-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, CMkNP11Hy+xsj6qxng5ETPTrHGmGT2pO0k5YTH+8EHhn9+Tpy07F5MVgRiUhCuPJ /Q1Hl9WRZNkKnveCh1R4mA== /in/edgar/work/20001103/0000950109-00-004330/0000950109-00-004330.txt : 20001106 0000950109-00-004330.hdr.sgml : 20001106 ACCESSION NUMBER: 0000950109-00-004330 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20000831 FILED AS OF DATE: 20001103 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RBB FUND INC CENTRAL INDEX KEY: 0000831114 STANDARD INDUSTRIAL CLASSIFICATION: [ ] FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-05518 FILM NUMBER: 753199 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 0001.txt NUMERIC INVESTORS ANNUAL REPORT [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Adviser's Report October 16, 2000 Dear Fellow Shareholder: As your Funds' adviser, Numeric Investors L.P.(R) is pleased to report the annual results for the n/i numeric investors family of funds (the "Funds") for the fiscal year ended August 31, 2000. This year's annual review addresses four topics which we hope you will find both interesting and timely: First, we review the returns of our four funds for the most recent six months and the full fiscal year, with special attention to the effect of the "New Economy" bubble on the market and your fund's returns. The Funds' second half returns were (with one exception) much better than their benchmark's returns. Second, we identify the "other bubble" that we believe remains in the market and creates both risk and opportunity for investors. We observe that all four of our funds are positioned in an effort to reduce the impact of a potential deflation of that bubble. Third, we provide history and perspective on our Estrend(TM) model. Estrend(TM) is one of our two principal stock selection models; the model's success is important to our ability to add value for our clients. Fourth, we discuss the implementation of performance fees that will occur next year for three of our four funds. We explain why we believe in performance fees and why we believe they are in your interest as well. THE YEAR IN REVIEW What a difference a day makes.... And what a greater difference six months can make! The market of the last six months, ending August 31st, has been very different than the market of the prior six months. Our last semi-annual report covered the first half of our Funds' fiscal year, from September 1, 1999 through February 29, 2000. That report began with a discussion of New Economy versus Old Economy stocks. We observed that New Economy stocks had been superb performers over the six-month period ended February 2000. This was evident in the returns of two of our funds that invest heavily in New Economy stocks. The n/i Micro Cap Fund returned +46.77% and the n/i Growth Fund earned +60.15% over this six-month period. The market was very narrow however, favoring stocks with high growth expectations and strong price momentum. Old Economy stocks actually declined, as suggested by the -12.72% return of our n/i Small Cap Value Fund over this period. In addition, our Funds were not able to keep up with their benchmarks over the six 1 months ended February 2000, because they were underexposed to the Internet and biotech stocks that had performed so well. Within the Russell 2000 Index, Internet stocks produced an average return of +174% while biotechs returned +231%. Our models found these high-flying growth stocks to have neither attractive valuations nor improving earnings expectations, so they were underrepresented in the Funds. In our last semi-annual report, we also opined that these New Economy stocks (such as Internet and biotech) appeared to be overvalued as of the end of February 2000. Whereas a few New Economy stocks might produce the brilliant earnings growth necessary to justify their high valuations, it appeared to us that the price level of such stocks as a group was too high, because it seemed most companies could not possibly grow their earnings fast enough to justify such lofty valuations. We expected Estrend(TM) to be an effective stock-selection tool in the months ahead as the market corrected prices of those companies with earnings disappointments. The market environment of the second half of our fiscal year, from March 1 through August 31, 2000, provided a mirror image to that of the first half of the year. Our two Funds with the greatest New Economy exposure (the n/i Micro Cap and Growth Funds) were able to produce just slightly positive returns over this second six-month period. These positive but paltry returns were disappointing when compared to the returns of the prior six months, but were much better than the returns of their applicable benchmarks, which were down sharply over the most recent six months. The market turned against New Economy stocks over the most recent six months, causing the smaller cap, growth benchmarks to generate double-digit negative returns. Stocks in the most prominent New Economy industry, the Internet, declined by an average of 54% within the Russell 2000 Index. Furthermore and in contrast to the market's prior disdain for Old Economy stocks, our best-performing Fund over the most recent six months has been the n/i Small Cap Value Fund, which holds smaller, less glamorous Old Economy stocks. This fund produced a six-month return of +30.54% that was three times the positive return of its benchmark.
Performance 1st half 2nd half Full Fiscal Year 8/31/99 to 2/29/00 2/29/00 to 8/31/00 a/o 8/31/00 ------------------ ------------------ ---------------- n/i Micro Cap Fund 46.77% 5.21% 54.42% Russell 2000 Growth Index 66.04% -16.24% 39.08% Relative -19.27% 21.45% 15.34% n/i Growth Fund 60.15% 1.85% 63.11% Russell 2500 Growth Index 75.38% -10.98% 56.13% Relative -15.23% 12.83% 6.98% n/i Mid Cap Fund 10.66% 17.12% 29.61% S&P MidCap 400 Index 18.09% 18.34% 39.75% Russell Midcap Index 17.77% 9.39% 28.83% Relative to S&P MidCap 400 Index -7.43% -1.22% -10.14% Relative to Russell Midcap Index -7.11% 7.73% 0.78% n/i Small Cap Value Fund -12.72% 30.54% 13.94% Russell 2000 Value Index 2.82% 10.57% 13.70% Relative -15.54% 19.97% 0.24%
2 The table above shows that three of our four funds were much better than their benchmarks over the last six months. Only our n/i Mid Cap Fund was unable to beat the return of its benchmark. This Fund's poor relative performance during the second half is surprising given that our three other funds performed so well. We believe the answer to this puzzle lies in the lucky reconstitution of the S&P MidCap 400 Index over the past several months. Standard & Poors has been reassigning some of the best-performing, suddenly large-cap, technology stocks from the S&P MidCap 400 Index to the S&P 500 Index because their capitalization has become too large to be "midcap". No sooner had S&P made these changes, however, that technology stocks began to underperform the market. As a result, the return of the S&P MidCap 400 Index vastly overstates the return of the average midcap stock. Over the last year, it appears to us that the return of the average midcap stock is better represented by the Russell Midcap Index, which is strictly based on capitalization and was not advantaged by a lucky reconstitution. In the prior table, note how the n/i Mid Cap Fund was successful in adding value relative to the Russell benchmark over the last six months. The great relative success of three of our four funds during the second half of the fiscal year was due to the powerful resurgence of our Estrend(TM) and Fair Value models. The bubble in New Economy stocks popped in early March, as momentum investors looking for greater fools discovered that they were the greatest fools. The sudden resurgence of rational valuation measures made our earnings-based quantitative stock selection models uncommonly powerful. In the prior six months covering the first half of our fiscal year, price momentum overwhelmed our Estrend(TM) and Fair Value models. During that period we found that stocks went up only because they had been going up and not because they represented good value or improving fundamentals. When the momentum-driven market finally broke and rational measures reasserted themselves in early March, our stock-selection process became very effective again. AVOIDING THE OTHER BUBBLE IN THE MARKET Whereas the New Economy bubble may have popped, we believe that another bubble still exists in the market that has even more important implications for investors. In our opinion, this bubble permeates the market more broadly and it is the irrationality of institutional investors rather than the speculative excesses of day traders that has created this bubble. It appears to us that this second bubble is just beginning to deflate, so attempting to avoid it now can still be helpful to future returns. All of our Funds are positioned in an effort to reduce much of the risk of deflation of this second bubble. In our opinion, the second bubble in the market is the extraordinary pricing premium currently enjoyed by the largest stocks. According to the consulting firm Russell/Mellon Analytical Services ("Russell/Mellon"), the largest fifty stocks in the U.S. market had an average forecast price-earnings ratio of 31.8 times next year's earnings as of August 31st. That is 22% higher than the average price-earnings ratio of the next largest 150 stocks and 47% higher than the average price-earnings ratio of stocks ranked 201 to 500 in capitalization. The next chart plots the average price-earnings ratio of these three capitalization strata from December 1978 through August 2000. The chart reveals that the current pricing premium for the largest stocks is historically unprecedented and did not exist before 1998. Though not plotted on the chart, the average price-earnings ratio of even smaller stocks was essentially the same as that for stocks ranked 201 to 500 as of August 31st. Thus, today it is just the largest 200 stocks where prices stand out as overvalued compared to the rest of the market and the largest 50 stocks are especially expensive. 3 [GRAPH] PLOT POINTS TO COME We believe that the current large-cap pricing premium has been caused by a wave of indexing and index-centric ("enhanced-index") investing that has swept the market over the past five years. This fad became especially pronounced recently because the index had beaten most active managers for several years in a row (until this year). This created a self-fulfilling prophecy driven by two stimuli that continued to boost the performance of larger stocks over smaller. Neither stimuli were related to the intrinsic merit of larger stocks, which appeared richly priced compared to smaller throughout most of this period. The first stimulus was the decision by both individual and institutional investors to index more of their assets, following years of poor relative performance by active managers. This created selling pressure in stocks not included in the S&P 500 Index and buying pressure for the largest stocks within the S&P 500 Index, which had to be bought to create the proper index exposure. The second and subtler stimulus was the terrific pressure felt by active managers to buy the largest stocks to make their portfolios more like the index. Although their analyses usually found smaller stocks to offer better value, we believe active managers felt great pressure to buy the largest stocks because these stocks were outperforming and because such stocks comprise a huge share of the benchmark. Russell/Mellon calculates that the largest 50 stocks in the S&P 500 Index comprised 61% of its capitalization as of August 31st. In our opinion, the risk of not owning more than half of your benchmark is too great for most active managers to bear, especially after several years of losing to the benchmark because of the stronger performance of the largest stocks. Thus active managers have felt terrific pressure to buy these largest stocks so as not to risk being too different than their benchmark. It appears that today too many institutional investors view risk as the difference between their portfolio and the benchmark. This definition of risk has been especially resonant recently because the market has been so narrow and so favorable for the largest stocks. In our opinion, institutional investors perceive risk as their career risk of being fired should they underperform their benchmark. Thus they lose sight that the real risk to the owners of the capital is the loss of money. Today, valuation measures suggest that the risk of loss is much greater in the largest cap stocks. But it appears to us that institutional investors buy these stocks because they are large and "safe", not because they offer better return potential. 4 Now there are signs that this perceived bubble in large-cap stocks is beginning to deflate. The return of the large-cap S&P 500 Index for the year 2000 through August 31st is just +4.0%, whereas the S&P MidCap Index has returned +22.7% and the Russell Midcap Index has provided +13.9%. Underlying the differential in returns of these indices has been the impact of stock price corrections of some of America's premier companies. Some of the largest stocks in the U.S. market, stocks that must be bought by investors who copy the index, have been hammered this year. Consider the returns of these must-have stocks through August 31st: Microsoft (-40%), Coca-Cola (-10%), Gillette (-27%), Verizon (-29%), Lucent (-44%) and Walmart (-31%). These stocks should be bought for an index portfolio because they are among the largest stocks in the U.S. market and they represent the cream of American enterprise. Thus they appear "safe" to institutional investors, but they have been lousy investments, because their prices were too high. Because there is an intrinsic validity to the long-term case for indexing and because so many institutional investors are concerned about short-term relative performance, we expect that it will take several years for the large-cap bubble to deflate. As a result, we foresee several years of superior performance by active managers who construct portfolios containing smaller stocks with more attractive valuation ratios. We expect that only after several years of superior performance by active managers will many investors allocate more of their assets to active management and the large-cap bubble will be fully deflated. We perceive that there are some terrific implications of this forecast over the next several years and they all suggest that, in our opinion, an investor should increase his exposure to smaller stocks. If the large-cap bubble were to deflate by the largest 200 stocks dropping to the price-earnings ratio of the next largest 300 stocks, then the S&P 500 Index as a whole would decline by 24% relative to the average midcap stock. This is because the largest 200 stocks comprise 86% capitalization of the S&P 500 Index. If the bubble were to contract by the midcap stocks (capitalization rankings 201 - 1000 according to Russell/Mellon) climbing to the average price-earnings multiple of the largest 50 stocks, then these 800 midcap stocks would outperform the S&P 500 Index by about 37%. Even the second-tier, larger 150 stocks (those just below the largest 50) would outperform the S&P 500 Index by 10% if their price to earnings ratio climbed to that of the largest 50. If there is a large-cap pricing bubble, as we believe, and it deflates, as we expect, active managers could produce terrific performance relative to the S&P 500 Index over the next several years. We are optimistic that all four of our Funds could enjoy a substantial return advantage relative to the S&P 500 Index if this bubble deflates, as we expect. (Of course, there is no guarantee that we will be right in our forecast.) If one accepts our premise, our funds could fare better because they have almost no exposure to these most expensive, largest 50 stocks. THE CONTINUING POWER OF EARNINGS ESTIMATE REVISIONS I founded Numeric Investors in 1989 based upon my experience and knowledge of stock selection techniques utilizing estimate revisions, going back to 1981. In the mid-1980's, this was a novel technique even to sophisticated institutional investors; only a few "quants" understood the potential of this analysis. Even in 1990, when I presented a paper describing the technique to the Institute for Quantitative Research in Finance, most quants were unaware of the importance of measuring changes in expectations. Use of estimate revisions (the Estrend(TM) model) attempts to capture trends in earnings estimate revisions. The model exploits the fact that both estimates and returns tend to under-react to news in the medium term. By forecasting the stocks most likely to continue an earnings trend, we also forecast those that will likely experience excess returns. The Estrend(TM) model is the primary driver in the n/i Micro Cap and Growth Funds, receives approximately equal weight in the n/i Mid Cap Fund and minimal weight in the n/i Small Cap Value Fund. 5 Today the technique is understood by most quantitative investors and applied by many. Several data services collect earnings estimates from all of the brokerage houses, measure their changes, and publish rankings of stocks with changing estimates. The Wall Street Journal and other sources report yesterday's "earnings surprises", between the forecast and actual quarterly earnings announcements of companies that reported yesterday. Market efficiency would suggest that the technique of estimate revisions should no longer be effective with so many people pursuing it. Indeed the market's reaction to new earnings information has shifted, so our Estrend(TM) model that measures and exploits revisions has had to adapt. But we believe the technique continues to be a powerful source of excess returns. And our recent work developing new investment strategies for the European and Japanese markets (alas just for institutional investors thus far) we believe has confirmed that earnings revisions techniques are powerful in non-U.S. markets as well. In the following paragraphs, we discuss how these techniques work and how we have adapted the Estrend(TM) model to preserve its power in a market that is becoming ever more efficient, especially as it relates to estimate revisions. WHY DOES ESTREND(TM) WORK? Estrend(TM) (our name for our earnings estimate revisions model) works because, we believe in the long term, the value of a stock is determined by its forecast earnings power, in the future. Said differently, prices are set by forecast earnings. One company with ten times the forecast earnings per share of another company should have a share price ten times greater, other things being equal. Let's agree that other things are never equal but focus our discussion instead on the impact of changing expectations. If two companies today are forecast to have earnings of X and 2X, but through time the market discovers that the two companies will produce earnings of X and 4X, then the price of the second company, with 4X actual earnings, should double relative to its earlier price. The company whose earnings remain X should remain constant. Again, we acknowledge that the market is a noisy place and prices don't remain constant, but the company whose earnings expectation have doubled should perform better than the company whose earnings expectations have held constant. Indeed academic research going back thirty years shows that differences in long-term stock returns are determined more by differences in realized long-term earnings growth than any other measure. Forget about New Economy and Old Economy. Just follow the money! The problem in following the money is that it requires an accurate forecast of which companies will grow their earnings and which will not. And it's very difficult to forecast the economy, the market, or a company's earnings with certainty, accuracy and consistency. Security analysts are smart, dedicated, and very well paid, but they are wrong all too often. One would need an army of analysts to make accurate earnings forecasts covering a broad universe of stocks, and the larger the army the greater the probability that some of your analysts' forecasts would be inaccurate. Instead of trying to forecast the earnings by diligently analyzing each company, Numeric and many other quant shops utilize the earnings estimates prepared by brokerage-house analysts. The precise accuracy of these forecasts is not important because the Estrend(TM) model measures how the forecast has changed. Our model identifies stocks that have recently experienced stronger earnings revisions than other stocks within a sector or industry, in the belief that stronger revisions are likely to continue for awhile. The second reason that Estrend(TM) works is that earnings revisions form trends. First, the economy shifts gradually and the fortunes of companies tend to evolve slowly and with uncertainty. Analysts attempting to forecast a company's earnings are watching both the company's market (which is influenced by the economy) and the competitive position of the company's products within its market. Then they must determine how these outside influences wash through the company's income statement. In our experience, estimates tend to be changed gradually, and more than once in the same direction, because the future emerges gradually and because the linkages between a company's market and its profits have many moving parts. 6 In our opinion, the second reason estimate revisions form trends has to do with human nature and the unique situation of security analysts. Analysts make several, repetitive revisions in the same direction because it is human nature to forecast the future as only a little different than today. If the average person were asked to forecast the level of the Dow, the yen, inflation, or even the weather, their thought process is to reference the current level and change it somewhat depending on their view of trends. Thus, in our opinion, forecasts tend not to incorporate sufficient change from the current levels, when compared to the realized number. The unique situation of security analysts exacerbates this all-too-human tendency to be conservative when making forecasts of change. Because a security analysts' reputation is paramount for their career success, they never want to be conspicuously wrong. Thus they never want to overestimate a change and need to recant, nor do they want to stand out too far from their peers. So it appears to us that they have an even greater-than-normal tendency to be conservative in their revisions and to make frequent adjustments to their estimates to gradually change their forecasts. The tendency of estimates to be revised in small increments, in the same direction, gives Estrend(TM) its ability to add value. Given our assessment that prices move with revised earnings expectations and that estimates are revised in trends, we believe it is possible to identify revisions trends early, invest with the trends, and profit from the trends as they continue. In its early configuration, the Estrend(TM) model measured changes in the average estimate, changes in the highest and lowest estimates, and calculated a diffusion index equal to the net percentage of estimates that were revised up versus down. Summary data was collected on a company-wide level and was refreshed weekly. Earnings surprises were analyzed to see if they would forecast how analysts' estimates would be revised subsequently. PROFITING FROM ESTIMATE REVISIONS IN AN INFORMATIONALLY MORE EFFICIENT MARKET Given that the estimate revisions phenomenon is well understood by many practitioners and many investment managers have their own estimate revisions models, the techniques to profit from this inefficiency have necessarily become faster, more refined, and more subtle. Today, Numeric separately downloads each individual analyst's estimate, for every stock that we follow, every night. During the trading day when revised estimates are published, we capture the analyst's estimate intraday. By tracking individual estimates, we know which estimates are most recent (and therefore usually more influential and made with the advantage of the freshest information). We can take averages of these more recent estimates to calculate a better-informed consensus forecast and to cluster estimates around news events, to see who is responding and who is not. And we believe we can respond more profitably to earnings surprise. As recently as a few years ago, researchers believed that responding as soon as possible to an earnings surprise could generate excess returns. Today many investors are conscious of earnings surprises and respond to them immediately. It appears to us that this causes an abrupt price response as everyone wants to buy or sell. Our analysis of market response to surprises over the past seven years suggests that this immediate price reaction often overshoots and then falls back over the following month. It has been our experience that most of the response to surprise occurs before the announcement, when investors using earnings revisions anticipate the next surprise by investing with the most recent revisions. Today we believe that the best way to use earnings surprise is as a conditioning event, that is a signal that tells us to ignore analysts' revisions before the event and incorporate only those following the event. We have found that a good way to profit from earnings revisions is to trade ten days after the earnings surprise, when analysts have all adjusted their forecasts in light of the surprise and the stock's price has corrected any overshoot from the announcement itself. It appears that most of the profit from an estimate revisions signal occurs in the weeks leading up to the next surprise, as investors position themselves to profit from the next post-surprise run-up. 7 By analyzing much more data much more rapidly, we believe Numeric has been able to maintain its ability to add value with the estimate-revisions phenomenon. In addition, we have adjusted our reaction to reflect the presence of other investors trying to profit from the same inefficiency. Recall Maynard Keynes' metaphor for the stock market, in which newspaper readers tried to guess which beautiful girl the other readers would judge to be most beautiful. Absolute beauty was less important than others' perception of beauty, and so it is with stocks, said Lord Keynes. In our opinion, today's informed response to earnings revisions requires that the investor respond not just to the surprise and the earnings revisions, but also to the other investors who are themselves trying to profit from the same stimuli. Will the estimate revisions inefficiency permit us to continue to generate excess returns with Estrend(TM)? Our answer is a guarded yes, at least for the foreseeable future, provided that we can continue to innovate in our analysis and implementation. We believe earnings will always set price (or the capital markets will fail in their purpose) and earnings will always be difficult to forecast. Thus forecasts will continue to change and prices will follow earnings. The challenge to the continued use of this estimates revisions inefficiency stems from its discovery and overuse by other investors. Provided that we continue to correctly adjust our response to anticipate the response of others, and restrict the amount of assets we manage to preserve our ability to adjust positions rapidly, we are optimistic that Estrend(TM) can continue to enhance returns. THE COMING TRANSITION TO PERFORMANCE FEES AND WHAT IT MEANS TO YOU Beginning January 1, 2001, three of our four mutual funds will be charged an investment advisory fee that will vary depending on the investment success of each mutual fund over the prior twelve months. You may recall that this change from "Fixed Fees" to "Performance Fees" was approved by shareholders in 1999, to take effect starting next year. Shareholders of three of the four funds approved this change. The n/i Micro Cap Fund remains on a fixed investment advisory fee because shareholders in this fund declined to vote in favor of the change. We are writing about this topic again to clarify how this change will work and (hopefully) to make you enthusiastic about this change. Performance fees are an arcane topic. The range of possible outcomes resulting from the performance fee structure is dwarfed by the volatility of the market and fluctuations in the value added that we hope will be provided by our quantitative investment process. Thus, we do not believe performance fees directly impact the success of your investment in a large way. Indirectly however, performance fees are an important component of your success as an investor because they change the relationship between you and Numeric, your Funds' investment adviser. Performance fees change how Numeric is paid and therefore they influence how Numeric manages the Funds' investments. We believe that performance fees are in the investor's interests because Numeric earns more for generating higher investment returns rather than just for growing the assets under its management. Numeric firmly believes that size is the enemy of the investor because greater transaction costs are borne when portfolio size increases. Numeric is committed to keeping the assets under management in our strategies at small, manageable levels. We thank you for your continued support and look forward to working with you in the future. Sincerely, /s/ Langdon B. Wheeler Langdon B. Wheeler, CFA President Numeric Investors L.P.(R) 8 [LOGO OF NUMERIC INVESTORS] 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 [GRAPH] Micro Cap Fund Russell 2000 Growth Index 6/3/96 10,000 10,000 8/31/96 9,725 8,816 11/30/96 11,392 9,117 2/28/97 11,426 8,952 5/31/97 12,194 9,459 8/31/97 15,405 10,589 11/30/97 15,547 10,491 2/28/98 16,354 11,272 5/31/98 16,189 10,958 8/31/98 12,210 7,804 11/30/98 16,225 9,745 2/28/99 16,109 10,089 5/31/99 17,559 11,373 8/31/99 19,058 11,168 11/30/99 20,975 12,909 2/29/00 27,971 18,544 5/31/00 24,620 13,612 8/31/00 29,429 15,532 Micro Cap Fund $ 29,429 Russell 2000 Growth Index $ 15,532 Total Returns One Year Ended Average August 31, 2000 Annual(3) Micro Cap Fund 54.42% 28.92% Russell 2000 Growth Index 39.08% 10.93% (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, 2000. 9 [LOGO OF NUMERIC INVESTORS] 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 [GRAPH] Growth Fund Russell 2500 Growth Index 6/3/96 10,000 10,000 8/31/96 9,867 9,144 11/30/96 10,925 9,673 2/28/97 10,575 9,572 5/31/97 11,384 10,060 8/31/97 13,585 11,327 11/30/97 13,402 11,196 2/28/98 13,754 11,954 5/31/98 13,112 11,707 8/31/98 9,641 8,434 11/30/98 11,931 10,490 2/28/99 12,040 10,873 5/31/99 13,385 12,414 8/31/99 14,731 12,739 11/30/99 16,999 15,044 2/29/00 23,591 22,342 5/31/00 20,133 16,929 8/31/00 24,027 19,890 Growth Fund $ 24,027 Russell 2500 Growth Index $ 19,890 Total Returns One Year Ended Average August 31, 2000 Annual(3) Growth Fund 63.11% 22.91% Russell 2500 Growth Index 56.13% 17.58% (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, 2000. 10 [LOGO OF NUMERIC INVESTORS] 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 [GRAPH] Mid Cap Fund S&P MidCap 400 Index 6/3/96 10,000 10,000 8/31/96 9,633 9,713 11/30/96 11,158 10,738 2/28/97 11,334 11,062 5/31/97 12,397 11,815 8/31/97 14,364 13,333 11/30/97 14,732 13,688 2/28/98 16,232 15,104 5/31/98 16,685 15,350 8/31/98 13,076 12,084 11/30/98 15,492 15,109 2/28/99 16,128 15,421 5/31/99 18,003 17,177 8/31/99 18,518 17,105 11/30/99 19,355 18,336 2/29/00 20,492 20,199 5/31/00 21,665 20,862 8/31/00 24,000 23,903 Mid Cap Fund $ 24,000 S&P MidCap 400 Index $ 23,903 Total Returns One Year Ended Average August 31, 2000 Annual(3) --------------- --------- Mid Cap Fund 29.61% 22.88% S&P MidCap 400 Index 39.75% 22.78% (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, 2000. 11 [LOGO OF NUMERIC INVESTORS] 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 [GRAPH] Small Cap Value Fund Russell 2000 Value Index 11/30/98 10,000 10,000 12/31/98 10,308 10,314 1/31/99 10,000 10,080 2/28/99 9,383 9,391 3/31/99 9,250 9,384 4/30/99 10,383 10,240 5/31/99 10,867 10,555 6/30/99 11,292 10,937 7/31/99 11,242 10,678 8/31/99 10,717 10,287 9/30/99 10,192 10,082 10/31/99 10,139 9,880 11/30/99 10,044 9,931 12/31/99 10,243 10,236 1/31/00 9,515 9,968 2/29/00 9,354 10,577 3/31/00 10,451 10,627 4/30/00 10,640 10,690 5/31/00 10,773 10,526 6/30/00 10,811 10,833 7/31/00 11,293 11,194 8/31/00 12,210 12,217 Small Cap Value Fund $ 12,210 Russell 2000 Value Index $ 12,217 Total Returns One Year Ended Average August 31, 2000 Annual(3) --------------- --------- Small Cap Value Fund 13.94% 12.04% Russell 2000 Value Index 13.70% 12.08% - ---------- (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, 2000. 12 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stocks--99.2% Advertising--0.8% 15,500 ADVO, Inc.*.......................................... $ 634,531 16,400 Penton Media, Inc.................................... 513,525 ------------ 1,148,056 ------------ Aerospace--0.6% 28,550 REMEC, Inc.*/**...................................... 813,675 ------------ Amusement & Recreational Services--0.4% 21,600 Polaris Industries Inc............................... 737,100 ------------ Automobile Parts & Equipment--0.8% 24,400 American Axle & Manufacturing Holdings, Inc.*.............................................. 350,750 72,100 Sonic Automotive, Inc.*.............................. 761,556 ------------ 1,112,306 ------------ Automobile Rentals--1.2% 46,500 Dollar Thrifty Automotive Group, Inc.*............... 1,052,062 16,500 Rent-A-Center, Inc.*/**.............................. 543,469 ------------ 1,595,531 ------------ Banks--2.0% 35,300 East West Bancorp, Inc.**............................ 602,306 30,600 GBC Bancorp.......................................... 1,158,975 40,700 Hamilton Bancorp, Inc.*.............................. 605,412 12,600 Southwest Bancorporation of Texas, Inc.*/**........................................... 366,187 ------------ 2,732,880 ------------ Beverages--0.6% 15,000 Canandaigua Brands, Inc., Class A*................... 808,125 ------------ Biotech--4.0% 6,600 Aurora Biosciences Corp.*............................ 451,275 4,600 Aviron*/**........................................... 207,000 14,700 Corixa Corp.*........................................ 752,456 9,500 CuraGen Corp.*/**.................................... 421,563 2,900 CV Therapeutics, Inc.*/**............................ 217,500 3,200 Digene Corp*......................................... 127,400 9,600 Diversa Corp.*/**.................................... 273,600 3,800 Enzo Biochem, Inc.*.................................. 228,000 11,300 Enzon, Inc.*......................................... 687,888 4,200 Inhale Therapeutic Systems, Inc.*/**................. 212,100 2,400 Invitrogen Corp.*/**................................. 151,500 16,700 Ligand Pharmaceuticals, Inc., Class B*............... 217,100 2,300 Myriad Genetics, Inc.*............................... 321,713 5,000 Neose Technologies, Inc.*............................ 205,000 3,200 Neurocrine Biosciences, Inc.*/**..................... 132,400 Biotech--(continued) 9,400 Pharmacopeia, Inc.*.................................. $ 394,213 19,400 Texas Biotechnology Corp.*........................... 341,925 ------------ 5,342,633 ------------ Building Supplies--1.0% 47,200 Hughes Supply, Inc................................... 1,005,360 12,500 Trex Co., Inc.*/**................................... 387,500 ------------ 1,392,860 ------------ Business Services--2.3% 22,000 Cognizant Technology Solutions Corp.*/**............. 940,500 3,500 Forrester Research, Inc.*............................ 213,937 24,700 F.Y.I., Inc.*........................................ 963,300 39,500 InterCept Group, Inc. (The)*......................... 918,375 ------------ 3,036,112 ------------ Chemicals - Diversified--0.1% 2,500 Cabot Microelectronics Corp.*........................ 145,937 ------------ Chemicals - Specialty--0.3% 9,300 TETRA Technologies, Inc.*............................ 126,713 38,200 W.R. Grace & Co.*.................................... 303,212 ------------ 429,925 ------------ Commercial Services--1.2% 37,700 Actrade Financial Technologies, Ltd.*/**............. 1,295,937 2,500 Plexus Corp.*........................................ 386,875 ------------ 1,682,812 ------------ Computer Components--0.1% 7,400 T/R Systems, Inc.*................................... 122,100 ------------ Computer Data Security--0.5% 16,800 Rainbow Technologies, Inc.*.......................... 665,700 ------------ Computer Networking Products--2.5% 65,900 Computer Network Technology Corp.*................... 1,318,000 22,700 JNI Corp.*/**........................................ 1,523,737 21,200 OTG Software, Inc.*/**............................... 474,350 ------------ 3,316,087 ------------ Computer Services--1.9% 17,500 FactSet Research Systems Inc......................... 598,281 6,800 Pomeroy Computer Resources, Inc.*.................... 158,100 32,000 Tanning Technology Corp.*............................ 522,000 63,100 Zomax Inc.*/**....................................... 1,226,506 ------------ 2,504,887 ------------ The accompanying notes are an integral part of the financial statements. 13 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Computer Software--7.5% 10,800 Apropos Technology, Inc.*............................ $ 137,700 13,500 Aspen Technology, Inc.*.............................. 620,156 14,200 BARRA, Inc.*......................................... 818,275 29,100 Broadbase Software, Inc.*............................ 609,281 34,900 Caminus Corp.*....................................... 588,937 31,500 Dendrite International, Inc.*........................ 836,719 12,900 Documentum, Inc.*/**................................. 923,156 7,700 DSET Corp.*.......................................... 208,381 12,800 Embarcadero Technologies, Inc*....................... 537,600 17,400 MapInfo Corp.*....................................... 722,100 28,400 McAfee.com Corp.*.................................... 747,275 4,200 NetIQ Corp.*......................................... 237,300 17,400 NetScout Systems, Inc.*.............................. 255,562 6,700 ONYX Software Corp.*................................. 152,006 36,700 Quintus Corp.*/**.................................... 479,394 13,900 Radiant Systems, Inc.*............................... 238,038 19,600 SERENA Software, Inc.*............................... 862,400 9,000 SilverStream Software, Inc.*......................... 312,750 17,900 Verity, Inc.*........................................ 818,925 ------------ 10,105,955 ------------ Consumer Products--0.7% 23,800 Salton, Inc.*/**..................................... 895,475 ------------ Electrical Equipment--0.9% 103,500 General Cable Corp................................... 866,813 11,400 SatCon Technology Corp.*............................. 394,725 ------------ 1,261,538 ------------ Electronic Components & Accessories--7.1% 21,800 Advanced Energy Industries, Inc.*/**................. 1,245,325 3,200 Asyst Technologies, Inc.*............................ 83,800 12,300 C&D Technologies, Inc................................ 679,575 17,200 DSP Group, Inc.*..................................... 795,500 19,300 Electro Scientific Industries, Inc.*................. 794,919 3,400 Exar Corp.*.......................................... 410,125 49,900 General Semiconductor, Inc.*/**...................... 726,669 18,000 Helix Technology Corp................................ 681,750 4,200 inSilicon Corp.*..................................... 85,575 22,100 Integrated Measurement Systems, Inc.*................ 395,037 5,000 Jaco Electronics, Inc.*.............................. 91,328 22,200 Merix Corp.*......................................... 1,076,700 23,100 Park Electrochemical Corp............................ 928,331 9,000 Technitrol, Inc...................................... 1,147,500 25,600 TelCom Semiconductor, Inc.*.......................... 446,400 ------------ 9,588,534 ------------ Electronics--0.5% 6,600 Applied Films Corp.*................................. $ 229,350 21,300 Audiovox Corp.*...................................... 386,062 ------------ 615,412 ------------ Electronics - Instruments--2.5% 5,100 BEI Technologies, Inc................................ 291,656 31,600 FEI Co.*/**.......................................... 951,950 20,100 Measurement Specialties, Inc.*....................... 782,644 9,500 Photon Dynamics, Inc.*............................... 445,906 23,000 Trimble Navigation Ltd.*............................. 955,937 ------------ 3,428,093 ------------ Environmental Services--1.2% 31,000 Tetra Tech, Inc.*/**................................. 840,875 35,300 Waste Connections, Inc.*............................. 820,725 ------------ 1,661,600 ------------ Financial Services--2.8% 55,700 Doral Financial Corp................................. 828,537 8,000 Gabelli Asset Management Inc.*....................... 241,000 35,000 Heller Financial, Inc................................ 870,625 28,100 LaBranche & Co. Inc.*/**............................. 846,512 26,750 Metris Companies Inc................................. 961,328 ------------ 3,748,002 ------------ Food & Agriculture--0.9% 31,500 Performance Food Group Co.*.......................... 1,169,438 ------------ Generic Pharmaceuticals & Distribution--1.3% 14,300 Alpharma Inc., Class A**............................. 809,738 34,900 Bindley Western Industries, Inc.**................... 1,005,556 ------------ 1,815,294 ------------ Health Care--1.4% 41,100 Advance Paradigm, Inc.*/**........................... 1,094,288 22,300 Orthodontic Centers of America, Inc.*/**............. 730,325 ------------ 1,824,613 ------------ Hospitals--1.3% 19,200 LifePoint Hospitals, Inc.*........................... 578,400 30,400 RehabCare Group, Inc.*/**............................ 1,136,200 ------------ 1,714,600 ------------ Internet Content--0.5% 12,800 Lante Corp.*......................................... 120,000 18,800 LookSmart, Ltd.*/**.................................. 314,900 27,000 Rare Medium Group, Inc.*............................. 270,000 ------------ 704,900 ------------ The accompanying notes are an integral part of the financial statements. 14 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Internet Software--3.8% 23,400 AGENCY.COM Inc.*..................................... $ 560,137 4,200 Allaire Corp.*....................................... 142,537 4,100 AppNet, Inc.*........................................ 202,694 59,600 Centra Software, Inc.*/**............................ 547,575 25,600 Clarus Corp.*........................................ 1,548,800 9,200 Extensity, Inc.*..................................... 207,000 2,000 FirePond, Inc.*...................................... 41,750 6,400 Interwoven, Inc.*.................................... 614,400 3,200 IntraNet Solutions, Inc.*............................ 145,000 11,400 Keynote Systems, Inc.*............................... 344,850 15,100 WatchGuard Technologies, Inc.*....................... 741,787 ------------ 5,096,530 ------------ Laboratory Analytical Instruments--1.7% 27,950 CyberOptics Corp.*................................... 810,550 25,000 Nanometrics Inc.*/**................................. 1,243,750 5,800 Varian Inc.*......................................... 282,750 ------------ 2,337,050 ------------ Leisure & Entertainment--0.8% 6,200 Hotel Reservations Network, Inc., Class A*........................................... 218,163 50,900 Topps Co., Inc. (The)*............................... 400,838 24,700 WMS Industries, Inc.*................................ 395,200 ------------ 1,014,201 ------------ Medical Instruments & Supplies--5.9% 41,300 ADAC Laboratories*................................... 924,088 8,000 ArthroCare Corp.*.................................... 356,000 23,300 Biosite Diagnostics, Inc.*/**........................ 1,620,806 22,100 Candela Corp.*/**.................................... 290,063 10,500 Edwards Lifesciences Corp.*.......................... 275,625 53,100 Endocare, Inc.*...................................... 932,569 38,000 ICU Medical, Inc.*................................... 890,625 6,800 INAMED Corp.*/**..................................... 222,275 35,100 Inverness Medical Technology, Inc.*/**............... 647,156 23,100 PolyMedica Corp.*/**................................. 820,050 20,400 SurModics, Inc.*..................................... 928,200 ------------ 7,907,457 ------------ Multimedia/Publishing--0.3% 12,600 Martha Stewart Living Omnimedia, Inc., Class A*/**........................................ 425,250 ------------ Office & Business Equipment--0.2% 8,200 United Stationers Inc.*/**........................... 265,988 ------------ Oil & Gas Field Exploration--0.7% 11,000 Basin Exploration, Inc.*/**.......................... 220,000 10,800 Offshore Logistics, Inc.*............................ 187,650 18,400 Pennaco Energy, Inc.*................................ 289,800 8,200 Spinnaker Exploration Co.*........................... 298,275 ------------ 995,725 ------------ Oil Equipment & Services--2.0% 45,300 Horizon Offshore, Inc.*.............................. 843,712 14,100 Lone Star Technologies, Inc.*........................ 708,525 27,200 Patterson Energy, Inc.*.............................. 853,400 12,500 Superior Energy Services, Inc.*...................... 137,500 7,600 Vintage Petroleum, Inc............................... 159,600 ------------ 2,702,737 ------------ Optical Instruments & Lenses--1.1% 37,200 1-800 CONTACTS, INC.*/**............................. 1,494,975 ------------ Pharmaceuticals--2.9% 29,200 Albany Molecular Research, Inc.*/**.................. 1,043,900 6,900 Dura Pharmaceuticals, Inc.*.......................... 190,181 18,100 GelTex Pharmaceuticals, Inc.*........................ 733,333 21,200 Noven Pharmaceuticals, Inc.*......................... 890,400 27,400 Syncor International Corp.*.......................... 1,096,000 ------------ 3,953,814 ------------ Publishing--0.4% 17,600 Information Holdings Inc.*........................... 565,400 ------------ Recreational--0.3% 11,500 SCP Pool Corp.*...................................... 337,094 ------------ Residential Construction--0.9% 24,100 M.D.C. Holdings, Inc................................. 604,006 40,400 Standard Pacific Corp................................ 664,075 ------------ 1,268,081 ------------ Restaurants--0.5% 15,400 Panera Bread Co., Class A*........................... 246,400 14,100 RARE Hospitality International, Inc.*................ 396,563 ------------ 642,963 ------------ The accompanying notes are an integral part of the financial statements. 15 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Retail - Catalog & Mail Order Houses--0.8% 8,800 Coldwater Creek Inc.*................................ $ 281,600 38,100 Sharper Image Corp.*................................. 762,000 ------------ 1,043,600 ------------ Retail - Computer Equipment--0.9% 18,475 PC Connection, Inc.*/**.............................. 1,196,256 ------------ Retail - Family Clothing Stores--0.6% 22,100 Factory 2-U Stores Inc.*/**.......................... 763,831 ------------ Retail - Specialty--1.7% 59,800 Haverty Furniture Co., Inc........................... 691,438 30,800 Hot Topic, Inc.*/**.................................. 872,025 8,500 Michaels Stores, Inc.*/**............................ 297,500 14,700 Musicland Stores Corp.*.............................. 104,738 7,400 Tweeter Home Entertainment Group, Inc.*/**........................................... 265,938 ------------ 2,231,639 ------------ Retail - Specialty Apparel--3.9% 37,000 Chico's FAS, Inc.*/**................................ 1,443,000 24,100 Children's Place Retail Stores, Inc. (The)*/**..................................... 710,950 40,100 Christopher & Banks Corp.*/**........................ 1,423,550 13,700 Gadzooks, Inc.*...................................... 205,500 13,600 Guess, Inc........................................... 308,550 54,300 Wilsons, The Leather Experts, Inc.*.................. 1,106,363 ------------ 5,197,913 ------------ Savings & Loan Associations--0.3% 11,400 Downey Financial Corp................................ 381,900 ------------ Schools--1.9% 32,000 Career Education Corp.*.............................. 1,278,000 24,000 Corinthian Colleges, Inc.*........................... 1,296,000 ------------ 2,574,000 ------------ Semiconductors--4.4% 5,800 Elantec Semiconductor, Inc*.......................... 513,300 59,300 ESS Technology, Inc.*................................ 1,026,631 36,200 Integrated Silicon Solution, Inc.*................... 1,063,375 15,900 Kulicke and Soffa Industries, Inc.*.................. 289,181 38,300 Mattson Technology, Inc.*/**......................... 837,813 26,500 Robotic Vision Systems, Inc.*........................ 336,219 3,000 Rudolph Technologies, Inc.*/**....................... 120,000 24,400 SIPEX Corp.*......................................... 1,050,725 11,400 Varian Semiconductor Equipment Associates, Inc.*.................................. 651,225 ------------ 5,888,469 ------------ Services - Employment Agencies--2.3% 7,700 Administaff, Inc.*/**................................ 627,550 27,500 Hall, Kinion & Associates, Inc.*/**.................. 907,500 14,900 Heidrick & Struggles International, Inc.*/**......... 866,063 33,400 HotJobs.com, Ltd.*................................... 636,688 ------------ 3,037,801 ------------ Services - Health Care Management--1.0% 26,600 Professional Detailing, Inc.*/**..................... 1,280,125 ------------ Telecommunications--1.7% 68,500 Boston Communications Group, Inc.*................... 984,688 13,000 Brooktrout Inc.*..................................... 442,000 10,100 Lightbridge, Inc.*................................... 176,750 26,800 RMH Teleservices, Inc.*/**........................... 643,200 ------------ 2,246,638 ------------ Telecommunications Equipment--6.5% 7,950 Anaren Microwave, Inc.*.............................. 938,597 18,200 Carrier Access Corp.*/**............................. 871,325 58,800 Catapult Communications Corp.*....................... 1,058,400 60,400 Comtech Telecommunications Corp.*.................... 1,072,100 42,000 Corsair Communications, Inc.*........................ 462,000 39,500 EMS Technologies, Inc.*.............................. 678,906 17,100 Metro One Telecommunications, Inc.*.................. 230,850 13,200 Plantronics, Inc.*................................... 659,175 66,700 Somera Communications, Inc.*......................... 887,944 7,800 Tollgrade Communications, Inc.*...................... 867,263 2,400 Tut Systems, Inc.*................................... 241,500 48,600 Westell Technologies, Inc., Class A*/**.............. 777,600 ------------ 8,745,660 ------------ Tobacco--0.3% 14,200 Universal Corp....................................... 367,425 ------------ Toys--0.6% 42,700 JAKKS Pacific, Inc.*................................. 757,925 ------------ Transportation--0.5% 41,500 American Freightways Corp.*.......................... 682,156 ------------ Utilities--0.1% 14,000 El Paso Electric Co.*................................ 188,125 ------------ Wholesale - Drug Distribution--1.3% 26,200 AmeriSource Health Corp., Class A*................... 910,450 15,000 Priority Healthcare Corp., Class B*.................. 866,250 ------------ 1,776,700 ------------ Total Common Stocks (Cost $109,943,600)................................ 133,487,608 The accompanying notes are an integral part of the financial statements. 16 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Portfolio of Investments (concluded) August 31, 2000 - -------------------------------------------------------------------------------- PRINCIPAL VALUE AMOUNT (000's) (NOTE 1) - -------------------------------------------------------------------------------- Repurchase Agreement--0.1% $ 50 Bear, Stearns & Co. Inc. (Agreement dated 08/31/00 to be repurchased at $50,236) 6.62%, 09/01/00 (Cost $50,227) (Note 6)............................ $ 50,227 ------------ Total Investments -- 99.3% (Cost $109,993,827)................................ 133,537,835 ------------ Other Assets in Excess of Liabilities -- 0.7%................................ 995,224 ------------ Net Assets -- 100.0%................................. $134,533,059 ============ - ---------------- * Non-income producing. ** Security or a portion thereof is out on loan. The accompanying notes are an integral part of the financial statements. 17 [LOGO OF NUMERIC INVESTORS] Growth Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Common Stocks--97.9% Advertising--0.6% 7,800 ADVO, Inc.* .................................... $ 319,312 5,200 Penton Media, Inc. ............................. 162,825 ---------- 482,137 ---------- Aerospace--0.8% 3,800 L-3 Communications Corp.* ...................... 224,675 14,500 REMEC, Inc.*/** ................................ 413,250 ---------- 637,925 ---------- Amusement & Recreational Services--0.5% 12,200 Polaris Industries Inc. ........................ 416,325 ---------- Automobile Rentals--0.7% 25,000 Dollar Thrifty Automotive Group, Inc.* ......... 565,625 ---------- Beverages--0.8% 2,000 Canandaigua Brands, Inc., Class A* ............. 107,750 17,200 Pepsi Bottling Group, Inc. (The) ............... 546,100 ---------- 653,850 ---------- Biotech--4.9% 3,800 Affymetrix, Inc.*/** ........................... 300,200 3,800 Alkermes, Inc.*/** ............................. 175,750 3,000 Aurora Biosciences Corp.* ...................... 205,125 4,100 Celgene Corp.* ................................. 303,400 3,600 Cephalon, Inc.*/** ............................. 181,125 3,600 COR Therapeutics, Inc.*/** ..................... 202,500 2,000 Corixa Corp.* .................................. 102,375 1,500 CuraGen Corp.*/** .............................. 66,562 5,700 Diversa Corp.*/** .............................. 162,450 1,100 Enzo Biochem, Inc.* ............................ 66,000 3,700 Enzon, Inc.* ................................... 225,237 400 Gilead Sciences, Inc.* ......................... 43,200 5,400 Icos Corp*/** .................................. 316,912 2,900 IMClone Systems* ............................... 279,488 2,900 Incyte Pharmaceuticals, Inc.* .................. 240,519 600 Invitrogen Corp.*/** ........................... 37,875 700 Myriad Genetics, Inc.* ......................... 97,913 3,600 PE Corp.- Celera Genomics Group* ............... 390,375 3,700 Pharmacopeia, Inc.* ............................ 155,169 3,400 Protein Design Labs, Inc. ...................... 258,400 3,700 Texas Biotechnology Corp.* ..................... 65,213 ---------- 3,875,788 ---------- Building Supplies--0.8% 20,500 Hughes Supply, Inc. ............................ 436,650 6,700 Trex Co., Inc.* ................................ 207,700 ---------- 644,350 ---------- Business Services--0.8% 4,900 Cognizant Technology Solutions Corp.* .......... 209,475 2,000 F.Y.I., Inc.* .................................. 78,000 16,200 InterCept Group, Inc. (The)* ................... 376,650 ---------- 664,125 ---------- Chemicals - Specialty--0.8% 18,100 Engelhard Corp. ................................ 339,375 35,500 W.R. Grace & Co.* .............................. 281,781 ---------- 621,156 ---------- Computer Data Security--0.2% 1,500 Rainbow Technologies, Inc.* .................... 59,437 1,600 SonicWALL, Inc.* ............................... 121,800 ---------- 181,237 ---------- Computer Graphics--0.4% 4,600 NVIDIA Corp.* .................................. 365,125 ---------- Computer Networking Products--3.7% 2,000 Brocade Communications Systems, Inc.* .......... 451,625 24,900 Computer Network Technology Corp.* ............. 498,000 3,800 Emulex Corp.*/** ............................... 397,812 2,700 Foundry Networks, Inc.* ........................ 251,269 7,500 JNI Corp.*/** .................................. 503,437 6,600 Network Appliance, Inc.* ....................... 772,200 2,000 Turnstone Systems, Inc.*/** .................... 117,750 ---------- 2,992,093 ---------- Computer Services--1.0% 5,300 FactSet Research Systems Inc. .................. 181,194 31,900 Zomax Inc.* .................................... 620,056 ---------- 801,250 ---------- Computer Software--5.7% 1,900 Aspen Technology, Inc.* ........................ 87,281 2,600 BARRA, Inc.* ................................... 149,825 8,300 BEA Systems, Inc.* ............................. 564,919 9,200 Broadbase Software, Inc.* ...................... 192,625 18,500 Dendrite International, Inc.* .................. 491,406 4,200 Documentum, Inc.*/** ........................... 300,562 The accompanying notes are an integral part of the financial statements. 18 [LOGO OF NUMERIC INVESTORS] Growth Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES [NOTE 1] - -------------------------------------------------------------------------------- Computer Software--(continued) 3,700 Embarcadero Technologies, Inc* ................. $ 155,400 6,100 McAfee.com Corp.* .............................. 160,506 3,400 Metasolv Software, Inc.* ....................... 138,975 1,000 Micromuse Inc.* ................................ 151,875 1,100 Nuance Communications, Inc.* ................... 144,787 6,200 Quest Software, Inc.*/** ....................... 320,075 10,100 Quintus Corp.*/** .............................. 131,931 6,400 Radiant Systems, Inc.* ......................... 109,600 2,000 Rational Software Corp.* ....................... 257,375 14,100 SERENA Software, Inc.* ......................... 620,400 11,400 Verity, Inc.* .................................. 521,550 ---------- 4,499,092 ---------- Consumer Products--0.7% 13,900 Salton, Inc.*/** ............................... 522,987 3,300 Yankee Candle Co.*/** .......................... 64,969 ---------- 587,956 ---------- Electrical Equipment--0.7% 50,000 General Cable Corp. ............................ 418,750 4,200 SatCon Technology Corp.* ....................... 145,425 ---------- 564,175 ---------- Electronic Components & Accessories--9.1% 10,600 Advanced Energy Industries, Inc.* .............. 605,525 4,700 Amphenol Corp., Class A* ....................... 300,800 3,400 Applied Micro Circuits Corp.* .................. 689,987 16,700 Asyst Technologies, Inc.* ...................... 437,331 1,300 Avnet, Inc. .................................... 77,837 18,200 AVX Corp.** .................................... 544,862 6,000 C&D Technologies, Inc. ......................... 331,500 6,900 DSP Group, Inc.* ............................... 319,125 7,400 Electro Scientific Industries, Inc.* ........... 304,787 500 Exar Corp.* .................................... 60,313 6,300 Helix Technology Corp. ......................... 238,612 20,700 KEMET Corp.* ................................... 621,000 5,250 Merix Corp.* ................................... 254,625 4,150 Power-One, Inc.* ............................... 657,516 7,200 Sawtek Inc.* ................................... 363,150 5,800 Technitrol, Inc. ............................... 739,500 16,250 Vishay Intertechnology, Inc.* .................. 655,078 ---------- 7,201,548 ---------- Electronics - Instruments--1.3% 2,100 BEI Technologies, Inc. ......................... 120,094 9,900 FEI Co.* ....................................... 298,237 1,600 Photon Dynamics, Inc.* ......................... 75,100 12,800 Trimble Navigation Ltd.* ....................... 532,000 ---------- 1,025,431 ---------- Environmental Services--1.1% 19,000 Tetra Tech, Inc.* .............................. 515,375 16,700 Waste Connections, Inc.* ....................... 388,275 ---------- 903,650 ---------- Financial Services--2.0% 19,400 Doral Financial Corp. .......................... 288,575 21,100 Heller Financial, Inc. ......................... 524,862 21,150 Metris Companies Inc. .......................... 760,078 ---------- 1,573,515 ---------- Food & Agriculture--1.3% 6,180 ConAgra, Inc. .................................. 113,171 15,500 Dean Foods Co. ................................. 484,375 5,300 Smithfield Foods, Inc.* ........................ 140,781 5,300 Suiza Foods Corp.* ............................. 265,000 ---------- 1,003,327 ---------- Generic Pharmaceuticals & Distribution--1.2% 7,400 Alpharma Inc., Class A** ....................... 419,025 18,204 Bindley Western Industries, Inc.** ............. 524,503 ---------- 943,528 ---------- Health Care--2.9% 18,900 Advance Paradigm, Inc.* ........................ 503,213 2,200 Express Scripts, Inc., Class A* ................ 156,613 21,000 Orthodontic Centers of America, Inc.*/** ....... 687,750 14,500 Oxford Health Plans, Inc.* ..................... 442,250 10,200 PacifiCare Health Systems, Inc.* ............... 550,162 ---------- 2,339,988 ---------- Hospitals--1.4% 10,400 HCA -The Healthcare Corp. ...................... 358,800 2,500 LifePoint Hospitals, Inc.* ..................... 75,312 11,800 RehabCare Group, Inc.* ......................... 441,025 3,900 Universal Health Services, Inc., Class B* ...... 275,925 ---------- 1,151,062 ---------- Insurance - Financial Guarantee--1.4% 6,600 MGIC Investment Corp. .......................... 388,162 7,250 PMI Group, Inc. (The) .......................... 449,500 4,000 Radian Group Inc. .............................. 248,500 ---------- 1,086,162 ---------- The accompanying notes are an integral part of the financial statements. 19 [LOGO OF NUMERIC INVESTORS] Growth Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Insurance - Health & Life--0.3% 6,100 Nationwide Financial Services, Inc., Class A ................................ $ 243,237 ---------- Internet Content--0.1% 4,500 Rare Medium Group, Inc.* ....................... 45,000 ---------- Internet Software--2.3% 2,500 AGENCY.COM Inc.* ............................... 59,844 2,200 Allaire Corp.* ................................. 74,662 1,200 Alteon Websystems, Inc.* ....................... 177,600 800 CacheFlow Inc.* ................................ 87,500 10,400 Clarus Corp.* .................................. 629,200 4,000 Extensity, Inc.* ............................... 90,000 2,200 Interwoven, Inc.* .............................. 211,200 4,600 Keynote Systems, Inc.* ......................... 139,150 800 Software.com, Inc.* ............................ 116,450 5,700 WatchGuard Technologies, Inc.* ................. 280,012 ---------- 1,865,618 ---------- Laboratory Analytical Instruments--1.2% 12,400 CyberOptics Corp.* ............................. 359,600 10,200 Nanometrics Inc.*/** ........................... 507,450 1,700 Varian Inc.* ................................... 82,875 ---------- 949,925 ---------- Leisure & Entertainment--1.0% 6,600 Macrovision Corp.* ............................. 703,725 14,300 Topps Co., Inc. (The)* ......................... 112,612 ---------- 816,337 ---------- Medical Instruments & Supplies--4.6% 20,200 ADAC Laboratories* ............................. 451,975 1,900 ArthroCare Corp.* .............................. 84,550 1,000 Beckman Coulter, Inc. .......................... 76,125 11,700 Biosite Diagnostics, Inc.*/** .................. 813,881 9,600 DENTSPLY International Inc. .................... 320,400 2,400 Edwards Lifesciences Corp.* .................... 63,000 8,100 Mallinckrodt Inc. .............................. 365,006 15,200 PolyMedica Corp.*/** ........................... 539,600 4,500 Quest Diagnostics Inc.* ........................ 556,875 3,700 Techne Corp.* .................................. 353,350 ---------- 3,624,762 ---------- Multimedia/Publishing--0.2% 4,200 Martha Stewart Living Omnimedia, Inc., Class A*/** ............................ 141,750 ---------- Office & Business Equipment--0.4% 9,400 United Stationers Inc.*/** ..................... 304,913 ---------- Oil & Gas Field Exploration--0.4% 7,500 Basin Exploration, Inc.* ....................... 150,000 2,500 Spinnaker Exploration Co.* ..................... 90,938 1,300 St. Mary Land & Exploration Co. ................ 53,788 ---------- 294,726 ---------- Oil Equipment & Services--2.5% 8,300 ENSCO International, Inc. ...................... 330,963 17,200 Helmerich & Payne, Inc. ........................ 635,325 1,700 Noble Drilling Corp.* .......................... 82,450 14,800 Patterson Energy, Inc.* ........................ 464,350 5,700 Smith International, Inc.*/** .................. 453,150 ---------- 1,966,238 ---------- Oil Refining--0.2% 6,500 Ultramar Diamond Shamrock Corp. ................ 152,344 ---------- Optical Instruments & Lenses--0.6% 12,200 1-800 CONTACTS, INC.*/** ....................... 490,288 ---------- Pharmaceuticals--6.1% 5,900 Abgenix, Inc.* ................................. 443,514 15,400 Albany Molecular Research, Inc.*/** ............ 550,550 8,200 Andrx Corp.*/** ................................ 713,400 2,900 Dura Pharmaceuticals, Inc.* .................... 79,931 10,600 GelTex Pharmaceuticals, Inc.* .................. 429,466 6,500 IVAX Corp.* .................................... 225,063 11,650 Jones Pharma Inc. .............................. 416,488 16,200 King Pharmaceuticals, Inc.* .................... 520,425 7,500 Noven Pharmaceuticals, Inc* .................... 315,000 14,500 Syncor International Corp.* .................... 580,000 6,600 Vertex Pharmaceuticals* ........................ 561,000 ---------- 4,834,837 ---------- Recreational--0.1% 2,600 SCP Pool Corp.* ................................ 76,213 ---------- Residential Construction--0.5% 10,300 D.R. Horton, Inc. .............................. 202,138 12,400 Standard Pacific Corp. ......................... 203,825 ---------- 405,963 ---------- The accompanying notes are an integral part of the financial statements. 20 [LOGO OF NUMERIC INVESTORS] GROWTH FUND Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Restaurants--0.1% 3,300 RARE Hospitality International, Inc.* .......... $ 92,813 ---------- Retail - Catalog & Mail Order Houses--0.6% 22,200 Sharper Image Corp.* ........................... 444,000 ---------- Retail - Computer Equipment--1.1% 12,950 PC Connection, Inc.* ........................... 838,513 ---------- Retail - Family Clothing Stores--0.4% 9,500 Factory 2-U Stores Inc.*/** .................... 328,344 ---------- Retail - Specialty--1.1% 17,600 Hot Topic, Inc.*/** ............................ 498,300 3,400 Michaels Stores, Inc.*/** ...................... 119,000 4,300 Tweeter Home Entertainment Group, Inc.*/** .............................. 154,531 2,500 Ultimate Electronics, Inc.* .................... 87,656 ---------- 859,487 ---------- Retail - Specialty Apparel--2.5% 22,700 Chico's FAS, Inc.*/** .......................... 885,300 8,200 Children's Place Retail Stores, Inc. (The)*/** ............................... 241,900 19,350 Christopher & Banks Corp* ...................... 686,925 8,900 Guess, Inc.* ................................... 201,919 ---------- 2,016,044 ---------- Savings & Loan Associations--0.6% 8,900 Astoria Financial Corp. ........................ 312,613 4,000 Downey Financial Corp. ......................... 134,000 ---------- 446,613 ---------- Schools--0.5% 10,800 Career Education Corp.* ........................ 431,325 ---------- Semiconductors--8.3% 2,900 Alpha Industries, Inc.* ........................ 146,269 600 Cree, Inc.* .................................... 82,650 8,400 Cypress Semiconductor Corp.* ................... 415,275 2,200 Elantec Semiconductor, Inc.* ................... 194,700 27,500 ESS Technology, Inc.* .......................... 476,094 13,000 Fairchild Semiconductor ........................ Corp., Class A*/** 516,750 9,700 Integrated Device Technology, Inc.* ............ 851,175 14,200 Integrated Silicon Solution, Inc.* ............. 417,125 1,600 International Rectifier Corp.* ................. 100,700 10,100 Kulicke and Soffa Industries, Inc.* ............ 183,694 6,000 Lattice Semiconductor Corp.* ................... 467,250 12,300 Mattson Technology, Inc.*/** ................... 269,063 Semiconductors--(continued) 3,900 Novellus Systems, Inc.* ........................ 240,094 1,200 PMC-Sierra, Inc.* .............................. 283,200 3,300 QLogic Corp.* .................................. 374,550 1,900 SDL, Inc.* ..................................... 754,894 7,300 SIPEX Corp.* ................................... 314,356 2,400 TranSwitch Corp.* .............................. 144,450 4,000 Varian Semiconductor Equipment Associates, Inc.* ............................ 228,500 1,700 Virata Corp.* .................................. 116,875 ---------- 6,577,664 ---------- Services - Employment Agencies--1.7% 3,800 Administaff, Inc.*/** .......................... 309,700 17,200 Hall, Kinion & Associates, Inc.* ............... 567,600 6,600 Heidrick & Struggles International, Inc.*/** ..................................... 383,625 3,600 HotJobs.com, Ltd.* ............................. 68,625 ---------- 1,329,550 ---------- Telecommunications--0.7% 17,900 Boston Communications Group, Inc.* ............. 257,313 9,600 Lightbridge, Inc.* ............................. 168,000 1,400 Wireless Facilities, Inc.*/** .................. 105,000 ---------- 530,313 ---------- Telecommunications Equipment--10.2% 6,700 ADC Telecommunications, Inc.* .................. 274,281 700 Anaren Microwave, Inc.* ........................ 82,644 9,900 Carrier Access Corp.*/** ....................... 473,963 3,200 CIENA Corp.* ................................... 709,400 24,200 Corsair Communications, Inc.* .................. 266,200 5,400 Digital Lightwave, Inc.* ....................... 473,850 7,500 Ditech Communications Corp.* ................... 442,500 9,600 Dmc Stratex Networks Inc* ...................... 245,400 15,990 Finisar Corp.*/** .............................. 741,536 3,900 GlobeSpan, Inc.*/** ............................ 469,706 3,716 JDS Uniphase Corp.* ............................ 462,584 1,800 Natural Microsystems Corp.*/** ................. 134,213 3,900 Plantronics, Inc.* ............................. 194,756 4,500 Polycom, Inc.* ................................. 505,687 5,700 Powerwave Technologies, Inc.* .................. 274,313 13,250 Quanta Services, Inc.* ......................... 619,437 4,600 Scientific-Atlanta, Inc. ....................... 358,513 27,600 Somera Communications, Inc.* ................... 367,425 3,900 Tollgrade Communications, Inc.* ................ 433,631 14,400 UTStarcom, Inc.* ............................... 343,800 15,800 Westell Technologies, Inc., Class A*/** ........ 252,800 ---------- 8,126,639 ---------- The accompanying notes are an integral part of the financial statements. 21 [LOGO OF NUMERIC INVESTORS] Growth Fund Portfolio of Investments (concluded) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Tobacco--0.2% 5,800 Universal Corp. ................................ $ 150,075 ---------- Toys--0.3% 14,000 JAKKS Pacific, Inc.* ........................... 248,500 ---------- Transportation--0.3% 12,700 American Freightways Corp.* .................... 208,756 ---------- Utilities--2.9% 9,000 Calpine Corp.* ................................. 891,000 30,200 El Paso Electric Co.* .......................... 405,813 11,600 Energen Corp. .................................. 300,875 8,200 Minnesota Power, Inc. .......................... 181,938 2,500 National Fuel Gas Co. .......................... 131,094 1,800 ONEOK, Inc ..................................... 57,488 15,700 Public Service Co. of New Mexico ............... 335,588 ---------- 2,303,796 ---------- Wholesale - Drug Distribution--1.0% 8,100 AmeriSource Health Corp., Class A* ............. 281,475 9,043 Priority Healthcare Corp., Class B* ............ 522,233 ---------- 803,708 ---------- Wholesale - Groceries & General Line--0.1% 5,600 SUPERVALU INC. ................................. 83,650 ---------- Total Common Stocks (Cost $61,919,134) ........................... 77,812,361 ---------- - -------------------------------------------------------------------------------- PRINCIPAL VALUE AMOUNT (000's) (NOTE 1) - -------------------------------------------------------------------------------- Repurchase Agreement--1.5% $ 1,244 Bear, Stearns & Co. Inc. (Agreement dated 08/31/00 to be repurchased at $1,244,113) 6.62%, 09/01/00 (Cost $1,243,884) (Note 6) ................... $ 1,243,884 ----------- Total Investments--99.4% (Cost $63,163,018) ........................... 79,056,245 ----------- Other Assets in Excess of Liabilities--0.6% ............................ 464,087 ----------- Net Assets--100.0% ............................. $79,520,332 =========== - --------------- * Non-income producing. ** Security or a portion thereof is out on loan. The accompanying notes are an integral part of the financial statements. 22 [LOGO OF NUMERIC INVESTORS] Mid Cap Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Common Stocks--98.3% Aerospace--1.8% 10,600 B.F. Goodrich Co. (The)................................ $ 432,612 3,500 Boeing Co. (The)....................................... 187,687 1,400 General Dynamics Corp.................................. 88,112 1,700 United Technologies Corp............................... 106,144 ---------- 814,555 ---------- Airlines--2.4% 12,700 AMR Corp.*............................................. 416,719 9,300 Atlas Air, Inc.*....................................... 402,225 5,300 Delta Air Lines, Inc................................... 262,350 ---------- 1,081,294 ---------- Automobile Parts & Equipment--0.7% 4,900 ArvinMeritor, Inc...................................... 80,850 13,800 Delphi Automotive Systems Corp......................... 226,837 ---------- 307,687 ---------- Automobile Rentals--0.1% 1,900 Hertz Corp. (The), Class A............................. 58,187 ---------- Banks--0.4% 1,300 Comerica Inc........................................... 73,206 3,800 TCF Financial Corp..................................... 124,688 ---------- 197,894 ---------- Beverages--0.9% 12,500 Pepsi Bottling Group, Inc. (The)....................... 396,875 ---------- Broadcasting--1.5% 15,600 Univision Communications Inc., Class A*................ 688,350 ---------- Brokerage--1.4% 3,800 Bear Stearns Companies Inc. (The)...................... 254,837 4,900 Investment Technology Group, Inc.*..................... 235,200 800 Lehman Brothers Holdings Inc........................... 116,000 ---------- 606,037 ---------- Building Supplies--0.6% 8,100 Lafarge Corp........................................... 197,437 1,500 Lowe's Companies, Inc.................................. 67,219 ---------- 264,656 ---------- Business Services--2.2% 4,100 Eaton Vance Corp....................................... 198,594 7,350 Quanta Services, Inc.*................................. 343,612 6,800 SEI Investments Co..................................... 431,800 ---------- 974,006 ---------- Chemicals - Diversified--1.0% 12,600 Air Products and Chemicals, Inc........................ 457,537 ---------- Chemicals - Specialty--1.0% 23,500 Engelhard Corp......................................... 440,625 ---------- Computer Components--0.9% 11,400 Silicon Storage Technology, Inc.*...................... 374,062 ---------- Computer Data Security--0.3% 2,000 SonicWALL, Inc.*....................................... 152,250 ---------- Computer Graphics--0.4% 2,000 NVIDIA Corp*........................................... 158,750 ---------- Computer Networking Products--2.3% 400 Brocade Communications Systems, Inc.*.................. 90,325 2,600 Emulex Corp.*/**....................................... 272,188 2,600 Foundry Networks, Inc.*................................ 241,962 400 Juniper Networks, Inc.*................................ 85,500 1,100 Network Appliance, Inc.*............................... 128,700 3,800 Turnstone Systems, Inc.*............................... 223,725 ---------- 1,042,400 ---------- Computer Software--5.0% 3,600 BEA Systems, Inc.*..................................... 245,025 2,600 Mercury Interactive Corp.*............................. 317,687 6,300 Metasolv Software, Inc.*............................... 257,512 900 Micromuse Inc.*........................................ 136,688 14,300 Network Associates, Inc.*.............................. 370,012 4,800 Quest Software, Inc.*/**............................... 247,800 3,700 Rational Software Corp.*............................... 476,144 2,300 SERENA Software, Inc.*................................. 101,200 1,100 Symantec Corp.*........................................ 53,694 ---------- 2,205,762 ---------- Construction--0.2% 1,900 Dycom Industries, Inc.*................................ 100,700 ---------- Consumer Products--0.3% 4,200 Fortune Brands, Inc.................................... 107,100 ---------- Electronic Components & Accessories--7.5% 5,000 Advanced Energy Industries, Inc.*...................... 285,625 800 Applied Micro Circuits Corp.*.......................... 162,350 14,000 Arrow Electronics, Inc.*............................... 509,250 1,000 Avnet, Inc............................................. 59,875 9,400 AVX Corp.**............................................ 281,412 13,700 KEMET Corp.*........................................... 411,000 2,750 Power-One, Inc.*....................................... 435,703 The accompanying notes are an integral part of the financial statements. 23 [LOGO OF NUMERIC INVESTORS] Mid Cap Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE SHARES (NOTE 1) - -------------------------------------------------------------------------------- Electronic Components & Accessories--(continued) 6,200 Sawtek Inc.*........................................... $ 312,712 1,500 Technitrol, Inc........................................ 191,250 16,650 Vishay Intertechnology, Inc.*.......................... 671,203 ---------- 3,320,380 ---------- Energy--1.2% 24,500 Questar Corp........................................... 531,344 ---------- Financial Services--1.9% 4,400 AXA Financial, Inc..................................... 227,700 2,200 Edwards (A.G.), Inc.................................... 114,400 13,950 Metris Companies Inc................................... 501,328 ---------- 843,428 ---------- Food & Agriculture--2.1% 5,000 Albertson's, Inc....................................... 107,500 21,000 ConAgra, Inc........................................... 384,562 15,900 Smithfield Foods, Inc.*................................ 422,344 ---------- 914,406 ---------- Generic Pharmaceuticals & Distribution--0.7% 5,600 Alpharma Inc., Class A**............................... 317,100 ---------- Health Care--3.8% 4,900 Express Scripts, Inc., Class A*........................ 348,819 7,400 Oxford Health Plans, Inc.*............................. 225,700 6,100 PacifiCare Health Systems, Inc.*....................... 329,019 3,900 UnitedHealth Group Inc.**.............................. 368,550 4,800 Wellpoint Health Networks Inc.*........................ ---------- 1,686,388 ---------- Hospitals--1.7% 12,700 HCA -The Healthcare Corp............................... 438,150 10,200 Tenet Healthcare Corp.*................................ 316,200 ---------- 754,350 ---------- Insurance--2.2% 5,600 Loews Corp............................................. 453,250 21,400 Old Republic International Corp........................ 512,262 ---------- 965,512 ---------- Insurance - Financial Guarantee--2.9% 2,600 Ambac Financial Group, Inc............................. 168,025 6,500 MGIC Investment Corp................................... 382,281 4,900 PMI Group, Inc. (The).................................. 303,800 6,800 Radian Group Inc....................................... 422,450 ---------- 1,276,556 ---------- Insurance - Health & Life--0.2% 3,900 Torchmark Corp......................................... 109,444 ---------- Internet Software--0.5% 2,800 BroadVision, Inc.*..................................... 96,600 1,400 TIBCO Software Inc.*/**................................ 142,712 ---------- 239,312 ---------- Laboratory Analytical Instruments--0.0% 200 Varian Inc.*........................................... 9,750 ---------- Leisure & Entertainment--1.0% 23,300 Brunswick Corp......................................... 436,875 ---------- Manufacturing--1.2% 8,900 Cooper Industries, Inc.*............................... 314,281 1,800 Parker-Hannifin Corp................................... 62,662 2,700 Textron, Inc........................................... 151,369 ---------- 528,312 ---------- Manufacturing Heavy Equipment--1.0% 12,700 ITT Industries, Inc.*.................................. 427,037 ---------- Medical Instruments & Supplies--4.5% 4,700 Beckman Coulter, Inc................................... 357,787 15,300 DENTSPLY International Inc............................. 510,637 6,200 MiniMed, Inc.*......................................... 445,141 5,700 Quest Diagnostics Inc.*................................ 705,375 ---------- 2,018,940 ---------- Office Furniture--0.2% 2,500 HON INDUSTRIES Inc..................................... 67,344 ---------- Oil Equipment & Services--6.9% 1,700 Conoco Inc., Class B................................... 44,413 1,100 Cooper Cameron Corp.*.................................. 85,594 3,200 ENSCO International Inc................................ 127,600 2,800 Hanover Compressor Co.*/**............................. 88,900 15,300 Helmerich & Payne, Inc................................. 565,144 11,600 Marine Drilling Companies, Inc*........................ 315,375 1,000 Murphy Oil Corp........................................ 66,750 7,000 Nabors Industries, Inc.*............................... 332,938 16,000 Noble Drilling Corp.*.................................. 776,000 7,300 Occidental Petroleum Corp.............................. 157,863 14,600 USX-Marathon Group..................................... 400,588 4,000 Vintage Petroleum, Inc................................. 84,000 ---------- 3,045,165 ---------- Oil Refining--1.1% 20,900 Ultramar Diamond Shamrock Corp......................... 489,844 ---------- The accompanying notes are an integral part of the financial statements. 24 [LOGO OF NUMERIC INVESTORS] Mid Cap Fund Portfolio of Investments (continued) August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Pharmaceuticals--1.8% 1,600 Allergan, Inc. ....................................... $ 117,000 1,000 Andrx Corp.*/** ...................................... 87,000 1,800 Forest Laboratories, Inc.* ........................... 176,175 6,100 IVAX Corp.* .......................................... 211,213 5,700 Jones Pharma Inc. .................................... 203,775 ---------- 795,163 ---------- Publishing--0.5% 700 Dow Jones & Co., Inc. ................................ 43,794 1,900 Knight-Ridder, Inc.** ................................ 103,787 1,600 New York Times Co. (The), Class A .................... 62,700 ---------- 210,281 ---------- Radio--1.1% 2,100 Hispanic Broadcasting Corp.* ......................... 53,944 16,400 Westwood One, Inc.* .................................. 456,125 ---------- 510,069 ---------- Restaurants--0.6% 15,200 Darden Restaurants, Inc. ............................. 268,850 ---------- Retail - Department Stores--1.4% ..................... 5,900 BJ's Wholesale Club, Inc.* ........................... 199,863 13,600 Sears, Roebuck & Co. ................................. 424,150 ---------- 624,013 ---------- Retail - Discount Stores--1.3% 14,400 Dollar Tree Stores, Inc.* ............................ 584,100 ---------- Retail - Jewelry Stores--0.2% 2,100 Zale Corp.* .......................................... 77,569 ---------- Retail - Specialty--0.9% 3,600 Bed Bath & Beyond, Inc.* ............................. 63,225 8,300 Michaels Stores, Inc.*/** ............................ 290,500 1,800 Williams-Sonoma, Inc.* ............................... 64,688 ---------- 418,413 ---------- Retail - Specialty Apparel--0.2% 3,800 Limited, Inc. (The) .................................. 76,000 ---------- Savings & Loan Associations--2.5% .................... 2,000 Astoria Financial Corp. .............................. 70,250 5,500 Golden State Bancorp Inc. ............................ 110,688 17,600 GreenPoint Financial Corp. ........................... 459,800 13,800 Washington Mutual, Inc. .............................. 483,000 ---------- 1,123,738 ---------- Semiconductors--4.3% 2,800 Altera Corp.* ........................................ $ 181,475 700 Analog Devices, Inc.* ................................ 70,350 10,600 Cypress Semiconductor Corp.* ......................... 524,038 700 Elantec Semiconductor, Inc* .......................... 61,950 9,600 Fairchild Semiconductor Corp., Class A*/** ........................................ 381,600 2,600 Integrated Device Technology, Inc.* .................. 228,150 3,700 Lattice Semiconductor Corp.* ......................... 288,138 3,100 Varian Semiconductor Equipment Associates, Inc.* .................................. 177,088 ---------- 1,912,789 ---------- Services - Employment Agencies--1.5% 2,200 Manpower, Inc. ....................................... 79,613 18,800 Robert Half International Inc.* ...................... 598,075 ---------- 677,688 ---------- Services - Management Consulting--0.2% 3,100 TeleTech Holdings, Inc.* ............................. 101,138 ---------- Steel--0.2% 5,900 USX-U.S. Steel Group** ............................... 102,513 ---------- Telecommunications Equipment--5.7% 1,900 ADTRAN, Inc.* ........................................ 101,769 1,500 CIENA Corp.* ......................................... 332,531 3,400 Digital Lightwave, Inc* .............................. 298,350 5,100 Ditech Communications Corp.* ......................... 300,900 7,800 Finisar Corp.*/** .................................... 361,725 3,700 Focal Communications Corp.* .......................... 114,469 2,865 GlobeSpan, Inc.*/** .................................. 345,053 500 New Focus, Inc.* ..................................... 69,031 1,200 Polycom, Inc.* ....................................... 134,850 1,300 Tollgrade Communications, Inc.* ...................... 144,544 13,200 UTStarcom, Inc.* ..................................... 315,150 ---------- 2,518,372 ---------- Tobacco--0.4% 5,500 Philip Morris Companies, Inc. ........................ 162,937 ---------- Utilities--9.4% 2,200 Calpine Corp.* ....................................... 217,800 6,600 El Paso Energy Corp. ................................. 384,450 5,700 Energy East Corp. .................................... 129,319 8,800 Entergy Corp. ........................................ 267,850 9,500 FirstEnergy Corp. .................................... 235,125 3,200 FPL Group, Inc. ...................................... 170,800 The accompanying notes are an integral part of the financial statements. 25 [LOGO OF NUMERIC INVESTORS] Mid Cap Fund Portfolio of Investments (concluded) August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Utilities--(continued) 19,200 KeySpan Corp. ....................................... $ 661,200 17,900 MDU Resources Group Inc. ............................ 447,500 2,800 NICOR Inc. .......................................... 103,250 14,100 PPL Corp. ........................................... 472,350 3,700 Public Service Enterprise Group Inc. ................ 134,125 22,700 Sempra Energy ....................................... 442,650 14,100 TXU Corp. ........................................... 492,619 ----------- 4,159,038 ----------- Wholesale - Distribution--0.7% 6,300 Tech Data Corp.* .................................... 325,238 ----------- Wholesale - Groceries & General Line--1.4% 13,800 Kroger Co. (The)* ................................... 313,087 1,700 Safeway Inc.* ....................................... 83,831 14,500 SUPERVALU INC. ...................................... 216,594 ----------- 613,512 ----------- Total Common Stocks (Cost $40,411,047) ................................ 43,671,635 ----------- - -------------------------------------------------------------------------------- PRINCIPAL VALUE AMOUNT (000's) (NOTE 1) - -------------------------------------------------------------------------------- Repurchase Agreement--0.7% $ 327 Bear, Stearns & Co. Inc. (Agreement dated 08/31/00 to be repurchased at $326,665) 6.62%, 09/01/00 (Cost $326,605) (Note 6) .......................... $ 326,605 ----------- Total Investments-- 99.0% (Cost $40,737,652) ................................ 43,998,240 ----------- Other Assets in Excess of Liabilities-- 1.0% ................................ 431,923 ----------- Net Assets-- 100.0% ................................. $44,430,163 =========== - ------------------ * Non-income producing. ** Security or a portion thereof is out on loan. The accompanying notes are an integral part of the financial statements. 26 [LOGO OF NUMERIC INVESTORS] Small Cap Value Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Common Stocks--95.5% Advertising--0.3% 1,100 ADVO, Inc.*....................................... $ 45,031 ---------- Aerospace--1.1% 1,100 Alliant Techsystems Inc.*......................... 84,769 7,000 GenCorp, Inc...................................... 51,187 300 Litton Industries, Inc.*.......................... 16,594 ---------- 152,550 ---------- Amusement & Recreational Services--1.2% 4,800 Polaris Industries Inc............................ 163,800 ---------- Apparel--0.3% 1,600 Kellwood Co....................................... 25,600 1,000 Tommy Hilfiger Corp.*............................. 10,875 ---------- 36,475 ---------- Automobile Parts & Equipment--1.3% 1,300 American Axle & Manufacturing Holdings, Inc.*................................. 18,687 1,900 ArvinMeritor, Inc................................. 31,350 400 BorgWarner, Inc................................... 13,750 4,600 Dura Automotive Systems, Inc.*.................... 49,450 2,700 Lear Corp.*....................................... 58,219 ---------- 171,456 ---------- Automobile Rentals--1.3% 1,100 Avis Group Holdings, Inc.*........................ 33,825 3,900 Dollar Thrifty Automotive Group, Inc.*............ 88,237 1,700 Hertz Corp. (The), Class A........................ 52,062 ---------- 174,124 ---------- Banks--9.0% 3,400 BancWest Corp..................................... 60,137 6,000 Banknorth Group, Inc.............................. 98,250 3,100 Bank United Corp., Class A........................ 139,500 2,800 GBC Bancorp....................................... 106,050 2,700 Hamilton Bancorp, Inc.*........................... 40,162 13,100 Hibernia Corp., Class A........................... 164,569 7,120 Hudson United Bancorp............................. 179,335 3,500 Imperial Bancorp*/**.............................. 76,125 5,600 National Commerce Bancorp......................... 108,150 4,000 TCF Financial Corp................................ 131,250 3,400 Westamerica Bancorp............................... 103,062 ---------- 1,206,590 ---------- Beverages--0.4% 1,100 Canandaigua Brands, Inc., Class A *............... 59,262 ---------- Brokerage--0.3% 1,600 Tucker Anthony Sutro Corp.**...................... 37,700 ---------- Building Supplies--2.3% 4,200 Butler Manufacturing Co........................... 93,187 7,000 Hughes Supply, Inc................................ 149,100 1,700 Lafarge Corp...................................... 41,437 600 USG Corp.......................................... 19,312 ---------- 303,036 ---------- Business Services--0.6% 1,800 Eaton Vance Corp.................................. 87,187 ---------- Chemicals - Diversified--2.0% 8,500 Olin Corp......................................... 140,250 4,500 Solutia Inc....................................... 67,781 4,700 Wellman, Inc...................................... 56,694 ---------- 264,725 ---------- Chemicals - Specialty--1.2% 800 Cytec Industries Inc.*............................ 26,700 4,000 Engelhard Corp.................................... 75,000 7,600 W.R. Grace & Co.*................................. 60,325 ---------- 162,025 ---------- Computer Networking Products--0.7% 500 Black Box Corp.*.................................. 29,750 5,200 Quantum Corp-DLT & Storage*....................... 70,525 ---------- 100,275 ---------- Computer Services--0.3% 2,000 Pomeroy Computer Resources, Inc.*................. 46,500 ---------- Consumer Products--0.5% 3,900 Polaroid Corp..................................... 66,300 ---------- Electrical Equipment--2.7% 5,800 AMETEK, Inc.**.................................... 123,975 18,200 General Cable Corp................................ 152,425 2,500 Hubbell, Inc., Class B............................ 64,687 3,000 SLI, Inc.......................................... 28,875 ---------- 369,962 ---------- The accompanying notes are an integral part of the financial statements. 27 [LOGO OF NUMERIC INVESTORS] Small Cap Value Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Electronic Components & Accessories--3.1% 1,800 CTS Corp.......................................... $ 92,362 5,400 General Semiconductor, Inc.*/**................... 78,638 2,400 Jaco Electronics, Inc.*........................... 43,837 3,200 Park Electrochemical Corp......................... 128,600 2,400 Pioneer-Standard Electronics, Inc.**.............. 32,850 300 Technitrol, Inc................................... 38,250 ---------- 414,537 ---------- Energy--0.9% 5,700 Questar Corp...................................... 123,619 ---------- Engines--0.9% 2,800 Briggs & Stratton Corp............................ 121,100 ---------- Financial Services--5.1% 2,200 Advanta Corp., Class A **......................... 28,600 2,600 Deluxe Corp....................................... 57,200 8,400 Doral Financial Corp.............................. 124,950 2,400 Federated Investors, Inc., Class B................ 56,250 6,400 Heller Financial, Inc............................. 159,200 3,100 John Nuveen Co.(The), Class A **.................. 140,662 2,300 LaBranche & Co., Inc.*............................ 69,287 1,400 Southwest Securities Group, Inc.**................ 46,462 ---------- 682,611 ---------- Food & Agriculture--3.5% 3,100 Dean Foods Co..................................... 96,875 3,800 Dole Food Co., Inc................................ 53,675 5,800 International Multifoods Corp..................... 94,612 4,700 Interstate Bakeries Corp.......................... 84,306 5,900 Michael Foods, Inc................................ 140,125 ---------- 469,593 ---------- Footwear--0.9% 1,700 Footstar, Inc.*................................... 50,575 5,500 Steven Madden, Ltd.*/**........................... 67,719 ---------- 118,294 ---------- Generic Pharmaceuticals & Distribution--0.3% 1,400 Bindley Western Industries, Inc.**................ 40,338 ---------- Health Care--0.7% 1,800 Foundation Health Systems, Inc.*.................. 31,612 1,200 PacifiCare Health Systems, Inc.*.................. 64,725 ---------- 96,337 ---------- Household Products--0.8% 3,200 Libbey Inc........................................ 105,000 ---------- Industrial Machinery--0.5% 3,700 Terex Corp.*...................................... 67,756 ---------- Insurance--1.1% 6,300 Old Republic International Corp................... 150,806 ---------- Insurance - Financial Guarantee--1.8% 1,550 PMI Group, Inc. (The)............................. 96,100 2,300 Radian Group Inc.................................. 142,887 ---------- 238,987 ---------- Insurance - Health & Life--1.5% 1,500 AmerUs Life Holdings, Inc., Class A **............ 37,031 4,200 Nationwide Financial Services, Inc., Class A......................................... 167,475 ---------- 204,506 ---------- Insurance - Property & Casualty--1.9% 4,100 Commerce Group, Inc. (The)........................ 106,600 3,800 FPIC Insurance Group, Inc.*/**.................... 57,712 3,800 LandAmerica Financial Group, Inc.**............... 96,662 ---------- 260,974 ---------- Leisure & Entertainment--1.9% 500 Anchor Gaming *................................... 36,625 8,200 Brunswick Corp.................................... 153,750 4,400 Isle of Capri Casinos, Inc.*...................... 68,750 ---------- 259,125 ---------- Machinery--4.7% 7,200 Flowserve Corp.................................... 133,200 4,400 Graco Inc......................................... 155,925 9,400 JLG Industries, Inc............................... 108,687 10,700 Milacron Inc..................................... 165,181 1,900 United Dominion Industries Ltd.**................. 30,519 700 Zebra Technologies Corp., Class A*................ 37,800 ---------- 631,312 ---------- Manufacturing--1.4% 400 Coorstek, Inc.*................................... 18,750 1,100 Harsco Corp....................................... 30,594 3,000 Pentair, Inc.**................................... 97,500 1,300 Teleflex, Inc..................................... 46,313 ---------- 193,157 ---------- The accompanying notes are an integral part of the financial statement. 28 [LOGO OF NUMERIC INVESTORS] Small Cap Value Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Medical Instruments & Supplies--2.2% 1,700 Beckman Coulter, Inc.............................. $ 129,413 1,500 DENTSPLY International Inc....................... 50,063 3,100 Invacare Corp..................................... 83,506 600 Mallinckrodt Inc.................................. 27,038 ---------- 290,020 ---------- Metal Fabricating--0.4% 2,700 Quanex Corp.**.................................... 50,456 ---------- Office & Business Equipment--0.6% 2,700 United Stationers Inc.*/**........................ 87,581 ---------- Oil & Gas Field Exploration--1.7% 3,700 Comstock Resources, Inc.*/**...................... 36,769 1,400 Houston Exploration Co.(The) */**................. 36,225 1,000 HS Resources, Inc.*............................... 31,688 1,100 Offshore Logistics, Inc.*......................... 19,113 1,400 St. Mary Land & Exploration Co.................... 57,925 3,200 Trico Marine Services, Inc.*...................... 46,400 ---------- 228,120 ---------- Oil Refining--0.4% 2,300 Ultramar Diamond Shamrock Corp.................... 53,906 ---------- Paper & Allied Products--0.4% 3,800 Schweitzer-Mauduit International, Inc............. 55,100 ---------- Residential Construction--8.0% 8,600 Del Webb Corp.*................................... 192,425 10,000 D.R. Horton, Inc.................................. 196,250 6,900 Kaufman and Broad Home Corp....................... 171,206 5,700 M.D.C. Holdings, Inc.............................. 142,856 1,400 Pulte Corp........................................ 46,113 5,600 Ryland Group, Inc. (The)**........................ 137,550 11,400 Standard Pacific Corp............................. 187,388 ---------- 1,073,788 ---------- Restaurants--0.8% 4,800 Landry's Seafood Restaurants, Inc................. 37,800 3,000 Ryan's Family Steak Houses, Inc.*................. 24,375 2,300 Wendy's International, Inc.**..................... 43,413 ---------- 105,588 Retail - Specialty--1.5% 7,900 Blockbuster Inc., Class A......................... 74,063 9,500 Haverty Furniture Co., Inc........................ 109,844 2,100 Musicland Stores Corp.*........................... 14,963 ---------- 198,870 ---------- Retail - Specialty Apparel--1.3% 2,300 Fossil, Inc.*..................................... 40,106 1,500 Payless ShoeSource, Inc.*......................... 80,063 2,800 Wilsons, The Leather Experts, Inc.*............... 57,050 ---------- 177,219 ---------- Savings & Loan Associations--4.5% 4,700 Astoria Financial Corp............................ 165,088 5,000 Dime Bancorp, Inc................................. 91,875 5,500 Downey Financial Corp............................. 184,250 2,400 Golden State Bancorp Inc.......................... 48,300 1,100 GreenPoint Financial Corp......................... 28,738 7,400 Sovereign Bancorp, Inc............................ 62,900 1,200 Webster Financial Corp.**......................... 29,588 ---------- 610,739 ---------- Semiconductors--1.0% 4,400 ESS Technology, Inc.*............................. 76,175 4,200 Semitool, Inc.*................................... 52,763 ---------- 128,938 ---------- Steel--1.6% 14,100 AK Steel Holding Corp............................. 153,338 3,800 USX-U.S. Steel Group **........................... 66,025 ---------- 219,363 ---------- Tobacco--1.3% 6,700 Universal Corp.................................... 173,363 ---------- Transportation--2.6% 3,500 American Freightways Corp *....................... 57,531 5,000 Arkansas Best Corp.*.............................. 75,313 2,500 CNF Transportation Inc............................ 61,250 2,000 GATX Corp......................................... 81,375 4,900 Yellow Corp.*..................................... 74,725 ---------- 350,194 ---------- Trucks - Rental Services--0.7% 5,200 Ryder System, Inc.**.............................. 99,775 ---------- The accompanying notes are an integral part of the financial statements. 29 [LOGO OF NUMERIC INVESTORS] Small Cap Value Fund Portfolio of Investments August 31, 2000 - -------------------------------------------------------------------------------- VALUE Shares (NOTE 1) - -------------------------------------------------------------------------------- Utilities--9.1% 3,800 ALLETE............................................ $ 84,313 1,900 Atmos Energy Corp................................. 39,425 9,400 Conectiv.......................................... 166,850 4,800 Energen Corp...................................... 124,500 3,300 Energy East Corp.................................. 74,869 3,800 MDU Resources Group, Inc.......................... 95,000 2,000 NICOR Inc......................................... 73,750 3,100 NUI Corp.......................................... 93,194 5,000 ONEOK, Inc........................................ 159,688 8,600 Public Service Co. of New Mexico.................. 183,825 1,700 RGS Energy Group Inc.**........................... 42,288 3,200 UtiliCorp United, Inc............................. 76,200 500 Western Resources, Inc............................ 10,000 ---------- 1,223,902 ---------- Wholesale - Drug Distribution--0.9% 1,700 AmeriSource Health Corp., Class A *............... 59,075 6,300 Bergen Brunswig Corp., Class A *.................. 59,063 ---------- 118,138 ---------- Total Common Stocks (Cost $11,499,783).............................. 12,870,110 ---------- - -------------------------------------------------------------------------------- PRINCIPAL VALUE AMOUNT (000'S) (NOTE 1) - -------------------------------------------------------------------------------- Repurchase Agreement--3.2% $ 438 Bear, Stearns & Co. Inc. (Agreement dated 08/31/00 to be repurchased at $437,843) 6.62%, 09/01/00 (Cost $437,762) (Note 6)........................ $ 437,762 ----------- Total Investments--98.7% (Cost $11,937,545).............................. 13,307,872 ----------- Other Assets in Excess of Liabilities--1.3%............................... 172,895 ----------- Net Assets--100.0%................................ $13,480,767 =========== - -------------- * Non-income producing. ** Security or a portion thereof is out on loan. The accompanying notes are an integral part of the financial statements. 30 [LOGO OF NUMERIC INVESTORS] Statements of Assets and Liabilities August 31, 2000
MICRO CAP GROWTH MID CAP SMALL CAP FUND FUND FUND VALUE FUND ------------ ----------- ----------- ----------- Assets Investments, at value (Cost - $109,993,827, $63,163,018, $40,737,652, $11,937,545, respectively) .................................... $133,537,835 $79,056,245 $43,998,240 $13,307,872 Cash collateral received for securities loaned (Note 5) ......................................... 2,187,324 1,238,230 365,475 69,769 Receivable for investments sold ..................... 1,787,365 965,330 2,377,618 377,613 Dividends and interest receivable ................... 35,272 26,705 55,416 29,545 Receivable for Fund shares sold ..................... -- 5,000 42,049 -- Receivable from investment adviser .................. -- -- -- 3,972 Prepaid expenses .................................... 9,514 -- 31,771 -- ------------ ----------- ----------- ----------- Total assets ..................................... 137,557,310 81,291,510 46,870,569 13,788,771 ------------ ----------- ----------- ----------- Liabilities Payable upon return of securities loaned (Note 5) ... 2,187,324 1,238,230 365,475 69,769 Payable for investments purchased ................... 749,533 450,507 2,023,839 226,920 Payable for Fund shares redeemed .................... -- 33,628 19,928 -- Accrued expenses and other liabilities .............. 87,394 48,813 31,164 11,315 ------------ ----------- ----------- ----------- Total liabilities ................................ 3,024,251 1,771,178 2,440,406 308,004 ------------ ----------- ----------- ----------- Net Assets Capital stock, $0.001 par value ..................... 6,409 3,356 2,311 1,045 Additional paid-in capital .......................... 82,325,565 42,013,035 34,482,417 12,263,068 Undistributed net investment income ................. -- -- 174,907 149,898 Accumulated net realized gain/(loss) from investments and futures transactions, if any ..... 28,657,077 21,610,714 6,509,940 (303,571) Net unrealized appreciation on investments .......... 23,544,008 15,893,227 3,260,588 1,370,327 ------------ ----------- ----------- ----------- Net assets applicable to shares outstanding ......... $134,533,059 $79,520,332 $44,430,163 $13,480,767 ============ =========== =========== =========== Shares outstanding ..................................... 6,408,939 3,356,493 2,311,295 1,044,582 ------------ ----------- ----------- ----------- Net asset value, offering and redemption price per share ........................................... $20.99 $23.69 $19.22 $12.91 ============ =========== =========== ===========
The accompanying notes are an integral part of the financial statements. 31 [LOGO OF NUMERIC INVESTORS] Statements of Operations For the Fiscal Year Ended August 31, 2000
MICRO CAP GROWTH MID CAP SMALL CAP VALUE FUND FUND FUND FUND ----------- ---------- ---------- --------------- Investment Income Dividends* ..................................... $ 201,012 $ 165,493 $ 523,854 $ 231,947 Interest ....................................... 238,548 93,174 77,969 3,004 Securities lending (Note 5) .................... 66,366 33,847 12,311 25,727 ----------- ----------- ----------- ---------- 505,926 292,514 614,134 260,678 ----------- ----------- ----------- ---------- Expenses Advisory fees .................................. 851,528 533,915 329,362 83,085 Co-Administration fees ......................... 198,721 124,697 96,956 80,538 Administrative services fees ................... 170,306 106,842 65,872 16,617 Transfer agent fees and expenses ............... 54,006 44,987 88,252 39,144 Printing ....................................... 62,003 36,606 64,996 5,017 Custodian fees and expenses .................... 41,561 23,869 14,674 4,457 Audit and legal fees ........................... 40,272 23,407 14,354 6,484 Federal and state registration fees ............ 20,755 22,791 17,174 9,340 Director's fees and expenses ................... 5,629 3,505 2,653 77 Other .......................................... 9,729 16,113 11,038 14,568 ----------- ----------- ----------- ---------- Total expenses before waivers and reimbursements, if any ................... 1,454,510 936,732 705,331 259,327 Less: waivers and reimbursements, if any .... (319,139) (224,451) (266,182) (148,547) ----------- ----------- ----------- ---------- Total expenses after waivers and reimbursements, if any ................... 1,135,371 712,281 439,149 110,780 ----------- ----------- ----------- ---------- Net Investment Income/(Loss) ................... (629,445) (419,767) 174,985 149,898 ----------- ----------- ----------- ---------- Net realized and unrealized gain on investments and futures transactions: Net realized gain/(loss) from: Investments ................................. 29,756,011 22,719,797 7,569,030 (194,892) Futures transactions ........................ (67,142) -- -- -- Net change in unrealized appreciation/ (depreciation) on investments ............... 20,300,544 11,738,071 3,549,311 1,637,027 ----------- ----------- ----------- ---------- Net realized and unrealized gain on investments and futures transactions, if any ............ 49,989,413 34,457,868 11,118,341 1,442,135 ----------- ----------- ----------- ---------- Net increase in net assets resulting from operations ................................ $49,359,968 $34,038,101 $11,293,326 $1,592,033 =========== =========== =========== ==========
- ------------------ * Net of foreign withholding taxes of $2,319, $312 and $561 for the Micro Cap Fund, Growth Fund and Small Cap Value Fund, respectively. The accompanying notes are an integral part of the financial statements. 32 [THIS PAGE INTENTIONALLY LEFT BLANK.] [LOGO OF NUMERIC INVESTORS] Statements of Changes in Net Assets
MICRO CAP GROWTH FUND FUND --------------------------------- --------------------------------- For the For the For the For the Fiscal Fiscal Fiscal Fiscal Year Ended Year Ended Year Ended Year Ended August 31, 2000 August 31, 1999 August 31, 2000 August 31, 1999 --------------- --------------- --------------- --------------- Increase in net assets resulting from operations: Net investment income/(loss) ..................... $ (629,445) $ (463,635) $ (419,767) $ (341,042) Net realized gain/(loss) from investments and futures transactions, if any .............. 29,688,869 18,229,148 22,719,797 3,454,997 Net change in unrealized appreciation/ (depreciation) on investments ................. 20,300,544 26,593,111 11,738,071 28,829,220 ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations .................................... 49,359,968 44,358,624 34,038,101 31,943,175 ------------ ------------ ------------ ------------ Dividends and distributions to shareholders from: Net investment income ............................ -- -- -- -- Net realized capital gains ....................... (18,272,210) (7,942,123) (1,484,633) (39,086) ------------ ------------ ------------ ------------ Total dividends and distributions to shareholders ................................... (18,272,210) (7,942,123) (1,484,633) (39,086) ------------ ------------ ------------ ------------ Increase/(decrease) in net assets derived from capital share transactions (Note 4) ......... 27,096,476 (59,334,109) (15,408,959) (47,367,810) ------------ ------------ ------------ ------------ Total increase/(decrease) in net assets .......... 58,184,234 (22,917,608) 17,144,509 (15,463,721) Net assets Beginning of period .............................. 76,348,825 99,266,433 62,375,823 77,839,544 ------------ ------------ ------------ ------------ End of period+ ................................... $134,533,059 $ 76,348,825 $ 79,520,332 $ 62,375,823 ============ ============ ============ ============
- ----------- * Commencement of operations. + Includes undistributed net investment income of $174,907 and $149,898 for the Mid Cap Fund and Small Cap Value Fund, respectively, for the fiscal year ended August 31, 2000. At August 31, 1999, the Mid Cap Fund and Small Cap Value Fund had undistributed net investment income of $82,539 and $87,010, respectively. The accompanying notes are an integral part of the financial statements. 34
MID CAP SMALL CAP VALUE FUND FUND --------------------------------- ------------------------------------ For the For the For the For the Period Fiscal Fiscal Fiscal November 30, 1998* Year Ended Year Ended Year Ended through August 31, 2000 August 31, 1999 August 31, 2000 August 31, 1999 --------------- --------------- --------------- --------------- Increase in net assets resulting from operations: Net investment income/(loss) ........................ $ 174,985 $ 274,601 $ 149,898 $ 87,010 Net realized gain/(loss) from investments and futures transactions, if any ................. 7,569,030 4,760,317 (194,892) 1,061,132 Net change in unrealized appreciation/ (depreciation) on investments .................... 3,549,311 29,753,292 1,637,027 (266,700) ------------ ------------ ----------- ----------- Net increase in net assets resulting from operations ....................................... 11,293,326 34,788,210 1,592,033 881,442 ------------ ------------ ----------- ----------- Dividends and distributions to shareholders from: Net investment income ............................... (82,617) (497,210) (87,010) -- Net realized capital gains .......................... (5,452,700) (10,970,699) (1,169,811) -- ------------ ------------ ----------- ----------- Total dividends and distributions to shareholders ... (5,535,317) (11,467,909) (1,256,821) -- ------------ ------------ ----------- ----------- Increase/(decrease) in net assets derived from capital share transactions (Note 4) ............ (10,483,627) (84,340,716) 1,647,265 10,616,848 ------------ ------------ ----------- ----------- Total increase/(decrease) in net assets ............. (4,725,618) (61,020,415) 1,982,477 11,498,290 Net assets Beginning of period ................................. 49,155,781 110,176,196 11,498,290 -- ------------ ------------ ----------- ----------- End of period+ ...................................... $ 44,430,163 $ 49,155,781 $13,480,767 $11,498,290 ============ ============ =========== ===========
35 [LOGO OF NUMERIC INVESTORS] Financial Highlights - -------------------------------------------------------------------------------- Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements. - --------------------------------------------------------------------------------
MICRO CAP FUND ------------------------------------------------------------------------------- For the Period For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996* Year Ended Year Ended Year Ended Year Ended through August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996 --------------- --------------- --------------- --------------- --------------- Per Share Operating Performance Net asset value, beginning of period ............... $ 18.03 $ 12.52 $ 18.47 $ 11.67 $ 12.00 -------- -------- ------- -------- ------- Net investment income/(loss) ....................... (0.10) (0.18) (0.07) (0.01) 0.01 Net realized and unrealized gain/(loss) on investments and futures transactions, if any .... 7.39 6.72 (3.23) 6.82 (0.34) -------- -------- ------- -------- ------- Net increase/(decrease) in net assets resulting from operations ....................... 7.29 6.54 (3.30) 6.81 (0.33) -------- -------- ------- -------- ------- Dividends and distributions to shareholders from: Net investment income .............................. -- -- -- (0.01) -- Net realized capital gains ......................... (4.33) (1.03) (2.65) -- -- -------- -------- ------- -------- ------- Total dividends and distributions to shareholders .. (4.33) (1.03) (2.65) (0.01) -- -------- -------- ------- -------- ------- Net asset value, end of period ..................... $ 20.99 $ 18.03 $ 12.52 $ 18.47 $ 11.67 ======== ======== ======= ======== ======= Total investment return/1/ ......................... 54.42% 56.09% (20.74)% 58.41% (2.75)% ======== ======== ======= ======== ======= Ratios/Supplemental Data Net assets, end of period (000's omitted) .......... $134,533 $ 76,349 $99,266 $142,119 $14,100 Ratio of expenses to average net assets/2/ ......... 1.00% 1.00% 1.00% 1.00% 1.00%(3) Ratio of expenses to average net assets without waivers and expense reimbursements, if any ...... 1.28% 1.26% 1.23% 1.45% 3.45%(3) Ratio of net investment income/(loss) to average net assets/2/ ........................... (0.55)% (0.46)% (0.41)% (0.06)% 0.73%(3) Portfolio turnover rate ............................ 297.08% 316.02% 408.70% 233.49% 42.92%
- ------------- * 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 reinvestments 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
GROWTH FUND ------------------------------------------------------------------------------- For the Period For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996* Year Ended Year Ended Year Ended Year Ended through August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996 --------------- --------------- --------------- --------------- --------------- Per Share Operating Performance Net asset value, beginning of period .............. $ 14.89 $ 9.75 $ 16.29 $ 11.84 $ 12.00 ------- ------- ------- -------- ------- Net investment income/(loss) ...................... (0.12) (0.18) (0.07) (0.04) 0.01 Net realized and unrealized gain/(loss) on investments and futures transactions, if any ... 9.29 5.33 (3.98) 4.50 (0.17) ------- ------- ------- -------- ------- Net increase/(decrease) in net assets resulting from operations ...................... 9.17 5.15 (4.05) 4.46 (0.16) ------- ------- ------- -------- ------- Dividends and distributions to shareholders from: Net investment income ............................. -- -- -- (0.01) -- Net realized capital gains ........................ (0.37) (0.01) (2.49) -- -- ------- ------- ------- -------- ------- Total dividends and distributions to shareholders .................................... (0.37) (0.01) (2.49) (0.01) -- ------- ------- ------- -------- ------- Net asset value, end of period .................... $ 23.69 $ 14.89 $ 9.75 $ 16.29 $ 11.84 ======= ======= ======= ======== ======= Total investment return/1/ ........................ 63.11% 52.80% (29.03)% 37.69% (1.33)% ======= ======= ======= ======== ======= Ratios/Supplemental Data Net assets, end of period (000's omitted) ......... $79,520 $62,376 $77,840 $117,724 $26,756 Ratio of expenses to average net assets/2/ ........ 1.00% 1.00% 1.00% 1.00% 1.00%(3) Ratio of expenses to average net assets without waivers and expense reimbursements, if any ..... 1.32% 1.30% 1.24% 1.40% 2.62%(3) Ratio of net investment income/(loss) to average net assets/2/ .......................... (0.59)% (0.45)% (0.50)% (0.38)% 0.71%(3) Portfolio turnover rate ........................... 228.69% 309.60% 338.40% 266.25% 19.21%
- ------------- * 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 reinvestments 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. 37 [LOGO OF NUMERIC INVESTORS] 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 Period For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996* Year Ended Year Ended Year Ended Year Ended through August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996 --------------- --------------- --------------- --------------- --------------- Per Share Operating Performance Net asset value, beginning of period ............ $ 16.89 $ 13.30 $ 17.16 $ 11.56 $12.00 ------- ------- -------- ------- ------ Net investment income ........................... 0.08 0.05 0.05 0.08 0.03 Net realized and unrealized gain/(loss) on investments and futures transactions, if any ....................................... 4.25 4.97 (1.24) 5.58 (0.47) ------- ------- -------- ------- ------ Net increase/(decrease) in net assets resulting from operations .............................. 4.33 5.02 (1.19) 5.66 (0.44) ------- ------- -------- ------- ------ Dividends and distributions to shareholders from: Net investment income ........................... (0.03) (0.06) (0.06) (0.06) -- Net realized capital gains ...................... (1.97) (1.37) (2.61) -- -- ------- ------- -------- ------- ------ Total dividends and distributions to shareholders .................................. (2.00) (1.43) (2.67) (0.06) -- ------- ------- -------- ------- ------ Net asset value, end of period .................. $ 19.22 $ 16.89 $ 13.30 $ 17.16 $11.56 ======= ======= ======== ======= ====== Total investment return/1/ ...................... 29.61% 41.61% (8.97)% 49.11% (3.67)% ======= ======= ======== ======= ====== Ratios/Supplemental Data Net assets, end of period (000's omitted) ....... $44,430 $49,156 $110,176 $52,491 $3,813 Ratio of expenses to average net assets/2/ ...... 1.00% 1.00% 1.00% 1.00% 1.00%(3) Ratio of expenses to average net assets without waivers and expense reimbursements, if any ... 1.61% 1.33% 1.26% 1.81% 8.98%(3) Ratio of net investment income to average net assets/2/ ................................ 0.40% 0.31% 0.36% 0.79% 1.89%(3) Portfolio turnover rate ......................... 378.17% 384.71% 341.73% 263.83% 5.25%
- ------------ * 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 reinvestments 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. 38
SMALL CAP VALUE FUND ------------------------------------ For the Period For the Fiscal November 30, 1998* Year Ended through August 31, 2000 August 31, 1999 --------------- ------------------ Per Share Operating Performance Net asset value, beginning of period ...................... $ 12.86 $ 12.00 ------- ------- Net investment income ..................................... 0.15 0.10 Net realized and unrealized gain/(loss) on investments and futures transactions, if any ........... 1.32 0.76 ------- ------- Net increase/(decrease) in net assets resulting from operations ........................................ 1.47 0.86 ------- ------- Dividends and distributions to shareholders from: Net investment income ..................................... (0.10) -- Net realized capital gains ................................ (1.32) -- ------- ------- Total dividends and distributions to shareholders ......... (1.42) -- ------- ------- Net asset value, end of period ............................ $ 12.91 $ 12.86 ======= ======= Total investment return/1/ ................................ 13.94% 7.17% ======= ======= Ratios/Supplemental Data Net assets, end of period (000's omitted) ................. $13,481 $11,498 Ratio of expenses to average net assets/2/ ................ 1.00% 1.00%(3) Ratio of expenses to average net assets without waivers and expense reimbursements, if any ............. 2.34% 2.59%(3) Ratio of net investment income to average net assets/2/ .......................................... 1.35% 1.15%(3) Portfolio turnover rate ................................... 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 reinvestments 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. 39 [LOGO OF NUMERIC INVESTORS] 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") (formerly known as n/i numeric investors Growth & Value Fund) and n/i numeric investors Small Cap Value Fund ("Small Cap Value Fund") (each a "Fund", collectively the "Funds"). At a Special Meeting of Shareholders held on May 15, 2000, the shareholders of the n/i numeric investors Larger Cap Value Fund (the "Larger Cap Value Fund"), a series of RBB, approved the liquidation and termination of the Larger Cap Value Fund pursuant to a Plan of Liquidation and Termination. As a result, the Larger Cap Value Fund was liquidated and its assets distributed to shareholders on May 25, 2000. RBB has authorized capital of thirty billion shares of common stock of which 19.88 billion are currently classified into ninety-seven classes. Each class represents an interest in one of fourteen investment portfolios of RBB. The classes have been grouped into fourteen separate "families," nine of which have begun investment operations. 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. 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 would, however, expose each Fund to possible loss because of adverse market action or delays in connection with the disposition of the underlying securities. 40 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued) 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 not directly attributable to a specific Fund are allocated based on relative net assets of each Fund. 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; and (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, 2000. 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. Dividends and Distributions -- Dividends from net investment income and distributions from net realized capital gains, if any will be declared 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. 41 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued) On October 26, 2000, the Funds paid dividends and distributions to shareholders of record on October 19, 2000 from the following sources:
CAPITAL GAINS ---------------------------------------------------- NET INVESTMENT INCOME SHORT-TERM LONG-TERM ----------------------- ----------------------- ----------------------- FUND PER SHARE AMOUNT PER SHARE AMOUNT PER SHARE AMOUNT - ---- --------- ------ --------- ----------- ----------- ---------- Micro Cap Fund..................... -- -- $4.4044 $28,101,243 $0.2093 $1,335,390 Growth Fund........................ -- -- 6.0988 20,443,284 0.4220 1,414,551 Mid Cap Fund....................... $0.0762 $174,969 3.0558 7,016,674 -- -- Small Cap Value Fund............... 0.1428 149,957 -- -- -- --
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. The Funds did not incur any post-October losses except for the Mid Cap and the Small Cap Value Funds, which incurred and elected to defer such losses of $231,497 and $63,917, respectively. At August 31, 2000, the Small Cap Value Fund had a capital loss carryforward of $197,384 which expires in 2008. 2. Transactions with Affiliates and Related Parties Numeric serves as each Fund's investment adviser. For its advisory services, Numeric is entitled to receive 0.75% of each Fund's average daily net assets, computed daily and payable monthly. The Adviser has voluntarily agreed to limit each Fund's total operating expenses until December 31, 2000 to the extent that such expenses exceed 1.00% of each Fund's average daily net assets. As necessary, this limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee. For the fiscal year ended August 31, 2000, investment advisory fees, waivers and reimbursements of expenses were as follows:
TOTAL NET EXPENSE FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT - ---- ------------- --------- ------------- ------------- Micro Cap Fund................................................... $851,528 $(160,187) $691,341 -- Growth Fund...................................................... 533,915 (125,333) 408,582 -- Mid Cap Fund..................................................... 329,362 (213,484) 115,878 -- Small Cap Value Fund............................................. 83,085 (75,193) 7,892 $4,558
The Funds will not pay Numeric at a later time for any amounts it may waive or any amounts, which Numeric has assumed. Effective January 1, 2001, Numeric is entitled to a performance-based fee for the Growth, Mid Cap and Small Cap Value Funds (advisory fees and expense limitations for the Micro Cap Fund will remain unchanged) 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 the Fund's 42 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued) performance during the last rolling 12-month period. The current fee of 0.75% would only increase if performance exceeds the predefined benchmark by 4.00% or more in a given 12-month period and would be less than the current fee if performance does not exceed the predefined benchmark by 3.00% in a given 12-month period. From January 1, 2001 through December 31, 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. PFPC Worldwide Inc. ("PFPC"), 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, 2000, 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.................................................. $141,953 $(11,354) $130,599 Growth Fund..................................................... 89,083 (6,521) 82,562 Mid Cap Fund.................................................... 74,999 -- 74,999 Small Cap Value Fund............................................ 74,999 (37,501) 37,498
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, 2000, transfer agency fees and waivers were as follows:
TOTAL NET TRANSFER AGENCY TRANSFER AGENCY FUND FEES WAIVERS FEES - ---- --------------- ------- --------------- Micro Cap Fund................................................... $54,006 -- $54,006 Growth Fund...................................................... 44,987 -- 44,987 Mid Cap Fund..................................................... 88,252 -- 88,252 Small Cap Value Fund............................................. 39,144 $(18,001) 21,143
Provident Distributors, Inc. ("PDI") provides certain administrative services to each Fund. As compensation for such administrative services, PDI is entitled to receive a monthly fee equal to an annual rate of 0.15% of each Fund's average daily net assets. 43 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued) PDI has, at its discretion, voluntarily agreed to waive a portion of its administrative service fees for each Fund. For the fiscal year ended August 31, 2000, administrative services fees and waivers were as follows:
TOTAL ADMINISTRATIVE NET ADMINISTRATIVE FUND SERVICES FEES WAIVERS SERVICES FEES - ---- -------------- --------- ------------------ Micro Cap Fund................................................... $170,306 $(147,598) $22,708 Growth Fund...................................................... 106,842 (92,597) 14,245 Mid Cap Fund..................................................... 65,872 (52,698) 13,174 Small Cap Value Fund............................................. 16,617 (13,294) 3,323
These fees are accrued daily and paid monthly. 3. Investment in Securities For U.S. federal income tax purposes, the costs of securities owned at August 31, 2000 were $110,772,753, $63,409,942, $41,012,834, and $11,979,815 for Micro Cap Fund, Growth Fund, Mid Cap Fund, and Small Cap Value Fund, respectively. Accordingly, the net unrealized appreciation of investments are as follows:
GROSS GROSS FUND APPRECIATION DEPRECIATION NET APPRECIATION - ---- ------------ ------------ ---------------- Micro Cap Fund................................................ $28,326,970 $(5,561,888) $22,765,082 Growth Fund................................................... 18,637,577 (2,991,274) 15,646,303 Mid Cap Fund.................................................. 4,436,201 (1,450,795) 2,985,406 Small Cap Value Fund.......................................... 1,556,287 (228,230) 1,328,057
For the fiscal year ended August 31, 2000, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
FUND PURCHASES SALES - ---- ------------ ------------ Micro Cap Fund................................................................... $335,270,530 $324,364,985 Growth Fund...................................................................... 158,081,265 176,654,699 Mid Cap Fund..................................................................... 161,234,370 176,919,577 Small Cap Value Fund............................................................. 27,864,153 27,438,976
44 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued) 4. Capital Share Transactions As of August 31, 2000 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, 2000 August 31, 1999 -------------------------- ------------------------ SHARES AMOUNT SHARES AMOUNT ----------- ------------ ----------- ------------ Sales......................................................... 2,541,464 $ 38,709,186 381,712 $ 6,008,613 Repurchases................................................... (1,712,324) (29,456,421) (4,714,604) (73,124,102) Reinvestments................................................. 1,344,665 17,843,711 636,739 7,781,380 ----------- ------------ ----------- ------------ Net increase/(decrease)....................................... 2,173,805 $ 27,096,476 (3,696,153) $(59,334,109) =========== ============ =========== ============ GROWTH FUND ---------------------------------------------------------- For the For the Fiscal Year Ended Fiscal Year Ended August 31, 2000 August 31, 1999 -------------------------- ------------------------ SHARES AMOUNT SHARES AMOUNT ----------- ------------ ----------- ------------ Sales......................................................... 720,389 $ 12,798,921 779,158 $ 9,139,659 Repurchases................................................... (1,655,639) (29,678,147) (4,573,587) (56,544,582) Reinvestments................................................. 101,679 1,470,267 3,862 37,113 ----------- ------------ ----------- ------------ Net decrease.................................................. (833,571) $(15,408,959) (3,790,567) $(47,367,810) =========== ============ =========== ============ MID CAP FUND ---------------------------------------------------------- For the For the Fiscal Year Ended Fiscal Year Ended August 31, 2000 August 31, 1999 -------------------------- ------------------------ SHARES AMOUNT SHARES AMOUNT ----------- ------------ ----------- ------------- Sales......................................................... 640,434 $ 10,359,270 927,772 $ 13,811,036 Repurchases................................................... (1,613,711) (26,213,267) (7,201,736) (109,304,768) Reinvestments................................................. 373,721 5,370,370 897,920 $ 11,153,016 ----------- ------------ ----------- ------------- Net decrease.................................................. (599,556) $(10,483,627) (5,376,044) $ (84,340,716) =========== ============ =========== =============
45 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (continued)
SMALL CAP VALUE FUND ------------------------------------------------------- For the Period For the November 30, 1998* Fiscal Year Ended through August 31, 2000 August 31, 1999 ---------------------- ------------------------ SHARES AMOUNT SHARES AMOUNT -------- ----------- --------- ----------- Sales............................................................ 132,220 $ 1,506,811 1,000,505 $11,856,127 Repurchases...................................................... (101,298) (1,110,995) (106,258) (1,239,279) Reinvestments.................................................... 119,413 1,251,449 -- -- -------- ----------- --------- ----------- Net increase..................................................... 150,335 $ 1,647,265 894,247 $10,616,848 ======== =========== ========= ===========
- ----------- * Commencement of operations. 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, 2000, were as follows:
Value of Fund Securities on Loan Value of collateral - ---- ------------------ ------------------- Micro Cap Fund.................................................... $23,602,950 $24,031,174 Growth Fund....................................................... 9,446,840 9,705,145 Mid Cap Fund...................................................... 1,517,667 1,540,850 Small Cap Value Fund.............................................. 702,094 715,616
Any cash collateral received is reinvested into repurchase agreements, which in turn are collateralized by various U.S. Treasury securities. 46 [LOGO OF NUMERIC INVESTORS] Micro Cap Fund Growth Fund Mid Cap Fund Small Cap Value Fund Notes to Financial Statements (concluded) 6. Collateral for Repurchase Agreements Listed below is the collateral associated with the repurchase agreements with Bear, Stearns & Co. Inc., outstanding at August 31, 2000:
MICRO CAP FUND -------------------------------------------------------- Principal Amount Total Issuer (000's) Yield Maturity Market Value - ----- ---------------- ------- -------- ------------ United States Treasury Bill .................................. $ 55 5.92% 11/02/00 $ 54,409 ============ GROWTH FUND -------------------------------------------------------- Principal Amount Total Issuer (000's) Yield Maturity Market Value - ----- ---------------- ------- -------- ------------ United States Treasury Strip, Principal Only ................. $5,730 6.62% 02/15/27 $1,269,539 ============ MID CAP FUND -------------------------------------------------------- Principal Amount Total Issuer (000's) Yield Maturity Market Value - ----- ---------------- ------- -------- ------------ United States Treasury Strip, Principal Only ................. $1,505 6.62% 02/15/27 $ 333,448 ============ SMALL CAP VALUE FUND -------------------------------------------------------- Principal Amount Total Issuer (000's) Yield Maturity Market Value - ----- ---------------- ------- -------- ------------ United States Treasury Strip, Principal Only ................. $2,020 6.62% 02/15/27 $ 447,551 ============
7. Reclassifications 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, 2000, the following Funds recorded reclassifications that increase/(decrease) the accounts listed below:
NET INVESTMENT ACCUMULATED NET REALIZED Fund LOSS GAINS FROM INVESTMENTS - ---- -------------- ------------------------ Micro Cap Fund ..................................................... $629,445 $(629,445) Growth Fund ........................................................ 419,767 (419,767)
47 [LOGO OF NUMERIC INVESTORS] 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") at August 31, 2000, the results of each of their operations for the year then ended, and the changes in each of their net assets and the financial highlights for each of the periods presented, 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, 2000 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Two Commerce Square Philadelphia, Pennsylvania October 20, 2000 48 [LOGO OF NUMERIC INVESTORS] 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, 2000) 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, 2000, 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........................................................... -- $4.0470 $0.2846 Growth Fund.............................................................. -- 0.3646 -- Mid Cap Fund............................................................. $0.0298 1.9668 -- Small Cap Value Fund..................................................... 0.0979 1.3165 --
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 1.73%, 100.00%, 3.71% and 28.08% respectively. These amounts were reported to shareholders as income in 1999. Because each Fund's fiscal year is not the calendar year, another notification will be sent with respect to calendar year 2000. 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 2001. 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. 49 [THIS PAGE INTENTIONALLY LEFT BLANK.] [LOGO OF NUMERIC INVESTORS] 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 Provident Distributors, Inc. 320 Horizons 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, Suite 1700 2001 Market Street 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. [LOGO OF NUMERIC INVESTORS] --------------------- One Memorial Drive FIRST CLASS MAIL Cambridge, MA 02142 U.S. POSTAGE PAID LANCASTER, PA 1-800-numeric [686-3742] PERMIT NO. 1793 http://www.numeric.com --------------------- [LOGO OF NUMERIC INVESTORS] n/i numeric investors Micro Cap Fund n/i numeric investors Growth Fund n/i numeric investors Mid Cap Fund n/i numeric investors Small Cap Value Fund Annual Report August 31, 2000 -----END PRIVACY-ENHANCED MESSAGE-----