0000935069-01-500631.txt : 20011119
0000935069-01-500631.hdr.sgml : 20011119
ACCESSION NUMBER: 0000935069-01-500631
CONFORMED SUBMISSION TYPE: N-30D
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20010831
FILED AS OF DATE: 20011106
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: 1940 Act
SEC FILE NUMBER: 811-05518
FILM NUMBER: 1775593
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
g01-1320.txt
NUMERIC INVESTORS ANNUAL REPORT
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
[GRAPHIC OMITTED]
n/i numeric investors
Micro Cap Fund
[GRAPHIC OMITTED]
n/i numeric investors
Growth Fund
[GRAPHIC OMITTED]
n/i numeric investors
Mid Cap Fund
[GRAPHIC OMITTED]
n/i numeric investors
Small Cap Value Fund
Annual Report
August 31, 2001
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
ADVISER'S REPORT
October 5, 2001
Dear Shareholder:
MARKET COMMENTARY
This annual report for the N/I NUMERIC INVESTORS FAMILY OF MUTUAL FUNDS is being
written at the very end of September 2001, and with a heavy heart. This report
discusses the performance of the N/I NUMERIC INVESTORS MUTUAL FUNDS through the
fiscal year ended August 31st. Normally it would be appropriate to confine our
remarks to the fiscal year ended August. But these are not normal times, given
the horrifying events of September 11th. Events before that day now seem so long
ago as to have little relevance. Nonetheless, this report focuses on the year
ended August 31st because it is essential that we analyze and learn from the
past year even as we contemplate the opportunity and challenges facing investors
at present.
We have absolute confidence in the ability of America to rise to the current
challenge and to prevail, so we believe that the U.S. stock market remains a
good long-term investment. In our opinion, forward-looking investors must agree
that the market represents a better value today with the NASDAQ at 1500, than
eighteen months ago when the NASDAQ was at 5100. We believe that successful
investors invest for the future, not based on the returns of the recent past.
Therefore this report will also consider whether the market remains an
attractive investment given recent events.
ECONOMIC BACKGROUND
The American market and economy were already slumping prior to September 11th.
This slide began as an unwinding of two massive bubbles in New Economy and
megacap stocks. It appears to us that these bubbles created a false sense of
infallibility for stock investors and company managements alike, causing both to
make bad investment decisions. In our opinion, as a consequence of these bad
decisions, the economy has begun to sputter.
At its peak in early 2000, fully twenty-percent of U.S. market capitalization
was in stocks selling at price-earnings ratios higher than 128 times earnings,
if they had earnings at all! And sixty-percent of the U.S. market's total
capitalization became concentrated in just fifty enormous stocks that it seems
the institutions felt compelled to own lest they be different from one another
and risk conspicuous underperformance. In the following chart we plot the rise
and collapse of these New Economy and Megacap bubbles. The violet line shows how
the price-earnings ratio of the priciest twenty-percent of the U.S. market began
to soar in 1998 but has now dropped back to earth. Similarly, the price-earnings
ratio premium (green line) for Megacap stocks above the rest of the market began
to soar in 1998 but has since fallen back.
1
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
HIGHEST P/E QUINTILE AND MEGACAP 50 P/E PREMIUM OVER NEXT 150 LARGEST STOCKS
Source: The Frank Russell Company (data through August 2001)
Highest P/E Quintile
Dec-78 12.6
Jan-79 12.3
Feb-79 12.1
Mar-79 12
Apr-79 11.8
May-79 11.7
Jun-79 11.8
Jul-79 11.8
Aug-79 12
Sep-79 12.3
Oct-79 12.2
Nov-79 12.3
Dec-79 12.5
Jan-80 11.8
Feb-80 11.3
Mar-80 10.8
Apr-80 10.9
May-80 11
Jun-80 11.3
Jul-80 12.1
Aug-80 13
Sep-80 14.1
Oct-80 14.5
Nov-80 14.9
Dec-80 15.6
Jan-81 15.3
Feb-81 15.2
Mar-81 15.3
Apr-81 14.9
May-81 14.7
Jun-81 14.6
Jul-81 13.6
Aug-81 12.8
Sep-81 12.1
Oct-81 12.2
Nov-81 12.5
Dec-81 12.9
Jan-82 12.1
Feb-82 11.5
Mar-82 11
Apr-82 11.1
May-82 11.3
Jun-82 11.6
Jul-82 12.1
Aug-82 12.7
Sep-82 13.4
Oct-82 14.6
Nov-82 15.9
Dec-82 17.4
Jan-83 17.9
Feb-83 18.6
Mar-83 19.5
Apr-83 21.5
May-83 23.6
Jun-83 26
Jul-83 25.2
Aug-83 24.8
Sep-83 24.5
Oct-83 24.3
Nov-83 24.3
Dec-83 24.6
Jan-84 22.7
Feb-84 21.1
Mar-84 19.6
Apr-84 18.2
May-84 17
Jun-84 15.9
Jul-84 15.8
Aug-84 15.9
Sep-84 16.1
Oct-84 16
Nov-84 16.1
Dec-84 16.3
Jan-85 16.3
Feb-85 16.4
Mar-85 16.7
Apr-85 17.1
May-85 17.7
Jun-85 18.5
Jul-85 18.1
Aug-85 17.9
Sep-85 17.9
Oct-85 19
Nov-85 20.4
Dec-85 21.9
Jan-86 23.3
Feb-86 24.9
Mar-86 26.8
Apr-86 27.5
May-86 28.4
Jun-86 29.6
Jul-86 27.5
Aug-86 25.7
Sep-86 24.1
Oct-86 24.3
Nov-86 24.7
Dec-86 25.3
Jan-87 28.4
Feb-87 29.3
Mar-87 30.1
Apr-87 29.6
May-87 30.5
Jun-87 31.4
Jul-87 31.1
Aug-87 31.6
Sep-87 31.1
Oct-87 21.6
Nov-87 19.3
Dec-87 22.4
Jan-88 20.2
Feb-88 21.6
Mar-88 20.8
Apr-88 20.4
May-88 19.1
Jun-88 20.4
Jul-88 19.2
Aug-88 17.1
Sep-88 17.7
Oct-88 17.5
Nov-88 16.6
Dec-88 17
Jan-89 17.9
Feb-89 17.6
Mar-89 18.3
Apr-89 19.3
May-89 20.3
Jun-89 20
Jul-89 21.6
Aug-89 21
Sep-89 22
Oct-89 21.4
Nov-89 21.8
Dec-89 21.5
Jan-90 19.9
Feb-90 20.7
Mar-90 21.2
Apr-90 21.1
May-90 23.5
Jun-90 23.9
Jul-90 23.6
Aug-90 21.3
Sep-90 19.9
Oct-90 19.2
Nov-90 20.8
Dec-90 21.1
Jan-91 21.2
Feb-91 23.5
Mar-91 24.8
Apr-91 23.7
May-91 25
Jun-91 24.2
Jul-91 25.6
Aug-91 26.6
Sep-91 26
Oct-91 28.6
Nov-91 29.8
Dec-91 34.4
Jan-92 41
Feb-92 41.5
Mar-92 40.9
Apr-92 37.3
May-92 37.5
Jun-92 39.7
Jul-92 40.7
Aug-92 37.9
Sep-92 38.6
Oct-92 33.7
Nov-92 35.7
Dec-92 35.2
Jan-93 32
Feb-93 32
Mar-93 33.4
Apr-93 30.7
May-93 31.6
Jun-93 32.5
Jul-93 32
Aug-93 33.4
Sep-93 35.5
Oct-93 34.9
Nov-93 36.6
Dec-93 36.7
Jan-94 39.9
Feb-94 32.2
Mar-94 30.8
Apr-94 29.9
May-94 30.2
Jun-94 30.8
Jul-94 29.4
Aug-94 30.7
Sep-94 30.9
Oct-94 27.6
Nov-94 26.5
Dec-94 26.4
Jan-95 24.9
Feb-95 22.9
Mar-95 23.5
Apr-95 23.2
May-95 22.9
Jun-95 24.6
Jul-95 26.3
Aug-95 25.3
Sep-95 25.5
Oct-95 24.9
Nov-95 26.1
Dec-95 26.4
Jan-96 31.5
Feb-96 33.5
Mar-96 34.3
Apr-96 33.4
May-96 35.8
Jun-96 38.2
Jul-96 33.4
Aug-96 33.7
Sep-96 37.7
Oct-96 35.7
Nov-96 37.1
Dec-96 36.7
Jan-97 34.8
Feb-97 31.5
Mar-97 30.7
Apr-97 30.9
May-97 33.5
Jun-97 38.2
Jul-97 42.7
Aug-97 39
Sep-97 42.3
Oct-97 41.3
Nov-97 41.8
Dec-97 40.4
Jan-98 40.9
Feb-98 42.4
Mar-98 48
Apr-98 52.4
May-98 48.6
Jun-98 59.4
Jul-98 51.3
Aug-98 41.5
Sep-98 47.6
Oct-98 47.4
Nov-98 54.5
Dec-98 68.3
Jan-99 63.9
Feb-99 56.2
Mar-99 70
Apr-99 56.9
May-99 57.2
Jun-99 64.9
Jul-99 55.7
Aug-99 60.1
Sep-99 60.6
Oct-99 58.4
Nov-99 71.9
Dec-99 99.3
Jan-00 93.5
Feb-00 121.4
Mar-00 111.6
Apr-00 95.6
May-00 80.7
Jun-00 106.6
Jul-00 98.6
Aug-00 116.5
Sep-00 107.1
Oct-00 85.3
Nov-00 68.2
Dec-00 70.8
Jan-01 76.5
Feb-01 60.3
Mar-01 45.7
Apr-01 49.2
May-01 52.6
Jun-01 56.2
Jul-01 50.1
Aug-01 43.2
MegaCap Premium over Next Largest 150 Stocks
Dec-78 16.2
Jan-79 15.8
Feb-79 15.3
Mar-79 14.9
Apr-79 12.2
May-79 9.5
Jun-79 6.8
Jul-79 7.7
Aug-79 8.6
Sep-79 9.5
Oct-79 8.1
Nov-79 6.8
Dec-79 5.4
Jan-80 8.5
Feb-80 11.9
Mar-80 15.6
Apr-80 10.9
May-80 6.7
Jun-80 2.7
Jul-80 3.6
Aug-80 4.4
Sep-80 5.1
Oct-80 5.4
Nov-80 5.6
Dec-80 5.9
Jan-81 2
Feb-81 -2
Mar-81 -6.1
Apr-81 -3.7
May-81 -1.3
Jun-81 1.3
Jul-81 -1.4
Aug-81 -4.3
Sep-81 -7.5
Oct-81 -5.3
Nov-81 -3.3
Dec-81 -1.4
Jan-82 -1.9
Feb-82 -2.5
Mar-82 -3
Apr-82 -2
May-82 -1
Jun-82 0
Jul-82 -1.4
Aug-82 -2.7
Sep-82 -3.9
Oct-82 -4.8
Nov-82 -5.6
Dec-82 -6.3
Jan-83 -8.2
Feb-83 -10.1
Mar-83 -11.9
Apr-83 -9
May-83 -6.3
Jun-83 -3.7
Jul-83 -3.8
Aug-83 -3.9
Sep-83 -4
Oct-83 -7.6
Nov-83 -11.1
Dec-83 -14.4
Jan-84 -11.2
Feb-84 -7.5
Mar-84 -3.4
Apr-84 -3.5
May-84 -3.5
Jun-84 -3.6
Jul-84 -3.5
Aug-84 -3.5
Sep-84 -3.5
Oct-84 -4.6
Nov-84 -5.6
Dec-84 -6.6
Jan-85 -6.8
Feb-85 -7
Mar-85 -7.2
Apr-85 -8.2
May-85 -9.2
Jun-85 -10.1
Jul-85 -8.9
Aug-85 -7.5
Sep-85 -6.1
Oct-85 -6.4
Nov-85 -6.7
Dec-85 -7
Jan-86 -7.3
Feb-86 -7.6
Mar-86 -7.9
Apr-86 -6.2
May-86 -4.6
Jun-86 -3
Jul-86 -2.1
Aug-86 -1.1
Sep-86 0
Oct-86 -0.6
Nov-86 -1.1
Dec-86 -1.6
Jan-87 3.1
Feb-87 -0.7
Mar-87 5.1
Apr-87 9
May-87 3
Jun-87 2
Jul-87 1.4
Aug-87 2.7
Sep-87 2.8
Oct-87 7.2
Nov-87 1.9
Dec-87 2.7
Jan-88 5.6
Feb-88 4.5
Mar-88 2.8
Apr-88 4.7
May-88 -1.9
Jun-88 -1.8
Jul-88 0
Aug-88 -1
Sep-88 -1.9
Oct-88 -1.8
Nov-88 0
Dec-88 0.9
Jan-89 1.9
Feb-89 1
Mar-89 0
Apr-89 1.8
May-89 -0.9
Jun-89 -1.8
Jul-89 -2.5
Aug-89 -2.4
Sep-89 -0.8
Oct-89 0
Nov-89 -4.7
Dec-89 2.3
Jan-90 7.1
Feb-90 4.3
Mar-90 6.8
Apr-90 9.6
May-90 9.7
Jun-90 12.3
Jul-90 12.9
Aug-90 13.2
Sep-90 18
Oct-90 15.5
Nov-90 13.4
Dec-90 12.8
Jan-91 9.2
Feb-91 11.6
Mar-91 13.5
Apr-91 13.2
May-91 13.5
Jun-91 12.9
Jul-91 10.9
Aug-91 11.3
Sep-91 10.7
Oct-91 12.7
Nov-91 11.4
Dec-91 7.5
Jan-92 8.9
Feb-92 5.3
Mar-92 6.7
Apr-92 10.7
May-92 -1.3
Jun-92 9.5
Jul-92 7.7
Aug-92 10.1
Sep-92 9.9
Oct-92 7.6
Nov-92 7.2
Dec-92 6.4
Jan-93 6.9
Feb-93 5.4
Mar-93 5.9
Apr-93 8.1
May-93 4.6
Jun-93 6.6
Jul-93 3.5
Aug-93 4.7
Sep-93 3.4
Oct-93 4.6
Nov-93 5.4
Dec-93 5.3
Jan-94 2.7
Feb-94 3.5
Mar-94 4.5
Apr-94 6
May-94 4.4
Jun-94 2.2
Jul-94 2.3
Aug-94 -0.7
Sep-94 3.9
Oct-94 3.1
Nov-94 4
Dec-94 4.8
Jan-95 7.5
Feb-95 5.6
Mar-95 5.5
Apr-95 6.2
May-95 5.3
Jun-95 5.2
Jul-95 8.5
Aug-95 7.7
Sep-95 8.8
Oct-95 12.8
Nov-95 10.6
Dec-95 12.8
Jan-96 13.6
Feb-96 13.6
Mar-96 11.1
Apr-96 11.6
May-96 13.8
Jun-96 8.4
Jul-96 7.9
Aug-96 6.3
Sep-96 5.2
Oct-96 6.5
Nov-96 7.9
Dec-96 7.4
Jan-97 9.3
Feb-97 4.2
Mar-97 6.3
Apr-97 9
May-97 4
Jun-97 7.1
Jul-97 6.4
Aug-97 5.6
Sep-97 4.9
Oct-97 6
Nov-97 9
Dec-97 6.1
Jan-98 6.5
Feb-98 6.4
Mar-98 4.6
Apr-98 7.3
May-98 11.4
Jun-98 9.8
Jul-98 15.9
Aug-98 16.9
Sep-98 15.7
Oct-98 16.8
Nov-98 16
Dec-98 16
Jan-99 17.6
Feb-99 19.9
Mar-99 11.7
Apr-99 6.3
May-99 4.1
Jun-99 19
Jul-99 22.4
Aug-99 23.7
Sep-99 24.5
Oct-99 24.6
Nov-99 26.4
Dec-99 21.5
Jan-00 19.5
Feb-00 16.5
Mar-00 19.2
Apr-00 19.4
May-00 20.5
Jun-00 43.1
Jul-00 25.9
Aug-00 28
Sep-00 20.3
Oct-00 17.6
Nov-00 24.6
Dec-00 12.2
Jan-01 18
Feb-01 15.6
Mar-01 14.9
Apr-01 17.6
May-01 20.9
Jun-01 10.2
Jul-01 10.3
Aug-01 7.3
Even while the popular market indices were dropping with the poor performance of
their largest constituents, the average stock was performing somewhat better.
Over the twelve months ended August 31st, 2001, the average stock in the S&P 500
Index returned -13.1%, which is 12.3% higher than the -25.4% return of the
top-heavy index itself. The chart below shows that more stocks were rising than
falling on the New York Stock Exchange, as indicated by the steady climb of the
Cumulative Advance-Decline Line.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
NYSE CUMULATIVE ADVANCE-DECLINE LINE
Data through September 21, 2001
Source: Bloomberg L.P. (data through September 21, 2001)
S&P 500 Index
10/7/94 455.1
10/14/94 469.1
10/21/94 464.89
10/28/94 473.77
11/4/94 462.28
11/11/94 462.35
11/18/94 461.47
11/25/94 452.29
12/2/94 453.3
12/9/94 446.97
12/16/94 458.8
12/23/94 459.83
12/30/94 459.27
1/6/95 460.68
1/13/95 465.97
1/20/95 464.78
1/27/95 470.39
2/3/95 478.65
2/10/95 481.46
2/17/95 481.97
2/24/95 488.26
3/3/95 485.42
3/10/95 489.57
3/17/95 495.52
3/24/95 500.97
3/31/95 500.71
4/7/95 506.42
4/14/95 509.23
4/21/95 508.49
4/28/95 514.71
5/5/95 520.12
5/12/95 525.55
5/19/95 519.19
5/26/95 523.65
6/2/95 532.51
6/9/95 527.94
6/16/95 539.83
6/23/95 549.71
6/30/95 544.75
7/7/95 556.37
7/14/95 559.89
7/21/95 553.62
7/28/95 562.93
8/4/95 558.94
8/11/95 555.11
8/18/95 559.21
8/25/95 560.1
9/1/95 563.84
9/8/95 572.68
9/15/95 583.35
9/22/95 581.73
9/29/95 584.41
10/6/95 582.49
10/13/95 584.5
10/20/95 587.46
10/27/95 579.7
11/3/95 590.57
11/10/95 592.72
11/17/95 600.07
11/24/95 599.97
12/1/95 606.98
12/8/95 617.48
12/15/95 616.34
12/22/95 611.96
12/29/95 615.93
1/5/96 616.71
1/12/96 601.81
1/19/96 611.83
1/26/96 621.62
2/2/96 635.85
2/9/96 656.37
2/16/96 647.98
2/23/96 659.08
3/1/96 644.37
3/8/96 633.5
3/15/96 641.43
3/22/96 650.62
3/29/96 645.5
4/5/96 655.86
4/12/96 636.71
4/19/96 645.07
4/26/96 653.46
5/3/96 641.63
5/10/96 652.09
5/17/96 668.91
5/24/96 678.51
5/31/96 669.12
6/7/96 673.31
6/14/96 665.85
6/21/96 666.84
6/28/96 670.63
7/5/96 657.44
7/12/96 646.19
7/19/96 638.73
7/26/96 635.9
8/2/96 662.49
8/9/96 662.1
8/16/96 665.21
8/23/96 667.03
8/30/96 651.99
9/6/96 655.68
9/13/96 680.54
9/20/96 687.02
9/27/96 686.19
10/4/96 701.46
10/11/96 700.66
10/18/96 710.82
10/25/96 700.92
11/1/96 703.77
11/8/96 730.82
11/15/96 737.62
11/22/96 748.73
11/29/96 757.02
12/6/96 739.6
12/13/96 728.64
12/20/96 748.87
12/27/96 756.79
1/3/97 748.03
1/10/97 759.5
1/17/97 776.17
1/24/97 770.52
1/31/97 786.16
2/7/97 789.56
2/14/97 808.48
2/21/97 801.77
2/28/97 790.82
3/7/97 804.97
3/14/97 793.17
3/21/97 784.1
3/28/97 773.88
4/4/97 757.9
4/11/97 737.65
4/18/97 766.34
4/25/97 765.37
5/2/97 812.97
5/9/97 824.78
5/16/97 829.75
5/23/97 847.03
5/30/97 848.28
6/6/97 858.01
6/13/97 893.27
6/20/97 898.7
6/27/97 887.3
7/4/97 916.92
7/11/97 916.68
7/18/97 915.3
7/25/97 938.79
8/1/97 947.14
8/8/97 933.54
8/15/97 900.81
8/22/97 923.54
8/29/97 899.47
9/5/97 929.05
9/12/97 923.91
9/19/97 950.51
9/26/97 945.22
10/3/97 965.03
10/10/97 966.98
10/17/97 944.16
10/24/97 941.64
10/31/97 914.62
11/7/97 927.51
11/14/97 928.35
11/21/97 963.09
11/28/97 955.4
12/5/97 983.79
12/12/97 953.39
12/19/97 946.78
12/26/97 936.46
1/2/98 975.04
1/9/98 927.69
1/16/98 961.51
1/23/98 957.59
1/30/98 980.28
2/6/98 1012.46
2/13/98 1020.09
2/20/98 1034.21
2/27/98 1049.34
3/6/98 1055.69
3/13/98 1068.61
3/20/98 1099.16
3/27/98 1095.44
4/3/98 1122.7
4/10/98 1110.67
4/17/98 1122.72
4/24/98 1107.9
5/1/98 1121
5/8/98 1108.14
5/15/98 1108.73
5/22/98 1110.47
5/29/98 1090.82
6/5/98 1113.86
6/12/98 1098.84
6/19/98 1100.65
6/26/98 1133.2
7/3/98 1146.42
7/10/98 1164.33
7/17/98 1186.75
7/24/98 1140.8
7/31/98 1120.67
8/7/98 1089.45
8/14/98 1062.75
8/21/98 1081.18
8/28/98 1027.14
9/4/98 973.89
9/11/98 1009.06
9/18/98 1020.09
9/25/98 1044.75
10/2/98 1002.6
10/9/98 984.39
10/16/98 1056.42
10/23/98 1070.67
10/30/98 1098.67
11/6/98 1141.01
11/13/98 1125.72
11/20/98 1163.55
11/27/98 1192.29
12/4/98 1176.74
12/11/98 1166.46
12/18/98 1188.03
12/25/98 1226.27
1/1/99 1229.23
1/8/99 1275.09
1/15/99 1243.26
1/22/99 1225.19
1/29/99 1279.64
2/5/99 1239.4
2/12/99 1230.13
2/19/99 1239.19
2/26/99 1238.33
3/5/99 1275.47
3/12/99 1294.59
3/19/99 1299.29
3/26/99 1282.8
4/2/99 1293.72
4/9/99 1348.35
4/16/99 1319
4/23/99 1356.85
4/30/99 1335.18
5/7/99 1345
5/14/99 1337.8
5/21/99 1330.29
5/28/99 1301.84
6/4/99 1327.75
6/11/99 1293.64
6/18/99 1342.84
6/25/99 1315.31
7/2/99 1391.22
7/9/99 1403.28
7/16/99 1418.78
7/23/99 1356.94
7/30/99 1328.72
8/6/99 1300.29
8/13/99 1327.68
8/20/99 1336.61
8/27/99 1348.27
9/3/99 1357.24
9/10/99 1351.66
9/17/99 1335.42
9/24/99 1277.36
10/1/99 1282.81
10/8/99 1336.02
10/15/99 1247.41
10/22/99 1301.65
10/29/99 1362.93
11/5/99 1370.23
11/12/99 1396.06
11/19/99 1422
11/26/99 1416.62
12/3/99 1433.3
12/10/99 1417.04
12/17/99 1421.05
12/24/99 1458.34
12/31/99 1469.25
1/7/00 1441.47
1/14/00 1465.15
1/21/00 1441.36
1/28/00 1360.16
2/4/00 1424.37
2/11/00 1387.12
2/18/00 1346.09
2/25/00 1333.36
3/3/00 1409.17
3/10/00 1395.07
3/17/00 1464.47
3/24/00 1527.46
3/31/00 1498.58
4/7/00 1516.35
4/14/00 1356.56
4/20/00 1434.54
4/28/00 1452.43
5/5/00 1432.63
5/12/00 1420.96
5/19/00 1406.95
5/26/00 1378.02
6/2/00 1477.26
6/9/00 1456.95
6/16/00 1464.46
6/23/00 1441.48
6/30/00 1454.6
7/7/00 1478.9
7/14/00 1509.98
7/21/00 1480.19
7/28/00 1419.89
8/4/00 1462.93
8/11/00 1471.84
8/18/00 1491.72
8/25/00 1506.46
9/1/00 1520.77
9/8/00 1494.5
9/15/00 1465.81
9/22/00 1448.72
9/29/00 1436.51
10/6/00 1408.99
10/13/00 1374.17
10/20/00 1396.93
10/27/00 1379.58
11/3/00 1426.69
11/10/00 1365.98
11/17/00 1367.72
11/24/00 1341.77
12/1/00 1315.23
12/8/00 1369.89
12/15/00 1312.15
12/22/00 1305.97
12/29/00 1320.28
1/5/01 1298.35
1/12/00 1318.32
1/19/00 1342.55
1/26/00 1354.95
2/2/01 1349.47
2/9/01 1314.76
2/16/01 1301.53
2/23/01 1245.86
3/2/01 1234.18
3/9/01 1233.42
3/16/01 1150.53
3/23/01 1139.83
3/30/01 1160.33
4/6/01 1128.43
4/13/01 1183.5
4/20/01 1242.98
4/27/01 1253.05
5/4/01 1266.61
5/11/01 1245.67
5/18/01 1291.96
5/25/01 1277.89
6/1/01 1260.67
6/8/01 1264.96
6/15/01 1214.36
6/22/01 1228.62
6/29/01 1224.42
7/6/01 1190.59
7/13/01 1215.68
7/20/01 1210.85
7/27/01 1205.82
8/3/01 1214.35
8/10/01 1190.16
8/17/01 1161.97
8/24/01 1184.93
8/31/01 1133.58
9/7/01 1085.78
9/14/01 1092.54
9/21/01 965.8
Cumulative Advance-Decline line
10/7/94 16633
10/14/94 18528
10/21/94 16901
10/28/94 16603
11/4/94 14405
11/11/94 12275
11/18/94 11053
11/25/94 9802
12/2/94 9855
12/9/94 7149
12/16/94 9271
12/23/94 9707
12/30/94 9870
1/6/95 10636
1/13/95 11778
1/20/95 11269
1/27/95 11693
2/3/95 13563
2/10/95 14770
2/17/95 14722
2/24/95 15670
3/3/95 14969
3/10/95 14200
3/17/95 14935
3/24/95 15517
3/31/95 16331
4/7/95 17157
4/14/95 17705
4/21/95 17774
4/28/95 18621
5/5/95 19607
5/12/95 21115
5/19/95 20116
5/26/95 20753
6/2/95 22708
6/9/95 22323
6/16/95 23630
6/23/95 24317
6/30/95 24240
7/7/95 26787
7/14/95 26979
7/21/95 25273
7/28/95 27133
8/4/95 27092
8/11/95 26358
8/18/95 27265
8/25/95 27525
9/1/95 28602
9/8/95 30423
9/15/95 31465
9/22/95 29745
9/29/95 29950
10/6/95 28918
10/13/95 29328
10/20/95 28767
10/27/95 26225
11/3/95 28053
11/10/95 28030
11/17/95 28695
11/24/95 29134
12/1/95 30801
12/8/95 31582
12/15/95 31371
12/22/95 31828
12/29/95 33283
1/5/96 33922
1/12/96 32544
1/19/96 33437
1/26/96 34062
2/2/96 36236
2/9/96 37374
2/16/96 37334
2/23/96 37536
3/1/96 36469
3/8/96 34877
3/15/96 36044
3/22/96 37654
3/29/96 36246
4/5/96 36708
4/12/96 34474
4/19/96 36084
4/26/96 37546
5/3/96 36079
5/10/96 36926
5/17/96 39032
5/24/96 39289
5/31/96 38025
6/7/96 37182
6/14/96 36172
6/21/96 35428
6/28/96 36360
7/5/96 34933
7/12/96 32466
7/19/96 31428
7/26/96 29670
8/2/96 33150
8/9/96 33634
8/16/96 34790
8/23/96 35353
8/30/96 34206
9/6/96 34376
9/13/96 36895
9/20/96 36848
9/27/96 37311
10/4/96 39634
10/11/96 39050
10/18/96 39626
10/25/96 38449
11/1/96 38409
11/8/96 40710
11/15/96 42089
11/22/96 43315
11/29/96 44420
12/6/96 42598
12/13/96 41408
12/20/96 42980
12/27/96 44454
1/3/97 44849
1/10/97 46272
1/17/97 48194
1/24/97 46997
1/31/97 47575
2/7/97 47745
2/14/97 49719
2/21/97 49524
2/28/97 48123
3/7/97 49918
3/14/97 48989
3/21/97 46272
3/28/97 45024
4/4/97 42063
4/11/97 41127
4/18/97 42855
4/25/97 41474
5/2/97 46015
5/9/97 47373
5/16/97 48355
5/23/97 50724
5/30/97 51907
6/6/97 54277
6/13/97 57439
6/20/97 57880
6/27/97 58178
7/4/97 61054
7/11/97 62447
7/18/97 62356
7/25/97 63135
8/1/97 64777
8/8/97 63865
8/15/97 62189
8/22/97 62488
8/29/97 62809
9/5/97 65504
9/12/97 66483
9/19/97 68749
9/26/97 69572
10/3/97 72496
10/10/97 71850
10/17/97 69156
10/24/97 68645
10/31/97 67062
11/7/97 67124
11/14/97 66179
11/21/97 68712
11/28/97 68612
12/5/97 71098
12/12/97 68287
12/19/97 67512
12/26/97 67765
1/2/98 71320
1/9/98 67258
1/16/98 69981
1/23/98 68816
1/30/98 70752
2/6/98 73730
2/13/98 74593
2/20/98 75151
2/27/98 76584
3/6/98 76823
3/13/98 78281
3/20/98 79892
3/27/98 80143
4/3/98 81701
4/10/98 80442
4/17/98 80563
4/24/98 77937
5/1/98 79286
5/8/98 77812
5/15/98 76088
5/22/98 74438
5/29/98 73103
6/5/98 73523
6/12/98 70279
6/19/98 69235
6/26/98 70508
7/3/98 72865
7/10/98 73155
7/17/98 73623
7/24/98 68694
7/31/98 65387
8/7/98 62988
8/14/98 60143
8/21/98 58633
8/28/98 52687
9/4/98 50513
9/11/98 50686
9/18/98 52310
9/25/98 53073
10/2/98 51650
10/9/98 47156
10/16/98 51365
10/23/98 53688
10/30/98 55976
11/6/98 59638
11/13/98 57353
11/20/98 58502
11/27/98 59364
12/4/98 58102
12/11/98 56085
12/18/98 55310
12/25/98 56211
1/1/99 58223
1/8/99 58991
1/15/99 55814
1/22/99 54344
1/29/99 53713
2/5/99 51440
2/12/99 48744
2/19/99 48301
2/26/99 47242
3/5/99 48280
3/12/99 48376
3/19/99 47423
3/26/99 45914
4/2/99 46014
4/9/99 46479
4/16/99 48935
4/23/99 50803
4/30/99 51607
5/7/99 52871
5/14/99 52411
5/21/99 52545
5/28/99 50685
6/4/99 51286
6/11/99 49652
6/18/99 51325
6/25/99 49596
7/2/99 52613
7/9/99 52373
7/16/99 52573
7/23/99 49349
7/30/99 46971
8/6/99 43008
8/13/99 42477
8/20/99 42684
8/27/99 41669
9/3/99 40855
9/10/99 40243
9/17/99 37119
9/24/99 32494
10/1/99 32623
10/8/99 32493
10/15/99 27463
10/22/99 27420
10/29/99 28818
11/5/99 29992
11/12/99 28909
11/19/99 27998
11/26/99 25152
12/3/99 24049
12/10/99 20728
12/17/99 18939
12/24/99 18879
12/31/99 20638
1/7/00 20821
1/14/00 20650
1/21/00 18872
1/28/00 16402
2/4/00 17619
2/11/00 14598
2/18/00 12164
2/25/00 9666
3/3/00 10248
3/10/00 7951
3/17/00 9135
3/24/00 10259
3/31/00 10932
4/7/00 10767
4/14/00 8039
4/20/00 8781
4/28/00 9541
5/5/00 9040
5/12/00 8127
5/19/00 6836
5/26/00 5752
6/2/00 9650
6/9/00 9824
6/16/00 10116
6/23/00 8090
6/30/00 9250
7/7/00 11528
7/14/00 12877
7/21/00 12042
7/28/00 10164
8/4/00 11603
8/11/00 13589
8/18/00 13825
8/25/00 13485
9/1/00 14150
9/8/00 14315
9/15/00 13643
9/22/00 10618
9/29/00 11095
10/6/00 8707
10/13/00 5633
10/20/00 4581
10/27/00 4386
11/3/00 6812
11/10/00 5068
11/17/00 5644
11/24/00 4810
12/1/00 4622
12/8/00 6701
12/15/00 5949
12/22/00 7446
12/29/00 10533
1/5/01 11464
1/12/00 13319
1/19/00 14120
1/26/00 15929
2/2/01 17762
2/9/01 17874
2/16/01 17976
2/23/01 15405
3/2/01 17031
3/9/01 17492
3/16/01 13001
3/23/01 11428
3/30/01 13331
4/6/01 11352
4/13/01 13169
4/20/01 14600
4/27/01 15971
5/4/01 17559
5/11/01 18032
5/18/01 21139
5/25/01 20938
6/1/01 20987
6/8/01 21842
6/15/01 19902
6/22/01 19765
6/29/01 21821
7/6/01 20839
7/13/01 21161
7/20/01 21242
7/27/01 21097
8/3/01 22902
8/10/01 22982
8/17/01 23567
8/24/01 24714
8/31/01 22753
9/7/01 19902
9/14/01 19080
9/21/01 10913
The twelve months ended August 31, 2001 produced some of the widest spreads in
returns ever seen between value and growth stocks and between midcap and large
cap stocks. The next chart plots the spread between the twelve-month returns of
the Russell 3000 Growth and Value Indices (green line) and between the Russell
Top 200 Index (the largest 200 stocks in the U.S. market) and the Russell Midcap
Index (the next largest 800 stocks), plotted as the violet line.
2
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MONTHLY DIFFERENCE IN TOTAL RETURNS
Between Russell Top 200 and MicCap Indices (Cap Weighted)
Data as of August 31, 2001
Source: The Frank Russell Company
MONTHLY DIFFERENCE IN TOTAL RETURNS OF
RUSSELL INDICES
Russell Top Russell 3000 Growth
200 vs Midcap vs Value
Jan-80 9.78 -10.85
Feb-80 12.47 -6.53
Mar-80 7.1 1.22
Apr-80 6.25 -0.37
May-80 5.42 -2.69
Jun-80 9.07 -4.6
Jul-80 14.64 -5.65
Aug-80 13.24 -5.44
Sep-80 17.97 -5.45
Oct-80 21.16 -8.31
Nov-80 23.97 -0.19
Dec-80 16.22 -0.7
Jan-81 4.43 -5.54
Feb-81 2.96 -10.36
Mar-81 5.66 -25.21
Apr-81 2.61 -25.36
May-81 5.34 -23.81
Jun-81 -1.52 -16.35
Jul-81 -3.38 -9.95
Aug-81 -6.39 -7.41
Sep-81 -11.21 -7.14
Oct-81 -10.41 -10.68
Nov-81 -15.33 -12.93
Dec-81 -13.58 -11.11
Jan-82 -8.19 -6.21
Feb-82 -9.73 -6.94
Mar-82 -10.66 -1.66
Apr-82 -6.69 0.52
May-82 -8.63 3.88
Jun-82 -5.39 3.12
Jul-82 -5.38 1.81
Aug-82 -6.23 2.16
Sep-82 -2.76 -0.57
Oct-82 -6.09 -1.45
Nov-82 -0.24 -4.88
Dec-82 -0.31 -4.03
Jan-83 -1.52 -6.89
Feb-83 4.86 -7.02
Mar-83 6.66 -7.6
Apr-83 1.75 -4.16
May-83 4.47 -15.3
Jun-83 10.08 -16.66
Jul-83 2.01 -17.22
Aug-83 0.25 -12.18
Sep-83 -1.74 -11.68
Oct-83 -7.61 -3.34
Nov-83 -13 -4.03
Dec-83 -12.95 -2.3
Jan-84 -18.58 0.26
Feb-84 -21.03 4.01
Mar-84 -18.84 3.67
Apr-84 -16.24 4.51
May-84 -15.26 9.95
Jun-84 -15.87 8.5
Jul-84 -13.34 10.54
Aug-84 -11.36 7.54
Sep-84 -14.64 8.51
Oct-84 -10.91 5.57
Nov-84 -12.33 7.24
Dec-84 -12.03 5.54
Jan-85 -3.04 1.34
Feb-85 -1.19 -1.92
Mar-85 -3.1 -0.59
Apr-85 -6.21 -3.28
May-85 -6.37 -3.84
Jun-85 -9.56 -3.63
Jul-85 -8.6 -7.58
Aug-85 -9.22 -4.96
Sep-85 -5.04 -1.65
Oct-85 -6.59 -2.36
Nov-85 -0.76 -1.38
Dec-85 1.22 0.35
Jan-86 -1.98 0.78
Feb-86 -1.39 0.33
Mar-86 2.14 -0.47
Apr-86 8.88 -2.19
May-86 9.6 -2.53
Jun-86 10.97 -0.79
Jul-86 6.42 2.38
Aug-86 2.33 2.52
Sep-86 -2.16 -3.08
Oct-86 -0.36 -1.81
Nov-86 -3.61 0.06
Dec-86 -4.52 -0.72
Jan-87 -1.4 2.66
Feb-87 3.74 0.4
Mar-87 1.12 2.07
Apr-87 -2.65 5.04
May-87 -2.63 5.23
Jun-87 -3.95 6.01
Jul-87 0.01 4.58
Aug-87 6.83 5.44
Sep-87 10.95 8
Oct-87 3.11 11.34
Nov-87 0.98 5.7
Dec-87 4.05 4.17
Jan-88 -4.41 2.86
Feb-88 -7.8 2.18
Mar-88 -7.93 -3.3
Apr-88 -8.54 -4.45
May-88 -10.74 -3.79
Jun-88 -10.03 -7.12
Jul-88 -11.56 -5.18
Aug-88 -12.96 -6.35
Sep-88 -11.66 -5.36
Oct-88 -10.94 -10.77
Nov-88 -10.06 -5.5
Dec-88 -11.63 -3.91
Jan-89 -4.34 -2.14
Feb-89 -6 -1.51
Mar-89 -4.61 4.52
Apr-89 -1.22 4.73
May-89 1.68 2.87
Jun-89 0.12 5.39
Jul-89 6.22 6.01
Aug-89 8.03 5
Sep-89 7.44 4.67
Oct-89 9.8 5.25
Nov-89 12.86 4.69
Dec-89 10.46 6.19
Jan-90 6.68 5.46
Feb-90 6 8.01
Mar-90 9.03 7.03
Apr-90 9.17 8.87
May-90 11.27 10.16
Jun-90 15.39 10.58
Jul-90 10.92 10.68
Aug-90 9.43 13.31
Sep-90 7.15 14.63
Oct-90 7.27 15.38
Nov-90 6.31 12.34
Dec-90 7.53 10.56
Jan-91 11.39 7.78
Feb-91 15.17 7.4
Mar-91 14.65 5.18
Apr-91 10.65 1.56
May-91 8.64 0.05
Jun-91 4.17 0.1
Jul-91 5.82 -3.46
Aug-91 9.72 -7.77
Sep-91 9.79 -14.11
Oct-91 7.76 -20.65
Nov-91 10.05 -13.33
Dec-91 16.25 -11.69
Jan-92 11.39 -13.43
Feb-92 6.52 -12.9
Mar-92 1.88 -9.3
Apr-92 -0.68 -6
May-92 -1.36 -4.85
Jun-92 -2.91 -5.18
Jul-92 -3.65 -4.99
Aug-92 -3.3 -3.87
Sep-92 -2.57 -4.16
Oct-92 -1.12 -6.03
Nov-92 -2.82 -9.18
Dec-92 -9.68 -10.36
Jan-93 -11.5 -7.51
Feb-93 -14.43 -4.46
Mar-93 -14.53 -6.79
Apr-93 -12.9 -9.04
May-93 -11.48 -9.91
Jun-93 -12.87 -11
Jul-93 -15.96 -11.88
Aug-93 -18.28 -14
Sep-93 -18.74 -13.62
Oct-93 -17.4 -8.72
Nov-93 -16.4 -4.79
Dec-93 -14.96 -6.09
Jan-94 -12.24 -3.72
Feb-94 -4.69 -7.02
Mar-94 -4.57 -5.37
Apr-94 -3.39 -4.78
May-94 -4.78 -2.19
Jun-94 -2.35 -0.96
Jul-94 0.68 0
Aug-94 2.93 0.12
Sep-94 5.64 1.32
Oct-94 4.17 1.14
Nov-94 3.7 0.93
Dec-94 4.15 3.73
Jan-95 4.52 4.05
Feb-95 3.59 4.74
Mar-95 6.22 4.63
Apr-95 6.74 5.73
May-95 5.91 4.7
Jun-95 10.23 3.13
Jul-95 11.27 1.62
Aug-95 6.05 1.08
Sep-95 5.09 4.37
Oct-95 4.57 5.51
Nov-95 2.54 3.29
Dec-95 -0.46 4.9
Jan-96 0.93 6.05
Feb-96 2.18 5.98
Mar-96 -0.88 5.4
Apr-96 3.7 0.72
May-96 7.48 1.35
Jun-96 3.39 5.55
Jul-96 -1.16 9.1
Aug-96 0.42 7.32
Sep-96 2.99 5.4
Oct-96 -2.14 4.77
Nov-96 -0.98 7.94
Dec-96 0.28 5.02
Jan-97 2.69 6.86
Feb-97 -2.07 9.53
Mar-97 -2.82 9.5
Apr-97 -3.57 16.7
May-97 -4.14 14.38
Jun-97 -4.15 13.47
Jul-97 1.1 11.98
Aug-97 -1.85 7.8
Sep-97 -7.23 6.09
Oct-97 -3.95 4.41
Nov-97 -4.46 5.48
Dec-97 -6.09 5.52
Jan-98 -3.24 6.17
Feb-98 1.24 4.39
Mar-98 1.86 5.96
Apr-98 -0.04 1.66
May-98 -4.59 4.77
Jun-98 1.64 7.23
Jul-98 1.23 12.6
Aug-98 2.32 18.21
Sep-98 5.3 19.05
Oct-98 7.8 21.66
Nov-98 12.06 21.08
Dec-98 21.52 23.88
Jan-99 23.41 25.89
Feb-99 16.4 24.59
Mar-99 21.83 24.81
Apr-99 12.28 20.03
May-99 11.83 15.71
Jun-99 11.19 14.59
Jul-99 9.54 8.1
Aug-99 19.23 10.12
Sep-99 17.03 10.06
Oct-99 18.63 11.23
Nov-99 22.02 8.25
Dec-99 27.17 3.56
Jan-00 18.29 -3.35
Feb-00 37.37 -15.79
Mar-00 28.96 -12.38
Apr-00 31.17 -4.6
May-00 26.3 -1.62
Jun-00 34.24 -4.36
Jul-00 28.51 -4.75
Aug-00 29.08 -11.11
Sep-00 14.52 -17.6
Oct-00 3.49 -18.63
Nov-00 -14.9 -16.32
Dec-00 -30.45 -20.39
Jan-01 -25.28 -18.4
Feb-01 -48.76 -11.45
Mar-01 -43.88 -13.79
Apr-01 -39.2 -17.84
May-01 -37.73 -20.09
Jun-01 -46.82 -20.36
Jul-01 -43.85 -17.84
Aug-01 -44.6 -16
For both lines, three distinct market epochs can be identified. For nineteen
years prior to 1998, the spread between the twelve-month returns of growth
versus value stocks or between large cap versus midcap stocks rarely widened
more than 20% one way or the other. During this long initial period, one half of
the market always had a tendency to catch up with the other.
From 1998 through midyear 2000 however, the two halves of the market separated
more widely and for prolonged periods. Growth stocks were favored over value by
almost 40% a year and large cap stocks outperformed midcap by up to 26% per
year. It was "different this time" according to New Economy enthusiasts, thus
justifying huge differentials in valuations between stocks well positioned for
the future and stocks less fortunate. And the more these New Economy stocks rose
in price and capitalization, it appears to us that the more institutions bought
such stocks to cause their portfolios to conform to the broad market indices.
Thus, we believe, the largest stocks became larger still due to follow-on
institutional buying, especially by index funds.
Finally from early 2000 to date, the market produced a powerful reversal against
the style biases that were so successful from 1998 through early 2000. Old
Economy value stocks trounced New Economy growth stocks and neglected midcap
stocks outperformed the well known large caps. The severity of these style
reversals indicates to us a market shift of unprecedented ferocity.
We believe that the sudden collapse of the New Economy bubble was caused by
investors' abrupt realization that many of these companies would never produce
earnings and that the easy money from venture capital and IPOs would no longer
be available to keep these companies alive. With astronomical valuations, any
disappointment could (and did) cause a severe correction in valuation multiples.
The chart below plots the price-to-forecast earnings ratio of the Russell 3000
Growth Index over the last twenty-two years. At its peak in early 2000, the
Russell 3000 Growth Index (representing more than half of the U.S. market's
total capitalization) was selling at a record 52 times the next year's forecast
earnings. As of August 31, 2001 however, this ratio had declined by almost half
to just 28 times forecast earnings.
3
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
FORECAST P/E RATIOS OF THE RUSSELL 3000 INDEX
Russell 3000 Growth Index through August 2001
Source: the Frank Russell Company (data through August 2001)
Russell 3000 Growth Index
Mar-79 9.3
Jun-79 9.1
Sep-79 9.3
Dec-79 9.4
Mar-80 8.2
Jun-80 8.7
Sep-80 10
Dec-80 11
Mar-81 10.4
Jun-81 10.2
Sep-81 8.2
Dec-81 9.1
Mar-82 7.9
Jun-82 8.3
Sep-81 9.2
Dec-81 11.7
Mar-83 12.5
Jun-83 14.3
Sep-83 12.8
Dec-83 12.6
Mar-84 10.8
Jun-84 10.8
Sep-84 10.7
Dec-84 11
Mar-85 11.7
Jun-85 12.8
Sep-85 11.7
Dec-85 14
Mar-86 15.2
Jun-86 16.4
Sep-86 13.8
Dec-86 14.8
Jan-87 15.7
Feb-87 16.8
Mar-87 17
Apr-87 16.4
May-87 15.8
Jun-87 18
Jul-87 17.6
Aug-87 18.1
Sep-87 17.6
Oct-87 13.2
Nov-87 12.2
Dec-87 13.6
Jan-88 12.8
Feb-88 13.5
Mar-88 12.9
Apr-88 12.9
May-88 12.2
Jun-88 13.3
Jul-88 12.3
Aug-88 11.7
Sep-88 12.2
Oct-88 12.4
Nov-88 12
Dec-88 12.4
Jan-89 12.6
Feb-89 12.2
Mar-89 12.4
Apr-89 13.1
May-89 13.7
Jun-89 13.8
Jul-89 14.7
Aug-89 14.8
Sep-89 14.9
Oct-89 14.7
Nov-89 14.8
Dec-89 15.3
Jan-90 13.6
Feb-90 13.7
Mar-90 14.2
Apr-90 14
May-90 15.2
Jun-90 16.2
Jul-90 15
Aug-90 13.5
Sep-90 12.8
Oct-90 12.9
Nov-90 13.8
Dec-90 14.4
Jan-91 14.4
Feb-91 15.6
Mar-91 16.3
Apr-91 16.3
May-91 17
Jun-91 16.4
Jul-91 16.3
Aug-91 16.9
Sep-91 16.7
Oct-91 17
Nov-91 16.6
Dec-91 18.9
Jan-92 17.5
Feb-92 17.7
Mar-92 17.2
Apr-92 17.2
May-92 16.2
Jun-92 17.2
Jul-92 16.8
Aug-92 16.6
Sep-92 16.7
Oct-92 17.1
Nov-92 17.9
Dec-92 18
Jan-93 17
Feb-93 16.4
Mar-93 17
Apr-93 16.6
May-93 17.2
Jun-93 17.5
Jul-93 16.3
Aug-93 17
Sep-93 16.9
Oct-93 17.5
Nov-93 17.3
Dec-93 17.6
Jan-94 17.1
Feb-94 16.8
Mar-94 15.9
Apr-94 16
May-94 16.1
Jun-94 15.9
Jul-94 15.5
Aug-94 16.3
Sep-94 16.1
Oct-94 16.3
Nov-94 15.7
Dec-94 15.9
Jan-95 15
Feb-95 15.7
Mar-95 16.1
Apr-95 16.4
May-95 16.7
Jun-95 17
Jul-95 17.1
Aug-95 16.9
Sep-95 17.7
Oct-95 17.6
Nov-95 18.3
Dec-95 18.4
Jan-96 18
Feb-96 18.3
Mar-96 18.6
Apr-96 19.2
May-96 19.6
Jun-96 21.1
Jul-96 18.4
Aug-96 19
Sep-96 20.5
Oct-96 20.5
Nov-96 21.6
Dec-96 21.4
Jan-97 21.1
Feb-97 20.7
Mar-97 19.6
Apr-97 20.7
May-97 22.1
Jun-97 23.4
Jul-97 23.2
Aug-97 22.2
Sep-97 23
Oct-97 22.6
Nov-97 23.4
Dec-97 23.9
Jan-98 22.9
Feb-98 24.8
Mar-98 26.5
Apr-98 27
May-98 26
Jun-98 29.2
Jul-98 26.9
Aug-98 22.7
Sep-98 24.8
Oct-98 26.9
Nov-98 28.9
Dec-98 31.3
Jan-99 31.2
Feb-99 29.3
Mar-99 30.7
Apr-99 31.1
May-99 30.4
Jun-99 35.9
Jul-99 33.2
Aug-99 33.4
Sep-99 32.8
Oct-99 35.1
Nov-99 37.1
Dec-99 40.6
Jan-00 37.5
Feb-00 39.4
Mar-00 40.7
Apr-00 39.4
May-00 36.9
Jun-00 51.9
Jul-00 41.8
Aug-00 47.9
Sep-00 43.7
Oct-00 41.6
Nov-00 35.3
Dec-00 35.2
Jan-01 36.6
Feb-01 31.5
Mar-01 29.5
Apr-01 35.4
May-01 35.9
Jun-01 32.7
Jul-01 30
Aug-01 28
Unfortunately, the impact to the economy of a burst bubble is not just that
INVESTORS made bad investments and lost money. In addition, it appears many
COMPANIES also made bad investment decisions, over-expanding and over-paying for
their acquisitions with easy money. Recall the Internet advertisements during
the 2000 Superbowl game, many from companies no longer in business today. We
believe this over-investment led to many failed projects and frequent earnings
disappointments, thus compounding the collapse in stock prices. In the next
chart, we plot earnings revisions for the Technology sector and for the entire
Numeric universe covering all sectors since 1987. Note the much greater
incidence of lowered estimates among Technology stocks in recent months. Note
too that revisions to earnings forecasts among Technology companies have been
weaker than at any time since early 1987 (when our data begins).
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DIFFUSION INDICES
Three-Month Average
Source: The Frank Russell Company; Numeric Investors L.P.(R)
(data through August 2001)
Technology/Diffusion IBES/First Call
Index Diffusion Index
Mar-87 -2.97 -0.16
Apr-87 -1.57 0.04
May-87 -0.12 1.15
Jun-87 0.58 0.78
Jul-87 0.45 0.43
Aug-87 -1.04 0.74
Sep-87 -1.39 1.69
Oct-87 -1.16 2.09
Nov-87 -2.44 -0.36
Dec-87 -3.36 -1.99
Jan-88 -3.62 -2.62
Feb-88 -2.1 -0.72
Mar-88 0.24 0.95
Apr-88 -0.04 2.24
May-88 1.79 4.45
Jun-88 1.97 4.84
Jul-88 3.18 4.71
Aug-88 0.65 3.6
Sep-88 -2.48 3.33
Oct-88 -7.76 2.35
Nov-88 -11.78 2.22
Dec-88 -13.73 2.26
Jan-89 -11.42 2.77
Feb-89 -8.36 2.42
Mar-89 -6.46 2.24
Apr-89 -4.04 1.62
May-89 -4.53 0.42
Jun-89 -3.75 -0.24
Jul-89 -7.52 -1.06
Aug-89 -10.45 -1.85
Sep-89 -13.23 -2.28
Oct-89 -13.03 -2.65
Nov-89 -12.66 -3.03
Dec-89 -11.39 -3.43
Jan-90 -9.36 -3.33
Feb-90 -5.77 -4.21
Mar-90 -4.29 -5.42
Apr-90 -3.99 -5.92
May-90 -2.98 -5.73
Jun-90 -1.5 -4.46
Jul-90 -1.83 -4.34
Aug-90 -5.53 -3.95
Sep-90 -10.09 -6.01
Oct-90 -13.69 -7.95
Nov-90 -15.25 -10.07
Dec-90 -14.58 -9.93
Jan-91 -11.23 -8.27
Feb-91 -7.04 -7.83
Mar-91 -3.13 -6.78
Apr-91 -3.74 -7.78
May-91 -3.17 -6.55
Jun-91 -4.68 -6.2
Jul-91 -6.01 -5.08
Aug-91 -10.94 -4.84
Sep-91 -11.97 -4.61
Oct-91 -11.57 -4.46
Nov-91 -10.03 -3.99
Dec-91 -10.94 -4.64
Jan-92 -8.73 -4.62
Feb-92 -4.99 -4.59
Mar-92 -1.58 -3.13
Apr-92 -1.6 -1.73
May-92 -2.89 0.18
Jun-92 -3.81 0.32
Jul-92 -6.18 0.19
Aug-92 -6.66 -0.73
Sep-92 -7.26 -1.08
Oct-92 -4.03 -1.63
Nov-92 -3.26 -1.73
Dec-92 -2.6 -0.95
Jan-93 -2.18 -0.1
Feb-93 0.25 -0.18
Mar-93 0.39 -0.68
Apr-93 1.12 -0.88
May-93 1.63 0.31
Jun-93 2.72 0.81
Jul-93 1.6 0.86
Aug-93 1.22 0.31
Sep-93 -0.69 0.01
Oct-93 -0.3 -0.12
Nov-93 0.62 1.01
Dec-93 2.18 1.54
Jan-94 2.18 1.54
Feb-94 2.49 1.57
Mar-94 3.92 1.79
Apr-94 5.26 2.41
May-94 7.21 2.97
Jun-94 6.08 2.53
Jul-94 5.03 2.92
Aug-94 2.05 3.51
Sep-94 2.42 4.26
Oct-94 5.01 5.29
Nov-94 8.06 5.96
Dec-94 9.9 6.14
Jan-95 12.35 5.08
Feb-95 14.21 4.16
Mar-95 15.29 4.19
Apr-95 13.9 5.31
May-95 15.72 5.16
Jun-95 16.65 4.78
Jul-95 18.62 3.93
Aug-95 16.44 3.95
Sep-95 13.83 3.95
Oct-95 10.81 4.24
Nov-95 7.18 3.99
Dec-95 4.71 4
Jan-96 1.97 3.2
Feb-96 -2.47 2.03
Mar-96 -5.51 1.35
Apr-96 -6.62 1.71
May-96 -3.95 3.24
Jun-96 -3.36 3.54
Jul-96 -6.59 3.45
Aug-96 -10.51 2.79
Sep-96 -10.71 2.75
Oct-96 -9.18 3.57
Nov-96 -6.12 4.39
Dec-96 -3.34 5.72
Jan-97 1.49 5.32
Feb-97 3.37 4.98
Mar-97 2.89 3.92
Apr-97 1.67 3.95
May-97 1.08 3.7
Jun-97 1.08 3.47
Jul-97 2.21 3.45
Aug-97 4.2 4.65
Sep-97 4.8 4.98
Oct-97 2.33 5.5
Nov-97 0.24 4.57
Dec-97 -2.48 4.2
Jan-98 -5.54 2.31
Feb-98 -8.94 -0.2
Mar-98 -8.8 -1.34
Apr-98 -7.21 -1.39
May-98 -4.7 0.77
Jun-98 -5.5 0.49
Jul-98 -6.77 -0.22
Aug-98 -7.83 -2.48
Sep-98 -5.55 -3.02
Oct-98 -4.03 -4.7
Nov-98 -2.5 -5
Dec-98 -0.93 -3.85
Jan-99 4.83 -1.48
Feb-99 5.56 -0.44
Mar-99 4.66 -0.12
Apr-99 5.08 1.34
May-99 4.6 4.13
Jun-99 4.79 5.24
Jul-99 5.72 5.22
Aug-99 5.85 4.9
Sep-99 6.89 4.15
Oct-99 9.49 6.65
Nov-99 9.95 5.89
Dec-99 10.44 6.73
Jan-00 8.03 5.9
Feb-00 8.81 7.24
Mar-00 9.5 8.38
Apr-00 13.89 13.16
May-00 13.76 12.56
Jun-00 13.31 10.89
Jul-00 12.82 8.64
Aug-00 12.87 7.17
Sep-00 12.56 7.02
Oct-00 11.5 4.12
Nov-00 9.92 3.58
Dec-00 5.32 1.41
Jan-01 -5.12 -0.9
Feb-01 -9.81 -3.4
Mar-01 -16.81 -5.87
Apr-01 -24.31 -7.9
May-01 -23.92 -7.11
Jun-01 -19.77 -6.69
Jul-01 -18.71 -7.58
Aug-01 -18.71 -7.95
With earnings estimates falling in tandem with contracting valuation multiples,
there has been a catastrophic decline in share prices. The result has been
complete devastation to the value of many Technology stocks, including many that
were among
4
the most glamorous in the world just two years ago. In the following chart we
compare the total return of the Technology sector with other "Old Economy"
sectors from pre-bubble January 1997 through post-bubble August 2001. Note the
300% return for the Technology sector in the three-year period through early
2000, followed by a complete reversal thereafter. Thus from their peak, the
average Technology stock has declined 75% in just eighteen months. And those
boring Old Economy stocks have now outperformed the New Economy over the past
41/2 years from the start of the bubble to its demise.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
NEW ECONOMY VS. OLD ECONOMY SECTOR PERFORMANCE
Cumulative Performance January 1997 through August 2001
Source: the Frank Russell Company; Numeric Investors L.P.(R)
(data through August 2001)
Basic Industry Energy Industrial Technology
Jan-97 0.41 2.52 2.56 5.87
Feb-97 3.47 -8.63 0.13 -4.55
Mar-97 -1.11 -5.13 -3.92 -13.56
Apr-97 1.39 -7.02 -2.32 -12.21
May-97 10.15 3.42 6.69 4.05
Jun-97 13.72 5.15 12.17 5.57
Jul-97 21.6 15.67 19.75 19.78
Aug-97 20.91 22.36 19.51 24.6
Sep-97 24.75 33.89 24.69 28.49
Oct-97 12.98 32.8 17.48 13.01
Nov-97 11.13 20.86 17.83 10.47
Dec-97 7.51 19.89 18.63 6.01
Jan-98 9.39 6.91 17.23 7.94
Feb-98 14.57 13.41 28.49 20.86
Mar-98 20.51 18.83 34.17 21.19
Apr-98 23.16 23.05 35.01 26.66
May-98 13.66 14.6 29.07 12.28
Jun-98 7.96 6.3 25.6 19.69
Jul-98 0.91 -11.22 17.7 9.78
Aug-98 -17.09 -33.92 -4.96 -17.76
Sep-98 -12.28 -20.45 -2.08 -6.32
Oct-98 -4.15 -14.42 6.91 2.92
Nov-98 -1.1 -26.78 11.96 16.44
Dec-98 -2.31 -27.27 15.67 32.22
Jan-99 -5.83 -32.97 13 50.11
Feb-99 -4.96 -35.25 8.48 33.74
Mar-99 -3.3 -18.26 7.21 42.35
Apr-99 21.51 -6.13 22.18 47.06
May-99 13.63 -8.16 23.55 50.47
Jun-99 19.66 -5.44 27.69 71.09
Jul-99 14.57 -2.02 23.82 68.15
Aug-99 9.2 1.72 16.9 73.16
Sep-99 5.98 -3.31 8.99 82.7
Oct-99 4.83 -6.23 4.14 105.26
Nov-99 4.23 -6.89 5.09 146.58
Dec-99 17.87 -4.07 9.33 211.16
Jan-00 3.94 -3.71 0.8 208.48
Feb-00 -8.09 0.81 -3.5 303.8
Mar-00 3.72 22.33 7.26 273.68
Apr-00 2.68 21.69 9.85 211.35
May-00 -1.94 35.56 5.47 171.43
Jun-00 -8.86 31.03 0.92 230.17
Jul-00 -8.36 20.1 3.55 196.69
Aug-00 -3.96 39.55 8.91 242.77
Sep-00 -12.14 40.57 3.79 194.06
Oct-00 -3.31 28.44 8.19 156.22
Nov-00 -2.37 18.61 3.06 76.71
Dec-00 11.74 48.49 8.29 76.24
Jan-01 8.47 40.71 12.92 109.31
Feb-01 8.9 41.51 11.48 44.7
Mar-01 2.43 35.28 4.38 18.54
Apr-01 9.45 50.91 14.66 49.05
May-01 12.67 48.72 20.76 43.36
Jun-01 7.82 23.85 16.16 44.77
Jul-01 5.09 11.7 12.86 20.55
Aug-01 6.49 4.25 11.23 3.48
With the abrupt destruction of so much paper wealth, it appears that economists
are now concerned about the "Wealth Effect" in which the real economy contracts
because consumers spend less after their investments have declined in value.
Indeed the history of past financial mania suggests that a contraction in
consumer spending and the real economy is likely following the collapse of a
bubble.
With the sell-off following the terrorist attacks on September 11th, and the
resulting flight to Treasury bonds, the market has dropped to a level that
appears undervalued, if one compares the S&P 500's forecast earnings yield to
the yield on a 10-year Treasury note. In the chart below, note how tight has
been the fit between the two yields since 1980. Note too how the Treasury yield
has been higher than the forecast earnings yield for most of the past five
years, indicating how expensive the market has been for much of the recent past.
Lastly, as the numbers on the right of the chart show, note how the market's
current forecast earnings yield is well above that of the Treasury yield,
indicating to us apparent undervaluation of stocks at the moment.
5
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
S&P 500 BOTTOM-UP FORECAST EARNINGS YIELD
VS. 10-YEAR TREASURY YIELD
SOURCE: IBES/FIRST CALL
Month-end data through September 2001
S&P 500
EARNINGS YIELD 10-YR TREASURY YIELD
Jan-80 13.49 11.12
Feb-80 13.4 12.73
Mar-80 13.86 12.6
Apr-80 14.42 10.76
May-80 14.1 10.22
Jun-80 14.06 10.02
Jul-80 13.31 10.68
Aug-80 13.31 11.54
Sep-80 13.14 11.85
Oct-80 13.07 12.43
Nov-80 12.09 12.63
Dec-80 12.82 12.33
Jan-81 13.67 12.62
Feb-81 12.9 13.38
Mar-81 13.02 13.07
Apr-81 13.36 14.05
May-81 13.51 13.45
Jun-81 13.78 13.8
Jul-81 13.85 14.59
Aug-81 14.92 15.38
Sep-81 15.95 15.77
Oct-81 15.27 14.6
Nov-81 14.68 13.14
Dec-81 15.07 13.98
Jan-82 15.5 14.1
Feb-82 13.33 13.99
Mar-82 15.82 14.12
Apr-82 15.01 13.77
May-82 15.36 13.67
Jun-82 15.55 14.37
Jul-82 15.7 13.63
Aug-82 13.82 12.76
Sep-82 13.68 11.88
Oct-82 12.27 11
Nov-82 11.82 10.79
Dec-82 11.74 10.39
Jan-83 11.42 10.79
Feb-83 11.18 10.28
Mar-83 10.84 10.6
Apr-83 10.21 10.25
May-83 10.28 10.81
Jun-83 10.06 10.93
Jul-83 10.56 11.74
Aug-83 10.67 11.96
Sep-83 10.63 11.4
Oct-83 10.99 11.69
Nov-83 10.95 11.61
Dec-83 11.26 11.79
Jan-84 11.6 11.65
Feb-84 12.24 12.02
Mar-84 12.14 12.49
Apr-84 12.18 12.8
May-84 13.1 13.87
Jun-84 12.99 13.79
Jul-84 13.35 12.88
Aug-84 12.07 12.76
Sep-84 12.14 12.46
Oct-84 12.21 11.74
Nov-84 12.41 11.57
Dec-84 12.16 11.54
Jan-85 11.28 11.14
Feb-85 11.13 11.9
Mar-85 11.13 11.64
Apr-85 11.05 11.4
May-85 10.4 10.31
Jun-85 10.26 10.28
Jul-85 10.3 10.56
Aug-85 10.49 10.28
Sep-85 10.74 10.31
Oct-85 10.53 10.02
Nov-85 10.43 9.6
Dec-85 9.85 9.01
Jan-86 9.53 9.07
Feb-86 9.43 8.13
Mar-86 8.67 7.38
Apr-86 8.19 7.37
May-86 8.25 8.02
Jun-86 7.87 7.34
Jul-86 8.02 7.33
Aug-86 8.23 6.94
Sep-86 7.69 7.45
Oct-86 8.46 7.34
Nov-86 8.07 7.15
Dec-86 7.99 7.24
Jan-87 8.31 7.17
Feb-87 8.31 7.17
Mar-87 7.19 7.5
Apr-87 7.1 8.19
May-87 7.41 8.47
Jun-87 7.31 8.37
Jul-87 6.95 8.66
Aug-87 6.42 8.97
Sep-87 7.38 9.59
Oct-87 9.79 8.86
Nov-87 9.43 8.97
Dec-87 9.37 8.86
Jan-88 9.31 8.25
Feb-88 9.21 8.14
Mar-88 8.84 8.56
Apr-88 9.33 8.87
May-88 9.99 9.17
Jun-88 9.28 8.8
Jul-88 9.57 9.12
Aug-88 10.07 9.24
Sep-88 9.87 8.87
Oct-88 9.65 8.63
Nov-88 10.29 9.06
Dec-88 9.95 9.14
Jan-89 9.73 8.98
Feb-89 9.6 9.3
Mar-89 9.65 9.29
Apr-89 9.36 9.03
May-89 9.11 8.6
Jun-89 8.99 8.06
Jul-89 8.69 7.8
Aug-89 8.44 8.26
Sep-89 8.48 8.32
Oct-89 8.46 7.92
Nov-89 8.47 7.85
Dec-89 8.19 7.95
Jan-90 8.49 8.41
Feb-90 8.67 8.53
Mar-90 8.5 8.65
Apr-90 8.39 9.04
May-90 8.09 8.63
Jun-90 7.88 8.43
Jul-90 7.89 8.36
Aug-90 8.5 8.86
Sep-90 9.08 8.81
Oct-90 9.54 8.64
Nov-90 8.76 8.26
Dec-90 8.41 8.09
Jan-91 8.75 8.03
Feb-91 7.36 8.01
Mar-91 7.17 8.05
Apr-91 6.8 8.02
May-91 7.19 8.06
Jun-91 7.05 8.25
Jul-91 6.94 8.17
Aug-91 6.81 7.82
Sep-91 6.92 7.48
Oct-91 6.85 7.47
Nov-91 6.81 7.37
Dec-91 7.06 6.74
Jan-92 6.45 7.3
Feb-92 6.59 7.28
Mar-92 6.62 7.55
Apr-92 6.62 7.62
May-92 6.64 7.33
Jun-92 6.95 7.15
Jul-92 6.78 6.74
Aug-92 6.77 6.62
Sep-92 6.79 6.4
Oct-92 6.99 7.01
Nov-92 6.74 6.96
Dec-92 6.67 6.94
Jan-93 6.7 6.86
Feb-93 6.69 6.46
Mar-93 6.54 6.16
Apr-93 6.53 6.05
May-93 6.63 6.24
Jun-93 6.71 6.08
Jul-93 6.71 5.83
Aug-93 6.68 5.79
Sep-93 6.66 5.83
Oct-93 6.72 5.37
Nov-93 6.73 5.74
Dec-93 6.81 5.91
Jan-94 6.67 5.83
Feb-94 6.78 5.89
Mar-94 6.89 6.48
Apr-94 7.33 7.06
May-94 7.35 7.1
Jun-94 7.3 7.21
Jul-94 7.58 7.51
Aug-94 7.47 7.27
Sep-94 7.52 7.51
Oct-94 7.64 7.8
Nov-94 7.86 8.06
Dec-94 8.14 7.82
Jan-95 8.02 7.7
Feb-95 7.87 7.45
Mar-95 7.82 7.14
Apr-95 7.71 7.12
May-95 7.55 6.59
Jun-95 7.48 6.15
Jul-95 7.36 6.43
Aug-95 7.31 6.59
Sep-95 7.18 6.23
Oct-95 7.14 6.03
Nov-95 7.13 6.03
Dec-95 6.86 5.79
Jan-96 7.01 5.64
Feb-96 6.51 5.73
Mar-96 6.69 6.43
Apr-96 6.68 6.58
May-96 6.51 6.71
Jun-96 6.6 7.02
Jul-96 6.92 6.91
Aug-96 6.68 6.66
Sep-96 6.53 6.9
Oct-96 6.38 6.63
Nov-96 6.2 6.25
Dec-96 6.27 6.41
Jan-97 6.05 6.6
Feb-97 5.76 6.33
Mar-97 5.98 6.79
Apr-97 6.23 6.92
May-97 5.75 6.71
Jun-97 5.44 6.43
Jul-97 5.22 6.21
Aug-97 5.36 6.38
Sep-97 5.27 6.12
Oct-97 5.19 6.13
Nov-97 5.34 5.83
Dec-97 5.25 5.82
Jan-98 5.32 5.48
Feb-98 4.92 5.49
Mar-98 4.66 5.58
Apr-98 4.54 5.59
May-98 4.58 5.68
Jun-98 4.65 5.52
Jul-98 4.4 5.47
Aug-98 4.72 5.42
Sep-98 4.99 4.91
Oct-98 4.84 4.7
Nov-98 4.51 4.89
Dec-98 4.41 4.6
Jan-99 4.16 4.73
Feb-99 4.24 4.98
Mar-99 4.02 5.14
Apr-99 3.99 5.14
May-99 4.02 5.61
Jun-99 4.12 5.94
Jul-99 3.95 5.76
Aug-99 4.22 5.89
Sep-99 4.3 5.95
Oct-99 4.45 6.13
Nov-99 4.07 6.05
Dec-99 4.07 6.27
Jan-00 3.99 6.78
Feb-00 4.27 6.51
Mar-00 4.31 6.23
Apr-00 4.24 5.92
May-00 4.24 6.39
Jun-00 4.24 6.04
Jul-00 4.2 6.11
Aug-00 4.22 5.75
Sep-00 4.22 5.69
Oct-00 4.65 5.65
Nov-00 4.46 5.73
Dec-00 4.46 5.32
Jan-01 4.48 5.26
Feb-01 4.48 5.08
Mar-01 5 4.9
Apr-01 4.57 5.34
May-01 4.55 5.76
Jun-01 4.64 5.42
Jul-01 4.66 5.14
Aug-01 4.94 4.83
Sep-01 5.25 4.58
Whereas the last five years were primarily a period of strong earnings growth
and accelerating productivity gains, we believe the immediate future is much
more clouded. Further reductions in earnings expectations seem to us almost
certain. It appears that the economic contraction underway before September 11th
has been compounded by the after-effects of this tragic day. In the chart below,
we plot the bottom-up forecast for the S&P 500 weekly since the start of 1996,
for the then-current and next fiscal years. The violet line plots a twelve-month
earnings forecast as a blend of the two fiscal years. For most of this 51/2-year
period, the violet line climbed as the economy grew from year to year, even as
each year's earnings forecasts tended to decline because of excessive analyst
optimism.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
YEAR-AHEAD BOTTOM-UP S&P EARNINGS FORECASTS
Source: IBES International
Bottom-up consensus S&P 500 earnings estimates as of date shown,
through September 28, 2001
FY1997 FY1998 FY1999 FY2000 FY2001 FY2002
48.23
48.06
47.84
47.87
47.76
47.59
47.52
47.36
47.48
47.32
47.27
47.23
47.16
47.22
47.11
47.13
47.19
47.17
47.13
47.22
47.15
47.08
47.12
47.04
47.02
46.93
46.88
46.79
46.72
46.63
46.56
46.56
46.47
46.44
46.44
46.33
46.45
46.29
46.2
46.3
46.26
46.3 52.54
46.26 52.51
46.22 52.36
46.24 52.41
46.25 52.47
46.25 52.56
46.21 52.63
46.28 52.83
46.31 52.84
46.34 53.08
46.35 53.22
46.32 53.06
46.3 53.13
46.38 53.09
46.39 53.15
46.33 53.08
46.27 52.77
46.28 52.71
46.26 52.73
46.26 52.73
46.06 52.63
46.03 52.55
45.93 52.5
45.91 52.49
45.9 52.46
45.85 52.4
45.93 52.5
45.94 52.49
46.01 52.44
45.97 52.43
45.93 52.42
45.94 52.47
45.8 52.33
45.76 52.37
45.69 52.32
45.64 52.27
45.6 52.23
45.6 52.24
45.59 52.26
45.52 52.2
45.71 52.4
45.55 52.2
45.55 52.24
45.52 52.25
45.52 52.15
45.45 52.19
45.44 52.16
45.39 52.08
45.29 51.96
45.22 51.91
45.21 51.9
45.15 51.85
45.17 51.81
45.17 51.78
45.07 51.71
44.97 51.65
45 51.65
44.91 51.51
44.85 51.46
44.82 51.38
44.75 51.29
44.75 51.19
44.62 51.01
44.72 51.1 57.2
44.74 51 57.34
44.86 50.98 57.35
45.05 50.82 57.14
50.76 57.98
50.46 57.55
50.25 57.25
50.17 57.49
50.1 57.38
49.98 57.4
49.68 57.25
49.34 56.99
49.3 56.99
48.83 56.58
48.88 56.72
48.77 56.72
48.61 56.54
48.4 56.39
48.38 56.38
48.58 56.59
48.49 56.55
48.41 56.49
48.32 56.39
48.17 56.27
48.02 56.15
48.05 56.07
47.74 55.97
47.59 55.89
47.56 55.8
47.57 55.86
47.48 55.75
47.34 55.55
47.16 55.43
46.99 55.29
46.88 55.22
46.65 55.19
46.45 55.04
46.35 55.09
46.16 54.89
45.84 54.31
45.67 53.83
45.48 53.88
45.42 53.68
45.37 53.4
45.23 53.31
45.07 52.97
45.08 52.95
45.06 52.6
44.77 52.46
44.62 52.25
44.49 51.81
44.39 51.83 59.15
44.36 51.75 59.25
44.32 51.42 58.59
44.28 51.37 59.08
44.41 51.37 59.39
44.29 51.24 59.45
51.35 59.33
51.25 59.37
51.17 59.38
51.14 59.36
51.07 59.42
50.98 59.46
50.76 59.15
50.76 59.24
50.65 59.16
50.81 59.35
50.88 59.4
51.14 59.64
51.19 59.64
51.33 59.76
51.24 59.72
51.23 59.73
51.26 59.65
51.27 59.66
51.22 59.64
51.24 59.66
51.02 59.54
51.1 59.63
50.99 59.49
51.05 59.5
51.42 59.94
51.49 59.99
51.24 59.62
51.29 59.7
51.24 59.72
51.25 59.63
51.21 59.55
51.14 59.49
51.06 59.43
50.99 59.36
50.89 59.22
50.88 59.23
50.89 59.27
50.99 59.31
50.88 58.99
50.85 58.88
50.78 58.7
50.78 58.68
50.77 58.68
50.73 58.74
50.63 58.25
50.57 58.07 65.85
50.62 58.11 66.44
50.62 58.11 66.45
50.65 57.85 66.81
50.6 57.76 66.96
50.8 58.09 67.12
50.95 58.51 67.55
58.39 67.57
58.61 67.97
58.53 67.87
58.41 67.65
58.82 67.51
58.84 67.5
58.58 67.19
58.52 67.27
58.22 67.13
58.1 66.83
58.07 66.69
58.32 66.84
58.57 66.92
58.58 67.02
58.68 67.07
58.47 66.99
58.38 66.72
58.4 66.7
58.53 66.88
58.36 66.68
58.59 67.04
58.5 66.94
58.2 66.22
58.06 65.92
58.3 66.34
58.15 66.04
57.95 65.55
57.94 65.45
58.1 65.66
57.96 65.53
57.96 65.53
57.87 65.52
57.8 65.13
57.74 65.11
57.72 65.03
57.63 64.87
57.43 64.45
57.46 64.25
57.61 63.82
57.43 64.43
57.36 63.53
57.23 62.93
57.19 62.44
57.12 62.45
56.88 61.43
56.81 61.17
56.46 60.32
56.26 60.29 69.36
56.22 60.22 68.99
56.2 59.92 69.07
56.1 59.51 68.46
56.1 58.86 68.3
58.51 68.27
58.47 68.28
58.29 68.19
58.02 67.67
57.41 67.11
57.09 67.11
56.49 66.38
55.96 65.9
55.34 65.26
54.94 64.9
54.54 64.6
54.01 64.07
53.58 63.57
53.42 63.25
53.38 63.23
53.25 63.17
53.1 62.91
52.75 62.73
52.65 62.63
52.37 62.52
51.76 61.73
51.58 61.63
51.39 61.38
50.9 60.83
50.59 60.54
49.97 60.2
49.67 59.93
49.6 59.76
49.38 59.66
49.18 59.31
49.04 59.14
49.04 59.05
48.84 58.71
48.64 58.36
47.76 56.66
47 55.51
Since late 2000 however, the violet line has been in a steep decline because of
the drastic decline in estimates for fiscal years 2001 and 2002. For the nine
months ended September 30th, the forecast for fiscal year 2002 S&P 500 earnings
has declined by $12.70, from $69.36 to $56.66. Extrapolating this rate of
decline another fifteen months to the end of 2002, we believe earnings for next
year could decline another $21 and thus be only about half of the earnings
expected at the start of this year. Given the events of September 11th, the rate
of decline in earnings, in our opinion, would seem certain to accelerate
further.
6
Thus, we believe the apparent cheapness of the market based on current earnings
expectations may be illusory if next year's earnings are much less than the
current (and already stale) consensus estimate of about $57.
We can readily understand how earnings uncertainty and the new challenges of
making war on terrorism make the level of the market less certain today than it
was a few months ago. However if you believe in "stocks for the long term",
today must be a better time to buy the market when the NASDAQ is at 1500, versus
eighteen months ago, when the NASDAQ was at 5100. From a long-term perspective,
we believe that the market is an attractive place to invest today.
SUCCESS OF OUR FUNDS
Numeric measures success by how well our strategies have beaten their
benchmarks. We believe that investors always have the option of index funds, so
active managers like Numeric must add value above the return of their benchmarks
to remain in business over the long term. Even while we focus on our added
value, we recognize that our investors also care if our funds are appreciating,
because we believe it is the value of the fund that will ultimately fund our
investors' ambitions, such as paying for college or retirement. The following
table presents returns for our funds for the six and twelve months ended August
31, 2001. Several important observations can be made.
Reading the rightmost column first, we note that three out of our four funds
declined last year in a falling market. The one exception, the N/I NUMERIC
INVESTORS SMALL CAP VALUE FUND, gained almost 38% because the market rewarded
the smaller, Old Economy stocks that were so out of favor just eighteen months
ago and because our stock selection process was highly successful among such
stocks. The rightmost column reveals that two of our four funds added
substantial value relative to their benchmarks last year. Both the MicroCap and
Small Cap Value Funds trounced their Russell 2000 Growth and Value Index
benchmarks. Our Growth Fund essentially tied its Russell 2500 Growth Index
benchmark, while our Midcap Fund lagged its benchmarks. Clearly our strategies
were more successful in adding value among smaller than midcap stocks last year.
PERFORMANCE 1ST HALF 2ND HALF FULL FISCAL YEAR
8/31/00 TO 2/28/01 2/28/01 TO 8/31/01 A/O 8/31/01
------------------ ------------------ ----------------
N/I MICRO CAP FUND -22.04% +2.41% -20.16%
Russell 2000 Growth Index -29.26% -8.03% -34.94%
RELATIVE +7.22% +10.44% +14.78%
N/I GROWTH FUND -33.48% -4.47% -36.45%
Russell 2500 Growth Index -32.07% -6.75% -36.66%
RELATIVE -1.41% +2.28% +0.21%
N/I MID CAP FUND -13.47% -4.64% -17.42%
S&P MidCap 400 Index -7.95% -0.19% -8.09%
Russell Midcap Index -9.31% -4.04% -12.97%
RELATIVE TO S&P MIDCAP 400 INDEX -5.52% -4.45% -9.33%
RELATIVE TO RUSSELL MIDCAP INDEX -4.16% -0.60% -4.45%
N/I SMALL CAP VALUE FUND +19.24% +15.70% +37.97%
Russell 2000 Value Index +10.31% +7.01% +18.04%
RELATIVE +8.93% +8.69% +19.93%
Comparing the leftmost and center columns, we note that the first half of the
fiscal year was a more difficult period for our Funds (except for the Small Cap
Value Fund) than the second half, in both absolute and relative terms. The
benchmarks
7
declined less and our Funds were able to add more value during the most recent
six months than the prior. Some of the improvement in relative returns over the
past six months can be attributed to the success of our new Quality of Earnings
/ Cashflow Yield models, which are reviewed briefly below.
PERFORMANCE ANALYSIS
As already discussed, expectations for the U.S. economy have crumpled over the
last year. A year ago, Fiscal Year 2001 earnings estimates for the S&P 500 were
$65; today they are below $48 and falling at a rate averaging 30 cents per week.
With the terrorist attacks of September 11th, this negative trend has
accelerated. In addition, the Technology sector, which previously enjoyed the
best earnings growth expectations, has experienced the most drastic cuts in
expectations. It is precisely this powerful and abrupt inflection in earnings
expectations that has confounded our Estrend(TM) model and impaired our ability
to add value in two of our four funds. Earnings expectations have slumped from
euphoric to catastrophic in just a few quarters; and the violence of this shift
has left our trend-following Estrend(TM) model behind the curve.
Inflection points confound the Estrend(TM) model whether the shift is negative
(such as the invasion of Kuwait in 1990) or positive (such as action by the Fed
to lower interest rates earlier this year). Conversely shocks that reinforce the
prevailing trend do not impair the power of Estrend(TM). The shock of the
September 11th terrorist attacks reinforced the already negative trend in the
economy and has not impaired Estrend(TM).
Larger stocks are more exposed to economic shifts because their greater size
gives them greater exposure to the broad economy. In contrast, earnings
forecasts for smaller stocks tend to be determined more by their own business
success. We have long observed that the Estrend(TM) model will underperform more
severely among larger stocks when economic inflections occur. We note that our
two funds with exposure to midcap stocks have had more difficulty adding value
over the past year than our two funds investing in small cap stocks.
Estrend(TM) has also been weak just because our Fair Value model has been so
strong. During the inflation of the New Economy and Megacap bubbles, the Fair
Value model was confounded by the superior returns of phenomenally expensive
stocks that became even more expensive as the bubbles expanded. At the peak of
the bubbles, the market had an extremely wide spread in valuations, between the
in-favor New Economy heroes and forgotten Old Economy stocks. However as the
bubbles deflated, Fair Value produced above-average returns. Estrend(TM) and
Fair Value are designed to complement each other. They provide signals that
sometimes conflict because they say, for instance, that a stock has strong
earnings revisions but appears overvalued. It appears to us that with the
collapse of the bubbles, the dominant force in the market has been the
correction of past valuation excesses, thus leaving EstrendTM swamped by a surge
in returns to value investing.
Over the past year, we have been developing a family of new models that examine
a company's financial statements in more detail. Many of these techniques have
been familiar to fundamental investors for decades, but have not been exploited
with the broad and disciplined process of quantitative investing. Our Quality of
Earnings and Cashflow Yield models exploit this new information and have
enhanced our funds' investment returns since their recent implementation. As the
economy passes through a period of economic weakness, we are optimistic that the
market may become even more conscious of a company's true financial strength and
thus favor our "Quality" analysis and improve our ability to add value.
WHAT MIGHT INVESTORS EXPECT GOING FORWARD?
The market today is at levels that were last seen in October 1998. We cannot
forecast that there will be no further terrorist actions and we expect that
earnings expectation will decline in the near term, so it appears to us that
investments in the stock market contain substantial risk. Nonetheless, we think
that very pessimistic outcomes are already "in the price" of the market. Thus,
we are optimistic that any improvement in outcomes may spark a significant
rally.
8
We do not expect a return to the New Economy mania of the past few years because
we believe bubbles do not recur within the career span of current investors.
However, we also expect the extreme weakness of growth stocks versus value
stocks to come to an end. In the chart below, note how the p/e premium of the
Russell 3000 Growth Index over the Russell 3000 Value Index has now almost
returned to its historic or "normal" level of about 1.5, from a peak of almost
3.3 eighteen months ago. It appears that most of the hot air is out of the New
Economy bubble.
Similarly, we do not expect the market to provide a continuing advantage to
midcap stocks versus large cap, because it seems to us that the premium
valuation of the largest stocks has been largely eliminated and because midcap
stocks have outperformed large cap by such a wide margin in recent quarters. We
believe that a reversal of this trend is due.
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
RATIO OF THE RUSSELL 3000 GROWTH P/E VS VALUE P/E
Russell 3000 Grwoth vs Value Indices through August 2001
Source: The Frank Russell Company (data through August 2001)
RATIO OF THE CAP-WTD AVERAGE
P/E RATIOS
Russell 3000 Growth vs Value
Mar-79 1.45
Jun-79 1.52
Sep-79 1.48
Dec-79 1.54
Mar-80 1.49
Jun-80 1.4
Sep-80 1.52
Dec-80 1.62
Mar-81 1.6
Jun-81 1.57
Sep-81 1.52
Dec-81 1.52
Mar-82 1.44
Jun-82 1.43
Sep-81 1.44
Dec-81 1.52
Mar-83 1.58
Jun-83 1.59
Sep-83 1.52
Dec-83 1.52
Mar-84 1.44
Jun-84 1.52
Sep-84 1.45
Dec-84 1.41
Mar-85 1.44
Jun-85 1.42
Sep-85 1.41
Dec-85 1.44
Mar-86 1.42
Jun-86 1.43
Sep-86 1.29
Dec-86 1.33
Jan-87 1.37
Feb-87 1.42
Mar-87 1.39
Apr-87 1.37
May-87 1.34
Jun-87 1.48
Jul-87 1.45
Aug-87 1.44
Sep-87 1.43
Oct-87 1.36
Nov-87 1.33
Dec-87 1.43
Jan-88 1.35
Feb-88 1.38
Mar-88 1.34
Apr-88 1.33
May-88 1.28
Jun-88 1.37
Jul-88 1.32
Aug-88 1.3
Sep-88 1.33
Oct-88 1.32
Nov-88 1.32
Dec-88 1.35
Jan-89 1.37
Feb-89 1.34
Mar-89 1.35
Apr-89 1.36
May-89 1.37
Jun-89 1.41
Jul-89 1.46
Aug-89 1.42
Sep-89 1.43
Oct-89 1.41
Nov-89 1.38
Dec-89 1.39
Jan-90 1.4
Feb-90 1.36
Mar-90 1.37
Apr-90 1.39
May-90 1.37
Jun-90 1.53
Jul-90 1.49
Aug-90 1.45
Sep-90 1.42
Oct-90 1.42
Nov-90 1.38
Dec-90 1.37
Jan-91 1.36
Feb-91 1.32
Mar-91 1.33
Apr-91 1.28
May-91 1.28
Jun-91 1.26
Jul-91 1.31
Aug-91 1.32
Sep-91 1.29
Oct-91 1.28
Nov-91 1.29
Dec-91 1.35
Jan-92 1.35
Feb-92 1.3
Mar-92 1.28
Apr-92 1.24
May-92 1.17
Jun-92 1.26
Jul-92 1.29
Aug-92 1.3
Sep-92 1.28
Oct-92 1.3
Nov-92 1.28
Dec-92 1.24
Jan-93 1.26
Feb-93 1.15
Mar-93 1.16
Apr-93 1.14
May-93 1.2
Jun-93 1.23
Jul-93 1.2
Aug-93 1.21
Sep-93 1.19
Oct-93 1.23
Nov-93 1.25
Dec-93 1.26
Jan-94 1.28
Feb-94 1.29
Mar-94 1.27
Apr-94 1.27
May-94 1.27
Jun-94 1.3
Jul-94 1.32
Aug-94 1.37
Sep-94 1.39
Oct-94 1.41
Nov-94 1.44
Dec-94 1.43
Jan-95 1.42
Feb-95 1.44
Mar-95 1.45
Apr-95 1.45
May-95 1.45
Jun-95 1.44
Jul-95 1.49
Aug-95 1.44
Sep-95 1.46
Oct-95 1.48
Nov-95 1.46
Dec-95 1.44
Jan-96 1.43
Feb-96 1.44
Mar-96 1.43
Apr-96 1.45
May-96 1.48
Jun-96 1.6
Jul-96 1.52
Aug-96 1.53
Sep-96 1.59
Oct-96 1.54
Nov-96 1.52
Dec-96 1.53
Jan-97 1.51
Feb-97 1.48
Mar-97 1.43
Apr-97 1.46
May-97 1.51
Jun-97 1.52
Jul-97 1.46
Aug-97 1.45
Sep-97 1.43
Oct-97 1.44
Nov-97 1.44
Dec-97 1.42
Jan-98 1.47
Feb-98 1.46
Mar-98 1.47
Apr-98 1.48
May-98 1.44
Jun-98 1.63
Jul-98 1.59
Aug-98 1.58
Sep-98 1.6
Oct-98 1.58
Nov-98 1.6
Dec-98 1.67
Jan-99 1.75
Feb-99 1.66
Mar-99 1.71
Apr-99 1.6
May-99 1.63
Jun-99 1.83
Jul-99 1.88
Aug-99 1.99
Sep-99 2.01
Oct-99 2.04
Nov-99 2.17
Dec-99 2.36
Jan-00 2.42
Feb-00 2.7
Mar-00 2.53
Apr-00 2.53
May-00 2.34
Jun-00 3.33
Jul-00 2.77
Aug-00 3.05
Sep-00 2.7
Oct-00 2.48
Nov-00 2.17
Dec-00 2.01
Jan-01 2.14
Feb-01 1.86
Mar-01 1.79
Apr-01 2
May-01 1.97
Jun-01 1.81
Jul-01 1.75
Aug-01 1.68
Rather we think that the probability of growth stocks beating value or large cap
beating midcap is around 50%, or neutral. In the absence of any extreme style
biases and with a cautious economic environment, we expect the market to focus
on earnings and the quality of earnings. We are optimistic that this focus might
allow our models to be at least normally effective, and perhaps more so. Thus we
believe that our strategies may be entering a period in which they can add
substantial value.
Thank you for your continued support and confidence.
Sincerely,
/s/ LANGDON B. WHEELER
Langdon B. Wheeler, CFA
President
Numeric Investors L.P.(R)
9
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
Comparison of Change in Value of $10,000 Investment in
N/I NUMERIC INVESTORS Micro Cap Fund(1)(2) vs. Russell 2000 Growth Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DOLLARS
Past performance is not predictive of future performance.
Micro Cap Fund Russell 2000 Growth Index
6/3/96 $10,000.00 $10,000.00
8/31/96 9,725.00 8,815.78
11/30/96 11,392.00 9,116.86
2/28/97 11,426.00 8,951.58
5/31/97 12,194.00 9,459.02
8/31/97 15,405.00 10,588.80
11/30/97 15,547.00 10,490.90
2/28/98 16,354.00 11,272.10
5/31/98 16,188.60 10,958.10
8/31/98 12,209.80 7,803.93
11/30/98 16,225.30 9,745.00
2/28/99 16,109.00 10,089.00
5/31/99 17,588.80 11,372.80
8/31/99 19,058.10 11,167.80
11/30/99 20,974.70 12,908.80
2/29/00 27,971.00 18,544.10
5/31/00 24,620.10 13,612.10
8/31/00 29,429.10 15,531.90
11/30/00 22,517.80 11,099.70
2/28/01 22,942.30 10,987.00
5/31/01 24,381.90 11,470.50
8/31/01 23,496.00 10,105.00
Micro Cap Fund $23,496
Russell 2000 Growth Index $10,105
Total Returns
AVERAGE ANNUAL
-------------------------------
ONE YEAR ENDED FIVE YEARS ENDED SINCE
AUGUST 31, 2001 AUGUST 31, 2001 INCEPTION(3)
--------------- ---------------- ------------
Micro Cap Fund (20.16)% 19.29% 17.67%
Russell 2000 Growth Index (34.94)% 2.77% 0.20%
----------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed to
reimburse a portion of the Fund'S operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements.Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2001.
10
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
GROWTH FUND
Comparison of Change in Value of $10,000 Investment in
N/I NUMERIC INVESTORS Growth Fund(1)(2) vs. Russell 2500 Growth Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DOLLARS
Past performance is not predictive of future performance.
Growth Fund Russell 2500 Growth Index
6/3/96 $10,000.00 $10,000.00
8/31/96 9,867.00 9,144.23
11/30/96 10,925.00 9,672.72
2/28/97 10,575.00 9,572.28
5/31/97 11,384.00 10,059.70
8/31/97 13,585.00 11,326.70
11/30/97 13,402.00 11,195.70
2/28/98 13,754.00 11,953.80
5/31/98 13,111.50 11,707.00
8/31/98 9,640.78 8,434.27
11/30/98 11,931.00 10,490.00
2/28/99 12,040.00 10,872.50
5/31/99 13,385.20 12,413.50
8/31/99 14,731.00 12,738.50
11/30/99 16,998.70 15,044.10
2/29/00 23,591.20 22,342.20
5/31/00 20,132.70 16,929.20
8/31/00 24,027.40 19,890.30
11/30/00 16,929.40 14,128.40
2/28/01 15,982.40 13,511.00
5/31/01 16,579.80 14,248.80
8/31/01 15,269.00 12,599.30
Growth Fund $15,269
Russell 2500 Growth Index$12,599
Total Returns
AVERAGE ANNUAL
-------------------------------
ONE YEAR ENDED FIVE YEARS ENDED SINCE
AUGUST 31, 2001 AUGUST 31, 2001 INCEPTION(3)
--------------- ---------------- ------------
Growth Fund (36.45)% 9.13% 8.40%
Russell 2500 Growth Index (36.66)% 6.62% 4.50%
----------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed to
reimburse a portion of the Fund'S operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements.Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2001.
11
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MID CAP FUND
Comparison of Change in Value of $10,000 Investment in
N/I NUMERIC INVESTORS Mid Cap Fund(1)(2) vs. S&P MidCap 400 Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DOLLARS
Past performance is not predictive of future performance.
Mid Cap Fund S&P MidCap 400 Index
6/3/96 $10,000.00 $10,000.00
8/31/96 9,633.00 9,713.02
11/30/96 11,158.00 10,738.20
2/28/97 11,334.00 11,061.90
5/31/97 12,397.00 11,814.80
8/31/97 14,364.00 13,333.30
11/30/97 14,732.00 13,687.60
2/28/98 16,232.00 15,103.50
5/31/98 16,684.70 15,350.20
8/31/98 13,076.40 12,084.40
11/30/98 15,492.00 15,108.60
2/28/99 16,127.80 15,421.30
5/31/99 18,002.70 17,177.30
8/31/99 18,518.00 17,105.10
11/30/99 19,355.20 18,336.10
2/29/00 20,491.50 20,198.70
5/31/00 21,665.30 20,862.10
8/31/00 24,000.40 23,903.20
11/30/00 20,722.90 21,204.10
2/28/01 20,783.10 22,011.40
5/31/01 21,521.10 23,149.80
8/31/01 19,819.30 21,970.10
Mid Cap Fund $19,819
S&P MidCap 400 Index $21,970
Total Returns
AVERAGE ANNUAL
--------------------------------
ONE YEAR ENDED FIVE YEARS ENDED SINCE
AUGUST 31, 2001 AUGUST 31, 2001 INCEPTION(3)
--------------- ---------------- ------------
Mid Cap Fund (17.42)% 15.52% 13.92%
S&P MidCap 400 Index (8.09)% 17.72% 16.19%
----------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed to
reimburse a portion of the Fund'S operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements.Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2001.
12
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
SMALL CAP VALUE FUND
Comparison of Change in Value of $10,000 Investment in
N/I NUMERIC INVESTORS Small Cap Value Fund(1)(2) vs. Russell 2000 Value Index
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
DOLLARS
Past performance is not predictive of future performance.
Small Cap Value Fund Russell 2000 Value Index
11/30/98 $10,000.00 $10,000.00
2/28/99 9,383.33 9,391.36
5/31/99 10,866.70 10,555.00
8/31/99 10,716.70 10,287.40
11/30/99 10,044.40 9,931.40
2/29/00 9,353.96 10,577.20
5/31/00 10,772.70 10,526.00
8/31/00 12,210.30 11,694.50
11/30/00 12,503.30 11,351.10
2/28/01 14,560.00 12,899.90
5/31/01 15,975.90 13,622.00
8/31/01 16,846.40 13,804.30
Small Cap Value Fund $16,846
Russell 2000 Value Index $13,804
Total Returns
ONE YEAR ENDED AVERAGE
AUGUST 31, 2001 ANNUAL(3)
--------------- ---------
Small Cap Value Fund 37.97% 20.83%
Russell 2000 Value Index 18.04% 6.34%
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed to
reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements.Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period November 30, 1998 (commencement of operations) through August
31, 2001.
13
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
COMMON STOCKS--95.8%
AEROSPACE & DEFENSE--0.7%
33,400 DRS Technologies, Inc.* ..................... $ 846,690
1,900 Moog Inc., Class A* ......................... 68,020
------------
914,710
------------
AIRLINES--1.0%
49,200 Atlantic Coast Airlines Holdings, Inc.* ..... 1,244,760
9,300 Mesa Air Group, Inc.* ....................... 136,896
------------
1,381,656
------------
AUTOMOBILE PARTS & EQUIPMENT--1.1%
9,300 Aftermarket Technology Corp.* ............... 134,478
52,900 ArvinMeritor, Inc. .......................... 936,330
28,600 Dura Automotive Systems, Inc.* .............. 400,400
------------
1,471,208
------------
BANKS--1.8%
37,200 First BanCorp ............................... 1,036,020
42,400 Irwin Financial Corp. ....................... 911,600
35,400 R&G Financial Corp., Class B ................ 612,066
------------
2,559,686
------------
BEVERAGES--1.0%
32,200 Constellation Brands, Inc., Class A* ........ 1,363,670
------------
BIOTECH--4.9%
10,600 Adolor Corp.* ............................... 193,238
5,600 Alexion Pharmaceuticals, Inc.* .............. 105,560
6,100 Arena Pharmaceuticals, Inc.* ................ 86,620
7,500 Avigen, Inc.* ............................... 110,775
45,900 Charles River Laboratories International,
Inc.* ....................................... 1,638,630
13,000 Corixa Corp.* ............................... 151,450
5,500 CV Therapeutics, Inc.* ...................... 273,735
4,000 Digene Corp.* ............................... 118,040
8,100 Diversa Corp.* .............................. 98,415
9,190 Enzo Biochem, Inc. .......................... 238,848
10,400 Exelixis, Inc.* ............................. 174,512
10,800 Gene Logic Inc.* ............................ 188,460
8,700 Genome Therapeutics Corp.* .................. 66,555
7,500 Guilford Pharmaceuticals Inc.* .............. 90,375
23,000 Incyte Genomics, Inc.* ...................... 406,640
4,000 InterMune Inc.* ............................. 157,960
13,200 Ligand Pharmaceuticals Inc., Class B* ....... 135,300
5,800 Martek Biosciences Corp.* ................... 113,680
10,800 Maxygen Inc.* ............................... 161,892
3,500 Neose Technologies, Inc.* ................... 149,275
7,200 Neurocrine Biosciences, Inc.* ............... 283,176
7,300 Pharmacopeia, Inc.* ......................... 126,655
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
BIOTECH--(CONTINUED)
7,000 Pharmacyclics, Inc.* ........................ $ 140,770
10,500 Regeneron Pharmaceuticals, Inc.* ............ 316,260
18,000 Scios Inc.* ................................. 317,700
5,700 Tanox, Inc.* ................................ 94,335
21,100 Texas Biotechnology Corp.* .................. 158,250
6,600 Titan Pharmaceuticals, Inc.* ................ 64,350
5,100 Transkaryotic Therapies, Inc.* .............. 155,805
5,200 Trimeris, Inc.* ............................. 248,560
4,960 Vertex Pharmaceuticals Inc.* ................ 182,974
5,600 ViroPharma Inc.* ............................ 173,880
------------
6,922,675
------------
BROKERAGE--0.4%
18,100 Jefferies Group, Inc. ....................... 602,730
------------
BUILDING SUPPLIES--1.8%
47,100 Building Materials Holding Corp.* ........... 671,175
44,600 Hughes Supply, Inc. ......................... 1,219,810
57,700 Lennox International Inc. ................... 579,308
------------
2,470,293
------------
CHEMICALS - BASIC--0.6%
48,200 NL Industries, Inc. ......................... 778,430
------------
CHEMICALS - SPECIALTY--1.3%
38,600 Octel Corp.* ................................ 721,820
48,700 TETRA Technologies, Inc.* ................... 1,110,847
------------
1,832,667
------------
COMPUTER COMPONENTS--1.4%
56,600 Hutchinson Technology Inc.* ................. 1,068,608
66,400 MTS Systems Corp. ........................... 863,200
------------
1,931,808
------------
COMPUTER NETWORKING PRODUCTS--0.6%
18,600 Black Box Corp.* ............................ 870,666
------------
COMPUTER PERIPHERALS--1.1%
28,700 Electronics for Imaging, Inc.* .............. 587,202
33,400 MICROS Systems, Inc.* ....................... 948,560
------------
1,535,762
------------
COMPUTER SERVICES--0.8%
27,700 CACI International Inc., Class A* ........... 1,099,413
------------
COMPUTER SOFTWARE--6.3%
39,200 Activision, Inc.* ........................... 1,452,360
21,600 Advent Software, Inc.* ...................... 1,147,176
11,900 JDA Software Group, Inc.* ................... 222,054
39,700 McAfee.com Corp.* ........................... 575,650
The accompanying notes are an integral part of the financial statements.
14
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
COMPUTER SOFTWARE--(CONTINUED)
52,500 MSC.Software Corp.* ......................... $ 984,375
19,400 PLATO Learning, Inc.* ....................... 514,100
104,900 Systems & Computer Technology
Corp.* .................................... 1,398,317
30,900 TALX Corp. .................................. 954,810
24,200 THQ Inc.* ................................... 1,286,230
29,200 Ulticom, Inc.* .............................. 350,400
------------
8,885,472
------------
DATA PROCESSING--4.5%
41,200 Actrade Financial Technologies, Ltd.* ....... 943,892
12,100 Cerner Corp.* ............................... 586,729
18,850 Fair, Isaac and Company, Inc. ............... 1,149,850
23,600 Global Payments Inc. ........................ 838,980
25,200 Kronos Inc.* ................................ 1,229,760
35,300 MedQuist Inc.* .............................. 908,975
9,400 National Data Corp. ......................... 362,934
7,200 National Processing, Inc.* .................. 237,240
------------
6,258,360
------------
ELECTRICAL EQUIPMENT--0.4%
42,800 Encore Wire Corp.* .......................... 591,496
------------
ELECTRONIC COMPONENTS & ACCESSORIES--4.3%
46,800 BEI Technologies, Inc. ...................... 1,082,484
40,596 Intermagnetics General Corp.* ............... 1,225,593
5,500 Merix Corp.* ................................ 105,930
48,100 Pioneer-Standard Electronics, Inc. .......... 577,681
52,000 Pixelworks, Inc.* ........................... 775,840
11,400 Powell Industries, Inc.* .................... 306,546
58,100 Universal Electronics Inc.* ................. 851,746
41,900 Wilson Greatbatch Technologies, Inc.* ....... 1,085,210
------------
6,011,030
------------
ELECTRONIC MEASUREMENTS - INSTRUMENTS--1.0%
49,500 FLIR Systems, Inc.* ......................... 1,395,900
3,900 OpticNet*/** ................................ --
------------
1,395,900
------------
ENERGY--0.2%
23,600 Headwaters Inc.* ............................ 233,404
------------
ENGINEERING--0.0%
2,300 Michael Baker Corp.* ........................ 29,210
------------
FINANCIAL SERVICES--1.5%
2,985 Advanta Corp., Class A ...................... 40,656
11,800 AmeriCredit Corp.* .......................... 544,688
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
FINANCIAL SERVICES--(CONTINUED)
40,900 Clark/Bardes, Inc.* ......................... $ 1,005,731
12,700 IndyMac Bancorp, Inc.* ...................... 334,899
4,800 Metris Companies Inc. ....................... 130,560
------------
2,056,534
------------
FOOD & AGRICULTURE--0.8%
53,400 Fresh Del Monte Produce Inc.* ............... 792,990
10,800 Green Mountain Coffee, Inc.* ................ 318,168
------------
1,111,158
------------
HAZARDOUS WASTE MANAGEMENT--0.3%
10,100 Stericycle, Inc.* ........................... 486,517
------------
HEALTH CARE--2.0%
16,400 Caremark Rx, Inc.* .......................... 286,508
30,800 Mid Atlantic Medical Services, Inc.* ........ 646,800
11,800 Rightchoice Managed Care, Inc.* ............. 545,042
127,900 Sierra Health Services, Inc.* ............... 1,279,000
------------
2,757,350
------------
HOSPITALS--3.0%
10,900 Apria Healthcare Group Inc.* ................ 296,044
55,700 DaVita, Inc.* ............................... 1,150,205
21,500 LifePoint Hospitals, Inc.* .................. 919,985
63,600 Select Medical Corp.* ....................... 1,119,360
31,600 United Surgical Partners International,
Inc.* ..................................... 785,260
------------
4,270,854
------------
HOTELS & MOTELS--0.4%
29,300 Choice Hotels International, Inc.* .......... 586,000
------------
INSURANCE - PROPERTY & CASUALTY--0.8%
3,200 Brown & Brown ............................... 141,536
85,800 Vesta Insurance Group, Inc. ................. 1,001,286
------------
1,142,822
------------
INTERNET CONTENT--1.5%
79,000 Register.com, Inc.* ......................... 665,970
83,500 XCare.net, Inc.* ............................ 1,370,235
------------
2,036,205
------------
INTERNET SOFTWARE--1.1%
27,100 AsiaInfo Holdings, Inc.* .................... 386,175
61,300 Websense, Inc.* ............................. 1,096,657
------------
1,482,832
------------
The accompanying notes are an integral part of the financial statements.
15
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
LEISURE & ENTERTAINMENT--5.3%
45,000 Action Performance Companies, Inc.* ......... $ 1,244,250
18,800 Alliance Gaming Corp.* ...................... 370,548
38,900 Argosy Gaming Co.* .......................... 1,156,497
11,500 Aztar Corp.* ................................ 185,610
57,300 Boyd Gaming Co.* ............................ 343,800
48,300 Direct Focus, Inc.* ......................... 1,352,400
24,400 Hotel Reservations Network, Inc.,
Class A* .................................. 1,015,040
56,500 Pegasus Solutions Inc.* ..................... 734,500
72,000 Racing Champions Corp.* ..................... 450,000
54,600 Topps Co., Inc. (The)* ...................... 627,900
------------
7,480,545
------------
MACHINERY--0.3%
33,900 Global Power Equipment Group Inc.* .......... 484,092
------------
MANUFACTURING--0.6%
32,100 Actuant Corp., Class A* ..................... 680,841
10,700 Walter Industries, Inc. ..................... 121,980
------------
802,821
------------
MEDICAL INSTRUMENTS & SUPPLIES--8.2%
62,900 American Medical Systems
Holdings, Inc.* ........................... 1,254,855
11,100 Cooper Companies, Inc. (The) ................ 566,211
17,200 Diagnostic Products Corp. ................... 675,100
15,700 DIANON Systems, Inc.* ....................... 768,515
35,500 Edwards Lifesciences Corp.* ................. 933,295
10,400 Haemonetics Corp.* .......................... 372,944
18,600 Henry Schein, Inc.* ......................... 675,552
15,800 Laboratory Corp. of America
Holdings* ................................. 1,230,820
9,600 Landauer, Inc. .............................. 292,800
41,800 Mentor Corp. ................................ 1,254,000
44,500 Merit Medical Systems, Inc.* ................ 702,210
10,700 OraSure Technologies, Inc.* ................. 139,207
19,700 PSS World Medical, Inc.* .................... 138,491
14,800 Serologicals Corp.* ......................... 281,937
12,300 Specialty Laboratories, Inc.* ............... 388,680
32,700 STERIS Corp.* ............................... 707,628
81,900 Theragenics Corp.* .......................... 818,181
4,800 Varian Medical Systems, Inc.* ............... 316,800
------------
11,517,226
------------
METALS--0.3%
43,900 Titanium Metals Corp.* ...................... 456,121
------------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
OFFICE EQUIPMENT--0.7%
63,600 Global Imaging Systems, Inc.* ............... $ 1,017,600
------------
OIL & GAS EQUIPMENT & SERVICES--3.1%
37,400 Hydril Company* ............................. 730,422
48,100 Input/Output, Inc.* ......................... 471,380
89,400 Key Energy Services, Inc.* .................. 829,632
15,900 Lufkin Industries, Inc. ..................... 432,639
13,400 McDermott International, Inc.* .............. 142,710
50,900 Oceaneering International, Inc.* ............ 992,550
29,500 Universal Compression Holdings, Inc.* ....... 790,600
------------
4,389,933
------------
OIL & GAS FIELD EXPLORATION--0.5%
54,200 Encore Acquisition Co.* ..................... 769,640
------------
PAPER & ALLIED PRODUCTS--0.6%
34,700 Schweitzer-Mauduit International, Inc. ...... 810,245
------------
PHARMACEUTICALS--3.3%
32,600 Albany Molecular Research, Inc.* ............ 848,252
37,200 First Horizon Pharmaceutical Corp.* ......... 1,342,548
7,100 Medicis Pharmaceutical Corp., Class A* ...... 348,681
40,700 Perrigo Co.* ................................ 656,898
7,700 Pharmaceutical Product Development,
Inc.* ..................................... 232,232
19,200 POZEN Inc.* ................................. 126,144
45,800 SICOR Inc.* ................................. 1,080,880
------------
4,635,635
------------
RESIDENTIAL CONSTRUCTION--2.2%
25,300 Crossmann Communities, Inc. ................. 977,845
14,500 M/I Schottenstein Homes, Inc. ............... 583,335
7,800 NVR, Inc.* .................................. 1,255,800
15,200 Schuler Homes, Inc., Class A* ............... 212,040
------------
3,029,020
------------
RESTAURANTS--1.4%
4,500 Applebee's International, Inc. .............. 145,350
69,600 Lone Star Steakhouse & Saloon, Inc. ......... 866,520
23,800 Panera Bread Co., Class A* .................. 894,880
------------
1,906,750
------------
RETAIL - AUTOMOBILES--1.6%
5 Circuit City Stores, Inc. -
CarMax Group* ............................... 75
39,100 Group 1 Automotive, Inc.* ................... 1,153,450
63,400 Sonic Automotive, Inc.* ..................... 1,115,840
------------
2,269,365
------------
The accompanying notes are an integral part of the financial statements.
16
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
RETAIL - DISCOUNT--0.4%
18,900 99 Cents Only Stores* ....................... $ 578,151
------------
RETAIL - SPECIALTY--2.2%
45,600 Gart Sports Company* ........................ 711,360
103,200 Hollywood Entertainment Corp.* .............. 1,238,400
9,500 PETsMART, Inc.* ............................. 75,335
35,100 School Specialty, Inc.* ..................... 1,068,760
------------
3,093,855
------------
RETAIL - SPECIALTY APPAREL--1.7%
16,300 Chico's FAS, Inc.* .......................... 616,140
93,700 Finish Line, Inc. (The), Class A* ........... 913,575
10,600 Too Inc.* ................................... 291,712
26,000 Wet Seal, Inc. (The), Class A* .............. 519,740
------------
2,341,167
------------
SAVINGS & LOAN ASSOCIATIONS--1.4%
140,400 BankAtlantic Bancorp, Inc., Class A ......... 1,294,488
11,400 Dime Community Bancshares ................... 310,422
6,800 Downey Financial Corp. ...................... 324,700
------------
1,929,610
------------
SCHOOLS--1.1%
11,000 Education Management Corp.* ................. 418,770
32,000 ITT Educational Services, Inc.* ............. 1,066,880
------------
1,485,650
------------
SEMICONDUCTORS--4.0%
33,200 Elantec Semiconductor, Inc.* ................ 1,261,600
25,900 EMCOR Group, Inc.* .......................... 1,009,841
66,100 Kulicke and Soffa Industries, Inc.* ......... 952,501
28,200 Microsemi Corp.* ............................ 803,700
64,600 Multilink Technology Corp.* ................. 610,470
29,300 Photronics, Inc.* ........................... 699,098
30,500 TranSwitch Corp.* ........................... 250,100
------------
5,587,310
------------
SERVICES - EMPLOYMENT AGENCIES--0.5%
29,700 Resources Connection, Inc.* ................. 653,400
------------
SERVICES - MANAGEMENT CONSULTING--2.4%
33,800 Corporate Executive Board Co. (The)* ........ 1,174,550
53,600 FTI Consulting, Inc.* ....................... 1,342,680
38,700 Watson Wyatt & Company Holdings* ............ 913,320
------------
3,430,550
------------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--3.5%
47,100 Catapult Communications Corp.* .............. $ 854,865
23,300 Ditech Communications Corp.* ................ 149,353
39,100 Dycom Industries, Inc.* ..................... 566,559
45,000 Illuminet Holdings, Inc.* ................... 1,494,000
55,600 Somera Communications, Inc.* ................ 333,600
86,100 SpectraLink Corp.* .......................... 1,451,646
17,900 WJ Communications, Inc.* .................... 59,070
------------
4,909,093
------------
TOBACCO--1.0%
73,800 Standard Commercial Corp. ................... 1,372,680
------------
TRANSPORTATION--1.2%
36,900 Kirby Corp.* ................................ 900,360
28,100 Overseas Shipholding Group, Inc. ............ 766,006
------------
1,666,366
------------
UTILITIES--0.3%
33,800 Southwestern Energy Co.* .................... 422,500
------------
VITAMIN & NUTRITION PRODUCTS--1.0%
81,600 NBTY, Inc.* ................................. 1,408,416
------------
WHOLESALE - DISTRIBUTION--0.4%
34,400 Handleman Co.* .............................. 531,824
------------
Total Common Stocks
(Cost $124,629,617) ....................... 134,050,083
------------
PRINCIPAL
AMOUNT (000'S)
----------------------------------------------------------------------
REPURCHASE AGREEMENT--2.5%
$ 3,555 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/01 to be
repurchased at $3,556,818)
3.65%, 09/04/01
(Cost $3,555,376) (Note 6) ................ 3,555,376
------------
Total Investments -- 98.3%
(Cost $128,184,993) 137,605,459
------------
Other Assets in Excess of
Liabilities -- 1.7% ....................... 2,321,090
------------
Net Assets -- 100.0% ........................ $139,926,549
============
----------
* Non-income producing.
** Security was delisted on March 13, 2001 and held at no value.
The accompanying notes are an integral part of the financial statements.
17
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
GROWTH FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
COMMON STOCKS--98.1%
AEROSPACE & DEFENSE--0.4%
6,600 DRS Technologies, Inc.* ..................... $ 167,310
-----------
AIRLINES--0.8%
12,600 Atlantic Coast Airlines Holdings, Inc.* 318,780
900 Mesa Air Group, Inc.* ....................... 13,248
-----------
332,028
-----------
APPAREL--0.3%
9,900 Tommy Hilfiger Corp.* ....................... 127,710
-----------
AUTOMOBILE PARTS & EQUIPMENT--0.8%
17,500 ArvinMeritor, Inc. .......................... 309,750
-----------
BANKS--0.2%
2,100 Doral Financial Corp. ....................... 69,216
-----------
BEVERAGES--1.7%
9,700 Constellation Brands, Inc., Class A* ........ 410,795
6,000 Pepsi Bottling Group, Inc. (The) ............ 264,900
-----------
675,695
-----------
BIOTECH--7.6%
5,300 Abgenix, Inc.* .............................. 158,841
1,100 Affymetrix, Inc.* ........................... 23,870
3,800 Alkermes, Inc.* ............................. 97,280
1,600 Aviron* ..................................... 35,824
4,500 Celgene Corp.* .............................. 125,145
2,500 Cephalon, Inc.* ............................. 148,050
12,500 Charles River Laboratories International,
Inc.* ..................................... 446,250
3,600 COR Therapeutics, Inc.* ..................... 98,820
2,000 Corixa Corp.* ............................... 23,300
2,500 CuraGen Corp.* .............................. 50,975
800 CV Therapeutics, Inc.* ...................... 39,816
2,000 Diversa Corp.* .............................. 24,300
1,155 Enzo Biochem, Inc. .......................... 30,019
2,200 Enzon, Inc.* ................................ 140,448
3,300 Exelixis, Inc.* ............................. 55,374
2,600 ICOS Corp.* ................................. 151,580
3,600 ImClone Systems Inc.* ....................... 185,040
4,000 Incyte Genomics, Inc.* ...................... 70,720
1,100 InterMune Inc.* ............................. 43,439
3,200 Invitrogen Corp.* ........................... 217,696
5,000 Medarex, Inc.* .............................. 95,100
1,400 Myriad Genetics, Inc.* ...................... 61,040
1,200 Neurocrine Biosciences, Inc.* ............... 47,196
2,300 OSI Pharmaceuticals, Inc.* .................. 97,520
2,900 Protein Design Labs, Inc.* .................. 170,491
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
BIOTECH--(CONTINUED)
1,700 Regeneron Pharmaceuticals, Inc.* ............ $ 51,204
2,900 Scios Inc.* ................................. 51,185
1,600 Transkaryotic Therapies, Inc.* .............. 48,880
1,200 Trimeris, Inc.* ............................. 57,360
4,806 Vertex Pharmaceuticals Inc.* ................ 177,293
-----------
3,024,056
-----------
BROKERAGE--0.2%
2,900 Jefferies Group, Inc. ....................... 96,570
-----------
BUILDING SUPPLIES--0.8%
11,500 Hughes Supply, Inc. ......................... 314,525
-----------
CHEMICALS - SPECIALTY--0.7%
12,200 TETRA Technologies, Inc.* ................... 278,282
-----------
COMMERCIAL SERVICES--0.0%
1,000 Cendant Corp.* .............................. 19,070
-----------
COMPUTER GRAPHICS--0.5%
4,400 Pixar, Inc.* ................................ 183,480
-----------
COMPUTER NETWORKING PRODUCTS--1.7%
5,300 Black Box Corp.* ............................ 248,093
19,300 Storage Technology Corp.* ................... 275,990
16,600 Tellium, Inc.* .............................. 161,850
-----------
685,933
-----------
COMPUTER PERIPHERALS--0.8%
16,500 Electronics for Imaging, Inc.* .............. 337,590
-----------
COMPUTER SERVICES--0.8%
7,700 CACI International, Inc., Class A* .......... 305,613
-----------
COMPUTER SOFTWARE--4.9%
12,000 Activision, Inc.* ........................... 444,600
8,100 Advent Software, Inc.* ...................... 430,191
3,500 JDA Software Group, Inc.* ................... 65,310
9,100 McAfee.com Corp.* ........................... 131,950
14,400 MSC.Software Corp.* ......................... 270,000
4,100 TALX Corp. .................................. 126,690
6,600 THQ Inc.* ................................... 350,790
10,000 Ulticom, Inc.* .............................. 120,000
-----------
1,939,531
-----------
DATA PROCESSING--4.1%
11,000 Actrade Financial Technologies, Ltd.* ....... 252,010
4,100 Cerner Corp.* ............................... 198,809
4,900 CSG Systems International, Inc.* ............ 224,910
5,600 Fair, Isaac and Company, Inc. ............... 341,600
The accompanying notes are an integral part of the financial statements.
18
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
DATA PROCESSING--(CONTINUED)
5,200 Global Payments Inc. ........................ $ 184,860
4,400 Kronos Inc.* ................................ 214,720
6,900 MedQuist Inc.* .............................. 177,675
1,300 National Data Corp. ......................... 50,193
-----------
1,644,777
-----------
ELECTRONIC COMPONENTS & ACCESSORIES--3.1%
3,000 Arrow Electronics, Inc.* .................... 80,370
10,100 BEI Technologies, Inc. ...................... 233,613
11,220 Intermagnetics General Corp.* ............... 338,732
3,300 Merix Corp.* ................................ 63,558
16,500 Pixelworks, Inc.* ........................... 246,180
10,800 Wilson Greatbatch Technologies, Inc.* ....... 279,720
-----------
1,242,173
-----------
ELECTRONIC MEASUREMENTS - INSTRUMENTS--0.4%
5,500 FLIR Systems, Inc.* ......................... 155,100
-----------
ENERGY--0.3%
10,600 Headwaters Inc.* ............................ 104,834
-----------
ENGINEERING--0.8%
5,500 Jacobs Engineering Group Inc.* .............. 322,410
-----------
FINANCIAL SERVICES--1.9%
6,800 AmeriCredit Corp.* .......................... 313,888
5,100 Clark/Bardes, Inc.* ......................... 125,409
2,600 H&R Block, Inc. ............................. 101,166
3,700 IndyMac Bancorp, Inc.* ...................... 97,569
3,800 Metris Companies Inc. ....................... 103,360
-----------
741,392
-----------
FOOD & AGRICULTURE--2.7%
16,900 Dole Food Company, Inc. ..................... 405,431
3,000 Fresh Del Monte Produce Inc.* ............... 44,550
9,400 Smithfield Foods, Inc.* ..................... 415,950
3,900 Suiza Foods Corp.* .......................... 226,122
-----------
1,092,053
-----------
HAZARDOUS WASTE MANAGEMENT--0.1%
900 Stericycle, Inc.* ........................... 43,353
-----------
HEALTH CARE--1.7%
19,500 Oxford Health Plans, Inc.* .................. 584,610
7,600 Sierra Health Services, Inc.* ............... 76,000
-----------
660,610
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
HOSPITALS--3.0%
1,900 Apria Healthcare Group Inc.* ................ $ 51,604
18,400 DaVita, Inc.* ............................... 379,960
3,700 LifePoint Hospitals, Inc.* .................. 158,323
13,000 Select Medical Corp.* ....................... 228,800
4,100 Tenet Healthcare Corp.* ..................... 227,222
6,500 United Surgical Partners International,
Inc.* ..................................... 161,525
-----------
1,207,434
-----------
INSURANCE - PROPERTY & CASUALTY--2.3%
2,300 Brown & Brown ............................... 101,729
7,700 Commerce Group, Inc. (The) .................. 287,980
14,850 Fidelity National Financial, Inc. ........... 359,964
1,300 LandAmerica Financial Group, Inc. ........... 40,924
11,400 Vesta Insurance Group, Inc. ................. 133,038
-----------
923,635
-----------
INTERNET CONTENT--0.5%
11,400 HomeStore.com, Inc.* ........................ 188,898
-----------
INTERNET SOFTWARE--2.3%
14,400 Retek Inc.* ................................. 402,912
6,300 VeriSign, Inc.* ............................. 258,615
14,700 Websense, Inc.* ............................. 262,983
-----------
924,510
-----------
INVESTMENT MANAGEMENT--0.5%
2,900 John Nuveen Co. (The), Class A .............. 189,689
-----------
LEISURE & ENTERTAINMENT--3.7%
8,700 Action Performance Companies, Inc.* ......... 240,555
5,400 Alliance Gaming Corp.* ...................... 106,434
11,400 Argosy Gaming Co.* .......................... 338,922
14,100 Direct Focus, Inc.* ......................... 394,800
6,900 Hotel Reservations Network, Inc.,
Class A* .................................. 287,040
10,500 Topps Co., Inc. (The)* ...................... 120,750
-----------
1,488,501
-----------
MACHINERY--0.4%
9,948 Global Power Equipment Group Inc.* .......... 142,058
-----------
MANUFACTURING--0.5%
1,300 Ameron International Corp. .................. 94,445
6,200 Dal-Tile International Inc.* ................ 107,260
-----------
201,705
-----------
The accompanying notes are an integral part of the financial statements.
19
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
MEDICAL INSTRUMENTS & SUPPLIES--7.2%
1,000 American Medical Systems Holdings,
Inc.* ..................................... $ 19,950
2,300 Cooper Companies, Inc. (The) ................ 117,323
21,100 Cytyc Corp.* ................................ 511,253
4,400 Diagnostic Products Corp. ................... 172,700
3,500 DIANON Systems, Inc.* ....................... 171,325
11,700 Edwards Lifesciences Corp.* ................. 307,593
2,400 Haemonetics Corp.* .......................... 86,064
9,300 Henry Schein, Inc.* ......................... 337,776
5,500 Laboratory Corp. of America Holdings* ....... 428,450
2,300 Mentor Corp. ................................ 69,000
5,800 PSS World Medical, Inc.* .................... 40,774
6,500 Quest Diagnostics Inc.* ..................... 407,225
2,800 Specialty Laboratories, Inc.* ............... 88,480
4,800 STERIS Corp.* ............................... 103,872
-----------
2,861,785
-----------
METALS--0.4%
5,600 Titanium Metals Corp.* ...................... 58,184
16,300 USEC Inc. ................................... 118,990
-----------
177,174
-----------
MISCELLANEOUS TECHNOLOGY--0.8%
7,800 Macrovision Corp.* .......................... 340,158
-----------
OIL & GAS EQUIPMENT & SERVICES--3.9%
6,900 BJ Services Co.* ............................ 154,767
9,600 Hydril Company* ............................. 187,488
15,700 Input/Output, Inc.* ......................... 153,860
34,200 Key Energy Services, Inc.* .................. 317,376
7,800 McDermott International, Inc.* .............. 83,070
16,200 Oceaneering International, Inc.* ............ 315,900
3,100 Offshore Logistics, Inc.* ................... 58,590
10,100 Universal Compression Holdings, Inc.* ....... 270,680
-----------
1,541,731
-----------
OIL & GAS FIELD EXPLORATION--0.5%
10,400 Ocean Energy Inc. ........................... 196,040
-----------
PACKAGING & CONTAINERS--0.5%
11,500 Packaging Corp. of America* ................. 211,370
-----------
PHARMACEUTICALS--4.7%
9,900 Albany Molecular Research, Inc.* ............ 257,598
5,400 First Horizon Pharmaceutical Corp.* ......... 194,886
12,249 King Pharmaceuticals, Inc.* ................. 529,769
21,500 Perrigo Co.* ................................ 347,010
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
PHARMACEUTICALS--(CONTINUED)
2,900 Pharmaceutical Product Development,
Inc.* ..................................... $ 87,464
19,200 SICOR Inc.* ................................. 453,120
-----------
1,869,847
-----------
RESIDENTIAL CONSTRUCTION--2.9%
8,200 Lennar Corp. ................................ 365,310
1,300 M/I Schottenstein Homes, Inc. ............... 52,299
2,600 NVR, Inc.* .................................. 418,600
6,300 Ryland Group, Inc. (The) .................... 338,940
-----------
1,175,149
-----------
RESTAURANTS--0.4%
4,400 Panera Bread Co., Class A* .................. 165,440
-----------
RETAIL - AUTOMOBILES--2.0%
7,900 AutoZone, Inc.* ............................. 364,980
10,500 Group 1 Automotive, Inc.* ................... 309,750
7,200 Sonic Automotive, Inc.* ..................... 126,720
-----------
801,450
-----------
RETAIL - DISCOUNT--0.2%
2,200 99 Cents Only Stores* ....................... 67,298
-----------
RETAIL - SPECIALTY--3.0%
18,000 Blockbuster Inc., Class A ................... 386,280
14,500 Hollywood Entertainment Corp.* .............. 174,000
7,900 School Specialty, Inc.* ..................... 240,547
21,700 Venator Group, Inc.* ........................ 389,515
-----------
1,190,342
-----------
RETAIL - SPECIALTY APPAREL--0.7%
3,500 Chico's FAS, Inc.* .......................... 132,300
1,500 Too Inc.* ................................... 41,280
5,700 Wet Seal, Inc. (The), Class A* .............. 113,943
-----------
287,523
-----------
SAVINGS & LOAN ASSOCIATIONS--1.5%
10,500 Flagstar Bancorp, Inc. ...................... 230,790
8,600 GreenPoint Financial Corp. .................. 339,700
1,800 Trustmark Corp. ............................. 40,320
-----------
610,810
-----------
SCHOOLS--2.0%
11,720 Apollo Group, Inc., Class A* ................ 461,416
3,800 ITT Educational Services, Inc.* ............. 126,692
7,050 University of Phoenix Online* ............... 197,400
-----------
785,508
-----------
The accompanying notes are an integral part of the financial statements.
20
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
GROWTH FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
SEMICONDUCTORS--7.3%
1,500 Cymer, Inc.* ................................ $ 37,740
8,500 Elantec Semiconductor, Inc.* ................ 323,000
9,100 EMCOR Group, Inc.* .......................... 354,809
5,200 KLA-Tencor Corp.* ........................... 255,528
19,400 Kulicke and Soffa Industries, Inc.* ......... 279,554
16,300 Lam Research Corp.* ......................... 461,453
7,300 Microsemi Corp.* ............................ 208,050
16,900 Multilink Technology Corp.* ................. 159,705
5,000 NVIDIA Corp.* ............................... 423,550
13,700 Photronics, Inc.* ........................... 326,882
9,000 TranSwitch Corp.* ........................... 73,800
-----------
2,904,071
-----------
SERVICES - EMPLOYMENT AGENCIES--0.4%
8,200 Resources Connection, Inc.* ................. 180,400
-----------
SERVICES - MANAGEMENT CONSULTING--1.5%
10,600 Corporate Executive Board Co. (The)* ........ 368,350
5,900 FTI Consulting, Inc.* ....................... 147,795
4,400 Watson Wyatt & Company Holdings* ............ 103,840
-----------
619,985
-----------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--3.6%
1,600 Advanced Fibre Communications, Inc.* ........ 38,800
8,300 Catapult Communications Corp.* .............. 150,645
14,000 Dycom Industries, Inc.* ..................... 202,860
11,800 Illuminet Holdings, Inc.* ................... 391,760
25,200 SpectraLink Corp.* .......................... 424,872
12,600 UTStarcom, Inc.* ............................ 211,050
2,800 WJ Communications, Inc.* .................... 9,240
-----------
1,429,227
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
TOBACCO--0.4%
7,700 Standard Commercial Corp. ................... $ 143,220
-----------
TRANSPORTATION--2.5%
9,600 Airborne, Inc. .............................. 130,176
7,300 C.H. Robinson Worldwide, Inc. ............... 226,957
7,400 Overseas Shipholding Group, Inc. ............ 201,724
17,400 Ryder System, Inc. .......................... 393,066
1,500 Yellow Corp.* ............................... 39,915
-----------
991,838
-----------
UTILITIES--0.3%
1,400 Public Service Company of New Mexico ........ 39,760
5,800 Southwestern Energy Co.* .................... 72,500
-----------
112,260
-----------
VITAMIN & NUTRITION PRODUCTS--0.9%
20,500 NBTY, Inc.* ................................. 353,830
-----------
WHOLESALE - DISTRIBUTION--0.0%
1,100 Handleman Co.* .............................. 17,006
-----------
Total Investments -- 98.1%
(Cost $38,402,085) ........................ 39,172,953
-----------
Other Assets in Excess of
Liabilities -- 1.9% ....................... 757,214
-----------
Net Assets -- 100.0% ........................ $39,930,167
----------
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
21
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MID CAP FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
COMMON STOCKS--97.2%
AEROSPACE & DEFENSE--3.1%
1,200 Boeing Co. (The) ............................ $ 61,440
3,300 Goodrich Corp. .............................. 105,765
12,300 Precision Castparts Corp. ................... 422,382
3,700 Rockwell Collins ............................ 75,184
4,300 United Technologies Corp. ................... 294,120
-----------
958,891
-----------
AGRICULTURAL SERVICES--0.8%
6,900 Monsanto Co. ................................ 235,359
-----------
APPAREL--0.5%
11,000 Tommy Hilfiger Corp.* ....................... 141,900
-----------
AUTOMOBILE--1.4%
20,300 AutoNation, Inc. ............................ 218,428
3,800 General Motors Corp. ........................ 208,050
-----------
426,478
-----------
AUTOMOBILE PARTS & EQUIPMENT--2.9%
16,800 ArvinMeritor, Inc. .......................... 297,360
11,100 Lear Corp.* ................................. 402,264
11,800 Visteon Corp. ............................... 201,780
-----------
901,404
-----------
BANKS--4.2%
16,100 Compass Bancshares, Inc. .................... 429,065
1,400 Countrywide Credit Industries, Inc. ......... 58,100
1,500 National City Corp. ......................... 46,305
1,800 SunTrust Banks, Inc. ........................ 122,940
3,900 U.S. Bancorp ................................ 94,536
7,200 Wachovia Corp. .............................. 247,824
8,500 Washington Mutual, Inc. ..................... 318,240
-----------
1,317,010
-----------
BEVERAGES--1.8%
7,500 Constellation Brands, Inc., Class A* ........ 317,625
5,400 Pepsi Bottling Group, Inc. (The) ............ 238,410
-----------
556,035
-----------
BROKERAGE--0.5%
1,600 Bear Stearns Companies Inc. (The) ........... 83,504
1,200 Lehman Brothers Holdings Inc. ............... 78,780
-----------
162,284
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
BUSINESS SERVICES--0.7%
16,300 Exult Inc.* ................................. $ 228,200
-----------
CHEMICALS - BASIC--0.4%
2,400 Praxair, Inc. ............................... 112,968
-----------
CHEMICALS - SPECIALTY--1.9%
7,900 Ashland Inc. ................................ 334,960
11,300 Sherwin-Williams Co. (The) .................. 255,945
-----------
590,905
-----------
COMMERCIAL SERVICES--0.6%
10,000 Cendant Corp.* .............................. 190,700
-----------
COMMUNICATIONS & MEDIA--0.3%
8,600 Entravision Communications Corp.,
Class A* .................................. 104,318
-----------
COMPUTER NETWORKING PRODUCTS--2.0%
2,900 ONI Systems Corp.* .......................... 40,310
17,300 Sonus Networks, Inc.* ....................... 255,521
14,800 Storage Technology Corp.* ................... 211,640
12,300 Tellium, Inc.* .............................. 119,925
-----------
627,396
-----------
COMPUTER PERIPHERALS--1.0%
10,600 Electronics for Imaging, Inc.* .............. 216,876
2,100 Lexmark International, Inc.* ................ 109,305
-----------
326,181
-----------
COMPUTER SOFTWARE--4.8%
5,800 Advent Software, Inc.* ...................... 308,038
3,900 BEA Systems, Inc.* .......................... 63,063
10,300 Citrix Systems, Inc.* ....................... 339,385
8,800 Computer Associates International, Inc. ..... 273,240
26,300 Network Associates, Inc.* ................... 416,855
7,700 Sybase, Inc.* ............................... 106,029
-----------
1,506,610
-----------
CONSUMER PRODUCTS--1.0%
4,600 Whirlpool Corp. ............................. 303,692
-----------
DATA PROCESSING--0.6%
3,200 Electronic Data Systems Corp. ............... 188,736
-----------
ELECTRONIC COMPONENTS & ACCESSORIES--0.1%
1,200 RF Micro Devices, Inc.* ..................... 30,552
-----------
The accompanying notes are an integral part of the financial statements.
22
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
FINANCIAL SERVICES--1.3%
4,300 AmeriCredit Corp.* .......................... $ 198,488
8,400 IndyMac Bancorp, Inc.* ...................... 221,508
-----------
419,996
-----------
FOOD & AGRICULTURE--2.6%
12,100 ConAgra Foods, Inc. ......................... 277,695
1,400 Sara Lee Corp. .............................. 30,800
8,000 Smithfield Foods, Inc.* ..................... 354,000
15,100 Tyson Foods, Inc., Class A .................. 159,305
-----------
821,800
-----------
HEALTH CARE--2.1%
10,600 Health Net Inc.* ............................ 200,022
14,700 Oxford Health Plans, Inc.* .................. 440,706
-----------
640,728
-----------
HOSPITALS--3.2%
16,700 DaVita, Inc.* ............................... 344,855
8,100 LifePoint Hospitals, Inc.* .................. 346,599
5,500 Tenet Healthcare Corp.* ..................... 304,810
-----------
996,264
-----------
INSURANCE - PROPERTY & CASUALTY--3.8%
8,500 CNA Financial Corp.* ........................ 236,045
1,870 CNA Financial Corp., Rights
(expiring 09/14/01)* ...................... 5,199
12,470 Fidelity National Financial, Inc. ........... 302,273
4,600 Loews Corp. ................................. 224,572
16,000 Old Republic International Corp. ............ 429,600
-----------
1,197,689
-----------
INTERNET SOFTWARE--1.2%
5,800 Retek Inc.* ................................. 162,284
5,100 VeriSign, Inc.* ............................. 209,355
-----------
371,639
-----------
LEISURE & ENTERTAINMENT--2.4%
2,000 Callaway Golf Co. ........................... 36,240
3,000 Expedia, Inc., Class A* ..................... 112,080
6,900 Hotel Reservations Network, Inc.,
Class A* .................................. 287,040
13,200 Royal Caribbean Cruises Ltd. ................ 308,088
-----------
743,448
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
MANUFACTURING--1.3%
10,400 Pentair, Inc. ............................... $ 390,000
-----------
MEDICAL INSTRUMENTS & SUPPLIES--5.2%
3,000 DENTSPLY International Inc. ................. 133,860
10,200 Edwards Lifesciences Corp.* ................. 268,158
7,200 Hillenbrand Industries, Inc. ................ 390,960
2,200 Laboratory Corp. of America Holdings* ....... 171,380
8,500 Quest Diagnostics Inc.* ..................... 532,525
2,200 Stryker Corp. ............................... 120,626
-----------
1,617,509
-----------
MULTIMEDIA/PUBLISHING--0.9%
4,900 McGraw-Hill Companies, Inc. (The) ........... 290,325
-----------
OFFICE EQUIPMENT--0.3%
2,200 Pitney Bowes Inc. ........................... 95,678
-----------
OFFICE FURNITURE--1.1%
24,000 Office Depot, Inc.* ......................... 333,600
-----------
OIL & GAS EQUIPMENT & SERVICES--3.6%
2,300 Helmerich & Payne, Inc. ..................... 70,288
2,800 Nabors Industries, Inc.* .................... 68,656
5,500 Patterson-UTI Energy, Inc.* ................. 77,275
7,400 Questar Corp. ............................... 167,536
14,400 Tidewater Inc. .............................. 447,984
9,000 Williams Companies, Inc. (The) .............. 292,950
-----------
1,124,689
-----------
OIL & GAS FIELD EXPLORATION--3.1%
4,100 Amerada Hess Corp. .......................... 318,611
1,000 Devon Energy Corp. .......................... 46,270
1,500 El Paso Corp. ............................... 72,885
5,700 Unocal Corp. ................................ 201,210
10,700 USX-Marathon Group .......................... 337,157
-----------
976,133
-----------
OIL REFINING--1.8%
9,100 Sunoco, Inc. ................................ 344,253
5,000 Valero Energy Corp. ......................... 207,500
-----------
551,753
-----------
The accompanying notes are an integral part of the financial statements.
23
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
PAPER & ALLIED PRODUCTS--1.9%
1,400 Bowater Inc. ................................ $ 66,416
8,600 Georgia-Pacific Group ....................... 314,244
5,100 Mead Corp. (The) ............................ 169,524
1,700 Westvaco Corp. .............................. 51,765
-----------
601,949
-----------
PHARMACEUTICALS--1.0%
1,600 ICN Pharmaceuticals, Inc. ................... 47,120
5,966 King Pharmaceuticals, Inc.* ................. 258,029
-----------
305,149
-----------
RESIDENTIAL CONSTRUCTION--1.4%
1,900 Lennar Corp. ................................ 84,645
8,900 Pulte Homes, Inc. ........................... 336,865
-----------
421,510
-----------
RETAIL - DEPARTMENT STORES--1.3%
6,500 Dillard's, Inc., Class A .................... 116,350
7,100 Sears, Roebuck and Co. ...................... 303,525
-----------
419,875
-----------
RETAIL - SPECIALTY--1.7%
14,500 Blockbuster Inc., Class A ................... 311,170
13,000 Venator Group, Inc.* ........................ 233,350
-----------
544,520
-----------
SAVINGS & LOAN ASSOCIATIONS--9.3%
6,800 Astoria Financial Corp. ..................... 401,200
16,100 Banknorth Group, Inc. ....................... 354,200
10,900 Charter One Financial, Inc. ................. 318,280
14,600 Golden State Bancorp Inc. ................... 438,292
5,200 Golden West Financial Corp. ................. 300,924
11,400 GreenPoint Financial Corp. .................. 450,300
23,000 Hibernia Corp., Class A ..................... 397,670
7,100 Webster Financial Corp. ..................... 230,892
-----------
2,891,758
-----------
SCHOOLS--0.7%
5,750 Apollo Group, Inc., Class A* ................ 226,378
-----------
SEMICONDUCTORS--3.7%
6,700 KLA-Tencor Corp.* ........................... 329,238
9,100 Lam Research Corp.* ......................... 257,621
5,900 NVIDIA Corp.* ............................... 499,789
1,400 Semtech Corp.* .............................. 52,262
-----------
1,138,910
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
SERVICES - MANAGEMENT CONSULTING--1.1%
7,200 Corporate Executive Board Co. (The)* ........ $ 250,200
6,400 KPMG Consulting Inc.* ....................... 94,272
-----------
344,472
-----------
TELECOMMUNICATIONS EQUIPMENT & INFRASTRUCTURE--2.0%
9,500 Corning, Inc. ............................... 114,095
11,300 EchoStar Communications Corp., Class A* ..... 318,208
4,500 Lucent Technologies Inc. .................... 30,690
9,700 UTStarcom, Inc.* ............................ 162,475
-----------
625,468
-----------
TRANSPORTATION--1.3%
10,800 Norfolk Southern Corp. ...................... 201,096
8,400 Ryder System, Inc. .......................... 189,756
-----------
390,852
-----------
UTILITIES--8.3%
7,700 Allegheny Energy, Inc. ...................... 339,416
1,700 Aquila, Inc.* ............................... 44,285
7,500 CMS Energy Corp. ............................ 175,950
13,800 Energy East Corp. ........................... 290,628
9,200 FirstEnergy Corp. ........................... 302,588
9,300 KeySpan Corp. ............................... 300,390
13,750 MDU Resources Group, Inc. ................... 391,600
1,100 Mirant Corp.* ............................... 31,515
3,500 ONEOK, Inc. ................................. 56,700
3,900 Progress Energy, Inc. ....................... 162,591
9,900 Public Service Co. of New Mexico ............ 281,160
200 Sempra Energy ............................... 5,418
3,100 Vectren Corp. ............................... 63,550
6,600 Wisconsin Energy Corp. ...................... 159,060
-----------
2,604,851
-----------
WHOLESALE - GROCERIES & GENERAL LINE--1.0%
15,200 SUPERVALU INC ............................... 318,896
-----------
Total Common Stocks
(Cost $30,295,133) ........................ 30,315,458
-----------
The accompanying notes are an integral part of the financial statements.
24
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MID CAP FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
AUGUST 31, 2001
PRINCIPAL VALUE
AMOUNT (000's) (NOTE 1)
----------------------------------------------------------------------
REPURCHASE AGREEMENT--2.6%
$ 831 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/01 to be
repurchased at $831,180)
3.65%, 09/04/01
(Cost $830,843) (Note 6) .................. $ 830,843
-----------
Total Investments -- 99.8%
(Cost $31,125,976) ........................ 31,146,301
-----------
Other Assets in Excess of
Liabilities -- 0.2% ....................... 51,900
-----------
Net Assets -- 100.0% ........................ $31,198,201
----------
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
25
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
COMMON STOCKS--97.2%
AEROSPACE & DEFENSE--1.7%
4,600 Moog Inc., Class A* ......................... $ 164,680
12,000 Precision Castparts Corp. ................... 412,080
600 Triumph Group, Inc.* ........................ 28,380
-----------
605,140
-----------
AIRLINES--0.4%
14,500 America West Holdings Corp., Class B* ....... 137,895
-----------
APPAREL--0.6%
17,800 Tommy Hilfiger Corp.* ....................... 229,620
-----------
AUTOMOBILE PARTS & EQUIPMENT--4.0%
10,200 American Axle & Manufacturing
Holdings, Inc.* ........................... 192,270
28,600 ArvinMeritor, Inc. .......................... 506,220
3,300 BorgWarner, Inc. ............................ 168,630
6,500 Dura Automotive Systems, Inc.* .............. 91,000
11,400 Tower Automotive, Inc.* ..................... 146,148
31,100 Wabash National Corp. ....................... 301,670
-----------
1,405,938
-----------
BANKS--2.9%
11,200 First BanCorp ............................... 311,920
3,000 Hudson United Bancorp. ...................... 80,850
14,000 Irwin Financial Corp. ....................... 301,000
12,800 R&G Financial Corp., Class B ................ 221,312
8,500 W Holding Co., Inc. ......................... 128,435
-----------
1,043,517
-----------
BEVERAGES--0.6%
5,200 Constellation Brands, Inc., Class A* ........ 220,220
-----------
BROKERAGE--0.1%
600 Jefferies Group, Inc. ....................... 19,980
-----------
BUILDING SUPPLIES--2.1%
11,100 Building Materials Holding Corp.* ........... 158,175
17,900 Hughes Supply, Inc. ......................... 489,565
6,600 Lennox International Inc. ................... 66,264
1,500 Watsco, Inc. ................................ 21,210
-----------
735,214
-----------
CHEMICALS - BASIC--0.6%
12,700 NL Industries, Inc. ......................... 205,105
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
CHEMICALS - SPECIALTY--1.0%
10,600 RPM, Inc. ................................... $ 116,812
9,100 TETRA Technologies, Inc.* ................... 207,571
3,300 Wellman, Inc. ............................... 49,500
-----------
373,883
-----------
COMPUTER COMPONENTS--0.8%
6,700 Hutchinson Technology Inc.* ................. 126,496
11,500 MTS Systems Corp. ........................... 149,500
-----------
275,996
-----------
COMPUTER NETWORKING PRODUCTS--1.1%
9,200 Adaptec, Inc.* .............................. 96,140
2,100 Black Box Corp.* ............................ 98,301
13,400 Storage Technology Corp.* ................... 191,620
-----------
386,061
-----------
COMPUTER PERIPHERALS--0.8%
13,600 Electronics for Imaging, Inc.* .............. 278,256
-----------
COMPUTER SOFTWARE--0.7%
13,300 Midway Games Inc.* .......................... 194,845
3,400 MSC.Software Corp.* ......................... 63,750
-----------
258,595
-----------
CONSUMER PRODUCTS--2.3%
16,300 American Greetings Corp., Class A ........... 215,486
5,600 Libbey Inc. ................................. 213,360
8,400 Toro Co. (The) .............................. 382,620
-----------
811,466
-----------
DATA PROCESSING--0.1%
1,900 Actrade Financial Technologies, Ltd.* ....... 43,529
-----------
ELECTRICAL EQUIPMENT--0.5%
4,100 A.O. Smith Corp. ............................ 69,085
8,000 General Cable Corp. ......................... 121,120
-----------
190,205
-----------
ELECTRONIC COMPONENTS & ACCESSORIES--2.0%
5,700 BEI Technologies, Inc. ...................... 131,841
4,700 Pioneer-Standard Electronics, Inc. .......... 56,447
2,600 Planar Systems Inc.* ........................ 68,900
8,500 Powell Industries, Inc.* .................... 228,565
8,400 Wilson Greatbatch Technologies, Inc.* ....... 217,560
-----------
703,313
-----------
The accompanying notes are an integral part of the financial statements.
26
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
ELECTRONIC MEASUREMENTS - INSTRUMENTS--0.3%
4,000 FLIR Systems, Inc.* ......................... $ 112,800
-----------
FINANCIAL SERVICES--2.2%
13,200 Advanta Corp., Class A ...................... 179,784
17,000 IndyMac Bancorp, Inc.* ...................... 448,290
5,300 Metris Companies Inc. ....................... 144,160
-----------
772,234
-----------
FOOD & AGRICULTURE--4.0%
700 Corn Products International, Inc. ........... 23,100
22,000 Dole Food Co., Inc. ......................... 527,780
17,500 Fresh Del Monte Produce Inc.* ............... 259,875
2,700 Interstate Bakeries Corp. ................... 66,690
13,500 Sensient Technologies Corp. ................. 296,865
4,000 Spartan Stores, Inc.* ....................... 46,920
3,700 Suiza Foods Corp.* .......................... 214,526
-----------
1,435,756
-----------
FOOTWEAR--0.6%
11,300 Wolverine World Wide, Inc. .................. 210,293
-----------
FUNERAL SERVICES--0.1%
4,000 Stewart Enterprises, Inc., Class A* ......... 30,080
-----------
HEALTH CARE--0.2%
1,900 Health Net Inc.* ............................ 35,853
1,600 Mid Atlantic Medical Services, Inc.* ........ 33,600
-----------
69,453
-----------
HOME FURNISHINGS/HOUSEWARES--0.3%
2,500 American Woodmark Corp. ..................... 120,500
-----------
HOSPITALS--0.2%
3,500 DaVita, Inc.* ............................... 72,275
-----------
INSURANCE - HEALTH & LIFE--0.8%
2,900 American National Insurance Co. ............. 228,839
1,000 AmerUs Group Co. ............................ 30,980
800 StanCorp Financial Group, Inc. .............. 36,800
-----------
296,619
-----------
INSURANCE - PROPERTY & CASUALTY--5.5%
13,000 Commerce Group, Inc. (The) .................. 486,200
15,260 Fidelity National Financial, Inc. ........... 369,902
13,600 LandAmerica Financial Group, Inc. ........... 428,128
6,000 Ohio Casualty Corp. ......................... 82,860
6,400 Stewart Information Services Corp.* ......... 112,000
41,300 Vesta Insurance Group, Inc. ................. 481,971
-----------
1,961,061
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
INVESTMENT MANAGEMENT--1.3%
6,400 John Nuveen Co. (The), Class A .............. $ 418,624
1,200 Raymond James Financial, Inc. ............... 33,984
-----------
452,608
-----------
LEISURE & ENTERTAINMENT--2.7%
5,700 Ameristar Casinos, Inc.* .................... 87,894
7,900 Argosy Gaming Co.* .......................... 234,867
16,700 Aztar Corp.* ................................ 269,538
7,400 Polaris Industries Inc. ..................... 372,590
-----------
964,889
-----------
MACHINERY--1.2%
36,000 AGCO Corp. .................................. 423,000
-----------
MAINTENANCE SERVICES--0.4%
17,300 Integrated Electrical Services, Inc.* ....... 141,860
-----------
MANUFACTURING--6.0%
15,000 Actuant Corp., Class A* ..................... 318,150
6,400 Ameron International Corp. .................. 464,960
1,000 Donaldson Co., Inc. ......................... 29,850
19,000 Griffon Corp.* .............................. 208,050
8,200 Harsco Corp. ................................ 290,280
10,600 Pentair, Inc. ............................... 397,500
6,000 RTI International Metals, Inc.* ............. 66,900
2,300 Tecumseh Products Co., Class A .............. 112,654
4,700 Teleflex Inc. ............................... 231,240
-----------
2,119,584
-----------
MEDICAL INSTRUMENTS & SUPPLIES--2.8%
6,000 Edwards Lifesciences Corp.* ................. 157,740
5,600 Henry Schein, Inc.* ......................... 203,392
8,800 Landauer, Inc. .............................. 268,400
11,900 Mentor Corp. ................................ 357,000
-----------
986,532
-----------
METALS--2.3%
11,200 Century Aluminum Co. ........................ 187,936
5,500 Quanex Corp. ................................ 145,145
65,000 USEC Inc. ................................... 474,500
-----------
807,581
-----------
OFFICE & BUSINESS EQUIPMENT--1.3%
55,000 IKON Office Solutions, Inc. ................. 412,500
1,600 United Stationers Inc.* ..................... 50,416
-----------
462,916
-----------
The accompanying notes are an integral part of the financial statements.
27
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
OIL & GAS EQUIPMENT & SERVICES--1.3%
14,100 Key Energy Services, Inc.* .................. $ 130,848
5,100 Lufkin Industries, Inc. ..................... 138,771
5,300 McDermott International, Inc.* .............. 56,445
3,100 Offshore Logistics, Inc.* ................... 58,590
1,400 SEACOR SMIT Inc.* ........................... 65,086
-----------
449,740
-----------
OIL & GAS FIELD EXPLORATION--1.3%
5,000 Louis Dreyfus Natural Gas Corp.* ............ 166,250
5,900 Newfield Exploration Co.* ................... 194,464
2,400 Pogo Producing Co. .......................... 57,336
2,000 XTO Energy, Inc. ............................ 28,200
-----------
446,250
-----------
PACKAGING--0.4%
6,500 Silgan Holdings Inc.* ....................... 141,765
-----------
PAPER & ALLIED PRODUCTS--2.1%
26,600 P.H. Glatfelter Co. ......................... 424,004
13,500 Schweitzer-Mauduit International, Inc. ...... 315,225
-----------
739,229
-----------
PRINTING--0.5%
1,400 Banta Corp. ................................. 41,986
5,800 John H. Harland Co. ......................... 134,850
-----------
176,836
-----------
PUBLISHING--0.3%
2,400 Scholastic Corp.* ........................... 93,432
-----------
RESIDENTIAL CONSTRUCTION--3.0%
6,200 Crossmann Communities, Inc. ................. 239,630
8,800 M/I Schottenstein Homes, Inc. ............... 354,024
9,000 Ryland Group, Inc. (The) .................... 484,200
-----------
1,077,854
-----------
RESTAURANTS--2.3%
3,450 Applebee's International, Inc. .............. 111,435
1,800 Bob Evans Farms, Inc. ....................... 40,212
1,200 Landry's Restaurants, Inc. .................. 20,760
36,361 Lone Star Steakhouse & Saloon, Inc. ......... 452,695
11,800 Ryan's Family Steak Houses, Inc.* ........... 205,438
-----------
830,540
-----------
RETAIL - AUTOMOBILES--0.3%
2,900 Group 1 Automotive, Inc.* ................... 85,550
1,700 Sonic Automotive, Inc.* ..................... 29,920
-----------
115,470
-----------
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
RETAIL - DEPARTMENT STORES--0.6%
11,900 Dillard's, Inc., Class A .................... $ 213,010
-----------
RETAIL - SPECIALTY--2.4%
10,700 Blockbuster Inc., Class A ................... 229,622
14,500 Brown Shoe Co., Inc. ........................ 218,950
2,900 Gart Sports Company* ........................ 45,240
20,600 Hollywood Entertainment Corp.* .............. 247,200
4,300 Longs Drug Stores Corp. ..................... 111,284
-----------
852,296
-----------
RETAIL - SPECIALTY APPAREL--0.7%
21,000 Finish Line, Inc. (The), Class A* ........... 204,750
2,000 Wet Seal, Inc. (The), Class A* .............. 39,980
-----------
244,730
-----------
SAVINGS & LOAN ASSOCIATIONS--12.0%
2,600 American Capital Strategies, Ltd. ........... 73,372
2,600 Astoria Financial Corp. ..................... 153,400
47,700 BankAtlantic Bancorp, Inc., Class A ......... 439,794
8,600 Community First Bankshares, Inc. ............ 209,410
17,000 Dime Bancorp, Inc. .......................... 462,910
4,100 Dime Bancorp, Inc., Litigation Tracking
Warrants* ................................. 1,025
10,000 Downey Financial Corp. ...................... 477,500
10,000 First Essex Bancorp, Inc. ................... 255,000
19,950 Flagstar Bancorp, Inc. ...................... 438,501
11,500 GBC Bancorp ................................. 360,640
13,500 MAF Bancorp, Inc. ........................... 417,960
14,300 Sovereign Bancorp, Inc. ..................... 158,444
17,100 Trustmark Corp. ............................. 383,040
13,900 Webster Financial Corp. ..................... 452,028
-----------
4,283,024
-----------
SEMICONDUCTORS--0.8%
6,200 EMCOR Group, Inc.* .......................... 241,738
1,000 Zoran Corp.* ................................ 34,350
-----------
276,088
-----------
STEEL--0.5%
1,000 Carpenter Technology Corp. .................. 28,980
10,500 Ryerson Tull, Inc. .......................... 133,665
-----------
162,645
-----------
TELECOMMUNICATIONS--0.1%
2,900 General Communication, Inc., Class A* ....... 31,349
-----------
The accompanying notes are an integral part of the financial statements.
28
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
SMALL CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
AUGUST 31, 2001
VALUE
SHARES (NOTE 1)
----------------------------------------------------------------------
TELECOMMUNICATIONS EQUIPMENT & SERVICES--0.4%
4,400 Dycom Industries, Inc.* ..................... $ 63,756
3,300 Harris Corp. ................................ 96,789
-----------
160,545
-----------
TOBACCO--2.7%
23,600 Standard Commercial Corp. ................... 438,960
12,400 Universal Corp. ............................. 526,132
-----------
965,092
-----------
TRANSPORTATION--3.5%
1,000 Kirby Corp.* ................................ 24,400
17,700 Overseas Shipholding Group, Inc. ............ 482,502
25,200 Ryder System, Inc. .......................... 569,268
6,900 Yellow Corp.* ............................... 183,609
-----------
1,259,779
-----------
UTILITIES--7.0%
2,400 El Paso Electric Co.* ....................... 35,760
11,100 Energen Corp. ............................... 281,940
11,500 MDU Resources Group, Inc. ................... 327,520
500 National Fuel Gas Co. ....................... 23,905
7,100 NorthWestern Corp. .......................... 157,265
1,500 NUI Corp. ................................... 33,720
7,900 Peoples Energy Corp. ........................ 310,470
18,200 Public Service Co. of New Mexico ............ 516,880
8,100 Sierra Pacific Resources .................... 137,295
31,800 Southwestern Energy Co.* .................... 397,500
6,500 UGI Corp. ................................... 182,000
4,100 Vectren Corp. ............................... 84,050
-----------
2,488,305
-----------
WHOLESALE - DISTRIBUTION--0.5%
11,500 Handleman Co.* .............................. 177,790
-----------
Total Common Stocks
(Cost $31,964,250) ........................ 34,549,743
-----------
PRINCIPAL VALUE
AMOUNT (000's) (NOTE 1)
----------------------------------------------------------------------
REPURCHASE AGREEMENT--2.3%
$ 826 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/01 to be
repurchased at $826,592)
3.65%, 09/04/01
(Cost $826,257) (Note 6) .................. $ 826,257
-----------
Total Investments -- 99.5%
(Cost $32,790,507) ........................ 35,376,000
-----------
Other Assets in Excess of
Liabilities -- 0.5% ....................... 187,629
-----------
Net Assets -- 100.0% ........................ $35,563,629
----------
* Non-income producing.
The accompanying notes are an integral part of the financial statements.
29
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 2001
MICRO CAP GROWTH MID CAP SMALL CAP VALUE
FUND FUND FUND FUND
------------ ------------ ----------- ---------------
ASSETS
Investments, at value (Cost - $128,184,993,
$38,402,085, $31,125,976, $32,790,507,
respectively) .......................................... $137,605,459 $ 39,172,953 $31,146,301 $35,376,000
Receivable for investments sold ........................... 4,316,564 1,523,995 914,275 1,123,574
Repurchase agreements in connection with securities
lending (Note 5) ....................................... 1,424,131 345,444 109,394 209,254
Dividends and interest receivable ......................... 44,864 17,518 47,439 56,738
Receivable for Fund shares sold ........................... 11,957 -- 2,400 143,434
Prepaid expenses .......................................... 4,511 -- 9,705 4,364
------------ ------------ ----------- -----------
Total assets ........................................... 143,407,486 41,059,910 32,229,514 36,913,364
------------ ------------ ----------- -----------
LIABILITIES
Payable for investments purchased ......................... 1,692,784 294,553 872,261 1,061,783
Payable upon return of securities loaned (Note 5) ......... 1,424,131 345,444 109,394 209,254
Due to custodian .......................................... -- 434,933 -- --
Payable for Fund shares redeemed .......................... 216,173 -- 10,189 25,851
Investment advisory fee payable ........................... 91,110 12,392 5,523 34,797
Accrued expenses and other liabilities .................... 56,739 42,421 33,946 18,050
------------ ------------ ----------- -----------
Total liabilities ...................................... 3,480,937 1,129,743 1,031,313 1,349,735
------------ ------------ ----------- -----------
NET ASSETS
Capital stock, $0.001 par value ........................... 10,996 3,811 2,370 2,020
Additional paid-in capital ................................ 141,585,808 51,544,387 35,771,479 27,262,701
Undistributed net investment income ....................... -- -- 144,990 38,630
Accumulated net realized gain/(loss) from
investments ............................................ (11,090,721) (12,388,899) (4,740,963) 5,674,785
Net unrealized appreciation on investments ................ 9,420,466 770,868 20,325 2,585,493
------------ ------------ ----------- -----------
Net assets applicable to shares outstanding ............... $139,926,549 $ 39,930,167 $31,198,201 $35,563,629
============ ============ =========== ===========
Shares outstanding ........................................... 10,995,639 3,811,226 2,369,927 2,019,699
------------ ------------ ----------- -----------
Net asset value, offering and redemption price
per share ................................................. $12.73 $10.48 $13.16 $17.61
====== ====== ====== ======
The accompanying notes are an integral part of the financial statements
30
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
STATEMENTS OF OPERATIONS
FOR THE FISCAL YEAR ENDED AUGUST 31, 2001
MICRO CAP GROWTH MID CAP SMALL CAP VALUE
FUND FUND FUND FUND
------------ ------------ ----------- ---------------
INVESTMENT INCOME
Dividends* ......................................... $ 210,149 $ 104,033 $ 417,540 $ 372,287
Interest ........................................... 197,539 64,986 53,452 43,416
Securities lending ................................. 73,632 32,073 11,751 6,768
------------ ------------ ----------- ----------
Total investment income ......................... 481,320 201,092 482,743 422,471
------------ ------------ ----------- ----------
EXPENSES
Advisory fees ...................................... 911,680 380,387 185,863 281,472
Co-Administration fees ............................. 212,745 104,217 93,637 86,501
Administrative services fees ....................... 182,336 78,875 55,916 34,506
Transfer agent fees and expenses ................... 53,947 51,442 66,081 40,257
Printing ........................................... 47,125 24,468 36,377 6,447
Federal and state registration fees ................ 19,279 14,663 38,795 15,777
Audit and legal fees ............................... 32,418 24,668 15,111 4,751
Custodian fees and expenses ........................ 40,967 17,611 11,183 7,588
Directors' fees and expenses ....................... 8,552 7,237 3,694 1,654
Other .............................................. 9,248 9,490 9,936 13,196
------------ ------------ ----------- ----------
Total expenses before waivers and
reimbursements ............................... 1,518,297 713,058 516,593 492,149
Less: waivers and reimbursements ................ (219,768) (147,563) (178,942) (108,367)
------------ ------------ ----------- ----------
Net expenses after waivers and
reimbursements ............................... 1,298,529 565,495 337,651 383,782
------------ ------------ ----------- ----------
Net Investment Income/(Loss) ....................... (817,209) (364,403) 145,092 38,689
------------ ------------ ----------- ----------
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
Net realized gain/(loss) from investments .......... (10,311,793) (12,141,975) (4,234,284) 5,978,356
Net change in unrealized appreciation/(depreciation)
on investments .................................. (14,123,542) (15,122,359) (3,240,263) 1,215,166
------------ ------------ ----------- ----------
Net realized and unrealized gain/(loss) on
investments ..................................... (24,435,335) (27,264,334) (7,474,547) 7,193,522
------------ ------------ ----------- ----------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS .................................... $(25,252,544) $(27,628,737) $(7,329,455) $7,232,211
============ ============ =========== ==========
----------
* Net of foreign withholding taxes of $2,191, $526 and $482 for the Micro Cap
Fund, Growth Fund and Small Cap Value Fund, respectively.
The accompanying notes are an integral part of the financial statements.
31
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
STATEMENTS OF CHANGES IN NET ASSETS
MICRO CAP GROWTH
FUND FUND
----------------------------- ----------------------------
FOR THE FISCAL YEARS FOR THE FISCAL YEARS
ENDED AUGUST 31, ENDED AUGUST 31,
----------------------------- ----------------------------
2001 2000 2001 2000
------------ ------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income/(loss) ....................... $ (817,209) $ (629,445) $ (364,403) $ (419,767)
Net realized gain/(loss) from investments and
futures transactions, if any .................... (10,311,793) 29,688,869 (12,141,975) 22,719,797
Net change in unrealized appreciation/(depreciation)
on investments .................................. (14,123,542) 20,300,544 (15,122,359) 11,738,071
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting
from operations ................................. (25,252,544) 49,359,968 (27,628,737) 34,038,101
------------ ------------ ------------ ------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .............................. -- -- -- --
Net realized capital gains ......................... (29,436,632) (18,272,210) (21,857,830) (1,484,633)
------------ ------------ ------------ ------------
Total dividends and distributions to shareholders .. (29,436,632) (18,272,210) (21,857,830) (1,484,633)
------------ ------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 4) ................ 60,082,666 27,096,476 9,896,402 (15,408,959)
------------ ------------ ------------ ------------
Total increase/(decrease) in net assets ............ 5,393,490 58,184,234 (39,590,165) 17,144,509
NET ASSETS
Beginning of year .................................. 134,533,059 76,348,825 79,520,332 62,375,823
------------ ------------ ------------ ------------
End of year* ....................................... $139,926,549 $134,533,059 $ 39,930,167 $ 79,520,332
============ ============ ============ ============
MID CAP SMALL CAP VALUE
FUND FUND
---------------------------- ---------------------------
FOR THE FISCAL YEARS FOR THE FISCAL YEARS
ENDED AUGUST 31, ENDED AUGUST 31,
---------------------------- ---------------------------
2001 2000 2001 2000
------------ ------------ ----------- -----------
INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS:
Net investment income/(loss) ....................... $ 145,092 $ 174,985 $ 38,689 $ 149,898
Net realized gain/(loss) from investments and
futures transactions, if any .................... (4,234,284) 7,569,030 5,978,356 (194,892)
Net change in unrealized appreciation/(depreciation)
on investments .................................. (3,240,263) 3,549,311 1,215,166 1,637,027
------------ ------------ ----------- -----------
Net increase/(decrease) in net assets resulting
from operations ................................. (7,329,455) 11,293,326 7,232,211 1,592,033
------------ ------------ ----------- -----------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .............................. (175,009) (82,617) (149,957) (87,010)
Net realized capital gains ......................... (7,016,619) (5,452,700) -- (1,169,811)
------------ ------------ ----------- -----------
Total dividends and distributions to shareholders .. (7,191,628) (5,535,317) (149,957) (1,256,821)
------------ ------------ ----------- -----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS (NOTE 4) ................ 1,289,121 (10,483,627) 15,000,608 1,647,265
------------ ------------ ----------- -----------
Total increase/(decrease) in net assets ............ (13,231,962) (4,725,618) 22,082,862 1,982,477
NET ASSETS
Beginning of year .................................. 44,430,163 49,155,781 13,480,767 11,498,290
------------ ------------ ----------- -----------
End of year* ....................................... $ 31,198,201 $ 44,430,163 $35,563,629 $13,480,767
============ ============ =========== ===========
-----------
* Includes undistributed net investment income as follows:
FOR THE FISCAL YEARS
ENDED AUGUST 31,
--------------------------
2001 2000
-------- --------
Mid Cap Fund .................................. $145,045 $174,907
Small Cap Value Fund .......................... 38,630 149,898
The accompanying notes are an integral part of the financial statements.
32 and 33
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective years. This information has been derived
from information provided in the financial statements.
--------------------------------------------------------------------------------
MICRO CAP FUND
----------------------------------------------------------------------
FOR THE FISCAL YEARS ENDED AUGUST 31,
----------------------------------------------------------------------
2001 2000 1999 1998 1997
-------- -------- ------- ------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of year .............. $ 20.99 $ 18.03 $ 12.52 $ 18.47 $ 11.67
-------- -------- ------- ------- --------
Net investment loss ............................. (0.07) (0.10) (0.18) (0.07) (0.01)
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any . (3.58) 7.39 6.72 (3.23) 6.82
-------- -------- ------- ------- --------
Net increase/(decrease) in net assets resulting
from operations .............................. (3.65) 7.29 6.54 (3.30) 6.81
-------- -------- ------- ------- --------
Dividends and distributions to shareholders from:
Net investment income ........................... -- -- -- -- (0.01)
Net realized capital gains ...................... (4.61) (4.33) (1.03) (2.65) --
-------- -------- ------- ------- --------
Total dividends and distributions to shareholders (4.61) (4.33) (1.03) (2.65) (0.01)
-------- -------- ------- ------- --------
Net asset value, end of year .................... $ 12.73 $ 20.99 $ 18.03 $ 12.52 $ 18.47
======== ======== ======= ======= ========
Total investment return(1) ...................... (20.16)% 54.42% 56.09% (20.74)% 58.41%
======== ======== ======= ======= ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) ......... $139,927 $134,533 $76,349 $99,266 $142,119
Ratio of expenses to average net assets(2) ...... 1.07% 1.00% 1.00% 1.00% 1.00%
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ... 1.25% 1.28% 1.26% 1.23% 1.45%
Ratio of net investment loss to average
net assets(2) ................................ (0.67)% (0.55)% (0.46)% (0.41)% (0.06)%
Portfolio turnover rate ......................... 280.00% 297.08% 316.02% 408.70% 233.49%
GROWTH FUND
--------------------------------------------------------------------
FOR THE FISCAL YEARS ENDED AUGUST 31,
--------------------------------------------------------------------
2001 2000 1999 1998 1997
------- ------- ------- ------- --------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of year .............. $ 23.69 $ 14.89 $ 9.75 $ 16.29 $ 11.84
------- ------- ------- ------- --------
Net investment loss ............................. (0.10) (0.12) (0.18) (0.07) (0.04)
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any . (6.59) 9.29 5.33 (3.98) 4.50
------- ------- ------- ------- --------
Net increase/(decrease) in net assets resulting
from operations .............................. (6.69) 9.17 5.15 (4.05) 4.46
------- ------- ------- ------- --------
Dividends and distributions to shareholders from:
Net investment income ........................... -- -- -- -- (0.01)
Net realized capital gains ...................... (6.52) (0.37) (0.01) (2.49) --
------- ------- ------- ------- --------
Total dividends and distributions to shareholders (6.52) (0.37) (0.01) (2.49) (0.01)
------- ------- ------- ------- --------
Net asset value, end of year .................... $ 10.48 $ 23.69 $ 14.89 $ 9.75 $ 16.29
======= ======= ======= ======= ========
Total investment return(1) ...................... (36.45)% 63.11% 52.80% (29.03)% 37.69%
======= ======= ======= ======= ========
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (000's omitted) ......... $39,930 $79,520 $62,376 $77,840 $117,724
Ratio of expenses to average net assets(2) ...... 1.08% 1.00% 1.00% 1.00% 1.00%
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ... 1.36% 1.32% 1.30% 1.24% 1.40%
Ratio of net investment loss to average
net assets(2) ................................ (0.70)% (0.59)% (0.45)% (0.50)% (0.38)%
Portfolio turnover rate ......................... 271.29% 228.69% 309.60% 338.40% 266.25%
-----------
(1) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestment of dividends and distributions, if any. Total
investment returns are not annualized.
(2) Reflects waivers and expense reimbursements, if any.
The accompanying notes are an integral part of the financial statements.
34 and 35
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
FINANCIAL HIGHLIGHTS (CONCLUDED)
--------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
--------------------------------------------------------------------------------
MID CAP FUND
--------------------------------------------------------------------
FOR THE FISCAL YEARS ENDED AUGUST 31,
--------------------------------------------------------------------
2001 2000 1999 1998 1997
------- ------- ------- -------- -------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............ $ 19.22 $ 16.89 $ 13.30 $ 17.16 $ 11.56
------- ------- ------- -------- -------
Net investment income ........................... 0.06 0.08 0.05 0.05 0.08
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any . (2.98) 4.25 4.97 (1.24) 5.58
------- ------- ------- -------- -------
Net increase/(decrease) in net assets resulting
from operations .............................. (2.92) 4.33 5.02 (1.19) 5.66
------- ------- ------- -------- -------
Dividends and distributions to shareholders from:
Net investment income ........................... (0.08) (0.03) (0.06) (0.06) (0.06)
Net realized capital gains ...................... (3.06) (1.97) (1.37) (2.61) --
------- ------- ------- -------- -------
Total dividends and distributions to shareholders (3.14) (2.00) (1.43) (2.67) (0.06)
------- ------- ------- -------- -------
Redemption Fees (Note 4) ........................ -- -- -- -- --
------- ------- ------- -------- -------
Net asset value, end of period .................. $ 13.16 $ 19.22 $ 16.89 $ 13.30 $ 17.16
======= ======= ======= ======== =======
Total investment return(1) ...................... (17.42)% 29.61% 41.61% (8.97)% 49.11%
======= ======= ======= ======== =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ....... $31,198 $44,430 $49,156 $110,176 $52,491
Ratio of expenses to average net assets(2) ...... 0.91% 1.00% 1.00% 1.00% 1.00%
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ... 1.39% 1.61% 1.33% 1.26% 1.81%
Ratio of net investment income to average
net assets(2) ................................ 0.39% 0.40% 0.31% 0.36% 0.79%
Portfolio turnover rate ......................... 318.28% 378.17% 384.71% 341.73% 263.83%
SMALL CAP VALUE FUND
-------------------------------------------
FOR THE FISCAL FOR THE PERIOD
YEARS ENDED AUGUST 31, NOVEMBER 30, 1998*
---------------------- THROUGH
2001 2000 AUGUST 31, 1999
------- ------- ------------------
PER SHARE OPERATING PERFORMANCE
Net asset value, beginning of period ............ $ 12.91 $ 12.86 $ 12.00
------- ------- -------
Net investment income ........................... 0.02 0.15 0.10
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any . 4.79 1.32 0.76
------- ------- -------
Net increase/(decrease) in net assets resulting
from operations .............................. 4.81 1.47 0.86
------- ------- -------
Dividends and distributions to shareholders from:
Net investment income ........................... (0.14) (0.10) --
Net realized capital gains ...................... -- (1.32) --
------- ------- -------
Total dividends and distributions to shareholders (0.14) (1.42) --
------- ------- -------
Redemption Fees (Note 4) ........................ 0.03 -- --
------- ------- -------
Net asset value, end of period .................. $ 17.61 $ 12.91 $ 12.86
======= ======= =======
Total investment return(1) ...................... 37.97% 13.94% 7.17%
======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ....... $35,564 $13,481 $11,498
Ratio of expenses to average net assets(2) ...... 1.67% 1.00% 1.00%(3)
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ... 2.14% 2.34% 2.59%(3)
Ratio of net investment income to average
net assets(2) ................................ 0.17% 1.35% 1.15%(3)
Portfolio turnover rate ......................... 277.28% 256.28% 212.55%
----------
* Commencement of operations.
(1) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestment of dividends and distributions, if any. Total
investment returns are not annualized.
(2) Reflects waivers and expense reimbursements, if any.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
36 and 37
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS
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. Each portfolio is treated as a separate entity
for certain matters under the Investment Company Act, and for other purposes,
and a shareholder of one portfolio is not deemed to be a shareholder of any
other portfolio. Currently RBB has fourteen investment portfolios, including the
N/I NUMERIC INVESTORS FAMILY OF FUNDS ("n/i numeric investors Family") which
consists of four diversified portfolios: N/I NUMERIC INVESTORS Micro Cap Fund
("Micro Cap Fund"), N/I NUMERIC INVESTORS Growth Fund ("Growth Fund"), N/I
NUMERIC INVESTORS Mid Cap Fund ("Mid Cap Fund") and N/I NUMERIC INVESTORS Small
Cap Value Fund ("Small Cap Value Fund") (each a "Fund," collectively the
"Funds").
RBB has authorized capital of thirty billion shares of common stock of which
20.97 billion are currently classified into ninety-four classes. Each class
represents an interest in one of fourteen investment portfolios of RBB. The
classes have been grouped into fourteen separate "families," eight of which have
begun investment operations.
USE OF ESTIMATES -- The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
PORTFOLIO VALUATION -- The net asset value of each Fund is calculated as of the
close of regular trading on the NYSE 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, and 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,
which 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.
REPURCHASE AGREEMENTS -- Each Fund has agreed to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at
an agreed-upon time and price ("repurchase agreements"). The financial
institutions with whom each Fund enters into repurchase agreements are banks and
broker/dealers, which Numeric Investors L.P(R) (the Funds' "Adviser" or
"Numeric") considers creditworthy. The seller under a repurchase agreement will
be required to maintain the value of the securities as collateral, subject to
the agreement at not less than the repurchase price plus accrued interest.
Numeric marks to market daily the value of the collateral, and, if necessary,
requires the seller to maintain additional securities, so that the value of the
collateral is not less than the repurchase price. Default by or bankruptcy of
the seller
38
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
would, however, expose each Fund to possible loss because of adverse market
action or delays in connection with the disposition of the underlying
securities.
INVESTMENT TRANSACTIONS 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. Expenses incurred on behalf of a specific fund or fund family
are charged directly to the fund or fund family (in proportion to net assets).
Expenses incurred for all of the RBB families (such as trustee or professional
fees) are charged to all funds in proportion to their net assets of the RBB
Funds.
FINANCIAL FUTURES TRANSACTIONS -- Each Fund may invest in financial futures
contracts for hedging purposes, including conversion of cash to equity. When
entering into a futures contract, each Fund makes a deposit of an initial margin
with its custodian in a segregated account in the name of the futures' broker.
Subsequent payments to or from the broker, called variation margin, are made on
a daily basis as the price of the underlying security or index fluctuates,
making the long and short positions in the futures contracts more or less
valuable. When the contracts are closed, a gain or loss is realized equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contracts.
The risks related to the use of futures contracts include: (i) the correlation
between movements in the market price of a Fund's investments (held or intended
for purchase) being hedged and in the price of the futures contract may be
imperfect; (ii) possible lack of a liquid secondary market for closing out
futures positions; (iii) the need for additional portfolio management skills and
techniques; (iv) losses due to unanticipated market movements. Successful use of
futures by the Funds is subject to Numeric's ability to predict correctly
movements in the direction of the market.
The risk of loss in trading futures contracts in some strategies can be
substantial, due both to the low margin deposits required, and the extremely
high degree of leverage involved in futures pricing. As a result, a relatively
small price movement in a futures contract may result in immediate and
substantial loss or gain to the investor. Thus, a purchase or sale of a futures
contract may result in losses or gains in excess of the amount invested in the
contract. None of the Funds had open futures contracts at August 31, 2001.
DIVIDENDS AND DISTRIBUTIONS -- Dividends from net investment income and
distributions from net realized capital gains, if any, will be declared and
recorded on the ex-dividend date and paid at least annually to shareholders.
Income and capital gain distributions are determined in accordance with U.S.
federal income tax regulations, which may differ from accounting principles
generally accepted in the United States of America. These differences can
include the treatment of non-taxable dividends, expiring capital loss
carryforwards, foreign currency gain/loss, and losses deferred due to wash sales
and excise tax regulations. Permanent book and tax basis differences relating to
shareholder distributions will result in reclassifications within the
composition of net assets.
At August 31, 2001, Micro Cap Fund and Growth Fund reclassified within the
composition of net assets, distributions in excess of net realized gains of $627
and $192, respectively, to paid-in capital.
39
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
U.S. FEDERAL TAX STATUS -- No provision is made for U.S. federal income taxes as
it is each Fund's intention to continue to qualify for and elect the tax
treatment applicable to regulated investment companies under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to its shareholders which will be sufficient to relieve it from U.S. federal
income and all excise taxes.
At August 31, 2001, the Micro Cap Fund, Growth Fund and Mid Cap Fund had capital
loss carryforwards of $2,130,088, $1,057,047 and $506,551 available as a
reduction to the extent provided in regulations of any future net capital gains
realized before the end of fiscal year 2009. To the extent that the capital loss
carryforwards are used to offset future capital gains, it is probable that the
gains offset will not be distributed to shareholders.
For U.S. federal income tax purposes, realized capital losses incurred after
October 31, 2000, within the fiscal year ("post-October losses"), are deemed to
arise on the first day of the following fiscal year (September 1, 2001). The
Micro Cap Fund, Growth Fund and Mid Cap Fund, incurred and elected to defer such
losses of $8,354,465, $11,151,618 and $4,043,827, respectively.
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Numeric serves as each Fund's investment adviser. Effective January 1, 2001,
Numeric is entitled to a performance-based fee for its advisory services for the
Growth, Mid Cap and Small Cap Value Funds calculated at the end of each month
using a basic fee of 0.85% of average daily net assets and a performance fee
adjustment based on each Fund's performance during the last rolling 12-month
period. Each Fund's net performance is compared with the performance of its
benchmark index during that same rolling 12-month period. When a Fund's
performance is at least 5.00% better than its benchmark, it would pay Numeric
more than the basic fee. If a Fund did not perform at least 4.00% better than
its benchmark, Numeric would be paid less than the basic fee. Each 1.00% of the
difference in performance between a Fund and its benchmark plus 4.00% during the
performance period would result in a 0.10% adjustment to the basic fee. The
maximum annualized performance adjustment rate would be + or - 0.50% of average
daily net assets which would be added to or deducted from the basic fee.
Prior to January 1, 2001, Numeric was entitled to receive 0.75% of average daily
net assets for the each of the Growth, Mid Cap and Small Cap Value Funds.
For the fiscal year ended August 31, 2001, Numeric is entitled to receive 0.75%
of the Micro Cap Fund's average daily net assets, computed daily and payable
monthly for its advisory services.
Effective January 1, 2001, Numeric has agreed to waive its advisory fee and/or
reimburse expenses (other than brokerage commissions, extraordinary items,
interest and taxes) in an aggregate amount equal to the amount by which the
Growth, Mid Cap and/or Small Cap Value Funds' total operating expenses (other
than investment advisory fees, brokerage commissions, extraordinary items,
interest and taxes) exceeds a total operating expense ratio (other than
investment advisory fees, brokerage commissions, extraordinary items, interest
and taxes) of 0.50% of such Fund's average daily net assets. Also on such date,
Numeric has agreed to limit the Micro Cap Fund's total expenses to the extent
that such expenses exceed 1.25% of average daily net assets. Prior to January 1,
2001, Numeric agreed to limit each Fund's total expenses to the extent that such
expenses exceeded 1.00% of each Fund's average daily net assets.
40
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As necessary, these limitations were effected in waivers of advisory fees and
reimbursements of expenses exceeding the advisory fee. For the fiscal year ended
August 31, 2001, investment advisory fees, waivers and reimbursements of
expenses were as follows:
TOTAL NET EXPENSE
FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT
---- ------------- --------- ------------- -------------
Micro Cap Fund ........................... $911,680 $ (55,222) $856,458 --
Growth Fund .............................. 380,387 (80,325) 300,062 --
Mid Cap Fund ............................. 185,863 (123,208) 62,655 $11,001
Small Cap Value Fund ..................... 281,472 (66,265) 215,207 622
The Funds will not pay Numeric at a later time for any amounts it may waive or
any amounts, which Numeric has assumed.
PFPC Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide, Inc. and an
indirect majority-owned subsidiary of The PNC Financial Services Group, and Bear
Stearns Funds Management Inc. ("BSFM"), a wholly-owned subsidiary of The Bear
Stearns Companies Inc., serve as co-administrators for each Fund. For providing
administrative services PFPC is entitled to receive a monthly fee equal to an
annual rate of 0.125% of each Fund's average daily net assets subject to a
minimum monthly fee of $6,250 per Fund. BSFM is entitled to receive a monthly
fee equal to an annual rate of 0.05% on the first $150 million and 0.02% of each
Fund's average daily net assets thereafter.
For the fiscal year ended August 31, 2001, PFPC, at its discretion, voluntarily
agreed to waive a portion of its co-administration fees. During such period,
PFPC's co-administration fees and related waivers were as follows:
TOTAL PFPC PFPC NET PFPC
FUND CO-ADMINISTRATION FEES WAIVERS CO-ADMINISTRATION FEES
---- ---------------------- -------- ----------------------
Micro Cap Fund ............... $151,967 $(9,693) $142,274
Growth Fund .................. 78,032 (1,732) 76,300
Mid Cap Fund ................. 74,999 -- 74,999
Small Cap Value Fund ......... 74,999 (9,375) 65,624
In addition, PFPC serves as each Fund's transfer and dividend disbursing agent.
PFPC, at its discretion, voluntarily agreed to waive a portion of its transfer
agency fees for the Small Cap Value Fund. For the fiscal year ended August 31,
2001, transfer agency fees and waivers were as follows:
TOTAL NET
TRANSFER AGENCY TRANSFER AGENCY
FUND FEES WAIVERS FEES
---- --------------- ------- ---------------
Micro Cap Fund ........................ $53,947 -- $53,947
Growth Fund ........................... 51,442 -- 51,442
Mid Cap Fund .......................... 66,081 -- 66,081
Small Cap Value Fund .................. 40,257 $(4,500) 35,757
41
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Effective January 2, 2001, PFPC Distributors, Inc. ("PFPC Distributors"), a
wholly-owned subsidiary of PFPC Worldwide, Inc. and an indirect majority-owned
subsidiary of the PNC Financial Services Group, Inc., provides certain
administrative services to each Fund. As compensation for such administrative
services, PFPC Distributors received a monthly fee equal to an annual rate of
0.15% of each Fund's average daily net assets.
For the eight-month period ended August 31, 2001, PFPC Distributors, at its
discretion, voluntarily agreed to waive a portion of its administrative services
fees for each Fund. During this period, administrative services fees were as
follows:
TOTAL
ADMINISTRATIVE NET ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
---- -------------- --------- ------------------
Micro Cap Fund ............... $124,012 $(104,410) $19,602
Growth Fund .................. 45,682 (36,739) 8,943
Mid Cap Fund ................. 35,120 (28,096) 7,024
Small Cap Value Fund ......... 27,181 (21,745) 5,436
For the period September 1, 2000 through January 1, 2001, Provident
Distributors, Inc. ("PDI") provided certain administrative services to each
Fund. As compensation for such administrative services, PDI received a monthly
fee equal to an annual rate of 0.15% of each Fund's average daily net assets.
For the four-month period ended January 1, 2001, PDI, at its discretion,
voluntarily agreed to waive a portion of its administrative services fees for
each Fund. During this period, administrative services fees were as follows:
TOTAL PDI
ADMINISTRATIVE PDI NET PDI ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
---- -------------- -------- ----------------------
Micro Cap Fund .............. $58,324 $(50,443) $7,881
Growth Fund ................. 33,193 (28,767) 4,426
Mid Cap Fund ................ 20,796 (16,637) 4,159
Small Cap Value Fund ........ 7,325 (5,860) 1,465
These fees were accrued daily and paid monthly.
42
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. INVESTMENT IN SECURITIES
For U.S. federal income tax purposes, the costs of securities owned at August
31, 2001 were $128,791,161, $38,582,319, $31,316,561, and $32,915,587 for the
Micro Cap Fund, Growth Fund, Mid Cap Fund and Small Cap Value Fund,
respectively. Accordingly, the net unrealized appreciation/(depreciation) on
investments are as follows:
GROSS GROSS NET APPRECIATION/
FUND APPRECIATION DEPRECIATION (DEPRECIATION)
---- ------------ ------------ ----------------
Micro Cap Fund ............... $16,151,329 $7,337,031 $8,814,298
Growth Fund .................. 3,939,517 3,348,883 590,634
Mid Cap Fund ................. 1,816,493 1,986,753 (170,260)
Small Cap Value Fund ......... 3,201,855 741,442 2,460,413
For the fiscal year ended August 31, 2001, aggregate purchases and sales of
investment securities (excluding short-term investments) were as follows:
FUND PURCHASES SALES
---- ------------ ------------
Micro Cap Fund ...................... $360,154,547 $335,093,859
Growth Fund ......................... 141,160,117 152,511,781
Mid Cap Fund ........................ 116,459,213 122,340,843
Small Cap Value Fund ................ 76,446,916 61,897,531
4. CAPITAL SHARE TRANSACTIONS
As of August 31, 2001, each Fund has 50,000,000 shares of $0.001 par value
capital stock authorized.
Transactions in capital shares for the respective periods were as follows:
MICRO CAP FUND
-----------------------------------------------------------------------
FOR THE FOR THE
FISCAL YEAR ENDED FISCAL YEAR ENDED
AUGUST 31, 2001 AUGUST 31, 2000
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
Sales ................... 3,534,734 $ 43,635,108 2,541,464 $ 38,709,186
Repurchases ............. (940,688) (12,605,335) (1,712,324) (29,456,421)
Reinvestments ........... 1,992,654 29,052,893 1,344,665 17,843,711
--------- ------------ ---------- ------------
Net increase ............ 4,586,700 $ 60,082,666 2,173,805 $ 27,096,476
========= ============ ========== ============
43
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
GROWTH FUND
-----------------------------------------------------------------------
FOR THE FOR THE
FISCAL YEAR ENDED FISCAL YEAR ENDED
AUGUST 31, 2001 AUGUST 31, 2000
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
Sales ................. 129,828 $ 2,168,596 720,389 $ 12,798,921
Repurchases ........... (1,119,565) (13,852,583) (1,655,639) (29,678,147)
Reinvestments ......... 1,444,470 21,580,389 101,679 1,470,267
---------- ------------ ---------- ------------
Net increase/(decrease) 454,733 $ 9,896,402 (833,571) $(15,408,959)
========== ============ ========== ============
MID CAP FUND
-----------------------------------------------------------------------
FOR THE FOR THE
FISCAL YEAR ENDED FISCAL YEAR ENDED
AUGUST 31, 2001 AUGUST 31, 2000
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
Sales ................. 178,361 $ 2,663,341 640,434 $ 10,359,270
Repurchases ........... (580,438) (8,377,001) (1,613,711) (26,213,267)
Reinvestments ......... 460,709 7,002,781 373,721 5,370,370
---------- ------------ ---------- ------------
Net increase/(decrease) 58,632 $ 1,289,121 (599,556) $(10,483,627)
========== ============ ========== ============
SMALL CAP VALUE FUND
-----------------------------------------------------------------------
FOR THE FOR THE
FISCAL YEAR ENDED FISCAL YEAR ENDED
AUGUST 31, 2001 AUGUST 31, 2000
------------------------------- -------------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
Sales ................. 1,257,323 $ 19,745,562 132,220 $ 1,506,811
Repurchases ........... (294,237) (4,894,868) (101,298) (1,110,995)
Reinvestments ......... 12,031 149,914 119,413 1,251,449
---------- ------------ ---------- ------------
Net increase .......... 975,117 $ 15,000,608 150,335 $ 1,647,265
========== ============ ========== ============
There is a 1.00% redemption fee on shares redeemed which have been held for less
than six months on each of the Funds. For the fiscal year ended August 31, 2001,
these fees amounted to $3,806, $12,904, $1,273 and $43,939 for the Micro Cap
Fund, Growth Fund, Mid Cap Fund and Small Cap Value Fund, respectively. The
redemption fees are collected and retained by each Fund for the benefit of the
remaining shareholders and recorded as additional paid-in capital.
44
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
5. SECURITIES LENDING
Loans of securities are required at all times to be secured by collateral equal
to at least 100% of the market value of the securities on loan. However, in the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. In the
event that the borrower fails to return securities, and collateral being
maintained by the lender is insufficient to cover the value of loaned
securities, the borrower is obligated to pay the amount of the shortfall (and
interest thereon) to the Funds. However, there can be no assurance the Funds can
recover this amount. The value of securities on loan to brokers and the related
collateral received at August 31, 2001, were as follows:
VALUE OF
FUND SECURITIES ON LOAN VALUE OF COLLATERAL
---- ------------------ -------------------
Micro Cap Fund ..................... $26,324,539 $26,823,714
Growth Fund ........................ 5,835,650 5,946,402
Mid Cap Fund ....................... 1,888,979 1,924,749
Small Cap Value Fund ............... 4,324,705 4,407,494
Collateral received from securities out on loan to broker/dealers is in the form
of U.S. Treasury securities with any cash collateral received reinvested into
repurchase agreements with Bear, Stearns & Co. Inc., which in turn are
collateralized by various U.S. Treasury securities.
Repurchase agreements in connection with securities lending at August 31, 2001
are listed below:
MICRO CAP FUND
---------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT ACCRUED TOTAL
(000'S) INTEREST RATE MATURITY MARKET VALUE INTEREST PROCEEDS MARKET VALUE
--------- ------------- -------- ------------ -------- ----------- ------------
Repurchase Agreement ..... $1,424 3.65% 09/4/01 $1,424,131 $ 578 $1,424,709 --
Related Collateral:
United States
Treasury Note ..... 1,420 6.25% 10/31/01 1,426,205 29,830 -- $1,456,035
GROWTH FUND
---------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT INTEREST ACCRUED TOTAL
(000'S) RATE/YIELD MATURITY MARKET VALUE INTEREST PROCEEDS MARKET VALUE
--------- ------------- -------- ------------ -------- ----------- ------------
Repurchase Agreement ..... $ 345 3.65% 09/4/01 $345,444 $140 $345,584 --
Related Collateral:
United States
Treasury STRIPS,
Interest Only ..... 1,425 5.67% 08/15/26 353,158 -- -- $353,158
MID CAP FUND
---------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT INTEREST ACCRUED TOTAL
(000'S) RATE/YIELD MATURITY MARKET VALUE INTEREST PROCEEDS MARKET VALUE
--------- ---------- -------- ------------ -------- ----------- ------------
Repurchase Agreement ..... $109 3.65% 09/4/01 $ 109,394 $44 $109,438 --
Related Collateral:
United States
Treasury STRIPS,
Interest Only ..... 455 5.67% 08/15/26 112,763 -- -- $112,763
45
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
SMALL CAP VALUE FUND
---------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT INTEREST ACCRUED TOTAL
(000'S) RATE/YIELD MATURITY MARKET VALUE INTEREST PROCEEDS MARKET VALUE
--------- ---------- -------- ------------ -------- ----------- ------------
Repurchase Agreement ..... $209 3.65% 09/4/01 $209,254 $85 $209,339 --
Related Collateral:
United States
Treasury STRIPS,
Interest Only ..... 865 5.67% 08/15/26 214,373 -- -- $214,373
6. COLLATERAL FOR REPURCHASE AGREEMENTS
Listed below is the collateral associated with the repurchase agreements with
Bear, Stearns & Co. Inc., outstanding at August 31, 2001:
MICRO CAP FUND
---------------------------------------------------------------------------------------------------------
PRINCIPAL
AMOUNT ACCRUED TOTAL
ISSUER (000'S) INTEREST RATE MATURITY MARKET VALUE INTEREST MARKET VALUE
------ --------- ------------- -------- ------------ -------- ------------
United States
Treasury Note .......... $3,540 6.25% 10/31/01 $3,555,470 $74,364 $3,629,834
========== ======= ==========
MID CAP FUND
------------------------------------------------------
PRINCIPAL
AMOUNT
ISSUER (000'S) YIELD MATURITY MARKET VALUE
------ --------- ----- -------- ------------
United States
Treasury STRIPS,
Interest Only .......... $3,420 5.67% 08/15/26 $847,578
========
SMALL CAP VALUE FUND
------------------------------------------------------
PRINCIPAL
AMOUNT
ISSUER (000'S) YIELD MATURITY MARKET VALUE
------ --------- ----- -------- ------------
United States
Treasury STRIPS,
Interest Only .......... $3,405 5.67% 08/15/26 $843,861
========
7. RECLASSIFICATION OF CAPITAL ACCOUNTS
In accordance with accounting pronouncements, the Funds have recorded
reclassifications in the capital accounts. These reclassifications have no
impact on the net asset value of the Funds and are designed generally to present
undistributed income and net realized gains on a tax basis which is considered
to be more informative to the shareholder. As of August 31, 2001, the following
Funds recorded reclassifications that increase/(decrease) the accounts listed
below:
NET INVESTMENT ADDITIONAL PAID-IN
FUND LOSS CAPITAL
---- -------------- ------------------
Micro Cap Fund .............. $817,209 $(817,209)
Growth Fund ................. 364,403 (364,403)
46
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
REPORT OF INDEPENDENT ACCOUNTANTS
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF THE RBB FUND, INC.:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of n/i numeric investors Micro Cap
Fund, n/i numeric investors Growth Fund, n/i numeric investors Mid Cap Fund and
n/i numeric investors Small Cap Value Fund, separately managed portfolios of The
RBB Fund, Inc. (the "Fund"), for each of the two years in the period then ended
at August 31, 2001, the results of each of their operations for the year then
ended, the changes in each of their net assets and the financial highlights for
each of the periods indicated, in conformity with accounting principles
generally accepted in the United States of America. These financial statements
and financial highlights (hereafter referred to as "financial statements") are
the responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with auditing standards
generally accepted in the United States of America, which require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at August
31, 2001 by correspondence with the custodian and brokers, provide a reasonable
basis for our opinion.
PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
October 15, 2001
47
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
SHAREHOLDER TAX INFORMATION -- (UNAUDITED)
Each Fund is required by Subchapter M of the Internal Revenue Code of 1986, as
amended, to advise its shareholders within 60 days of each Fund's fiscal year
(August 31, 2001) as to the U.S. federal tax status of distributions received by
each Fund's shareholders in respect of such fiscal year. During the fiscal year
ended August 31, 2001, the following dividends and distributions per share were
paid by each of the Funds:
ORDINARY INCOME (39.6%)
------------------------------
NET INVESTMENT SHORT-TERM LONG-TERM
FUND INCOME GAINS GAINS (20%)
---- -------------- ---------- -----------
Micro Cap Fund ............. -- $4.4044 $0.2093
Growth Fund ................ -- 6.0988 0.4220
Mid Cap Fund ............... $0.0762 3.0558 --
Small Cap Value Fund ....... 0.1428 -- --
The percentage of total ordinary income dividends from the Micro Cap, Growth,
Mid Cap and Small Cap Value Funds qualifying for the corporate dividends
received deduction is 0.65%, 0.46%, 5.52% and 100%, respectively.
These amounts were reported to shareholders as income in 2000. Because each
Fund's fiscal year is not the calendar year, another notification will be sent
with respect to calendar year 2001. The second notification, which will reflect
the amount, if any, to be used by calendar year taxpayers on their U.S. federal
income tax returns, will be made in conjunction with Form 1099-DIV and will be
mailed in January 2002.
Foreign shareholders will generally be subject to U.S. withholding tax on the
amount of their dividend. They will generally not be entitled to a foreign tax
credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g. IRA's and Keoghs)
need not be reported as taxable income for U.S. federal income tax purposes.
However, some retirement trusts (e.g. corporate, Keogh and 403(b)(7) plans) may
need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the
tax consequences of their investment in the Funds.
48
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
MICRO CAP FUND
GROWTH FUND
MID CAP FUND
SMALL CAP VALUE FUND
PRIVACY NOTICE -- (UNAUDITED)
The N/I NUMERIC INVESTORS FAMILY OF FUNDS of The RBB Fund, Inc. (the "Fund") is
committed to protecting the confidentiality and security of your private
investment records and personal information. Our policies and procedures are
designed to safeguard your information and to permit only appropriate and
authorized access to and use of this information.
In order to carry out the functions necessary to service your investment
account, our service providers collect certain nonpublic personal information
from you from the following sources:
o Information we receive from you over the telephone, on applications,
e-mails or other forms (e.g., your name, social security number and
address); and
o Information about your transactions with the Fund
We restrict access to your personal and account information to those service
providers and their employees who need to know that information to service your
account. The Fund may also share all of the information (as described above)
that we collect with companies that perform marketing services on our behalf or
with other financial institutions with whom we have joint marketing agreements
who may suggest additional Fund services or other investment products which may
be of interest to you. We maintain physical, electronic, and procedural
safeguards that comply with federal standards to guard your nonpublic personal
information.
You can be assured that the Fund considers your data to be private and
confidential, and we will not disclose any nonpublic personal information about
you to any unaffiliated third parties, except as permitted by law. If you decide
to close your account(s) or become an inactive customer, we will adhere to the
privacy policies and practices as described in this notice.
If you have any questions or comments about our privacy practices, please call
us at (800) 348-5031.
April 2001
49
[THIS PAGE INTENTIONALLY LEFT BLANK.]
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
One Memorial Drive
Cambridge, MA 02142
1-800-numeric [686-3742]
http://www.numeric.com
INVESTMENT ADVISER
Numeric Investors L.P.(R)
One Memorial Drive
Cambridge, MA 02142
CO-ADMINISTRATORS
Bear Stearns Funds Management Inc.
575 Lexington Avenue
New York, NY 10022
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
DISTRIBUTOR
PFPC Distributors, Inc.
3200 Horizon Drive
King of Prussia, PA 19406
CUSTODIAN
Custodial Trust Company
101 Carnegie Center
Princeton, NJ 05840
TRANSFER AGENT
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
INDEPENDENT ACCOUNTANTS
PricewaterhouseCoopers LLP
Two Commerce Square
Philadelphia, PA 19103
COUNSEL
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103
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 each
Fund unless it is preceded or accompanied by a current prospectus which includes
details regarding each Fund's objectives, policies and other information. Total
investment return is based on historical results and is not intended to indicate
future performance. The total investment return and principal value of an
investment in each Fund will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than original cost.
[GRAPHIC OMITTED]
n/i numeric investors
family of funds
One Memorial Drive
Cambridge, MA 02142
1-800-numeric [686-3742]
http://www.numeric.com