see note 6)
A summary of the inputs used to value the Fund's investments as of February 28,
2011 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
02/28/11 PRICE INPUTS INPUTS
----------- ----------- ----------- ------------
Common Stock * $20,719,144 $20,719,144 $ -- $--
Securities Lending Collateral 959,056 895,896 63,160
----------- ----------- ------- ---
Total Assets $21,678,200 $21,615,040 $63,160 $--
=========== =========== ======= ===
* see Portfolio of Investments detail for country and security type breakout.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 29
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON
PARTNERS PARTNERS PARTNERS PARTNERS
SMALL CAP LONG/SHORT LONG/SHORT ALL-CAP
VALUE FUND II EQUITY FUND RESEARCH FUND VALUE FUND
------------- ------------- ------------- -------------
ASSETS
Investments in securities, at value +## ........ $131,957,683 $413,955,857 $17,762,272 $283,341,935
Cash ........................................... 2,550,886 76,991,981 2,588,495 57,191,277
Receivables
Investments sold ............................ 355,399 18,121,440 1,298,451 307,644
Deposits with brokers for securities sold
short and written options ................ -- 200,292,314 6,212,304 --
Dividends and interest ...................... 65,431 358,699 20,582 321,041
Capital shares sold ......................... 235,651 1,028,540 32,938 345,063
Prepaid expenses and other assets .............. 15,355 59,939 25,503 18,309
------------ ------------ ----------- ------------
Total assets ............................. 135,180,405 710,808,770 27,940,545 341,525,269
------------ ------------ ----------- ------------
LIABILITIES
Securities sold short, at fair value +++ ....... -- 204,223,392 7,456,295 --
Options written, at value * .................... -- 161,510 -- 899,469
Foreign cash overdraft # ....................... -- 103 -- --
Payables
Securities lending collateral ............... 16,707,049 7,155,540 -- 5,985,471
Investments purchased ....................... 11,978 3,180,751 1,765,289 52,782,079
Capital shares redeemed ..................... 141,005 417,915 438 10,813
Due to prime broker ......................... -- 50,420,969 510,606 --
Investment advisory fees .................... 78,446 722,707 1,641 72,101
Distribution and service fees ............... 15,812 23,742 994 4,319
Dividends on securities sold-short .......... -- 31,072 5,566 --
Other accrued expenses and liabilities ......... 37,958 76,690 38,936 46,561
------------ ------------ ----------- ------------
Total liabilities ........................ 16,992,248 266,414,391 9,779,765 59,800,813
------------ ------------ ----------- ------------
Net Assets ..................................... $118,188,157 $444,394,379 $18,160,780 $281,724,456
============ ============ =========== ============
NET ASSETS CONSIST OF
Par value ...................................... $ 8,238 $ 21,892 $ 1,632 $ 17,669
Paid-in capital ................................ 120,011,155 386,955,067 17,366,875 250,644,132
Undistributed net investment
income/(accumulated net investment loss) .... (198,753) (3,503,656) (43,611) 177,676
Accumulated net realized gain/(loss) from
investments ................................. (25,682,820) 34,774,381 148,117 1,491,188
Net unrealized appreciation on investments,
securities sold short, written options and
foreign currency translation ................ 24,050,337 26,146,695 687,767 29,393,791
------------ ------------ ----------- ------------
Net Assets ............................... $118,188,157 $444,394,379 $18,160,780 $281,724,456
============ ============ =========== ============
INSTITUTIONAL CLASS
Net assets ..................................... $ 35,028,039 $319,832,769 $12,172,355 $258,162,535
Shares outstanding ............................. 2,378,752 15,578,415 1,093,766 16,187,432
------------ ------------ ----------- ------------
Net asset value, offering and redemption
price per share ............................. $ 14.73 $ 20.53 $ 11.13 $ 15.95
============ ============ =========== ============
INVESTOR CLASS
Net assets ..................................... $ 83,160,118 $124,561,610 $ 5,988,425 $ 23,561,921
Shares outstanding ............................. 5,858,920 6,313,804 538,531 1,481,452
------------ ------------ ----------- ------------
Net asset value, offering and redemption
price per share ............................. $ 14.19 $ 19.73 $ 11.12 $ 15.90
============ ============ =========== ============
+ Investment in securities, at cost ............ $107,907,346 $362,900,505 $16,588,994 $253,843,712
## Includes market value of securities on loan .. $ 15,988,835 $ 6,650,029 $ -- $ 5,719,378
# Foreign currency, at cost .................... $ -- $ (101) $ -- $ --
+++ Proceeds received, securities sold short ..... $ -- $179,267,376 $ 6,971,229 $ --
* Premiums received, options written ........... $ -- $ 208,871 $ -- $ 795,037
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
30 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF ASSETS AND LIABILITIES (concluded)
SAM
ROBECO WPG SUSTAINABLE
SMALL/MICRO CAP GLOBAL ACTIVE
VALUE FUND FUND
--------------- -------------
ASSETS
Investments in securities, at value +## ................... $42,991,795 $21,678,200
Cash ...................................................... 2,630,668 610,079
Receivables
Investments sold ....................................... 236,361 --
Dividends and interest ................................. 20,034 54,929
Capital shares sold .................................... 54,313 99,990
Investment adviser ..................................... -- 6,899
Prepaid expenses and other assets ......................... 12,479 6,444
----------- -----------
Total assets ........................................ 45,945,650 22,456,541
----------- -----------
LIABILITIES
Payables
Securities lending collateral .......................... 3,942,776 959,056
Investments purchased .................................. 832,849 --
Capital shares redeemed ................................ 166,480 --
Investment advisory fees ............................... 25,666 --
Distribution and service fees .......................... -- 3
Other accrued expenses and liabilities .................... 38,555 57,314
----------- -----------
Total liabilities ................................... 5,006,326 1,016,373
----------- -----------
Net Assets ................................................ $40,939,324 $21,440,168
=========== ===========
NET ASSETS CONSIST OF
Par value ................................................. $ 2,704 $ 1,613
Paid-in capital ........................................... 41,888,829 17,185,061
Undistributed net investment income/(accumulated
net investment loss) ................................... (128,155) 50,842
Accumulated net realized gain/(loss) from investments ..... (8,976,452) 238,878
Net unrealized appreciation on investments
and foreign currency translation ....................... 8,152,398 3,963,774
----------- -----------
Net Assets ......................................... $40,939,324 $21,440,168
=========== ===========
INSTITUTIONAL CLASS
Net assets ................................................ $40,939,324 $21,428,692
Shares outstanding ........................................ 2,703,802 1,611,879
----------- -----------
Net asset value, offering and redemption price per share .. $ 15.14 $ 13.29
=========== ===========
INVESTOR CLASS
Net assets ................................................ $ -- $ 11,476
Shares outstanding ........................................ -- 863
----------- -----------
Net asset value, offering and redemption price per share .. $ -- $ 13.29
=========== ===========
+ Investment in securities, at cost ....................... $34,839,397 $17,715,138
## Includes market value of securities on loan ............. $ 3,760,761 $ 933,040
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 31
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF OPERATIONS
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON
PARTNERS PARTNERS PARTNERS PARTNERS
SMALL CAP LONG/SHORT LONG/SHORT ALL-CAP
VALUE FUND II EQUITY FUND RESEARCH FUND* VALUE FUND
------------- ------------- -------------- -------------
INVESTMENT INCOME
Dividends + ............................................ $ 696,388 $ 2,150,097 $ 50,494 $ 1,240,926
Interest ............................................... 852 11,240 15 11,976
Income from securities loaned (Note 6) ................. 18,213 37,690 -- 14,295
----------- ------------ ---------- -----------
Total investment income ............................. 715,453 2,199,027 50,509 1,267,197
----------- ------------ ---------- -----------
EXPENSES
Advisory fees .......................................... 528,566 3,782,109 43,100 718,859
Distribution fees (Investor Class) ..................... 93,120 131,571 1,812 20,204
Administration and accounting fees ..................... 56,330 152,347 15,003 86,794
Transfer agent fees .................................... 53,490 77,217 22,335 42,785
Registration and filing fees ........................... 22,152 36,898 17,524 23,083
Printing and shareholder reporting fees ................ 18,771 35,211 6,585 15,023
Directors' and officers' fees .......................... 13,446 21,434 7,852 16,019
Audit Fees ............................................. 12,878 17,531 13,170 15,825
Custodian fees ......................................... 11,754 38,551 12,313 20,335
Legal Fees ............................................. 8,927 19,281 5,707 11,158
Dividend expense on securities sold-short .............. -- 216,197 15,125 --
Prime broker interest expense .......................... -- 1,192,053 6,798 --
Other expenses ......................................... 1,823 3,511 2,153 2,246
----------- ------------ ---------- -----------
Total expenses before waivers and reimbursements .... 821,257 5,723,911 169,477 972,331
Less: waivers and reimbursements .................... (41,002) (29,009) (75,357) (323,126)
----------- ------------ ---------- -----------
Net expenses after waivers and reimbursements .......... 780,255 5,694,902 94,120 649,205
----------- ------------ ---------- -----------
Net investment income/(loss) ........................... (64,802) (3,495,875) (43,611) 617,992
----------- ------------ ---------- -----------
Net realized gain/(loss) from:
Investments ......................................... 4,980,254 47,493,062 166,976 5,375,653
Investments sold-short .............................. -- (1,625,631) (18,141) --
Foreign currency transactions ....................... -- 14,949 (718) --
Written options ** .................................. -- (53,120) -- (772,172)
Net change in unrealized appreciation/(depreciation) on:
Investments ......................................... 25,066,047 61,285,192 1,173,278 34,623,665
Investments sold short .............................. -- (28,816,274) (485,066) --
Foreign currency translation ........................ -- (2) (445) --
Written options ** .................................. -- 47,361 -- (240,905)
----------- ------------ ---------- -----------
Net realized and unrealized gain from investments ...... 30,046,301 78,345,537 835,884 38,986,241
----------- ------------ ---------- -----------
Net increase in net assets resulting from operations ...... $29,981,499 $ 74,849,662 $ 792,273 $39,604,233
=========== ============ ========== ===========
+ Net of foreign witholding taxes of ................... $ -- $ (11,138) $ (1,251) $ (2,811)
=========== ============ ========== ===========
* For the period September 30, 2010 (commencement of operations) to February
28, 2011.
** Primary risk is equity contracts
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
32 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF OPERATIONS (concluded)
SAM
ROBECO WPG SUSTAINABLE
SMALL/MICRO CAP GLOBAL ACTIVE
VALUE FUND FUND
--------------- -------------
INVESTMENT INCOME
Dividends + ............................................... $ 176,423 $ 269,703
Interest .................................................. -- 94
Income from securities loaned (Note 6) .................... 10,081 747
---------- ----------
Total investment income ................................ 186,504 270,544
---------- ----------
EXPENSES
Advisory fees ............................................. 167,435 76,683
Distribution fees (Investor Class) ........................ -- 13
Administration and accounting fees ........................ 43,428 43,926
Transfer agent fees ....................................... 40,983 36,965
Registration and filing fees .............................. 14,088 16,411
Printing and shareholder reporting fees ................... 6,500 3,008
Directors' and officers' fees ............................. 10,725 10,130
Audit Fees ................................................ 12,876 13,759
Custodian fees ............................................ 16,939 17,798
Legal Fees ................................................ 6,604 6,212
Other expenses ............................................ 2,728 1,521
---------- ----------
Total expenses before waivers and reimbursements ....... 322,306 226,426
Less: waivers and reimbursements ....................... (7,647) (111,388)
---------- ----------
Net expenses after waivers and reimbursements ............. 314,659 115,038
---------- ----------
Net investment income/(loss) .............................. (128,155) 155,506
---------- ----------
Net realized gain/(loss) from:
Investments ............................................ 3,038,316 327,911
Foreign currency transactions .......................... -- (2,359)
Net change in unrealized appreciation/(depreciation) on:
Investments ............................................ 6,671,521 3,998,380
Foreign currency translation ........................... -- 683
---------- ----------
Net realized and unrealized gain from investments ......... 9,709,837 4,324,615
---------- ----------
Net increase in net assets resulting from operations ......... $9,581,682 $4,480,121
========== ==========
+ Net of foreign witholding taxes of ...................... $ (1,634) $ (14,936)
========== ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 33
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS
ROBECO BOSTON PARTNERS ROBECO BOSTON PARTNERS
SMALL CAP VALUE FUND II LONG/SHORT EQUITY FUND
--------------------------- ---------------------------
FOR THE FOR THE
SIX MONTHS SIX MONTHS
ENDED FOR THE ENDED FOR THE
FEBRUARY 28, YEAR ENDED FEBRUARY 28, YEAR ENDED
2011 AUGUST 31, 2011 AUGUST 31,
(UNAUDITED) 2010 (UNAUDITED) 2010
------------ ------------ ------------ ------------
FROM OPERATIONS:
Net investment income/(loss) .................................. $ (64,802) $ 258,606 $ (3,495,875) $ (4,229,971)
Net realized gain from investments, securities sold
short, written options and foreign currency ................ 4,980,254 6,061,178 45,829,260 31,081,104
Net change in unrealized appreciation/(depreciation) from
investments, securities sold short, written options
and foreign currency ....................................... 25,066,047 (4,534,988) 32,516,277 (19,466,226)
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations ............. 29,981,499 1,784,796 74,849,662 7,384,907
------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Class ........................................ (100,184) (95,191) -- --
Investor Class ............................................. (95,484) (94,823) -- --
Net realized capital gains
Institutional Class ........................................ -- -- (17,894,655) --
Investor Class ............................................. -- -- (8,626,259) --
------------ ------------ ------------ ------------
Net decrease in net assets from dividends and distributions
to shareholders ............................................... (195,668) (190,014) (26,520,914) --
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Class
Proceeds from shares sold .................................. 3,341,627 6,525,815 129,857,049 132,696,590
Reinvestment of distributions .............................. 93,662 93,687 14,385,081 --
Shares redeemed ............................................ (2,909,417) (3,316,755) (21,901,791) (27,301,878)
Redemption fees (Note 8) ................................... 1,338 476 77,789 365,813
Investor Class
Proceeds from shares sold .................................. 9,574,533 27,718,964 31,694,733 70,371,181
Reinvestment of distributions .............................. 94,378 93,851 8,458,921 --
Shares redeemed ............................................ (8,793,987) (10,587,822) (13,068,472) (22,909,284)
Redemption fees (Note 8) ................................... 3,225 734 36,686 234,720
------------ ------------ ------------ ------------
Net increase in net assets from capital transactions ............. 1,405,359 20,528,950 149,539,996 153,457,142
------------ ------------ ------------ ------------
Total increase in net assets ..................................... 31,191,190 22,123,732 197,868,744 160,842,049
NET ASSETS
Beginning of period ........................................ 86,996,967 64,873,235 246,525,635 85,683,586
------------ ------------ ------------ ------------
End of period .............................................. $118,188,157 $ 86,996,967 $444,394,379 $246,525,635
============ ============ ============ ============
Undistributed net investment income/(loss), end of period .. $ (198,753) $ 61,717 $ (3,503,656) $ (7,781)
============ ============ ============ ============
SHARE TRANSACTIONS:
Institutional Class
Shares sold ................................................ 255,959 555,555 6,511,943 7,534,517
Shares reinvested .......................................... 6,807 8,233 734,681 --
Shares redeemed ............................................ (218,805) (275,515) (1,115,041) (1,561,805)
------------ ------------ ------------ ------------
Net increase ..................................................... 43,961 288,273 6,131,583 5,972,712
------------ ------------ ------------ ------------
Investor Class
Shares sold ................................................ 766,533 2,391,723 1,657,678 4,227,832
Shares reinvested .......................................... 7,112 8,540 449,464 --
Shares redeemed ............................................ (683,933) (923,475) (679,838) (1,364,973)
------------ ------------ ------------ ------------
Net increase ..................................................... 89,712 1,476,788 1,427,304 2,862,859
------------ ------------ ------------ ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
34 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (continued)
ROBECOBOSTON
PARTNERS
LONG/SHORT ROBECO BOSTON PARTNERS
RESEARCH FUND ALL-CAP VALUE FUND
------------- ---------------------------
PERIOD FOR THE
SEPTEMBER 30, SIX MONTHS
2010 TO ENDED FOR THE
FEBRUARY 28, FEBRUARY 28, YEAR ENDED
2011 2011 AUGUST 31,
(UNAUDITED)* (UNAUDITED) 2010
------------- ------------ ------------
FROM OPERATIONS:
Net investment income/(loss) ................................................. $ (43,611) $ 617,992 $ 724,663
Net realized gain from investments, securities sold
short, written options and foreign currency ............................... 148,117 4,603,481 3,905,856
Net change in unrealized appreciation/(depreciation) from
investments, securities sold short, written options and foreign currency .. 687,767 34,382,760 (6,754,676)
----------- ------------ ------------
Net increase/(decrease) in net assets resulting
from operations .............................................................. 792,273 39,604,233 (2,124,157)
----------- ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Class ....................................................... -- (1,101,905) (728,026)
Investor Class ............................................................ -- (63,061) (63,358)
Net realized capital gains
Institutional Class ....................................................... -- (2,218,532) --
Investor Class ............................................................ -- (201,330) --
----------- ------------ ------------
Net decrease in net assets from dividends and distributions to shareholders ..... -- (3,584,828) (791,384)
----------- ------------ ------------
CAPITAL TRANSACTIONS:
Institutional Class
Proceeds from shares sold ................................................. 11,552,472 117,414,646 53,342,730
Reinvestment of distributions ............................................. -- 3,267,204 617,838
Shares redeemed ........................................................... (7,074) (7,679,450) (3,296,424)
Redemption fees (Note 8) .................................................. 1,082 -- --
Investor Class
Proceeds from shares sold ................................................. 6,079,593 10,317,877 20,987,057
Reinvestment of distributions ............................................. -- 252,790 61,116
Shares redeemed ........................................................... (257,915) (3,321,182) (11,615,247)
Redemption fees (Note 8) .................................................. 349 -- --
----------- ------------ ------------
Net increase in net assets from capital transactions ............................ 17,368,507 120,251,885 60,097,070
----------- ------------ ------------
Total increase in net assets .................................................... 18,160,780 156,271,290 57,181,529
NET ASSETS
Beginning of period ....................................................... -- 125,453,166 68,271,637
----------- ------------ ------------
End of period ............................................................. $18,160,780 $281,724,456 $125,453,166
=========== ============ ============
Undistributed net investment income/(loss), end of period ................. $ (43,611) $ 177,676 $ 724,650
=========== ============ ============
SHARE TRANSACTIONS:
Institutional Class
Shares sold ............................................................... 1,094,410 7,736,561 3,931,770
Shares reinvested ......................................................... -- 218,688 46,176
Shares redeemed ........................................................... (644) (515,206) (251,720)
----------- ------------ ------------
Net increase .................................................................... 1,093,766 7,440,043 3,726,226
----------- ------------ ------------
Investor Class
Shares sold ............................................................... 562,223 673,508 1,472,751
Shares reinvested ......................................................... -- 16,966 4,581
Shares redeemed ........................................................... (23,692) (226,571) (874,208)
----------- ------------ ------------
Net increase .................................................................... 538,531 463,903 603,124
----------- ------------ ------------
* Commencement of operations.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 35
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENTS OF CHANGES IN NET ASSETS (concluded)
ROBECO WPG SAM
SMALL/MICRO CAP VALUE FUND SUSTAINABLE GLOBAL ACTIVE FUND
--------------------------- ------------------------------
FOR THE FOR THE
SIX MONTHS SIX MONTHS PERIOD
ENDED FOR THE ENDED JUNE 18,
FEBRUARY 28, YEAR ENDED FEBRUARY 28, 2009* TO
2011 AUGUST 31, 2011 AUGUST 31,
(UNAUDITED) 2010 (UNAUDITED) 2010
------------ ------------ ------------ -----------
FROM OPERATIONS:
Net investment income/(loss) .................................. $ (128,155) $ (138,673) $ 155,506 $ 241,553
Net realized gain from investments and foreign currency ....... 3,038,316 5,294,081 325,552 860,306
Net change in unrealized appreciation/(depreciation) from
investments and foreign currency ........................... 6,671,521 (1,468,131) 3,999,063 (696,759)
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations ............. 9,581,682 3,687,277 4,480,121 405,100
----------- ----------- ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Class ........................................ -- (107,006) (310,944) (51,677)
Investor Class ............................................. -- -- (146) (21)
Net realized capital gains
Institutional Class ........................................ -- -- (638,542) (936,892)
Investor Class ............................................. -- -- (348) (456)
----------- ----------- ----------- -----------
Net decrease in net assets from dividends and distributions
to shareholders ............................................... -- (107,006) (949,980) (989,046)
----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Institutional Class
Proceeds from shares sold .................................. 572,617 311,566 997,247 6,210,174
Reinvestment of distributions .............................. -- 93,748 918,071 861,288
Shares redeemed ............................................ (1,608,521) (6,997,084) (771,157) (1,345,517)
Redemption fees (Note 8) ................................... -- 61 -- 277
Investor Class
Proceeds from shares sold .................................. -- -- -- 5,500
Reinvestment of distributions .............................. -- -- 494 477
----------- ----------- ----------- -----------
Net increase/(decrease) in net assets from capital
transactions .................................................. (1,035,904) (6,591,709) 1,144,655 5,732,199
----------- ----------- ----------- -----------
Total increase/(decrease) in net assets .......................... 8,545,778 (3,011,438) 4,674,796 5,148,253
NET ASSETS
Beginning of period ........................................ 32,393,546 35,404,984 16,765,372 11,617,119
----------- ----------- ----------- -----------
End of period .............................................. $40,939,324 $32,393,546 $21,440,168 $16,765,372
=========== =========== =========== ===========
Undistributed net investment income/(loss), end of period .. $ (128,155) $ -- $ 50,842 $ 206,426
=========== =========== =========== ===========
SHARE TRANSACTIONS:
Institutional Class
Shares sold ................................................ 38,794 26,105 75,355 536,115
Shares reinvested .......................................... -- 8,453 74,458 75,551
Shares redeemed ............................................ (116,711) (602,576) (61,799) (115,503)
----------- ----------- ----------- -----------
Net increase/(decrease) .......................................... (77,917) (568,018) 88,014 496,163
----------- ----------- ----------- -----------
Investor Class
Shares sold ................................................ -- -- -- 472
Shares reinvested .......................................... -- -- 39 42
----------- ----------- ----------- -----------
Net increase ..................................................... -- -- 39 514
----------- ----------- ----------- -----------
* Commencement of operations.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
36 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED)
STATEMENT OF CASH FLOWS
ROBECO BOSTON ROBECO BOSTON
PARTNERS PARTNERS
LONG/SHORT LONG/SHORT
EQUITY FUND RESEARCH FUND*
------------- --------------
CASH FLOWS PROVIDED FROM (USED IN) OPERATING ACTIVITIES:
Net increase in net assets resulting from operations ............. $ 74,849,662 $ 792,273
Adjustments to reconcile net increase in net assets
resulting from operations to net cash provided by
(used in) operating activities:
Purchases of long-term portfolio investments ..................... (234,862,747) (18,215,320)
Proceeds from disposition of long-term portfolio investments ..... 164,428,326 2,260,140
Purchases to cover short sales ................................... 136,819,954 7,572,493
Proceeds from short sales ........................................ (19,205,698) (619,405)
Proceeds for written options ..................................... 471,656 --
Proceeds from litigation ......................................... 7,579 --
Net realized loss on investments, investments sold short
and written options ........................................... (45,814,311) (148,835)
Net unrealized appreciation on investments, investments sold short
and written options ........................................... (32,516,279) (688,212)
Effect of exchange rate changes on cash .......................... (14,947) --
Decrease in securities lending collateral ........................ 9,512,059 --
Increase in deposits with brokers for securities sold short ...... (142,417,084) (6,212,304)
Increase in dividend and interest receivable ..................... (172,853) (20,582)
Increase in prepaid expenses and other assets .................... (20,977) (25,503)
Decrease in payable for securities lending collateral ............ (9,512,059) --
Increase in dividend payable for short sales ..................... 22,365 5,566
Increase in foreign cash overdraft ............................... (103) --
Increase/(decrease) in interest payable .......................... (356) --
Increase in payable to adviser ................................... 289,705 1,641
Increase/(decrease) in accrued expenses .......................... (2,671) 39,930
------------- ------------
NET CASH USED IN OPERATING ACTIVITIES ............................ (98,138,779) (15,258,118)
------------- ------------
CASH FLOWS FROM FINANCING ACTIVITIES:
Increase in payable to Prime Broker .............................. 32,069,404 510,606
Net payment for fund share activity .............................. 125,822,597 17,336,007
Distributions paid from realized capital gains ................... (3,676,912) --
------------- ------------
Net cash provided by financing activities ........................ 154,215,089 17,846,613
------------- ------------
NET INCREASE IN CASH AND FOREIGN CURRENCY ........................ 56,076,310 2,588,495
CASH AT BEGINNING OF PERIOD ...................................... $ 20,915,568 $ --
============= ============
CASH AT END OF PERIOD ............................................ $ 76,991,878 $ 2,588,495
============= ============
SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:
Cash paid during the period for interest expense ................. $ 1,204,489 $ 6,798
============= ============
* For the period September 30, 2010 (commencement of operations) to February
28, 2011.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 37
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 TOTAL SHAREHOLDERS SHAREHOLDERS
VALUE, NET AND UNREALIZED FROM FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT REALIZED RETURN TOTAL
OF PERIOD INCOME/(LOSS)* INVESTMENTS OPERATIONS INCOME GAINS OF CAPITAL DISTRIBUTIONS
--------- -------------- -------------- ---------- ------------ ---------------- ---------- -------------
ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
INSTITUTIONAL CLASS
9/1/10 through 2/28/11+ $11.02 $ --(3) $ 3.75 $ 3.75 $(0.04) $ -- $ -- $(0.04)
8/31/10 10.49 0.06 0.52 0.58 (0.05) -- -- (0.05)
8/31/09 11.87 0.11 (1.26) (1.15) (0.14) (0.05) (0.04) (0.23)
8/31/08 21.47 0.07 (1.97) (1.90) -- (7.70) -- (7.70)
8/31/07 22.82 (0.01) 2.41 2.40 (0.09) (3.67) -- (3.76)
8/31/06 24.75 (0.08) 1.57 1.49 -- (3.42) -- (3.42)
INVESTOR CLASS
9/1/10 through 2/28/11+ $10.62 $(0.01) $ 3.60 $ 3.59 $(0.02) $ -- $ -- $(0.02)
8/31/10 10.11 0.03 0.50 0.53 (0.02) -- -- (0.02)
8/31/09 11.43 0.07 (1.20) (1.13) (0.11) (0.05) (0.03) (0.19)
8/31/08 21.02 0.03 (1.92) (1.89) -- (7.70) -- (7.70)
8/31/07 22.40 (0.07) 2.37 2.30 (0.02) (3.67) -- (3.69)
8/31/06 24.35 (0.13) 1.54 1.41 -- (3.36) -- (3.36)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
INSTITUTIONAL CLASS
9/1/10 through 2/28/11+ $17.41 $(0.20) $ 4.93 $ 4.73 $ -- $(1.62) $ -- $(1.62)
8/31/10 15.75 (0.37) 1.98 1.61 -- -- -- --
8/31/09 15.47 (0.22) 2.98 2.76 -- (2.48) -- (2.48)
8/31/08 17.23 (0.36) 0.50 0.14 -- (1.90) -- (1.90)
8/31/07 18.57 (0.21) 0.73 0.52 -- (1.86) -- (1.86)
8/31/06 17.89 (0.26) 2.40 2.14 -- (1.47) -- (1.47)
INVESTOR CLASS
9/1/10 through 2/28/11+ $16.80 $(0.21) $ 4.75 $ 4.54 $ -- $(1.62) $ -- $(1.62)
8/31/10 15.31 (0.40) 1.84 1.44 -- -- -- --
8/31/09 15.17 (0.25) 2.87 2.62 -- (2.48) -- (2.48)
8/31/08 16.97 (0.39) 0.49 0.10 -- (1.90) -- (1.90)
8/31/07 18.36 (0.26) 0.73 0.47 -- (1.86) -- (1.86)
8/31/06 17.74 (0.30) 2.38 2.08 -- (1.47) -- (1.47)
ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND
INSTITUTIONAL CLASS
9/30/10**
through 2/28/11+ $10.00 $(0.05) $ 1.18 $ 1.13 $ -- $ -- $ -- $ --
INVESTOR CLASS11/29/10**
through 2/28/11+ $10.40 $(0.04) $ 0.76 $ 0.72 $ -- $ -- $ -- $ --
+ Unaudited.
* Calculated based on average shares outstanding for the period.
** Commencement of operations.
(1) Total return is calculated by assuming a purchase of shares on the first
day and a sale of shares on the last day of the period and is not
annualized if period is less than one year.
(2) Redemption fees are reflected in total return calculations.
(3) Amount is less than $0.01 per share.
(4) Annualized.
(5) Not Annualized.
(6) Includes dividend expense of 0.44%, which is outside of the expense caps of
2.25% and 2.50% for Institutional Class and Investor Class, respectively.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
38 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED) PER SHARE OPERATING PERFORMANCE
RATIO OF
EXPENSES TO RATIO OF NET
AVERAGE NET INVESTMENT
RATIO OF ASSETS WITH RATIO OF INCOME/(LOSS)
NET NET EXPENSES TO WAIVERS AND EXPENSES TO TO AVERAGE
ASSET ASSETS, AVERAGE NET REIMBURSEMENTS AVERAGE NET NET ASSETS
VALUE, TOTAL END OF ASSETS WITH (EXCLUDING ASSETS WITHOUT WITH WAIVERS PORTFOLIO
REDEMPTION END OF INVESTMENT PERIOD WAIVERS AND DIVIDEND AND WAIVERS AND AND TURNOVER
FEES PERIOD RETURN(1,2) (000) REIMBURSEMENTS INTEREST EXPENSE) REIMBURSEMENTS REIMBURSEMENTS RATE
---------- ------ ----------- -------- -------------- ----------------- --------------- -------------- ---------
$ --(3) $14.73 34.07% $ 35,028 1.30%(4) N/A 1.38%(4) 0.05%(4) 21%(5)
--(3) 11.02 5.47 25,736 1.30 N/A 1.39 0.51 43
--(3) 10.49 (8.97) 21,466 1.30 N/A 1.74 1.29 66
--(3) 11.87 (10.15) 56,652 1.39 N/A 1.54 0.47 54
0.01 21.47 10.53 94,337 1.55 N/A 1.56 (0.09) 46
--(3) 22.82 6.39 114,153 1.52 N/A 1.53 (0.34) 34
$ --(3) $14.19 33.78% $ 83,160 1.55%(4) N/A 1.63%(4) (0.20)%(4) 21%(5)
--(3) 10.62 5.26 61,260 1.55 N/A 1.63 0.25 43
--(3) 10.11 (9.20) 43,408 1.55 N/A 2.00 0.90 66
--(3) 11.43 (10.40) 65,370 1.64 N/A 1.79 0.19 54
0.01 21.02 10.26 154,546 1.80 N/A 1.81 (0.32) 46
--(3) 22.40 6.12 230,362 1.77 N/A 1.78 (0.58) 34
$0.01 $20.53 27.70% $319,833 3.31%(4) 2.47%(4) 3.33%(4) (2.00)%(4) 55%(5)
0.05 17.41 10.54 164,438 3.40 2.50 3.46 (2.10) 81
--(3) 15.75 30.02 54,703 3.35 2.50 4.04 (1.85) 172
--(3) 15.47 1.12 36,423 3.98 2.50 4.36 (2.27) 124
--(3) 17.23 2.61 73,770 3.44 2.50 3.60 (1.17) 93
0.01 18.57 12.93 90,313 3.24 2.50 3.40 (1.51) 109
$0.01 $19.73 27.57% $124,562 3.56%(4) 2.72%(4) 3.58%(4) (2.25)%(4) 55%(5)
0.05 16.80 9.73 82,088 3.65 2.75 3.70 (2.35) 81
--(3) 15.31 29.63 30,980 3.55 2.75 4.19 (2.09) 172
--(3) 15.17 0.88 7,728 4.23 2.75 4.61 (2.51) 124
--(3) 16.97 2.35 14,664 3.69 2.75 3.85 (1.42) 93
0.01 18.36 12.69 20,706 3.48 2.75 3.65 (1.77) 109
$ --(3) $11.13 11.30% $ 12,172 2.70%(4, 6) 2.06%(4) 5.02%(4) (1.21)%(4) 38%(5)
$ --(3) $11.12 6.92% $ 5,988 2.95%(4, 6) 2.31%(4) 5.27%(4) (1.49)%(4) 38%(5)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 39
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.
DISTRIBUTIONS
NET DIVIDENDS TO TO
ASSET NET REALIZED TOTAL SHAREHOLDERS SHAREHOLDERS
VALUE, NET AND UNREALIZED FROM FROM NET FROM NET
BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT REALIZED TOTAL REDEMPTION
OF PERIOD INCOME/(LOSS)* INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS FEES
--------- -------------- -------------- ---------- ------------ ------------- ------------- ----------
ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
INSTITUTIONAL CLASS
9/1/10 through 2/28/11+ $12.85 $ 0.05 $ 3.34 $ 3.39 $(0.10) $(0.19) $(0.29) $--
8/31/10 12.56 0.10 0.32 0.42 (0.13) -- (0.13) --
8/31/09 13.61 0.19 (1.03) (0.84) (0.12) (0.09) (0.21) --
8/31/08 16.47 0.23 (1.54) (1.31) (0.16) (1.39) (1.55) --
8/31/07 15.69 0.16 2.05 2.21 (0.13) (1.30) (1.43) --
8/31/06 15.54 0.15 1.03 1.18 (0.08) (0.95) (1.03) --
INVESTOR CLASS
9/1/10 through 2/28/11+ $12.79 $ 0.03 $ 3.33 $ 3.36 $(0.06) $(0.19) $(0.25) $--
8/31/10 12.52 0.07 0.31 0.38 (0.11) -- (0.11) --
8/31/09 13.56 0.16 (1.03) (0.87) (0.08) (0.09) (0.17) --
8/31/08 16.41 0.16 (1.51) (1.35) (0.11) (1.39) (1.50) --
8/31/07 15.63 0.11 2.06 2.17 (0.09) (1.30) (1.39) --
8/31/06 15.49 0.11 1.03 1.14 (0.05) (0.95) (1.00) --
ROBECO WPG SMALL/MICRO CAP VALUE FUND
INSTITUTIONAL CLASS
9/1/10 through 2/28/11+ $11.65 $(0.05) $ 3.54 $ 3.49 $ -- $ -- $ -- $--
8/31/10 10.57 (0.05) 1.16 1.11 (0.03) -- (0.03) --(3)
8/31/09 12.18 0.03 (1.62) (1.59) (0.01) (0.01) (0.02) --
8/31/08 17.05 0.05(6) (2.46) (2.41) (0.01) (2.45) (2.46) --
8/31/07 16.54 0.01(6) 2.31 2.32 -- (1.81) (1.81) --
8/31/06 17.42 --(3, 6) 1.10 1.10 -- (1.98) (1.98) --
SAM SUSTAINABLE GLOBAL ACTIVE FUND
INSTITUTIONAL CLASS
9/1/10 through 2/28/11+ $11.00 $ 0.10 $ 2.82 $ 2.92 $(0.21) $(0.42) $(0.63) $--
8/31/10 11.30 0.18 0.47 0.65 (0.05) (0.90) (0.95) --(3)
6/18/09** through 8/31/09 10.00 0.01 1.29 1.30 -- -- -- --
INVESTOR CLASS
9/1/10 through 2/28/11+ $10.98 $ 0.08 $ 2.83 $ 2.91 $(0.18) $(0.42) $(0.60) $--
8/31/10 11.30 0.16 0.46 0.62 (0.04) (0.90) (0.94) --(3)
7/15/09** through 8/31/09 10.13 --(4) 1.17 1.17 -- -- -- --
+ Unaudited.
* Calculated based on average shares outstanding, unless otherwise noted.
** Commencement of operations.
(1) Total return is calculated by assuming a purchase of shares on the first
day and a sale of shares on the last day of the period and is not
annualized if period is less than one year.
(2) Redemption fees are reflected in total return calculations.
(3) Amount is less than $0.01.
(4) Annualized.
(5) Not Annualized.
(6) Calculated using the SEC's undistributed net investment income method.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
40 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED) PER SHARE OPERATING PERFORMANCE
RATIO OF NET
INVESTMENT
RATIO OF RATIO OF INCOME/(LOSS)
NET NET EXPENSES TO EXPENSES TO TO AVERAGE
ASSET ASSETS, AVERAGE NET AVERAGE NET NET ASSETS
VALUE, TOTAL END OF ASSETS WITH ASSETS WITHOUT WITH WAIVERS PORTFOLIO
END OF INVESTMENT PERIOD WAIVERS AND WAIVERS AND AND TURNOVER
PERIOD RETURN(1, 2) (000) REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS RATE
------ ------------ -------- -------------- -------------- -------------- ---------
$15.95 26.52% $258,163 0.70%(4) 1.06%(4) 0.71%(4) 16%(5)
12.85 3.31 112,437 0.80 1.15 0.75 48
12.56 (5.88) 63,085 0.95 1.50 1.79 55
13.61 (8.55) 51,850 0.95 1.70 1.59 44
16.47 14.38 13,720 0.95 2.24 0.92 45
15.69 7.95 9,374 1.09 2.93 0.94 51
$15.90 26.43% $ 23,562 0.95%(4) 1.31%(4) 0.46%(4) 16%(5)
12.79 3.01 13,016 1.03 1.39 0.55 48
12.52 (6.15) 5,187 1.20 1.75 1.51 55
13.56 (8.82) 3,164 1.20 1.95 1.10 44
16.41 14.16 4,021 1.20 2.49 0.67 45
15.63 7.72 3,739 1.34 3.19 0.69 51
$15.14 29.96% $ 40,939 1.69%(4) 1.73%(4) (0.69)%(4) 38%(5)
11.65 10.54 32,394 1.69 1.77 (0.39) 94
10.57 (12.93) 35,405 1.61 1.95 0.37 137
12.18 (15.12) 43,133 1.61 1.65 0.11 131
17.05 14.28 53,962 1.47 1.47 0.09 138
16.54 7.16 48,607 1.43 1.43 0.02 139
$13.29 26.97% $ 21,429 1.20%(4) 2.36%(4) 1.62%(4) 20%(5)
11.00 5.42 16,756 1.20 2.81 1.58 88
11.30 13.00 11,614 1.20(4) 4.06(4) 0.27(4) 72(5)
$13.29 26.93% $ 11 1.45%(4) 2.61%(4) 1.36%(4) 20%(5)
10.98 5.14 9 1.45 3.06 1.38 88
11.30 11.55 4 1.45(4) 4.20(4) 0.13(4) 72(5)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
SEMI-ANNUAL REPORT 2011 | 41
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 trust," 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 eighteen 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 Long/Short Research Fund ("BP Long/Short Research Fund"),
(collectively "BP Funds"), Robeco WPG Small/Micro Cap Value Fund ("WPG
Small/Micro Cap Value Fund"), formerly Robeco WPG Small Cap Value Fund, and SAM
Sustainable Global Active Fund (each a "Fund," collectively the "Funds"). As of
February 28, 2011, the BP Funds and the SAM Sustainable Global Active Fund each
offer two classes of shares, Institutional Class and Investor Class. The WPG
Small/Micro Cap Value Fund is a single class fund, offering only the
Institutional Class of shares.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION -- Each Fund's 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 a Fund are valued using the closing price or the last sale
price on a national securities exchange or the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service, which considers such factors as security prices,
yields, maturities and ratings, and are deemed representative of market values
at the close of the market. Fixed income securities having a remaining maturity
of 60 days or less are valued at amortized cost. Foreign securities are valued
based on prices from the primary market in which they are traded, and are
translated from the local currency into U.S. dollars using current exchange
rates. Investments in other open-end investment companies are valued based on
the NAV of the investment companies (which may use fair value pricing as
discussed in their prospectuses). If market quotations are unavailable or deemed
unreliable, securities will be valued in accordance with procedures adopted by
the Company's Board of Directors. Relying on prices supplied by pricing services
or dealers or using fair valuation may result in values that are higher or lower
than the values used by other investment companies and investors to price the
same investments. Such procedures use fundamental valuation methods, which may
include, but are not limited to, an analysis of the effect of any restrictions
on the resale of the security, industry analysis and trends, significant
changes in the issuer's financial position, and any other event which could have
a significant impact on the value of the security. Determination of fair value
involves subjective judgment as the actual market value of a particular
security can be established only by negotiations between the parties in a sales
transaction, and the difference between the recorded fair value and the value
that would be received in a sale could be significant.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to
measure fair value of the Funds' investments are summarized into three levels
as described below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments)
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value each Fund's investments as of February 28,
2011 is included in each Fund's Portfolio of Investments.
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities for changes in liquidity, including but not
limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally,
42 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
management evaluates the Level 1 and Level 2 assets and liabilities on a
quarterly basis for changes in listings or delistings on national exchanges. Due
to the inherent uncertainty of determining the fair value of investments that do
not have a readily available market value, the fair value of the Fund's
investments may fluctuate from period to period. Additionally, the fair value of
investments may differ significantly from the values that would have been used
had a ready market existed for such investments and may differ materially from
the values the Fund may ultimately realize. Further, such investments may be
subject to legal and other restrictions on resale or otherwise less liquid than
publicly traded securities.
As of February 28, 2011, management has evaluated the activity in Levels 1,
2 and 3 and has concluded that there were no significant changes to report.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with U.S. generally accepted accounting principles 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 and those
differences could be significant.
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 gains are recorded as a reduction of cost of
investments and/or as a realized gain. The Funds estimate the components of
distributions received from Real Estate Investment Trusts 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 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 of the Company are charged directly to the class, fund or fund
family (in proportion to net assets). Expenses incurred for all of the RBB funds
(such as director or professional fees) are charged to all funds in proportion
to their average net assets of RBB, or in such other manner as the Company's
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 NAV 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-dividend
date for all Funds. Income dividends and capital gain distributions are
determined in accordance with U.S. federal income tax regulations which may
differ from U.S. generally accepted accounting principles.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each
Fund's intention to qualify or 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.
CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited
into a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
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 from 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.
SEMI-ANNUAL REPORT 2011 | 43
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
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 political, economic and currency exchange
developments, including investment restrictions and changes in foreign laws.
OPTIONS WRITTEN --The Funds are subject to equity price risk in the normal
course of pursuing their investment objectives and may enter into options
written to hedge against changes in the value of equities. The BP All-Cap Value
Fund, the WPG Small/Micro Cap Value Fund and the SAM Sustainable Global Active
Fund 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 a Fund gives up the opportunity for
profit if the market price of the security increases. The risk in writing a put
option is that a Fund may incur a loss if the market price of the security
decreases and the option is exercised. A 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. A 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.
Written options are recorded as liabilities to the extent of premiums
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 or the purchase cost for a written put option is adjusted by the amount
of the premium received or paid.
The BP Long/Short Equity Fund and the BP All-Cap Value Fund had
transactions in options written during the six-month period ended February 28,
2011 as follows:
BP LONG/SHORT EQUITY FUND BP ALL-CAP VALUE FUND
------------------------- ---------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS RECEIVED CONTRACTS RECEIVED
--------- -------- --------- ----------
Options outstanding at August 31, 2010 -- $ -- 6,002 $1,000,610
Options written 1,339 471,656 6,820 857,966
Options closed -- -- (6,791) (995,837)
Options expired -- -- (94) (39,882)
Options exercised (784) (262,785) (260) (27,820)
----- -------- ----- ---------
Options outstanding at February 28, 2011 555 $208,871 5,677 $ 795,037
===== ======== ===== =========
For the six-month period ended February 28, 2011, the average volume of
written options for the BP Long/Short Equity Fund and the BP All-Cap Value Fund
was $69,624 and $994,895, respectively.
SHORT SALES -- When the investment adviser believes that a security is
overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund and
the BP All-Cap Value Fund 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 the
decline in price exceeds the costs of borrowing 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. 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.
In accordance with the terms of its prime brokerage agreements, the Fund
may receive rebate income or be charged a fee on borrowed securities. Such
income or fee is calculated on a daily basis based upon the market value of each
borrowed security and a variable rate that is dependent upon the availability
of such security. The Funds record these prime broker charges on a net basis as
interest income or interest expense. For the six-month period ended February 28,
2011, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had net
charges of $1,077,582 and $6,138, respectively, on borrowed securities. Such
amounts are included in prime broker interest expense on the statement of
operations.
44 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
As of February 28, 2011, the BP Long/Short Equity Fund and the BP
Long/Short Research Fund had securities sold short valued at $204,223,392 and
$7,456,295, respectively, for which securities of $198,210,329 and $6,214,150
and cash deposits of $149,729,301 and $5,701,909, respectively, were pledged as
collateral.
In accordance with the Special Custody and Pledge Agreement with Goldman
Sachs (the Fund's prime broker), the BP Long/Short Equity Fund may borrow from
Goldman Sachs to the extent necessary to maintain required margin cash deposits
on short positions. Interest on such borrowings is charged to the Fund based on
the LIBOR rate plus an agreed upon spread.
The BP Long/Short Equity Fund and the BP Long/Short Research Fund utilized
cash borrowings from Goldman Sachs to meet required margin cash deposits as
follows during the six-month period ended February 28, 2011:
AVERAGE DAILY WEIGHTED AVERAGE
DAYS UTILIZED BORROWINGS INTEREST RATE
------------- ------------- ----------------
BP Long/Short Equity Fund 181 $33,839,262 0.68%
BP Long/Short Research Fund 138 232,858 0.65%
As of February 28, 2011, the BP Long/Short Equity Fund and the BP
Long/Short Research Fund had borrowings of $50,400,177 and $510,470,
respectively. Interest expenses for the six-month period ended February 28, 2011
totaled $114,470 and $580, respectively. Interest expense payable at February
28, 2011 totaled $20,792 and $136, respectively.
2. TRANSACTIONS WITH INVESTMENT ADVISERS AND OTHER SERVICES
Robeco Investment Management, Inc. ("Robeco") provides investment advisory
services to the BP Funds and the WPG Small/Micro Cap Value Fund. For its
advisory services with respect to the BP Funds, Robeco is entitled to receive
1.00% 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, 1.25% of the BP Long/Short
Research Fund's average daily net assets and 0.80% of the BP All-Cap Value
Fund's average daily net assets, each accrued daily and payable monthly.
Until December 31, 2011, Robeco has contractually agreed to limit the BP
Small Cap Value II, BP Long/Short Equity Fund and BP All-Cap Value Funds' total
operating expenses (other than brokerage commissions, extraordinary items,
interest, dividends on short sales, or taxes) to the extent that such expenses
exceed the ratios in the table below. This limit is calculated daily based the
BP Small Cap Value II, BP Long/Short Equity Fund and BP All-Cap Value Funds'
average daily net assets. This limitation is effected in waivers of advisory
fees and reimbursements of expenses exceeding the advisory fee as necessary.
Robeco may not recoup any of its waived investment advisory fees.
INSTITUTIONAL INVESTOR
------------- --------
BP Small Cap Value Fund II 1.30% 1.55%
BP Long/Short Equity Fund 2.50% 2.75%
BP All-Cap Value Fund 0.70% 0.95%
For the BP Long/Short Research Fund, Robeco has contractually agreed to
forgo all or a portion of its advisory fee and/or reimburse expenses in an
aggregate amount equal to the amount by which the Total Annual Fund operating
expenses (other than acquired fund fees and expenses, short sale dividend
expenses, brokerage commissions, extraordinary items or taxes) exceeds 2.25% of
the average daily net assets attributable to the Fund's Institutional Class
shares and 2.50% of the average daily net assets attributable to the Fund's
Investor Class. This contractual limitation is in effect until at least December
31, 2011 and may not be terminated without Board approval. If at any time during
the first three years the Fund's Advisory Agreement with Robeco is in effect,
the Fund's Total annual Fund operating expenses for that year are less than
2.25% for the Institutional Class and 2.50% for the Investor Class, Robeco is
entitled to reimbursement by the Fund of the advisory fees forgone and other
payments remitted by Robeco to the Fund during such three-year period.
For its advisory services with respect to the WPG Small/Micro Cap Value
Fund, Robeco is entitled to receive advisory fees, accrued daily and paid
monthly, as follows:
WPG Small/Micro Cap Value Fund 0.90% of net assets up to $300 million
0.80% of net assets $300 million to $500 million
0.75% of net assets in excess of $500 million
SEMI-ANNUAL REPORT 2011 | 45
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
2. TRANSACTIONS WITH INVESTMENT ADVISERS AND OTHER SERVICES (CONTINUED)
Until December 31, 2011, Robeco has contractually agreed to limit the WPG
Small/Micro Cap Value Fund's operating expenses to 1.70% as a percentage of each
Fund's average daily net assets. Robeco may not recoup any of its waived
investment advisory fees.
For the six month period ended February 28, 2011, Robeco has waived and
reimbursed fees as follows:
INVESTMENT ADVISER INVESTMENT ADVISER
FUNDS EXPENSE WAIVED REIMBURSEMENT
----- ------------------ ------------------
BP Small Cap Value Fund II $ 41,002 $ --
BP Long/Short Equity Fund 29,009 --
BP Long/Short Research Fund 43,100 32,257
BP All-Cap Value Fund 323,126 --
BP WPG Small/Micro Cap Value Fund 7,647 --
BP SAM Sustainable Global Active Fund 76,683 34,705
Sustainable Asset Management USA, Inc. ("SAM") provides investment advisory
services to the SAM Sustainable Global Active Fund. SAM is an affiliate of
Robeco Investment Management, Inc., and a subsidiary of Robeco Groep. SAM is
entitled to an advisory fee at the annual rate of 0.80% of SAM Sustainable
Global Active Fund's average daily net assets, computed daily and payable
monthly.
Until December 31, 2011, SAM has contractually agreed to limit the SAM
Sustainable Global Active Fund total operating expenses (other than brokerage
commissions, extraordinary items, interest or taxes) to the extent that such
expenses exceed certain ratios. For the Institutional Class, SAM has agreed to
waive fees and reimburse expenses to the extent that the total operating
expenses of the Fund exceed 1.20% of the first $50 million of the Fund's average
daily net assets, 1.10% of the Fund's average daily net assets between $50
million and $100 million and 1.00% of the Fund's average daily net assets in
excess of $100 million. For the Investor Class, SAM has agreed to waive fees and
reimburse expenses to the extent that the total operating expenses of the Fund
exceed 1.45% of the first $50 million of the Fund's average daily net assets,
1.35% of the Fund's average daily net assets between $50 million and $100
million and 1.25% of the Fund's average daily net assets in excess of $100
million. SAM may not recoup any of its waived investment advisory fees.
BNY Mellon Investment Servicing (US) Inc. ("BNY"), a member of The Bank of
New York Mellon Corporation, serves as administrator for the Funds. For
providing administration and accounting services, BNY is entitled to receive a
monthly fee equal to an annual percentage rate of each Fund's average daily net
assets, subject to certain minimum monthly fees.
Included in the administration and accounting service fees, shown on the
Statement of Operations, are fees for providing regulatory administrative
services to RBB. For providing these services, BNY is entitled to receive
compensation as agreed to by the Company and BNY. This fee is allocated to each
Fund in proportion to its net assets of the Company.
In addition, BNY serves as the Funds' transfer and dividend disbursing
agent. For providing transfer agency services, BNY is entitled to receive a
monthly fee, subject to certain minimum.
PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York
Mellon Corporation and provides certain custodial services to the Funds. PFPC
Trust is entitled to receive a monthly fee equal to an annual percentage rate of
the Funds' average daily net assets, subject to certain minimum monthly fees.
The Board of Directors of the Company has approved a Distribution Agreement
for the Funds and adopted a separate Plan of Distribution for the Investor Class
(the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940.
Under the Plan, BNY Distributors Inc. (the "Distributor") is entitled to receive
from the Funds a distribution fee with respect to the Investor Class, which is
accrued daily and paid monthly, of up to 0.25% on an annualized basis of the
average daily net assets of the Class. Amounts paid to the Distributor under the
Plan may be used by the Distributor to cover expenses that are related to (i)
the sale of the Shares, (ii) ongoing servicing and/or maintenance of the
accounts of shareholders, and (iii) sub-transfer agency services, subaccounting
services or administrative services related to the sale of the Investor Class,
all as set forth in the Funds' 12b-1 Plan.
46 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
3. DIRECTORS/COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The aggregate remuneration paid to
the Directors by the Funds during the six-month period ended February 28, 2011
was $40,996. Certain employees of BNY are Officers of the Company. They are not
compensated by the Funds or the Company.
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding investments and U.S. government
obligations) were as follows:
FUND PURCHASES SALES
---- ------------ ------------
BP Small Cap Value Fund II $ 22,119,218 $ 20,808,067
BP Long/Short Equity Fund 235,160,840 179,501,370
BP Long/Short Research Fund 19,980,609 3,558,591
BP All-Cap Value Fund 142,997,001 29,924,533
WPG Small/Micro Cap Value Fund 13,537,935 16,460,657
SAM Sustainable Global Active Fund 3,728,480 3,802,157
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2011, each class of each Fund has 100,000,000 shares of
$0.001 par value common stock authorized except for the Institutional Class of
the WPG Small/Micro Cap Value Fund, which has 50,000,000 shares of $0.001 par
value common stock authorized.
As of February 28, 2011, the following Funds had shareholders that held 10%
or more of the outstanding shares of the Funds. These shareholders may be
omnibus accounts which are comprised of many underlying shareholders.
BP Small Cap Value Fund II (2 shareholders) 60%
BP Long/Short Equity Fund (4 shareholders) 79%
BP Long/Short Research Fund (3 shareholders) 51%
BP All-Cap Value Fund (3 shareholder) 52%
SAM Sustainable Global Active Fund (2 shareholders) 96%
6. SECURITIES LENDING
Securities may be loaned to financial institutions, such as broker-dealers,
and are required to be secured continuously by collateral in cash, cash
equivalents, letter of credit or U.S. Government securities maintained on a
current basis at an amount at least equal to the market value of the securities
loaned. Cash collateral received, pursuant to investment guidelines established
by the Fund and approved by the Board of Directors, is invested in the
Institutional Money Market Trust. All such investments are made at the risk of
the Fund and, as such, the Fund is liable for investment losses. Such loans
would involve risks of delay in receiving additional collateral in the event the
value of the collateral decreased below the value of the securities loaned or of
delay in recovering the securities loaned or even loss of rights in the
collateral should the borrower of the securities fail financially. However,
loans will be made only to borrowers deemed by the Adviser to be of good
standing and only when, in the Adviser's judgment, the income to be earned from
the loans justifies the attendant risks. Any loans of a Fund's securities will
be fully collateralized and marked to market daily. During the six-month period
ended February 28, 2011, the Funds participated in securities lending. The
market value of securities on loan and collateral as of February 28, 2011 and
the income generated from the program during the six-month period ended February
28, 2011 with respect to such loans are as follows:
MARKET VALUE INCOME RECEIVED
OF SECURITIES MARKET VALUE FROM SECURITIES
FUND LOANED OF COLLATERAL LENDING
---- ------------- ------------- ---------------
BP Small Cap Value Fund II $15,988,836 $16,707,049 $18,213
BP Long/Short Equity Fund 6,650,029 7,155,540 37,690
BP All-Cap Value Fund 5,719,378 5,985,471 14,295
WPG Small/Micro Cap Value Fund 3,760,761 3,942,776 10,081
SAM Sustainable Global Active Fund 933,040 959,056 747
SEMI-ANNUAL REPORT 2011 | 47
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
7. RESTRICTED SECURITIES
A restricted security is a security which has been purchased through a
private offering and cannot be resold to the general public without prior
registration under the Securities Act of 1933 (the "1933 Act") or pursuant to
the resale limitations provided by Rule 144 under the 1933 Act, or an exemption
from the registration requirements of the 1933 Act. Certain restricted
securities may be resold in transactions exempt from registration, normally to
qualified institutional buyers, and may be deemed liquid by Robeco or SAM, as
applicable, based on procedures established by the Board of Directors.
Therefore, not all restricted securities are considered illiquid.
At February 28, 2011, the following Funds held restricted securities that
were illiquid:
ACQUISITION % OF
BP ALL-CAP VALUE FUND ACQUISITION DATE COST SHARES/PAR VALUE NET ASSETS
--------------------- ----------------- ----------- ---------- ----- ----------
COMMON STOCKS:
J.C. Wentworth, Inc. 144A 08/02/07-03/26/08 $181,980 -- $-- 0.0%
Peoples Choice Financial Corp. 144A 12/21/04-01/23/06 14,293 1,465 -- 0.0
CORPORATE BOND:
Thornburg Mortgage, Inc. 144A 10/01/08 758,149 824,000 -- 0.0
-------- ------- --- ---
$954,422 825,465 $-- 0.0%
======== ======= === ===
8. REDEMPTION FEES
There is a 1.00% redemption fee on shares redeemed which have been held 60
days or less on BP Small Cap Value Fund II, BP Long/Short Research Fund and SAM
Global Active Fund. 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 WPG
Small/Micro Cap Value Fund has a 2.00% redemption fee on shares redeemed within
60 days of purchase. The redemption fees are retained by the Funds for the
benefit of the remaining shareholders and recorded as paid-in capital.
9. FEDERAL INCOME TAX INFORMATION
Management has analyzed each Fund's tax positions taken on federal income
tax returns for all open tax years (August 31, 2007 - 2010) and has concluded
that no provision for federal income tax is required in the Funds' financial
statements. The Funds' federal and state income and federal excise tax returns
for tax years for which the applicable statutes of limitations have not expired
are subject to examination by the Internal Revenue Service and state departments
of revenue.
As of February 28, 2011, 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 $107,907,346 $27,279,825 $(3,229,488) $24,050,337
BP Long/Short Equity Fund 362,900,505 57,510,816 (6,455,464) 51,055,352
BP Long/Short Research Fund 16,588,994 1,263,792 (90,514) 1,173,278
BP All-Cap Value Fund 253,843,712 32,172,589 (2,674,366) 29,498,223
WPG Small/Micro Cap Value Fund 34,839,397 9,427,256 (1,274,858) 8,152,398
SAM Sustainable Global Active Fund 17,715,138 4,006,110 (43,048) 3,963,062
Distributions to shareholders from net investment income and realized gains
are determined in accordance with Federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
48 | SEMI-ANNUAL REPORT 2011
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded)
9. FEDERAL INCOME TAX INFORMATION (CONTINUED)
As of August 31 2010, 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 $ 61,717 $ --
BP Long/Short Equity Fund 18,920,984 --
BP All-Cap Value Fund 1,859,277 --
WPG Small/Micro Cap Value Fund -- --
SAM Sustainable Global Active Fund 788,803 38,085
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.
The tax character of distributions paid during the fiscal year ended August
31, 2010 were as follows:
2010
-------------------------------------------
ORDINARY LONG-TERM RETURN OF
FUND INCOME GAINS CAPITAL TOTAL
------ -------- --------- --------- --------
BP Small Cap Value Fund II $190,014 -- -- $190,014
BP Long/Short Equity Fund -- -- -- --
BP All-Cap Value Fund 791,384 -- -- 791,384
WPG Small/Micro Cap
Value Fund 107,006 -- -- 107,006
SAM Sustainable Global
Active Fund 989,046 -- -- 989,046
Distributions from net investment income and short-term capital gains are
treated as ordinary income for federal income tax purposes.
For Federal income tax purposes, capital loss carryforwards represent net
realized capital losses of a Fund that may be carried forward for a maximum of
eight years and applied against future net capital gains. As of August 31, 2010,
the following Funds had capital loss carryforwards available to offset future
realized capital gains through the expiration dates indicated below:
FUND 2016 2017 2018 TOTAL
---- ---------- ----------- ----------- -----------
BP Small Cap Value Fund II $ -- $15,908,734 $12,850,401 $28,759,135
BP Long/Short Equity Fund 2,529,702 -- -- 2,529,702
WPG Small/Micro Cap Value Fund -- 7,340,717 3,418,543 10,759,260
10. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are effective for interim and annual reporting
periods beginning after December 15, 2009, and other required disclosures are
effective for fiscal years beginning after December 15, 2010, and for interim
periods within those fiscal years. Management has evaluated the impact and has
incorporated the appropriate disclosures required by ASU No. 2010-06 in its
financial statement disclosures.
SEMI-ANNUAL REPORT 2011 | 49
ROBECO INVESTMENT FUNDS
NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded)
11. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Fund(s)
through the date the financial statements were issued, and has determined that
there was the following subsequent event:
At a meeting of the Company's Board of Directors held on February 17, 2011,
the Board unanimously voted to approve, subject to shareholder approval, an
Agreement and Plan of Reorganization whereby the Institutional and Investor
classes of the SAM Sustainable Global Active Fund would be reorganized into the
Institutional class of a newly created series of Frontegra Funds, Inc. (the "New
Fund"). The New Fund will have virtually identical investment objectives and
strategies to the SAM Sustainable Global Active Fund, but it will be offered and
managed through the Frontegra organization. Sustainable Asset Management USA,
Inc., the SAM Sustainable Global Active Fund's current adviser, would serve as
the New Fund's sub-adviser with responsibility for the day-to-day portfolio
management and Frontegra Asset Management, Inc. would act as the New Fund's
adviser. A Special Meeting of Shareholders of the SAM Sustainable Global Active
Fund will be held on June 2, 2011, at which shareholders will be asked to
consider and approve the Agreement and Plan of Reorganization. Shareholders of
record of the SAM Sustainable Global Active Fund as of March 11, 2011 will be
entitled to vote and should expect to receive a prospectus/proxy statement
providing more information about the New Fund the proposed reorganization. If
approved by shareholders at the Special Meeting, the reorganization is expected
to occur on or about June 10, 2011.
50 | SEMI-ANNUAL REPORT 2011
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 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 (202) 551-8090.
APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
ROBECO INVESTMENT MANAGEMENT, INC.
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 initial approval of the investment advisory agreement between
Robeco and the Company on behalf of the Robeco Boston Partners Long/Short
Research Fund (the "Fund") (the "Advisory Agreement") at a meeting of the Board
held on September 21, 2010. At the meeting, the Board, including all of the
Independent Directors, approved the Advisory Agreement for an initial term
ending August 16, 2012. The Board's decision to approve the Advisory Agreement
reflects the exercise of its business judgment. In approving the Advisory
Agreement, the Board considered information provided by Robeco with the
assistance and advice of counsel to the Independent Directors and the Company.
In considering the approval of the Advisory Agreement, the Directors took
into account all materials provided prior to and during the Meeting, the
presentations made during the Meeting, and the discussions during the Meeting.
Among other things, the Directors considered (i) the nature, extent, and quality
of Robeco's services to be provided to the Fund; (ii) descriptions of the
experience and qualifications of Robeco's personnel providing those services;
(iii) Robeco's investment philosophies and processes; (iv) Robeco's assets
under management and client descriptions; (v) Robeco's soft dollar commission
and trade allocation policies, including information on the types of research
and services obtained in connection with soft dollar commissions; (vi) Robeco's
current and proposed advisory fee arrangements with the Company and other
similarly managed clients; (vii) Robeco's compliance procedures; (viii) Robeco's
financial information and insurance coverage; (ix) the extent to which economies
of scale are relevant to the Fund; and (x) a report comparing the performance
of the Fund's strategy to the performance of the S&P 500 Index.
As part of their review, the Directors considered the nature, extent and
quality of the services to be provided by Robeco. The Directors concluded that
Robeco had substantial resources to provide services to the Fund and that
Robeco's services to the other Robeco Investment Funds had been acceptable. The
Directors also considered the prior investment performance of the Fund's
strategy. The Directors concluded that the investment performance of the
strategy as compared to the S&P 500 Index was acceptable. The Board of Directors
also considered the advisory fee rate payable by the Fund under the proposed
advisory agreement. In this regard, the Directors noted that Robeco had
contractually agreed to waive management fees and reimburse expenses through
December 31, 2011 to limit total annual operating expenses to agreed upon levels
for the Fund.
After reviewing the information regarding the Robeco's costs and economies
of scale, and after considering Robeco's services, the Directors concluded that
the investment advisory fees to be paid by the Fund were fair and reasonable,
and that the Advisory Agreement should be approved for an initial period ending
August 16, 2012.
SEMI-ANNUAL REPORT 2011 | 51
[THIS PAGE INTENTIONALLY LEFT BLANK]
INVESTMENT ADVISERS
Robeco Investment Management Inc.
909 Third Avenue, 32nd Floor
New York, NY 10022
or
Sustainable Asset Management USA, Inc.
909 Third Avenue, 32nd Floor
New York, NY 10022
and
Josefstrasse 218
CH-8005 Zurich, Switzerland
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Two Commerce Square
2001 Market Street, Suite 4000
Philadelphia, PA 19103
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
S1 FUND
SEMIANNUAL REPORT FOR THE PERIOD ENDED FEBRUARY 28, 2011
(UNAUDITED)
Dear Fellow Investors:
We are pleased to enclose the first semiannual report from the S1 Fund for your
information. The Simple Alternatives team would also like to take this
opportunity to thank you for your support. We are grateful for the confidence
you have placed in us since the Fund's inception.
Our focus remains the same - to preserve and grow capital through hedged equity
strategies packaged in a transparent, low-cost, easy-to-use mutual fund
structure. Given the market volatility of the past few years, investors are
increasingly looking for smart diversification and active risk management. We
know that historically, hedged equity strategies have outperformed long equity
exposure with lower risk, but these types of investments have traditionally been
accessible only in a limited partnership structure and with high investment
minimums and high fees - until now.
At Simple Alternatives we have seen growing demand from advisers for
multi-manager, hedged equity strategies available in an easier-to-use format. We
are pleased that many of these advisers have selected the S1 Fund and we look
forward to building on the strong start we have made.
Again, thank you for your support and participation, and please contact me with
any questions you might have.
Best Regards,
Jim Dilworth
CEO & Founding Partner
Simple Alternatives, LLC
1
S1 FUND
PERFORMANCE DATA
TOTAL RETURNS AS OF FEBRUARY 28, 2011 (UNAUDITED)
One Since
Month Inception*
------ ----------
S1 Fund, I Shares 1.51% 0.80%
S&P 500(R) Index** 3.43% 17.27%
----------------
* I Shares were offered beginning September 30, 2010.
** Benchmark performance is from the inception date of the Fund only and is
not the inception date of the benchmark itself.
Performance quoted is past performance and does not guarantee future results.
Investment return and principal value will fluctuate so that shares, when
redeemed, may be worth more or less than their original cost. Current
performance may be lower or higher than the returns quoted above. Call Simple
Alternatives at 1-866-882-1226 for returns current to the most recent month-end.
The Fund's total expense ratio per the most recent prospectus is 3.51%. The
performance data reflects fee waivers and expense reimbursements. Performance
would have been lower if these waivers and expense reimbursements were not in
effect. The table does not reflect the deduction of taxes that a shareholder
would pay on Fund distributions or the redemption of Fund shares.
The Fund is non-diversified and may focus its investments in the securities of a
comparatively small number of issuers. Concentration in securities of a limited
number of issuers exposes a fund to greater market risk and potential monetary
losses than if its assets were diversified among the securities of a greater
number of issuers. The Fund may invest in small- and medium-sized companies
which involve greater risk than investing in larger, more established companies,
such as increased volatility of earnings and prospects, higher failure rates,
and limited markets, product lines or financial resources.
The Fund may invest in foreign or emerging markets securities which involve
special risks, including the volatility of currency exchange rates and, in some
cases, limited geographic focus, political and economic instability, and
relatively illiquid markets.
The Fund may invest in debt securities which are subject to interest rate risk.
An increase in interest rates typically causes a fall in the value of the debt
securities in which the Fund may invest. The Fund may also invest in high yield,
lower rated (junk) bonds which involve a greater degree of risk and price
fluctuation than investment grade bonds in return for higher yield potential.
The Fund's distressed debt strategy may involve a substantial degree of risk,
including investments in sub-prime mortgage securities.
The Fund may purchase securities of companies in initial public offerings.
Special risks associated with these securities may include a limited number of
shares available for trading, unseasoned trading, lack of investor knowledge of
the company and limited operating history. The Fund may leverage transactions
which include selling short as well as borrowing for other than temporary or
emergency purposes. Leverage creates the risk of magnified capital losses.
The Fund may also invest in derivatives which can be volatile and involve
various types and degrees of risks, depending upon the characteristics of a
particular derivative. The Fund may invest in options and futures which are
subject to special risks and my not fully protect the Fund against declines in
the value of its stocks. In addition, an option writing strategy limits the
upside profit potentially normally associated with stocks. Futures trading is
very speculative, largely due to the traditional volatility of future prices.
2
S1 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.
This example is based on an investment of $1,000 invested at the beginning of
the period from September 30, 2010 (date of commencement of operations) through
February 28, 2011, 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.
3
S1 FUND
FUND EXPENSE EXAMPLES (CONCLUDED)
(UNAUDITED)
I SHARES
----------------------------------------------------------------------------------
ENDING ACCOUNT VALUE
BEGINNING ACCOUNT VALUE* FEBRUARY 28, 2011 EXPENSES PAID DURING PERIOD
------------------------- --------------------- ----------------------------
Actual** $ 1,000.00 $ 1,008.00 $ 15.43
Hypothetical
(5% return before
expenses)*** 1,000.00 1,006.27 18.53
----------
* The Fund commenced operations on September 30, 2010. Beginning account
value for the hypothetical is September 1, 2010.
** Expenses equal to an annualized expense ratio for the period September 30,
2010 to February 28, 2011 of 3.69% for the Fund, which includes waived
feees, reimbursement and fees paid indirectly (including dividend and
interest expense), multiplied by the average account value over the period,
multiplied by the number of days in the most recent period (152) then
divided by 365 days. The Fund's ending account value on the first line in
the table are based on the actual total return since inception for the Fund
of 0.80%.
*** Expenses (hypothetical expenses if the Fund had been in existence from
September 1, 2010) are equal to the Fund's annualized expense ratio,
multiplied by the average account value over the period, multiplied by the
number of days in the most recent six-month period (181), then divided by
365.
4
S1 FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
SECURITY TYPE/SECTOR CLASSIFICATION ASSETS VALUE
------------------------------------- ---------- ----------
COMMON STOCKS:
Financials 11.0% $ 742,892
Real Estate Investment Trusts 10.4 703,638
Consumer Discretionary 5.3 357,025
Information Technology 3.4 230,493
Health Care 2.8 188,556
Industrials 2.5 169,751
Consumer Staples 1.8 126,311
Energy 1.3 87,087
Materials 0.9 59,732
Telecommunication Services 0.1 7,135
CORPORATE BOND 0.5 31,135
FOREIGN GOVERNMENT NOTE 0.2 10,468
EXCHANGE TRADED FUNDS 1.7 116,548
SHORT-TERM INVESTMENTS 14.8 999,909
PURCHASED OPTIONS 0.3 23,914
SECURITIES SOLD SHORT (18.3) (1,238,605)
WRITTEN OPTIONS (0.1) (7,153)
OTHER ASSETS IN EXCESS OF LIABILITIES 61.4 4,153,004
-------- -----------
NET ASSETS 100.00% $ 6,761,840
======== ===========
---------
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the Portfolio of Investments.
5
S1 FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ---------
COMMON STOCKS - 39.5%
CONSUMER DISCRETIONARY - 5.3%
AH Belo Corp., Class A*#......... 9,194 $ 66,105
Black Diamond, Inc. *.... ....... 3,507 23,742
Cabela's, Inc. *................. 140 3,798
Coinstar, Inc. *................. 140 5,975
Domino's Pizza, Inc. *........... 100 1,687
Gaylord Entertainment Co.*....... 700 25,221
Gentex Corp...................... 1,000 30,280
Global Traffic Network, Inc. *... 1,300 16,315
Heelys, Inc. *................... 7,128 19,673
Hot Topic, Inc. ................. 5,353 28,639
Kirkland's, Inc. *............... 2,215 33,845
Macy's, Inc. . .................. 170 4,063
Magna International, Inc.+....... 100 4,936
Marriott International, Inc.,
Class A........................ 650 25,486
Sonic Automotive, Inc.,
Class A........................ 1,800 25,884
Stage Stores, Inc. .............. 1,691 29,491
True Religion Apparel, Inc.*..... 500 11,885
--------
357,025
--------
CONSUMER STAPLES-1.8%
Avon Products, Inc. ............. 170 4,728
Bunge Ltd. ...................... 170 12,269
Chiquita Brands
International, Inc.*............. 110 1,891
Dr Pepper Snapple Group,
Inc. .......................... 250 9,015
Pantry, Inc. , (The)* ........... 1,420 22,379
Ralcorp Holdings, Inc.*.......... 470 30,479
Safeway, Inc. ................... 1,100 24,002
Sysco Corp. ..................... 180 5,002
Tyson Foods, Inc. , Class A...... 100 1,863
Viterra, Inc. (Canada).......... 350 4,287
Wal-Mart Stores, Inc. ........... 200 10,396
--------
126,311
--------
ENERGY-1.3%
Bowood Energy, Inc.
(Canada)*...................... 4,080 2,226
BPZ Resources, Inc. *............ 530 3,445
Cheniere Energy, Inc. *.......... 180 1,868
Cloud Peak Energy, Inc. *........ 350 7,175
Frontline Ltd.+.................. 120 3,239
Gastar Exploration Ltd. *........ 11,605 $ 57,445
Petroamerica Oil Corp.
(Canada)*...................... 7,590 3,398
Petrodorado Energy Ltd.
(Canada)*...................... 5,140 2,804
Sasol Ltd.- Sponsored ADR........ 100 5,487
--------
87,087
--------
FINANCIALS-11.0%
Altisource Portfolio Solutions
SA.*+........................... 2,611 78,826
American Assets Trust, Inc. *.... 1,350 29,106
CB Richard Ellis Group, Inc. ,
Class A*....................... 900 22,536
Chatham Lodging Trust............ 1,250 21,838
China Life Insurance Co.
Ltd. - ADR ..................... 130 7,441
Citigroup, Inc. *................ 3,500 16,380
Forest City Enterprises, Inc. ,
Class A*....................... 3,635 68,702
Grubb & Ellis Co.*............... 1,900 2,090
Hammerson, PLC (United
Kingdom)....................... 2,650 20,079
Heritage Financial Group,
Inc. .......................... 1,000 13,210
Invesco Mortgage Capital,
Inc. #......................... 2,900 67,686
Knight Capital Group, Inc.,
Class A*....................... 2,378 33,316
MF Global Holdings Ltd. *........ 2,900 25,143
OmniAmerican Bancorp,
Inc. *#........................ 3,989 62,508
Ping An Insurance Group
Co. of China Ltd., Class H
(China)........................ 500 5,130
Popular, Inc. *+................. 7,000 22,750
Retail Opportunity
Investments Corp. ............. 2,289 25,179
Safestore Holdings PLC
(United Kingdom)............... 3,302 7,730
SEI Investments Co. ............. 460 10,585
SLM Corp.* ...................... 1,830 27,121
Synovus Financial Corp........... 350 893
The accompanying notes are an integral part of the Portfolio of Investments.
6
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF SHARES VALUE
--------- --------
FINANCIALS-(CONTINUED)
Tetragon Financial Group
Ltd. ........................ 11,321 $ 90,455
TradeStation Group, Inc.*...... 3,756 25,278
Uranium Participation Corp. ...
(Canada)* .................... 90 837
ViewPoint Financial Group...... 4,373 58,073
--------
742,892
--------
HEALTH CARE-28%
Align Technology, Inc. *....... 140 2,919
Brookdale Senior Living,
Inc. *....................... 625 16,806
Cubist Pharmaceuticals,
Inc. *....................... 1,500 32,895
Elan Corp., PLC - Sponsored
ADR*......................... 90 572
Emeritus Corp.*................ 958 22,542
Endo Pharmaceuticals
Holdings, Inc. *............. 210 7,459
Health Net, Inc. *............. 80 2,354
Integramed America, Inc. *..... 1,300 13,208
Johnson & Johnson.............. 85 5,222
Kindred Healthcare, Inc. *..... 170 4,236
Masimo Corp.................... 630 18,988
Medtronic, Inc. ............... 680 27,146
Raptor Pharmaceutical
Corp.*....................... 1,200 4,308
Tenet Healthcare Corp.*........ 2,420 17,376
Teva Pharmaceutical
Industries Ltd.- Sponsored
ADR.......................... 250 12,525
--------
188,556
--------
INDUSTRIALS-25%
Acacia Research - Acacia
Technologies*................ 600 17,592
Aircastle Ltd. ................ 2,525 30,502
American Superconductor
Corp.*....................... 240 6,365
Canadian Pacific Railway
Ltd. ........................ 80 5,438
Carlisle Cos, Inc. ............ 210 9,032
Cintas Corp. .................. 250 7,030
Cooper Industries PLC.......... 50 3,217
Cummins, Inc. ................. 50 5,056
Danaher Corp. ................. 100 $ 5,060
Deere & Co. ................... 20 1,803
Diana Shipping, Inc. *+........ 460 5,732
DigitalGlobe, Inc. *........... 390 12,589
Donaldson Co, Inc. ............ 60 3,378
Genco Shipping & Trading
Ltd.* ....................... 180 2,185
GrafTech International Ltd.*... 70 1,401
II-VI, Inc. *.................. 70 3,583
Kennametal, Inc. .............. 180 6,923
Norfolk Southern Corp. ........ 52 3,410
Pitney Bowes, Inc. ............ 100 2,518
Republic Services, Inc. ....... 40 1,184
Ryder System, Inc. ............ 90 4,305
Snap-On, Inc. ................. 70 4,020
Southwest Airlines Co. ........ 900 10,647
Tata Motors Ltd - Sponsored
ADR.......................... 380 9,356
Terex Corp.*................... 220 7,425
--------
169,751
--------
INFORMATION TECHNOLOGY -34%
Advanced Micro Devices,
Inc. *....................... 1,910 17,591
Applied Micro Circuits
Corp.*....................... 210 2,205
Atmel Corp.* .................. 240 3,523
AU Optronics Corp. -
Sponsored ADR*............... 500 4,490
Cisco Systems, Inc. *.......... 1,520 28,211
DG Fastchannel, Inc. * ........ 200 6,622
Hewlett-Packard Co. ........... 200 8,726
Ingram Micro, Inc. , Class A*.. 1,310 26,108
Insight Enterprises, Inc. *.... 100 1,829
IntraLinks Holdings, Inc. *.... 90 2,537
IPG Photonics Corp.*........... 60 3,415
KIT Digital, Inc. * ........... 490 6,375
Kulicke & Soffa Industries,
Inc. *....................... 1,848 17,722
Limelight Networks, Inc. *..... 1,000 6,950
LoopNet, Inc. *................ 20 238
Microsoft Corp.# .............. 1,562 41,518
OCZ Tech Group, Inc. *......... 493 3,712
On Track Innovations Ltd.*+.... 1,200 3,480
The accompanying notes are an integral part of the Portfolio of Investments.
7
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ----------
INFORMATION TECHNOLOGY-(CONTINUED)
Research In Motion Ltd.* ........................ 100 $ 6,614
Sanmina-SCI Corp.* .............................. 110 1,718
SMART Modular Technologies WWH, Inc.* ........... 4,006 27,762
Teradata Corp.* ................................. 70 3,347
WebMD Health Corp.* ............................. 100 5,800
----------
230,493
----------
MATERIALS-0.9%
Argentex Mining Corp. (Canada)* ................. 510 546
Ball Corp ....................................... 150 5,415
Calgon Carbon Corp.* ............................ 40 562
Celanese Corp., Series A ........................ 30 1,243
Cia Siderurgica Nacional S.A. - Sponsored ADR ... 120 1,952
Cliffs Natural Resources, Inc ................... 70 6,795
FMC Corp ........................................ 30 2,323
Headwaters, Inc.* ............................... 900 4,563
Innospec, Inc.* ................................. 52 1,394
International Paper Co .......................... 150 4,167
Lubrizol Corp ................................... 60 6,532
Oremex Resources, Inc. (Canada)* ................ 2,900 791
POSCO - ADR ..................................... 100 10,308
Puda Coal, Inc.* ................................ 490 5,709
RTI International Metals, Inc.* ................. 120 3,420
Sterlite Industries India Ltd. - ADR ............ 100 1,474
West Fraser Timber Co., Ltd ..................... 20 930
Zoltek Cos., Inc.* .............................. 110 1,608
----------
59,732
----------
REAL ESTATE INVESTMENT TRUSTS-10.4%
Alexandria Real Estate Equities, Inc ........... 300 24,060
American Campus Communities, Inc ................ 1,865 62,328
Ashford Hospitality Trust, Inc.* ................ 780 8,042
Associated Estates Realty Corp ................. 1,350 21,938
BioMed Realty Trust, Inc ........................ 1,200 21,780
Boardwalk Real Estate Investment Trust
(Canada)....................................... 250 $ 11,757
Boston Properties, Inc .......................... 350 33,572
Calloway Real Estate Investment Trust (Canada)... 400 10,206
Camden Property Trust ........................... 850 50,294
Cedar Shopping Centers, Inc ..................... 800 4,848
DCT Industrial Trust, Inc ....................... 3,700 20,794
Developers Diversified Realty Corp ............. 3,133 44,802
Equity Lifestyle Properties, Inc ................ 1,076 62,451
Extra Space Storage, Inc ........................ 950 18,763
Glimcher Realty Trust ........................... 923 8,492
Hersha Hospitality Trust ........................ 2,711 17,811
Nationwide Health Properties, Inc .............. 550 23,507
PennyMac Mortgage Investment Trust#.............. 3,100 58,435
Post Properties, Inc ............................ 650 25,350
Ramco-Gershenson Properties Trust................ 2,524 34,099
RioCan Real Estate Investment Trust (Canada)..... 400 9,972
Segro, PLC (United Kingdom)...................... 1,500 7,852
Simon Property Group, Inc ....................... 350 38,514
Sunstone Hotel Investors, Inc.*.................. 2,170 23,306
Vornado Realty Trust ............................ 650 60,665
----------
703,638
----------
TELECOMMUNICATION SERVICES-0.1%
China Mobile Ltd. - ADR ......................... 100 4,727
Neutral Tandem, Inc.* ........................... 140 2,408
----------
7,135
----------
TOTAL COMMON STOCKS
(Cost $2,527,152)............................ 2,672,620
----------
The accompanying notes are an integral part of the Portfolio of Investments.
8
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
PAR
(000'S) VALUE
------- -------
CORPORATE BOND - 0.5%
FINANCIAL-0.5%
Ally Financial, Inc.
6.625% 05/15/12 ......................... $ 30 $ 31,135
--------
TOTAL CORPORATE BOND (Cost$31,154)....... 31,135
--------
FOREIGN GOVERNMENT NOTE - 0.2%
Canadian Government Bond 3.000% 12/01/15... CAD 10 10,468
--------
TOTAL FOREIGN GOVERNMENT NOTE
(Cost $10,396)........................... 10,468
--------
NUMBER
OF SHARES
----------
EXCHANGE TRADED FUNDS - 1.7%
FINANCIALS -1.7%
Industrial Select Sector SPDR Fund 30 1,110
iShares Barclays 20+ Year Treasury Bond Fund ........ 20 1,848
iShares FTSE NAREIT Mortgage Plus Capped
Index Fund# ....................................... 6,282 100,701
ProShares Ultrashort S&P500* ........................ 110 2,320
ProShares UltraShort Silver* . ...................... 138 4,221
ProShares UltraShort Yen* ........................... 140 2,216
SPDR Gold Shares* ................................... 30 4,132
--------
116,548
--------
TOTAL EXCHANGE TRADED FUNDS
(Cost $110,418) ................................ 116,548
--------
PAR
(000'S) VALUE
------- --------
SHORT-TERM INVESTMENTS - 14.8%
U.S. TREASURY BILLS-14.8%
0.124% 04/14/11 ..................... $ 200 $199,979
0.140% 03/17/11# .................... 300 299,982
0.140% 04/14/11# .................... 500 499,948
--------
999,909
--------
TOTAL SHORT-TERM INVESTMENTS
(Cost $999,866) ................... 999,909
--------
NUMBER
OF CONTRACTS
------------
PURCHASED OPTIONS - 0.3%
CALL OPTIONS PURCHASED - 0.0%
DryShips, Inc.
Expires 03/19/11
Strike Price $5 ........................... 1 16
Eagle Bulk Shipping, Inc.
Expires 03/19/11
Strike Price $4.50......................... 1 5
-------
TOTAL CALL OPTIONS PURCHASED
(Cost $51)................................. 21
-------
PUT OPTIONS PURCHASED-0.3%
Calumet Specialty Products Partners, LP
Expires 03/19/11
Strike Price $25........................... 1 390
China Green Agriculture, Inc.
Expires 03/19/11
Strike Price $9............................ 13 1,690
China Integrated, Inc.
Expires 03/19/11
Strike Price $7.50......................... 11 1,568
China MediaExpress Holdings, Inc.
Expires 03/19/11
Strike Price $10........................... 18 1,710
China MediaExpress Holdings, Inc.
Expires 03/19/11
Strike Price $12.50........................ 6 990
The accompanying notes are an integral part of the Portfolio of Investments.
9
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF CONTRACTS VALUE
------------ ----------
PUT OPTIONS PURCHASED - (CONTINUED)
China Valves Technology, Inc.
Expires 03/19/11
Strike Price $10 ................................ 13 $ 5,135
CurrencyShares Australian Dollar Trust
Expires 03/19/11
Strike Price $85................................. 200 3,000
CurrencyShares Canadian Dollar Trust
Expires 03/19/11
Strike Price $90................................. 100 1,000
CurrencyShares Japanese Yen Trust
Expires 03/19/11
Strike Price $102................................ 200 2,000
Harbin Electric, Inc.
Expires 03/19/11
Strike Price $17.50.............................. 11 660
iShares Barclays 20+ Year
Treasury Bond Fund
Expires 06/18/11
Strike Price $85................................. 12 1,128
iShares Dow Jones U.S. Real
Estate Index Fund
Expires 03/19/11
Strike Price $47................................. 100 350
iShares Dow Jones U.S. Real
Estate Index Fund
Expires 03/19/11
Strike Price $57................................. 31 682
L&L Energy, Inc.
Expires 03/19/11
Strike Price $10................................. 7 1,820
SPDR S&P 500 ETF Trust
Expires 03/19/11
Strike Price $100................................ 100 300
Wonder Auto Technology, Inc.
Expires 04/16/11
Strike Price $7.50............................... 14 1,470
----------
TOTAL PUT OPTIONS PURCHASED
(Cost $29,520) 23,893
----------
TOTAL PURCHASED OPTIONS - 0.3%
(Cost $29,571) .................................... $ 23,914
----------
TOTAL LONG POSITIONS - 57.0%
(Cost $3,708,557) ................................. 3,854,594
----------
NUMBER
OF SHARES
---------
SECURITIES SOLD SHORT - (16.4)%
COMMON STOCKS - (16.4)%
CONSUMER DISCRETIONARY -(2.3)%
Blue Nile, Inc.* ...................... (537) (30,706)
Bob Evans Farms, Inc................... (70) (2,194)
BorgWarner, Inc.* ..................... (80) (6,209)
China MediaExpress Holdings, Inc.+*.... (1,253) (17,680)
Garmin Ltd.+........................... (651) (22,101)
Home Depot, Inc........................ (418) (15,662)
Magna International, Inc.+............. (70) (3,455)
MarineMax, Inc.* ...................... (1,524) (13,762)
Tesla Motors, Inc.* ................... (600) (14,334)
VF Corp................................ (175) (16,742)
Winnebago Industries, Inc.* ........... (800) (11,568)
--------
(154,413)
--------
CONSUMER STAPLES-(0.5)%
Cal-Maine Foods, Inc................... (210) (6,063)
China Sky One Medical, Inc.* .......... (2,116) (9,945)
China-Biotics, Inc.* .................. (1,300) (15,184)
Universal Corp......................... (60) (2,509)
--------
(33,701)
--------
ENERGY-(0.4)%
Berry Petroleum Co., Class A .......... (160) (8,318)
Cameron International Corp.* ......... (80) (4,730)
Connacher Oil and Gas Ltd. (Canada)*... (970) (1,597)
Crescent Point Energy Corp. (Crescent) (110) (5,319)
Magnum Hunter Resources Corp.* ........ (350) (2,506)
The accompanying notes are an integral part of the Portfolio of Investments.
10
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF SHARES VALUE
ENERGY - (CONTINUED)
Peabody Energy Corp............. (90) $ (5,894)
----------
(28,364)
----------
FINANCIALS-(3.2)%
Brookfield Properties Corp...... (2,700) (47,331)
Cohen & Steers, Inc............. (554) (16,177)
CVB Financial Corp.............. (1,879) (15,708)
Eaton Vance Corp................ (470) (14,711)
First American Financial
Corp............................ (770) (12,135)
Greenhill & Co., Inc............ (272) (19,538)
Howard Hughes Corp., (The)* .... (400) (23,108)
Janus Capital Group, Inc........ (1,100) (14,773)
KBW, Inc........................ (529) (13,537)
Lazard Ltd., Class A+........... (340) (14,960)
Manulife Financial Corp.+....... (350) (6,612)
Netspend Holdings, Inc.* ....... (1,070) (14,028)
Weyerhaeuser Co................. (180) (4,394)
----------
(217,012)
----------
HEALTH CARE-(0.5)%
Ariad Pharmaceuticals, Inc.* . (350) (2,103)
Arqule, Inc.* .................. (170) (1,083)
Covance, Inc.* ................. (70) (3,950)
Dendreon Corp.* ................ (300) (10,077)
Depomed, Inc.* ................. (690) (5,789)
Neurocrine Biosciences, Inc.* . (210) (1,418)
NuVasive, Inc.* ................ (150) (4,010)
Omnicare, Inc................... (80) (2,290)
Seattle Genetics, Inc.* ........ (190) (2,822)
St. Jude Medical, Inc.* ........ (50) (2,394)
----------
(35,936)
----------
INDUSTRIALS-(0.8)%
AG Growth International,
Inc.+........................... (30) (1,656)
Canadian National Railway
Co.+............................ (80) (5,862)
Caterpillar, Inc................ (70) (7,205)
Harbin Electric, Inc.*+......... (719) (13,647)
Hubbell, Inc., Class B ......... (50) (3,375)
Joy Global, Inc................. (23) (2,240)
Kirby Corp.* ................... (63) (3,486)
Pall Corp.................... (60) $ (3,262)
Trex Co., Inc.* ............. (490) (14,676)
Waste Connections, Inc....... (50) (1,450)
---------
(56,859)
---------
INFORMATION TECHNOLOGY -(1.4)%
Broadridge Financial
Solutions, Inc............... (685) (15,700)
LAM Research Corp.* ......... (336) (18,446)
Manhattan Associates, Inc.* . (100) (3,220)
Meru Networks, Inc.* ........ (995) (21,253)
Research In Motion Ltd.* .... (327) (21,628)
Skyworks Solutions, Inc.* ... (170) (6,110)
TriQuint Semiconductor,
Inc.* ....................... (350) (4,988)
----------
(91,345)
----------
MATERIALS-(0.5)%
Canfor Corp.* ............... (90) (1,079)
Crown Holdings, Inc.* ....... (150) (5,772)
Horsehead Holding Corp.* . (124) (2,051)
Reliance Steel & Aluminum
Co........................... (80) (4,426)
STR Holdings, Inc.* ......... (529) (9,580)
Taseko Mines Ltd.* +......... (120) (757)
Yongye International, Inc.* + (1,587) (12,014)
----------
(35,679)
----------
REAL ESTATE INVESTMENT TRUSTS-(6.6)%
Acadia Realty Trust ......... (1,352) (26,770)
BRE Properties, Inc.......... (650) (30,881)
CBL & Associates Properties,
Inc.......................... (550) (9,817)
Chimera Investment Corp...... (5,300) (22,843)
EastGroup Properties, Inc.... (350) (15,935)
Equity Residential .......... (500) (27,555)
Essex Property Trust, Inc.... (250) (30,945)
Host Hotels & Resorts, Inc... (1,700) (31,280)
Kimco Realty Corp............ (1,900) (36,822)
Liberty Property Trust ...... (1,150) (38,835)
Mack-Cali Realty Corp........ (750) (25,455)
Medical Properties Trust,
Inc.......................... (1,950) (22,874)
The accompanying notes are an integral part of the Portfolio of Investments.
11
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF SHARES VALUE
--------- ------------
REAL ESTATE INVESTMENT TRUSTS-(CONTINUED)
National Health Investors,
Inc ..................................... (550) $ (26,136)
Redwood Trust, Inc ...................... (475) (7,781)
Regency Centers Corp .................... (300) (13,575)
Taubman Centers, Inc .................... (350) (19,418)
Ventas, Inc ............................. (350) (19,397)
Weingarten Realty Investors . (1,600) (41,392)
------------
(447,711)
------------
UTILITIES-(0.2)%
China Natural Gas, Inc.*+................ (2,116) (11,088)
------------
TOTAL COMMON
STOCKS SOLD SHORT
(Proceeds $1,081,089) (1,112,108)
------------
EXCHANGE TRADED FUNDS SOLD SHORT- (1.9)%
FINANCIALS-(1.9)%
iShares Russell 2000 Index
Fund .................................... (700) (57,589)
iShares S&P/TSX Capped
Energy Fund (Canada) .................... (870) (20,390)
iShares Silver Trust* ................... (340) (11,261)
Market Vectors Junior Gold
Miners ETF .............................. (259) (9,972)
Retail HOLDRs Trust ..................... (20) (2,130)
SPDR S&P Oil & Gas
Exploration & Production
ETF ..................................... (320) (19,741)
SPDR S&P Retail ETF ..................... (110) (5,414)
------------
(126,497)
------------
TOTAL EXCHANGE TRADED
FUNDS SOLD SHORT
(Proceeds $121,601) (126,497)
------------
TOTAL SECURITIES SOLD
SHORT- (18.3)%
(Proceeds $1,202,690) (1,238,605)
------------
</Table>
NUMBER
OF CONTRACTS
------------
WRITTEN OPTIONS- (0.1)%
CALL OPTIONS WRITTEN-(0.1)%
C.H. Robinson Worldwide,
Inc.
Expires 05/21/11
Strike Price $80 ............. (1) $ (60)
Caterpillar, Inc.
Expires 05/21/11
Strike Price $110 ............ (1) (241)
China Green Agriculture, Inc.
Expires 03/19/11
Strike Price $11 ............. (13) (130)
China Green Agriculture, Inc.
Expires 03/19/11
Strike Price $9 .............. (13) (130)
China Integrated, Inc.
Expires 03/19/11
Strike Price $10 ............. (11) (110)
China Integrated, Inc.
Expires 03/19/11
Strike Price $7.50 ........... (11) (110)
China MediaExpress
Holdings, Inc.
Expires 03/19/11
Strike Price $12.50 .......... (13) (3,250)
China MediaExpress
Holdings, Inc.
Expires 03/19/11
Strike Price $17.50 .......... (6) (300)
China Valves Technology,
Inc.
Expires 03/19/11
Strike Price $10 ............. (13) (65)
China Valves Technology,
Inc.
Expires 03/19/11
Strike Price $12.50 .......... (13) (65)
Emerson Electric Co.
Expires 06/18/11
Strike Price $65 ............. (1) (90)
L&L Energy, Inc.
Expires 03/19/11
Strike Price $10 ............. (7) (35)
The accompanying notes are an integral part of the Portfolio of Investments.
12
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
NUMBER
OF
CONTRACTS VALUE
--------- ----------
CALL OPTIONS WRITTEN-( CONTINUED)
L&L Energy, Inc.
Expires 03/19/11
Strike Price $15 ................ (7) $ (35)
Medco Health Solutions, Inc.
Expires 03/19/11
Strike Price $65 ................ (2) (60)
Wonder Auto Technology,
Inc.
Expires 04/16/11
Strike Price $10 ................ (14) (70)
----------
TOTAL CALL OPTIONS WRITTEN
(Premiums Received $17,815)....... (4,751)
----------
PUT OPTIONS WRITTEN-0.0%
Abercrombie & Fitch Co.
Expires 03/19/11
Strike Price $55 ................ (1) (117)
Con-way, Inc.
Expires 06/18/11
Strike Price $25 ................ (1) (38)
Cuming, Inc.
Expires 03/19/11
Strike Price $105 ............... (1) (560)
Equinix, Inc.
Expires 03/19/11
Strike Price $80 ................ (1) (80)
FedEx Corp.
Expires 04/16/11
Strike Price $80 ................ (1) (94)
GlaxoSmithKline PLC
Expires 08/20/11
Strike Price $33 ................ (2) (130)
iShares Dow Jones U.S. Real
Estate Index Fund
Expires 03/19/11
Strike Price $54 ................ (30) (285)
PACCAR, Inc.
Expires 05/21/11
Strike Price $42.70 ............. (2) (150)
Procter & Gamble Co., (The)
Expires 07/16/11
Strike Price $55 ................ (1) (60)
PUT OPTIONS WRITTEN-(CONTINUED)
ResMed, Inc.
Expires 07/16/11
Strike Price $25 ................ (1) $ (60)
Rovi Corp.
Expires 03/19/11
Strike Price $55 ................ (1) (255)
Rovi Corp.
Expires 07/16/11
Strike Price $45 ................ (1) (150)
Sherwin-Williams Co., (The)
Expires 04/16/11
Strike Price $75 ................ (1) (67)
Southwestern Energy Co.
Expires 06/18/11
Strike Price $32 ................ (1) (56)
Target Corp.
Expires 04/16/11
Strike Price $50 ................ (1) (73)
Thor Industries, Inc.
Expires 06/18/11
Strike Price $30 ................ (1) (142)
Thoratec Corp.
Expires 03/19/11
Strike Price $25 ................ (1) (20)
VMware, Inc.
Expires 04/16/11
Strike Price $70 ................ (1) (65)
----------
TOTAL PUT OPTIONS WRITTEN
(Premiums Received $3,514)....... (2,402)
----------
TOTAL WRITTEN OPTIONS- (0.1)%
(Proceeds $21,329)............... (7,153)
----------
OTHER ASSETS IN EXCESS OF
LIABILITIES- 61.4% .............. 4,153,004
----------
NET ASSETS- 100.0%............... $6,761,840
==========
The accompanying notes are an integral part of the Portfolio of Investments.
13
S1 FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
---------- ADR American Depositary Receipt
* Non-income producing. CAD Canadian dollar
+ This company is domiciled outside of the United ETF Exchange-traded fund
States. The security's functional currency is the
United States dollar. PLC Public limited company
# Security position is either entirely or partially held in SPDR Standard & Poor's depositary receipt
a segregated account as collateral for securities sold short.
The following is a summary of inputs used, as of February 28, 2011, in valuing
the Fund's investments carried at market value (see Notes to Portfolio of
Investments):
LEVEL 2 LEVEL 3
TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
------------------------------------------------------------------------------------------------------
Common Stocks++ $ 2,672,620 $2,672,620 $ -- $ --
Corporate Bond 31,135 -- 31,135 --
Foreign Government Note 10,468 -- 10,468 --
Exchange Traded Funds 116,548 116,548 -- --
Short-Term Investments 999,909 -- 999,909 --
Asset Derivatives
Equity Contracts 16,786 -- 16,786 --
Foreign Exchange Contracts 6,000 6,000 -- --
Interest Rate Contracts 1,128 -- 1,128 --
------------------------------------------------------------------------------------------------------
Total Assets $ 3,854,594 $2,795,168 $ 1,059,426 $ --
======================================================================================================
LEVEL 2 LEVEL 3
TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
------------------------------------------------------------------------------------------------------
Securities Sold Short++ $ (1,112,108) $(1,112,108) $ -- $ --
Exchange Traded Funds Sold Short (126,497) (126,497) -- --
Liability Derivatives
Equity Contracts (7,153) (779) (6,374) --
------------------------------------------------------------------------------------------------------
Total Liabilities $ (1,245,758) $(1,239,384) $ (6,374) $ --
======================================================================================================
++ see Portfolio of Investments for security type breakout.
The accompanying notes are an integral part of the Portfolio of Investments.
14
S1 FUND
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (cost $3,708,557) .................................. $3,854,594
Cash ..................................................................... 2,037,726
Deposits with brokers for securities sold short .......................... 1,141,875
Receivables for:
Investment Advisor .................................................... 12,024
Investments sold ...................................................... 603,560
Capital shares sold ................................................... 1,100,000
Dividends and interest ................................................ 2,169
Prepaid expenses and other assets ........................................ 9,343
----------
Total assets ....................................................... 8,761,291
----------
LIABILITIES
Securities sold short, at fair value (proceeds $1,202,690) ............... $1,238,605
Options written, at fair value (premiums received $21,329) ............... 7,153
Foreign currency (cost $33,937) .......................................... 35,225
Payables for:
Investments purchased ................................................. 684,186
Capital shares redeemed ............................................... 40
Dividends on securities sold short .................................... 827
Due to prime broker ................................................... 2,683
Other accrued expenses and liabilities ................................... 30,732
----------
Total liabilities .................................................. 1,999,451
----------
Net Assets ............................................................... $6,761,840
==========
NET ASSETS CONSIST OF
Capital stock, $0.001 par value .......................................... $ 671
Paid-in capital .......................................................... 6,662,943
Accumulated net investment loss .......................................... (38,668)
Accumulated net realized gain from investments ........................... 13,884
Net unrealized appreciation on investments ............................... 123,010
----------
Net assets ............................................................... $6,761,840
==========
ISHARES
Net assets ............................................................... $6,761,840
----------
Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 670,855
----------
Net asset value, offering and redemption price per share ................. $ 10.08
==========
The accompanying notes are an integral part of the financial statements.
15
S1 FUND
STATEMENT OF OPERATIONS
FOR THE PERIOD ENDED FEBRUARY 28, 2011(1)
(UNAUDITED)
INVESTMENT INCOME
Dividends (net of foreign withholding taxes of $54)....... $ 8,294
Interest.................................................. 1,252
--------
Total investment income.................................. 9,546
--------
EXPENSES
Advisory fees (Note 2).................................... 35,729
Administration and accounting fees........................ 15,252
Transfer agent fees....................................... 10,283
Legal fees................................................ 9,269
Printing and shareholder reporting fees................... 8,130
Audit fees................................................ 7,113
Custodian fees............................................ 5,580
Chief compliance officer fees ............................ 3,447
Directors' and officers' fees............................. 3,048
Dividend expense on securities sold short................. 4,633
Prime broker interest expense............................. 5,062
Other expenses............................................ 1,758
--------
Total expenses before waivers and reimbursements......... 109,304
Less: waivers and reimbursements (Note 2)................ (61,090)
--------
Net expenses after waivers and reimbursements............. 48,214
--------
Net investment loss....................................... (38,668)
--------
Net realized gain/(loss) from:
Investments.............................................. 31,333
Investments sold short................................... (18,784)
Foreign currency transactions............................ 645
Written options.......................................... 690
Net change in unrealized appreciation/(depreciation) on:
Investments.............................................. 146,037
Investments sold short................................... (35,915)
Foreign currency translation............................. (1,288)
Written options.......................................... 14,176
--------
Net realized and unrealized gain from investments......... 136,894
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 98,226
========
----------
(1) The Fund commenced investment operations on September 30, 2010.
The accompanying notes are an integral part of the financial statements.
16
S1 FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
PERIOD ENDED
FEBRUARY 28, 2011
(UNAUDITED)(1)
------------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment loss.............................................. $ (38,668)
Net realized gain from investments............................... 13,884
Net change in unrealized appreciation on investments.............. 123,010
-----------
Net increase in net assets resulting from operations............. 98,226
-----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL TRANSACTIONS:
Proceeds from shares sold........................................ 6,850,615
Distributions for shares redeemed................................ (187,001)
-----------
Net increase in net assets from capital share transactions........ 6,663,614
-----------
Total increase in net assets...................................... 6,761,840
-----------
NET ASSETS
Beginning of period ............................................. --
-----------
End of period.................................................... $ 6,761,840
===========
Undistributed net investment loss, end of period................. $ (38,668)
===========
SHARE TRANSACTIONS:
Shares sold...................................................... 689,771
Shares redeemed.................................................. (18,916)
-----------
Net increase in share transactions................................ 670,855
-----------
----------
(1) The Fund commenced investment operations on September 30, 2010.
The accompanying notes are an integral part of the financial statements.
17
S1 FUND
FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for shares outstanding,
total investment return, ratios to average net assets and other supplemental
data for the respective period. This information has been derived from
information provided in the financial statements.
I SHARES
----------------------
FOR THE PERIOD
SEPTEMBER 30, 2010
TO FEBRUARY 28, 2011
(UNAUDITED)(1)
----------------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period........................................ $ 10.00
----------
Net investment loss......................................................... (0.12)(2)
Net realized and unrealized gain from investments .......................... 0.20
----------
Net increase in net assets resulting from operations........................ 0.08
----------
Net asset value, end of period.............................................. $ 10.08
==========
Total investment return..................................................... 0.80%(3)
==========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted)................................... $ 6,762
Ratio of expenses to average net assets.....................................
with waivers, reimbursements and
fees paid indirectly (including dividend and interest expense)............ 3.69%(4)
Ratio of expenses to average net assets
with waivers, reimbursements and
fees paid indirectly (excluding dividend and interest expense)............ 2.95%(4)
Ratio of expenses to average net assets
without waivers, reimbursements and
fees paid indirectly (including dividend and interest expense)............ 8.37%(4)
Ratio of net investment loss to average net assets.......................... (2.97)%(4)
Portfolio turnover rate..................................................... 370.19%(5)
----------
(1) The Fund commenced investment operations on September 30, 2010.
(2) Calculated based on average shares outstanding for the period.
(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 reinvestments of dividends and distributions, if any.
(4) Annualized.
(5) Not annualized.
The accompanying notes are an integral part of the financial statements.
18
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active
investment portfolios, including the S1 Fund (the "Fund"), which commenced
investment operations on September 30, 2010. As of the date hereof, the Fund
offers two classes of shares, I Shares and R Shares. As of February 28, 2011,
Class R Shares have not been issued.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION - The Fund's 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 Fund are valued using the closing price or the last sale
price on a national securities exchange or the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed income securities having a remaining
maturity of 60 days or less are amortized to maturity based on their cost.
Investments in other open-end investment companies are valued based on the NAV
of those investment companies (which may use fair value pricing as discussed in
their prospectuses). If market quotations are unavailable or deemed unreliable,
securities will be valued in accordance with procedures adopted by the Company's
Board of Directors. Relying on prices supplied by pricing services or dealers or
using fair valuation may result in values that are higher or lower than the
values used by other investment companies and investors to price the same
investments. As of February 28, 2011 there were no fair valued securities.
FAIR VALUE MEASUREMENTS - The inputs and valuation techniques used to
measure fair value of the Fund's investments are summarized into three levels as
described below:
- Level 1 - unadjusted quoted prices in active markets for identical
securities
- Level 2 - other significant observable inputs (including quoted prices for
similar securities, interest rates, prepayment speeds,
credit risk, etc.)
19
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
- Level 3 - significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
At the end of each calendar quarter, management evaluates the Level 2 and
Level 3 assets and liabilities, if any, for changes in liquidity, including but
not limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such investments may be subject to
legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Levels 1, 2 and 3 for the Fund.
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value the Fund's investments as of February 28,
2011 is included with the Fund's Portfolio of Investments.
DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES - The Fund
has adopted Disclosures about Derivative Instruments and Hedging Activities.
The following is a summary of the location of derivatives on the Fund's
Statements of Assets and Liabilities as of February 28, 2011:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------------------
DERIVATIVE INVESTMENTS TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES
--------------------------------------------------------------------------------------------
Equity contracts Investments, at value Oustanding options written, at value
--------------------------------------------------------------------------------------------
Interest rate contracts Investments, at value
--------------------------------------------------------------------------------------------
Foreign exchange contracts Investments, at value
--------------------------------------------------------------------------------------------
The following is a summary of the Fund's derivative instrument holdings
categorized by primary risk exposure as of February 28, 2011:
ASSET DERIVATIVE INVESTMENTS VALUE
---------------------------------------------------------------------------------------------
INTEREST FOREIGN
TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER
02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS
-------------- ---------------- ---------- ----------- ----------- -------------
$23,914 $16,786 $1,128 $- $6,000 $-
20
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
LIABILITY DERIVATIVE INVESTMENTS VALUE
--------------------------------------------------------------------------------------
INTEREST FOREIGN
TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER
02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS
-------------- ---------------- --------- --------- --------- ---------
$ 7,153 $ 7,153 $ -- $ -- $ -- $ --
The following is a summary of the location of derivative investments on the
Fund's Statements of Operations as of February 28, 2011:
TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES
DERIVATIVE INVESTMENTS TYPE RECOGNIZED IN THE STATEMENTS OF OPERATIONS
--------------------------------------------------------------------------------------------------
Equity contracts Net realized gain (loss) from investments
Net realized gain (loss) from written options
Net change in unrealized appreciation (depreciation) on investments
Net change in unrealized appreciation
(depreciation) on written options
--------------------------------------------------------------------------------------------------
Interest rate contracts Net realized gain (loss) on investments
Change in net unrealized appreciation (depreciation) on investments
--------------------------------------------------------------------------------------------------
Foreign exchange contracts Net realized gain (loss) from investments
Net change in unrealized appreciation (depreciation) on investments
The following is a summary of the Fund's realized gain or loss and change
in unrealized appreciation or depreciation on derivative investments recognized
in the Statements of Operations categorized by primary risk exposure for the
period ended February 28, 2011:
REALIZED GAIN (LOSS) ON DERIVATIVE INVESTMENTS
RECOGNIZED IN THE STATEMENT OF OPERATIONS
------------------------------------------------------------------------------------------
INTEREST FOREIGN
TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER
02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS
-------------- ---------------- --------- --------- --------- ---------
$ (5,473) $ (5,473) $ -- $ -- $ -- $ --
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE
INVESTMENTS RECOGNIZED IN THE STATEMENT OF OPERATIONS
--------------------------------------------------------------------------------------------
INTEREST FOREIGN
TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER
02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS
-------------- ---------------- --------- --------- --------- ---------
$ 7,231 $ 12,182 $ (1,413) $ -- $ (3,538) $ --
21
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
For the period ended February 28, 2011, the Fund's average volume of
derivative is as follow:
PURCHASED WRITTEN
OPTIONS OPTIONS
(COST) (PROCEEDS)
--------- ----------
$ 14,786 $ 10,665
USE OF ESTIMATES -- The preparation of financial statements in conformity
with U.S. generally accepted accounting principles 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 and those
differences could be significant.
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. Distributions received on securities that represent a
return of capital or capital gains 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. The Fund's investment income, expenses and
unrealized and realized gains and losses are allocated daily. Expenses incurred
on behalf of a specific class, fund or fund family are charged directly to the
class, fund or fund family to each class of shares based upon the relative
proportion of net assets of each class at the beginning of the day. Expenses
incurred for all the RBB funds (such as director or professional fees) are
charged to all funds in proportion to their average net assets of RBB, or in
such other manner as the Company's 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 NAV of
the Fund.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net
investment income and distributions from net realized capital gains, if any, are
declared, 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
generally accepted accounting principles.
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.
CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited
into a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that
22
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
are readily accessible to pay Fund expenses or purchase investments. Cash and
cash equivalents are valued at cost plus accrued interest, which approximates
market value.
FOREIGN CURRENCY TRANSLATION -- The books and records of the Fund 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 political, economic and currency exchange
developments, including investment restrictions and changes in foreign laws.
PURCHASED OPTIONS -- The Fund is subject to equity and other risk exposure
in the normal course of pursuing its investment objectives. The Fund purchases
option contracts. This transaction is used to hedge against changes in interest
rates and changes in the values of equities. The risk associated with purchasing
an option is that the Fund pays a premium whether or not the option is
exercised. Additionally, the Fund bears the risk of loss of premium and change
in market value should the counterparty not perform under the contract. Put and
call options are accounted for in the same manner as other securities owned. The
cost of securities acquired through the exercise of call options is increased by
the premiums paid. The proceeds from securities sold through the exercise of put
options are decreased by the premiums paid.
OPTIONS WRITTEN -- The Fund is subject to equity price risk in the normal
course of pursuing its investment objectives and may enter into options written
to hedge against changes in the value of equities. 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 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. Written
options are recorded as liabilities to the extent of premiums 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 or the
purchase cost for a written put option is adjusted by the amount of the premium
received or paid.
23
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
The Fund had transactions in options written during the period ended
February 28, 2011 as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------- ---------
Options outstanding at
September 30, 2010 -- $ --
Options written 227 37,327
Options closed (25) (9,932)
Options expired (7) (704)
Options exercised (20) (5,362)
--------- ---------
Options outstanding at
February 28, 2011 (175) $ 21,329
========= =========
SHORT SALES -- When the investment adviser or a sub-adviser believes that a
security is overvalued, the Fund may sell the security short by borrowing the
same security from a broker or other institution and selling the security. The
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. The Fund will realize a gain if
there is a decline in price of the security between those dates where the
decline in price exceeds the costs of borrowing 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. 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, the Fund may not receive any
payments (including interest) on collateral deposited with them.
In accordance with the terms of its prime brokerage agreements, the Fund
may receive rebate income or be charged a fee on borrowed securities. Such
income or fee is calculated on a daily basis based upon the market value of
each borrowed security and a variable rate that is dependent upon the
availability of such security. The Fund records these prime broker charges on a
net basis as interest income or interest expense. For the period ended February
28, 2011, the Fund had net charges of $5,062 on borrowed securities. Such
amounts are included in prime broker interest expense on the statement of
operations.
As of February 28, 2011, the Fund had securities sold short valued at
$1,238,605 for which securities of $697,821 and cash deposits of $679,964 were
pledged as collateral. In accordance with the Special Custody and Pledge
Agreement with Goldman Sachs & Co. ("Goldman Sachs") (the Fund's prime broker),
the Fund may borrow from Goldman Sachs to the extent necessary to maintain
required margin cash deposits on short positions. Interest on such borrowings
is charged to the Fund based on the LIBOR rate plus an agreed upon spread.
24
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
The Fund utilized cash borrowings from Goldman Sachs to meet required
margin cash deposits as follows during the period ended February 28, 2011:
AVERAGE DAILY WEIGHTED AVERAGE
DAYS UTILIZED BORROWINGS INTEREST RATE
------------- ------------- ----------------
52 $ 8,519 1.40%
As of February 28, 2011, the Fund had borrowings of $2,238. Interest
expense for the period ended February 28, 2011 totaled $17.
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 from such claims is considered remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Simple Alternatives, LLC ("Simple Alternatives" or the "Adviser") serves as
the Fund's investment adviser. For its advisory services, the Adviser is
entitled to receive a monthly fee from the Fund calculated at an annual rate of
2.75% of the Fund's average daily net assets.
The Adviser has contractually agreed to limit the Fund's total operating
expenses (other than acquired fund fees and expenses, short sale dividend
expenses, brokerage commissions, extraordinary items, interest and taxes)
through October 2, 2011 to the extent that such expenses exceed 2.95% of the
average daily net assets of the Fund's I Shares and 3.20% of the average daily
net assets of the Fund's R Shares, respectively. As necessary, this limitation
is effected in waivers of advisory fees and reimbursements of expenses exceeding
the advisory fee. If at any time during the first three years the Fund's
Advisory Agreement with the Adviser is in effect, the Fund's Total Annual Fund
Operating Expenses for that year are less than 2.95% or 3.20%, as applicable,
the Adviser is entitled to reimbursement by the Fund of the advisory fees
forgone and other payments remitted by the Adviser to the Fund during such
three-year period if such reimbursement by the Fund does not cause the Fund to
exceed existing expense limitations. For the period ended February 28, 2011,
investment advisory fees accrued and waived were $35,729 and expenses reimbursed
or to be reimbursed by the Adviser were $25,361. At February 28, 2011, the
amount of potential recovery by the Advisor was as follows:
EXPIRATION
AUGUST 31, 2014
---------------
$ 61,090
Simple Alternatives has currently retained the services of Blue Lion
Capital Management, LLC; Starwood Real Estate Securities, LLC; Lauren Templeton
Capital Management, LLC; and Trellus Management Co., LLC as sub-advisers
("Sub-Adviser") of the Fund. Pursuant to sub-advisory agreements between the
Adviser and each Sub-Adviser, each Sub-Adviser manages the investment and
reinvestment of the portion of the
25
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
Fund's portfolio allocated to it by the Adviser. The Fund is not required
to invest with any minimum number of Sub-Advisers, and does not have minimum or
maximum limitations with respect to allocations of assets to any Sub-Adviser.
BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as
administrator for the Fund. For providing administrative and accounting
services, BNY Mellon is entitled to receive a monthly fee equal to an annual
percentage rate of the Fund's average daily net assets, subject to certain
minimum monthly fees.
For providing regulatory administration services to RBB, BNY Mellon is
entitled to receive compensation as agreed to by the Company and BNY Mellon.
This fee is allocated to each portfolio in proportion to its net assets of the
Company.
In addition, BNY Mellon serves as the Fund's transfer and dividend
disbursing agent. For providing transfer agent services, BNY Mellon is entitled
to receive a monthly fee equal to an annual percentage rate of the Fund's
average daily net assets and is subject to certain minimum monthly fees.
For providing custodial services to the Fund, PFPC Trust Company, a member
of The Bank of New York Mellon Corporation, is entitled to receive a monthly fee
equal to an annual percentage rate of the Fund's average daily net assets
subject to certain minimum monthly fees.
BNY Mellon Distributors, Inc. serves as the principal underwriter and
distributor of the Fund's shares pursuant to a Distribution Agreement with RBB.
The Fund will not pay The Bank of New York Mellon Corporation or any of its
members or BNY Mellon's affiliates at a later time for any amounts waived or any
amounts assumed.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The remuneration paid to the
Directors by the Fund during the period ended February 28, 2011 was $1,919.
Certain employees of BNY Mellon are Officers of the Company. They are not
compensated by the Fund or the Company.
4. INVESTMENT IN SECURITIES
For the period ended February 28, 2011, aggregate purchases and sales of
investment securities (excluding short-term investments) of the Fund were as
follows:
INVESTMENT SECURITIES
--------------------------------
PURCHASES SALES
----------- ----------
$ 8,216,027 $5,573,397
26
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2011, the Fund has 100,000,000 shares of $0.001 par
value common stock authorized for the I Shares.
As of February 28, 2011, the Fund had 1 shareholder account and/or omnibus
accounts (comprised of a group of individual shareholders) that held 50% of the
total shares outstanding of the Fund.
6. FEDERAL INCOME TAX INFORMATION
As of February 28, 2011, 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 DEPRECIATION
----------- ------------ ------------ --------------
$3,708,557 $198,214 $(52,177) $146,037
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements. To the extent these differences are
permanent, such amounts are reclassified within the capital accounts based on
the tax treatment; temporary differences do not require such reclassification.
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 income tax purposes.
There were no dividends or distributions paid during the peiod ended
February 28, 2011. Dividends from net investment income and short-term capital
gains are treated as ordinary income dividends for federal income tax purposes.
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are currently effective for interim and annual
reporting periods beginning after December 15, 2009, and other required
disclosures are effective for fiscal years beginning after December 15, 2010,
and for interim periods within those fiscal years. Management has evaluated the
impact and has incorporated the appropriate disclosures required by ASU No.
2010-06 in its financial statement disclosures.
27
S1 FUND
NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONCLUDED)
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Fund
though the date the financial statements were issued, and has determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
28
S1 FUND
OTHER INFORMATION
(UNAUDITED)
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
(866) 882-1226 and on the Securities and Exchange Commission's ("SEC") website
at http://www.sec.gov.
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 (202) 551-8090.
APPROVAL OF INVESTMENT ADVISORY AGREEMENT
As required by the Investment Company 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 Investment Company Act
(the "Independent Directors"), considered the initial approval of the investment
advisory agreement between Simple Alternatives and the Company on behalf of the
Fund (the "Advisory Agreement") and the approval of the investment sub-advisory
agreements between Simple Alternatives and, respectively, Argonaut Capital
("Argonaut"), Roaring Blue Lion Capital Management ("Blue Lion"), Courage
Capital Management ("Courage"), Cramer Rosenthal McGlynn ("CRM"), Sandler
Capital Management ("Sandler"), Starwood Capital ("Starwood"), Lauren Templeton
Capital Management ("Templeton") and Trellus Management ("Trellus," and together
with Argonaut, Blue Lion, Courage, CRM, Sandler, Starwood and Templeton each a
"Sub-Adviser" and collectively the "Sub-Advisers")(the "Sub-Advisory
Agreements") at a meeting of the Board held on September 21, 2010. At the
meeting, the Board, including all of the Independent Directors, approved the
Advisory Agreement and the Sub-Advisory Agreements for an initial term ending
August 16, 2012. The Board's decision to approve the Advisory Agreement and the
Sub-Advisory Agreements reflects the exercise of its business judgment. In
approving the Advisory Agreement and the Sub-Advisory Agreements, the Board
considered information provided by Simple Alternatives and each of the
Sub-Advisers with the assistance and advice of counsel to the Independent
Directors and the Company.
In considering the approval of the Advisory Agreement with Simple
Alternatives and the approval of the Sub-Advisory Agreements between Simple
Alternatives and each Sub-Adviser, the Directors took into account all materials
provided prior to and during the Meeting, the presentations made during the
Meeting, and the discussions during the Meeting. Among other things, the
Directors considered (i) the nature, extent, and quality of services to be
provided to the Fund by Simple Alternatives and the Sub-Advisers; (ii)
descriptions of the experience and qualifications of the personnel providing
those services; (iii) the Sub-Advisers' investment
29
S1 FUND
OTHER INFORMATION (CONCLUDED)
(UNAUDITED)
philosophies and processes; (iv) the Sub-Advisers' assets under management and
client descriptions; (v) Simple Alternatives' and the Sub-Advisers' soft dollar
commission and trade allocation policies, including information on the types of
research and services obtained in connection with soft dollar commissions; (vi)
Simple Alternatives' and the Sub-Advisers' proposed advisory fee arrangements
with the Company and other similarly managed clients; (vii) Simple Alternatives'
and the Sub-Advisers' compliance procedures; (viii) Simple Alternatives' and the
Sub-Advisers' financial information and insurance coverage; (ix) the extent to
which economies of scale are relevant to the Fund; and (x) performance
information provided by the Sub-Advisers' regarding similarly managed accounts.
As part of their review, the Directors considered the nature, extent and
quality of the services to be provided by Simple Alternatives and each
Sub-Adviser. The Directors concluded that Simple Alternatives and each
Sub-Adviser had substantial resources to provide services to the Fund. The Board
of Directors also considered the advisory fee rate payable by the Fund under the
proposed Advisory Agreement. In this regard, the Directors noted that Simple
Alternatives had contractually agreed to waive management fees and reimburse
expenses for the Fund's first year of operations to limit total annual operating
expenses to agreed upon levels for the Fund. The Directors also considered the
sub-advisory fees payable to each Sub-Adviser under the proposed Sub-Advisory
Agreements. In this regard, the Directors noted that the fees for each
Sub-Adviser were payable by Simple Alternatives.
After reviewing the information regarding Simple Alternatives' and the Sub-
Advisers' costs, profitability and economies of scale, and after considering the
services to be provided by Simple Alternatives and each Sub-Adviser, the
Directors concluded that the investment advisory fees to be paid by the Fund to
Simple Alternatives and to be paid by Simple Alternatives to each Sub-Adviser
were fair and reasonable, and that the Advisory Agreement and each Sub-Advisory
Agreement should be approved for initial terms ending August 16, 2012.
30
[THIS PAGE INTENTIONALLY LEFT BLANK]
INVESTMENT ADVISER
Simple Alternatives, LLC
90 Grove Street
Suite 205
Ridgefield, CT 06877
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors, Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young LLP
Two Commerce Square
2001 Market Street, Suite 4000
Philadelphia, PA 19103
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
S1 FUND
OF THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2011
(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.
THE SCHNEIDER FUNDS
SEMI-ANNUAL INVESTMENT ADVISER'S REPORT
FEBRUARY 28, 2011
(UNAUDITED)
Fellow Shareholder:
The semi-annual report for the Schneider Funds covers the six months ended
February 28, 2011.
INVESTMENT REVIEW
U.S. equity markets exhibited strong upward momentum as the broad market
Russell 3000(R) Index rose 29.3% in the period. Economic data provided
reinforcing signs that the recovery gained traction towards the end of the
calendar year. The consumer sector showed some strength, business investment
(ex-construction) continued to move in a favorable direction, export growth was
healthy and labor market conditions improved.
Both Funds posted strong relative performance during the period. The
portfolios benefited from significant exposure to more economically-sensitive
industries as the U.S. economy picked up steam after laboring through a soft
patch in the summer of 2010. In particular, our overweight positions in the
technology and energy sectors made a favorable contribution to returns. It was
also helpful during the period to be underweighted in less cyclical economic
sectors such as utilities, health care and consumer staples.
The Funds maintained a substantial weighting in the energy sector,
including significant exposure to coal mining. Coal stocks have measurably
outperformed the overall equity market over the past two years, but we still see
a healthy upside in the stocks driven by strong global demand powered by the
emerging market economies. We believe that tight European natural gas supply
conditions over the next few years should drive further fuel switching to much
lower-cost coal, leading to growth in U.S. coal exports.
Holdings include a number of diverse, economically-sensitive industries
where we have committed substantial capital with high conviction. Although
profitability measures for the S&P 500 should return to normal levels in 2011,
our holdings include companies in later-cycle industries that we believe are
still capable of a sharp upward earnings trajectory.
OUTLOOK
The U.S. economy should experience moderate, sustainable growth in 2011.
Consumer debt service ratios have improved measurably, income numbers have been
getting better, and there seems to be some pent-up demand to spend. The
extension of current tax rates through 2012 is a positive factor. Although the
one million jobs added in 2010 hardly put a dent in the eight million jobs lost
in 2008 and 2009, a modest turnaround in the employment picture seems to be in
place.
Corporate profits, balance sheets and productivity are healthy. Improving
confidence among small business owners should contribute to further gains in
employment and capital spending. Overall, the economic recovery appears to be
tentatively standing on its own feet.
There is a solid case for our generally favorable outlook for 2011.
However, the accumulation of potential shocks, primarily outside the U.S., bears
close watching. The world economy remains vulnerable to the combination of
unrest in the Middle East and North Africa, the recent alarming deterioration in
the U.S. federal government's financial condition, sharply higher oil prices,
ongoing sovereign debt strains in Europe, and any excessive slowdown in growth
in emerging markets due to tighter credit conditions. The headwinds appear to be
manageable, but post-crisis economies are potentially less resilient.
/s/ Arnold C. Schneider III
Arnold C. Schneider III, CFA
Portfolio Manager
Schneider Capital Management
1
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PERFORMANCE DATA
FEBRUARY 28, 2011 (UNAUDITED)
Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL
------------------------------------
SIX ONE SINCE
MONTHS* YEAR FIVE YEARS TEN YEARS INCEPTION**
------ ----- ---------- --------- -----------
SCHNEIDER SMALL CAP VALUE 39.58%*** 29.19%*** 0.66% 11.71% 16.86%
RUSSELL 2000(R) VALUE INDEX 34.31% 28.87% 2.91% 8.68% 9.83%
* NOT ANNUALIZED
** INCEPTION DATE 9/2/98
*** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH
PERFORMANCE WHICH MAY NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE.
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 CONTRACTUALLY AGREED TO WAIVE A PORTION OF ITS ADVISORY FEE
AND 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 WAIVER OR
REIMBURSEMENT 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. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT
MONTH-END, PLEASE CALL 1-888-520-3277. THE FUND'S GROSS AND NET ANNUAL OPERATING
EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.43% AND 1.15%,
RESPECTIVELY. SHARES OF THE FUND NOT PURCHASED THROUGH REINVESTED DIVIDENDS OR
CAPITAL GAINS AND HELD LESS THAN ONE YEAR ARE SUBJECT TO A 1.75% REDEMPTION FEE.
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 $18.41
PER SHARE ON FEBRUARY 28, 2011, ADJUSTED FOR DIVIDENDS AND DISTRIBUTIONS
TOTALING $29.52 PER SHARE PAID FROM NET INVESTMENT INCOME AND REALIZED GAINS.
THE ADVISOR HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE
EXPENSES THROUGH DECEMBER 31, 2011, TO THE EXTENT THAT TOTAL ANNUAL FUND
OPERATING EXPENSES (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE
COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) EXCEED 1.15%.
SMALL COMPANY STOCKS ARE GENERALLY RISKIER THAN LARGE COMPANY STOCKS DUE TO
GREATER VOLATILITY AND LESS LIQUIDITY. PORTFOLIO COMPOSITION IS SUBJECT TO
CHANGE.
VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE
SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING
PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED.
2
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PERFORMANCE DATA
FEBRUARY 28, 2011 (UNAUDITED)
Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL
-------------------------------------
SIX ONE SINCE
MONTHS* YEAR FIVE YEARS INCEPTION**
------ ----- ---------- -----------
SCHNEIDER VALUE 33.63%*** 20.66%*** -1.38% 10.00%
RUSSELL 1000(R) VALUE INDEX 26.30% 22.16% 1.57% 8.44%
* NOT ANNUALIZED
** INCEPTION DATE 9/30/02
*** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH
PERFORMANCE WHICH MAY NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE.
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 CONTRACTUALLY AGREED TO WAIVE A PORTION OF ITS ADVISORY FEE
AND 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
WAIVER OR REIMBURSEMENT 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. FOR PERFORMANCE DATA CURRENT TO THE MOST
RECENT MONTH-END, PLEASE CALL 1-888-520-3277. THE FUND'S GROSS AND NET ANNUAL
OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.03% AND 0.90%,
RESPECTIVELY. SHARES OF THE FUND NOT PURCHASED THROUGH REINVESTED DIVIDENDS OR
CAPITAL GAINS AND HELD LESS THAN 90 DAYS ARE SUBJECT TO A 1.00% REDEMPTION FEE.
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 $15.56
PER SHARE ON FEBRUARY 28, 2011, ADJUSTED FOR DIVIDENDS AND DISTRIBUTIONS
TOTALING $6.53 PER SHARE PAID FROM NET INVESTMENT INCOME AND REALIZED GAINS.
THE ADVISOR HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE
EXPENSES THROUGH DECEMBER 31, 2011, TO THE EXTENT THAT TOTAL ANNUAL FUND
OPERATING EXPENSES (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE
COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) EXCEED 0.90%.
PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE.
VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE
SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING
PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED.
3
THE SCHNEIDER FUNDS
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 six months from September 1, 2010 through February 28, 2011, 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 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.
SCHNEIDER SMALL CAP VALUE FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- -------------
Actual $1,000.00 $1,395.80 $6.83
Hypothetical (5% return before expenses) 1,000.00 1,019.02 5.77
SCHNEIDER VALUE FUND
---------------------------------------------------------------
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID
SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD*
----------------------- -------------------- -------------
Actual $1,000.00 $1,336.30 $5.21
Hypothetical (5% return before expenses) 1,000.00 1,020.28 4.52
* Expenses are equal to an annualized six-month expense ratio of 1.15% for
the Schneider Small Cap Value Fund and 0.90% 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 six-month total return for each Fund of
39.58% for the Schneider Small Cap Value Fund and 33.63% for the Schneider
Value Fund.
4
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
ASSETS VALUE
-------- ------------
Common Stocks:
Coal ........................................ 13.9% $ 14,054,252
Banks ....................................... 10.5 10,561,884
Commercial Services ......................... 7.8 7,813,902
Home Builders ............................... 7.7 7,808,334
Aerospace & Defense ......................... 5.1 5,114,567
Internet .................................... 4.9 4,950,082
Savings & Loans ............................. 4.4 4,450,630
Semiconductors .............................. 4.0 4,070,332
Real Estate Investment Trusts ............... 3.5 3,527,797
Computers ................................... 3.3 3,339,059
Industrial .................................. 3.3 3,330,870
Insurance ................................... 2.9 2,900,037
Oil & Gas ................................... 2.8 2,859,990
Electric .................................... 2.7 2,750,541
Chemicals ................................... 2.1 2,147,720
Retail ...................................... 2.1 2,144,061
Software .................................... 1.6 1,602,661
Healthcare - Services ....................... 1.5 1,510,885
Electronics ................................. 1.2 1,147,425
Diversified Financial Services .............. 1.0 1,028,189
Apparel ..................................... 1.0 1,017,680
Real Estate ................................. 1.0 987,189
Metals Fabricating .......................... 1.0 969,827
Building Materials .......................... 0.7 734,684
Healthcare - Products ....................... 0.5 516,028
Food ........................................ 0.4 371,530
Telecommunications .......................... 0.4 362,995
Pharmaceuticals ............................. 0.3 320,187
Machinery - Diversified ..................... 0.2 216,541
Securities Lending Collateral ............... 15.1 15,272,398
Exchange Traded Fund ........................ 2.7 2,717,586
Corporate Bonds ............................. 0.0 9,624
Liabilities In Excess Of Other Assets ....... (9.6) (9,649,713)
----- ------------
NET ASSETS ..................................... 100.0% $100,959,774
===== ============
----------
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
5
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% OF NET
ASSETS VALUE
-------- ------------
Common Stocks:
Banks ....................................... 21.6% $ 22,114,985
Coal ........................................ 13.3 13,648,530
Oil & Gas ................................... 11.5 11,738,925
Insurance ................................... 6.8 6,929,795
Home Builders ............................... 6.4 6,567,313
Electric .................................... 5.6 5,719,893
Computers ................................... 4.9 5,037,866
Semiconductors .............................. 3.6 3,661,093
Automobile Manufacturers .................... 2.7 2,819,820
Health Care - Services ...................... 2.3 2,396,033
Commercial Services ......................... 2.2 2,309,941
Life & Health Insurance ..................... 2.1 2,156,137
Aerospace & Defense ......................... 2.0 2,041,844
Electronics ................................. 1.9 2,002,311
Real Estate Investment Trusts ............... 1.7 1,759,155
Retail ...................................... 1.7 1,733,701
Automobile Parts & Equipment ................ 1.7 1,695,516
Telecommunications .......................... 1.3 1,296,214
Leisure Time ................................ 1.2 1,210,335
Securities Lending Collateral ............... 10.4 10,692,814
Exchange Traded Fund ........................ 0.8 856,092
Corporate Bonds ............................. 0.4 350,306
Liabilities In Excess Of Other Assets ....... (6.1) (6,268,255)
----- ------------
NET ASSETS ..................................... 100.0% $102,470,364
===== ============
----------
Portfolio holdings are subject to change at any time.
The accompanying notes are an integral part of the financial statements.
6
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
COMMON STOCKS -- 91.8%
AEROSPACE & DEFENSE -- 5.1%
AAR Corp. * ...................................... 117,965 $ 3,219,265
BE Aerospace, Inc. * ............................. 41,005 1,382,689
Triumph Group, Inc. (a) .......................... 5,920 512,613
------------
5,114,567
------------
APPAREL -- 1.0%
Barry (R.G.) Corp. ............................... 93,709 1,017,680
------------
BANKS -- 10.5%
Associated Banc-Corp. ............................ 53,225 770,166
Cathay General Bancorp (a) ....................... 80,780 1,431,422
Citizens Republic Bancorp, Inc. * (a) ............ 2,700,300 2,270,682
MainSource Financial Group, Inc. ................. 152,811 1,518,941
Regions Financial Corp. .......................... 426,090 3,255,328
Sterling Financial Corp. * ....................... 60,942 1,036,014
United Community Banks, Inc. * ................... 203,891 279,331
------------
10,561,884
------------
BUILDING MATERIALS -- 0.7%
Builders FirstSource, Inc. * ..................... 307,399 734,684
------------
CHEMICALS -- 2.1%
A. Schulman, Inc. ................................ 61,291 1,364,338
Spartech Corp. * ................................. 92,380 783,382
------------
2,147,720
------------
COAL -- 13.9%
Arch Coal, Inc. .................................. 232,585 7,798,575
Cloud Peak Energy, Inc. * ........................ 305,155 6,255,677
------------
14,054,252
------------
COMMERCIAL SERVICES -- 7.8%
Administaff, Inc. ................................ 39,486 1,181,816
Aegean Marine Petroleum Network, Inc. ............ 112,425 981,470
Hudson Highland Group, Inc. * .................... 559,265 3,752,668
Monster Worldwide, Inc. * (a) .................... 91,715 1,572,912
PHH Corp. * (a) .................................. 13,170 325,036
------------
7,813,902
------------
COMPUTERS -- 3.3%
Insight Enterprises, Inc. * ...................... 90,980 1,664,024
Ness Technologies, Inc. * ........................ 282,468 1,675,035
------------
3,339,059
------------
SHARES VALUE
------------ ------------
DIVERSIFIED FINANCIAL SERVICES -- 1.0%
Artio Global Investors, Inc. ..................... 64,870 $ 1,028,189
------------
ELECTRIC -- 2.7%
GenOn Energy, Inc. * ............................. 679,146 2,750,541
------------
ELECTRONICS -- 1.2%
Pulse Electronics, Inc. .......................... 189,971 1,147,425
------------
FOOD -- 0.4%
Sanderson Farms, Inc. (a) ........................ 8,985 371,530
------------
HEALTHCARE - PRODUCTS -- 0.5%
Orthofix International N.V. * .................... 16,330 516,028
------------
HEALTHCARE - SERVICES -- 1.5%
Emeritus Corp. * (a) ............................. 64,211 1,510,885
------------
HOME BUILDERS -- 7.7%
KB HOME (a) ...................................... 148,230 1,964,047
Meritage Homes Corp. * (a) ....................... 226,435 5,844,287
------------
7,808,334
------------
INDUSTRIAL -- 3.3%
FreightCar America, Inc. * ....................... 118,452 3,330,870
------------
INSURANCE -- 2.9%
Assured Guaranty Ltd. (a) ........................ 99,620 1,447,479
Platinum Underwriters Holdings Ltd. .............. 25,410 1,059,597
Stewart Information Services Corp. ............... 24,685 275,238
White Mountains Insurance Group Ltd. ............. 310 117,723
------------
2,900,037
------------
INTERNET -- 4.9%
Internet Capital Group, Inc. * ................... 183,175 2,507,666
ModusLink Global Solutions, Inc. * ............... 221,535 1,528,591
Openwave Systems, Inc. * ......................... 319,710 709,756
S1 Corp. * ....................................... 31,251 204,069
------------
4,950,082
------------
MACHINERY - DIVERSIFIED -- 0.2%
Flow International Corp. * ....................... 54,271 216,541
------------
METALS FABRICATING -- 1.0%
RTI International Metals, Inc. * ................. 34,029 969,827
------------
The accompanying notes are an integral part of the financial statements.
7
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
OIL & GAS -- 2.8%
Penn Virginia Corp. .............................. 141,275 $ 2,298,544
Tesoro Corp. * ................................... 23,610 561,446
------------
2,859,990
------------
PHARMACEUTICALS -- 0.3%
PharMerica Corp. * ............................... 27,250 320,187
------------
REAL ESTATE -- 1.0%
Forestar Group, Inc. * ........................... 16,330 314,516
HFF Inc., Class A * .............................. 26,548 350,434
Thomas Properties Group, Inc. * .................. 95,620 322,239
------------
987,189
------------
REAL ESTATE INVESTMENT TRUSTS -- 3.5%
FelCor Lodging Trust, Inc. * ..................... 176,730 1,337,846
Redwood Trust, Inc. (a) .......................... 82,780 1,355,936
Strategic Hotels & Resorts, Inc. * ............... 128,310 834,015
------------
3,527,797
------------
RETAIL -- 2.1%
Coldwater Creek, Inc. * .......................... 125,280 370,829
MarineMax, Inc. * ................................ 159,984 1,444,656
Pacific Sunwear of California, Inc. * (a) ........ 72,855 328,576
------------
2,144,061
------------
SAVINGS & LOANS -- 4.4%
First Financial Holdings, Inc. ................... 42,475 452,783
Flagstar Bancorp, Inc. * ......................... 2,284,484 3,997,847
------------
4,450,630
------------
SEMICONDUCTORS -- 4.0%
Alliance Semiconductor Corp. ..................... 441,625 136,904
ATMI, Inc. * ..................................... 64,399 1,174,638
Axcelis Technologies, Inc. * ..................... 306,698 843,419
MEMC Electronic Materials, Inc. * ................ 106,030 1,438,827
Verigy Ltd. * (a) 36,742 476,544
------------
4,070,332
------------
SOFTWARE -- 1.6%
Take-Two Interactive Software, Inc. * (a) ........ 99,730 1,602,661
------------
TELECOMMUNICATIONS -- 0.4%
Aviat Networks, Inc. * ........................... 59,410 362,995
------------
TOTAL COMMON STOCKS
(Cost $65,965,732) ......................... 92,609,879
------------
SHARES VALUE
------------ ------------
EXCHANGE TRADED FUND -- 2.7%
FINANCE -- 2.7%
iShares Russell 2000 Value Index Fund (a) ........ 36,419 $ 2,717,586
------------
TOTAL EXCHANGE TRADED FUND
(Cost $2,367,572) .......................... 2,717,586
------------
SECURITIES LENDING COLLATERAL -- 15.1%
Institutional Money Market Trust ................. 15,272,398 15,272,398
------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $15,272,398) ......................... 15,272,398
------------
PAR
(000)
------------
CORPORATE BONDS -- 0.0%
LandAmerica Financial Group, Inc.
+ ++ CONV
3.25%, 05/15/34 ............................... $ 120 9,624
------------
TOTAL CORPORATE BONDS
(Cost $240) ................................ 9,624
------------
TOTAL INVESTMENTS -- 109.6%
(Cost $83,605,942) ............................ 110,609,487
------------
LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.6)% .. (9,649,713)
------------
NET ASSETS -- 100.0% ............................. $100,959,774
============
* Non-income producing.
(a) All or a portion of the security is on loan. See Note 7 in the Notes to
Financial Statements.
+ Security in default.
++ Security has been valued at fair market value as determined in good faith
by or under the direction of The RBB Fund, Inc's. Board of Directors. As of
February 28, 2011, this security amounted to $9,624 or 0.0% of net assets.
CONV Convertible
The accompanying notes are an integral part of the financial statements.
8
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
The following is a summary of inputs used, as of February 28, 2011, in valuing
the Fund's investments carried at market value (See note 1 in the notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ----------- ----------- ------------
Common Stocks * $ 92,609,879 $92,609,879 $ -- $ --
Corporate Bonds 9,624 -- -- 9,624
Exchange Traded Fund 2,717,586 2,717,586 -- --
Securities Lending Collateral 15,272,398 -- 15,272,398 --
------------ ----------- ----------- ------
Total $110,609,487 $95,327,465 $15,272,398 $9,624
============ =========== =========== ======
* Please refer to the Portfolio of Investments for industry and security type
breakouts.
The following is a reconciliation of the Fund's Level 3 investments for which
significant unobservable inputs were used to determine fair value.
TOTAL COMMON PREFERRED CORPORATE
INVESTMENTS STOCK STOCK BONDS
----------- --------- ----------- ----------
Balance as of August 31, 2010 $ 1,435,000 $ 114,800 $ 1,320,200 $ --
Accrued discounts/premiums -- -- -- --
realized gain/(loss) -- -- -- --
Change in unrealized appreciation
(depreciation) -- -- -- --
Net purchases/(sales) -- -- -- --
Transfers in and/or out of Level 3* (1,425,376) (114,800) (1,320,200) 9,624
----------- --------- ----------- ------
Balance as of February 28, 2011 $ 9,624 $ -- $ -- $9,624
=========== ========= =========== ======
* Transfers in and out of the levels are recognized at the value at the
beginning of the period.
The net change in unrealized appreciation (depreciation) from level 3
investments held as of February 28, 2011 was $9,385. The Fund presents this
unrealized appreciation/(depreciation) on the Statement of Operations as a net
change in unrealized appreciation/(depreciation) on investments.
The accompanying notes are an integral part of the financial statements.
9
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
COMMON STOCKS -- 94.5%
AEROSPACE & DEFENSE -- 2.0%
Boeing Co. (The) ................................. 28,355 $ 2,041,844
------------
AUTOMOBILE MANUFACTURERS -- 2.7%
General Motors Co. * ............................. 8,715 292,214
Navistar International Corp. * ................... 40,781 2,527,606
------------
2,819,820
------------
AUTOMOBILE PARTS & EQUIPMENT -- 1.7%
Magna International, Inc., Class A (a) ........... 34,350 1,695,516
------------
BANKS -- 21.6%
Bank of America Corp. ............................ 388,154 5,546,721
Citigroup, Inc. * ................................ 649,120 3,037,882
JPMorgan Chase & Co. ............................. 117,480 5,485,141
PNC Financial Services Group, Inc. ............... 76,598 4,726,097
Regions Financial Corp. .......................... 230,010 1,757,276
Wells Fargo & Co. ................................ 48,415 1,561,868
------------
22,114,985
------------
COAL -- 13.3%
Arch Coal, Inc. .................................. 237,600 7,966,728
Consol Energy, Inc. .............................. 112,045 5,681,802
------------
13,648,530
------------
COMMERCIAL SERVICES -- 2.2%
Aegean Marine Petroleum Network, Inc. ............ 113,352 989,563
Monster Worldwide, Inc. *(a) ..................... 76,990 1,320,378
------------
2,309,941
------------
COMPUTERS -- 4.9%
Dell, Inc. *(a) .................................. 318,248 5,037,866
------------
ELECTRIC -- 5.6%
FirstEnergy Corp. ................................ 76,645 2,935,502
GenOn Energy, Inc. * ............................. 687,504 2,784,391
------------
5,719,893
------------
ELECTRONICS -- 1.9%
Avnet, Inc. * .................................... 58,530 2,002,311
------------
SHARES VALUE
------------ ------------
HEALTH CARE - SERVICES -- 2.3%
Brookdale Senior Living, Inc. *(a) ............... 89,105 $ 2,396,033
------------
HOME BUILDERS -- 6.4%
D.R. Horton, Inc. (a) ............................ 289,470 3,427,325
NVR, Inc. *(a) ................................... 4,314 3,139,988
------------
6,567,313
------------
INSURANCE -- 6.8%
Allstate Corp., (The) ............................ 72,380 2,300,236
Assured Guaranty Ltd. (a) ........................ 147,911 2,149,147
Brown & Brown, Inc. .............................. 2,710 70,839
RenaissanceRe Holdings, Ltd. ..................... 17,480 1,171,510
Willis Group Holdings PLC ........................ 31,835 1,238,063
------------
6,929,795
------------
LEISURE TIME -- 1.2%
Carnival Corp. ................................... 28,365 1,210,335
------------
LIFE & HEALTH INSURANCE -- 2.1%
AFLAC, Inc. ...................................... 18,907 1,112,866
Lincoln National Corp. ........................... 32,890 1,043,271
------------
2,156,137
------------
OIL & GAS -- 11.5%
BP PLC, SP ADR (a) ............................... 46,150 2,236,891
Chesapeake Energy Corp. .......................... 150,386 5,355,245
EQT Corp. ........................................ 55,216 2,722,149
Valero Energy Corp. .............................. 50,555 1,424,640
------------
11,738,925
------------
REAL ESTATE INVESTMENT TRUSTS -- 1.7%
Annaly Capital Management, Inc. .................. 93,548 1,677,316
Sunstone Hotel Investors, Inc. * ................. 7,620 81,839
------------
1,759,155
------------
RETAIL -- 1.7%
J.C. Penney Co., Inc. ............................ 49,591 1,733,701
------------
SEMICONDUCTORS -- 3.6%
International Rectifier Corp. * .................. 28,218 906,926
MEMC Electronic Materials, Inc. * ................ 202,960 2,754,167
------------
3,661,093
------------
The accompanying notes are an integral part of the financial statements.
10
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
SHARES VALUE
------------ ------------
TELECOMMUNICATIONS -- 1.3%
Cisco Systems, Inc. * ............................ 57,160 $ 1,060,890
Sprint Nextel Corp. * ............................ 53,850 235,324
------------
1,296,214
------------
TOTAL COMMON STOCKS
(Cost $73,170,648) ......................... 96,839,407
------------
EXCHANGE TRADED FUND -- 0.8%
FINANCE -- 0.8%
iShares Russell 1000 Value Index Fund (a) ........ 12,445 856,092
------------
TOTAL EXCHANGE TRADED FUND
(Cost $791,648) ............................ 856,092
------------
SECURITIES LENDING COLLATERAL -- 10.4%
Institutional Money Market Trust ................. 10,692,814 10,692,814
------------
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,692,814) ......................... 10,692,814
------------
PAR
(000) VALUE
------------ ------------
CORPORATE BONDS -- 0.4%
AIRLINES -- 0.4%
UAL Corp. CONV
6.00%, 10/15/29 ............................... $ 119 $ 350,306
------------
TOTAL CORPORATE BONDS
(Cost $268,880) ............................ 350,306
------------
TOTAL INVESTMENTS -- 106.1%
(Cost $84,923,990) ............................ 108,738,619
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS -- (6.1)% ........................ (6,268,255)
------------
NET ASSETS -- 100.0% ............................. $102,470,364
============
* Non-income producing.
(a) All or a portion of the security is on loan. See Notes to Portfolio of
Investments.
CONV Convertible
SP ADR Sponsored American Depositary Receipt
PLC Public Liability Company
The following is a summary of inputs used, as of February 28, 2011, in valuing
the Fund's investments carried at market value (See note 1 in the notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICE INPUTS INPUTS
----------------- ----------- ----------- ------------
Common Stocks* $ 96,839,407 $96,839,407 $ -- $--
Corporate Bonds 350,306 -- 350,306 --
Exchange Traded Fund 856,092 856,092 -- --
Securities Lending Collateral 10,692,814 -- 10,692,814 --
------------ ----------- ----------- ---
Total $108,738,619 $97,695,499 $11,043,120 $--
============ =========== =========== ===
* Please refer to the Portfolio of Investments for industry and security type
breakouts.
The accompanying notes are an integral part of the financial statements.
11
THE SCHNEIDER FUNDS
STATEMENTS OF ASSETS & LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
SCHNEIDER
SMALL CAP SCHNEIDER
VALUE FUND VALUE FUND
------------- -------------
ASSETS
Investments, at value +## .......................................... $110,609,487 $ 108,738,619
Cash and cash equivalents .......................................... 5,894,618 4,255,109
Receivables
Investments sold ................................................ 620,440 463,989
Capital shares sold ............................................. 33,210 53,950
Dividends and interest .......................................... 39,401 109,653
Prepaid expenses and other assets .................................. 17,190 15,034
------------ -------------
Total assets ................................................. 117,214,346 113,636,354
------------ -------------
LIABILITIES
Payables
Securities lending collateral ................................... 15,272,398 10,692,814
Capital shares redeemed ......................................... 510,082 117,142
Investments purchased ........................................... 345,144 244,995
Investment adviser .............................................. 61,327 41,726
Other accrued expenses and liabilities ............................. 65,621 69,313
------------ -------------
Total liabilities ............................................ 16,254,572 11,165,990
------------ -------------
Net Assets ......................................................... $100,959,774 $ 102,470,364
============ =============
NET ASSETS CONSIST OF
Par value .......................................................... $ 5,485 $ 6,587
Paid-in capital .................................................... 86,618,869 219,807,778
Undistributed/accumulated net investment income(loss) .............. (316,371) 111,668
Accumulated net realized loss from investments ..................... (12,351,754) (141,270,298)
Net unrealized appreciation on investments ......................... 27,003,545 23,814,629
------------ -------------
Net Assets ......................................................... $100,959,774 $ 102,470,364
============ =============
Shares outstanding ($0.001 par value, 100,000,000
shares authorized) .............................................. 5,484,851 6,587,491
------------ -------------
Net asset value, offering and redemption price per share ........... $ 18.41 $ 15.56
============ =============
+ Investment in securities, at cost ................................ $ 83,605,942 $ 84,923,990
============ =============
## Includes market value of securities on loan .................... $ 14,534,758 $ 10,483,434
============ =============
The accompanying notes are an integral part of the financial statements.
12
THE SCHNEIDER FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
SCHNEIDER
SMALL CAP SCHNEIDER
VALUE FUND VALUE FUND
------------ -----------
INVESTMENT INCOME
Dividends+ ............................................. $ 194,200 $ 547,059
Securities Lending Income .............................. 13,102 9,809
Interest ............................................... 682 6,637
----------- -----------
Total investment income ............................. 207,984 563,505
----------- -----------
EXPENSES
Advisory fees .......................................... 455,961 351,424
Administration and accounting fees ..................... 70,108 75,648
Transfer agent fees .................................... 29,660 31,845
Professional fees ...................................... 23,441 24,912
Custodian fees ......................................... 22,008 15,592
Registration and filing fees ........................... 13,382 12,429
Directors' and officers' fees .......................... 12,116 12,812
Printing and shareholder reporting fees ................ 8,927 9,917
Insurance fees ......................................... 4,446 4,876
Other expenses ......................................... 1,385 1,432
----------- -----------
Total expenses before waivers and reimbursements .... 641,434 540,887
Less: waivers and reimbursements .................... (117,079) (89,056)
----------- -----------
Net expenses after waivers and reimbursements ....... 524,355 451,831
----------- -----------
Net investment income/(loss) ........................... (316,371) 111,674
----------- -----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
NET REALIZED GAIN/(LOSS) FROM:
Investments ......................................... 12,069,026 5,403,257
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments ......................................... 16,995,563 23,929,332
----------- -----------
Net realized and unrealized gain/(loss) on
investments ......................................... 29,064,589 29,332,589
----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $28,748,218 $29,444,263
=========== ===========
+ Net of foreign withholding taxes of ............... $ (155) $ (1,932)
=========== ===========
The accompanying notes are an integral part of the financial statements.
13
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS ENDED FOR THE YEAR
FEBRUARY 28, ENDED
2011 AUGUST 31,
(UNAUDITED) 2010
-------------- ------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment (loss) .................................................. $ (316,371) $ (617,469)
Net realized gain from investments ..................................... 12,069,026 25,790,509
Net change in unrealized appreciation/(depreciation) from investments .. 16,995,563 (14,571,289)
------------- ------------
Net increase in net assets resulting from operations ...................... 28,748,218 10,601,751
------------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................. -- (543,270)
------------- ------------
Net decrease in net assets from dividends and distributions to
shareholders ........................................................... -- (543,270)
------------- ------------
CAPITAL TRANSACTIONS:
Proceeds from shares sold .............................................. 6,512,001 16,951,483
Reinvestment of distributions .......................................... -- 446,678
Redemption fees * ...................................................... 41,377 130,734
Shares redeemed ........................................................ (7,584,731) (52,627,087)
------------- ------------
Net decrease in net assets from capital share transactions ................ (1,031,353) (35,098,192)
------------- ------------
Total increase/(decrease) in net assets ................................... 27,716,865 (25,039,711)
------------- ------------
NET ASSETS:
Beginning of period .................................................... 73,242,909 98,282,620
------------- ------------
End of period .......................................................... $ 100,959,774 $ 73,242,909
============= ============
Undistributed net investment income (loss), end of period .............. $ (316,371) $ --
============= ============
SHARE TRANSACTIONS:
Shares sold ............................................................ 375,402 1,139,224
Shares reinvested ...................................................... -- 35,507
Shares redeemed ........................................................ (444,134) (3,582,571)
------------- ------------
Total share transactions ............................................... (68,732) (2,407,840)
============= ============
* 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. The redemption
fees are retained by the Fund for the benefit of the remaining shareholders
and recorded as paid-in capital.
The accompanying notes are an integral part of the financial statements.
14
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX
MONTHS ENDED FOR THE YEAR
FEBRUARY 28, ENDED
2011 AUGUST 31,
(UNAUDITED) 2010
-------------- -------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income .................................................. $ 111,674 $ 632,966
Net realized gain from investments ..................................... 5,403,257 6,805,902
Net change in unrealized appreciation/(depreciation) from investments .. 23,929,332 (7,051,493)
------------ -------------
Net increase in net assets resulting from operations ...................... 29,444,263 387,375
------------ -------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................. (632,891) (2,533,672)
------------ -------------
Net decrease in net assets from dividends and distributions to
shareholders ........................................................... (632,891) (2,533,672)
------------ -------------
CAPITAL TRANSACTIONS:
Proceeds from shares sold .............................................. 3,268,445 20,439,350
Reinvestment of distributions .......................................... 547,704 2,086,849
Redemption fees * ...................................................... 272 716
Shares redeemed ........................................................ (29,110,284) (39,894,769)
------------ -------------
Net decrease in net assets from capital share transactions ................ (25,293,863) (17,367,854)
------------ -------------
Total increase/(decrease) in net assets ................................... 3,517,509 (19,514,151)
------------- -------------
NET ASSETS:
Beginning of period .................................................... 98,952,855 118,467,006
------------ -------------
End of period .......................................................... $102,470,364 $ 98,952,855
============ =============
Undistributed net investment income, end of period ..................... $ 111,668 $ 632,885
============ =============
SHARE TRANSACTIONS:
Shares sold ............................................................ 225,104 1,597,175
Shares reinvested ...................................................... 38,817 175,365
Shares redeemed ........................................................ (2,117,922) (3,092,662)
------------ -------------
Total share transactions ............................................... (1,854,001) (1,320,122)
============ =============
* 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 Fund for the benefit of the remaining shareholders and
recorded as paid-in capital.
The accompanying notes are an integral part of the financial statements.
15
THE SCHNEIDER FUNDS
SCHNEIDER SMALL CAP VALUE FUND
FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for a share outstanding
during each period, 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, 2011 -------------------------------------------------
(UNAUDITED) 2010 2009 2008 2007 2006
----------------- ------- ------- ------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............ $ 13.19 $ 12.34 $ 14.54 $ 19.06 $ 21.96 $ 24.94
-------- ------- ------- ------- -------- --------
Net investment income/(loss) .................... (0.06) (0.11) 0.12 0.16 0.43 0.05
Net realized and unrealized gain/(loss)
on investments and foreign currency
transactions ................................. 5.27 1.01 (2.20) (3.81) 0.15 1.66
-------- ------- ------- ------- -------- --------
Net increase/(decrease) in net assets
resulting from operations .................... 5.21 0.90 (2.08) (3.65) 0.58 1.71
-------- ------- ------- ------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ........................... -- (0.07) (0.18) (0.32) (0.20) --
Net realized capital gains ...................... -- -- --+ (0.55) (3.28) (4.69)
-------- ------- ------- ------- -------- --------
Total dividends and distributions to
shareholders ................................. -- (0.07) (0.18) (0.87) (3.48) (4.69)
-------- ------- ------- ------- -------- --------
Redemption fees ................................. 0.01 0.02 0.06 --+ --+ --+
-------- ------- ------- ------- -------- --------
Net asset value, end of period .................. $ 18.41 $ 13.19 $ 12.34 $ 14.54 $ 19.06 $ 21.96
======== ======= ======= ======= ======== ========
Total investment return(1) ...................... 39.58%(2) 7.48% (13.20)% (19.78)% 0.72% 7.79%
======== ======= ======= ======= ======== ========
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ....... $100,960 $73,243 $98,283 $91,691 $101,052 $105,092
Ratio of expenses to average net assets(3) ...... 1.15%(4) 1.15% 1.14% 1.10% 1.10% 1.10%
Ratio of expenses to average net assets
without waivers and expense
reimbursements ............................... 1.41%(4) 1.43% 1.42% 1.49% 1.50% 1.56%
Ratio of net investment income/(loss) to average
net assets(3) ................................ (0.69)%(4) (0.65)% 0.97% 0.92% 1.81% 0.29%
Portfolio turnover rate ......................... 27.32%(2) 83.39% 122.36% 116.34% 75.21% 91.45%
----------
+ Amount is less than $0.005 per share.
(1) Total investment return is calculated by 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) Not annualized.
(3) Reflects waivers and reimbursements.
(4) Annualized.
The accompanying notes are an integral part of the financial statements.
16
THE SCHNEIDER FUNDS
SCHNEIDER VALUE FUND
FINANCIAL HIGHLIGHTS
Contained below is per share operating performance data for a share outstanding
during each period, 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, 2011 ---------------------------------------------------
(UNAUDITED) 2010 2009 2008 2007 2006
----------------- ------- -------- -------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............ $ 11.72 $ 12.14 $ 16.37 $ 23.13 $ 21.16 $ 20.55
-------- ------- -------- -------- -------- --------
Net investment income ........................... 0.03 0.08 0.34 0.37 0.14 0.10
Net realized and unrealized gain/(loss)
from investments and foreign currency
transactions ................................. 3.90 (0.23) (4.14) (5.89) 2.99 1.99
-------- ------- -------- -------- -------- --------
Net increase/(decrease) in net assets
resulting from operations .................... 3.93 (0.15) (3.80) (5.52) 3.13 2.09
-------- ------- -------- -------- -------- --------
Dividends and distributions to shareholders from:
Net investment income ........................... (0.09) (0.27) (0.43) (0.14) (0.08) (0.08)
Net realized capital gains ...................... -- -- -- (1.10) (1.08) (1.40)
-------- ------- -------- -------- -------- --------
Total dividends and distributions to
shareholders ................................. (0.09) (0.27) (0.43) (1.24) (1.16) (1.48)
-------- ------- -------- -------- -------- --------
Redemption fees+ ................................ -- -- -- -- -- --
-------- ------- -------- -------- -------- --------
Net asset value, end of period .................. $ 15.56 $ 11.72 $ 12.14 $ 16.37 $ 23.13 $ 21.16
======== ======= ======== ======== ======== ========
Total investment return(1) ...................... 33.63%(2) (1.30)% (22.06)% (25.05)% 14.88% 10.85%
======== ======= ======== ======== ======== ========
RATIO/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ....... $102,470 $98,953 $118,467 $225,036 $364,793 $139,288
Ratio of expenses to average net assets(3) ...... 0.90%(4) 0.90% 0.88% 0.85% 0.85% 0.85%
Ratio of expenses to average net assets
without waivers and expense
reimbursements ............................... 1.08%(4) 1.03% 1.14% 1.09% 1.12% 1.27%
Ratio of net investment income to average
net assets(3) ................................ 0.22%(4) 0.52% 2.24% 1.61% 0.77% 0.69%
Portfolio turnover rate ......................... 26.03%(2) 79.30% 107.13% 101.98% 131.75% 104.92%
----------
+ Amount is less than $0.005 per share.
(1) Total investment return is calculated by 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) Not annualized.
(3) Reflects waivers and reimbursements.
(4) Annualized.
The accompanying notes are an integral part of the financial statements.
17
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011 (UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen 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
Institutional Class shares.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of Common Stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
PORTFOLIO VALUATION -- Each Fund's 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 the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed Income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed Income securities having a remaining
maturity of 60 days or less are amortized to maturity based on their cost.
Foreign securities are valued based on prices from the primary market in which
they are traded, and are translated from the local currency into U.S. dollars
using current exchange rates. Investments in other open-end investment companies
are valued based on the NAV of the investment companies (which may use Fair
Value Pricing as discussed in their prospectuses). If market quotations are
unavailable or deemed unreliable, securities will be valued in accordance with
procedures adopted by the Company's Board of Directors. Relying on prices
supplied by pricing services or dealers or using fair valuation may result in
values that are higher or lower than the values used by other investment
companies and investors to price the same investments.
The inputs and valuation techniques used to measure fair value of the
Funds' investments are summarized into three levels as described in the
hierarchy below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Funds' own
assumptions in determining the fair value of investments)
18
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
Bonds that are priced using quotes derived from implied values, indicative
bids, or a limited amount of actual trades are classified as Level 3 assets
because the inputs used by the brokers and pricing services to derive the values
are not readily observable.
Investments designated as Level 3 may include assets valued using quotes or
indications furnished by brokers which are based on models or estimates and may
not be executable prices. In light of the developing market conditions,
Schneider Capital Management continues to search for observable data points and
evaluate broker quotes and indications received for portfolio investments. As a
result, for the six-month period ended February 28, 2011, $9,624 of the Small
Cap Value Fund's portfolio investments was transferred to Level 3 from Level 2.
Additionally, a net amount of $1,435,000 of the Small Cap Value Fund's portfolio
investments was transferred from Level 3 to Level 1. Determination of fair
values is uncertain because it involves subjective judgments and estimates not
easily substantiated by auditing procedures.
The inputs or methodology used for valuing securities are not necessarily
an indication of the risk associated with investing in those securities. A
summary of the inputs used to value each Fund's investments as of February 28,
2011 is included with each Fund's Portfolio of Investments.
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 and those differences could be significant.
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. Each 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 of the Company are charged directly to the class, fund or fund family (in
proportion to net assets). Expenses incurred for all of the RBB funds (such as
director or professional fees) are charged to all funds in proportion to their
average net assets of RBB, 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 NAV of the Funds.
FOREIGN CURRENCY TRANSLATION -- Foreign securities and other foreign 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 the ex-dividend date and paid at least annually to
19
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
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.
U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each
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.
CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited
into a bank demand deposit account to be cash equivalents. These investments
represent amounts held with financial institutions that are readily accessible
to pay Fund expenses or purchase investments. Cash and cash equivalents are
valued at cost plus accrued interest, which approximates market value.
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.
2. INVESTMENT ADVISER AND OTHER SERVICES
Schneider Capital Management Company ("SCM" or the "Adviser") 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 to the extent that such expenses
exceeded 1.15% and 0.90%, respectively, of the Fund's average daily net assets
(excluding acquired fund fees and expenses, brokerage commissions, extraordinary
items, interest and taxes). As necessary, this limitation is effected in waivers
of advisory fees and reimbursements of other Fund expenses. For the six months
ended February 28, 2011, investment advisory fees and waivers of expenses were
as follows:
GROSS ADVISORY FEES WAIVERS NET ADVISORY FEES
------------------- --------- -----------------
Schneider Small Cap Value Fund $455,961 $(117,079) $338,882
Schneider Value Fund 351,424 (89,056) 262,368
The Funds will not pay SCM at a later time for any amounts it may waive or
any amounts that SCM has assumed.
BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as
administrator for the Funds. For providing administration and accounting
services, BNY Mellon is entitled to receive a monthly fee equal to an annual
percentage rate of each Fund's average daily net assets, and is subject to
certain minimum monthly fees.
Included in the administration and accounting services fees and expenses,
are fees for providing regulatory administration services to RBB. For providing
these services, BNY Mellon is entitled to receive compensation as agreed to by
the Company and BNY Mellon. This fee is allocated to each portfolio of the
Company in proportion to its net assets of the Company.
20
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
In addition, BNY Mellon serves as the Funds' transfer and dividend
disbursing agent. For providing transfer agent services, BNY Mellon is entitled
to receive a monthly fee equal to an annual percentage rate of each Fund's
average daily net assets, subject to certain minimum monthly fees.
For providing custodian services to the Funds, PFPC Trust Company, a member
of The Bank of New York Mellon Corp., is entitled to receive a monthly fee equal
to an annual percentage rate of each Fund's average daily gross assets, subject
to certain minimum monthly fees.
BNY Mellon Distributors Inc. serves as the principal underwriter and
distributor of the Funds' shares pursuant to a Distribution Agreement with RBB.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and
out of pocket expenses for meetings attended. The aggregate remuneration paid to
the Directors by the Funds during the six months ended February 28, 2011 was
$13,645. Certain employees of BNY Mellon are Officers of the Company. They are
not compensated by the Funds or the Company.
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales
of investment securities (excluding short-term investments) were as follows:
PURCHASES SALES
----------- -----------
Schneider Small Cap Value Fund $23,911,620 $30,782,579
Schneider Value Fund 25,300,949 55,302,916
5. CAPITAL SHARE TRANSACTIONS
As of February 28, 2011, 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 (1 shareholder) 19%
Schneider Value Fund (1 shareholder) 20%
6. FEDERAL INCOME TAX INFORMATION
Management has analyzed each Fund's tax positions taken on federal income
tax returns for all open tax years (August 31, 2007-2010) and has concluded that
no provision for federal income tax is required in the Funds' financial
statements. The Funds' federal and state income and federal excise tax returns
for tax years for which the applicable statutes of limitations have not expired
are subject to examination by the Internal Revenue Service and state departments
of revenue.
21
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
As of February 28, 2011, 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 $83,605,942 $29,412,166 $(2,408,621) $27,003,545
Schneider Value Fund 84,923,990 26,120,248 (2,305,619) 23,814,629
Distributions to shareholders from net investment income and realized gains
are determined in accordance with federal income tax regulations, which may
differ from net investment income and realized gains recognized for financial
reporting purposes. Accordingly, the character of distributions and composition
of net assets for tax purposes may differ from those reflected in the
accompanying financial statements.
As of August 31, 2010, the components of distributable earnings on a tax
basis were as follows:
UNDISTRIBUTED
ORDINARY UNDISTRIBUTED
INCOME LONG-TERM GAINS
------------- ---------------
Schneider Small Cap Value Fund $ -- $--
Schneider Value Fund 632,885 --
The difference 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
reportable as ordinary income for federal income tax purposes.
The tax character of dividends and distributions paid during the last two
fiscal years were as follows:
ORDINARY LONG-TERM
INCOME GAINS TOTAL
---------- --------- ----------
Schneider Small Cap Value Fund 2010 $ 543,270 $ -- $ 543,270
2009 1,113,058 12,857 1,125,915
Schneider Value Fund 2010 $2,533,672 $ -- $2,533,672
2009 4,861,935 -- 4,861,935
Dividends from net investment income and short-term capital gains are
treated as ordinary income dividends for federal income tax purposes.
For federal income tax purposes, capital loss carryforwards are available
to offset future capital gains. As of August 31, 2010, the Schneider Small Cap
Value Fund and the Schneider Value Fund had capital loss carryforwards of
$22,036,418 and $130,704,964, respectively, that will expire as follows:
AUGUST 31, 2016 AUGUST 31, 2017 AUGUST 31, 2018
--------------- --------------- ---------------
Schneider Small Cap Value Fund $ -- $12,220,752 $ 9,815,666
Schneider Value Fund 11,810,397 75,945,572 42,948,995
During the fiscal year ended August 31, 2010, the Funds did not utilize any
of their capital loss carryforwards.
22
THE SCHNEIDER FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011 (UNAUDITED)
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, 2010, the Schneider Value
Fund incurred net post-October capital losses of $3,785,899.
7. SECURITIES LENDING
The Funds may make secured loans of their portfolio securities to brokers,
dealers and other financial institutions to earn additional income and receive
cash collateral equal to at least 102% of the current market value of the loaned
securities, as marked to market each day that the NAV of the Funds is
determined. The Funds will pay administrative and custodial fees in connection
with the loan of securities. Collateral is invested in short-term investments
and the Funds will bear the risk of loss of the invested collateral. Securities
lending will expose the Funds to the risk of loss should a borrower default on
its obligation to return the borrowed securities. The market value of the
securities on loan and collateral as of February 28, 2011 and the income
received for the six months ended February 28, 2011 were as follows:
INCOME RECEIVED
MARKET VALUE OF MARKET VALUE FROM SECURITIES
SECURITIES LOANED OF COLLATERAL LENDING
----------------- ------------- ---------------
Schneider Small Cap Value Fund $14,534,758 $15,272,398 $13,102
Schneider Value Fund 10,483,434 10,692,814 9,809
8. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about
Fair Value Measurements". ASU 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are currently effective for interim and annual
reporting periods beginning after December 15, 2009, and other required
disclosures are effective for fiscal years beginning after December 15, 2010,
and for interim periods within those fiscal years. Management has evaluated the
impact and has incorporated the appropriate disclosures required by ASU No.
2010-06 in its financial statement disclosures.
9. SUBSEQUENT EVENTS
Management has evaluated the impact of all subsequent events on the Funds
through the date the financial statements were issued and have determined that
there were no subsequent events requiring recognition or disclosure in the
financial statements.
23
THE SCHNEIDER 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) 520-3277 and on the Securities and Exchange Commission's ("SEC") website
at http://www.sec.gov.
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 (202) 551-8090.
24
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INVESTMENT ADVISER
Schneider Capital Management
460 E. Swedesford Road
Suite 1080
Wayne, PA 19087
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
PRINCIPAL UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
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, Suite 2000
Philadelphia, PA 19103-6996
THE
SCHNEIDER
FUNDS
OF THE RBB FUND, INC.
SCHNEIDER SMALL CAP VALUE FUND
SCHNEIDER VALUE FUND
SEMI-ANNUAL
REPORT
FEBRUARY 28, 2011
(UNAUDITED)
(SCHNEIDER CAPITAL MANAGEMENT LOGO)
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.
SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED)
TO: SHAREHOLDERS OF SENBANC FUND
The fourth calendar quarter of 2010 marked the sixth quarter of earnings
recovery for banks, but the distribution of quarterly earnings performance is
far from uniform and, in consequence, the perception of banks to the average
investor has changed little. In 2010, on average, there were no earnings for
banks in the Nasdaq Bank Index. Conversely, Senbanc Fund's (the "Fund")
portfolio shows positive earnings for the majority of its bank holdings. The
price/earnings ratio for the portfolio, at 22x, illustrates the recovering
nature of these earnings, rather than any robustness of valuation.
Changing perceptions of banks, rather than a change in the positive trend in
earnings, was responsible for price appreciation in the last month of 2010,
which accounted for almost all price appreciation for banks for the full year.
The prospect of a reduced rate of regulatory change has signaled to investors
that the rules of engagement for banks are stabilizing.
Revenue growth for banks is still modest, but net interest margins are healthy
and credit quality is improving. Restricted economic growth has cut into
non-interest income, but reserves are being added to at a lower rate. Losses
from real estate investment have dropped dramatically as housing prices have
stabilized. Additional reserves have been created for possible mortgage
repurchases and potential litigation liability. Goodwill impairment charges have
been a feature of fourth quarter earnings reports, which suggests a balance
sheet clean-up in preparation for relatively unencumbered financial results in
2011.
Generally speaking, the current low time value of money is advantageous to banks
in two important ways. The first is the well known benefit to net interest
margins. Less obvious is the low carrying cost of underperforming assets, given
the yields of securitized real estate loan portfolios and the alternative of low
yielding cash if these instruments were to be liquidated. In a low interest rate
environment, there is little pressure on well capitalized banks to find a market
for bundles of low-performance securitized assets. This advantage may disappear
if the Federal Reserve Board fails to cut its quantitative easing program when
Congress cuts spending in any meaningful way, but we suspect that any early
signs of inflation will be a positive signal for a housing market now on the
cusp of a supply/demand imbalance.
The Fund's portfolio continues its transformation to a more balanced structure.
The top ten holdings still represent the largest proportion of assets under
management, but the 48% portfolio turnover rate is the trail left from
transferring funds from our largest positions to the next generation of
undervalued banks. This is a process we intend to pursue over time, until the
excessive positions established by default during the financial crisis are
reined in. These large positions are held in some of the strongest,
best-performing financial institutions, and have served as a buffer in these
uncertain times. We are sorry to see them go, but an expanding economy will
benefit all solvent banks and we seek to build a more diversified portfolio in
the interim.
In 2011 we expect the perceptions and expectations for banks to improve
dramatically. A lower profile for government regulatory input, continued strong
consecutive quarter and year over year earnings improvement, a lower real estate
inventory, and increased dividends should all play their part in a rising tide
of price appreciation that lifts all banks.
We have previously made the case for lower provisions as contributions to
reserves are scaled back, then a flow of freed reserves back to earnings. This
is a multi-year process, but we are seeing the early stages now. We believe
economic recovery will boost revenues, compensating for higher interest rates
and higher inflation which lifts housing prices as the supply of existing houses
dwindles before building starts recover. Finally, we feel dividends will begin
to be restored in the second half of 2011. Though restoration will not be at a
pace to match prior removal, we do expect dividend levels to increase
significantly in the first round, then at an accelerated pace to achieve a 30%
plus payout ratio within five years. The major change for dividend policy is
likely to be a recognition by banks that dividends no longer support stock
prices. - dividends will henceforth be a lagging indicator.
1
In 2011 and 2012, investors will see banks as the engine of economic recovery,
and premiums over book value per share should emerge even as equity for banks
expands. It is this confluence of events that should mark 2012 and 2013 as a
high water mark for bank stock valuations.
Following the Board's decision to close Senbanc Fund, an orderly liquidation is
underway, and is expected to be completed by the end of July 2011.
Very truly yours,
/s/ Alan F. Morel
----------------------------------------
Alan F. Morel
Hilliard Lyons Research Advisors
Portfolio Manager
Senbanc Fund
2
SENBANC FUND
PERFORMANCE DATA
FEBRUARY 28, 2011 (UNAUDITED)
AVERAGE ANNUAL SINCE
TOTAL RETURNS (%) SIX 1 3 YEAR 5 YEAR 10 YEAR INCEPTION
AS OF 2/28/11 MONTHS* YEAR ANNUALIZED ANNUALIZED ANNUALIZED ANNUALIZED
----------------- ------- ---- ---------- ---------- ---------- ----------
Senbanc Fund
Inception Date - 7/8/99 14.96 3.00 -15.55 -15.42 -1.25 -0.06
* NOT ANNUALIZED
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO
GUARANTEE 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 CALL 1-800-444-1854 OR VISIT OUR WEB SITE AT www.hilliard.com.
THE FUND'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS,
ARE 2.50%. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS.
RETURNS COULD HAVE BEEN LOWER IF THESE WAIVERS WERE NOT IN EFFECT. THE MAXIMUM
SALES CHARGE, AS STATED IN THE PROSPECTUS, IS 2.25%. THE ADVISER HAS VOLUNTARILY
AGREED TO WAIVE AND/OR REIMBURSE CERTAIN FEES TO THE EXTENT THAT THE FUND'S
TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED 1.75% OF THE FUND'S AVERAGE DAILY
NET ASSETS. THIS AGREEMENT MAY BE TERMINATED BY THE ADVISER UPON NOTICE TO THE
RBB FUND, INC'S BOARD OF DIRECTORS.
THE PERFORMANCE IN THE ABOVE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES A
SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR REDEMPTION OF FUND SHARES.
SENBAC FUND
PORTFOLIO HOLDINGS SUMMARY TABLE
FEBRUARY 28, 2011
(UNAUDITED)
% of
Industry Classification Net Assets
----------------------- ----------
Savings, Credit & Other Financial Institutions ........ 80.0%
State & National Banks ................................ 16.4
-----
Total Investments ..................................... 96.4
Other Assets in Excess of Liabilities ................. 3.6
-----
Net Assets ............................................ 100.0%
=====
Portfolio holdings are subject to change at any time.
3
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
six-month period from September 1, 2010 to February 28, 2011, and held for the
entire period.
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
9/01/10 2/28/11 During Period*
----------------- -------------- --------------
Actual ....................................... $1,000.00 $1,149.60 $9.33
Hypothetical (5% return before expenses) ..... 1,000.00 1,016.01 8.79
----------
* Expenses are equal to the Fund's annualized six-month expense ratio of
1.75%, 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 is based on the
actual six-month total return of 14.96%.
4
SENBANC FUND
SCHEDULE OF INVESTMENTS
FEBRUARY 28, 2011
(UNAUDITED)
COMMON STOCK -- 96.4%
SHARES DESCRIPTION VALUE
------- ---------------------------------------------------------------- -----------
SAVINGS, CREDIT & OTHER FINANCIAL INSTITUTIONS -- 80.0%
46,400 Bank of America Corp. .......................................... $ 663,056
42,478 C&F Financial Corp. ............................................ 976,994
30,700 Comerica, Inc. ................................................. 1,194,230
42,600 Financial Institutions, Inc. ................................... 821,754
6,900 First Bancorp .................................................. 101,706
37,500 First Financial Bancorp ........................................ 634,875
16,201 IBERIABANK Corp. ............................................... 928,155
87,500 JPMorgan Chase & Co. ........................................... 4,085,375
99,111 National Bankshares, Inc. ...................................... 2,874,219
12,191 NB&T Financial Group, Inc. ..................................... 259,059
186,199 Northrim BanCorp, Inc. ......................................... 3,457,716
26,600 Peoples Bancorp of North Carolina, Inc. ........................ 186,200
9,484 Peoples Financial Corp. ........................................ 157,719
112,994 Premier Financial Bancorp ...................................... 766,099
47,538 QCR Holdings, Inc. ............................................. 369,370
23,500 S&T Bancorp, Inc. .............................................. 524,050
12,600 SCBT Financial Corp. ........................................... 408,114
93,424 United Security Bancshares, Inc. ............................... 771,682
-----------
19,180,373
-----------
See Notes to Financial Statements.
5
SENBANC FUND
SCHEDULE OF INVESTMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
COMMON STOCK -- (CONTINUED)
SHARES DESCRIPTION VALUE
------- ---------------------------------------------------------------- -----------
STATE & NATIONAL BANKS -- 16.4%
11,400 Bar Harbor Bankshares .......................................... $ 331,170
30,300 BCB Bancorp, Inc. .............................................. 335,724
64,700 BNC Bancorp .................................................... 526,658
13,017 DNB Financial Corp. ............................................ 137,655
40,207 Evans Bancorp, Inc. ............................................ 570,537
25,469 Firstbank Corp. ................................................ 171,916
75,500 Monarch Financial Holdings, Inc. ............................... 610,795
37,374 Republic Bancorp, Inc. ......................................... 640,590
69,546 VISIT Financial Corp. .......................................... 622,437
-----------
3,947,482
-----------
TOTAL COMMON STOCK (COST $25,662,046) ....................... 23,127,855
-----------
TOTAL INVESTMENTS -- 96.4%
(COST $25,662,046) .......................................... 23,127,855
-----------
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.6% ............... 856,079
-----------
NET ASSETS -- 100% .......................................... $23,983,934
===========
The following is a summary of the inputs used, as of February 28, 2011, in
valuing the Fund's investments carried at value (See Note 1 in the Notes to
Financial Statements):
LEVEL 2 LEVEL 3
TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT
VALUE AT QUOTED OBSERVABLE UNOBSERVABLE
FEBRUARY 28, 2011 PRICES INPUTS INPUTS
----------------- ----------- ----------- ------------
Investments in Securities* $23,127,855 $23,127,855 $-- $--
=========== =========== === ===
* Please refer to the Schedule of Investments for industry and security type
breakouts.
See Notes to Financial Statements.
6
SENBANC FUND
STATEMENT OF ASSETS & LIABILITIES
FEBRUARY 28, 2011
(UNAUDITED)
ASSETS
Investments, at value (Cost $25,662,046) ............................. $ 23,127,855
Cash and cash equivalents ............................................ 1,023,345
Receivables
Investment adviser ................................................ 6,804
Dividends and interest ............................................ 4,081
Capital shares sold ............................................... 1,956
Prepaid expenses and other assets .................................... 11,084
------------
Total assets ................................................... 24,175,125
------------
LIABILITIES
Payables
Capital shares redeemed ........................................... 94,427
Transfer agent fees ............................................... 32,435
Distribution fees ................................................. 24,508
Professional fees ................................................. 17,617
Other accrued expenses and liabilities ............................... 22,204
------------
Total liabilities .............................................. 191,191
------------
Net Assets ........................................................... $ 23,983,934
============
NET ASSETS CONSIST OF
Par value ............................................................ $ 4,104
Paid-in capital ...................................................... 70,734,683
Undistributed net investment income .................................. 21,940
Accumulated net realized loss from investments ....................... (44,242,602)
Net unrealized depreciation on investments ........................... (2,534,191)
------------
Net Assets ........................................................... $ 23,983,934
============
Shares outstanding ($0.001 par value, 50,000,000 shares authorized) .. 4,104,486
------------
Net asset value per share ............................................... $ 5.84(a)
============
Maximum offering price per share (NAV / 1 - 2.25%) ...................... $ 5.97(b)
============
(a) Redemption price per share is equal to net asset value less any applicable
contingent deferred sales charge.
(b) On sales of $500,000 or more, the offering price is reduced.
See Notes to Financial Statements.
7
SENBANC FUND
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011
(UNAUDITED)
INVESTMENT INCOME
Dividends .............................................. $ 232,967
Interest ............................................... 187
-----------
Total investment income ............................. 233,154
-----------
EXPENSES
Advisory fees .......................................... 72,416
Distribution fees ...................................... 72,416
Transfer agent fees .................................... 54,274
Administration and accounting fees ..................... 54,247
Professional fees ...................................... 22,160
Printing and shareholder reporting fees ................ 12,576
Directors' and officers' fees .......................... 9,883
Custodian fees ......................................... 9,664
Registration and filing fees ........................... 8,515
Insurance fees ......................................... 4,165
Other expenses ......................................... 2,843
-----------
Total expenses before waivers and reimbursements .... 323,159
Less: waivers and reimbursements .................... (111,945)
-----------
Net expenses after waivers and reimbursements ....... 211,214
-----------
Net investment income .................................. 21,940
-----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS
NET REALIZED GAIN/(LOSS) FROM:
Investments ......................................... (9,733,142)
NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON:
Investments ......................................... 13,067,315
-----------
Net realized and unrealized gain from investments ...... 3,334,173
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $ 3,356,113
===========
See Notes to Financial Statements.
8
SENBANC FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE
SIX MONTHS ENDED FOR THE
FEBRUARY 28, 2011 YEAR ENDED
(UNAUDITED) AUGUST 31, 2010
----------------- ---------------
INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income (loss) ..................................... $ 21,940 $ (68,447)
Net realized loss from investments ............................... (9,733,142) (18,475,583)
Net change in unrealized appreciation from investments ........... 13,067,315 15,208,788
----------- ------------
Net increase/(decrease) in net assets resulting from operations ..... 3,356,113 (3,335,242)
----------- ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................................ -- (145,047)
Return of capital ................................................ -- (32,914)
----------- ------------
Net decrease in net assets from dividends and distributions
to shareholders .................................................. -- (177,961)
----------- ------------
CAPITAL TRANSACTIONS:
Proceeds from shares sold ........................................ 172,062 1,206,774
Reinvestment of distributions .................................... -- 165,569
Shares redeemed .................................................. (2,883,640) (6,145,293)
----------- ------------
Net decrease in net assets from capital transactions ................ (2,711,578) (4,772,950)
----------- ------------
Total increase/(decrease) in net assets ............................. 644,535 (8,286,153)
NET ASSETS:
Beginning of period .............................................. 23,339,399 31,625,552
----------- ------------
End of period .................................................... $23,983,934 $ 23,339,399
=========== ============
Undistributed/accumulated net investment income, end of period ...... $ 21,940 $ --
=========== ============
SHARE TRANSACTIONS:
Shares sold ...................................................... 29,319 211,834
Shares reinvested ................................................ -- 31,122
Shares redeemed .................................................. (515,819) (1,092,989)
----------- ------------
Total share transactions ............................................ (486,500) (850,033)
=========== ============
See Notes to Financial Statements.
9
SENBANC FUND
FINANCIAL HIGHLIGHTS
FOR
THE
SIX MONTHS
ENDED
FEBRUARY 28, FOR THE YEAR ENDED, AUGUST 31,
2011 -------------------------------------------------
(UNAUDITED) 2010 2009 2008 2007 2006
------------ ------- ------- ------- -------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value:
Beginning of period ..................... $ 5.08 $ 5.81 $ 8.25 $ 14.69 $ 16.57 $ 16.27
------- ------- ------- ------- -------- --------
Net investment income/(loss) ............... 0.01 (0.01) 0.10 0.39 0.41 0.29
Net realized and unrealized gain/(loss)
on investments .......................... 0.75 (0.67) (2.30) (5.52) (1.56) 0.44
------- ------- ------- ------- -------- --------
Total from investment operations ........... 0.76 (0.68) (2.20) (5.13) (1.15) 0.73
------- ------- ------- ------- -------- --------
Less distributions from:
Net investment income ...................... -- (0.04) (0.24) (0.61) (0.31) (0.12)
Net realized gain on investments ........... -- -- --* (0.70) (0.42) (0.31)
Return of capital .......................... -- (0.01) -- -- -- --
------- ------- ------- ------- -------- --------
Total distributions ........................ -- (0.05) (0.24) (1.31) (0.73) (0.43)
------- ------- ------- ------- -------- --------
Net asset value:
End of period ........................... $ 5.84 $ 5.08 $ 5.81 $ 8.25 $ 14.69 $ 16.57
======= ======= ======= ======= ======== ========
Total investment return .................... 14.96%** (11.98)% (26.47)% (37.08)% (7.47)% 4.52%
(excludes sales charge)
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) .. $23,984 $23,339 $31,626 $51,867 $111,119 $185,593
Ratio of expenses to average
net assets, including waivers ........... 1.75%*** 1.75% 1.73% 1.75% 1.53% 1.38%
Ratio of expenses to average
net assets, excluding waivers ........... 2.68%*** 2.37% 2.26% 1.79% 1.53% 1.38%
Ratio of net investment income/(loss)
to average net assets, including
waivers ................................. 0.18%*** (0.24)% 1.43% 2.79% 1.84% 1.53%
Ratio of net investment income/(loss)
to average net assets, excluding
waivers ................................. (0.75)%*** (0.86)% 0.90% 2.75% 1.84% 1.53%
Portfolio turnover rate .................... 23.71%** 9.80% 3.11% 11.01% 9.74% 7.47%
----------
* Less than $(0.005) per share.
** Not annualized.
*** Annualized.
See Notes to Financial Statements.
10
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 28, 2011
(UNAUDITED)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The RBB Fund, Inc. ("RBB" or the "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 eighteen active investment portfolios, including
the Senbanc Fund (the "Fund"). As of the date hereof, the Fund offers one class
of shares and is a non-diversified fund.
RBB has authorized capital of one hundred billion shares of common stock of
which 79.373 billion shares are currently classified into one hundred and
thirty-three classes of common stock. Each class represents an interest in an
active or inactive RBB investment portfolio.
The Fund commenced operations on July 8, 1999, as a separate portfolio (the
"Predecessor Fund") of the Hilliard Lyons Research Trust. After the close of
business 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 New York Stock Exchange
("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 the National Association of
Securities Dealers Automatic Quotation System ("NASDAQ") market system where
they are primarily traded. Equity securities traded in the over-the-counter
market are valued at their closing prices. If there were no transactions on that
day, securities traded principally on an exchange or on NASDAQ will be valued at
the mean of the last bid and ask prices prior to the market close. Fixed income
securities having a remaining maturity of greater than 60 days are valued using
an independent pricing service. Fixed income securities having a remaining
maturity of 60 days or less are valued under the amortized cost method, which
approximates fair value. Investments in other open-end investment companies are
valued based on the NAV of the investment companies (which may use fair value
pricing as discussed in their prospectuses). If market quotations are
unavailable or deemed unreliable, securities will be valued in accordance with
procedures adopted by the Company's Board of Directors. Relying on prices
supplied by pricing services or dealers or using fair valuation may result in
values that are higher or lower than the values used by other investment
companies and investors to price the same investments.
FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure
fair value of the Fund's investments are summarized into three levels as
described below:
- Level 1 -- quoted prices in active markets for identical securities
- Level 2 -- other significant observable inputs (including quoted
prices for similar securities, interest rates, prepayment speeds,
credit risk, etc.)
- Level 3 -- significant unobservable inputs (including the Fund's own
assumptions in determining the fair value of investments)
See Notes to Financial Statements.
11
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
The inputs or methodology used for valuing securities are not necessarily an
indication of the risk associated with investing in those securities. A summary
of the inputs used to value the Fund's investments as of February 28, 2011 is
included with the Fund's Schedule of Investments.
At the end of each calendar quarter, management evaluates the Level 2 and Level
3 assets and liabilities, if any, for changes in liquidity, including but not
limited to: whether a broker is willing to execute at the quoted price, the
depth and consistency of prices from third party services, and the existence of
contemporaneous, observable trades in the market. Additionally, management
evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly
basis for changes in listings or delistings on national exchanges. Due to the
inherent uncertainty of determining the fair value of investments that do not
have a readily available market value, the fair value of the Fund's investments
may fluctuate from period to period. Additionally, the fair value of investments
may differ significantly from the values that would have been used had a ready
market existed for such investments and may differ materially from the values
the Fund may ultimately realize. Further, such investments may be subject to
legal and other restrictions on resale or otherwise less liquid than publicly
traded securities. For the six months ended February 28, 2011, there were no
transfers between Levels 1, 2 and 3 for the Fund.
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 and those differences could be significant.
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 of the Company are charged directly to the class, fund or fund
family (in proportion to net assets). Expenses incurred for all of the RBB funds
(such as directors' or professional fees) are charged to all funds in proportion
to their average net assets of RBB or in such other manner as the Company's
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 NAV 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 the
ex-dividend 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 of America.
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.
12
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a
bank demand deposit account to be cash equivalents. These investments represent
amounts held with financial institutions that are readily accessible to pay Fund
expenses or purchase investments. Cash and cash equivalents are valued at cost
plus accrued interest, which approximates market value.
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 from such claims is considered remote.
2. INVESTMENT ADVISER AND OTHER SERVICES
Hilliard Lyons Research Advisors (the "Adviser"), a division of J.J.B. Hilliard,
W.L. Lyons, LLC, provides management and investment advisory services to the
Fund pursuant to an investment advisory agreement with the Company. For its
services, the Adviser is paid a monthly fee at the annual rate of 0.60% of the
Fund's average daily net assets.
The Adviser has voluntarily agreed to limit the Fund's total operating expenses
to 1.75%. This limit is calculated daily based on the Fund's average daily net
assets. This limitation is effected in waivers of advisory fees and
reimbursement of expenses exceeding the advisory fees as necessary. The Fund
will not pay the Adviser at a later time for any amounts waived or any amounts
assumed. The Adviser may terminate the voluntary limit at any time upon notice
to the Company's Board of Directors.
BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as administrator
for the Fund. For providing administrative and accounting services, BNY Mellon
is entitled to receive a monthly fee equal to an annual percentage rate of the
Fund's average daily net assets subject to certain minimum monthly fees.
Included in the administration and accounting fees shown on the Statement of
Operations are fees for providing regulatory administration services to RBB. For
providing those services, BNY Mellon is entitled to receive compensation as
agreed to by the Company and BNY Mellon. This fee is allocated to the Fund in
proportion to its net assets of the Company.
In addition, BNY Mellon serves as the Fund's transfer and dividend disbursing
agent. For providing transfer agent services, BNY Mellon is entitled to receive
a monthly fee equal to an annual percentage rate of the Fund's average daily net
assets subject to certain minimum monthly fees.
PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York Mellon
Corp. and provides certain custodial services to the Fund. PFPC Trust is
entitled to receive a monthly fee equal to an annual percentage rate of the
Fund's average daily net assets and is subject to certain minimum monthly fees.
BNY Mellon Distributors Inc. ("BNY Mellon Distributors") provides certain
administrative services to the Fund. The Board of Directors has adopted a
distribution plan pursuant to Rule 12b-1 under the 1940 Act, to allow the Fund
to reimburse BNY Mellon Distributors 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 BNY Mellon
Distributors for such expenses. For the six months ended February 28, 2011, BNY
Mellon Distributors earned $382 in underwriting concessions.
13
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
Commissions on sales of $2,798 were paid by the Adviser for the six months ended
February 28, 2011.
Fund shares are subject to a maximum front-end sales charge of 2.25%. There is
no sales charge on share purchases of $1 million or more; however, a 1%
contingent deferred sales charge is imposed in the event of redemption within 12
months following any such purchase.
3. DIRECTOR COMPENSATION
The Directors of the Company receive an annual retainer, meeting fees and out of
pocket expenses for meetings attended. The remuneration paid to the Directors by
the Fund during the six months ended February 28, 2011 was $3,200. Certain
employees of BNY Mellon are Officers of the Company. They are not compensated by
the Fund or the Company.
4. INVESTMENT IN SECURITIES
For the six months ended February 28, 2011, aggregate purchases and sales of
investment securities (excluding short-term investments) were as follows:
Investment Securities
-----------------------
Purchases Sales
--------- ----------
$5,569,685 $8,396,330
5. FEDERAL INCOME TAX INFORMATION
Management has analyzed the Fund's tax positions taken on federal income tax
returns for all open tax years (August 31, 2007-2010) and has concluded that no
provision for federal income tax is required in the Fund's financial statements.
The Fund's federal and state income and federal excise tax returns for tax years
for which the applicable statutes of limitations have not expired are subject to
examination by the Internal Revenue Service and state departments of revenue.
As of February 28, 2011, federal tax cost, aggregate gross unrealized
appreciation and depreciation of securities held by the Fund were as follows:
Cost of investments for tax purposes ....................... $25,662,046
-----------
Gross tax unrealized appreciation .......................... $ 2,024,864
Gross tax unrealized depreciation .......................... (4,559,055)
-----------
Net tax unrealized depreciation on investments ............. $(2,534,191)
===========
Distributions to shareholders from net investment income and realized gains are
determined in accordance with federal income tax regulations, which may differ
from net investment income and realized gains recognized for financial reporting
purposes. Accordingly, the character of distributions and composition of net
assets for tax purposes may differ from those reflected in the accompanying
financial statements. To the extent these differences are permanent, such
amounts are reclassified within the capital accounts based on the tax treatment;
temporary differences do not require such reclassification.
14
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEBRUARY 28, 2011
(UNAUDITED)
The tax character of dividends and distributions paid were as follows:
FOR THE
YEARS ENDED
AUGUST 31, 2010
---------------
Distributions paid from:
Ordinary income ................................ $145,047
Long-term capital gains ........................ --
Return of Capital .............................. 32,914
--------
$177,961
========
Dividends paid from short-term capital gains are treated as ordinary income
dividends for federal income tax purposes.
For federal income tax purposes, capital loss carryforwards are available to
offset future capital gains. As of August 31, 2010, the Fund had a capital loss
carryforward of $21,028,861 that will expire as follows:
August 31, 2018 ............................. $ 6,562,067
August 31, 2017 ............................. $14,466,794
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, 2010, the Fund deferred
post-October capital losses of $13,480,599.
6. INDUSTRY CONCENTRATION RISK
Since the Fund's investments are concentrated in the banking industry, as well
as certain single large portfolio holdings, they are subject to risks in
addition to those that apply to the general equity market. Events may occur that
significantly affect the entire banking industry or single security; 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 or smaller
concentrations in single issuers.
7. NEW ACCOUNTING PRONOUNCEMENT
In January 2010, the Financial Accounting Standards Board ("FASB") issued
Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about
Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards
Codification Topic 820, Fair Value Measurements and Disclosures, to require
additional disclosures regarding fair value measurements. Certain disclosures
required by ASU No. 2010-06 are effective for interim and annual reporting
periods beginning after December 15, 2009, and other required disclosures are
effective for fiscal years beginning after December 15, 2010, and for interim
periods within those fiscal years. Management has evaluated the impact and has
incorporated the appropriate disclosures required by ASU No. 2010-06 in its
financial statement disclosures.
15
SENBANC FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
FEBRUARY 28, 2011
(UNAUDITED)
8. SUBSEQUENT EVENT
Management has evaluated the impact of all subsequent events on the Fund through
the date the financial statements were issued, and has determined that there
were the following subsequent events:
On April 12, 2011, the Board of Directors of the Company (the "Board") approved
a plan of liquidation and termination ("Plan") providing for the liquidation of
the Fund. Effective immediately, new account requests, exchanges into the Fund
and purchase orders for Fund shares will no longer be permissible (other than
those purchase orders received through dividend reinvestment). On or about July
29, 2011 (the "Liquidation Date"), the Fund will redeem all investors' shares at
net asset value, and the Fund will terminate. Prior to the Liquidation Date, the
Fund may begin liquidating securities and the Fund may invest all or part of the
proceeds from the liquidation of portfolio securities in cash equivalent
instruments or hold the proceeds in cash. As disclosed in the Prospectus, the
Fund is permitted to depart from its stated investment objective and policies
and to hold up to 100% of assets, as a temporary defensive measure, in cash or
debt or money market instruments. During this time, the Fund may not achieve its
investment objective.
Until the Liquidation Date, shareholders may redeem their shares in the manner
set forth in the Fund's current prospectus. The redemption of your shares will
generally be considered a taxable event.
16
SENBANC FUND
OTHER INFORMATION
FEBRUARY 28, 2011
(UNAUDITED)
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 are available without charge, upon request by
calling Senbanc Fund at (800) 444-1854, at www.hilliard.com and on the SEC's
website at http://www.sec.gov.
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 (202) 551-8090.
CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP ("D&T") was replaced as the independent registered public
accounting firm to the Fund effective upon the completion of services related to
the audit for the Fund's 2010 fiscal year. The Company's Audit Committee
participated in, and approved, the decision to change auditors. D&T's reports on
the Fund's financial statements for the fiscal years ended August 31, 2010 and
August 31, 2009 contained no adverse opinion or disclaimer of opinion nor were
they qualified or modified as to uncertainty, audit scope or accounting
principles. During the Fund's fiscal years ended August 31, 2010 and August 31,
2009 and through November 11, 2010, (i) there were no disagreements with D&T on
any matter of accounting principles or practices, financial statement disclosure
or auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of D&T, would have caused it to make reference to the subject
matter of the disagreements in connection with its reports on the Fund's
financial statements for such years, and (ii) there were no "reportable events"
of the kind described in Item 304(a)(1)(v) of Regulation S-K under the
Securities Exchange Act of 1934, as amended.
On November 11, 2010, the Company by action of its Board of Directors upon the
recommendation of the Company's Audit Committee engaged PricewaterhouseCoopers
LLP ("PwC") as the independent registered public accounting firm to audit the
Fund's financial statements for the fiscal year ending August 31, 2011. During
the Fund's fiscal years ended August 31, 2010 and August 31, 2009 and through
November 11, 2010, neither the Company, its portfolios nor anyone on their
behalf has consulted PwC on items which (i) concerned the application of
accounting principles to a specified transaction, either completed or proposed,
or the type of audit opinion that might be rendered on the Fund's financial
statements or (ii) concerned the subject of a disagreement (as defined in
paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as
described in paragraph (a)(1)(v) of said Item 304). PwC also serves as
independent registered public accounting firm for certain of the Company's other
portfolios.
17
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INVESTMENT ADVISER
Hilliard Lyons Research Advisors
500 West Jefferson Street
Louisville, KY 40202
ADMINISTRATOR
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
4400 Computer Drive
Westborough, MA 01581
UNDERWRITER
BNY Mellon Distributors Inc.
760 Moore Road
King of Prussia, PA 19406
CUSTODIAN
PFPC Trust Company
301 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103-7042
LEGAL COUNSEL
Drinker Biddle & Reath LLP
One Logan Square, Ste. 2000
Philadelphia, PA 19103-6996
(HILLIARD LYONS LOGO)
SENBANC FUND
SENBANC
OF THE RBB FUND, INC.
SEMI-ANNUAL REPORT
FEBRUARY 28, 2011
(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. Shares of Senbanc Fund are distributed by BNY
Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406.
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. INVESTMENTS.
(a) Schedule of Investments in securities of unaffiliated issuers as of the
close of the reporting period is included as part of the report to
shareholders filed under Item 1 of this Form.
(b) Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders
may recommend nominees to the registrant's board of directors, where those
changes were implemented after the registrant last provided disclosure in
response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR
229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)),
or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The registrant's principal executive 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/ Salvatore Faia
------------------------------------------
Salvatore Faia, President
(principal executive officer)
Date April 21, 2011
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/ Salvatore Faia
------------------------------------------
Salvatore Faia, President
(principal executive officer)
Date April 21, 2011
By (Signature and Title)* /s/ Joel Weiss
------------------------------------------
Joel Weiss, Treasurer
(principal financial officer)
Date April 21, 2011
* Print the name and title of each signing officer under his or her
signature.