-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, VNAryxS1Nj5phsJJHZKc5SJZyYNVXx407hGDhboNjAn8EMfdqvkUyRBYudX3Sp1l Vk2X/CQ1WsXOzlkFcYYwFQ== 0000935069-00-000231.txt : 20000509 0000935069-00-000231.hdr.sgml : 20000509 ACCESSION NUMBER: 0000935069-00-000231 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000229 FILED AS OF DATE: 20000508 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RBB FUND INC CENTRAL INDEX KEY: 0000831114 STANDARD INDUSTRIAL CLASSIFICATION: [] FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05518 FILM NUMBER: 621943 BUSINESS ADDRESS: STREET 1: 400 BELLEVUE PKWY STE 100 CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 3027911791 MAIL ADDRESS: STREET 1: 103 BELLEVUE PKWY STREET 2: SUITE 152 CITY: WILMINGTON STATE: DE ZIP: 19809 FORMER COMPANY: FORMER CONFORMED NAME: FUND INC /DE/ DATE OF NAME CHANGE: 19600201 N-30D 1 BOSTON PARTNERS FAMILY OF FUNDS SEMI-ANNUAL REPORT [Boston Partners Asset Management, L.P. Logo omitted] - -------------------------------------------------------------------------------- BOSTON PARTNERS FAMILY OF FUNDS LARGE CAP VALUE FUND MIDCAP VALUE FUND SMALL CAP VALUE FUND II MARKET NEUTRAL FUND BOND FUND Semi-Annual Report February 29, 2000 BOSTON PARTNERS FAMILY OF FUNDS PORTFOLIO MANAGER'S LETTER March 15, 2000 Dear Shareholder: The decade of the 1990's will be remembered as one of the most successful ten year periods in stock market history. New records were set, historical precedence was broken, and we believe the future looks very bright, if not a little volatile. Many investors think we are in an era when double-digit returns are the norm and triple digit returns are possible on individual stocks. They believe the "old" rules no longer apply and a long-term approach toward investing is out-of-date. Although the rules may seem to be constantly changing, we would argue that they are not all obsolete. In fact, we believe the most important rules still do apply. We believe investment experience does matter, earnings are important to a company's long term viability and a long term approach is essential to consistent returns. As investors with both professional and personal interests in the markets, we enjoyed the 1990's. Yes, our value style was out of favor in the closing years, but for the most part, in our opinion, we have put together a very strong track record. Additionally, given the momentum that we experienced in the closing months of 1999 and early 2000, we believe that some of the old rules may reassert themselves. We are firm believers that it is NOT going to be different this time. Please take a moment to read the investment discussion of each of the Boston Partners Funds. We hope each discussion will provide the market details as well as why we are confident Boston Partners Funds and our value investment process will impress again. BOSTON PARTNERS LARGE CAP VALUE FUND The fourth quarter of 1999 and the first two months of 2000 were representative of the recent period that feasted on technology and ignored most everything else. For the period the S&P 500 returned over 4%, primarily on the strength of Cisco Systems, Oracle Corp., Intel, Sun Microsystems and other mega-cap technology names. In fact, 13 of the top 20 contributors to returns this period were technology stocks. Their average return for the period was 146%. As such, we believe the theme that emerged in the last six months was not growth vs. value, but technology versus the rest of the market. In order to keep pace with the broad market this recent period, investors had to be heavily weighted in technology. With the technology sector selling at a lofty 54 times last year's earnings, we believe even some growth investors suffered from acrophobia. It is interesting to note that the returns of the two large capitalization Russell style indices were about the same for 1999, exclusive of technology. Add back technology, and the growth index won by nearly 25 percentage points. We believe performance for the Boston Partners Large Cap Value Fund this six month period through February 29, 2000 was strong, relative to the Russell 1000 Value index, but lagging the technology laden S&P 500. We attribute our returns this period to good stock selection. A number of companies that we have owned for awhile started to rebound as investors once again rewarded those companies with positive earnings fundamentals. We realize that most of the stocks in our Large Cap Value Fund are not as sexy as those leading the market. However, we believe these "old-fashioned" companies seem to be where investors are beginning to seek refuge. We had been expecting this resurgence and believe it will continue. Notable contributors in the "Large Cap" portfolio were traditional value sectors such as Basic Industries and Utilities. In Basics, it was paper companies and aluminum companies that added to performance, while in Utilities, it was primarily the telecommunications companies. Common to both sectors was industry consolidation, a theme that has been rewarded when improving a company's competitive positioning and ultimately its earnings. Technology was also a very strong sector. The leaders in the market in general were the high priced technology stocks such as Microsoft and Cisco Systems. However, staying true to our value style we were successful with lower priced (low P/E, P/B) companies like National Semiconductor and Hitachi. By way of comparison, the average weighted P/E of our technology sector is approximately 27x versus 42x for the S&P's technology sector. Throughout 1999 and into the year 2000, Boston Partners has maintained a commitment to building a portfolio of stocks that represents attractive valuation characteristics. The current portfolio continues to sell at a significant discount on a price to earnings and price to book basis versus both the S&P 500 and the Russell 1000 Value. What we believe has prevented the portfolio from keeping pace with the broader market is the continued strength in all issues related to the dot-com mania. As market breadth increases, based primarily on the positive earnings of cyclical stocks, we believe the value style of investing, and the Boston Partners portfolio, should benefit. With the Federal Reserve raising rates, we expect that the tech sector will eventually come back to earth. BOSTON PARTNERS MID CAP VALUE FUND The month of February marked the fourth straight month of extremely strong returns for mid cap investing. Unfortunately, it also marks the fourth straight month of a very narrow market in which growth, specifically technology and biotechnology sectors posted exceptionally high returns. On the whole, small stocks beat large stocks and growth outperformed value for the month. INDEX FEBRUARY 3 MONTH 6 MONTH - ------ ---------- --------- --------- Russell 2500 14.44% 23.94% 31.81% Russell 2500 Value 1.73% 0.82% (0.72)% Russell 2500 Growth 25.65% 48.52% 75.38% Russell Mid Cap 7.69% 13.28% 17.76% Russell Mid Cap Value (4.18)% (7.50)% (11.24)% Russell Mid Cap Growth 21.02% 41.95% 67.32% Looking deeper into the numbers, you will find in the Russell 2500 Value index only 718 out of 1582 securities in the index had a positive return for the month of February. The median stock in the index returned -1.32%. The top stock, P/E Corporation - Celera Genomics, with a market capitalization of $12.7 billion, which comprises 1.32% of the index, returned 143% for the month. Certainly, the value index is benefiting from growth-orientated technology and biotechnology names that happen to be in the index. This imbalance will not be corrected until Russell rebalances the index this summer. Investors are currently chasing stocks that have the highest earnings multiples, if they have earnings at all. If you purchased the most expensive quintile of stocks in the Russell 2500 Value index at the beginning of the year, your two-month return would have been 32.26%! Purchasing more rationally priced stocks would have yielded a negative return, as shown in the table below. In eight out of thirteen sectors, owning the highest priced sectors produced the greatest return, while the lower you move down the valuation scale the worse the performance fared. For those investors who have not strayed from their value disciplines it has been a frustrating market. 2 PERFORMANCE ATTRIBUTION BY P/E RATIO OF THE RUSSELL 2500 VALUE JANUARY 1, 2000 - FEBRUARY 29, 2000 -------------------------------------------------------- P/E (FROM HIGHEST TO LOWEST) WEIGHTING RETURN CONTRIBUTION EXPENSIVE ----------------- --------- ------ ------------ --------- Quintile 1: >32.6x and higher 18.25% 32.26% 5.40% Most Expensive Quintile 2: 13.1 - 32.5x 20.10% 1.10% 0.22% Quintile 3: 10.1 - 13.1x 18.64% (9.86)% (1.91)% Quintile 4: 7.7 - 10.1x 17.29% (13.31)% (2.43)% Quintile 5: 1.9 - 7.7x 14.96% (22.48)% (3.78)% Least Expensive *N/A 10.76% (0.80)% (0.08)% Total Return 100.00% (2.51)% (2.51)% - ------------ *N/A represents companies which IBES has stopped reporting on, foreign companies or companies that are no longer traded. We believe the markets are eschewing traditional investment principles in favor of speculative stories, creating a bifurcated market. There now exists a small set of extremely expensive stocks, which are driving index returns. We view the valuations of these stocks as unsustainably high. On the other hand, many mid cap companies with excellent growth and return characteristics are trading at extremely inexpensive valuations. These companies are taking advantage of their low stock prices by buying back stock, in some cases taking themselves private. We believe this unique market cannot last indefinitely. Mid cap value stocks are posting extremely strong operating results, merger and acquisition activity is on the rise, and companies are seeking creative ways to increase shareholder value. WE BELIEVE TODAY'S VALUATION DISPARITY CREATES ONE OF THE MOST COMPELLING CASES FOR ADDING TO OR CREATING A NEW VALUE POSITION. BOSTON PARTNERS SMALL CAP VALUE FUND II (formerly the Boston Partners Micro Cap Value Fund) Boston Partners has attempted to better position the Fund in the small cap value equity marketplace by increasing its market capitalization range to $1 billion from $500 million and changing its benchmark to the Russell 2000 Value Index. The name of the Fund changed to the Small Cap Value Fund II to reflect its new market capitalization range and benchmark. While year to date performance for the Boston Partners Small Cap Value Fund II remains positive, the frustration in the marketplace as a value investor continues. The themes discussed above hold true for the small cap value sector of the marketplace. Growth stocks continue to outperform value stocks for the six month period as well as year to date, largely driven by the technology and healthcare sectors. We continue to believe that the technology sector is significantly overvalued, and that expectations for earnings growth within this sector are excessive. Even within the value indexes, the more expensive stocks are outperforming, while more traditional value stocks based on lower price to earnings and price to book ratios, have given up ground. Strong stock selection in the Consumer Services sector added to performance over the past six months as our retailers benefited from improving comparative store sales and increased earnings over the holiday season. The finance sector continues to disappoint in the small cap value area. Our portfolio has increased its finance weighting as the Boston Partners Small Cap Value Fund II has found candidates with strong balance sheets and a catalyst for change that we believe will improve the value of these banks, brokers and insurers over the next 6 to 12 months. These catalysts include accelerating stock buybacks by larger companies, increased merger and acquisition activity, and leveraged buyout activity. 3 Our goal with the Boston Partners Small Cap Value Fund II is to create a portfolio of undervalued stocks that we believe will move from being "undervalued" to "properly valued" over the next 6-12 months. The portfolio will attempt to consistently have price to earnings and price to book ratios that are at a discount to the Fund's index, and at no time hold high price to earnings growth stocks. We expect to be rewarded handsomely when the market returns to some normalcy. BOSTON PARTNERS MARKET NEUTRAL FUND The market environment of the past six months of Technology stocks outperforming everything else has been well documented above. Like all of Boston Partners' portfolios, the Market Neutral Fund is based on a value philosophy and process. Our losses over the past six months reflect the divergence between growth and value in the market that we believe has reached astronomical levels. In general, we have purchased value stocks and sold short growth stocks. This process, while fundamentally solid, has proven futile. The following chart reflects the divergence between growth and value that has accelerated over the past six months. SIX MONTH PERFORMANCE ENDING 2/29/00 SPREAD ------------------------------------ ------ Russell 1000 Value (8.88)% Russell 1000 Growth 22.35% 31.23% Russell 2000 Value 2.82% Russell 2000 Growth 66.04% 63.22% Our Market Neutral Fund invests long in stocks that we believe are undervalued with sound business fundamentals and positive business momentum. We will sell short stocks that we believe are overvalued with deteriorating business fundamentals and declining business trends. In the last six months technology stocks (more specifically internet stocks) that were overvalued and had weak balance sheets or earnings, continued to perform well. Our lack of exposure to this sector on the long side as well as our exposure on the short side of the Market Neutral Fund was a major reason for our underperformance. While we do not know when this phenomena will change, we do recognize, as most intelligent investors have, that these companies' prices cannot continue to grow. At some point in time, we expect fundamentals will become important again. This is when we believe the Boston Partners Market Neutral Fund will excel. The short holdings in the Boston Partners Market Neutral Fund have added basis points to the Fund. During the most recent period we have found an abundance of stocks whose market values were expensive, with financial statements that were unimpressive, and whose trends towards improvements in their business were negative. Within the last month we took advantage of the collapse of some biotech names, and as the market unwinds we expect to find more opportunities on the short side of this portfolio. BOSTON PARTNERS BOND FUND The Boston Partners Bond Fund returned 1.36% for the past six months. Our objective of remaining duration and yield curve neutral (+/-5% at all times), and using corporates and mortgages to "outyield the Lehman Aggregate", has been in place since the inception of the Fund, and has proven quite frustrating of late. Spread product has lagged Treasuries as a flight to quality has increased the yield premium on corporates and mortgages. Bond prices diverged during the recent period. Treasury bond prices rose, despite three recent Federal Reserve rate hikes, and due to the Treasury's initial and pending buyback program. In contrast, corporate and mortgage prices fell as investors shifted into Treasuries. These sectors were also indirectly hurt by Treasury department comments casting doubt on the government's implicit guarantee for GSE (government sponsored entity) debt such as Federal National Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC) debt. Since these debt issues were just heralded as the next lowest-risk benchmark, the markets gyrated on uncertainty about their ultimate credit quality. Spurred by strong Treasury prices, the broad Lehman Aggregate index returned 1.92% for the past 6 months. 4 The Treasury buybacks come from budget surpluses and higher tax receipts boosted by the economic expansion and capital gains. And the economy continues to steam ahead. Coupled with tight labor markets, the current high growth rates portend further rate hikes in the months ahead. While rate hikes have pushed the Federal Funds up to 6%, the buyback program has pulled longer maturity rates lower -- inverting the Treasury yield curve. The two-, five-, ten-, and thirty-year Treasury yields are 6.48%, 6.32%, 6.02%, and 5.84%, respectively. With few signs of a slower growth, we expect the inversion of the Treasury yield curve to continue. This implies further volatility in the spread sectors, because it prolongs the period of tighter monetary policy. Facing bullish equity valuations, low savings rates, and increased leverage, the markets will likely face bouts of anxiety over how this business cycle will eventually end. Treasury rates fell much further than corporate or mortgage rates, resulting in wider yield spreads. Some corporate spreads are now wider than levels reached during the 1998 liquidity crisis. Swap, credit, and mortgage spreads widened commensurately, reflecting a general flight to quality and the withdrawal of liquidity from spread sectors that has prevailed since 1998. An additional concern is event risk involving corporate issuers with lagging stock prices. As a result, corporate and mortgage performance lagged during the quarter. The corporate and mortgage sectors remain fundamentally attractive. At February 29, 2000 the yields for mortgages, corporates, governments, and the Lehman Aggregate index were 7.78%, 7.85%, 6.66%, and 7.31%, respectively. The yield advantage of mortgages and corporates is significant, and all the rates offer attractive potential returns relative to recent inflation. With this in mind, though, we are altering the risk profile of portfolios to accommodate changes in our outlook. We have purchased TIPS (Treasury Inflation Protected Securities) to create shelter from further Federal Reserve rate hikes in the short end of portfolios. We are transferring corporate exposure from long maturities into short and intermediate maturities. This will help insulate the portfolio from further spread widening if the Treasury yield curve inverts further. Finally, we continue to emphasize GNMA passthroughs in our mortgage segment, because in contrast to FNMA or FHLMC passthroughs they benefit from an unqualified government guarantee. Our procedures include careful attention to yield curve exposure relative to benchmarks, sector weightings, and diversification. With minimal interest rate and yield curve exposure relative to the benchmark, the portfolio is significantly overweighted in the higher yielding mortgage and corporate sectors. Yield and the reinvestment of coupon income drive fixed income returns in the long run. Therefore, we remain committed to maintaining a yield advantage and tight risk controls as we believe it is the most consistent way to add value over time. 5 BOSTON PARTNERS FAMILY OF FUNDS LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- COMMON STOCK--97.7% AEROSPACE/DEFENSE--4.4% Boeing Co. (The) .............. 8,000 $ 295,000 Honeywell International, Inc. . 12,100 582,312 Litton Industries, Inc.* ...... 12,680 379,607 Northrop Grumman Corp. ........ 13,700 622,494 ----------- 1,879,413 ----------- BANKS & SAVINGS & LOANS--4.2% Bank One Corp. ................ 15,700 405,256 Chase Manhattan Corp. (The) ... 4,600 366,275 FleetBoston Financial Corp. ... 19,000 517,750 PNC Bank Corp. ................ 5,300 205,044 Toronto-Dominion Bank (The) ... 12,700 322,262 ----------- 1,816,587 ----------- CHEMICALS--1.1% Rohm and Haas Co. ............. 11,800 476,425 ----------- COMPUTERS, SOFTWARE & SERVICES--8.9% Compaq Computer Corp. ......... 8,000 199,000 Computer Associates International, Inc. ......... 16,000 1,029,000 Electronic Data Systems Corp. . 8,400 543,900 Hewlett-Packard Co. ........... 4,500 605,250 International Business Machines Corp. .............. 4,800 489,600 NCR Corp.* .................... 6,500 246,594 Seagate Technology, Inc.* ..... 13,200 658,350 Sterling Software, Inc.* ...... 1,500 53,812 ----------- 3,825,506 ----------- CONSTRUCTION & BUILDING MATERIALS--0.7% Ingersoll-Rand Co. ............ 8,200 314,162 ----------- DIVERSIFIED--2.9% Illinois Tool Works, Inc. ..... 15,000 775,312 Minnesota Mining and Manufacturing Co. ........... 5,600 493,500 ----------- 1,268,812 ----------- NUMBER OF SHARES VALUE --------- ----- ELECTRIC UTILITIES--2.6% Niagara Mohawk Holdings, Inc.* 22,500 $ 264,375 PECO Energy Co. ............... 16,000 597,000 Unicom Corp. .................. 6,900 260,906 ----------- 1,122,281 ----------- ENTERTAINMENT--3.1% MediaOne Group, Inc.* ......... 14,100 1,106,850 Park Place Entertainment Corp.* 20,200 228,512 ----------- 1,335,362 ----------- FINANCIAL SERVICES--9.0% Citigroup, Inc. ............... 21,400 1,106,112 Countrywide Credit Industries, Inc. ........................ 17,200 428,925 Fannie Mae .................... 16,300 863,900 Freddie Mac ................... 30,800 1,285,900 SLM Holding Corp. ............. 6,600 206,662 ----------- 3,891,499 ----------- FOOD & BEVERAGE--1.8% Nabisco Holdings Corp., Class A 14,100 412,425 Quaker Oats Co. (The) ......... 6,900 372,169 ----------- 784,594 ----------- INSURANCE--7.9% Ace Ltd. ...................... 59,495 1,063,473 Allmerica Financial Corp. ..... 10,380 433,365 American International Group, Inc. ........................ 4,375 386,914 CIGNA Corp. ................... 15,300 1,129,331 Marsh & McLennan Companies, Inc. ............. 2,900 224,388 St. Paul Companies, Inc. (The) 7,400 165,575 ----------- 3,403,046 ----------- MACHINERY & ENGINEERING--1.0% Deere & Co. ................... 12,600 450,450 ----------- MEDICAL SUPPLIES--4.3% Bausch & Lomb, Inc. ........... 1,400 73,850 Baxter International, Inc. .... 18,500 1,008,250 Kimberly-Clark Corp. .......... 15,000 775,312 ----------- 1,857,412 ----------- The accompanying notes are an integral part of the financial statements. 6 BOSTON PARTNERS FAMILY OF FUNDS LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- METALS & MINING--1.2% Alcan Aluminium Ltd. .......... 16,100 $ 531,300 ----------- OIL & GAS EXPLORATION--4.9% Burlington Resources, Inc. .... 25,300 698,913 Diamond Offshore Drilling, Inc. 7,800 247,650 El Paso Energy Corp. .......... 11,100 411,394 Kerr-McGee Corp. .............. 8,109 362,878 Noble Drilling Corp.* ......... 10,900 392,400 ----------- 2,113,235 ----------- OIL SERVICES--9.7% Baker Hughes, Inc. ............ 17,200 445,050 Conoco, Inc., Class B ......... 56,563 1,113,584 Halliburton Co. ............... 14,300 546,081 Occidental Petroleum Corp. .... 34,400 552,550 Tosco Corp. ................... 33,505 896,259 Total Fina SA ................. 5,700 382,613 USX-Marathon Group ............ 11,100 240,038 ----------- 4,176,175 ----------- PAPER & FORESTRY PRODUCTS--2.4% Abitibi-Consolidated, Inc. .... 17,200 152,650 Temple-Inland, Inc. ........... 7,100 362,988 Weyerhaeuser Co. .............. 9,700 497,731 ----------- 1,013,369 ----------- PHARMACEUTICALS--2.1% American Home Products Corp. .. 16,500 717,750 Aventis SA .................... 3,600 187,200 ----------- 904,950 ----------- PUBLISHING & INFORMATION SERVICES--2.0% Harcourt General, Inc. ........ 19,200 661,200 Tribune Co. ................... 5,300 206,369 ----------- 867,569 ----------- NUMBER OF SHARES VALUE --------- ----- REAL ESTATE--2.5% Avalonbay Communities, Inc. ... 5,400 $ 182,250 Equity Office Properties Trust 11,600 277,675 Equity Residential Properties Trust ....................... 5,500 219,656 Mack-Cali Realty Corp. ........ 4,800 114,000 MeriStar Hospitality Corp. .... 5,330 84,947 Prentiss Properties Trust ..... 4,840 99,523 RFS Hotel Investors, Inc. ..... 7,340 77,988 ----------- 1,056,039 ----------- RETAIL TRADE--3.7% Circuit City Group ............ 5,900 238,213 CVS Corp. ..................... 12,900 451,500 Federated Department Stores, Inc.* ............... 4,600 168,763 Office Depot, Inc.* ........... 46,650 568,547 Toys "R" Us, Inc.* ............ 12,600 155,925 ----------- 1,582,948 ----------- TELECOMMUNICATIONS & EQUIPMENT--14.2% 3Com Corp.* ................... 10,900 1,068,200 Bell Atlantic Corp. ........... 16,300 797,681 BellSouth Corp. ............... 22,500 916,875 GTE Corp. ..................... 14,700 867,300 Nippon Telegraph & Telephone Corp. (NTT) ....... 8,700 591,600 SBC Communications, Inc. ...... 29,675 1,127,650 Sprint Corp. .................. 12,600 768,600 ----------- 6,137,906 ----------- TEXTILES & APPAREL--0.8% Liz Claiborne, Inc. ........... 9,300 348,169 ----------- TOBACCO--2.3% Loews Corp. ................... 9,050 402,725 UST, Inc. ..................... 31,300 604,481 ----------- 1,007,206 ----------- TOTAL COMMON STOCK (Cost $47,161,863) ........ 42,164,415 ----------- The accompanying notes are an integral part of the financial statements. 7 BOSTON PARTNERS FAMILY OF FUNDS LARGE CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 29, 2000 (UNAUDITED) PAR (000) VALUE ----- ----- SHORT-TERM INVESTMENTS--1.8% Rodney Square Cash Reserve 5.570% 03/01/00 ............. $762 $ 761,763 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $761,763) ........... 761,763 ----------- TOTAL INVESTMENTS--99.5% (Cost $47,923,626) ............ 42,926,178 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.5% .......... 210,771 ----------- NET ASSETS--100.0% ............... $43,136,949 =========== - ------------- *Non-income producing. The accompanying notes are an integral part of the financial statements. 8 BOSTON PARTNERS FAMILY OF FUNDS MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- COMMON STOCK--98.3% AEROSPACE/DEFENSE--3.8% B.F. Goodrich Co. ........... 37,800 $ 904,837 Litton Industries, Inc.* .... 77,956 2,333,808 Northrop Grumman Corp. ...... 44,600 2,026,512 ------------ 5,265,157 ------------ BANKS & SAVINGS & LOANS--4.1% Astoria Financial Corp. ..... 78,010 1,857,613 Dime Bancorp., Inc. ......... 110,400 1,345,500 Hibernia Corp. .............. 107,200 971,500 Imperial Bancorp.* .......... 36,180 931,635 UnionBanCal Corp. ........... 19,700 632,862 ------------ 5,739,110 ------------ BUSINESS & PUBLIC SERVICES--1.7% Robert Half International, Inc. 55,700 2,353,325 ------------ COMMUNICATIONS & MEDIA--1.6% Chris-Craft Industries, Inc.* 26,200 1,724,288 Meredith Corp. .............. 17,000 486,625 ------------ 2,210,913 ------------ COMPUTERS, SOFTWARE & SERVICES--12.1% Adaptec, Inc. ............... 16,400 672,400 Autodesk, Inc. .............. 85,700 3,829,719 NCR Corp.* .................. 79,300 3,008,444 Network Associates, Inc.* ... 54,400 1,655,800 Sterling Commerce, Inc.* .... 26,700 1,169,794 Sterling Software, Inc. ..... 79,200 2,841,300 SunGard Data Systems, Inc.* . 93,600 2,808,000 Synopsys, Inc.* ............. 18,700 746,831 ------------ 16,732,288 ------------ CONSTRUCTION & BUILDING MATERIALS--4.8% D.R. Horton, Inc. ........... 41,400 465,750 Lafarge Corp. ............... 49,300 970,594 Martin Marietta Materials, Inc. 37,700 1,338,350 Southdown, Inc. ............. 78,700 3,905,487 ------------ 6,680,181 ------------ NUMBER OF SHARES VALUE --------- ----- ELECTRIC UTILITIES--4.4% Citizens Utilities Co., Class B 67,500 $ 1,029,375 GPU, Inc. ................... 82,600 2,054,675 Niagara Mohawk Holdings, Inc. 258,900 3,042,075 ------------ 6,126,125 ------------ ELECTRONIC COMPONENTS & INSTRUMENTS--0.7% Cypress Semiconductor Corp.* 22,600 1,031,125 ------------ ENERGY--8.1% Columbia Energy Group ....... 37,500 2,212,500 DQE, Inc. ................... 38,900 1,808,850 Dynegy, Inc. ................ 52,026 2,438,719 Energy East Corp. ........... 64,400 1,352,400 Millipore Corp. ............. 23,500 1,255,781 NiSource, Inc. .............. 54,900 710,269 Sempra Energy ............... 81,900 1,474,200 ------------ 11,252,719 ------------ FINANCIAL SERVICES--2.8% Dun & Bradstreet Corp. ...... 50,800 1,330,325 H&R Block, Inc. ............. 56,700 2,487,712 ------------ 3,818,037 ------------ FOOD & BEVERAGE--3.4% International Home Foods, Inc.* 60,400 1,023,025 Keebler Foods Co.* .......... 144,500 3,666,687 ------------ 4,689,712 ------------ HEALTHCARE--1.3% Health Management Associates, Inc., Class A* ............ 72,400 778,300 Wellpoint Health Networks, Inc.* ..................... 15,400 1,039,500 ------------ 1,817,800 ------------ The accompanying notes are an integral part of the financial statements. 9 BOSTON PARTNERS FAMILY OF FUNDS MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- INSURANCE--10.6% Ace Ltd. .................... 172,500 $ 3,083,437 Allmerica Financial Corp. ... 92,900 3,878,575 Everest Reinsurance Holdings, Inc. ...................... 76,092 1,869,010 Jefferson-Pilot Corp. ....... 9,400 489,388 Nationwide Financial Services, Inc., Class A ............. 28,600 659,588 Protective Life Corp. ....... 64,000 1,408,000 ReliaStar Financial Corp. ... 120,400 3,363,675 ------------ 14,751,673 ------------ MEDICAL SUPPLIES--3.8% Bausch & Lomb, Inc. ......... 23,700 1,250,175 C.R. Bard, Inc. ............. 75,600 2,986,200 Sybron International Corp.* . 38,100 1,066,800 ------------ 5,303,175 ------------ MULTI-INDUSTRY--5.3% Dexter Corp. ................ 24,000 1,107,000 Pall Corp. .................. 22,400 442,400 Viad Corp. .................. 249,530 5,848,359 ------------ 7,397,759 ------------ OIL & GAS EXPLORATION--8.2% Amerada Hess Corp. .......... 50,300 2,543,294 Apache Corp. ................ 50,900 1,857,850 Devon Energy Corp. .......... 39,800 1,482,550 Diamond Offshore Drilling, Inc. 61,600 1,955,800 R & B Falcon Corp.* ......... 131,900 2,036,206 Union Pacific Resources Group, Inc. ............... 159,800 1,428,213 ------------ 11,303,913 ------------ PAPER & FORESTRY PRODUCTS--3.2% Abitibi-Consolidated, Inc. .. 88,800 788,100 Bowater, Inc. ............... 60,400 2,970,925 Mead Corp. .................. 21,700 649,644 ------------ 4,408,669 ------------ NUMBER OF SHARES VALUE --------- ----- PHARMACEUTICALS--2.7% Alza Corp.* ................. 19,400 $ 711,738 BioChem Pharma, Inc.* ....... 25,900 684,731 Mylan Laboratories, Inc. .... 58,800 1,352,400 Watson Pharmaceuticals, Inc.* 23,700 948,000 ------------ 3,696,869 ------------ PUBLISHING & INFORMATION SERVICES--3.8% Harcourt General, Inc. ...... 66,600 2,293,538 Reader's Digest Association, Inc., Class A ............. 88,000 3,025,000 ------------ 5,318,538 ------------ RETAIL TRADE--1.8% Office Depot, Inc.* ......... 148,800 1,813,500 ShopKo Stores, Inc. ......... 39,594 658,250 ------------ 2,471,750 ------------ SHIPBUILDING--2.9% Newport News Shipbuilding, Inc. 144,200 4,082,663 ------------ TELECOMMUNICATIONS--1.1% Harris Corp. ................ 45,900 1,463,062 ------------ TEXTILES & APPAREL--1.7% Liz Claiborne, Inc. ......... 64,100 2,399,744 ------------ TOYS--0.7% Hasbro, Inc. ................ 59,800 941,850 ------------ WHOLESALE-WAREHOUSE--3.7% BJ's Wholesale Club, Inc.* .. 141,022 4,371,682 Supervalu, Inc. ............. 44,700 768,281 ------------ 5,139,963 ------------ TOTAL COMMON STOCK (Cost $151,358,557) 136,396,120 ------------ The accompanying notes are an integral part of the financial statements. 10 BOSTON PARTNERS FAMILY OF FUNDS MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 29, 2000 (UNAUDITED) PAR VALUE (000) ----- ----- SHORT-TERM INVESTMENTS--2.3% Rodney Square Cash Reserve 5.570% 03/01/00 ........... $3,136 $ 3,135,916 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $3,135,916) ....... 3,135,916 ------------ TOTAL INVESTMENTS--100.6% (Cost $154,494,473) ......... 139,532,036 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(0.6%) ........ (814,709) ------------ NET ASSETS--100.0% ............. $138,717,327 ============ - ----------- *Non-income producing. The accompanying notes are an integral part of the financial statements. 11 BOSTON PARTNERS FAMILY OF FUNDS SMALL CAP VALUE FUND II "FORMERLY THE MICRO CAP VALUE FUND" PORTFOLIO OF INVESTMENTS FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- COMMON STOCK--99.1% AGRICULTURE--1.1% Agribrands International, Inc.* 500 $ 18,281 ---------- AIR TRANSPORT--0.8% Midwest Express Holdings, Inc.* 500 12,906 ---------- AUTOMOTIVE--2.4% Dollar Thrifty Automotive Group, Inc.* ..................... 700 9,187 Monaco Coach Corp.* ......... 500 9,000 National R.V. Holdings, Inc.* 600 7,800 Sonic Automotive, Inc.* ..... 1,400 11,987 ---------- 37,974 ---------- BANKS & SAVINGS & LOANS--4.3% Bank United Corp., Class A .. 500 13,094 IndyMac Mortgage Holdings, Inc.* 1,500 19,031 ITLA Capital Corp.* ......... 1,100 12,581 Local Financial Corp.* ...... 600 4,800 Ocwen Financial Corp.* ...... 1,500 8,906 SGV Bancorp., Inc.* ......... 500 11,156 ---------- 69,568 ---------- BUSINESS & PUBLIC SERVICES--9.9% Brady Corp. ................. 300 8,137 Hall Kinion & Associates, Inc.* 500 9,000 ITT Educational Services, Inc.* 800 9,600 National Processing Inc.* ... 4,000 35,250 RemedyTemp, Inc.* ........... 600 13,350 Right Management Consultants, Inc.* ..................... 2,400 26,400 Staff Leasing, Inc.* ........ 2,100 12,075 StaffMark, Inc.* ............ 2,600 29,250 Wackenhut Corrections Corp.* 1,600 15,700 ---------- 158,762 ---------- COMPUTERS, SOFTWARE & SERVICES--2.6% Maxtor Corp.* ............... 2,200 17,600 Quantum Corp.-Hard Disk Drive* 3,000 23,625 ---------- 41,225 ---------- NUMBER OF SHARES VALUE --------- ----- CONSTRUCTION & BUILDING MATERIALS--3.2% Dal-Tile International, Inc.* 1,800 $ 12,600 Encompass Services Corp.* ... 2,875 20,664 Granite Construction, Inc. .. 400 9,975 Material Sciences Corp.* .... 600 8,662 ---------- 51,901 ---------- CONSUMER PRODUCTS & SERVICES--3.5% Carey Intrnational, Inc.* ... 700 11,725 Gibson Greetings, Inc. ...... 1,300 10,481 Pittston Brink's Group ...... 700 12,512 Veterinary Centers of America, Inc.* ..................... 1,900 21,019 ---------- 55,737 ---------- ELECTRIC UTILITIES--1.6% CMP Group, Inc. ............. 300 8,475 El Paso Electric Co. ........ 1,800 17,212 ---------- 25,687 ---------- ELECTRONIC COMPONENTS & INSTRUMENTS--1.5% Analogic Corp ............... 300 14,550 PSC, Inc.* .................. 1,800 9,000 ---------- 23,550 ---------- FINANCIAL SERVICES--6.3% American Captial Strategies Ltd. 700 16,800 BNC Mortgage, Inc.* ......... 1,800 16,425 Brookline Bancorp., Inc. .... 600 5,662 Dain Rauscher Corp. ......... 400 22,550 FBR Asset Investment Corp. .. 1,400 14,000 Federal Agricultural Mortgage Corp.* ................... 600 10,087 John Nuveen Co. (The), Class A 300 10,350 MCM Capital Group, Inc.* .... 2,200 5,156 ---------- 101,030 ---------- FOOD & BEVERAGE--3.9% M & F Worldwide Corp.* ...... 2,900 14,138 Nature's Sunshine Products, Inc. 1,500 15,750 Rexall Sundown, Inc.* ....... 2,200 33,000 ---------- 62,888 ---------- The accompanying notes are an integral part of the financial statements. 12 BOSTON PARTNERS FAMILY OF FUNDS SMALL CAP VALUE FUND II "FORMERLY THE MICRO CAP VALUE FUND" PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- HEALTHCARE--3.4% Mid Atlantic Medical Services, Inc.* 800 $ 6,550 Osteotech, Inc.* ............ 800 12,850 ProVantage Health Services, Inc.* 5,000 35,938 ---------- 55,338 ---------- INDUSTRIAL GOODS & MATERIALS--1.5% Quixote Corp. ............... 1,800 24,300 ---------- INSURANCE--16.2% Annuity and Life Re (Holdings) Ltd. ........... 1,800 40,725 CNA Surety Corp. ............ 2,900 32,988 E. W. Blanch Holdings, Inc. . 400 18,800 Insurance Auto Auctions, Inc.* 3,800 59,850 IPC Holdings Ltd. ........... 700 8,225 Liberty Financial Companies, Inc. 1,000 19,312 MIIX Group, Inc. (The) ...... 1,000 11,625 Mutual Risk Management Ltd. . 1,500 20,625 NYMAGIC, Inc. ............... 600 8,625 PXRE Group Ltd. ............. 1,000 14,063 RenaissanceRe Holdings Ltd. . 200 7,575 Risk Capital Holdings, Inc.* 500 7,625 Terra Nova Holdings Ltd., Class A 500 10,813 ---------- 260,851 ---------- MACHINERY & ENGINEERING--0.7% Manitowoc Co., Inc. ......... 400 10,775 ---------- MANUFACTURING--4.8% CLARCOR, Inc. ............... 600 11,663 Griffon Corp.* .............. 1,500 12,563 Lindsay Manufacturing Co. ... 400 6,725 SpeedFam-IPEC, Inc.* ........ 900 25,931 SPS Technologies, Inc.* ..... 300 9,806 Toro Co. .................... 300 9,938 ---------- 76,626 ---------- MEDICAL SUPPLIES--2.2% ICU Medical, Inc.* .......... 1,400 21,700 Perrigo Co.* ................ 1,900 13,953 ---------- 35,653 ---------- NUMBER OF SHARES VALUE --------- ----- OIL & GAS EXPLORATION--2.6% Pennaco Energy, Inc.* ....... 1,400 $ 12,950 Swift Energy Co.* ........... 2,400 28,350 ---------- 41,300 ---------- OIL SERVICES--2.8% Atlas Pipeline Partners, L.P.* 700 8,138 Evergreen Resources, Inc.* .. 1,300 28,925 Tesoro Petroleum Corp.* ..... 800 7,400 ---------- 44,463 ---------- PHARMACEUTICALS--1.0% North American Vaccine, Inc.* 3,000 16,688 ---------- PUBLISHING & INFORMATION SERVICES--1.2% R.H. Donnelley Corp.* ....... 1,100 18,562 ---------- REAL ESTATE--8.6% Brookdale Living Communities, Inc.* ..................... 1,200 16,050 Capital Automotive REIT ..... 1,200 15,000 Commercial Net Lease Realty . 1,100 11,206 Imperial Credit Commercial Mortgage Investment Corp. . 3,500 40,031 Redwood Trust, Inc. ......... 1,900 22,919 Trammell Crow Co.* .......... 2,300 27,600 Ventas, Inc.* ............... 1,700 5,738 ---------- 138,544 ---------- RETAIL TRADE--3.3% Rex Stores Corp.* ........... 2,000 34,375 Ross Stores, Inc. ........... 1,300 18,850 ---------- 53,225 ---------- RETAIL-SPECIALTY APPAREL STORES--3.5% Finish Line, Inc., Class A (The)* .................... 2,500 15,000 Wilsons, The Leather Experts, Inc.* ..................... 1,600 40,800 ---------- 55,800 ---------- TELECOMMUNICATIONS--0.6% Pacific Gateway Exchange, Inc. 500 10,125 ---------- The accompanying notes are an integral part of the financial statements. 13 BOSTON PARTNERS FAMILY OF FUNDS SMALL CAP VALUE FUND II "FORMERLY THE MICRO CAP VALUE FUND" PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- TEXTILES & APPAREL--2.8% Maxwell Shoe Co., Inc., Class A* 1,000 $ 8,375 Nautica Enterprises, Inc.* .. 3,400 35,913 ---------- 44,288 ---------- TOBACCO--0.7% Universal Corp. ............. 700 11,463 ---------- TRANSPORTATION--2.1% American Freightways Corp.* . 500 5,438 Arkansas Best Corp.* ........ 800 7,550 Fritz Companies, Inc.* ...... 1,700 14,238 Knightsbridge Tankers Ltd. .. 400 6,025 ---------- 33,251 ---------- TOTAL COMMON STOCK (Cost $1,619,263) ....... 1,590,761 ---------- PAR (000) VALUE ----- ----- SHORT-TERM INVESTMENTS--3.0% Rodney Square Cash Reserve 5.570% 03/01/00 ........... $47 $ 47,203 ---------- TOTAL SHORT-TERM INVESTMENTS (Cost $47,203) .......... 47,203 ---------- TOTAL INVESTMENTS--102.1% (Cost $1,666,466) ........... 1,637,964 ---------- LIABILITIES IN EXCESS OF OTHER ASSETS--(2.1%) ........ (33,009) ---------- NET ASSETS--100.0% ............. $1,604,955 ========== - ------------ *Non-income producing. REIT - Real Estate Investment Trust The accompanying notes are an integral part of the financial statements. 14 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- LONG POSITIONS--97.9% COMMON STOCK--97.5% AEROSPACE/DEFENSE--1.4% B.F. Goodrich Co. (The) ...... 400 $ 9,575 Teledyne Technologies, Inc.* . 500 4,344 ---------- 13,919 ---------- AUTOMOTIVE PARTS & EQUIPMENT--1.0% IMPCO Technologies, Inc.* .... 200 10,238 ---------- BROADCASTING & PUBLISHING--1.4% NTN Communications, Inc.* .... 1,200 4,725 Young Broadcasting, Inc., Class A* 400 9,650 ---------- 14,375 ---------- BUSINESS & PUBLIC SERVICES--5.2% Covance, Inc.* ............... 800 11,400 Hall, Kinion & Associates, Inc.* 300 5,400 Interep National Radio Sales, Inc.* 700 7,000 Snyder Communications, Inc. .. 400 9,700 Strategic Distribution, Inc.* 5,300 9,275 Ventiv Health, Inc.* ......... 1,200 9,600 ---------- 52,375 ---------- CHEMICALS--4.4% Arch Chemicals, Inc. ......... 800 15,250 Cytec Industries, Inc.* ...... 400 9,700 Eastman Chemical Co. ......... 200 7,188 Methanex Corp.* .............. 3,900 9,019 Wellman, Inc. ................ 200 3,725 ---------- 44,882 ---------- COMPUTERS, SOFTWARE & SERVICES--25.6% ACT Networks, Inc.* .......... 1,900 26,600 AHT Corp.* ................... 3,200 13,100 Alphanet Solutions, Inc. ..... 2,200 18,975 Catapult Communications Corp.* 1,200 15,600 Eagle Point Software Corp.* .. 1,500 9,375 GTECH Holdings Corp.* ........ 600 12,000 Informix Corp.* .............. 500 8,000 Maxtor Corp.* ................ 2,100 16,800 Mechanical Dynamics, Inc.* ... 1,800 9,900 Network Associates, Inc.* .... 600 18,263 NUMBER OF SHARES VALUE --------- ----- COMPUTERS, SOFTWARE & SERVICES--(CONTINUED) SBE, Inc.* ................... 1,200 $ 19,650 SPR, Inc.* ................... 1,200 8,475 SS&C Technologies, Inc.* ..... 2,000 11,250 Sterling Software, Inc.* ..... 600 21,525 SunGard Data Systems, Inc.* .. 600 18,000 Systemax, Inc.* .............. 1,500 14,813 T/R Systems, Inc.* ........... 600 12,975 Technical Communications Corp.* 800 4,650 ---------- 259,951 ---------- CONSULTING SERVICES--0.6% Gartner Group, Inc. .......... 400 5,725 ---------- CONSUMER PRODUCTS & SERVICES--0.9% Stewart Enterprises, Inc. .... 2,000 8,500 ---------- DISTRIBUTION--0.8% Savoir Technology Group, Inc.* 1,100 8,250 ---------- DIVERSIFIED--2.6% Ogden Corp. .................. 2,300 26,163 ---------- ELECTRIC UTILITIES--6.2% Avista Corp. ................. 300 9,019 Carolina Power & Light Co. ... 750 22,313 CMS Energy Corp. ............. 400 6,700 Conectiv, Inc. ............... 600 8,550 NiSource, Inc. ............... 1,300 16,819 ---------- 63,401 ---------- ELECTRONIC COMPONENTS & INSTRUMENTS--6.3% Integrated Silicon Solution, Inc.* 300 8,344 Micro Linear Corp.* .......... 700 5,250 PSC, Inc.* ................... 1,300 6,500 TII Industries, Inc.* ........ 3,100 8,138 Tower Semiconductor Ltd.* .... 1,100 29,563 UCAR International, Inc.* .... 400 6,100 ---------- 63,895 ---------- ENERGY--1.2% Catalytica, Inc.* ............ 800 10,300 High Plains Corp.* ........... 1,000 2,219 ---------- 12,519 ---------- The accompanying notes are an integral part of the financial statements. 15 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- ENERGY EQUIPMENT & SERVICES--0.9% Rentech, Inc.* ............... 5,300 $ 9,275 ---------- ENGINEERING & CONSTRUCTION--2.4% EMCOR Group, Inc.* ........... 700 15,750 Exponent, Inc.* .............. 1,000 8,063 ---------- 23,813 ---------- FINANCIAL SERVICES--1.3% Deluxe Corp. ................. 400 9,375 Freddie Mac .................. 100 4,175 ---------- 13,550 ---------- HEALTHCARE--6.2% America Service Group, Inc.* . 700 9,450 PMR Corp. .................... 2,400 9,000 Triad Hospital, Inc.* ........ 1,600 25,600 Trigon Healthcare, Inc.* ..... 300 9,581 U.S. Physical Therapy, Inc.* . 1,000 9,500 ---------- 63,131 ---------- INSURANCE--1.7% ACE Ltd. ..................... 700 12,513 Chicago Title Corp. .......... 100 4,650 ---------- 17,163 ---------- MACHINERY & ENGINEERING--0.4% Allied Products Corp. ........ 1,300 4,306 ---------- MEDICAL EQUIPMENT--1.1% EndoSonics Corp.* ............ 2,000 11,500 ---------- MEDICAL SUPPLIES--0.8% C.R. Bard, Inc. .............. 200 7,900 ---------- OIL & GAS EXPLORATION--4.9% Abraxas Petroleum Corp.* ..... 1,900 2,613 Canadian 88 Energy Corp.* .... 900 1,013 Diamond Offshore Drilling, Inc. 300 9,525 Forest Oil Corp.* ............ 1,500 12,281 Ocean Energy, Inc.* .......... 900 9,619 Pennaco Energy, Inc.* ........ 500 4,625 Swift Energy Co.* ............ 900 10,631 ---------- 50,307 ---------- NUMBER OF SHARES VALUE --------- ----- OIL SERVICES--2.1% Mitcham Industries, Inc.* .... 1,300 $ 5,688 R & B Falcon Corp.* .......... 1,000 15,438 ---------- 21,126 ---------- PACKAGING & CONTAINERS--0.3% Pactiv Corp.* ................ 400 3,325 ---------- PHARMACEUTICALS--5.7% ALZA Corp.* .................. 200 7,338 Aronex Pharmaceuticals, Inc.* 3,100 9,688 Caremark Rx, Inc.* ........... 2,300 10,350 Discovery Laboratories, Inc.* 1,200 10,050 North American Vaccine, Inc.* 1,900 10,569 UroCor, Inc.* ................ 2,100 10,369 ---------- 58,364 ---------- PUBLISHING & INFORMATION SERVICES--2.4% IDG Books Worldwide, Inc.* ... 700 9,625 R.H. Donnelley Corp.* ........ 900 15,188 ---------- 24,813 ---------- RETAIL TRADE--1.3% Movie Gallery, Inc.* ......... 3,600 13,275 ---------- TELECOMMUNICATIONS & EQUIPMENT--8.4% Bogen Communications International, Inc.* ....... 1,600 19,200 Corsair Communications, Inc.* 700 19,950 EMS Technologies, Inc.* ...... 800 9,600 Harris Corp. ................. 300 9,563 MasTec, Inc.* ................ 300 17,277 ---------- 85,590 ---------- TOTAL COMMON STOCK (Cost $904,005) .......... 991,631 ---------- PAR (000) ----- SHORT-TERM INVESTMENTS--0.4% Rodney Square Cash Reserve 5.570% 03/01/00 ............ $ 4 4,357 ---------- TOTAL SHORT-TERM INVESTMENTS (Cost $4,357) ............ 4,357 ---------- TOTAL LONG POSITIONS--97.9% (Cost $908,362) .......... 995,988 ---------- The accompanying notes are an integral part of the financial statements. 16 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- SECURITIES SOLD SHORT--(79.4)% AEROSPACE/DEFENSE--(1.4)% HEICO Corp. .................. (500) $ (7,281) SPACEHAB, Inc.* .............. (700) (3,194) Titan Corp. (The)* ........... (100) (3,750) ---------- (14,225) ---------- AUTOMOTIVE--(0.6)% A.S.V., Inc.* ................ (500) (6,531) ---------- AUTOMOTIVE PARTS & EQUIPMENT--(0.3)% Collins & Aikman Corp. ....... (600) (3,038) ---------- BANKS & SAVINGS & LOANS--(3.8)% Commerce Bancorp., Inc. ...... (105) (3,531) CVB Financial Corp. .......... (125) (1,766) Fifth Third Bancorp. ......... (200) (10,413) Provident Financial Group, Inc. (300) (8,438) Queens County Bancorp., Inc. . (300) (5,700) Sky Financial Group, Inc. .... (200) (3,063) Zions Bancorp. ............... (100) (5,306) ---------- (38,217) ---------- BROADCASTING & PUBLISHING--(0.8)% On Command Corp.* ............ (200) (3,400) Source Media, Inc.* .......... (300) (4,463) ---------- (7,863) ---------- BUSINESS & PUBLIC SERVICES--(6.8)% Administaff, Inc.* ........... (200) (8,250) Central Parking Corp. ........ (400) (5,925) HeadHunter.NET, Inc.* ........ (700) (11,025) HotJobs.com, Ltd.* ........... (500) (12,563) iVillage, Inc.* .............. (100) (1,875) Labor Ready, Inc.* ........... (500) (4,156) Leapnet, Inc.* ............... (1,000) (7,125) Leisureplanet Holdings, Inc.* (300) (3,375) Modis Professional Services, Inc.* (200) (3,150) Primark Corp.* ............... (100) (2,206) ProBusiness Services, Inc.* .. (200) (5,425) Source Information Management Co. (The)* ...... (200) (4,138) ---------- (69,213) ---------- NUMBER OF SHARES VALUE --------- ----- CHEMICALS--(3.2)% Eco Soil Systems, Inc.* ...... (1,000) $ (4,000) Georgia Gulf Corp. ........... (400) (9,100) Nova Chemicals Corp. ......... (300) (4,800) OM Group, Inc. ............... (200) (7,450) Praxair, Inc. ................ (100) (3,375) U.S. Plastic Lumber Corp.* ... (500) (4,000) ---------- (32,725) ---------- COMMUNICATIONS & MEDIA--(1.1)% Lumenon Innovative Lightwave Technology, Inc.* .......... (100) (3,513) YouthStream Media Networks, Inc.* (400) (7,650) ---------- (11,163) ---------- COMPUTERS, SOFTWARE & SERVICES--(9.3)% CGI Group, Inc., Class A * ... (400) (6,850) CheckFree Holdings Corp.* .... (50) (4,397) ConSyGen, Inc.* .............. (200) (370) Dell Computer Corp.* ......... (200) (8,163) Dendrite International, Inc.* (200) (4,925) eFax.com* .................... (600) (3,975) Gateway, Inc.* ............... (100) (6,875) IBS Interactive, Inc.* ....... (300) (3,825) InterWorld Corp.* ............ (100) (5,425) Juno Online Services, Inc.* .. (200) (4,625) Mail.com, Inc.* .............. (300) (4,500) Red Hat, Inc.* ............... (100) (6,069) SVI Holdings, Inc.* .......... (500) (5,344) Transactions Systems Architects, Inc., Class A* ............. (200) (9,025) Vitech America, Inc.* ........ (100) (631) Xeikon NV* ................... (800) (16,900) ZeroPlus.com, Inc.* .......... (300) (2,925) ---------- (94,824) ---------- The accompanying notes are an integral part of the financial statements. 17 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- CONSUMER PRODUCTS & SERVICES--(3.9)% Ask Jeeves, Inc.* ............ (100) $ (8,044) Autobytel.com, Inc.* ......... (300) (3,206) Autoweb.com, Inc.* ........... (400) (2,400) Coinstar, Inc.* .............. (300) (4,200) Ionics, Inc.* ................ (300) (8,550) MemberWorks, Inc.* ........... (50) (4,044) Peapod, Inc.* ................ (500) (4,156) Student Advantage, Inc.* ..... (300) (4,650) ---------- (39,250) ---------- DISTRIBUTION--(0.8)% En Pointe Technologies, Inc.* (100) (4,400) Miami Computer Supply Corp.* . (100) (3,275) ---------- (7,675) ---------- DIVERSIFIED--(0.9)% Roper Industries, Inc. ....... (200) (5,450) Triarc Companies, Inc.* ...... (200) (3,788) ---------- (9,238) ---------- ELECTRIC UTILITIES--(0.8)% American Electric Power Co., Inc. (300) (8,438) ---------- ELECTRONIC COMPONENTS & INSTRUMENTS--(0.3)% FLIR Systems, Inc.* .......... (200) (3,175) ---------- ELECTRONICS--(1.1)% Molex, Inc. .................. (200) (11,175) ---------- FINANCIAL SERVICES--(2.6)% Allied Capital Corp. ......... (200) (3,475) American Business Financial Services, Inc. ............. (500) (10,188) E-LOAN, Inc.* ................ (400) (3,575) LendingTree, Inc.* ........... (200) (2,350) Onlinetradinginc.com* ........ (300) (2,550) Siebert Financial Corp. ...... (300) (4,613) ---------- (26,751) ---------- NUMBER OF SHARES VALUE --------- ----- FOOD & BEVERAGE--(2.8)% American Italian Pasta Co., Class A* ................... (200) $ (4,563) Beringer Wine Estates Holdings, Inc., Class B* ............. (300) (10,819) Delicious Brands, Inc.* ...... (100) (81) Gum Tech International, Inc.* (200) (4,413) PepsiCo, Inc. ................ (100) (3,225) Spigadoro, Inc.* ............. (600) (1,500) Whole Foods Market, Inc.* .... (100) (3,797) ---------- (28,398) ---------- GAMBLING--(0.0%) CCA Companies, Inc.* ......... (600) (206) ---------- HAZARDOUS WASTE DISPOSAL--(0.9)% Stericycle, Inc.* ............ (500) (9,234) ---------- HEALTH & PERSONAL CARE--(0.5)% American Retirement Corp.* ... (400) (3,300) LabOne, Inc. ................. (24) (171) Manor Care, Inc.* ............ (200) (1,738) ---------- (5,209) ---------- MACHINERY & ENGINEERING--(0.8)% Alamo Group, Inc. ............ (400) (4,800) Regal-Beloit Corp. ........... (200) (3,563) ---------- (8,363) ---------- MANUFACTURING--(1.8)% American Woodmark Corp. ...... (400) (6,600) Falcon Products, Inc. ........ (400) (4,500) Polymer Group, Inc. .......... (500) (7,469) ---------- (18,569) ---------- MEDICAL EQUIPMENT--(1.0)% CryoLife, Inc.* .............. (200) (3,975) Photogen Technologies, Inc.* . (200) (3,350) Schick Technologies, Inc.* ... (300) (675) Sunrise Technologies International, Inc.* ....... (300) (2,475) ---------- (10,475) ---------- The accompanying notes are an integral part of the financial statements. 18 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- MEDICAL SUPPLIES--(0.3)% Keravision, Inc.* ............ (400) $ (3,025) ---------- METALS & MINING--(1.2)% Commercial Metals Co. ........ (300) (8,288) Zemex Corp.* ................. (400) (3,675) ---------- (11,963) ---------- OIL SERVICES--(0.0)% Eagle Geophysical, Inc.* ..... (25) (1) ---------- PAPER & FORESTRY PRODUCTS--(2.2)% Champion International Corp. . (150) (7,763) Kafus Industries Ltd.* ....... (900) (6,300) Westvaco Corp. ............... (300) (8,269) ---------- (22,332) ---------- PHARMACEUTICALS--(2.0)% BioMarin Pharmaceutical, Inc.* (100) (3,125) Ergo Science Corp.* .......... (1,000) (2,438) Hollis-Eden Pharmaceuticals, Inc.* ...................... (200) (3,825) Isis Pharmaceuticals, Inc.* .. (400) (5,650) Shaman Pharmaceuticals, Inc.* (1) (1) SmithKline Beecham PLC ADR ... (100) (5,619) ---------- (20,658) ---------- REAL ESTATE--(0.3)% HomeStore.com, Inc.* ......... (50) (3,416) ---------- RECREATION--(1.2)% Bally Total Fitness Holding Corp.* (300) (8,063) Premier Parks, Inc.* ......... (200) (4,050) ---------- (12,113) ---------- RESTAURANTS, HOTELS & CASINOS--(6.1)% Ark Restaurants Corp.* ....... (400) (2,975) Buca, Inc.* .................. (500) (7,063) CBRL Group, Inc. ............. (300) (2,775) Cheesecake Factory, Inc. (The)* (200) (5,950) Four Seasons Hotels, Inc. .... (100) (4,875) Frisch's Restaurants, Inc. ... (300) (2,925) Garden Fresh Restaurant Corp.* (200) (2,275) NUMBER OF SHARES VALUE --------- ----- RESTAURANTS, HOTELS & CASINOS--(CONTINUED) Landry's Seafood Restaurants, Inc.* ......... (600) $ (4,238) O'Charley's, Inc.* ........... (300) (3,375) P.F. Chang's China Bistro, Inc.* (500) (15,031) Planet Hollywood International, Inc.* ....... (700) (51) Steakhouse Partners, Inc.* ... (700) (3,938) Uno Restaurant Corp.* ........ (330) (3,341) Vail Resorts, Inc.* .......... (200) (3,200) ---------- (62,012) ---------- RETAIL TRADE--(15.6)% 1-800 CONTACTS, Inc.* ........ (400) (11,250) 1-800-FLOWERS.COM, Inc.* ..... (300) (2,756) 99 Cents Only Stores* ........ (333) (8,354) Autozone, Inc.* .............. (200) (4,913) Bed Bath & Beyond, Inc.* ..... (200) (5,675) Bradlees, Inc.* .............. (400) (2,900) BUY.COM* ..................... (500) (7,000) CDnow, Inc.* ................. (500) (4,000) Cost-U-Less, Inc.* ........... (500) (1,719) CSK Auto Corp.* .............. (300) (3,450) Dollar Tree Stores, Inc.* .... (200) (7,763) Duane Reade, Inc.* ........... (300) (7,181) Fred's, Inc. ................. (300) (4,462) Guitar Center, Inc.* ......... (500) (4,625) Fatbrain.Com, Inc.* .......... (300) (5,325) Kenneth Cole Productions, Inc.* (100) (5,100) Kohl's Corp.* ................ (200) (15,162) LaCrosse Footwear, Inc. ...... (600) (2,400) Lillian Vernon Corp. ......... (200) (2,050) Men's Wearhouse, Inc. (The)* . (350) (8,127) Pacific Sunwear of California, Inc.* ...................... (200) (5,087) Party City Corp.* ............ (1,700) (4,210) Regis Corp. .................. (200) (3,100) Rent-Way, Inc.* .............. (500) (8,500) Ritchie Bros. Auctioneers, Inc.* (100) (2,806) Steven Madden Ltd.* .......... (300) (4,050) Tweeter Home Entertainment Group, Inc.* ............... (200) (6,125) Webvan Group, Inc.* .......... (600) (6,825) Wild Oats Markets, Inc.* ..... (200) (3,750) ---------- (158,665) ---------- The accompanying notes are an integral part of the financial statements. 19 BOSTON PARTNERS FAMILY OF FUNDS MARKET NEUTRAL FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- STEEL--(1.1)% Reliance Steel & Aluminum Corp. (200) $ (3,875) Steel Technologies, Inc. ..... (400) (3,750) Valmont Industries, Inc. ..... (200) (3,025) ---------- (10,650) ---------- TELECOMMUNICATIONS--(0.2)% Shared Technologies Cellular, Inc.* (300) (2,025) ---------- TELECOMMUNICATIONS & EQUIPMENT--(1.5)% Coyote Network Systems, Inc.* (600) (4,687) Vari-L Co., Inc.* ............ (400) (10,775) ---------- (15,462) ---------- TEXTILES & APPAREL--(1.2)% Cintas Corp. ................. (100) (3,994) Gildan Activewear, Inc., Class A* (100) (3,150) Polo Ralph Lauren Corp.* ..... (300) (5,025) ---------- (12,169) ---------- NUMBER OF SHARES VALUE --------- ----- TOBACCO--(0.6)% Brooke Group Ltd. ............ (300) $ (3,975) General Cigar Holdings, Inc.* (100) (1,481) ---------- (5,456) ---------- TRANSPORTATION--(0.4)% Allied Holdings, Inc.* ....... (500) (4,020) ---------- TOTAL SECURITIES SOLD SHORT (Proceeds $883,518) ...... (807,922) ---------- TOTAL INVESTMENTS--18.5% (Cost $24,844) ............... 188,066 ---------- OTHER ASSETS IN EXCESS OF LIABILITIES--81.5% ........ 829,607 ---------- NET ASSETS--100.0% .............. $1,017,673 ========== - ---------- *Non-income producing. ADR - American Depository Receipt. The accompanying notes are an integral part of the financial statements. 20 BOSTON PARTNERS FAMILY OF FUNDS BOND FUND PORTFOLIO OF INVESTMENTS FEBRUARY 29, 2000 (UNAUDITED) NUMBER OF SHARES VALUE --------- ----- PREFERRED STOCK--5.4% INDUSTRIAL GOODS & MATERIALS--0.9% Amcor Ltd. 7.250% 11/19/06 ............ 2,500 $ 95,625 ----------- REAL ESTATE--4.5% Crescent Real Estate 6.750% 12/31/49 ............ 10,100 141,400 Equity Office Properties Trust Series B 5.250% 12/31/49 ............ 2,900 107,300 Equity Residential Properties Series G 7.250% 12/31/49 ............ 5,500 106,562 Reckson Associates Realty Series A 7.625% 12/31/49 ............ 7,000 129,937 ----------- 485,199 ----------- TOTAL PREFERRED STOCK (Cost $801,878) .......... 580,824 ----------- PAR (000) ----- CORPORATE BONDS--41.8% AEROSPACE & DEFENSE--0.9% Raytheon Co. Notes (Baa2, BBB-) 5.950% 03/15/01 ............ $ 45 44,269 United Tech Corp. Debentures (A2, A+) 7.500% 09/15/29 ............ 50 49,187 ----------- 93,456 ----------- AUTOMOTIVE--0.2% Ford Motor Co. Debentures (A1, A+) 6.375% 02/01/29 ............ 25 20,719 ----------- BANKS & SAVINGS & LOANS--9.3% BankBoston NA Subordinated Notes (A2, A) 7.375% 09/15/06 ............ 120 117,900 BB&T Corp. Subordinated Notes (A3, BBB+) 7.250% 06/15/07 ............ 150 146,250 PAR (000) VALUE ----- ----- BANKS & SAVINGS & LOANS--(CONTINUED) Capital One Bank Senior Notes (Baa2, BBB-) 6.150% 06/01/01 ............ $ 20 $ 19,675 Imperial Bank Series BKNT Subordinated Notes (Ba2, BBB-) 8.500% 04/01/09 ............ 50 45,875 Korea Development Bank Notes (Baa2, BBB) 7.900% 02/01/02 ............ 100 99,875 Old Kent Bank Subordinated Notes (N/A, A-) 6.625% 11/15/05 ............ 110 104,087 Riggs Capital Trust Series A Company Guarantee Notes (Baa3, BB) 8.625% 12/31/26 ............ 90 78,412 Riggs National Corp. Subordinated Debentures (Ba1, BB+) 9.650% 06/15/09 ............ 120 117,244 Sovereign Bancorp. Series MTN Subordinated Notes (BB-, BBB-) 8.000% 03/15/03 ............ 100 94,000 Sovereign Capital Trust I Company Guarantee Notes (B1, B) 9.000% 04/01/27 ............ 100 85,385 Zions Institutional Capital Trust Series A Company Guarantee Notes (A2, BBB-) 8.536% 12/15/26 ............ 100 96,000 ----------- 1,004,703 ----------- CANADIAN GOVERNMENT BONDS--0.5% Hydro-Quebec Local Government Guarantee Notes (A2, A+) 8.625% 06/15/29 ............ 50 54,437 ----------- CHEMICALS--0.7% Lyondell Chemical Co. Series A Secured (Ba3, BB) 9.625% 05/01/07 ............ 50 48,375 Union Carbide Corp. Notes (Baa2, BBB) 6.250% 06/15/03 ............ 25 23,875 ----------- 72,250 ----------- The accompanying notes are an integral part of the financial statements. 21 BOSTON PARTNERS FAMILY OF FUNDS BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) PAR (000) VALUE ----- ----- ELECTRIC UTILITIES--1.3% CMS Energy Corp. Senior Notes (Ba3, BB) 8.125% 05/15/02 ............ $ 25 $ 24,750 Consumers Energy Co. First Mortgage (Baa3, BBB+) 6.375% 09/15/03 ............ 100 94,750 Texas-New Mexico Power Senior Notes (Baa3, BBB) 6.250% 01/15/09 ............ 25 21,375 ---------- 140,875 ---------- ENERGY--3.3% Conoco, Inc. Senior Notes (A3, A-) 6.950% 04/15/29 ............ 20 18,200 Louis Dreyfus Natural Gas Senior Subordinated Notes (Ba3, BB+) 9.250% 06/15/04 ............ 100 99,875 Tosco Corp. First Mortgage Notes (Baa1, BBB) 9.625% 03/15/02 ............ 125 128,906 8.250% 05/15/03 ............ 25 25,188 Union Oil Co. of California Company Guarantee Notes (Baa1, BBB+) 7.500% 02/15/29 ............ 40 37,700 Union Oil Co. of California Notes (Baa1, BBB+) 6.500% 05/01/08 ............ 30 27,638 Union Texas Petroleum Senior Notes (A2, A) 8.375% 03/15/05 ............ 20 20,550 ---------- 358,057 ---------- FINANCIAL SERVICES--5.7% AON Capital Trust A Company Guarantee Notes (A3, A) 8.205% 01/01/27 ............ 50 47,984 Arcadia Financial Ltd. Senior Notes (B3, B-) 11.500% 03/15/07 ........... 25 26,062 Citigroup Capital III Company Guarantee Notes (Aa3, A+) 7.625% 12/01/36 ............ 100 94,375 PAR (000) VALUE ----- ----- FINANCIAL SERVICES--(CONTINUED) Equitable Companies, Inc. Debentures (A2, A+) 7.000% 04/01/28 ............... $ 25 $ 22,469 Equitable Companies, Inc. Senior Notes (A2, A+) 9.000% 12/15/04 ............ 80 84,200 Ford Motor Credit Corp. Notes (A1, A+) 6.700% 07/16/04 ............ 100 97,000 Ford Motor Credit Corp. Senior Unsubordinated Notes (A1, A+) 7.200% 06/15/07 ............ 65 63,619 Olympic Financial Ltd. Senior Notes (B3, B-) 11.500% 03/15/07 ........... 50 52,500 Security Capital U.S. Realty Bonds Series 144A (Baa3, BBB-) 2.000% 05/22/03 ............ 170 126,225 ---------- 614,434 ---------- GAS UTILITIES--1.3% KN Capital Trust III Company Guarantee Notes (Baa3, BB) 7.630% 04/15/28 ............ 75 68,063 KN Energy, Inc. Senior Notes (Baa2, BBB-) 6.450% 11/30/01 ............ 75 73,687 ---------- 141,750 ---------- HEALTH CARE--2.5% Tenet Healthcare Corp. Senior Notes (Ba1, BB+) 8.625% 12/01/03 ............ 175 169,969 Total Renal Care Holdings (B1, B-) 5.625% 07/15/06 ............ 165 98,690 ---------- 268,659 ---------- INDUSTRIAL GOODS & MATERIALS--3.7% Browning-Ferris Industries, Inc. Senior Notes (Ba3, BB-) 6.375% 01/15/08 ............ 100 78,500 The accompanying notes are an integral part of the financial statements. 22 BOSTON PARTNERS FAMILY OF FUNDS BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) PAR (000) VALUE ----- ----- INDUSTRIAL GOODS & MATERIALS--(CONTINUED) Unisys Corp. Senior Notes (Ba1, BB+) 11.750% 10/15/04 ............... $200 $ 218,000 USG Corp. Series B Senior Notes (Baa2, BBB+) 9.250% 09/15/01 ............ 105 107,100 ----------- 403,600 ----------- OFFICE EQUIPMENT & SUPPLIES--1.1% Office Depot Inc. (Baa2, BBB-) 4.310%* 11/01/08 ........... 180 124,425 ----------- RADIO & TELEVISION MEDIA--2.2% Chancellor Media Corp. Series B Company Guarantee Notes (B1, B) 8.750% 06/15/07 ............ 25 25,063 CSC Holdings, Inc. Senior Subordinate Debentures (Ba3, BB-) 9.875% 02/15/13 ............ 10 10,425 CSC Holdings, Inc. Senior Notes (Ba1, BB+) 7.875% 12/15/07 ............ 50 48,875 Jones Intercable, Inc. Senior Notes (Baa3, BBB-) 9.625% 03/15/02 ............ 100 104,000 News America Holdings Debentures (Baa3, BBB-) 8.875% 04/26/23 ............ 45 47,756 ----------- 236,119 ----------- RETAIL TRADE--0.9% Federated Department Stores, Inc. Senior Notes (Baa1, BBB+) 8.125% 10/15/02 ............ 25 25,313 Federated Department Stores, Inc. Debentures (Baa1, BBB+) 7.000% 02/15/28 ............ 30 26,663 Safeway, Inc. Notes (Baa2, BBB) 6.050% 11/15/03 ............ 50 47,687 ----------- 99,663 ----------- PAR (000) VALUE ----- ----- SOVEREIGN GOVENMENT BONDS--3.9% Argentina (Republic Of) Series C Bonds (BBB, BBB+) 9.330%* 10/15/01 $ 50 $ 43,125 Brazil (Republic Of) Bonds (B2, B+) 11.625% 04/15/04 ........... 65 64,025 Panama (Republic Of) Series 144A Notes (Ba1, BB+) 7.875% 02/13/02 ............ 300 294,000 United Mexican States Bonds (Ba1, BB) 8.625% 03/12/08 ............ 25 24,656 ----------- 425,806 ----------- TELECOMMUNICATIONS--3.2% CCPR Services, Inc. Company Gurantee Notes (B2, B) 10.000% 02/01/07 ........... 35 37,363 Global Crossing Holdings Ltd. Company Guarantee Notes (Ba2, BB) 9.625% 05/15/08 ............ 50 48,750 LCI International, Inc. Senior Notes (Ba1, BB+) 7.250% 06/15/07 ............ 80 76,800 MCI Worldcom, Inc. Senior Notes (A3, A-) 6.125% 08/15/01 ............ 25 24,688 6.950% 08/15/06 ............ 50 48,500 MetroNet Communications Corp. Senior Discount Notes (Baa3, BBB) 8.754%* 06/15/08 ........... 45 35,550 US Cellular Corp. Notes (Baa2, BBB) 7.250% 08/15/07 ............ 75 72,469 ----------- 344,120 ----------- TRANSPORTATION--1.1% CSX Corp. Notes (Baa2, BBB) 6.250% 10/15/08 ............ 50 45,188 Union Pacific Co. Debentures (Baa3, BBB-) 9.625% 12/15/02 ............ 25 26,188 Union Pacific Co. Notes (Baa3, BBB-) 7.375% 05/15/01 ............ 50 49,938 ----------- 121,314 ----------- TOTAL CORPORATE BONDS (Cost $4,837,407) ........ 4,524,387 ----------- The accompanying notes are an integral part of the financial statements. 23 BOSTON PARTNERS FAMILY OF FUNDS BOND FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 29, 2000 (UNAUDITED) PAR (000) VALUE ----- ----- AGENCY OBLIGATIONS--41.0% AGENCY DEBENTURES--1.0% FHLMC (Aaa, N/A) 5.750% 04/15/08 ............ $ 25 $ 22,740 FNMA (Aaa, N/A) 6.250% 05/15/29 ............ 95 84,906 ----------- 107,646 ----------- FEDERAL NATIONAL MORTGAGE ASSOCIATION--8.9% FNMA 190945 6.000% 05/01/24 ............ 352 319,402 FNMA 281054 6.500% 04/01/24 ............ 340 318,083 FNMA 251967 6.500% 09/01/28 ............ 77 72,127 FNMA 252212 6.500% 01/01/29 ............ 117 109,664 FNMA 487809 7.000% 04/01/29 ............ 69 66,648 FNMA 252925 7.500% 11/01/29 ............ 74 72,740 ----------- 958,664 ----------- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--31.1% GNMA 354662 6.500% 09/15/08 ............ 82 78,984 GNMA 780303 6.500% 02/15/09 ............ 227 218,279 GNMA 433435 6.500% 02/15/12 ............ 277 265,842 GNMA 407234 6.500% 01/15/13 ............ 82 78,424 GNMA 457737 6.500% 03/15/13 ............ 96 91,758 GNMA 469128 6.500% 02/15/28 ............ 387 360,999 GNMA 447928 6.500% 05/15/28 ............ 35 32,717 GNMA 473797 6.500% 06/15/28 ............ 28 26,524 GNMA 468090 6.500% 07/15/28 ............ 34 31,281 GNMA 482119 6.500% 08/15/28 ............ 93 86,412 PAR (000) VALUE ----- ----- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--(CONTINUED) GNMA 376528 7.000% 05/15/09 ............ $177 $ 173,474 GNMA 454925 7.000% 12/15/12 ............ 208 204,113 GNMA 780921 7.000% 11/15/13 ............ 128 126,132 GNMA 366816 7.000% 06/15/24 ............ 97 92,794 GNMA 452645 7.000% 11/15/27 ............ 47 45,223 GNMA 450446 7.000% 12/15/27 ............ 48 46,061 GNMA 372475 7.000% 01/15/28 ............ 317 303,731 GNMA 469129 7.000% 02/15/28 ............ 70 66,827 GNMA 461450 7.000% 04/15/28 ............ 61 58,128 GNMA 471949 7.000% 06/15/28 ............ 262 250,973 GNMA 780859 7.500% 09/15/13 ............ 21 20,835 GNMA 780498 7.500% 01/15/27 ............ 80 78,962 GNMA 449474 7.500% 09/15/27 ............ 66 64,442 GNMA 453892 7.500% 11/15/27 ............ 235 230,789 GNMA 780687 8.000% 12/15/12 ............ 239 243,536 GNMA 442120 8.000% 11/15/26 ............ 93 92,960 ----------- 3,370,200 ----------- TOTAL AGENCY OBLIGATIONS (Cost $4,657,156) ........ 4,436,510 ----------- ASSET BACKED SECURITIES--1.0% Illinois Power Special Purpose Trust Series 1998-1 Class A6 (Aaa, AAA) 5.540% 06/25/09 ............ 50 45,170 The accompanying notes are an integral part of the financial statements. 24 BOSTON PARTNERS FAMILY OF FUNDS BOND FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 29, 2000 (UNAUDITED) PAR (000) VALUE ----- ----- ASSET BACKED SECURITIES--(CONTINUED) MBNA Master Credit Card Trust Series 1995-C Class A (Aaa, AAA) 6.450% 02/15/08 ............ $ 60 $ 57,864 ----------- TOTAL ASSET BACKED SECURITIES (Cost $111,282) .......... 103,034 ----------- U.S. TREASURY OBLIGATIONS--9.9% U.S. TREASURY BONDS--6.8% U.S. Treasury Bonds 7.250% 05/15/16 ............ 290 311,857 7.125% 02/15/23 ............ 390 423,267 ----------- 735,124 ----------- U.S. TREASURY STRIP--1.1% U.S. Treasury Strip 6.280%* 11/15/21 ........... 455 118,881 ----------- U.S. TREASURY INFLATIONARY NOTE--2.0% U.S. Treasury Inflationary Note 3.625% 01/15/08 ............ 215 213,932 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $1,136,481) ........ 1,067,937 ----------- PAR (000) VALUE ----- ----- SHORT-TERM INVESTMENTS--0.2% Rodney Square Cash Reserve 5.570% 03/01/00 ............ $ 26 $ 25,637 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $25,637) ........... 25,637 ----------- TOTAL INVESTMENTS--99.2% (Cost $11,569,841) ........... 10,738,329 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES--0.8% ......... 85,385 ----------- NET ASSETS--100.0% .............. $10,823,714 =========== - -------------------------------------------------------------------------------- *The rate shown represents yield to maturity on zero coupon bonds. BKNT - Bank Note. FHLMC - Federal Home Loan Mortgage Corporation. FNMA - Federal National Mortgage Association. MTN - Medium Term Note The Moody's Investor Service, Inc. and Standard and Poor's Ratings Group's ratings indicated are the most recent ratings available at February 29, 2000. The accompanying notes are an integral part of the financial statements. 25 BOSTON PARTNERS FAMILY OF FUNDS STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 29, 2000 (UNAUDITED)
SMALL CAP MARKET LARGE CAP MID CAP VALUE NEUTRAL VALUE FUND VALUE FUND FUND II* FUND BOND FUND ----------- ------------ ---------- ---------- ----------- ASSETS Investments, at value (cost -- $47,923,626, $154,494,473, $1,666,466, $908,362, and $11,569,841, respectively) .............. $42,926,178 $139,532,036 $1,637,964 $ 995,988 $10,738,329 Receivable from Investment Advisor ........ -- -- 35,680 24,997 38,492 Deposits with brokers and custodian bank for securities sold short ..................... -- -- -- 842,353 -- Receivable for investments sold ........... 666,627 2,327,074 24,162 72,518 -- Receivable for Fund shares sold ........... 25,000 -- -- -- -- Dividends and interest receivable ......... 63,603 117,517 649 2,302 135,773 ----------- ------------ ---------- ---------- ----------- Total assets ............................ 43,681,408 141,976,627 1,698,455 1,938,158 10,912,594 ----------- ------------ ---------- ---------- ----------- LIABILITIES Payable for investments purchased ......... 494,938 3,158,200 38,495 65,758 -- Securities Sold-Short (proceeds $883,518) . -- -- -- 807,922 -- Payable for Fund share redeemed ........... 5,308 -- -- -- -- Accrued expenses and other liabilities .... 44,213 101,100 55,005 46,647 88,880 Payable for dividends on securities sold-short -- -- -- 158 -- ----------- ------------ ---------- ---------- ----------- Total liabilities ....................... 544,459 3,259,300 93,500 920,485 88,880 ----------- ------------ ---------- ---------- ----------- NET ASSETS Capital stock, $0.001 par value ........... 4,147 14,627 184 127 1,173 Additional paid in capital ................ 48,133,086 166,120,218 1,795,423 1,242,995 11,917,029 Undistributed net investment income/(loss) 199,651 144,122 (6,992) (544) 7,599 Accumulated net realized loss from investments ............................. (202,487) (12,599,203) (155,158) (388,127) (270,575) Net unrealized appreciation/(depreciation) on investments ............................. (4,997,448) (14,962,437) (28,502) 163,222 (831,512) ----------- ------------ ---------- ---------- ----------- Net assets .............................. $43,136,949 $138,717,327 $1,604,955 $1,017,673 $10,823,714 =========== ============ ========== ========== =========== INSTITUTIONAL CLASS Net assets ................................ $41,936,206 $136,897,811 $1,325,529 $ 818,319 $10,663,597 ----------- ------------ ---------- ---------- ----------- Shares outstanding ........................ 4,033,198 14,434,477 152,207 102,152 1,156,352 ----------- ------------ ---------- ---------- ----------- Net asset value, offering and redemption price per share ......................... $10.40 $9.48 $8.71 $8.01 $9.22 =========== ============ ========== ========== =========== INVESTOR CLASS Net assets ................................ $ 1,200,743 $ 1,819,516 $ 279,426 $ 199,354 $ 160,117 ----------- ------------ ---------- ---------- ----------- Shares outstanding ........................ 113,564 193,439 32,129 24,861 17,250 ----------- ------------ ---------- ---------- ----------- Net asset value, offering and redemption price per share ......................... $10.57 $9.41 $8.70 $8.02 $9.28 =========== ============ ========== ========== =========== - ------------ *Formerly known as Micro Cap Value Fund.
The accompanying notes are an integral part of the financial statements. 26 BOSTON PARTNERS FAMILY OF FUNDS STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 (UNAUDITED)
SMALL CAP MARKET LARGE CAP MID CAP VALUE NEUTRAL VALUE FUND VALUE FUND FUND II* FUND BOND FUND ----------- ------------ ---------- ---------- ----------- INVESTMENT INCOME Dividends ................................. $ 432,357 $ 881,085 $ 8,962 $ 7,356 $ 28,519 Interest .................................. 27,161 102,240 865 14,854 402,991 ----------- ------------ ----------- --------- --------- 459,518 983,325 9,827 22,210 431,510 ----------- ------------ ----------- --------- --------- EXPENSES Advisory fees ............................. 193,384 631,989 9,622 10,356 23,692 Administration fees ....................... 37,500 98,748 37,500 37,500 37,500 Administrative services fees .............. 37,910 117,406 1,023 690 8,795 Transfer agent fees and expenses .......... 37,911 37,132 37,456 36,364 37,878 Custodian fees and expenses ............... 14,592 21,565 8,796 16,089 7,855 Printing. ................................. 14,676 20,917 24,000 9,708 17,640 Federal and state registration fees ....... 13,650 14,152 14,152 9,220 21,190 Audit and legal fees ...................... 5,603 12,240 3,182 4,377 3,227 Distribution fees ......................... 1,968 2,891 336 259 227 Directors. ................................ 1,982 4,027 144 88 142 Insurance. ................................ 209 273 273 209 375 Dividend expense. ......................... -- -- -- 1,453 -- Other ..................................... 2,207 924 923 1,083 4,452 ----------- ------------ ----------- --------- --------- Total expenses before waivers and reimbursements. ....................... 361,592 962,264 137,407 127,396 162,973 Less: waivers and reimbursements ........ (101,931) (169,604) (125,166) (112,562) (127,225) ----------- ------------ ----------- --------- --------- Total expenses after waivers and reimbursements. ....................... 259,661 792,660 12,241 14,834 35,748 ----------- ------------ ----------- --------- --------- Net investment income/(loss) .............. 199,857 190,665 (2,414) 7,376 395,762 ----------- ------------ ----------- --------- --------- NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS Net realized gain/(loss) from investments . 290,200 (11,571,851) 36,110 (285,112) (130,531) Net change in unrealized appreciation/ (depreciation) on investments ........... (5,082,759) (16,147,325) (27,792) 116,266 (94,846) ----------- ------------ ----------- --------- --------- Net realized and unrealized gain/(loss) from investments ........................ (4,792,559) (27,719,176) 8,318 (168,846) (225,377) ----------- ------------ ----------- --------- --------- NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS ........................... $(4,592,702) $(27,528,511) $ 5,904 $(161,470) $ 170,385 =========== ============ =========== ========= ========= - -------------- *Formerly known as Micro Cap Value Fund.
The accompanying notes are an integral part of the financial statements. 27 BOSTON PARTNERS FAMILY OF FUNDS STATEMENT OF CHANGES IN NET ASSETS
LARGE CAP VALUE FUND MID CAP VALUE FUND ----------------------------------- ----------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS FOR THE ENDED YEAR ENDED ENDED YEAR ENDED FEBRUARY 29, 2000 AUGUST 31, 1999 FEBRUARY 29, 2000 AUGUST 31, 1999 ----------------- --------------- ----------------- --------------- (UNAUDITED) (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income ..................... $ 199,857 $ 439,153 $ 190,665 $ 219,893 Net realized gain/(loss) from investments . 290,200 1,980,807 (11,571,851) 2,802,409 Net change in unrealized appreciation/ (depreciation) on investments ........... (5,082,759) 11,653,735 (16,147,325) 17,233,562 ------------ ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations ......................... (4,592,702) 14,073,695 (27,528,511) 20,255,864 ------------ ------------ ------------ ------------ LESS DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional shares (437,974) (274,092) (221,577) (90,185) Net investment income Investor shares ..... (1,520) (20,133) -- -- Net realized capital gains Institutional shares (2,897,846) (727,345) (2,085,782) (2,283) Net realized capital gains Investor shares (92,350) (64,741) (30,829) (40) ------------ ------------ ------------ ------------ Total dividends and distributions to shareholders (3,429,690) (1,086,311) (2,338,188) (92,508) ------------ ------------ ------------ ------------ INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS ................ (3,589,718) (15,111,801) (7,401,645) 86,425,931 ------------ ------------ ------------ ------------ Total increase/(decrease) in net assets ... (11,612,110) (2,124,417) (37,268,344) 106,589,287 NET ASSETS Beginning of period ....................... 54,749,059 56,873,476 175,985,671 69,396,384 ------------ ------------ ------------ ------------ End of period ............................. $ 43,136,949 $ 54,749,059 $138,717,327 $175,985,671 ============ ============ ============ ============
The accompanying notes are an integral part of the financial statements. 28 [THIS PAGE INTENTIONALLY LEFT BLANK] BOSTON PARTNERS FAMILY OF FUNDS STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
SMALL CAP VALUE FUND II* MARKET NEUTRAL FUND ----------------------------------- ----------------------------------- FOR THE FOR THE SIX MONTHS FOR THE SIX MONTHS FOR THE PERIOD ENDED YEAR ENDED ENDED NOVEMBER 17, 1998** THOUGH FEBRUARY 29, 2000 AUGUST 31, 1999 FEBRUARY 29, 2000 AUGUST 31, 1999 ----------------- --------------- ----------------- --------------- (UNAUDITED) (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) .............. $ (2,414) $ (3,105) $ 7,376 $ 9,566 Net realized gain/(loss) from investments . 36,110 (158,505) (285,112) (103,015) Net change in unrealized appreciation/ (depreciation) on investments ........... (27,792) 352,523 116,266 46,956 ---------- ---------- ---------- ---------- Net increase/(decrease) in net assets resulting from operations ............... 5,904 190,913 (161,470) (46,493) ---------- ---------- ---------- ---------- LESS DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional shares .................................. (539) -- (14,358) -- Net investment income Investor shares ..... -- -- (3,128) -- Net realized capital gains Institutional shares .................................. -- -- -- -- Net realized capital gains Investor shares .................................. -- -- -- -- ---------- ---------- ---------- ---------- Total dividends and distributions to shareholders ............................ (539) -- (17,486) -- ---------- ---------- ---------- ---------- INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS ........... (1,940) 162,189 25,122 1,218,000 ---------- ---------- ---------- ---------- Total increase/(decrease) in net assets ... 3,425 353,102 (153,834) 1,171,507 NET ASSETS Beginning of period ....................... 1,601,530 1,248,428 1,171,507 -- ---------- ---------- ---------- ---------- End of period ............................. $1,604,955 $1,601,530 $1,017,673 $1,171,507 ========== ========== ========== ==========
BOND FUND ----------------------------------- FOR THE FOR THE SIX MONTHS YEAR ENDED ENDED FEBRUARY 29, 2000 AUGUST 31, 1999 ----------------- --------------- (UNAUDITED) INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) ..............$ 395,762 $ 873,298 Net realized gain/(loss) from investments . (130,531) (113,950) Net change in unrealized appreciation/ (depreciation) on investments ........... (94,846) (663,010) ----------- ----------- Net increase/(decrease) in net assets resulting from operations ............... 170,385 96,338 ----------- ----------- LESS DIVIDEND AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional shares .................................. (391,745) (860,406) Net investment income Investor shares ..... (5,832) (10,855) Net realized capital gains Institutional shares .................................. -- (149,870) Net realized capital gains Investor shares .................................. -- (2,120) ----------- ----------- Total dividends and distributions to shareholders ............................ (397,577) (1,023,251) ----------- ----------- INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL SHARE TRANSACTIONS ........... (1,178,504) (2,550,896) ----------- ----------- Total increase/(decrease) in net assets ... (1,405,696) (3,477,809) NET ASSETS Beginning of period ....................... 12,229,410 15,707,219 ----------- ----------- End of period .............................$10,823,714 $12,229,410 =========== =========== - ------------ * Formerly known as Micro Cap Value Fund. ** Commencement of operations.
The accompanying notes are an integral part of the financial statements. 30-31 BOSTON PARTNERS FAMILY OF FUNDS 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. - --------------------------------------------------------------------------------
LARGE CAP VALUE FUND ---------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR YEAR JANUARY 2, 1997* FEBRUARY 29, 2000 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997 -------------- ---------------- --------------- ---------------- INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL CLASS CLASS CLASS CLASS ------------- ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE** Net asset value, beginning of period ................ $ 12.24 $ 10.58 $ 12.46 $ 10.00 ------- ------- ------- ------- Net investment income/(loss)(1) ..................... 0.05 0.05 0.12 0.05 Net realized and unrealized gain/(loss) on investments(2) ................................... (1.08) 1.76 (1.31) 2.41 ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from operations ....................................... (1.03) 1.81 (1.19) 2.46 ------- ------- ------- ------- Dividends to shareholders from: Net investment income ............................... (0.11) (0.04) (0.08) -- Net realized capital gains .......................... (0.70) (0.11) (0.61) -- ------- ------- ------- ------- Total dividends and distributions to shareholders ... (0.81) (0.15) (0.69) -- ------- ------- ------- ------- Net asset value, end of period ...................... $ 10.40 $ 12.24 $ 10.58 $ 12.46 ======= ======= ======= ======= Total investment return(3) .......................... (9.15%) 17.12% (10.23%) 24.60% ======= ======= ======= ======= RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........... $41,936 $53,112 $50,724 $24,603 Ratio of expenses to average net assets(1) .......... 1.00%(4) 1.00% 1.00% 1.00%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ............... 1.40%(4) 1.30% 1.49% 2.64%(4) Ratio of net investment income to average net assets(1) .................................... 0.78%(4) 0.61% 0.87% 1.19%(4) Portfolio turnover rate ............................. 62.05% 156.16% 111.68% 67.16%
LARGE CAP VALUE FUND ---------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR YEAR JANUARY 16, 1997* FEBRUARY 29, 2000 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997 -------------- ---------------- --------------- ---------------- INVESTOR INVESTOR INVESTOR INVESTOR CLASS CLASS CLASS CLASS ------------- ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE** $ 12.36 $ 10.70 $ 12.45 $ 10.20 Net asset value, beginning of period ................ ------- ------- ------- ------- 0.04 0.15 0.06 0.02 Net investment income/(loss)(1) ..................... Net realized and unrealized gain/(loss) on (1.12) 1.65 (1.27) 2.23 investments(2) ................................... ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from (1.08) 1.80 (1.21) 2.25 operations ....................................... ------- ------- ------- ------- Dividends to shareholders from: (0.01) (0.03) (0.06) -- Net investment income ............................... (0.70) (0.11) (0.48) -- Net realized capital gains .......................... ------- ------- ------- ------- (0.71) (0.14) (0.54) -- Total dividends and distributions to shareholders ... ------- ------- ------- ------- $ 10.57 $ 12.36 $ 10.70 $ 12.45 Net asset value, end of period ...................... ======= ======= ======= ======= (9.34%) 16.86% (10.28%) 22.06% Total investment return(3) .......................... ======= ======= ======= ======= RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........... $ 1,201 $ 1,637 $ 6,150 $ 683 Ratio of expenses to average net assets(1) .......... 1.22%(4) 1.25% 1.19% 1.11%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ............... 1.54%(4) 1.55% 1.74% 3.05%(4) Ratio of net investment income to average net assets(1) .................................... 0.56%(4) 0.36% 0.68% 0.91%(4) Portfolio turnover rate ............................. 62.05% 156.16% 111.68% 67.16 - ------------ * Commencement of operations. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on actual shares outstanding on the dates of distributions. (1) Reflects waivers and reimbursements. (2) The amount shown for a share outstanding throughout the period is not in accord with the change in the aggregate gains and losses in investments during the period because of the timing of sales and repurchases of Fund shares in relation to fluctuating net asset value during the period. (3) Total return is not annualized. (4) Annualized.
The accompanying notes are an integral part of the financial statements. 32-33 BOSTON PARTNERS FAMILY OF FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- 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. - --------------------------------------------------------------------------------
MID CAP VALUE FUND ---------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR YEAR JUNE 2, 1997* FEBRUARY 29, 2000 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997 -------------- ---------------- --------------- ---------------- INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL CLASS CLASS CLASS CLASS ------------- ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE** Net asset value, beginning of period ........... $ 11.47 $ 9.48 $ 11.01 $ 10.00 -------- -------- ------- ------- Net investment income/(loss)(1) ................ 0.01 0.02 0.01 0.01 Net realized and unrealized gain/(loss) on investments(2) .............................. (1.84) 1.98 (1.39) 1.00 -------- -------- ------- ------- Net increase/(decrease) in net assets resulting from operations ............................. (1.83) 2.00 (1.38) 1.01 -------- -------- ------- ------- Dividends to shareholders from: Net investment income .......................... (0.02) (0.01) (0.01) -- Net realized capital gains ..................... (0.14) -- (0.14) -- -------- -------- ------- ------- Total dividends and distributions to shareholders (0.16) (0.01) (0.15) -- -------- -------- ------- ------- Net asset value, end of period ................. $ 9.48 $ 11.47 $ 9.48 $ 11.01 ======== ======== ======= ======= Total investment return(3) ..................... (16.09%) 21.08% (12.73%) 10.10% ======== ======== ======= ======= RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ...... $136,898 $173,224 $67,568 $3,750 Ratio of expenses to average net assets(1) ..... 1.00%(4) 1.00% 1.00% 1.00%(4) Ratio of expenses to average net assets without waivers and expense reimbursements .......... 1.22%(4) 1.25% 1.57% 12.37%(4) Ratio of net investment income to average net assets(1) ............................... 0.24%(4) 0.17% 0.13% 1.08%(4) Portfolio turnover rate ........................ 100.88% 200.09% 167.86% 21.80%
MID CAP VALUE FUND ---------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR YEAR JANUARY 16, 1997* FEBRUARY 29, 2000 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997 -------------- ---------------- --------------- ---------------- INVESTOR INVESTOR INVESTOR INVESTOR CLASS CLASS CLASS CLASS ------------- ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE** Net asset value, beginning of period ........... $11.38 $ 9.42 $11.01 $10.00 ------ ------ ------ ------ Net investment income/(loss)(1) ................ -- (0.01) 0.01 0.01 Net realized and unrealized gain/(loss) on investments(2) .............................. (1.83) 1.97 (1.38) 1.00 ------ ------ ------ ------ Net increase/(decrease) in net assets resulting from operations ............................. (1.83) 1.96 (1.37) 1.01 ------ ------ ------ ------ Dividends to shareholders from: Net investment income .......................... -- -- (0.01) -- Net realized capital gains ..................... (0.14) -- (0.21) -- ------ ------ ------ ------ Total dividends and distributions to shareholders (0.14) -- (0.22) -- ------ ------ ------ ------ Net asset value, end of period ................. $ 9.41 $11.38 $ 9.42 $11.01 ====== ====== ====== ====== Total investment return(3) ..................... (16.16%) 20.81% (12.77%) 10.10% ====== ====== ====== ====== RATIOS/SUPPLEMENTAL DATA $1,820 $2,762 $1,828 $ 598 Net assets, end of period (000's omitted) ...... 1.22%(4) 1.25% 1.15% 1.10%(4) Ratio of expenses to average net assets(1) ..... Ratio of expenses to average net assets without 1.36%(4) 1.50% 1.82% 12.62%(4) waivers and expense reimbursements .......... Ratio of net investment income to average 0.03%(4) 0.01% (0.02%) 0.61%(4) net assets(1) ............................... 100.88% 200.09% 167.86% 21.80% Portfolio turnover rate ........................ - ---------- * Commencement of operations. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on actual shares outstanding on the dates of distributions. (1) Reflects waivers and reimbursements. (2) The amount shown for a share outstanding throughout the period is not in accord with the change in the aggregate gains and losses in investments during the period because of the timing of sales and repurchases of Fund shares in relation to fluctuating net asset value during the period. (3) Total return is not annualized. (4) Annualized.
The accompanying notes are an integral part of the financial statements. 34-35 BOSTON PARTNERS FAMILY OF FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- 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. - --------------------------------------------------------------------------------
SMALL CAP VALUE FUND II* -------------------------------------------------- FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR JULY 1, 1998** FEBRUARY 29, 2000 ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 ------------- ------------- ------------- INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL CLASS CLASS CLASS ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE*** Net asset value, beginning of period ..... $ 8.67 $ 7.62 $10.00 ------ ------ ------ Net investment income/(loss)(1) .......... (0.01) (0.01) (0.01) Net realized and unrealized gain/(loss) on investments(2) ...................... 0.05 1.06 (2.37) ------ ------ ------ Net increase/(decrease) in net assets resulting from operations ....... 0.04 1.05 (2.38) ------ ------ ------ Dividends to shareholders from: Net investment income .................... -- -- -- Net realized capital gains ............... -- -- -- ------ ------ ------ Total dividends and distributions to shareholders ........................ -- -- -- ------ ------ ------ Net asset value, end of period ........... $ 8.71 $ 8.67 $ 7.62 ====== ====== ====== Total investment return(3) (5) ........... 0.53% 13.78% (23.80%) ====== ====== ====== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........................ $1,326 $1,309 $1,120 Ratio of expenses to average net assets(1) .......................... 1.55%(4) 1.55% 1.55%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ................. 17.82%(4) 17.84% 17.63%(4) Ratio of net investment income to average net assets(1) .................. (0.27%)(4) (0.17%) (0.34%)(4) Portfolio turnover rate .................. 88.82% 87.48% 11.97%
SMALL CAP VALUE FUND II* -------------------------------------------------- FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR JULY 1, 1998** FEBRUARY 29, 2000 ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 ------------- ------------- ------------- INVESTOR INVESTOR INVESTOR CLASS CLASS CLASS ------------- ------------- ------------- PER SHARE OPERATING PERFORMANCE*** $ 8.65 $ 7.63 $10.00 Net asset value, beginning of period ..... ------ ------ ------ (0.03) (0.02) (0.01) Net investment income/(loss)(1) .......... Net realized and unrealized gain/(loss) 0.08 1.04 (2.36) on investments(2) ...................... ------ ------ ------ Net increase/(decrease) in net 0.05 1.02 (2.37) assets resulting from operations ....... ------ ------ ------ Dividends to shareholders from: -- -- -- Net investment income .................... -- -- -- Net realized capital gains ............... ------ ------ ------ Total dividends and distributions -- -- -- to shareholders ........................ ------ ------ ------ $ 8.70 $ 8.65 $ 7.63 Net asset value, end of period ........... ====== ====== ====== 0.51% 13.37% (23.70%) Total investment return(3) (5) ........... ====== ====== ====== RATIOS/SUPPLEMENTAL DATA Net assets, end of period $ 279 $ 293 $ 129 (000's omitted) ........................ Ratio of expenses to average 1.77%(4) 1.80% 1.80%(4) net assets(1) .......................... Ratio of expenses to average net assets without waivers and 17.96%(4) 18.09% 18.61%(4) expense reimbursements ................. Ratio of net investment income to (0.49%)(4) (0.42%) (0.66%)(4) average net assets(1) .................. 88.82% 87.48% 11.97% Portfolio turnover rate ..................
MARKET NEUTRAL FUND ----------------------------------------------------------------------------- FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD SIX MONTHS ENDED NOVEMBER 17, 1998* SIX MONTHS ENDED NOVEMBER 17, 1998** FEBRUARY 29, 2000 THROUGH FEBRUARY 29, 2000 THROUGH (UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999 --------------- ------------------ --------------- ------------------ INSTITUTIONAL INSTITUTIONAL INVESTOR INVESTOR CLASS CLASS CLASS CLASS --------------- ------------------ --------------- ------------------ PER SHARE OPERATING PERFORMANCE*** Net asset value, beginning of period .......................... $ 9.46 $10.00 $ 9.43 $10.00 ------ ------ ------ ------ Net investment income/(loss)(1) ...... 0.06 0.12 0.02 0.06 Net realized and unrealized gain/(loss) on investments(2) ...... (1.37) (0.66) (1.30) (0.63) ------ ------ ------ ------ Net increase/(decrease) in net assets resulting from operations ... (1.31) (0.54) (1.28) (0.57) ------ ------ ------ ------ Dividends to shareholders from: Net investment income ................ (0.14) -- (0.13) -- Net realized capital gains ........... -- -- -- -- ------ ------ ------ ------ Total dividends and distributions to shareholders .................... (0.14) -- (0.13) -- ------ ------ ------ ------ Net asset value, end of period ....... $ 8.01 $ 9.46 $ 8.02 $ 9.43 ====== ====== ====== ====== Total investment return(3) (5) ....... (13.71%) (5.40%) (13.98%) (5.70%) ====== ====== ====== ====== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) .................... $ 818 $ 941 $ 199 $ 231 Ratio of expenses to average net assets(1) ...................... 2.50%(4) 2.50%(4)(6) 2.72%(4) 2.75%(4)(6) Ratio of expenses to average net assets without waivers and expense reimbursements ......... 23.91%(4)(6) 26.36%(4)(6) 24.05%(4) 26.61%(4)(6) Ratio of net investment income to average net assets(1) ........... 1.72%(4) 1.57%(4) 1.51%(4) 1.32%(4) Portfolio turnover rate .............. 193.64% 218.41% 193.64% 218.41% - --------------- * Formerly known as Micro Cap Value Fund. ** Commencement of operations. *** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on actual shares outstanding on the dates of distributions. (1) Reflects waivers and reimbursements. (2) The amount shown for a share outstanding throughout the period is not in accord with the change in the aggregate gains and losses in investments during the period because of the timing of sales and repurchases of Fund shares in relation to fluctuating net asset value during the period. (3) Total return is not annualized. (4) Annualized. (5) Redemption fee of 1.00% is not reflected in total return calculations. (6) Without the voluntary waiver of advisory and administration fees, the ratios of expenses to average net assets for the Institutional Class would have been 23.91% (excluding dividend expense) and 24.18% (including dividend expense) annualized for the six months ended February 29, 2000, and 26.36% (excluding dividend expense) and 26.77% (including dividend expense) annualized for the period ended August 31, 1999. Without the voluntary waiver of advisory and administration fees, the ratios of expenses to average net assets for the Investor Class would have been 24.06% (excluding dividend expense) and 24.34% (including dividend expense) annualized for the six months ended February 29, 2000, and 26.61% (excluding dividend expense) and 27.02% (including dividend expense) annualized for the period ended August 31, 1999.
The accompanying notes are an integral part of the financial statements. 36-37 BOSTON PARTNERS FAMILY OF FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) - -------------------------------------------------------------------------------- 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. - --------------------------------------------------------------------------------
BOND FUND ---------------------------------------------------------- FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR DECEMBER 30, 1997* FEBRUARY 29, 2000 ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 ---------------- --------------- ------------------- INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL CLASS CLASS CLASS ---------------- --------------- ------------------- PER SHARE OPERATING PERFORMANCE** Net asset value, beginning of period .......................... $ 9.41 $ 10.08 $ 10.00 ------- ------- ------- Net investment income/(loss)(1) ............................... 0.32 0.96 0.78 Net realized and unrealized gain/(loss) on investments(2) ..... (0.19) (0.90) (0.31) ------- ------- ------- Net increase/(decrease) in net assets resulting from operations 0.13 0.06 0.47 ------- ------- ------- Dividends to shareholders from: Net investment income ......................................... (0.32) (0.62) (0.39) Net realized capital gains .................................... -- (0.11) -- ------- ------- ------- Total dividends and distributions to shareholders ............. (0.32) (0.73) (0.39) ------- ------- ------- Net asset value, end of period ................................ $ 9.22 $ 9.41 $ 10.08 ======= ======= ======= Total investment return(3) (5) ................................ 1.36% 0.42% 4.79% ======= ======= ======= RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ..................... $10,664 $12,041 $15,509 Ratio of expenses to average net assets(1) .................... 0.60%(4) 0.60% 0.60%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ..................................... 2.75%(4) 2.22% 2.82%(4) Ratio of net investment income to average net assets(1) ....... 6.69%(4) 6.22% 6.06%(4) Portfolio turnover rate ....................................... 18.12% 57.60% 45.27%
BOND FUND ---------------------------------------------------------- FOR THE FOR THE FOR THE PERIOD SIX MONTHS ENDED YEAR DECEMBER 30, 1997* FEBRUARY 29, 2000 ENDED THROUGH (UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 ---------------- --------------- ------------------- INVESTOR INVESTOR INVESTOR CLASS CLASS CLASS ---------------- --------------- ------------------- PER SHARE OPERATING PERFORMANCE** Net asset value, beginning of period .......................... $ 9.47 $10.10 $10.00 ------ ------ ------ Net investment income/(loss)(1) ............................... 0.32 0.93 0.62 Net realized and unrealized gain/(loss) on investments(2) ..... (0.20) (0.90) (0.16) ------ ------ ------ Net increase/(decrease) in net assets resulting from operations 0.12 0.03 0.46 ------ ------ ------ Dividends to shareholders from: Net investment income ......................................... (0.31) (0.55) (0.36) Net realized capital gains .................................... -- (0.11) -- ------ ------ ------ Total dividends and distributions to shareholders ............. (0.31) (0.66) (0.36) ------ ------ ------ Net asset value, end of period ................................ $ 9.28 $ 9.47 $10.10 ====== ====== ====== Total investment return(3) (5) ................................ 1.24% 0.17% 4.63% ====== ====== ====== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ..................... $ 160 $ 188 $ 198 Ratio of expenses to average net assets(1) .................... 0.82%(4) 0.85% 0.85%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ..................................... 2.89%(4) 2.47% 2.72%(4) Ratio of net investment income to average net assets(1) ....... 6.47%(4) 5.97% 5.83%(4) Portfolio turnover rate ....................................... 18.12% 57.60% 45.27% - -------------- * Commencement of operations. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on actual shares outstanding on the dates of distributions. (1) Reflects waivers and reimbursements. (2) The amount shown for a share outstanding throughout the period is not in accord with the change in the aggregate gains and losses in investments during the period because of the timing of sales and repurchases of Fund shares in relation to fluctuating net asset value during the period. (3) Total return is not annualized. (4) Annualized. (5) Redemption fee of 1.00% is not reflected in total return calculations.
The accompanying notes are an integral part of the financial statements. 38-39 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB") 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. The portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently RBB has seventeen investment portfolios, including Boston Partners Large Cap Value Fund ("Large Cap Fund"), Boston Partners Mid Cap Value Fund ("Mid Cap Fund"), Boston Partners Small Cap Value Fund II ("Small Cap Fund II"), Boston Partners Market Neutral Fund ("Market Neutral Fund") and Boston Partners Bond Fund ("Bond Fund") (each a "Fund", collectively the "Funds"). The Large Cap Fund, the Mid Cap Fund, the Small Cap Fund II, the Market Neutral Fund and the Bond Fund each offer two classes of shares, Institutional Class and Investor Class. RBB has authorized capital of thirty billion shares of common stock of which 20.03 billion are currently classified into ninety-nine classes. Each class represents an interest in one of seventeen investment portfolios of RBB. The classes have been grouped into fifteen separate "families," ten of which have begun investment operations, The Boston Partners Family of Funds includes the Large Cap Fund, which commenced investment operations on January 2, 1997, the Mid Cap Fund, which commenced operations on June 2, 1997, the Small Cap Fund II (formerly the Micro Cap Value Fund), which commenced investment operations on July 1, 1998, the Market Neutral Fund, which commenced investment operations on November 17, 1998 and the Bond Fund, which commenced investment operations on December 30, 1997. PORTFOLIO VALUATION -- The net asset value of the Fund is determined as of 4:00 p.m. eastern time on each business day. Each Fund's securities are valued at the last reported sales price on the national securities exchange or national securities market on which such shares are primarily traded. If no sales are reported, as in the case of some securities traded over-the-counter, portfolio securities are valued at the mean between the last reported bid and asked prices. Securities for which market quotations are not readily available are valued at fair market value as determined in good faith by or under the direction of RBB's Board of Directors. With the approval of RBB's Board of Directors, each Fund may use a pricing service, bank or broker-dealer experienced in such matters to value its securities. Short-term obligations with maturities of 60 days or less are valued at amortized cost that approximates market value. 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. USE OF ESTIMATES -- The preparation of financial statements in conformity with 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. 40 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) REPURCHASE AGREEMENTS -- The Funds have agreed to purchase securities from financial institutions subject to the seller's agreement to repurchase them at an agreed-upon time and price ("repurchase agreements"). The financial institutions with whom the Funds enter into repurchase agreements are banks and broker/dealers that Boston Partners Asset Management, L.P. (the Funds' investment adviser or "Boston Partners") considers creditworthy. The seller under a repurchase agreement will be required to maintain the value of the securities as collateral, subject to the agreement at not less than the repurchase price plus accrued interest. Boston Partners marks to market daily the value of the collateral, and, if necessary, requires the seller to maintain additional securities, to ensure that the value is not less than the repurchase price. Default by or bankruptcy of the seller would, however, expose the Funds to possible loss because of adverse market action or delays in connection with the disposition of the underlying securities. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- 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 recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. 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 (after adjusting for current capital share activity of the respective classes). DIVIDENDS AND DISTRIBUTIONS -- Dividends from net investment income, if any, are declared and paid at least annually to shareholders. Dividends from net investment income of the Bond Fund are declared and paid monthly. Distributions from net realized capital gains, if any, are distributed at least annually. Income and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from generally accepted accounting principles. These differences include the treatment of non-taxable dividends, expiring capital loss carryforwards, foreign currency gain/loss, partnerships, and losses deferred due to wash sales and excise tax regulations. Permanent book and tax basis differences relating to shareholder distributions will result in reclassifications to paid in capital. U.S. FEDERAL TAX STATUS -- No provision is made for U.S. federal income taxes as it is the Funds' 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. federal income and substantially all excise taxes. SHORT SALES -- When the Adviser anticipates that a security is overvalued, it may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces such security. A Fund will realize a gain if there is a decline in price of the security between those dates which decline exceeds the costs of the 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 limited only by the maximum attainable price of the security less the price at which the security was sold. 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. The Funds will not make a short sale if, after giving effect to such sale, the market value of all securities sold short exceeds 100% of the value of a Fund's net assets. 41 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES Boston Partners Asset Management, L.P. serves as the Funds' investment adviser. For its advisory services, Boston Partners is entitled to receive 0.75% of the Large Cap Fund's average daily net assets, 0.80% of the Mid Cap Fund's average daily net assets, 1.25% of the Small Cap Fund II's average daily net assets, 2.25% of the Market Neutral Fund's average daily net assets and 0.40% of the Bond Fund's average daily net assets, each computed daily and payable quarterly. The adviser has agreed to limit the Large Cap Fund and the Mid Cap Fund's total operating expenses for the current and the following fiscal year to the extent that such expenses exceeded 1.00% and 1.22% of the Large Cap Fund and the Mid Cap Funds' average daily net assets for the Institutional and Investor Classes, respectively. The adviser has agreed to limit the Small Cap Fund II's total operating expenses for the current and the following fiscal year to the extent that such expenses exceed 1.55% and 1.77% of the Small Cap Fund II's average daily net assets for the Institutional and Investor Classes, respectively. The adviser has agreed to limit the Market Neutral Fund's total operating expenses for the current and the following fiscal year to the extent that such expenses exceed 2.50% and 2.72% of the Market Neutral Fund's average daily net assets for the Institutional and Investor Classes, respectively. The adviser has agreed to limit the Bond Fund's total operating expenses for the current and the following fiscal year to the extent that such expenses exceeded 0.60% and 0.82% of the Bond Fund's average daily net assets for the Institutional and Investor Classes, respectively. This limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee as necessary. For the six months ended February 29, 2000, investment advisory fees, waivers and reimbursements of expenses were as follows: GROSS NET EXPENSE FUND FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT - ---- ------------ --------- ------------- ------------- Large Cap Fund $193,384 $(71,603) $121,781 -- Mid Cap Fund 631,989 (75,680) 556,309 -- Small Cap Fund II 9,622 (9,622) -- $(77,975) Market Neutral Fund 10,356 (10,356) -- (64,803) Bond Fund 23,692 (23,692) -- (71,998) The Funds will not pay Boston Partners at a later time for any amounts they may waive or any amounts which Boston Partners has assumed. PFPC, Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide Inc., an indirect majority-owned subsidiary of The PNC Financial Services Group, Inc., serves as administrator for the Funds. For providing administrative services, PFPC is entitled to receive a monthly fee equal to an annual rate of 0.125% of the Funds' average daily net assets. For the six months ended February 29, 2000, PFPC, at their discretion, voluntarily agreed to waive a portion of their administration fees for the Funds. For the six months ended February 29, 2000, PFPC's administration fees and related waivers were as follows: PFPC GROSS NET PFPC FUND ADMINISTRATION FEES WAIVERS ADMINISTRATION FEES - ---- ------------------- --------- ------------------- Large Cap Fund $37,500 -- $37,500 Mid Cap Fund 98,748 -- 98,748 Small Cap Fund II 37,500 $(18,751) 18,749 Market Neutral Fund 37,500 (18,751) 18,749 Bond Fund 37,500 (12,500) 25,000 42 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) In addition, PFPC serves as the Funds' transfer and dividend disbursing agent. PFPC, at their discretion, voluntarily agreed to waive a portion of their transfer agency fees for the Funds. For the six months ended February 29, 2000, transfer agency fees and waivers were as follows: GROSS TRANSFER NET TRANSFER FUND AGENCY FEES WAIVERS AGENCY FEES - ---- --------------- --------- ------------ Large Cap Fund $37,911 -- $37,911 Mid Cap Fund 37,132 -- 37,132 Small Cap Fund II 37,456 $(18,000) 19,456 Market Neutral Fund 36,364 (18,000) 18,364 Bond Fund 37,878 (12,000) 25,878 Provident Distributors, Inc. ("PDI"), provides certain administrative services to the Institutional Class of the Funds. As compensation for such administrative services, PDI is entitled to receive a monthly fee calculated at the annual rate of 0.15% of the average daily net assets of each Fund's Institutional Class Shares. PDI is currently waiving fees in excess of 0.03% of the average daily net assets of each Fund's Institutional Class Shares. Additionally, PDI receives a fee at an annual rate of 0.25% of the average daily net assets of each Fund's Investor Class Shares pursuant to a distribution plan adopted by each Fund pursuant to Rule 12b-1 under the 1940 Act. For the six months ended February 29, 2000, administrative services fees and waivers were as follows: GROSS ADMINISTRATIVE NET ADMINISTRATIVE FUND SERVICES FEES WAIVERS SERVICES FEES - ---- -------------------- --------- ------------------ Large Cap Fund $37,910 $(30,328) $7,582 Mid Cap Fund 117,406 (93,924) 23,482 Small Cap Fund II 1,023 (818) 205 Market Neutral Fund 690 (552) 138 Bond Fund 8,795 (7,035) 1,760 PFPC Trust Co., a wholly owned subsidiary of PFPC Worldwide Inc., an indirect majority owned subsidiary of The PNC Financial Services Group, Inc., provides certain custodial services to the Funds. As compensation for such custodial services, PNC is entitled to receive a monthly fee equal to an annual rate of 0.015% of the Funds' average daily gross assets. For the six months ended February 29, 2000, PFPC Trust Co. has, at its discretion, voluntarily agreed to waive a portion of its custodial fees for the Funds. For the six months ended February 29, 2000, custodial fees and waivers were as follows: GROSS CUSTODIAL NET CUSTODIAL FUND FEES WAIVERS FEES - ---- --------------- ------- ------------- Large Cap Fund $14,592 -- $14,592 Mid Cap Fund 21,565 -- 21,565 Small Cap Fund II 8,796 -- 8,796 Market Neutral Fund 16,089 $(100) 15,989 Bond Fund 7,855 -- 7,855 43 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 3. INVESTMENT IN SECURITIES For U.S. federal income tax purposes, the costs of securities owned at February 29, 2000, were $48,309,519, $155,586,311, $166,466, $910,424 and $811,569,841, respectively, for the Large Cap Fund, the Mid Cap Fund, the Small Cap Fund II, the Market Neutral Fund and the Bond Fund. Accordingly, the net unrealized appreciation/(depreciation) of investments are as follows: NET APPRECIATION/ FUND APPRECIATION DEPRECIATION (DEPRECIATION) - ---- ------------ ------------ ----------------- Large Cap Fund $2,041,400 $(7,424,741) $(5,383,341) Mid Cap Fund 6,128,451 (22,182,725) (16,054,274) Small Cap Fund II 154,277 (182,779) (28,502) Market Neutral Fund 233,068 (71,907) 161,161 Bond Fund 6,660 (838,172) (832,512) For the six months ended February 29, 2000, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows: INVESTMENT SECURITIES ------------------------------- FUND PURCHASES SALES - ---- ------------ ------------ Large Cap Fund $ 30,861,896 $ 36,050,687 Mid Cap Fund 164,692,646 157,005,048 Small Cap Fund II 1,354,851 1,417,691 Market Neutral Fund 1,962,155 2,281,865 Bond Fund 2,124,414 2,998,426 - ------------ * The Market Neutral Fund had purchases of $1,700,443 to cover short sales and received proceeds of $1,289,520 from sales of short securities. 4. CAPITAL SHARE TRANSACTIONS As of February 29, 2000, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized. Transactions in capital shares for the respective periods were as follows:
LARGE CAP VALUE FUND -------------------------------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED (UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999 ----------------------- ------------------------- ------------------- ---------------------- INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS ----------------------- ------------------------- ------------------- ---------------------- SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE -------- ------------ ---------- ------------ ------- --------- -------- ----------- Sales ............ 357,154 $ 4,229,009 2,350,373 $ 25,419,814 32,459 $ 385,448 252,467 $ 3,057,026 Repurchases ...... (951,939) (10,930,917) (2,888,244) (35,624,409) (59,330) (702,551) (701,743) (9,049,056) Reinvestments .... 287,323 3,335,821 82,453 1,000,152 7,915 93,472 6,901 84,672 -------- ------------ ---------- ------------ ------- --------- -------- ----------- Net Increase/ (Decrease) .. (307,462) $ (3,366,087) (455,418) $ (9,204,443) (18,956) $(223,631) (442,375) $(5,907,358) ======== ============ ========== ============ ======= ========= ======== ===========
44 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
MID CAP VALUE FUND -------------------------------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED (UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999 ------------------------- ----------------------- ------------------- ---------------------- INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS ------------------------- ----------------------- ------------------- ---------------------- SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE -------- ------------ --------- ------------ ------- --------- -------- ----------- Sales ............ 558,736 $ 5,655,342 9,955,056 $107,297,978 16,997 $ 178,494 127,161 $1,348,569 Repurchases ...... (1,415,187) (14,497,458) (1,987,489) (21,447,511) (69,361) (722,275) (78,465) (846,633) Reinvestments .... 190,810 1,953,896 6,849 73,489 2,982 30,356 3 39 -------- ------------ --------- ------------ ------- --------- ------- ---------- Net Increase/ (Decrease) .. (665,641) $ (6,888,220) 7,974,416 $ 85,923,956 (49,382) $(513,425) 48,699 $ 501,975 ======== ============ ========= ============ ======= ========= ======= ==========
SMALL CAP VALUE FUND II ------------------------------------------------------------------------------------------------ FOR THE SIX MONTHS FOR THE SIX MONTHS ENDED ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED (UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999 -------------------- ------------------- ------------------- -------------------- INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS -------------------- ------------------- ------------------- -------------------- SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE ------ ------- ------ ----- ------ ----- ------ ----- Sales ............ 2,338 $20,600 4,159 $32,821 4,766 $ 40,105 18,820 $143,500 Repurchases ...... (1,184) (10,004) (20) (157) (6,496) (53,180) (1,818) (13,975) Reinvestments .... 65 539 -- -- -- -- -- -- ----- ------- ----- ------- ------ -------- ------ -------- Net Increase/ (Decrease) .. 1,219 $11,135 4,139 $32,664 (1,730) $(13,075) 17,002 $129,525 ===== ======= ===== ======= ====== ======== ====== ========
MARKET NEUTRAL FUND -------------------------------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE PERIOD FOR THE SIX MONTHS ENDED FOR THE PERIOD FEBRUARY 29, 2000 NOVEMBER 17, 1998* FEBRUARY 29, 2000 NOVEMBER 17, 1998* (UNAUDITED) THROUGH AUGUST 31, 1999 (UNAUDITED) THROUGH AUGUST 31, 1999 ---------------------- ----------------------- ---------------------- ----------------------- INSTITUTIONAL CLASS INSTITUTIONAL CLASS INSTITUTIONAL CLASS INSTITUTIONAL CLASS ---------------------- ----------------------- ---------------------- ----------------------- SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE ------ ------- ------ ----- ------ ----- ------ ----- Sales ............ 866 $ 7,000 99,500 $995,000 -- $ -- 24,477 $223,000 Repurchases ...... -- -- -- -- (5) (40) -- -- Reinvestments .... 1,786 14,358 -- -- 389 3,804 -- -- ----- ------- ------ -------- --- ------ ------ -------- Net Increase/ (Decrease) .. 2,652 $21,358 99,500 $995,000 384 $3,764 24,477 $223,000 ===== ======= ====== ======== === ====== ====== ========
45 BOSTON PARTNERS FAMILY OF FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
BOND FUND -------------------------------------------------------------------------------------------------- FOR THE SIX MONTHS ENDED FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED (UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999 ----------------------- ---------------------- -------------------- ------------------- INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS ----------------------- ---------------------- -------------------- ------------------- SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE -------- ----------- -------- ----------- ------ -------- ------ ------- Sales ............ 4,163 $39,500 278,829 $2,750,309 -- -- -- -- Repurchases ...... (169,928) (1,585,157) (639,817) (6,314,310) (3,273) $(30,335) (988) $(9,812) Reinvestments .... 42,096 391,655 102,359 1,010,290 623 5,833 1,275 12,627 -------- ----------- -------- ----------- ------ -------- ----- ------- Net Increase/ (Decrease) .. (123,669) $(1,154,002) (258,629) $(2,553,711) (2,650) $(24,502) 287 $2,815 ======== =========== ======== =========== ====== ======== ===== ======= - ------------- * Commencement of operations
There is a 1.00% redemption fee on shares redeemed which have been held 365 days or less on the Small Cap Fund II. For the period September 1, 1999 through February 29, 2000 these fees amounted to $49. The redemption fees are collected and retained by the Fund for the benefit of the remaining shareholders. On February 29, 2000 four shareholders held approximately 61% of the outstanding shares of the Large Cap Fund Institutional Class, one shareholder held approximately 56% of the outstanding shares of the Large Cap Investor Class, two shareholders held approximately 61% of the outstanding shares of the Mid Cap Fund Investor Class, three shareholders held approximately 93% of the outstanding shares of the Bond Fund Institutional Class, one shareholder held approximately 97% of the Bond Fund Investor Class, one shareholder held approximately 65% of the outstanding shares of the Small Cap Fund II Institutional Class, three shareholders held approximately 91% of the outstanding shares of the Small Cap Fund II Investor Class, one shareholder held approximately 99% of the outstanding shares of the Market Neutral Fund Institutional Class and one shareholder held approximately 90% of the outstanding shares of the Market Neutral Fund Investor Class. 5. CAPITAL LOSS CARRYOVER At August 31, 1999, Capital loss carryovers were available to offset future realized gains as follows: $85,089 in the Market Neutral Fund which expires in 2007 and $107,087 in the Small Cap Fund II, $32,463 which expires in 2006 and $74,624 which expires in 2007. 46 [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISER Boston Partners Asset Management, L.P. 28 State Street Boston, MA 02109 ADMINISTRATOR/TRANSFER AGENT PFPC Inc. 400 Bellevue Parkway Wilmington, DE 19809 DISTRIBUTOR Provident Distributors, Inc. 3200 Horizon Dr. King of Prussia, PA 19046 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT ACCOUNTANTS PricewaterhouseCoopers LLP 2400 Eleven Penn Center Philadelphia, PA 19103 COUNSEL Drinker Biddle & Reath LLP One Logan Square 18th and Cherry Streets Philadelphia, PA 19103-6996 The financial information included herein is taken from the records of each Fund without examination by independent accountants who do not express an opinion thereon. This report is submitted for the general information of the shareholders of each Fund. It is not authorized for the distribution to prospective investors in the Funds unless it is preceded or accompanied by a current prospectus which includes details regarding the Fund's objectives, policies and other information. Total investment return is based on historical results and is not intended to indicate future performance. The investment return and principal value of an investment in the Funds will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than original cost. -----END PRIVACY-ENHANCED MESSAGE-----