-----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, EENc/qH+ynAg3z5froXiRdTY543nljWsbwBkOdFvkzTNzPsaOaXdV7pEeZrlGV15 XX97YqzAC/r/fdyVZM9TjQ== 0000950123-10-041184.txt : 20100430 0000950123-10-041184.hdr.sgml : 20100430 20100430084856 ACCESSION NUMBER: 0000950123-10-041184 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20100228 FILED AS OF DATE: 20100430 DATE AS OF CHANGE: 20100430 EFFECTIVENESS DATE: 20100430 FILER: COMPANY DATA: COMPANY CONFORMED NAME: RBB FUND INC CENTRAL INDEX KEY: 0000831114 IRS NUMBER: 510312196 STATE OF INCORPORATION: MD FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-05518 FILM NUMBER: 10784094 BUSINESS ADDRESS: STREET 1: 400 BELLEVUE PKWY STE 100 CITY: WILMINGTON STATE: DE ZIP: 19809 BUSINESS PHONE: 3027911700 MAIL ADDRESS: STREET 1: 400 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 0000831114 S000001093 RBB MONEY MARKET PORTFOLIO C000002980 BEDFORD BDMXX C000002981 SANSOM SANXX 0000831114 S000001094 ROBECO BP SMALL CAP VALUE II C000002982 INSTITUTIONAL BPSIX C000002983 INVESTOR BPSCX 0000831114 S000001097 ROBECO WPG SMALL CAP VALUE FUND C000002987 INSTITUTIONAL WPGTX 0000831114 S000001098 SENBANC FUND C000002988 SENBANC FUND SENBX 0000831114 S000001099 SCHNEIDER SMALL CAP VALUE FUND C000002989 SCHNEIDER SMALL CAP VALUE FUND SCMVX 0000831114 S000001100 SCHNEIDER VALUE FUND C000002990 SCHNEIDER VALUE FUND SCMLX 0000831114 S000001101 BOGLE SMALL CAP GROWTH C000002991 INSTITUTIONAL BOGIX C000002992 INVESTOR BOGLX 0000831114 S000001106 ROBECO BP ALL-CAP VALUE FUND C000002997 INSTITUTIONAL BPAIX C000002998 INVESTOR BPAVX 0000831114 S000001108 ROBECO BP LONG/SHORT EQUITY FUND C000003001 INSTITUTIONAL BPLSX C000003002 INVESTOR BPLEX 0000831114 S000001109 ROBECO BP MID CAP VALUE FUND C000003003 INSTITUTIONAL BPMIX C000003004 INVESTOR BPMCX 0000831114 S000013665 Bear Stearns CUFS MLP Mortgage Portfolio C000037423 Bear Stearns CUFS MLP Mortgage Portfolio 0000831114 S000015913 Marvin & Palmer Large Cap Growth Fund C000043700 Marvin & Palmer Large Cap Growth Fund MPAUX 0000831114 S000018555 Free Market U.S. Equity Fund C000051460 Institutional Class 0000831114 S000018556 Free Market International Equity Fund C000051461 Institutional Class 0000831114 S000018557 Free Market Fixed Income Fund C000051462 Institutional Class 0000831114 S000019098 SAM Sustainable Water Fund C000052814 INSTITUTIONAL C000052815 INVESTOR C000052817 CLASS C 0000831114 S000019099 SAM Sustainable Climate Fund C000052818 INSTITUTIONAL C000052819 INVESTOR C000052820 CLASS A C000052821 CLASS C 0000831114 S000025304 SAM Sustainable Global Active Fund C000075423 Institutional C000075424 Investor 0000831114 S000025305 SAM Sustainable Themes Fund C000075425 Institutional C000075426 Investor 0000831114 S000026538 Perimeter Small Cap Growth Fund C000079687 Investor Class C000079688 I Shares N-CSRS 1 p17506nvcsrs.txt N-CSRS UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-05518 The RBB Fund, Inc. (Exact name of registrant as specified in charter) 103 Bellevue Parkway, 4th Floor Wilmington, DE 19809 (Address of principal executive offices) (Zip code) Salvatore Faia 103 Bellevue Parkway, 4th Floor Wilmington, DE 19809 (Name and address of agent for service) Registrant's telephone number, including area code: 302-791-2670 Date of fiscal year end: August 31 Date of reporting period: February 28, 2010 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The Report to Shareholders is attached herewith. (BEAR STEARNS LOGO) BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO OF THE RBB FUND, INC. SEMI ANNUAL REPORT February 28, 2010 (Unaudited) This report is submitted for the general information of the shareholders of the Portfolio. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolio. BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PERFORMANCE DATA FEBRUARY 28, 2010 (UNAUDITED) TOTAL RETURNS AS OF FEBRUARY 28, 2010
Average Annual Total Returns Six-Month 1 Year Since Inception* --------- ------ ---------------- Bear Stearns CUFS(R) MLP Mortgage Portfolio (1) 7.19% 23.71% -0.94% Barclay's Capital U.S. Treasury Bills 1 to 3 Month Index (2) 0.07% 0.22% 2.41% 1 Month LIBOR (3) 0.39% 0.84% 2.85%
PERFORMANCE QUOTED IS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS QUOTED ABOVE. CALL CUFS(R) AT 1-800-519-CUFS (2837) FOR RETURNS CURRENT TO THE MOST RECENT MONTH-END. THE PORTFOLIO'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 0.88%. THE PERFORMANCE DATA REFLECTS FEE WAIVERS AND EXPENSE REIMBURSEMENTS. THE RETURNS WOULD HAVE BEEN LOWER IF THESE WAIVERS AND EXPENSE REIMBURSEMENTS WERE NOT IN EFFECT. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. - ---------- * The inception date of the Portfolio was December 19, 2006. (1) Net of fees and expenses. (2) The Barclay's Capital U.S. Treasury Bills 1-3 Month Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. It is not possible to invest directly in an index. (3) The 1-Month LIBOR is a constant maturity index of the London Interbank Offering Rate established to reflect the total return of the 1-Month LIBOR rate. Source: Merrill Lynch. 1 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO FUND EXPENSE EXAMPLE (UNAUDITED) As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Portfolio expenses. The example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 that was invested at the beginning of the period from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if any transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 PERIOD* ----------------------- -------------------- --------------------- Actual $1,000.00 $1,071.90 $3.54 Hypothetical (5% return before expenses) 1,000.00 1,021.13 3.46
- ---------- * Expenses are equal to the Portfolio's annualized six-month expense ratio of 0.69%, which includes waived fees or reimbursed expenses, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Portfolio's ending account value on the first line is based on the actual six-month total return of 7.19%. 2 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% OF NET SECURITY TYPE/INDUSTRY CLASSIFICATION ASSETS VALUE - ------------------------------------- -------- ------------ GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 65.4% $ 78,531,158 COLLATERALIZED MORTGAGE OBLIGATIONS 32.8 39,414,172 MORTGAGE DERIVATIVES 14.3 17,201,962 U.S. TREASURY OBLIGATIONS 0.3 403,328 LIABILITIES IN EXCESS OF OTHER ASSETS (12.8) (15,408,692) ----- ------------ NET ASSETS 100.0% $120,141,928 ===== ============
- ---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 3 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- --------- ----------- GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES--65.4% FEDERAL HOME LOAN MORTGAGE CORPORATION--26.3% 5.000% 05/01/18 Aaa/AAA $ 1,280 $ 1,359,756 5.000% 09/01/19 Aaa/AAA 1,882 2,003,114 5.000% 09/01/20 Aaa/AAA 2,523 2,683,993 4.500% 11/01/20 Aaa/AAA 1,136 1,198,624 4.500% 06/01/21 Aaa/AAA 1,848 1,945,052 4.500% 12/01/21 Aaa/AAA 1,655 1,745,437 4.500% 08/01/22 Aaa/AAA 2,527 2,665,959 4.500% 08/01/22 Aaa/AAA 3,262 3,432,801 5.902% 08/01/36 (a) Aaa/AAA 4,388 4,516,837 5.967% 09/01/36 (a) Aaa/AAA 2,981 3,100,859 5.835% 11/01/36 (a) Aaa/AAA 2,471 2,554,293 5.809% 08/01/37 (a) Aaa/AAA 4,155 4,318,344 ------------ 31,525,069 ------------ FEDERAL NATIONAL MORTGAGE ASSOCIATION--39.1% 5.000% 06/01/18 Aaa/AAA 2,055 2,168,144 5.000% 02/01/19 Aaa/AAA 2,002 2,112,997 5.000% 04/01/19 Aaa/AAA 1,228 1,306,087 5.000% 07/01/19 Aaa/AAA 1,556 1,654,768 4.500% 03/01/20 Aaa/AAA 3,270 3,448,213 5.000% 04/01/21 Aaa/AAA 1,904 2,015,751 2.169% 12/01/34 (a) Aaa/AAA 3,749 3,857,548 6.029% 10/01/36 (a) Aaa/AAA 2,233 2,333,797 6.066% 10/01/36 (a) Aaa/AAA 1,244 1,300,807 5.500% 12/01/36 Aaa/AAA 392 413,239 5.931% 12/01/36 (a) Aaa/AAA 1,499 1,572,198 5.512% 09/01/37 (a) Aaa/AAA 2,152 2,243,790 4.500% 03/01/39 TBA Aaa/AAA 22,300 22,578,750 ------------ 47,006,089 ------------ TOTAL GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (Cost $77,344,093)................... 78,531,158 ------------ MORTGAGE DERIVATIVES--14.3% FANNIE MAE (IO)--9.9% 4.500% 12/01/18 Aaa/AAA 5,496 558,332 4.500% 01/01/19 Aaa/AAA 5,445 533,723 4.500% 03/01/20 Aaa/AAA 1,948 197,632 4.500% 03/01/20 Aaa/AAA 2,024 205,060 5.500% 05/25/23 Aaa/AAA 1,592 246,167 5.500% 12/25/24 Aaa/AAA 5,448 553,799 5.500% 07/25/28 Aaa/AAA 7,450 132,740 5.500% 10/25/31 Aaa/AAA 13,511 1,300,640 7.621% 04/25/32 (a) Aaa/AAA 2,701 427,117 6.821% 09/25/32 (a) Aaa/AAA 4,396 511,349 5.000% 10/01/33 Aaa/AAA 7,741 1,576,011 5.000% 12/01/33 Aaa/AAA 2,475 503,558 5.000% 12/01/33 (a) Aaa/AAA 1,488 257,098 5.000% 08/01/34 Aaa/AAA 2,563 563,460 5.500% 04/01/36 Aaa/AAA 5,764 893,933 5.500% 04/01/36 Aaa/AAA 9,156 1,733,185 7.071% 08/25/36 (a) Aaa/AAA 4,998 416,006 5.000% 10/01/36 Aaa/AAA 6,548 1,304,982 ------------ 11,914,792 ------------
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- --------- ------------ MORTGAGE DERIVATIVES--(CONTINUED) FANNIE MAE (PO)--0.6% 5.500% 06/25/36 Aaa/AAA $ 865 $ 765,752 ------------ FREDDIE MAC (IO)--1.7% 5.500% 07/15/16 Aaa/AAA 1,017 52,844 6.921% 02/25/32 (a) Aaa/AAA 4,585 465,871 6.254% 06/15/36 (a) Aaa/AAA 2,703 216,472 6.349% 09/15/36 (a) Aaa/AAA 5,042 630,335 6.419% 11/15/36 (a) Aaa/AAA 5,050 636,927 ------------ 2,002,449 ------------ FREDDIE MAC (PO)--1.2% 4.000% 09/15/35 Aaa/AAA 908 774,474 5.896% 09/15/36 Aaa/AAA 760 689,945 ------------ 1,464,419 ------------ NON-AGENCY (IO)--0.9% CWALT Series 2006-43CB 6.000% 02/25/37 Cc /CCC 5,113 1,054,550 ------------ TOTAL MORTGAGE DERIVATIVES (Cost $17,478,779)................... 17,201,962 ------------ COLLATERALIZED MORTGAGE OBLIGATIONS--32.8% Banc of America Mortgage Securities, Inc. Series 2005-H (a) 4.789% 09/25/35 Bbb/A 2,000 1,645,456 Banc of America Mortgage Securities, Inc. Series 2006-B (a) 4.261% 10/20/46 Cc/CCC 2,709 1,824,697 Banc of America Mortgage Securities, Inc. Series 2007-3 6.000% 09/25/37 Ccc/CCC 3,915 3,154,468 Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8 (a) 5.862% 07/25/37 Caa2/BB 3,517 2,625,564 Countrywide Asset-Backed Certificates Series 2004-AB2 (a) 0.829% 05/25/36 Baa3/B- 500 65,431 Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-3 (a) 0.729% 04/25/18 Aaa/AAA 469 456,801 Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-HY1 (a) 5.631% 04/25/37 C/CC 2,024 411,771 CWALT Series 2006-43CB 6.000% 02/25/37 C/CC 865 667,618 CWALT Series 2006-HY13 (a) 5.860% 02/25/37 C/CC 9,869 2,402,353 CWALT Series 2006-J2 6.000% 04/25/36 Caa1/CC 5,987 4,644,417 CWALT Series 2007-2CB 5.750% 03/25/37 Ca /CC 4,144 971,679 CWALT Series 2007-J2 6.000% 07/25/37 Caa1/C 1,536 1,015,049
The accompanying notes are an integral part of the financial statements. 4 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- --------- ------------ COLLATERALIZED MORTGAGE OBLIGATIONS--(CONTINUED) Fannie Mae REMICS Series 2005-25 (a) 0.579% 04/25/35 Aaa/AAA $ 1,868 $ 1,835,430 Fannie Mae REMICS Series 2005-57 5.500% 05/25/27 Aaa/AAA 355 358,464 Fannie Mae REMICS Series 2006-61 6.000% 10/25/30 Aaa/AAA 2,503 2,568,520 Fannie Mae REMICS Series 2009-40 3.000% 02/25/26 Aaa/AAA 349 349,462 First Horizon Asset Securities, Inc. Series 2006-AR1 (a) 5.837% 05/25/36 B/B- 3,137 934,278 Freddie Mac REMICS Series 2590 5.000% 04/15/16 Aaa/AAA 280 280,588 Freddie Mac REMICS Series 2752 (a) 0.581% 12/15/30 Aaa/AAA 603 601,035 Freddie Mac REMICS Series 2995 (a) 0.631% 06/15/35 Aaa/AAA 782 774,802 JPMorgan Mortgage Trust Series 2005-A4 (a)(c) 5.164% 07/25/35 Baa1/AAA 843 789,960 JPMorgan Mortgage Trust Series 2005-A6 (a)(c) 4.962% 08/25/35 Aa/AA+ 634 555,539 Residential Asset Securitiation Trust Series 2007-A5 6.000% 05/25/37 Caa2/CCC 1,283 953,542 Residential Funding Mortgage Securities I Series 2006-SA4 (a) 6.110% 11/25/36 B3/CCC 5,380 3,969,021 Residential Funding Mortgage Securities I Series 2007-SA2 (a) 5.642% 04/25/37 Ca/D 2,707 272,555 Washington Mutual, Inc. Series 2007-HY3 (a) 5.313% 03/25/37 Cc/CCC 1,643 147,976 Washington Mutual, Inc. Series 2007-HY4 (a) 5.448% 04/25/37 Cc/CCC 3,339 2,376,199 Wells Fargo Mortgage Backed Securities Trust Series 2007-10 6.250% 07/25/37 B1/CCC 3,049 2,761,497 ------------ TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $66,170,120)................ 39,414,172 ------------
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- --------- ------------ U.S. TREASURY OBLIGATIONS--0.3% U.S. TREASURY NOTE--0.3% U.S. Treasury Notes (d) 1.500% 10/31/10 Aaa/AAA $ 400 $ 403,328 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $400,938)...................... 403,328 ------------ TOTAL INVESTMENTS--112.8% (Cost $161,393,930).................. 135,550,620 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(12.8)%...................... (15,408,692) ------------ NET ASSETS--100.0%...................... $120,141,928 ============
- ---------- CWALT Countrywide Alternative Loan Trust IO Interest Only PO Principal Only TBA To Be Announced (a) Adjustable rate security. Interest rate varies due to interest rate fluctuations, or, in the case of certain asset-backed securities, interest payment shortfalls. (b) Where Moody's or S&P rating is not available, Fitch rating is substituted, if available. (c) Security was purchased prior to the Portfolio's affiliation with JPMorgan Chase & Co. The accompanying notes are an integral part of the financial statements. 5 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED) (d) All or a portion of the security held as collateral for the following Futures contracts open at February 28, 2010:
NUMBER VALUE VALUE UNREALIZED OF EXPIRATION AT TRADE AT APPRECIATION CONTRACTS TYPE MONTH DATE 02/28/2010 (DEPRECIATION)* - ---------------- ------------- ---------- ----------- ----------- --------------- Long Positions: 140 U.S. Treasury 10 Year Note 06/2010 $16,311,329 $16,447,812 $136,483 Short Positions: 71 U.S. Treasury 2 Year Note 06/2010 15,391,083 15,438,063 (46,980) 35 U.S. Treasury 5 Year Note 06/2010 4,024,926 4,057,813 (32,887) ------- $56,616 =======
(e) Liabilities in excess of other assets include interest rate swaps as follows:
NOTIONAL TERMINATION AMOUNT FIXED FLOATING VALUE AT UNREALIZED COUNTERPARTY DATE (000) RATE RATE 02/28/2010 (DEPRECIATION)* - ------------ ----------- -------- ----- ------------- ----------- --------------- Deutsche Bank** 09/17/2013 $20,000 4.520% 3 MONTH LIBOR $(2,185,384) $(2,185,384) =========== ===========
* Primary risk exposure is interest rate contracts. ** Portfolio pays the fixed rate and receives the floating rate. The following is a summary if the inputs used, as of February 28, 2010, in valuing the Portfolio's investments caries at market value (See Note 1 in the Notes to Financial Statements.)
LEVEL 2 LEVEL 3 TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- -------- ------------ ------------ GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES $ 78,531,158 $ -- $ 78,531,158 $-- MORTGAGE DERIVATIVES 17,201,962 -- 17,201,962 -- COLLATERALIZED MORTGAGE OBLIGATIONS 39,414,172 -- 39,414,172 -- U.S. TREASURY OBLIGATIONS 403,328 -- 403,328 -- INVESTMENTS IN OTHER FINANCIAL INSTRUMENTS* 136,483 136,483 -- -- ------------ -------- ------------ --- TOTAL ASSETS $135,687,103 $136,483 $135,550,620 $-- ============ ======== ============ ===
LEVEL 2 LEVEL 3 TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- -------- ----------- ------------ INVESTMENTS IN OTHER FINANCIAL INSTRUMENTS* $(2,265,251) $(79,867) $(2,185,384) $-- ----------- -------- ----------- --- TOTAL LIABILITIES $(2,265,251) $(79,867) $(2,185,384) $-- =========== ======== =========== ===
* Other financial instruments include open futures contracts and swap contracts. The accompanying notes are an integral part of the financial statements. 6 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2010 (UNAUDITED) ASSETS Investments, at value+ .............................................. $135,550,620 Cash ................................................................ 8,706,323 Receivables Dividends and interest ........................................... 689,462 Investments sold ................................................. 289,597 Variation margin due from broker ................................. 30,500 Prepaid expenses and other assets ................................... 15,250 ------------ Total assets ........................................................ 145,281,752 ------------ LIABILITIES Unrealized depreciation on swap agreements .......................... 2,185,384 Payables Investments purchased ............................................ 22,485,922 Distributions to shareholders .................................... 350,798 Investment adviser ............................................... 44,529 Other accrued expenses and liabilities ........................... 73,191 ------------ Total liabilities ............................................. 25,139,824 ------------ Net Assets .......................................................... $120,141,928 ============ NET ASSETS CONSIST OF: Par value ........................................................... $ 15,062 Paid-in capital ..................................................... 150,129,575 Accumulated net investment loss ..................................... (421,407) Accumulated net realized gain from investments, futures transactions, TBA sales commitments, swap agreements and purchased options ..... (1,609,224) Net unrealized depreciation from investments, futures transactions and swap agreements .............................................. (27,972,078) ------------ Net Assets .................................................... $120,141,928 ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) 15,062,079 Net asset value, offering and redemption price per share ............... $ 7.98 ============ + Investment in securities, at cost .................................... $161,393,930
The accompanying notes are an integral part of the financial statements. 7 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT INCOME Interest ............................................................ $3,150,614 ---------- Total investment income .......................................... 3,150,614 ---------- EXPENSES Advisory fees ....................................................... 281,325 Administration and accounting fees .................................. 91,482 Professional fees ................................................... 31,591 Transfer agent fees ................................................. 23,052 Directors' and officers' fees ....................................... 22,409 Custodian fees ...................................................... 15,807 Insurance ........................................................... 11,700 Printing and shareholder reporting fees ............................. 10,983 Registration and filing fees ........................................ 9,883 Other expenses ...................................................... 1,046 ---------- Total expenses before waivers .................................... 499,278 Less: waivers .................................................... (96,834) ---------- Net expenses after waivers ....................................... 402,444 ---------- Net investment income ............................................... 2,748,170 ---------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS, FUTURES TRANSACTIONS, TBA SALE COMMITMENTS, SWAP AGREEMENTS AND PURCHASED OPTIONS NET REALIZED GAIN/(LOSS) FROM: Investments ...................................................... 990,658 Futures* ......................................................... 245,084 TBA sale commitments* ............................................ (207,383) Swap agreements* ................................................. (405,766) Purchased options* ............................................... (43,404) ---------- Total realized gain/(loss) from investments, futures transactions, TBA sale commitments, swap agreements and purchased options ...... 579,189 ---------- NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ...................................................... 5,068,072 Futures* ......................................................... (139,135) TBA sale commitments* ............................................ 42,653 Swap agreements* ................................................. (176,487) ---------- Total net changes in unrealized appreciation/(depreciation) on investments, futures transactions, TBA sale commitments and swap agreements ....................................................... 4,795,103 ---------- Net realized and unrealized gain/(loss) on investments, futures transactions, TBA sale commitments, swap agreements and purchased options .......................................................... 5,374,292 ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................... $8,122,462 ==========
- ---------- * Primary risk exposure is interest rate contracts. The accompanying notes are an integral part of the financial statements. 8 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ............................................... $ 2,748,170 $ 7,936,487 Net realized gain/(loss) from investments, futures transactions, TBA sale commitments, swap agreements and purchased options ...... 579,189 (524,929) Net change in unrealized depreciation from investments, futures transactions, TBA sale commitments and swap agreements ........... 4,795,103 (18,004,673) ------------ ------------ Net increase/(decrease) in net assets resulting from operations ........ 8,122,462 (10,593,115) ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ............................................... (3,554,360) (7,602,997) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ........................................................ (3,554,360) (7,602,997) ------------ ------------ CAPITAL TRANSACTIONS: Reinvestment of distributions ....................................... 1,133,915 2,748,132 ------------ ------------ Net Increase in Net Assets From capital transactions ................... 1,133,915 2,748,132 ------------ ------------ Total increase/(decrease) in net assets ............................. 5,702,017 (15,447,980) NET ASSETS: Beginning of period ................................................. 114,439,911 129,887,891 ------------ ------------ End of period ....................................................... $120,141,928 $114,439,911 ============ ============ Undistributed net investment income/(loss), end of period ........... $ (421,407) $ 384,783 ============ ============ SHARE TRANSACTIONS: Shares reinvested ................................................... 142,829 374,570 ------------ ------------ Total share transactions ............................................ 142,829 374,570 ============ ============
The accompanying notes are an integral part of the financial statements. 9 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE PERIOD FEBRUARY 28, 2010 ENDED ENDED DECEMBER 19, 2006* TO (UNAUDITED) AUGUST 31, 2009 AUGUST 31, 2008 AUGUST 31, 2007 ------------------ --------------- --------------- --------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of year ........... $ 7.67 $ 8.93 $ 9.92 $ 10.00 -------- -------- -------- -------- Net investment income ........................ 0.19 0.54 0.54 0.38 Net realized and unrealized gain/ (loss) on investments, futures transactions, TBA sale commitments, swap agreements and options .. 0.36 (1.28) (0.98) (0.08) -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations ................. 0.55 (0.74) (0.44) 0.30 -------- -------- -------- -------- Dividends to shareholders from: Net investment income ........................ (0.24) (0.52) (0.55) (0.38) Net realized capital gains ................... -- -- -- -- -------- -------- -------- -------- Net asset value, end of year ................. $ 7.98 $ 7.67 $ 8.93 $ 9.92 ======== ======== ======== ======== Total investment return(1) ................... 7.19% (7.82)% (4.76)% 3.10% ======== ======== ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........................... $120,142 $114,440 $129,888 $161,278 Ratio of expenses to average net assets with waivers and expense reimbursements (excluding interest expense) .............. 0.69%(2) 0.60% 0.60% 0.60%(2) Ratio of expenses to average net assets with waivers and expense reimbursements (including interest expense) .............. 0.69%(2) 0.60% 0.60% 0.78%(2) Ratio of expenses to average net assets without waivers and expense reimbursements (including interest expense) .............. 0.85%(2) 0.88% 0.80% 0.95%(2) Ratio of net investment income to average net assets .................................... 4.69%(2) 7.30% 5.56% 5.58%(2) Portfolio turnover rate(3) ................... 122.01% 410.52% 190.88% 259.47%
- ----------- * Commencement of operations. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Annualized. (3) The portfolio turnover rate excluding TBA transactions (see Note 1 in Notes to the Financial Statements) is 7.25% for the six months ended February 28, 2010, 35.58% for the year ended August 31, 2009, 32.83% for the year ended August 31, 2008 and 125.15% for the period December 19, 2006 to August 31, 2007, respectively. The accompanying notes are an integral part of the financial statements. 10 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Bear Stearns CUFS(R) MLP Mortgage Portfolio (the "Portfolio"), which commenced investment operations on December 19, 2006. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families." PORTFOLIO VALUATION -- The Portfolio's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. These fixed income securities are valued by pricing services approved by the Board of Directors based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. Debt securities for which quotations are readily available are valued at an over-the-counter or exchange bid quotation. Certain debt securities, which tend to be more thinly traded and of lesser quality, are priced based on fundamental analysis of the financial condition of the issuer and the estimated value of any collateral. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities, and the potential material variation may be greater for those securities valued using fundamental analysis. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies, if held, are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If price quotes are unavailable or deemed unreliable, securities will be fair valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The inputs and valuation techniques used to measure fair value of the Portfolio's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Portfolio's investments as of February 28, 2010 is included in the Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and these differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Portfolio records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Paydown gains and losses on mortgage and asset-backed securities are presented as an adjustment to interest income. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Portfolio estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Portfolio's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred The accompanying notes are an integral part of the financial statements. 11 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees are accrued daily and taken into account for the purpose of determining the net asset value of the Portfolio. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily and paid monthly. Distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-date for the Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from generally accepted accounting principles in the United States of America. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Portfolio's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Portfolio considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Portfolio expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Portfolio may enter into contracts that provide general indemnifications. The Portfolio's maximum exposure under these arrangements is dependent on claims that may be made against the Portfolio in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. MORTGAGE-RELATED SECURITIES -- The Portfolio may invest in mortgage pass-through securities and multiple-class pass-through securities, such as collateralized mortgage obligations ("CMOs") and Real Estate Mortgage Investment Conduit ("REMIC") pass-through or participation certificates as well as other securities collateralized by or representing a direct or indirect interest in mortgage-related securities or mortgage loans. The Portfolio may also invest in certain stripped mortgage-backed securities. Some of these securities may contain "embedded leverage" which can make them more sensitive to small movements in interest rates. The types of mortgage-related securities in which the Portfolio may invest include: mortgage pass-through securities, including CMOs and REMICs, which may or may not be U.S. Government guaranteed, privately issued mortgage-related securities, stripped mortgage-backed securities, including interest only ("IO") or principal only ("PO") class securities, and floating rate and inverse floating rate securities. Stripped mortgage-backed securities represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Payments received for IOs and POs are used to reduce the cost of the security. Payments in excess of cost are recognized as interest income on the Statement of Operations based on a security's yield to maturity. If the underlying mortgage assets experience greater then anticipated payments of principal, the Portfolio may fail to recoup some or all of its initial investment in IO securities. For PO securities, accelerated payments of principal will cause a faster than anticipated return of the initial investment resulting in an increased yield to maturity for the security. The market value of these securities is highly sensitive to changes in interest rates. The Portfolio is subject to risks associated with securities with contractual cash flows including mortgage related securities such as collateralized mortgage obligations, mortgage pass through securities and commercial mortgage backed securities, including some securities that are backed by sub-prime mortgages. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates. A significant portion of the Portfolio's investments are comprised of mortgage related securities, including some securities that are backed by sub-prime mortgages. TBA COMMITMENTS -- The Portfolio may purchase securities on a to-be-announced ("TBA") basis, with payment and delivery scheduled for a future date. These transactions are subject to market fluctuations and are subject to the risk that their value at delivery may be more or less than the trade date purchase price. Although the Portfolio may purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Portfolio may dispose of when-issued securities or forward commitments prior to settlement if the Adviser deems it appropriate. 12 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) MORTGAGE DOLLAR ROLLS - During the six months ended February 28, 2010, the Portfolio entered into dollar roll transactions, pursuant to which it sells a mortgage-backed TBA or security and simultaneously purchase a similar, but not identical, TBA with the same issuer, rate and terms. The Portfolio may execute a "roll" to obtain better underlying mortgage securities or to increase yield. The Portfolio accounts for dollar roll transactions as purchases and sales, which has the effect of increasing it's portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Portfolio may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts. FINANCIAL FUTURES CONTRACTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may enter into futures contracts to hedge against changes in interest rates and securities prices, or to otherwise manage its term structure, sector selections and duration. Upon entering into a futures contract, the Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by the Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. The Portfolio recognizes a realized gain or loss when the contract is closed. The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Portfolio could lose more than the original margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. For open futures contracts, see the Portfolio of Investments, which is also indicative of activity for the six months ended February 28, 2010. OPTIONS CONTRACTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may write covered call and put options on futures, or securities it owns or in which it may invest. Writing put options tends to increase the Portfolio's exposure to the underlying instrument. When the Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statement of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statement of Assets and Liabilities. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future or security transaction to determine the realized gain or loss. The Portfolio, as a writer of an option, has no control over whether the underlying future or security may be sold (call) or purchased (put), and as a result bears the market risk of an unfavorable change in the price of the future or security underlying the written option. The Portfolio may not be able to enter into a closing transaction because of an illiquid market. The Portfolio may also purchase put and call options. Purchasing call options tends to increase the Portfolio's exposure to the underlying instrument. Purchasing put options tends to decrease the Portfolio's exposure to the underlying instrument. The Portfolio pays a premium which is included in the Portfolio's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying future or security transaction to determine the realized gain or loss. SWAP AGREEMENTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may invest in swap agreements for the purpose of hedging against changes in interest rates. Swap agreements involve the exchange by the Portfolio with another party of their respective commitments to pay or receive interest with respect to a notional amount of principal. Swaps are marked to market daily based upon quotations from independent market makers and the change, if any, is recorded as unrealized gain or loss in the statement of operations. Net payments of interest are recorded as realized gain or loss. The Portfolio is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Portfolio such as swap contracts, option contracts, and TBA securities. The Portfolio is party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Portfolio's ISDA agreements, which are separately negotiated with each dealer counterparty, typically contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Portfolio in the event the Portfolio's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. Such rights often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse impact on the Portfolio. For open swap contracts, see the Portfolio of Investments, which is also indicative of activity for the six months ended February 28, 2010. 13 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) REPURCHASE AGREEMENTS -- Money market instruments may be purchased subject to the seller's agreement to repurchase them at an agreed-upon date and price. The seller will be required on a daily basis to maintain the value of the securities as collateral, subject to the agreement at not less than the repurchase price plus accrued interest. If the value of the collateral falls below this amount, the Portfolio will require the seller to deposit additional collateral by the next Portfolio business day. In the event that the seller under the agreement defaults on its repurchase obligation or fails to deposit sufficient collateral, the Portfolio has the contractual right, subject to the requirements of applicable bankruptcy and insolvency laws, to sell the underlying securities and may claim any resulting loss from the seller. The agreements are conditioned upon the collateral being deposited under the Federal Reserve Book Entry System or with the Portfolio's custodian or a third party sub-custodian. 2. INVESTMENT ADVISER AND OTHER SERVICES Bear Stearns Asset Management Inc. ("BSAM" or the "Adviser"), an indirect wholly-owned subsidiary of JPMorgan Chase & Co., serves as investment adviser to the Portfolio pursuant to an investment advisory agreement with the Company (the "Advisory Agreement"). For its services, the Adviser is paid a monthly fee at the annual rate of 0.48% of the Portfolio's average daily net assets. Through December 31, 2009, BSAM was voluntarily waiving a portion of its advisory fee and reimbursing certain expenses in order to limit the Portfolio's total annual portfolio operating expenses excluding interest expense to 0.60% of the Portfolio's average daily net assets. For the six months ended February 28, 2010, investment advisory fees were $281,325, of which $96,834 was waived by the Adviser. As of January 1, 2010, BSAM terminated its voluntary fee waivers and expense reimbursements. PNC Global Investment Servicing (U.S.) Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Portfolio. For providing administration and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting fees, are fees for providing regulatory administration services to RBB. For providing these services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio in proportion to its net assets of the Company. For providing transfer agent services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. PFPC Trust Company ("PFPC Trust") is a member of The PNC Financial Services Group, Inc. and provides certain custodial services to the Portfolio. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. PFPC Distributors, Inc. ("PFPC Distributors"), an affiliate of PNC, serves as the principal underwriter and distributor of the Portfolio's shares pursuant to a Distribution Agreement with RBB. The Portfolio will not pay PNC or PNC's affiliates at a later time for any amounts waived or any amounts assumed. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Portfolio during the six months ended February 28, 2010 was $7,887. Certain employees of PNC are Officers of the Company. They are not compensated by the Portfolio or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments and including TBA securities) of the Portfolio were as follows:
PURCHASES SALES ------------ ------------ Investments in U.S. Government Securities....... $176,042,564 $161,283,789 Investments in Non U.S. Government Securities... -- 9,199,005
14 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 5. CAPITAL STOCK TRANSACTIONS As of February 28, 2010, the Portfolio had individual shareholder accounts, which individually amounted to more than 10% of the total shares outstanding of the Portfolio as detailed below.
% OF SHARES NUMBER OF OUTSTANDING ACCOUNTS - ----------- --------- 100% 5
Significant shareholder transactions, if any, may impact the Portfolio's performance. 6. FEDERAL INCOME TAX INFORMATION Management has analyzed the Portfolio's tax positions taken on federal income tax returns for all open tax years (August 31, 2006 - 2009) and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Portfolio were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION DEPRECIATION - ------------ ------------ ------------ -------------- $161,393,930 $3,003,608 $(28,846,918) $(25,843,310)
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY INCOME LONG-TERM GAINS - --------------- --------------- $736,122 $--
The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gains are reported as ordinary income for federal tax purposes. The federal income tax character of dividends and distributions paid during the fiscal year ended August 31, 2009 was as follows: Ordinary income $7,602,997 Long-term capital gains --
Dividends from net investment income and short-term capital gains are treated as ordinary income dividend for federal income tax purposes. As of August 31, 2009, the Portfolio had capital loss carryforwards of $1,315,504 available to offset future capital gains. The capital loss carryforwards will expire in 2015 $(483,278) and 2016 $(832,226) if they are not utilized by future capital gains. During the year ended August 31, 2009, the Portfolio utilized capital loss carryforwards of $202,595 to offset capital gains. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the period ended August 31, 2009, the Portfolio deferred post-October capital losses of $670,908. 15 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued, and has determined that there were the following subsequent events: A. On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. B. On April 5, 2010, the Board of Directors of the Company (the "Board") approved a plan of liquidation and termination providing for the liquidation of the Portfolio on or about April 30, 2010 (the "Liquidation"). Effective April 6, 2010, new account requests and purchase orders for the Portfolio's shares were no longer permissible and daily dividends were suspended. Subsequently, at the unanimous request of the shareholders of the Portfolio, the Board postponed indefinitely the Liquidation of the Portfolio while other options with regards to the Portfolio are explored. Daily dividends have resumed, however, the Portfolio remains closed to new investments. In the event that a shareholder of the Portfolio requests a redemption of all or any portion of the shares in the Portfolio held by it, the Board has approved the liquidation of the Portfolio within no more than seven (7) days after the date of such redemption request in order not to disadvantage the Portfolio's remaining shareholders. 16 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Bear Stearns CUFS(R) MLP Mortgage Portfolio at (800) 519-CUFS (2837) and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC web-site at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 17 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO INVESTMENT ADVISER Bear Stearns Asset Management c/o JP Morgan Asset Management 245 Park Avenue New York, NY 10167 ADMINISTRATOR PNC Global Investment Servicing (U.S.) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.) Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103 LEGAL COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution fees, and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 through February 28, 2010 and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees that may be incurred by shareholders of other funds. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
MONEY MARKET PORTFOLIO - BEDFORD CLASS ----------------------------------------------------- BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 PERIOD* ----------------- ----------------- ------------- Actual $1,000.00 $1,000.10 $1.69 Hypothetical (5% return before expenses) 1,000.00 1,023.09 1.71
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS ----------------------------------------------------- BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 PERIOD* ----------------- ----------------- ------------- Actual $1,000.00 $1,000.50 $1.24 Hypothetical (5% return before expenses) 1,000.00 1,023.54 1.26
* Expenses are equal to the Portfolio's annualized six month expense ratio of 0.34% for the Bedford Class shares and 0.25% for the Sansom Street Class shares, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Portfolio's ending account value on the first line in each table is based on the actual six-month total return of 0.01% for the Bedford Class shares and 0.05% for the Sansom Street Class shares. 1 THE RBB FUND, INC. MONEY MARKET PORTFOLIO PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
SECURITY % OF NET TYPE ASSETS VALUE - -------- -------- ------------ Short Term Investments: Certificates of Deposit ............. 36.8% $215,460,317 Commercial Paper .................... 30.1 176,722,362 U.S. Treasury Obligations ........... 10.2 59,735,480 Agency Obligations .................. 9.5 55,634,384 Municipal Bonds ..................... 5.0 29,040,000 Repurchase Agreement ................ 4.9 28,728,000 Variable Rate Obligations ........... 3.7 21,900,000 Master Note ......................... 0.7 4,000,000 Liabilities in Excess of Other Assets .. (0.9) (4,996,376) ----- ------------ NET ASSETS ............................ 100.0% $586,224,167 ===== ============
Portfolio holdings are subject to change at any time. 2 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
PAR (000) VALUE ---------- ------------ CERTIFICATES OF DEPOSIT--36.8% DOMESTIC CERTIFICATES OF DEPOSIT--2.1% State Street Bank & Trust Co. 0.200%, 04/07/10 ............................ $ 5,000 $ 5,000,000 0.250%, 06/28/10 ............................ 7,000 7,000,000 ------------ 12,000,000 ------------ EURO DOLLAR CERTIFICATES OF DEPOSIT--1.7% Credit Industriel Et Commercial, London 0.395%, 03/18/10 ............................ 5,000 5,000,012 0.390%, 06/02/10 ............................ 5,000 5,000,064 ------------ 10,000,076 ------------ YANKEE DOLLAR CERTIFICATES OF DEPOSIT--33.0% (a) Abbey National Treasury Service, Connecticut(b) 0.499%, 07/20/10 ............................ 3,555 3,555,000 0.249%, 11/17/10 ............................ 5,000 5,000,000 Banco Bilbao Vizcaya Argentaria S.A., New York 0.320%, 03/31/10 ............................ 5,000 5,000,021 0.243%, 07/12/10(b) ......................... 5,000 5,000,092 0.318%, 12/13/10(b) ......................... 2,000 2,000,000 Bank of Nova Scotia, Houston 0.310%, 05/04/10 ............................ 5,500 5,500,000 Bank of Tokyo-Mitsubishi UFJ, Ltd., New York 0.230%, 03/22/10 ............................ 3,555 3,555,000 0.220%, 03/30/10 ............................ 5,000 5,000,000 0.210%, 04/06/10 ............................ 5,000 5,000,000 0.205%, 04/28/10 ............................ 5,000 5,000,040 0.200%, 05/04/10 ............................ 5,000 5,000,000 Barclays Bank PLC, New York 0.575%, 03/15/10 ............................ 3,000 3,000,000 0.500%, 04/20/10 ............................ 3,000 3,000,000 0.220%, 04/30/10 ............................ 7,000 7,000,000 BNP Paribas SA, New York 0.320%, 04/28/10 ............................ 8,000 8,000,000 0.235%, 05/10/10 ............................ 5,000 5,000,000 Deutsche Bank AG, New York 0.190%, 04/08/10 ............................ 6,000 6,000,000 Dexia Credit Local, GTD, New York 0.300%, 03/17/10 ............................ 3,000 3,000,000 0.701%, 03/17/10(b)(d) ...................... 6,000 6,000,000 Lloyds TSB Bank PLC, New York 0.210%, 03/10/10 ............................ 7,430 7,430,000 0.200%, 04/20/10 ............................ 5,000 5,000,000
PAR (000) VALUE ---------- ------------ CERTIFICATES OF DEPOSIT--(CONTINUED) YANKEE DOLLAR CERTIFICATES OF DEPOSIT--(CONTINUED) Rabobank Nederland NV, New York(b) 0.250%, 05/04/10 ............................ $ 5,000 $ 5,000,000 0.228%, 01/10/11 ............................ 3,000 3,000,000 0.231%, 01/13/11 ............................ 4,500 4,500,000 Royal Bank of Scotland PLC, Connecticut 0.509%, 05/18/10(b) ......................... 6,000 6,000,000 0.360%, 07/21/10 ............................ 5,000 5,000,000 Royal Bank of Scotland, New York 0.380%, 07/07/10 ............................ 6,000 6,000,000 Societe Generale, New York(b) 0.259%, 06/07/10 ............................ 5,000 5,000,000 0.253%, 07/12/10 ............................ 3,500 3,500,000 0.254%, 07/23/10 ............................ 4,000 4,000,000 Svenska Handelsbanken, New York 0.200%, 03/22/10 ............................ 5,000 5,000,014 0.190%, 04/13/10 ............................ 5,000 5,000,030 0.310%, 04/23/10 ............................ 3,000 3,000,044 Toronto Dominion Bank, New York(b) 0.229%, 11/05/10 ............................ 4,500 4,500,000 0.231%, 02/04/11 ............................ 2,000 2,000,000 UBS AG, Stamford 0.270%, 03/15/10 ............................ 5,000 5,000,000 0.210%, 05/07/10 ............................ 5,000 5,000,000 Unicredit SPA, New York 0.340%, 03/05/10 ............................ 6,000 6,000,000 0.300%, 05/21/10 ............................ 6,000 6,000,000 Westpac Banking Corp., New York(b) 0.279%, 10/19/10 ............................ 3,220 3,220,000 0.289%, 10/21/10 ............................ 3,700 3,700,000 ------------ 193,460,241 ------------ TOTAL CERTIFICATES OF DEPOSIT (Cost $215,460,317) ...................... 215,460,317 ------------ COMMERCIAL PAPER--30.1% ASSET BACKED--20.7% (e) Atlantis One Funding Corp. 0.220%, 03/08/10 ............................ 5,500 5,499,765 0.210%, 04/08/10 ............................ 8,000 7,998,227 CAFCO LLC 0.200%, 05/04/10 ............................ 6,000 5,997,867 Cancara Asset Securitisation LLC 0.220%, 05/25/10 ............................ 3,000 2,998,442 Erasmus Capital Corp. 0.220%, 03/31/10 ............................ 5,000 4,999,083
See Accompanying Notes to Financial Statements. 3 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
PAR (000) VALUE ---------- ------------ COMMERCIAL PAPER--(CONTINUED) ASSET BACKED--(CONTINUED) Fairway Finance Co. LLC 0.170%, 03/22/10 ............................ $ 1,000 $ 999,901 GOVCO LLC 0.210%, 04/08/10 ............................ 5,000 4,998,892 0.280%, 04/26/10 ............................ 2,800 2,798,780 Grampian Funding LLC 0.230%, 03/19/10 ............................ 5,000 4,999,425 LMA Americas LLC 0.180%, 03/22/10 ............................ 5,000 4,999,475 Manhattan Asset Funding Co. LLC 0.200%, 03/08/10 ............................ 5,000 4,999,806 Romulus Funding Corp. 0.330%, 03/08/10 ............................ 10,000 9,999,358 0.300%, 03/23/10 ............................ 4,000 3,999,267 Salisbury Receivables Co. LLC 0.180%, 04/12/10 ............................ 7,000 6,998,530 Scaldis Capital LLC 0.250%, 03/01/10 ............................ 6,000 6,000,000 Solitaire Funding LLC 0.220%, 03/15/10 ............................ 4,000 3,999,658 0.250%, 04/22/10 ............................ 3,000 2,998,917 0.240%, 05/03/10 ............................ 5,000 4,997,900 Sydney Capital Corp. 0.621%, 03/16/10 ............................ 2,000 1,999,483 Tempo Finance Corp. 0.230%, 04/08/10 ............................ 5,000 4,998,786 Ticonderoga Funding LLC 0.190%, 03/29/10 ............................ 12,000 11,998,227 Windmill Funding Corp. 0.210%, 03/08/10 ............................ 7,000 6,999,714 0.240%, 03/15/10 ............................ 5,000 4,999,533 ------------ 121,279,036 ------------ BANKS--9.4% ASB Finance Ltd., London(b) 0.249%, 05/18/10 ............................ 16,000 16,000,345 Banco Bilbao Vizcaya Argentina S.A., London(e) 0.351%, 04/30/10 ............................ 3,000 2,998,250 BNZ International Funding, Ltd.(b) 0.308%, 02/04/11 ............................ 4,500 4,500,424 Dexia Delaware LLC(e) 0.285%, 03/03/10 ............................ 10,000 9,999,842 0.225%, 03/16/10 ............................ 5,000 4,999,531
PAR (000) VALUE ---------- ------------ COMMERCIAL PAPER--(CONTINUED) BANKS--(CONTINUED) DnB NOR BANK ASA(e) 0.190%, 03/15/10 ............................ $ 2,000 $ 1,999,852 ING US Funding LLC(e) 0.180%, 03/05/10 ............................ 3,000 2,999,940 JPMorgan Chase & Co.(e) 0.250%, 07/14/10 ............................ 5,000 4,995,313 Societe Generale North America, Inc.(e) 0.220%, 03/15/10 ............................ 2,000 1,999,829 Westpac Trust Securities New Zealand LTD(b) 0.348%, 11/05/10 ............................ 4,950 4,950,000 ------------ 55,443,326 ------------ TOTAL COMMERCIAL PAPER (Cost $176,722,362) ...................... 176,722,362 ------------ MUNICIPAL BONDS--5.0% California Housing Finance Agency Revenue, Series A, RB (LOC: Fannie Mae, Freddie Mac)(b)(d) 0.180%, 03/05/10 ............................ 4,000 4,000,000 Connecticut State, Health & Educational Facilities Authority Revenue, New Haven Hospital, Series K-2, RB (LOC: JPMorgan Chase Bank)(b)(d) 0.150%, 03/05/10 ............................ 6,000 6,000,000 Harris County Texas, Municipal Securities Trust Receipts, Class A, RB, (LOC: Societe Generale)(b)(d) 0.230%, 03/05/10 ............................ 3,695 3,695,000 Massachusetts Bay Transportation Authority, General Transportation System, RB (SBPA: Dexia Credit Local)(b)(d) 0.230%, 03/05/10 ............................ 4,000 4,000,000 Metropolitan Water District, Southern California Waterworks Revenue, Series C, RB (SBPA: Dexia Credit Local)(b)(d) 0.170%, 03/05/10 ............................ 3,000 3,000,000
See Accompanying Notes to Financial Statements. 4 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
PAR (000) VALUE ---------- ------------ MUNICIPAL BONDS--(CONTINUED) New York City, Industrial Development Agency Civic Facility Revenue, New York Law School Project, Series A, RB (LOC: JPMorgan Chase Bank)(b)(d) 0.160%, 03/05/10 ............................ $ 4,445 $ 4,445,000 Texas State, Veterans Housing Assessment Project, Series A-2, GO (Liquidity Facility: JPMorgan Chase & Co.)(b)(d) 0.210%, 03/05/10 ............................ 3,900 3,900,000 ------------ TOTAL MUNICIPAL BONDS (Cost $29,040,000) ....................... 29,040,000 ------------ VARIABLE RATE OBLIGATIONS--3.7% BANKS--1.8% Commonwealth Bank of Australia, MTN(b)(c) 0.269%, 11/22/10 ............................ 3,000 3,000,000 HSBC Bank Middle East Ltd.(b) 0.449%, 04/22/10 ............................ 3,000 3,000,000 Rabobank Nederland NV(b)(c)(d) 0.253%, 04/07/10 ............................ 4,900 4,900,000 ------------ 10,900,000 ------------ COSMETICS-TOILETRY--1.9% Procter & Gamble International Funding SCA(b) 0.259%, 05/07/10 ............................ 11,000 11,000,000 ------------ TOTAL VARIABLE RATE OBLIGATIONS (Cost $21,900,000) ....................... 21,900,000 ------------ AGENCY OBLIGATIONS--9.5% Federal Home Loan Bank(b) 0.099%, 07/09/10 ............................ 4,265 4,264,695 0.200%, 10/08/10 ............................ 3,100 3,099,435 Federal Home Loan Mortgage Corp. 0.510%, 07/06/10(e) ......................... 4,800 4,791,364 0.151%, 07/14/10(b) ......................... 2,500 2,499,677 0.200%, 07/23/10(e) ......................... 4,100 4,096,720 0.210%, 08/09/10(e) ......................... 2,000 1,998,122 0.232%, 08/24/10(b) ......................... 1,895 1,895,039 0.235%, 09/03/10(b) ......................... 2,865 2,864,707 0.301%, 02/14/11(b) ......................... 12,825 12,823,064
PAR (000) VALUE ---------- ------------ AGENCY OBLIGATIONS--(CONTINUED) Federal Home Loan Mortgage Corp.--(Continued) 0.311%, 04/01/11(b) ......................... $ 5,000 $ 5,005,478 0.129%, 05/05/11(b) ......................... 10,000 9,996,444 Federal National Mortgage Assoc.(b) 0.199%, 08/05/10 ............................ 2,300 2,299,639 ------------ TOTAL AGENCY OBLIGATIONS (Cost $55,634,384) ....................... 55,634,384 ------------ U.S. TREASURY OBLIGATIONS--10.2% U.S. Treasury Bills 0.230%, 06/10/10 ............................ 3,000 2,998,064 0.250%, 06/17/10 ............................ 5,000 4,996,250 0.310%, 07/15/10 ............................ 12,000 11,985,947 0.315%, 07/15/10 ............................ 4,000 3,995,240 0.385%, 07/15/10 ............................ 11,900 11,882,692 0.470%, 07/29/10 ............................ 1,000 998,042 0.163%, 08/05/10 ............................ 10,000 9,992,913 0.172%, 08/12/10 ............................ 6,000 5,995,299 0.225%, 08/26/10 ............................ 4,000 3,995,550 0.315%, 08/26/10 ............................ 2,900 2,895,483 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $59,735,480) ....................... 59,735,480 ------------ MASTER NOTE--0.7% Bank of America Securities LLC(b)(d) 0.290%, 03/01/10 ............................ 4,000 4,000,000 ------------ TOTAL MASTER NOTE (Cost $4,000,000) ........................ 4,000,000 ------------ REPURCHASE AGREEMENT--4.9% Deutsche Bank Securities Inc. (Tri-Party Agreement dated 02/26/10 to be repurchased at $28,728,263, collateralized by $35,802,943 par value, U.S. Treasury STRIPS, 0.00%, due 08/15/16, Fair Value of the collateral is $29,302,561) 0.110%, 03/01/10 ............................ 28,728 28,728,000 ------------ TOTAL REPURCHASE AGREEMENT (Cost $28,728,000)........................ 28,728,000 ------------
See Accompanying Notes to Financial Statements. 5 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
VALUE ------------ TOTAL INVESTMENTS AT VALUE--100.9% (Cost $591,220,543)* ........................ $591,220,543 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(0.9)% .. (4,996,376) ------------ NET ASSETS (APPLICABLE TO 550,193,057 BEDFORD SHARES AND 36,020,323 SANSOM STREET SHARES)--100.0% .............................. $586,224,167 ============
* Aggregate cost is the same for financial reporting and Federal tax purposes. (a) Issuer is a US branch of a foreign domiciled bank. (b) Variable Rate Security. Rate shown is as of report date. (c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional investors. At February 28, 2010, these securities amounted to $7,900,000 or 1.3% of net assets. These securities have been determined by the Adviser to be liquid securities. (d) Rate shown is as of report date and the date shown is date on which principal and accrued interest may be recovered through demand. (e) Rate disclosed represents the discount rate at the time of purchase. GO General Obligation LOC Letter of Credit RB Revenue Bond SBPA Standby Bond Purchase Agreement The following is a summary of the inputs used, as of February 28, 2010, in valuing the Portfolio's investments carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- ------- ------------ ------------ Investments in Securities* $ 591,220,543 $-- $591,220,543 $-- ============= === ============ ===
* Please refer to the Schedule of Investments for industry and security type breakouts. See Accompanying Notes to Financial Statements. 6 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2010 (UNAUDITED) ASSETS Investments, at value (Cost $562,492,543) ............................... $562,492,543 Repurchase agreement, at value (Cost $28,728,000) ....................... 28,728,000 Cash .................................................................... 273 Receivables Interest receivable ..................................................... 134,648 Prepaid expenses and other assets .......................................... 33,506 ------------ Total assets ......................................................... 591,388,970 ------------ LIABILITIES Payables Distribution to shareholders ......................................... 788 Investments purchased ................................................ 5,000,064 Investment advisory and administration fees .......................... 94,094 Custodian fees ....................................................... 13,353 Distribution fees .................................................... 12,636 Professional fees .................................................... 12,002 Directors' and officers' fees ........................................ 4,841 Service organization fees (Sansom Street Class) ...................... 2,312 Other accrued expenses and liabilities .................................. 24,713 ------------ Total liabilities .................................................... 5,164,803 ------------ Net Assets .............................................................. $586,224,167 ============ NET ASSETS CONSIST OF Par Value ............................................................... $ 586,213 Paid-in Capital ......................................................... 585,627,166 Undistributed net investment income ..................................... 3,898 Accumulated net realized gain from investments .......................... 6,890 ------------ Net Assets .............................................................. $586,224,167 ============ BEDFORD CLASS Net assets .............................................................. $550,203,975 ------------ Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 550,193,057 ------------ Net asset value, offering and redemption price per share ................ $ 1.00 ============ SANSOM STREET CLASS Net assets .............................................................. $ 36,020,192 ------------ Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 36,020,323 ------------ Net asset value, offering and redemption price per share ................ $ 1.00 ============
See Accompanying Notes to Financial Statements. 7 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT INCOME Interest ................................................................ $ 952,479 ----------- Total investment income .............................................. 952,479 ----------- EXPENSES Distribution fees(1) .................................................... 1,630,958 Investment advisory and administration fees ............................. 1,192,940 Professional fees ....................................................... 51,935 Directors' and officers' fees ........................................... 48,915 Custodian fees .......................................................... 45,370 Printing and shareholder reporting fees ................................. 31,899 Insurance fees .......................................................... 30,636 Transfer agent fees ..................................................... 24,187 Regulatory administration fees .......................................... 24,100 Registration and filing fees ............................................ 22,274 Temporary Guarantee Program Participation fees(2) ....................... 6,879 Service organization fees (Sansom Street Class) ......................... 447 Other expenses .......................................................... 9,478 ----------- Total expenses before waivers ........................................ 3,120,018 Less: waivers ........................................................ (2,147,549) ----------- Net expenses after waivers .............................................. 972,469 ----------- Net investment loss ..................................................... (19,990) ----------- Net realized gain from investments ...................................... 6,890 ----------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ....................... $ (13,100) ===========
(1) See Note 2 in Notes to Financial Statements (2) See Note 5 in Notes to Financial Statements See Accompanying Notes to Financial Statements. 8 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- INCREASE (DECREASE) IN NET ASSETS: FROM OPERATIONS: Net investment income/(loss) ......................................... $ (19,990) $ 3,032,624 Net realized gain from investments ................................... 6,890 52,978 ------------- -------------- Net increase/(decrease) in net assets resulting from operations ............ (13,100) 3,085,602 ------------- -------------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income: Bedford Class ........................................................ (27,043) (2,706,207) Sansom Street Class .................................................. (16,027) (326,417) ------------- -------------- Net decrease in net assets from dividends to shareholders .................. (43,070) (3,032,624) ------------- -------------- CAPITAL TRANSACTIONS (AT $1.00 PER SHARE): Proceeds from shares sold: Bedford Class ........................................................ 336,637,510 1,083,664,728 Sansom Street Class .................................................. 42,393,660 163,775,264 Shares issued on reinvestment of distributions: Bedford Class ........................................................ 26,208 2,689,574 Sansom Street Class .................................................. 388 40,581 Shares repurchased: Bedford Class ........................................................ (331,600,689) (860,595,942) Sansom Street Class .................................................. (38,867,357) (160,072,689) ------------- -------------- Net increase in net assets derived from capital transactions ............... 8,589,720 229,501,516 ------------- -------------- Total increase in net assets ............................................... 8,533,550 229,554,494 NET ASSETS: Beginning of period .................................................. 577,690,617 348,136,123 ------------- -------------- End of period ........................................................ $ 586,224,167 $ 577,690,617 ============= ============== Undistributed net investment income, end of period ......................... $ 3,898 $ 66,958 ============= ============== SHARE TRANSACTIONS: Shares sold Bedford Class ........................................................ 336,637,510 1,083,664,728 Sansom Street Class .................................................. 42,393,660 163,775,264 Shares reinvested Bedford Class ........................................................ 26,208 2,689,574 Sansom Street Class .................................................. 388 40,581 Shares repurchased Bedford Class ........................................................ (331,600,689) (860,595,942) Sansom Street Class .................................................. (38,867,357) (160,072,689) ------------- -------------- Total Share Activity ....................................................... 8,589,720 229,501,516 ============= ==============
See Accompanying Notes to Financial Statements. 9 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS ---------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE FOR THE FOR THE FOR THE FOR THE ENDED YEAR YEAR YEAR YEAR YEAR AUGUST 31, ENDED ENDED ENDED ENDED ENDED 2010 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, (UNAUDITED) 2009 2008 2007 2006 2005 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period .... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ................ --(b) 0.0074 0.0307 0.0447 0.0388 0.0162 Net gains (losses) on securities ..... 0.0001 --(b) --(b) --(b) --(b) --(b) -------- -------- -------- -------- -------- -------- Total net income from investment operations ..................... 0.0001 0.0074 0.0307 0.0447 0.0388 0.0162 -------- -------- -------- -------- -------- -------- Less dividends and distributions: Dividends (from net investment income) ........................... (0.0001) (0.0074) (0.0307) (0.0447) (0.0388) (0.0162) -------- -------- -------- -------- -------- -------- Net asset value, end of period .......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return ......................... 0.01% 0.74% 3.12% 4.56% 3.95% 1.63% Ratios/Supplemental Data Net assets, end of period (000's omitted) .......................... $550,204 $545,194 $319,387 $218,914 $150,657 $109,495 Ratios of expenses to average net assets(a) ......................... 0.34%(c) 0.69% 0.90% 0.90% 0.85% 0.97% Ratios of net investment income to average net assets ................ (0.01)%(c) 0.65% 2.94% 4.47% 3.81% 1.68%
(a) Without the waiver of advisory fees, distribution fees, and/or reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Bedford Class of the Money Market Portfolio would have been 1.12% for the six months ended February 28, 2010 and 1.24%, 1.23%, 1.29%, 1.34% and 1.23% for the years ended August 31, 2009, 2008, 2007, 2006 and 2005, respectively. (b) Amount is less than $0.00005 per share. (c) Annualized. See Accompanying Notes to Financial Statements. 10 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (CONCLUDED) (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS ---------------------------------------------------------------------------- FOR THE SIX MONTHS FOR THE FOR THE FOR THE FOR THE FOR THE ENDED YEAR YEAR YEAR YEAR YEAR AUGUST 31, ENDED ENDED ENDED ENDED ENDED 2010 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, (UNAUDITED) 2009 2008 2007 2006 2005 ----------- ---------- ---------- ---------- ---------- ---------- Net asset value, beginning of period..... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income................. 0.0004 0.0121 0.0365 0.0502 0.0434 0.0239 Net gains (losses) on securities...... 0.0001 --(b) --(b) --(b) --(b) --(b) -------- -------- -------- -------- -------- -------- Total net income from investment operations...................... 0.0005 0.0121 0.0365 0.0502 0.0434 0.0239 -------- -------- -------- -------- -------- -------- Less dividends and distributions: Dividends (from net investment income)........................... (0.0005) (0.0121) (0.0365) (0.0502) (0.0434) (0.0239) -------- -------- -------- -------- -------- -------- Net asset value, end of period.......... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return......................... 0.05% 1.21% 3.71% 5.14% 4.42% 2.41% Ratios/Supplemental Data Net assets, end of period (000's omitted)......................... $ 36,020 $ 32,496 $ 28,749 $ 15,352 $ 15,525 $ 87,304 Ratios of expenses to average net assets(a)........................ 0.25%(c) 0.25% 0.31% 0.35% 0.26% 0.20% Ratios of net investment income to average net assets............... 0.08%(c) 0.93% 3.64% 5.02% 4.25% 2.39%
(a) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Sansom Street Class of the Money Market Portfolio would have been 0.52% for the six months ended February 28, 2010 and 0.60%, 0.60%, 0.69%, 0.67% and 0.67% for the years ended August 31, 2009, 2008, 2007, 2006 and 2005, respectively. (b) Amount is less than $0.00005 per share. (c) Annualized. See Accompanying Notes to Financial Statements. 11 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988, and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Money Market Portfolio ("Portfolio"). RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. The Portfolio has issued shares with a par value of $0.001. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families". SECURITY VALUATION -- Securities held in the Portfolio are valued under the amortized cost method, which approximates fair value. Under this method, securities are valued at cost when purchased and thereafter a constant accretion of discount or amortization of premium is recorded until maturity of the security. Regular review and monitoring of the valuation is performed to ensure that cost continues to approximate fair value and to avoid dilution or other unfair results to shareholders. The Portfolio seeks to maintain net asset value ("NAV") per share at $1.00. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Portfolio's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Portfolio's investments as of February 28, 2010 is included with the Portfolio's Schedule of Investments. SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Security transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. Interest income is accrued when earned. Certain expenses, such as distribution, transfer agency and printing, are class specific expenses and vary by class. Expenses not directly attributable to a specific portfolio or class are allocated based on relative net assets of each portfolio and class. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all portfolios within the Company (such as director or professional fees) are charged to all portfolios in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolio. 12 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily, recorded on the ex-date and paid monthly. All dividends from net investment income are taxed as ordinary income. Any net realized capital gains are distributed at least annually. Income subject to dividends and capital gain subject to distributions are determined in accordance with U.S. federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. FEDERAL INCOME TAXES -- No provision is made for federal income taxes. It is the Company's intention to have each portfolio continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended and make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes. REPURCHASE AGREEMENTS -- Money market instruments may be purchased from financial institutions, such as banks and non-bank dealers, subject to the seller's agreement to repurchase them at an agreed upon date and price. Collateral for repurchase agreements may have longer maturities than the maximum permissible remaining maturity of portfolio investments, provided the repurchase agreements themselves mature in 13 months or less. The seller is required on a daily basis to maintain the value of the securities subject to the agreement at no less than the repurchase price. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a separate account by the Portfolio's custodian or an authorized securities depository. In the event the counterparty defaults and the fair value of the collateral declines, the Portfolio could experience losses, delays and costs in liquidating the collateral. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions. These estimates and assumptions affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant. OTHER -- In the normal course of business, the Portfolio may enter into contracts that provide general indemnifications. The Portfolio's maximum exposure under these arrangements is dependent on claims that may be made against the Portfolio in the future and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Pursuant to an Investment Advisory and Administration Agreement, BlackRock Institutional Management Corp. (the "Adviser" or "BIMC"), an indirect subsidiary of The PNC Financial Services Group, Inc., serves as investment adviser and administrator for the Portfolio. BIMC and PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., entered into a delegation agreement on behalf of the Portfolio, wherein PNC has agreed to perform administration and accounting services for an annual fee of 0.10% of the average net assets of the Portfolio, paid out of the fee paid to BIMC. 13 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES (CONTINUED) For its advisory services, BIMC is entitled to receive the following fees, computed daily and payable monthly, and based on the Portfolio's average daily net assets: ANNUAL RATE ---------------------------------------------- 0.45% of first $250 million of net assets; 0.40% of next $250 million of net assets; and 0.35% of net assets in excess of $500 million. BIMC may, at its discretion, voluntarily waive and/or reimburse all or any portion of its advisory fee for the Portfolio. For each class of shares within the Portfolio, the net advisory fee charged to each class is the same on a relative basis. For the six months ended February 28, 2010, advisory fees and waivers were as follows:
GROSS ADVISORY NET ADVISORY AND AND ADMINISTRATION ADMINISTRATION FEE WAIVER FEE - -------------- --------- -------------- $1,192,940 $(769,787) $423,153
As of February 28, 2010, the Portfolio owed BIMC $94,094 in advisory and administration fees. PNC and PFPC Distributors, Inc. ("PFPC Distributors"), an affiliate of PNC, may also voluntarily waive a portion of their fees and/or reimburse expenses. The Portfolio will not pay BIMC, PNC or PFPC Distributors at a later time for any amounts waived or assumed. For providing regulatory administration services to RBB, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio in proportion to its net assets of the Company. In addition, PNC serves as the Portfolio's transfer and dividend disbursing agent. For providing transfer agent services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets and is subject to certain minimum monthly fees. For providing custodial services to the Portfolio, PFPC Trust Company, an affiliate of PNC, is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets subject to certain minimum monthly fees. The Portfolio, on behalf of the Bedford Class of shares of the Portfolio, has adopted a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the "Plan"). The Portfolio has entered into a Distribution Agreement with PFPC Distributors. The Plan provides for the Bedford Class to make monthly payments, based on average net assets, to PFPC Distributors of up to 0.65% on an annualized basis. PFPC Distributors may voluntarily waive these fees at its discretion. For the six months ended February 28, 2010, distribution fees paid to PFPC Distributors for the Bedford Class were as follows:
GROSS NET DISTRIBUTION DISTRIBUTION FEE WAIVER FEE ------------ ------------ ----------- Bedford Class $1,630,958 $(1,377,762) $253,196
14 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES (CONTINUED) The Portfolio has entered into service agreements with banks affiliated with PNC which render support services to customers who are the beneficial owners of the Sansom Street Class in consideration of the payment of 0.10% of the daily net asset value of such shares. For the six months ended February 28, 2010, service organization fees were $447 for the Portfolio. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Portfolio during the six months ended February 28, 2010 was $32,649. Certain employees of PNC are Officers of the Company. They are not compensated by the Portfolio or the Company. 4. FEDERAL INCOME TAX INFORMATION The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Therefore, no federal tax provision is required. Management has analyzed the Portfolio's tax positions taken on federal income tax returns for all open tax years (August 31, 2006 - 2009) and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009 the Portfolio had $73,661 of undistributed ordinary income for federal tax purposes. The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gains are reported as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the fiscal year ended August 31, 2009 was as follows:
ORDINARY LONG-TERM INCOME GAINS - ---------- --------- $3,031,192 $1,432
Dividends paid from net investment income and short-term capital gains are treated as ordinary income distributions for federal income tax purposes. 15 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED) 4. FEDERAL INCOME TAX INFORMATION (CONTINUED) For federal income tax purposes, realized capital losses may be carried forward and applied against future realized gains. As of August 31, 2009, the Portfolio had no capital loss carryforwards. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2009, the Portfolio incurred no post-October capital losses. 5. U.S. DEPARTMENT OF THE TREASURY'S GUARANTEE PROGRAM FOR MONEY MARKET FUNDS On October 1, 2008, the Board of Directors of the Company approved the Portfolio's participation in the Guarantee Program for Money Market Funds (the "Guarantee Program") established by the U.S. Department of the Treasury (the "Treasury"). The Guarantee Program provided coverage to shareholders of record in the Portfolio as of the close of business on September 19, 2008 and would be triggered if the Portfolio's NAV fell below $0.9950. On October 6, 2008, the Portfolio paid $35,923 to participate in the Guarantee Program, which amount was amortized through December 18, 2008. The initial term of the Guarantee Program expired on December 18, 2008. On December 5, 2008, the Portfolio paid $53,882 to participate in the first extension of the Guarantee Program which extended the Guarantee Program through April 30, 2009. This amount was amortized through April 30, 2009. On April 9, 2009, the Portfolio paid $53,882 to participate in the second extension of the Guarantee Program. This amount was amortized through September 18, 2009, the date the Guarantee Program expired. 6. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 7. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event: On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 16 THE RBB FUND, INC. MONEY MARKET PORTFOLIO ADDITIONAL INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling the number shown below and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. Bedford (800) 888-9723 Sansom Street (800) 430-9618
QUARTERLY PORTFOLIO SCHEDULES The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 17 [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] THE BEDFORD CLASS OF THE RBB FUND, INC. MONEY MARKET PORTFOLIO SEMI-ANNUAL REPORT FEBRUARY 28, 2010 (UNAUDITED) AN INVESTMENT IN THE PORTFOLIO IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT'S POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO. THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE PORTFOLIO. IT IS NOT AUTHORIZED FOR DISTRIBUTION UNLESS PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE PORTFOLIO. INVESTMENT ADVISER BlackRock Institutional Management Corporation 100 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103-3984 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND SEMIANNUAL REPORT FOR THE SIX-MONTH PERIOD ENDED FEBRUARY 28, 2010 (UNAUDITED) Fellow Shareholder: U.S. equity market indices extended their rebound in the latest semiannual period, although the upward pace was tempered relative to the early months of the rally. After posting seven consecutive months of positive performance (from March 2009 through September 2009), market returns were not quite as steady and robust from October 2009 through February 2010. Market declines in both October 2009 and January 2010 were accompanied by shifts in investor preferences away from riskier stocks and toward more stable stocks. INVESTMENT PERFORMANCE - PERIODS ENDING FEBRUARY 28, 2010 BOGLE FUND VS. RUSSELL 2000(R) BENCHMARK (BAR CHART)
SEMIANNUAL PERIOD ONE YEAR PERIOD THREE-YEAR PERIOD FIVE -YEAR PERIOD TEN-YEAR PERIOD SINCE INCEPTION (9/1/09 - 2/28/10) (3/1/09 -2/28/10) (3/1/07 -2/28/10) (3/1/05 -2/28/10) (3/1/00 -2/28/10) (10/1/99 -2/28/10) ------------------ ----------------- ----------------- ----------------- ----------------- ------------------ Bogle Investor Class 10.5% 79.3% -10.8% -0.7% 5.1% 8.9% Bogle Institutional Class 10.5% 79.5% -10.7% -0.6% 5.2% 9.0% Russell 2000(R) Index 10.6% 63.9% -6.1% 1.2% 2.2% 5.1% Investor Class Net Value Added -0.1% 15.4% -4.6% -1.9% 2.9% 3.8%
- ---------- ALL FUND RETURNS ARE PRESENTED NET OF FEES AND INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER EARNINGS. MULTI-YEAR PERIOD RETURNS ARE ANNUALIZED. RETURNS SHOWN REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS SHOWN ABOVE. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. RETURNS CURRENT TO THE MOST RECENT MONTH-END MAY BE OBTAINED AT 1-877-264-5346. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.57% FOR THE INSTITUTIONAL CLASS AND 1.67% FOR THE INVESTOR CLASS, PRIOR TO FEE WAIVERS. THE FUND'S INVESTMENT ADVISER, BOGLE INVESTMENT MANAGEMENT, L.P., HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE EXPENSES THROUGH DECEMBER 31, 2010 TO THE EXTENT THAT TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED 1.25% AND 1.35% FOR THE INSTITUTIONAL CLASS AND INVESTOR CLASS, RESPECTIVELY. THE ADVISER, IN ITS DISCRETION, HAS THE RIGHT TO EXTEND THIS WAIVER. THE RUSSELL 2000(R) IS AN INDEX OF STOCKS 1001 THROUGH 3000 IN THE RUSSELL 3000(R) INDEX AS RANKED BY TOTAL MARKET CAPITALIZATION. A DIRECT INVESTMENT IN THE INDEX IS NOT POSSIBLE. INVESTING IN SMALL COMPANIES CAN INVOLVE MORE VOLATILITY, LESS LIQUIDITY AND LESS AVAILABLE INFORMATION THAN INVESTING IN LARGE COMPANIES. 1 Riskier stocks (as measured by share price volatility) still outperformed the average stock for the semiannual period overall, although relative outperformance for these stocks was significantly more muted than we saw in the first six months of the market rebound. The general market environment is discussed in more detail in the next section of this letter. During the semiannual period, the Bogle Small Cap Growth Fund (the "Fund") Investor shares gained +10.53% net of all fees and Institutional shares returned +10.54% net of all fees, keeping pace with the Russell 2000(R) benchmark gain of +10.59%. Semiannual performance is discussed further on pages three and four, where we address performance attribution and explain the results generated by our investment models during the period, including a few stock specific examples. We then present the fundamental characteristics of the Fund and benchmark, highlighting how our risk controls impact the Fund's characteristics in comparison to the Russell 2000(R) . Finally, we close with an update on developments at Bogle Investment Management, L.P. MARKET ENVIRONMENT. U.S. equity markets continued to advance in the latest semiannual reporting period, albeit with two notable retrenchments during the period. The first few weeks of the semiannual period were positive for equities as stock prices appeared to be boosted by mergers and acquisitions news, with a variety of high profile announcements in September. This activity reflected improvement in credit markets and demonstrated that companies were more willing (and able) to increase spending to fuel growth. Although some of the market gains were reversed in late September and early October, by mid-October the Russell 2000(R) remained positive for the semiannual period. In late October, investors seemed to shift focus toward the uncertain macroeconomic backdrop. A government release showing an unexpected increase in new weekly jobless claims may have weighed on investors, highlighting concerns about consumer spending and confidence. The Russell 2000(R) declined -10% from October 14th through November 1st. This correction was short lived and U.S. equity markets resumed their upward march in early November, as earnings and acquisition news continued to encourage confidence in the corporate sector, outweighing ongoing concerns on the consumer front. With generally positive returns through January 19th, the Russell 2000(R) Index found itself at a level not seen since October 1, 2008. Another correction ensued as macroeconomic news in late January suggested possible global financial stress. In the United States, investors faced the possibility of new banking regulations and growing concerns about the future impact of government intervention in the private sector. Fiscal policy also dominated headlines, in anticipation of the 2011 federal budget release. Overseas, China took steps to tighten credit and rein in aggressive bank lending, while in Greece investors feared that soaring debt levels could result in government default. Prospects for a European Union bailout for Greece emerged in early February and appeared to buoy U.S. markets. All in all, investors maintained optimism and all U.S. equity indices finished the semiannual period on a positive note. With the exceptions of October and January, investors once again favored volatile, more speculative stocks during the semiannual period. On balance, investors continued to favor the stocks that had been rising since the market turned around in March of 2009, especially the stocks that had previously been the most battered by the ferocious market drop in late 2008 and early 2009. Having said that, the extreme advantage that accrued to these stocks, which was discussed in our most recent annual report, narrowed significantly over the last six months. For example, the riskiest stocks (as measured by the variability of their price movements) outperformed the safest by about five percentage points over the last six months, versus more than 62 percentage points over the previous six months. Indeed, although these volatile stocks enjoyed positive relative performance, the equal- and cap-weighted Russell 2000(R) posted similar six-month performance. For the semi-annual period, the equal-weighted Russell 2000(R) advanced +9.89%, the cap-weighted Russell 2000(R) gained +10.59%, and The Russell 1000(R) returned +9.91% for the semiannual period. Within small cap stocks, the energy sector saw the strongest performance, while the utility sector was the weakest. Small cap consumer cyclical and technology stocks were modest outperformers while small cap financial stocks posted returns below that of the overall benchmark. The market environment had elements of both momentum and mean 2 reversion, as positive earnings trends were rewarded, but with some sensitivity to relative valuation. Small cap growth and value stock returns were similar for the period; the Russell 2000(R) Growth Index advanced +10.64%, in line with the Russell 2000(R) Value Index return of +10.54%. PERFORMANCE ATTRIBUTION. As you know, it is our policy to be essentially fully invested to maintain exposure to the small cap market, as we do not believe that we, nor most professional investors, can successfully forecast market direction. We also maintain factor exposures that are very similar to those of our benchmark, such that the significant majority of our relative returns have historically been attributed to stock selection. This was again the case for the semiannual period, as the combination of our small cap investment models produced positive stock selection and modest sector exposures detracted just 20 basis points from returns (fees and expenses reduced the net Fund return to modestly below benchmark). Over the more than ten years we have been managing the Fund, our general approach to stock picking has remained consistent, though many of the specific details that go into the process have evolved over time. The general attributes that our three primary models seek to identify are: 1) stocks that have demonstrated an ability to generate better earnings than the market expects (the earnings expectations model); 2) companies that do not have to "manufacture" earnings growth through aggressive accounting and that have a low percentage of their shares held by short sellers (financial quality model); and 3) stocks that trade at attractive valuations relative to their most similar peers (relative valuation model). In other words, our composite model considers earnings in the context of quality (which should reduce earnings uncertainty) and valuation (which should reduce downside when our models are wrong about earnings). On a standalone basis, within our small cap investable universe, both the earnings expectations and relative valuation models posted positive returns during the semiannual period. Financial quality model performance was flat. The relative valuation model was strongest, with positive returns in each month of the period except November. After an extended period of poor performance, earnings expectations model performance improved in the semiannual period, but returns were inconsistent. Stock selection was strongest in utility and basic industry stocks, and was also positive in the technology and consumer sectors. Losses from stock selection in industrial, energy and financial stocks detracted from semi-annual performance. At the end of the semiannual period, the Fund held 151 stocks and the largest holding represented 1.0% of portfolio assets. This diversification minimizes the impact any single stock can have on total Fund performance. In the stock specific examples that follow, we will illustrate three situations where stocks outperformed the benchmark and two where our investments underperformed. REHABCARE GROUP, INC. is a company that provides rehabilitation program management services in hospitals, skilled nursing facilities, outpatient facilities, and other long-term care facilities. We first purchased the stock in March of last year due to its strong earnings history, attractive relative valuation, and low percentage of shares held short. These signals remained positive entering the semiannual period, and the stock price was boosted in November by investors cheering the company's announced intent to buy a competitor. The stock continued to perform well through the middle of January (up +63% from the start of the semiannual period) causing our valuation model to rank the stock less attractively. Further, short interest rose as valuation increased and arbitrageurs became skeptical of the benefits of the acquisition. As our overall composite signal deteriorated, we closed out of the position by the end of January. STILLWATER MINING COMPANY, one of our basic industry stocks, conducts mining operations in the United States, producing palladium, platinum, and associated metals. When we first purchased the stock for the Fund in June of last year, it looked attractive according to all of our metrics. The stock price increased significantly during the semiannual period. Although this was in part due to increasing commodity prices, the company was also an extremely strong performer relative to other basic industry stocks, non-energy mineral stocks, and similar mining companies. We had exited the position by early February, having realized a significant gain for the Fund. Several of our best performers over the semiannual period came from the electronic technology sector. For example, the Fund saw a significant price increase for its position 3 in CONEXANT SYSTEMS, INC., a semiconductor company that makes chipsets that go into printers, TV set-top boxes, digital picture frames and other devices. We established a position in this stock in August 2008 and purchased additional shares in September 2009, as the stock looked attractive according to all of our primary models. During the semiannual period the company restructured its business and was able to grow profits despite falling revenues. By the end of the semiannual period Conexant had a stronger earnings expectations outlook and an improved financial quality score, reflecting in part the company's restructuring. The Fund continued to hold the stock at the end of the semiannual period. Turning to some investments that negatively impacted performance, early in the semiannual period the Fund built a position in GEOKINETICS INC., which provides seismic data acquisition, and seismic data processing and interpretation services to the oil and natural gas industry. We purchased the company in September based on investment signals that suggested the company had relatively clean financials and an attractive valuation relative to peers. Recent economic uncertainty has curtailed new projects and thus the demand for seismic data. High fixed costs have limited the company's ability to restructure and have weighed on earnings. As it has underperformed its broad base of peers, the stock has become more attractive on a valuation basis and we continue to hold the position. Finally, we began in October to purchase UNITED WESTERN BANCORP, INC., which provides community-based banking services to individuals and small and mid-size business customers in Colorado. At the time of purchase its relative valuation was attractively ranked; however, the difficult economic and credit environment has worsened earning prospects and the stock price has been penalized. Attractive valuation characteristics have kept this investment in the portfolio. INVESTMENT POSITIONING. As you can see in the table to the right, Fund characteristics remain in line with the benchmark. Note that small deviations from the benchmark reflected in both sector exposures and the fundamental characteristics of the Fund arise purely from the bottom up stock selection process and do not reflect attempts to actively time the overall market, style preferences, or sector rotation. As of the end of February, the Fund's median market capitalization was below that of the benchmark. As we have said in the past, we believe that there are attractive opportunities in smaller cap, less liquid stocks and we further believe that it is critical to keep our asset base small to effectively invest in these less liquid stocks. The Fund continued to have a higher median analysts' expected long-term earnings growth rate versus the benchmark. This relative exposure increased over the last six months as the Fund's expected growth rate increased while the benchmark's expected growth rate declined. The portfolio maintains its attractive valuation exposure- price-to-earnings and price-to-sales ratios are currently below the benchmark. These ratios FUNDAMENTAL CHARACTERISTICS FEBRUARY 28, 2010
RUSSELL 2000(R) MEDIAN BOGLX* INDEX - ----- ------ ------- Median Market Cap. ($mil.) $ 672 $ 937 Estimated Long-Term Earnings Growth Rate 15.3% 13.2% Price/Historical Earnings 17.5x 21.1x Price/Forward Earnings 13.6x 16.5x Price/Sales 0.9x 1.5x RISK STATISTICS** - SEMIANNUAL PERIOD Annualized Standard Dev. 22.4% 21.7% Annualized Active Risk 4.9% Beta with Russell 2000(R) 1.01 Average Cash 0.5%
* THE BOGLE SMALL CAP GROWTH FUND INVESTOR SHARES. MEDIAN CHARACTERISTICS REFER TO THE FUND'S HOLDINGS, NOT THE FUND ITSELF. ** RISK STATISTICS APPLY TO THE FUND AND BENCHMARK. STANDARD DEVIATION IS A STATISTICAL MEASURE OF THE RANGE OF PERFORMANCE. ACTIVE RISK IS THE STANDARD DEVIATION OF THE DIFFERENCE BETWEEN THE FUND AND BENCHMARK PERFORMANCE. BETA IS A MEASURE OF A PORTFOLIO'S SENSITIVITY TO MARKET MOVEMENTS. 4 remain at historically attractive levels relative to our benchmark. Other fundamental characteristics for the portfolio and benchmark, including selected risk statistics, are presented in the table. Measures of risk fell significantly from those presented in our annual report, reflecting further market stabilization. PROGRESS AT BOGLE INVESTMENT MANAGEMENT, L.P. At the end of February 2010, assets in the Fund were $89 million. As you know, the Fund reopened to new shareholders on November 1, 2009 (the Fund has always remained open to existing shareholders). The decline in assets under management has created some additional capacity, importantly, without impairing our ability to nimbly invest in smaller stocks. In addition, the market turmoil of the last year and a half caused many firms, especially quantitatively oriented firms, to experience considerable shrinkage in their asset bases. While this contraction presented a large obstacle to performance during the storm, now that markets have calmed we strongly believe that we will now have a much more favorable backdrop for our investment process. We will, as always, continually monitor capacity constraints and our assets under management and will reclose the Fund when we think it is in the best interest of the shareholders. Finally, we are pleased that we can continue to report stability in our investment professional team. We have not lost a single investment professional since inception of the firm ten and a half years ago, a level of turnover almost unheard of in our industry. As a reminder, information about the Fund, including historical NAVs, sector allocation, fundamental characteristics, and top ten holdings, can be viewed on our website, www.boglefunds.com. The NAVs are updated daily while the other Fund information is updated quarterly. Please feel free to call on us at any time with questions you may have about the portfolio or anything else that might be on your mind. Respectfully, Bogle Investment Management, L.P. Management Office: 781-283-5000 Shareholder Services Toll Free: 1-877-BOGLEIM (264-5346) THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT 1-877-264-5346. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. 5 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
INSTITUTIONAL CLASS --------------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 PERIOD* ----------------------- -------------------- -------------------- Actual $1,000.00 $1,105.40 $6.53 Hypothetical (5% return before expenses) 1,000.00 1,018.52 6.28
6 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FUND EXPENSE EXAMPLES (CONCLUDED) (UNAUDITED)
INVESTOR CLASS --------------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 PERIOD* ----------------------- -------------------- -------------------- Actual $1,000.00 $1,105.30 $7.05 Hypothetical (5% return before expenses) 1,000.00 1,018.02 6.78
- ---------- * Expenses are equal to the Fund's annualized six-month expense ratio of 1.25% for the Institutional Class and 1.35% for the Investor Class, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund's ending account values on the first line in each table are based on the actual six-month total return for each class of 10.54% for the Institutional Class and 10.53% for the Investor Class. 7 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% OF NET SECURITY TYPE & SECTOR CLASSIFICATION ASSETS VALUE - ------------------------------------- -------- ----------- COMMON STOCKS: Consumer Growth 26.4% $23,539,602 Technology 20.5 18,266,464 Financial 18.5 16,446,521 Consumer Cyclical 15.1 13,455,072 Industrial 12.8 11,410,957 Basic Industry 2.9 2,550,808 Utility 2.1 1,911,436 Energy 1.5 1,333,972 SHORT-TERM INVESTMENTS 0.3 302,221 LIABILITIES IN EXCESS OF OTHER ASSETS (0.1) (80,127) ----- ----------- NET ASSETS 100.0% $89,136,926 ===== ===========
- ---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 8 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ----------- COMMON STOCKS--99.8% BASIC INDUSTRY--2.9% Aurizon Mines Ltd. * .............................. 162,000 $ 649,620 Boise, Inc. * ..................................... 73,800 350,550 Cabot Corp. ....................................... 26,500 770,090 KMG Chemicals, Inc. ............................... 49,000 652,190 Stepan Co. ........................................ 2,700 128,358 ----------- 2,550,808 ----------- CONSUMER CYCLICAL--15.1% ATC Technology Corp. * ............................ 7,800 174,798 Carter's, Inc. * .................................. 25,400 727,964 China Automotive Systems, Inc. * .................. 19,400 391,686 Cinemark Holdings, Inc. ........................... 48,200 776,502 Cooper Tire & Rubber Co. .......................... 10,300 180,662 Culp, Inc. * ...................................... 41,700 542,934 Dana Holding Corp. * .............................. 61,000 693,570 DSW, Inc., Class A * .............................. 23,800 640,934 Home Inns & Hotels Management, Inc., ADR * ........ 19,800 664,686 Jones Apparel Group, Inc. ......................... 43,100 726,666 M/I Homes, Inc. * ................................. 50,900 654,065 Netflix, Inc. * ................................... 8,200 541,610 Pinnacle Airlines Corp. * ......................... 92,900 755,277 RC2 Corp. * ....................................... 24,000 338,640 Scholastic Corp. .................................. 28,100 826,140 Standard Motor Products, Inc. ..................... 83,600 677,996 Standard Pacific Corp. * .......................... 158,300 668,026 Sturm Ruger & Co., Inc. ........................... 36,300 426,888 Tenneco, Inc. * ................................... 42,600 858,816 THQ, Inc. * ....................................... 93,500 566,610 Ulta Salon, Cosmetics & Fragrance, Inc. * ......... 39,400 722,202 United Stationers, Inc. * ......................... 6,400 365,504 Valassis Communications, Inc. * ................... 20,800 532,896 ----------- 13,455,072 ----------- CONSUMER GROWTH--26.4% AMN Healthcare Services, Inc. * ................... 73,000 673,060 Andersons, Inc., (The) ............................ 21,500 694,450 Boston Beer Co., Inc., Class A, (The) * ........... 13,700 648,284
NUMBER OF SHARES VALUE --------- ----------- CONSUMER GROWTH--(CONTINUED) Cantel Medical Corp. .............................. 37,800 $ 738,990 Cardtronics, Inc. * ............................... 63,800 630,344 Coca-Cola Bottling Co. Consolidated ............... 14,500 806,925 Continucare Corp. * ............................... 123,200 513,744 Corinthian Colleges, Inc. * ....................... 41,700 676,374 Cott Corp. * ...................................... 91,100 655,009 Coventry Health Care, Inc. * ...................... 33,400 774,212 Cubist Pharmaceuticals, Inc. * .................... 27,500 578,600 Emergency Medical Services Corp., Class A * ....... 3,400 177,004 Emergent Biosolutions, Inc. * ..................... 54,100 793,106 Exelixis, Inc. * .................................. 102,000 659,940 Given Imaging Ltd. ................................ 33,500 583,905 HEALTHSOUTH Corp. * ............................... 13,300 230,090 Hi-Tech Pharmacal Co., Inc. * ..................... 32,600 701,226 ICON PLC- SP ADR * ................................ 30,600 720,630 Jazz Pharmaceuticals, Inc. * ...................... 64,900 634,722 Kendle International, Inc. * ...................... 27,000 459,810 King Pharmaceuticals, Inc. * ...................... 44,500 500,625 Lincoln Educational Services Corp. * .............. 35,200 784,960 Medical Action Industries, Inc. * ................. 52,800 662,112 Medicis Pharmaceutical Corp., Class A ............. 31,500 708,750 Medifast, Inc. * .................................. 33,400 706,076 Nu Skin Enterprises, Inc., Class A ................ 24,000 641,280 Odyssey Healthcare, Inc. * ........................ 40,400 708,212 Orthofix International, N.V. * .................... 15,800 538,622 Par Pharmaceutical Cos., Inc. * ................... 33,500 838,505 Prestige Brands Holdings, Inc. * .................. 85,100 683,353 Providence Service Corp. * ........................ 52,300 633,353 Quidel Corp. * .................................... 17,400 227,244 Sirona Dental Systems, Inc. * ..................... 17,600 631,664 SXC Health Solutions Corp. * ...................... 16,700 830,157 Tyson Foods, Inc., Class A ........................ 29,700 506,088 Universal Technical Institute, Inc. * ............. 27,400 692,124 WellCare Health Plans, Inc. * ..................... 10,400 277,680 ZymoGenetics, Inc. * .............................. 115,800 618,372 ----------- 23,539,602 -----------
The accompanying notes are an integral part of the financial statements. 9 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ----------- ENERGY--1.5% CVR Energy, Inc. * ................................ 88,300 $ 725,826 Geokinetics, Inc. * ............................... 71,800 608,146 ----------- 1,333,972 ----------- FINANCIAL--18.5% Allied World Assurance Co. Holdings Ltd. .......... 13,600 626,960 American Financial Group, Inc. .................... 28,700 742,469 American Safety Insurance Holdings Ltd. * ......... 46,300 657,460 Arch Capital Group Ltd. * ......................... 9,300 688,014 Artio Global Investors, Inc., Class A ............. 32,300 787,474 Aspen Insurance Holdings Ltd. ..................... 24,000 678,240 BGC Partners, Inc., Class A ....................... 109,700 544,112 Calamos Asset Management, Inc., Class A ........... 63,000 840,420 Center Financial Corp. * .......................... 85,000 412,250 CNinsure, Inc., ADR ............................... 34,200 757,188 Delphi Financial Group, Inc., Class A ............. 12,600 268,758 Duff & Phelps Corp., Class A ...................... 21,000 350,280 FBL Financial Group, Inc., Class A ................ 30,900 627,888 FBR Capital Markets Corp. * ....................... 108,700 588,067 Greenlight Capital Re Ltd., Class A * ............. 3,500 88,620 Lender Processing Services, Inc. .................. 18,000 687,240 MarketAxess Holdings, Inc. ........................ 41,500 620,840 Max Capital Group Ltd. ............................ 27,700 668,678 National Financial Partners Corp. * ............... 46,700 536,583 Nelnet, Inc., Class A ............................. 51,700 812,724 Pzena Investment Management, Inc., Class A * ...... 60,200 361,200 Rodman & Renshaw Capital Group, Inc. * ............ 165,300 700,872 Safety Insurance Group, Inc. ...................... 21,100 783,654 SWS Group, Inc. ................................... 48,700 586,835 Transatlantic Holdings, Inc. ...................... 15,500 770,350 United Western Bancorp, Inc. ...................... 164,300 399,249 Unitrin, Inc. ..................................... 35,600 860,096 ----------- 16,446,521 -----------
NUMBER OF SHARES VALUE --------- ----------- INDUSTRIAL--12.8% Aircastle Ltd. .................................... 73,300 $ 713,209 AMERCO * .......................................... 14,300 749,749 Consolidated Graphics, Inc. * ..................... 18,900 841,806 Drew Industries, Inc. * ........................... 15,300 354,501 Dycom Industries, Inc. * .......................... 72,300 652,869 Ingram Micro, Inc., Class A * ..................... 23,500 415,950 Kratos Defense & Security Solutions, Inc. * ....... 6,400 83,712 Layne Christensen Co. * ........................... 24,500 675,710 Manpower, Inc. .................................... 6,400 329,728 Navistar International Corp. * .................... 16,400 642,224 Powell Industries, Inc. * ......................... 4,700 135,360 Power-One, Inc. * ................................. 159,400 604,126 R.R. Donnelley & Sons Co. ......................... 32,800 652,392 Shaw Group, Inc., (The) * ......................... 20,200 700,940 Sterling Construction Co., Inc. * ................. 37,800 742,014 Tech Data Corp. * ................................. 18,700 801,108 TeleTech Holdings, Inc. * ......................... 23,000 402,270 Timken Co., (The) ................................. 25,100 658,373 Tredegar Corp. .................................... 24,400 408,700 UniFirst Corp. .................................... 16,100 846,216 ----------- 11,410,957 ----------- TECHNOLOGY--20.5% 3Com Corp. * ...................................... 69,400 529,522 ACI Worldwide, Inc. * ............................. 21,900 399,456 Agilysys, Inc. .................................... 61,400 670,488 Arris Group, Inc. * ............................... 26,600 274,512 Aviat Networks, Inc. * ............................ 42,700 262,605 Bottomline Technologies, Inc. * ................... 40,300 640,367 Checkpoint Systems, Inc. * ........................ 28,700 591,794 Cirrus Logic, Inc. * .............................. 97,600 696,864 Conexant Systems, Inc. * .......................... 117,800 563,084 DivX, Inc. * ...................................... 36,500 220,460 Integrated Device Technology, Inc. * .............. 97,800 534,966 Jabil Circuit, Inc. ............................... 50,300 763,051 JDS Uniphase Corp. * .............................. 86,900 932,437 LaserCard Corp. * ................................. 97,500 609,375 Manhattan Associates, Inc. * ...................... 32,300 816,221 Medidata Solutions, Inc. * ........................ 45,200 696,984
The accompanying notes are an integral part of the financial statements. 10 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ----------- TECHNOLOGY--(CONTINUED) Mellanox Technologies Ltd. * ...................... 18,700 $ 352,682 MicroStrategy, Inc., Class A * .................... 2,100 186,249 NCR Corp. * ....................................... 28,200 355,884 Newport Corp. * ................................... 36,100 380,494 OPNET Technologies, Inc. .......................... 43,700 648,071 Quest Software, Inc. * ............................ 16,000 269,600 RADVision Ltd. * .................................. 100,000 605,000 RealNetworks, Inc. * .............................. 157,000 722,200 RF Micro Devices, Inc. * .......................... 85,100 358,271 Richardson Electronics Ltd. ....................... 79,400 624,084 Sanmina-SCI Corp. * ............................... 56,100 927,894 Sierra Wireless, Inc. * ........................... 58,400 481,800 SonicWALL, Inc. * ................................. 55,900 447,759 TNS, Inc. * ....................................... 14,600 344,998 Unisys Corp. * .................................... 17,700 617,907 VeriFone Holdings, Inc. * ......................... 46,200 891,660 Vishay Intertechnology, Inc. * .................... 82,900 849,725 ----------- 18,266,464 -----------
NUMBER OF SHARES VALUE --------- ----------- UTILITY--2.1% Integrys Energy Group, Inc. . ..................... 15,100 $ 665,608 Net Servicos de Comunicacao SA - ADR .............. 49,400 608,114 NV Energy, Inc. ................................... 57,400 637,714 ----------- 1,911,436 ----------- TOTAL COMMON STOCKS (Cost $79,567,698) .......................... 88,914,832 ----------- SHORT-TERM INVESTMENTS--0.3% Columbia Prime Reserves Fund ...................... 302,221 302,221 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $302,221) ............................. 302,221 ----------- TOTAL INVESTMENTS--100.1% (Cost $79,869,919) ................................ 89,217,053 ----------- LIABILITIES IN EXCESS OF OTHER ASSETS--(0.1)% ........ (80,127) ----------- NET ASSETS--100.0% ................................... $89,136,926 ===========
- ---------- * Non-income producing. ADR-- American Depositary Receipt. SP ADR-- Sponsored American Depositary Receipt. The following is a summary of inputs used, as of February 28, 2010, in valuing the Fund's investments carried at market value (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- ----------- ----------- ----------- TOTAL INVESTMENTS* $89,217,053 $89,217,053 $-- $-- =========== =========== === ===
* See Portfolio of Investments detail for security type and sector classification breakout. The accompanying notes are an integral part of the financial statements. 11 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2010 (UNAUDITED) ASSETS Investments, at value (cost $79,869,919) ................................. $ 89,217,053 Receivables for: Investments sold ...................................................... 2,531,142 Capital shares sold ................................................... 49,302 Dividends and interest ................................................ 86,462 Prepaid expenses and other assets ..................................... 18,337 ------------ Total assets ....................................................... 91,902,296 ------------ LIABILITIES Payables for: Investments purchased ................................................. 2,394,472 Capital shares redeemed ............................................... 220,296 Investment advisory fees and shareholder servicing fees ............... 51,550 Directors' and officers' fees ......................................... 15,402 Other accrued expenses and liabilities ................................ 83,650 ------------ Total liabilities .................................................. 2,765,370 ------------ Net assets ............................................................... $ 89,136,926 ============ NET ASSETS CONSIST OF Capital stock, $0.001 par value .......................................... $ 5,791 Paid-in capital .......................................................... 152,669,763 Accumulated net investment loss .......................................... (279,984) Accumulated net realized loss from investments ........................... (72,605,778) Net unrealized appreciation on investments ............................... 9,347,134 ------------ Net Assets ............................................................... $ 89,136,926 ============ INSTITUTIONAL CLASS Net assets ............................................................... $ 34,389,528 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 2,216,291 ------------ Net asset value, offering and redemption price per share ................. $ 15.52 ============ INVESTOR CLASS Net assets ............................................................... $ 54,747,398 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 3,574,248 ------------ Net asset value, offering and redemption price per share ................. $ 15.32 ============
The accompanying notes are an integral part of the financial statements. 12 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENT OF OPERATIONS FOR THE PERIOD ENDED FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT INCOME Dividends (net of foreign withholding taxes of $3,990) ................... $ 295,933 Other income ............................................................. 316 ----------- Total investment income ............................................... 296,249 ----------- EXPENSES Advisory fees ............................................................ 439,431 Administration and accounting fees ....................................... 75,369 Transfer agent fees ...................................................... 70,785 Shareholder servicing fees ............................................... 26,944 Professional fees ........................................................ 20,796 Directors' and officers' fees ............................................ 19,475 Printing and shareholder reporting fees .................................. 17,552 Custodian fees ........................................................... 14,175 Registration and filing fees ............................................. 13,838 Insurance fees ........................................................... 6,540 Other expenses ........................................................... 2,220 ----------- Total expenses before waivers ......................................... 707,125 Less: waivers ......................................................... (130,892) ----------- Net expenses after waivers .................................................. 576,233 ----------- Net investment loss ......................................................... (279,984) ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS Net realized gain from investments ....................................... 13,414,604 Net change in unrealized appreciation/(depreciation) on investments ...... (4,208,439) ----------- Net realized and unrealized gain from investments ........................... 9,206,165 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................ $ 8,926,181 ===========
The accompanying notes are an integral part of the financial statements. 13 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment loss ...................................................... $ (279,984) $ (430,465) Net realized gain/(loss) from investments ................................ 13,414,604 (57,964,843) Net change in unrealized appreciation/(depreciation) on investments ...... (4,208,439) 17,425,741 ----------- ------------ Net increase/(decrease) in net assets resulting from operations .......... 8,926,181 (40,969,567) ----------- ------------ INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ............................................. 4,311,285 6,194,651 Distributions for shares redeemed ..................................... (9,008,247) (32,754,100) ----------- ------------ Total Institutional Class ............................................. (4,696,962) (26,559,449) ----------- ------------ Investor Class Proceeds from shares sold ............................................. 3,006,939 2,931,980 Distributions for shares redeemed ..................................... (7,048,687) (13,476,265) ----------- ------------ Total Investor Class .................................................. (4,041,748) (10,544,285) ----------- ------------ Net decrease in net assets from capital share transactions .................. (8,738,710) (37,103,734) ----------- ------------ Total increase/(decrease) in net assets ..................................... 187,471 (78,073,301) NET ASSETS Beginning of period ...................................................... 88,949,455 167,022,756 ----------- ------------ End of period ............................................................ $89,136,926 $ 88,949,455 =========== ============ Undistributed net investment income/(loss), end of period ................ $ (279,984) $ -- =========== ============
The accompanying notes are an integral part of the financial statements. 14 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: Institutional Class Shares sold ........................................................... 284,671 550,481 Shares redeemed ....................................................... (602,830) (2,890,397) -------- ---------- Total Institutional Class ............................................. (318,159) (2,339,916) Investor Class Shares sold ........................................................... 201,849 272,329 Shares redeemed ....................................................... (478,288) (1,233,242) -------- ---------- Total Investor Class .................................................. (276,439) (960,913) -------- ---------- Total decrease in shares outstanding derived from share transactions ........ (594,598) (3,300,829) ======== ==========
The accompanying notes are an integral part of the financial statements. 15 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective years. This information has been derived from information provided in the financial statements.
INSTITUTIONAL CLASS -------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 2/28/10 8/31/09 8/31/08 8/31/07 8/31/06 8/31/05 ----------- ------- ------- -------- ------- -------- (UNAUDITED) PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ...................... $ 14.03 $ 17.35 $ 24.61 $ 27.74 $ 28.78 $ 24.99 ------- ------- ------- -------- -------- -------- Net investment loss ....................................... (0.04)* (0.05)* (0.13)* (0.08)* (0.16)* (0.22) Net realized and unrealized gain/(loss) from investments .. 1.53 (3.27) (3.99) 2.74 3.08 6.49 ------- ------- ------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations ............................................. 1.49 (3.32) (4.12) 2.66 2.92 6.27 ------- ------- ------- -------- -------- -------- Distributions to shareholders from: Net realized capital gains ................................ -- -- (3.14) (5.79) (3.96) (2.48) ------- ------- ------- -------- -------- -------- Net asset value, end of period ............................ $ 15.52 $ 14.03 $ 17.35 $ 24.61 $ 27.74 $ 28.78 ======= ======= ======= ======== ======== ======== Total investment return(1) ................................ 10.54% (19.08)% (19.33)% 10.29% 12.46% 27.34% ======= ======= ======= ======== ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ................. $34,390 $35,571 $84,546 $197,415 $189,920 $177,359 Ratio of expenses to average net assets with waivers and reimbursements ......................................... 1.25%(2) 1.25% 1.25% 1.25% 1.25% 1.25% Ratio of expenses to average net assets without waivers and reimbursements ..................................... 1.55%(2) 1.57% 1.44% 1.43% 1.43% 1.46% Ratio of net investment loss to average net assets ........ (0.58)%(2) (0.44)% (0.64)% (0.30)% (0.55)% (0.73)% Portfolio turnover rate ................................... 98.59% 159.14% 162.10% 142.45% 126.64% 129.18%
- ---------- * Calculated based on average shares outstanding for the period. (1) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Annualized. The accompanying notes are an integral part of the financial statements. 16 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective years. This information has been derived from information provided in the financial statements.
INVESTOR CLASS -------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 2/28/10 8/31/09 8/31/08 8/31/07 8/31/06 8/31/05 ----------- ------- ------- -------- -------- -------- (UNAUDITED) PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ...................... $ 13.86 $ 17.14 $ 24.38 $ 27.56 $ 28.65 $ 24.91 ------- ------- ------- -------- -------- -------- Net investment loss ....................................... (0.05)* (0.06)* (0.14)* (0.10)* (0.18)* (0.23) Net realized and unrealized gain/(loss) from investments ....................................... 1.51 (3.22) (3.96) 2.71 3.05 6.45 ------- ------- ------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations ............................................. 1.46 (3.28) (4.10) 2.61 2.87 6.22 ------- ------- ------- -------- -------- -------- Distributions to shareholders from: Net realized capital gains ................................ -- -- (3.14) (5.79) (3.96) (2.48) ------- ------- ------- -------- -------- -------- Net asset value, end of period ............................ $ 15.32 $ 13.86 $ 17.14 $ 24.38 $ 27.56 $ 28.65 ======= ======= ======= ======== ======== ======== Total investment return(1) ................................ 10.53% (19.14)% (19.45)% 10.15% 12.33% 27.22% ======= ======= ======= ======== ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ................. $54,747 $53,379 $82,477 $135,752 $147,471 $134,054 Ratio of expenses to average net assets with waivers and reimbursements ......................................... 1.35%(2) 1.35% 1.35% 1.35% 1.35% 1.35% Ratio of expenses to average net assets without waivers and reimbursements ......................................... 1.65%(2) 1.67% 1.54% 1.53% 1.53% 1.56% Ratio of net investment loss to average net assets ........ (0.68)%(2) (0.56)% (0.74)% (0.40)% (0.65)% (0.83)% Portfolio turnover rate ................................... 98.59% 159.14% 162.10% 142.45% 126.64% 129.18%
- ---------- * Calculated based on average shares outstanding for the period. (1) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Annualized. The accompanying notes are an integral part of the financial statements. 17 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the "Investment Company Act") as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the "Fund"), which commenced investment operations on October 1, 1999. As of the date hereof, the Fund offers two classes of shares, Institutional Class and Investor Class. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families." PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 - unadjusted quoted prices in active markets for identical securities - Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments.) 18 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2010 is included with the Fund's Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. The Fund's net investment income (other than class specific shareholder servicing fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from accounting principles generally accepted in the United States. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may 19 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Bogle Investment Management, L.P. (the "Adviser" or "Bogle") serves as the Fund's investment adviser. For its advisory services, the Adviser is entitled to receive 1.00% of the Fund's average daily net assets, computed daily and payable monthly. The Adviser has contractually agreed to limit the Fund's total operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) through December 31, 2010 to the extent that such expenses exceed 1.25% of the average daily net assets of the Fund's Institutional Class and 1.35% of the average daily net assets of the Fund's Investor Class. As necessary, this limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee. The contractual fee waiver does not provide for recoupment of fees that were waived or expenses that were reimbursed. For the six-month period ended February 28, 2010, investment advisory fees and waivers of the Fund were as follows:
GROSS NET ADVISORY FEES WAIVERS ADVISORY FEES - ------------- --------- ------------- $439,431 $(125,399) $314,032
The Fund will not pay the Adviser at a later time for any amounts waived or any amounts assumed. In addition to serving as the Fund's investment adviser, Bogle provides certain shareholder services to the Investor Class of the Fund. As compensation for such services, the Adviser receives a monthly fee equal to an annual rate of 0.10% of the average daily net assets of the Fund's Investor Class. PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Fund. For providing administrative and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. PNC has voluntarily agreed to waive a portion of its administration and accounting fees for the Fund. For the six-month period ended February 28, 2010, administration and accounting fees and waivers of the Fund were as follows:
GROSS ADMINISTRATION NET ADMINISTRATION AND ACCOUNTING AND ACCOUNTING FEES WAIVERS FEES - -------------------- ------- ------------------ $75,369 $(5,493) $69,876
For providing regulatory administration services to RBB, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio in proportion to its net assets of the Company. 20 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) In addition, PNC serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. For providing custodial services to the Fund, PFPC Trust Company, an affiliate of PNC, is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. PFPC Distributors, Inc., an affiliate of PNC, serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. The Fund will not pay PNC or PNC's affiliates at a later time for any amounts waived or any amounts assumed. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six-month period ended February 28, 2010 was $6,584. Certain employees of PNC are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six-month period ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
INVESTMENT SECURITIES - ------------------------- PURCHASES SALES - ----------- ----------- $85,630,405 $94,441,662
5. CAPITAL SHARE TRANSACTIONS As of February 28, 2010, the Fund has 100,000,000 shares of $0.001 par value common stock authorized for the Institutional Class and 100,000,000 shares of $0.001 par value common stock authorized for the Investor Class. As of February 28, 2010, the Fund had two shareholder accounts and/or omnibus accounts (comprised of a group of individual shareholders) that held 31% of the total shares outstanding of the Fund. 6. FEDERAL INCOME TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax 21 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION APPRECIATION - ----------- ------------ ------------- -------------- $81,422,058 $12,710,167 $(4,915,172) $7,794,995
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG-TERM INCOME GAINS - ------------- ------------- $-- $--
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the fiscal year ended August 31, 2009 is as follows:
ORDINARY INCOME LONG-TERM GAINS TOTAL - --------------- --------------- ----- $-- $-- $--
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. As of August 31, 2009, the Fund had capital loss carryforwards of $39,229,442 available to offset future capital gains. This capital loss carryforward will expire on August 31, 2016 ($2,386,627) and 2017 ($36,842,815). Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2009, the Fund deferred post-October capital losses of $45,238,801. 22 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) (UNAUDITED) 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund though the date the financial statements were issued, and has determined that there was the following subsequent event: On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 23 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 24 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND OF THE RBB FUND, INC. SEMIANNUAL REPORT FEBRUARY 28, 2010 (UNAUDITED) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. INVESTMENT ADVISER Bogle Investment Management, L.P. 2310 Washington Street Suite 310 Newton Lower Falls, MA 02462 ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 (MARVIN & PALMER(R) ASSOCIATES, INC. LOGO) GLOBAL EQUITY MANAGEMENT (GRAPHIC) MARVIN & PALMER LARGE CAP GROWTH FUND of The RBB Fund, Inc. SEMI-ANNUAL REPORT February 28, 2010 (Unaudited) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Shares of the Fund are distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406. MARVIN & PALMER LARGE CAP GROWTH FUND SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2010 (UNAUDITED) Dear Fellow Shareholder: During the period from September 1, 2009 through February 28, 2010 the Fund returned 8.3%. It underperformed the Russell 1000 Growth Index which was up 11.3% for the same period. INVESTMENT CLIMATE AND OUTLOOK The continuation of the economic and equity market rebounds that started last spring were helped by the record-low interest rates globally that the world's central bankers have maintained. While the outlook looks generally positive for 2010, particularly for the first six months, there are potential negatives as the year goes on. Some of these concerns include the timing of interest rate increases, stubbornly high unemployment rates, as well as worries about the long-term impact of the healthcare reform and other government spending. The U.S. and other developed markets are likely to have moderate growth when compared to the emerging markets, led by China and Brazil, which are driving higher demand for materials and energy. Most companies are benefiting from a rebound in the inventory cycle, as well as the cost-cutting measures taken during the recent financial crisis. Despite concerns about the sustainability of the current economic recovery, we remain constructive on the outlook for equities. However, the market continues to worry about debt default issues around the globe and the threats of both inflation and less accommodative monetary policy. Given these crosscurrents, we expect the market to increasingly favor larger, high-quality growth companies. We are particularly positive on companies exposed to emerging markets. On a sector basis, we believe the technology sector should perform well this year. The combination of the growth in smart phones, cloud computing and increased corporate spending should make the technology sector attractive in a slow growth environment. INVESTMENT REVIEW AND PORTFOLIO STRATEGY The Marvin & Palmer Large Cap Growth Fund underperformed the Russell 1000 Growth Index and the broader S&P 500 Index during the six months ended February 28, 2010. The Fund's underperformance was driven by stock selection. Sector allocation was a slight positive contributor. The financials sector hurt the most, while the information technology sector helped the most. The Fund's best performing stocks were Cognizant Technology Solutions, Amazon.com, Inc. and NetApp, Inc. The worst contributing stocks were Microsoft Corp., Procter & Gamble Co. and Abbott Laboratories. The Fund's primary underweights are in the consumer staples, financials and health care sectors. The information technology and industrials sectors look the most promising to us. We are quite positive about the outlook for corporate profitability. We continue to emphasize leading companies in the most economically sensitive sectors that will lead the global recovery. Again, we thank you for your patience and understanding. David F. Marvin, CFA Chairman Marvin & Palmer Associates, Inc. 1 MARVIN & PALMER LARGE CAP GROWTH FUND SEMI-ANNUAL REPORT FEBRUARY 28, 2010 (UNAUDITED) Total Returns for the Period Ended February 28, 2010
AVERAGE ANNUAL SIX SINCE MONTHS ONE YEAR INCEPTION* ------ -------- -------------- LARGE CAP GROWTH FUND 8.30% 35.68% -11.50% RUSSELL 1000(R) GROWTH INDEX 11.32% 54.19% -5.40%
* INCEPTION DATE JUNE 29, 2007. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END MAY BE OBTAINED BY CALLING (877) 821-2117. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. THE FUND'S GROSS ANNUAL OPERATING EXPENSE RATIO, AS STATED IN THE CURRENT PROSPECTUS, IS 2.27% AND THE FUND'S NET OPERATING EXPENSE RATIO IS 0.80%. THE EXPENSE RATIO IS CONTRACTUALLY CAPPED AT 0.80% THROUGH DECEMBER 31, 2010, WITHOUT WHICH PERFORMANCE WOULD HAVE BEEN LESS. THIS CAP CAN BE DISCONTINUED AT ANY TIME AFTER DECEMBER 31, 2010. THE FUND'S TOTAL RETURNS SINCE INCEPTION ARE BASED ON A CHANGE IN NET ASSET VALUE FROM $10.00 PER SHARE ON JUNE 29, 2007 (INCEPTION) TO $7.18 PER SHARE ON FEBRUARY 28, 2010. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. 2 MARVIN & PALMER LARGE CAP GROWTH FUND FUND EXPENSE DISCLOSURE FEBRUARY 28, 2010 (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
LARGE CAP GROWTH FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,083.00 $4.13 Hypothetical (5% return before expenses) 1,000.00 1,020.78 4.02
- ---------- * Expenses are equal to an annualized six-month expense ratio of 0.80% for the Fund which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (181), then divided by 365 to reflect the one-half year period. The Fund's ending account values are based on the actual six-month total return for the Fund of 8.30%. 3 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% of Net Assets Value -------- ----------- Domestic Common Stocks: Technology Hardware & Equipment ..... 17.8% $ 2,365,476 Software & Services ................. 16.3 2,166,118 Pharmaceuticals, Biotechnology & Life Sciences .................... 10.8 1,433,421 Capital Goods ....................... 9.4 1,250,463 Retailing ........................... 7.8 1,027,906 Health Care Equipment & Services .... 6.3 840,881 Food, Beverage & Tobacco ............ 5.3 697,697 Energy .............................. 4.3 564,640 Household Products .................. 3.2 425,144 Transportation ...................... 2.9 377,874 Food & Staples Retailing ............ 2.7 356,862 Consumer Durables & Apparel ......... 2.3 310,240 Materials ........................... 2.2 297,507 Semiconductors & Semiconductors Equipment ........................ 2.0 268,656 Diversified financials .............. 1.6 209,597 Consumer Services ................... 1.4 185,165 Banking ............................. 1.3 166,774 Other Assets In Excess of Liabilities .. 2.4 314,422 ----- ----------- NET ASSETS ............................. 100.0% $13,258,843 ===== ===========
Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 4 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
Shares Value ------ ----------- DOMESTIC COMMON STOCKS -- 97.6% BANKING -- 1.3% Wells Fargo & Co. ....................................... 6,100 $ 166,774 ----------- CAPITAL GOODS -- 9.4% 3M Co. .................................................. 2,400 192,360 Boeing Co., (The) ....................................... 1,800 113,688 Caterpillar, Inc. ....................................... 2,700 154,035 McDermott International, Inc.* .......................... 3,800 86,830 Precision Castparts Corp. ............................... 3,500 394,625 United Technologies Corp. ............................... 4,500 308,925 ----------- 1,250,463 ----------- CONSUMER DURABLES & APPAREL -- 2.3% NIKE, Inc., Class B ..................................... 2,300 155,480 VF Corp. ................................................ 2,000 154,760 ----------- 310,240 ----------- CONSUMER SERVICES -- 1.4% McDonald's Corp. ........................................ 2,900 185,165 ----------- DIVERSIFIED FINANCIALS -- 1.6% Goldman Sachs Group, Inc., (The) ........................ 750 117,263 JPMorgan Chase & Co. .................................... 2,200 92,334 ----------- 209,597 ----------- ENERGY -- 4.3% Exxon Mobil Corp. ....................................... 1,500 97,500 Schlumberger Ltd. ....................................... 4,600 281,060 Transocean Ltd.* ........................................ 1,300 103,766 Ultra Petroleum Corp.* .................................. 1,800 82,314 ----------- 564,640 ----------- FOOD & STAPLES RETAILING -- 2.7% Wal-Mart Stores, Inc. ................................... 6,600 356,862 ----------- FOOD, BEVERAGES & TOBACCO -- 5.3% Coca-Cola Co., (The) .................................... 4,000 210,880 General Mills, Inc. ..................................... 2,000 144,020 PepsiCo, Inc. ........................................... 2,900 181,163 Philip Morris International, Inc. ....................... 3,300 161,634 ----------- 697,697 ----------- HEALTH CARE EQUIPMENT & SERVICES -- 6.3% Medco Health Solutions, Inc.* ........................... 3,500 221,340 Stryker Corp. ........................................... 3,600 191,160 WellPoint, Inc.* ........................................ 4,700 290,789 Zimmer Holdings, Inc.* .................................. 2,400 137,592 ----------- 840,881 ----------- HOUSEHOLD PRODUCTS -- 3.2% Colgate-Palmolive Co. ................................... 3,600 298,584 Procter & Gamble Co., (The) ............................. 2,000 126,560 ----------- 425,144 -----------
Shares Value ------ ----------- MATERIALS -- 2.2% Freeport-McMoRan Copper & Gold, Inc. .................... 1,550 $ 116,498 Mosaic Co., (The) ....................................... 3,100 181,009 ----------- 297,507 ----------- PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES -- 10.8% Abbott Laboratories ..................................... 3,000 162,840 Celgene Corp.* .......................................... 4,100 244,032 Gilead Sciences, Inc.* .................................. 6,140 292,325 Johnson & Johnson ....................................... 3,600 226,800 Life Technologies Corp.* ................................ 4,800 243,648 Merck & Co., Inc. ....................................... 4,200 154,896 Warner Chilcott PLC, Class A* ........................... 4,000 108,880 ----------- 1,433,421 ----------- RETAILING -- 7.8% Amazon.com, Inc.* ....................................... 2,900 343,360 Kohl's Corp.* ........................................... 2,300 123,786 Priceline.com, Inc.* .................................... 1,300 294,788 Target Corp. ............................................ 2,900 149,408 TJX Cos., Inc. (The) .................................... 2,800 116,564 ----------- 1,027,906 ----------- SEMICONDUCTORS & SEMICONDUCTORS EQUIPMENT -- 2.0% Micron Technology, Inc.* ................................ 12,700 115,062 Texas Instruments, Inc. ................................. 6,300 153,594 ----------- 268,656 ----------- SOFTWARE & SERVICES -- 16.3% Cognizant Technology Solutions Corp., Class A* ............................................. 8,900 428,357 Google, Inc., Class A* .................................. 1,020 537,336 Microsoft Corp. ......................................... 11,700 335,322 Oracle Corp. ............................................ 5,500 135,575 Salesforce.com, Inc.* ................................... 5,000 339,750 Visa, Inc., Class A ..................................... 1,900 162,032 VMware, Inc., Class A* .................................. 4,600 227,746 ----------- 2,166,118 ----------- TECHNOLOGY HARDWARE & EQUIPMENT -- 17.8% Apple, Inc.* ............................................ 2,350 480,857 Cisco Systems, Inc.* .................................... 16,100 391,713 EMC Corp.* .............................................. 17,200 300,828 Hewlett-Packard Co. ..................................... 2,000 101,580 Juniper Networks, Inc.* ................................. 11,700 327,366 NetApp, Inc.* ........................................... 10,500 315,105 QUALCOMM, Inc. .......................................... 3,800 139,422 Seagate Technology ...................................... 15,500 308,605 ----------- 2,365,476 -----------
The accompanying notes are an integral part of the financial statements. 5 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
Shares Value ------ ----------- TRANSPORTATION -- 2.9% CSX Corp. ............................................... 2,000 $ 94,920 Union Pacific Corp. ..................................... 4,200 282,954 ----------- 377,874 ----------- TOTAL DOMESTIC COMMON STOCKS (Cost $10,738,221) ................................ 12,944,421 ----------- TOTAL INVESTMENTS -- 97.6% (Cost $10,738,221) ................................... 12,944,421 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.4% ........... 314,422 ----------- NET ASSETS -- 100.0% .................................... $13,258,843 ===========
- ---------- * Non-income producing. The following is a summary of the inputs used, as of February 28, 2010, in valuing the Fun's investments carried at market value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- ----------- ----------- ------------ Investments in Securities* $12,944,421 $12,944,421 $-- $-- =========== =========== === ===
* Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 6 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2010 (UNAUDITED) ASSETS Investments, at value (Cost $10,738,221) .............................. $ 12,944,421 Cash and cash equivalents ............................................. 319,153 Receivables Investments sold ................................................... 97,835 Investment adviser ................................................. 26,961 Dividends and interest ............................................. 13,216 Prepaid expenses and other assets ..................................... 11,490 ------------ Total assets .................................................... 13,413,076 ------------ LIABILITIES Payable for investments purchased ..................................... 92,351 Other accrued expenses and liabilities ................................ 61,882 ------------ Total liabilities ............................................... 154,233 ------------ Net Assets ............................................................ $ 13,258,843 ============ NET ASSETS CONSIST OF Par value ............................................................. $ 1,847 Paid-in capital ....................................................... 23,070,536 Accumulated net investment loss ....................................... (10,463) Accumulated net realized loss from investments ........................ (12,009,277) Net unrealized appreciation on investments ............................ 2,206,200 ------------ Net Assets ............................................................ $ 13,258,843 ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) .. 1,846,729 ------------ Net asset value, offering and redemption price per share .............. $ 7.18 ============
The accompanying notes are an integral part of the financial statements. 7 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT INCOME Dividends ................................................. $ 59,306 ---------- Total investment income ................................ 59,306 ---------- EXPENSES Administration and accounting fees ........................ 75,632 Advisory fees ............................................. 56,684 Professional fees ......................................... 16,981 Transfer agent fees ....................................... 14,582 Directors' and officers' fees ............................. 11,317 Registration and filing fees .............................. 11,174 Printing and shareholder reporting fees ................... 8,739 Custodian fees ............................................ 2,756 Insurance ................................................. 1,701 Other expenses ............................................ 941 ---------- Total expenses before waivers and reimbursements ....... 200,507 ---------- Less: waivers and reimbursements ....................... (130,742) ---------- Net expenses after waivers and reimbursements .......... 69,765 ---------- Net investment loss ....................................... (10,459) ---------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments ............................................ 2,464,321 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ............................................ (819,251) ---------- Net realized and unrealized gain from investments ......... 1,645,070 ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ......... $1,634,611 ==========
The accompanying notes are an integral part of the financial statements. 8 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ............................................... $ (10,459) $ 67,304 Net realized gain/(loss) from investments .................................. 2,464,321 (10,342,051) Net change in unrealized appreciation/(depreciation) from investments ...... (819,251) 1,991,618 ----------- ------------ Net increase/(decrease) in net assets resulting from operations ............... 1,634,611 (8,283,129) ----------- ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ...................................................... (31,926) (63,113) ----------- ------------ Net decrease in net assets from dividends and distributions to shareholders ... (31,926) (63,113) ----------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold .................................................. 1,390,000 2,752,950 Reinvestment of distributions .............................................. 31,506 62,459 Shares redeemed ............................................................ (9,108,600) (3,906,142) ----------- ------------ Net decrease in net assets from capital transactions .......................... (7,687,094) (1,090,733) ----------- ------------ Total decrease in net assets .................................................. (6,084,409) (9,436,975) NET ASSETS Beginning of period ........................................................ 19,343,252 28,780,227 ----------- ------------ End of period .............................................................. $13,258,843 $ 19,343,252 =========== ============ Undistributed/accumulated net investment income (loss), end of period ......... $ (10,463) $ 31,922 =========== ============ SHARE TRANSACTIONS: Shares sold ................................................................ 189,410 449,528 Shares reinvested .......................................................... 4,376 10,324 Shares redeemed ............................................................ (1,260,305) (633,123) ----------- ------------ Total share transactions ................................................... (1,066,519) (173,271) =========== ============
The accompanying notes are an integral part of the financial statements. 9 MARVIN & PALMER LARGE CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX FOR FOR MONTHS ENDED THE YEAR THE YEAR FEBRUARY 28, ENDED ENDED FOR THE PERIOD 2010 AUGUST 31, AUGUST 31, JUNE 29, 2007* (UNAUDITED) 2009 2008 TO AUGUST 31, 2007 ------------ ---------- ---------- ------------------ PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period .............................. $ 6.64 $ 9.32 $ 10.20 $ 10.00 ------- ------- ------- ------- Net investment income/(loss) ...................................... (0.01) 0.02 0.01 --(1) Net realized and unrealized gain/(loss) on investments ............ 0.56 (2.68) (0.89) 0.20 ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from operations ... 0.55 (2.66) (0.88) 0.20 ------- ------- ------- ------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income ............................................. (0.01) (0.02) --(1) -- ------- ------- ------- ------- Net asset value, end of period .................................... $ 7.18 $ 6.64 $ 9.32 $ 10.20 ======= ======= ======= ======= Total investment return(2) ........................................ 8.30% (28.51)% (8.61)% 2.00% RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ......................... $13,259 $19,343 $28,780 $15,283 Ratio of expenses to average net assets ........................... 0.80%(3) 0.80% 0.80% 0.80%(3) Ratio of expenses to average net assets without waivers and expense reimbursements ......................................... 2.30%(3) 2.27% 2.09% 3.93%(3) Ratio of net investment income (loss) to average net assets ....... (0.12)%(3) 0.37% 0.12% 0.21%(3) Portfolio turnover rate ........................................... 79.02% 237.91% 252.37% 28.70%
- ---------- * Commencement of Operations. (1) Less than $0.005 per share. (2) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (3) Annualized. The accompanying notes are an integral part of the financial statements. 10 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Marvin & Palmer Large Cap Growth Fund (the "Fund"), which commenced investment operations on June 29, 2007. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families". PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2010 is included with the Fund's Schedule of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. 11 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Marvin & Palmer Associates, Inc. ("Marvin & Palmer" or the "Adviser") serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Company (the "Advisory Agreement"). For its services, the Adviser is paid a monthly fee at the annual rate of 0.65% of the Fund's average daily net assets. The Adviser has agreed to limit through December 31, 2010 the Fund's total operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to the extent that such expenses exceed 0.80% of the Fund's average daily net assets. This limitation is effected in waivers of advisory fees and reimbursement of expenses exceeding the advisory fee as necessary. If at any time during the three years ending March 4, 2013 the advisory agreement is in effect, the Fund's total annual operating expenses for that year are less than 0.80% of the Fund's average daily net assets, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund during such three-year period. For the period ended February 28, 2010, investment advisory fees accrued and waived were $56,684 and expenses reimbursed or to be reimbursed by the Adviser were $74,058. PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Fund. Administration and accounting fees accrued also include certain Transfer Agent and custodian fees. For providing administrative and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting fees are fees for providing regulatory administration services to RBB. For providing these services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio in proportion to its net assets of the Company. In addition, PNC serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, PNC is entitled to receive out of pocket expenses. For providing custodial services to the Fund, PFPC Trust Company, an affiliate of PNC, is entitled to receive out of pocket expenses. PFPC Distributors, Inc., an affiliate of PNC, serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. 12 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the period ended February 28, 2010 was $2,916. Certain employees of PNC are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six-month period ended ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES SALES ----------- ----------- Investment Securities .............................. $13,117,499 $20,779,320
5. SIGNIFICANT SHAREHOLDERS As of February 28, 2010, the Fund had 2 shareholder accounts and/or omnibus accounts (comprised of a group of individual shareholders) that amounted to 74% of the total shares outstanding of the Fund. 6. FEDERAL TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2006 - 2009) and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION APPRECIATION - ----------- ------------ ------------ -------------- $10,738,221 $2,333,181 $(126,981) $2,206,200
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY INCOME LONG-TERM GAINS - --------------- --------------- $31,922 $--
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes. 13 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED) The tax character of distributions paid during the fiscal year ended August 31, 2009 was as follows: Ordinary income ...................................................... $63,113 Long-term capital gains .............................................. -- ------- Total distributions .................................................. $63,113 =======
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2009, the Fund had a capital loss carryforward of $7,767,007 which will expire on August 31, 2016 ($328,738) and August 31, 2017 ($7,438,269). Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2009, the Fund expects to elect to treat post-October capital losses of $6,535,689 as having been incurred in the following fiscal year. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event: On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 14 MARVIN & PALMER LARGE CAP GROWTH FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Marvin and Palmer at (877) 821-2117 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 15 [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] Investment Adviser Marvin & Palmer Associates, Inc. 1201 N. Market Street Suite 2300 Wilmington, DE 19801-1165 Administrator PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 Transfer Agent PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 Principal Underwriter PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 Custodian PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 Counsel Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 18 FREE MARKET FUNDS ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2010 (UNAUDITED) Dear Fellow Shareholder, It has been a couple of years since the launch of the Free Market Mutual Funds (the "Funds") on January 1, 2008. The Funds have steadily gained assets since their start and have topped the $1 billion milestone in 2010. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market investment strategies. Over the past six months, investors who remained invested have continued to experience the gains from the upward rally that started almost a year ago when the S&P 500 Index closed at its 676 low on March 9, 2009. Global equity markets over the past six months have risen 6.22% as measured by the MSCI All Country World Index. Furthermore, U.S. Small stocks, U.S. Value stocks and emerging markets led the way with double digit returns over the past half a year. The Barclays Capital U.S. Government/Credit Intermediate Bond Index also experienced positive returns of 3.01% for the period. Matson Money, Inc. ("Matson Money") strives to deliver the performance of capital markets and add value through Free Market investment strategies and Structured Market Portfolios. Grounded in the conviction that Free Markets work, Matson Money avoids the cost-generating activity of stock picking and market timing. Instead, we focus on the dimensions of capital markets that we believe reward investors as intelligently and effectively as possible. Our disciplined approach to life-long investing provides both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals. Sound economic and financial research has documented that, over the long term, small cap stocks outperform large cap stocks, and value stocks outperform growth stocks. These returns seem to be compensation for risk. In fixed income, risk is well described by bond maturity and credit quality. Matson Money's vehicles deliberately target specific risk and return trade offs. The Funds are diversified and designed to work together in your total investment plan. Each Fund pursues its investment objective by investing under normal circumstances at least 80% of its net assets in shares of other registered investment companies. We invite you to contact your financial professional or explore our website, www.MyMatrix.cc, to learn more about the concepts and strategies of Matson Money's investing. We appreciate your support and confidence in our firm's investment philosophy, process and people. /s/ Daniel J List Daniel J List Chief Compliance Officer and Director of Portfolio Management Matson Money, Inc. 1 FREE MARKET FUNDS PERFORMANCE DATA (UNAUDITED) FREE MARKET U.S. EQUITY FUND Total Returns for the Periods Ended February 28, 2010
AVERAGE ANNUAL ------------------ SIX ONE SINCE MONTHS YEAR INCEPTION* ------ ----- --------- FREE MARKET U.S. EQUITY FUND 10.65% 72.06% -3.78% RUSSELL 2500(R) INDEX 12.80% 68.00% -6.87% COMPOSITE INDEX 9.75% 60.00% -8.95%
* Annualized - The Fund commenced operations on December 31, 2007. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.04% (INCLUDED IN THE RATIO IS 0.32%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $9.04 per share on February 28, 2010. Portfolio composition is subject to change. The Free Market U.S. Equity Fund's underlying fund's invest in small-cap and micro-cap stocks, large-cap and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. FREE MARKET INTERNATIONAL EQUITY FUND Total Returns for the Periods Ended February 28, 2010
AVERAGE ANNUAL ------------------ SIX ONE SINCE MONTHS YEAR INCEPTION* ------ ----- ---------- FREE MARKET INTERNATIONAL EQUITY FUND 1.75% 73.62% -8.21% MSCI WORLD (EXCLUDING U.S.) INDEX 1.56% 56.18% -14.16% COMPOSITE INDEX 3.03% 68.93% -12.87%
* Annualized - The Fund commenced operations on December 31, 2007. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.26% (INCLUDED IN THE RATIO IS 0.53%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $8.04 per share on February 28, 2010. Portfolio composition is subject to change. The Free Market International Equity Fund's underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. 2 FREE MARKET FUNDS PERFORMANCE DATA (UNAUDITED) FREE MARKET FIXED INCOME FUND Total Returns for the Periods Ended February 28, 2010
AVERAGE ANNUAL ----------------- SIX ONE SINCE MONTHS YEAR INCEPTION* ------ ---- ---------- FREE MARKET FIXED INCOME FUND 1.34% 3.23% 3.03% CITIGROUP WORLD GOVT. BOND 1-5 YEAR CURRENCY HEDGED U.S. DOLLAR INDEX 1.38% 2.86% 4.46% COMPOSITE INDEX 1.74% 4.34% 4.22%
* Annualized - The Fund commenced operations on December 31, 2007. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 0.98% (INCLUDED IN THE RATIO IS 0.23%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.26 per share on February 28, 2010. Portfolio composition is subject to change. The Free Market Fixed Income Fund's underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. 3 FREE MARKET FUNDS FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
FREE MARKET U.S. EQUITY FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,106.50 $3.50 Hypothetical (5% return before expenses) 1,000.00 1,021.43 3.36
FREE MARKET INTERNATIONAL EQUITY FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,017.50 $3.40 Hypothetical (5% return before expenses) 1,000.00 1,021.38 3.41
4 FREE MARKET FUNDS FUND EXPENSE EXAMPLES (CONCLUDED) (UNAUDITED)
FREE MARKET FIXED INCOME FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,013.40 $3.44 Hypothetical (5% return before expenses) 1,000.00 1,021.33 3.46
* Expenses are equal to an annualized six-month expense ratio of 0.67% for the Free Market U.S. Equity Fund, 0.68% for the Free Market International Equity Fund and 0.69% for the Free Market Fixed Income Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. The range of weighted expense ratios of the underlying funds held by the Funds, as stated in their current prospectuses, were as follows:
FREE MARKET U.S. FREE MARKET INTERNATIONAL FREE MARKET FIXED EQUITY FUND EQUITY FUND INCOME FUND - ---------------- ------------------------- ----------------- 0.01%-0.14% 0.01%-0.28% 0.01%-0.08%
Each Fund's ending account values on the first line in each table are based on the actual six-month total return for each Fund of 10.65% for the Free Market U.S. Equity Fund, 1.75% for the Free Market International Equity Fund and 1.34% for the Free Market Fixed Income Fund. 5 FREE MARKET FUNDS FREE MARKET U.S. EQUITY FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ EQUITY FUNDS -- 99.8% U.S. Large Cap Value Portfolio III(a) ............... 9,725,794 $129,450,312 U.S. Large Company Institutional Index Portfolio(a) ............................... 7,380,272 64,282,166 U.S. Micro Cap Portfolio(b) ......................... 6,003,028 64,232,399 U.S. Small Cap Portfolio(b) ......................... 3,838,935 64,340,558 U.S. Small Cap Value Portfolio(b) ................... 5,306,006 107,075,206 ------------ TOTAL EQUITY FUNDS (Cost $410,450,916) ........................... 429,380,641 ------------ TOTAL INVESTMENTS -- 99.8% (Cost $410,450,916) ........................... 429,380,641 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% ....... 723,894 ------------ NET ASSETS -- 100.0% ................................ $430,104,535 ============
PORTFOLIO HOLDINGS SUMMARY TABLE (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ Equity Funds ......................................... 99.8% $429,380,641 Other Assets In Excess of Liabilities ................ 0.2% 723,894 ----- ------------ NET ASSETS ........................................... 100.0% $430,104,535 ===== ============
- ---------- (a) A portfolio of Dimensional Investment Group Inc. (b) A portfolio of DFA Investment Dimensions Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2010, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $429,380,641 $429,380,641 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 6 FREE MARKET FUNDS FREE MARKET INTERNATIONAL EQUITY FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ INTERNATIONAL EQUITY FUNDS -- 99.7% Asia Pacific Small Company Portfolio(a) ............. 289,228 $ 6,082,476 Continental Small Company Portfolio(a) .............. 792,784 11,717,344 DFA International Small Cap Value Portfolio(a) ...... 8,250,021 120,945,315 DFA International Value Portfolio III(b) ............ 6,022,140 90,813,865 Emerging Markets Portfolio(a) ....................... 611,527 15,911,926 Emerging Markets Small Cap Portfolio(a) ............. 782,448 14,772,614 Emerging Markets Value Portfolio(a) ................. 494,898 14,787,548 Japanese Small Company Portfolio(a) ................. 442,498 6,203,826 Large Cap International Portfolio(a) ................ 841,252 15,058,404 United Kingdom Small Company Portfolio(a) ........... 312,152 5,962,104 ------------ TOTAL INTERNATIONAL EQUITY FUNDS (Cost $294,486,826) ........................... 302,255,422 ------------ TOTAL INVESTMENTS -- 99.7% (Cost $294,486,826) ........................... 302,255,422 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.3% ....... 780,103 ------------ NET ASSETS -- 100.0% ................................ $303,035,525 ============
PORTFOLIO HOLDINGS SUMMARY TABLE (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ International Equity Funds ........................... 99.7% $302,255,422 Other Assets In Excess of Liabilities ................ 0.3% 780,103 ----- ------------ Net Assets ........................................... 100.0% $303,035,525 ===== ============
- ---------- (a) A portfolio of DFA Investment Dimensions Group Inc. (b) A portfolio of Dimensional Investment Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2010, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $302,255,422 $302,255,422 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 7 FREE MARKET FUNDS FREE MARKET FIXED INCOME FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ FIXED INCOME FUNDS -- 99.6% DFA Five-Year Global Fixed Income Portfolio(a) ...... 7,743,810 $ 87,040,423 DFA Five-Year Government Portfolio(a) ............... 2,644,921 28,723,841 DFA Inflation-Protected Securities Portfolio(a) ..... 1,094,928 11,989,467 DFA Intermediate Government Fixed Income Portfolio(a) ..................................... 3,619,494 44,374,998 DFA One-Year Fixed Income Portfolio(a) .............. 8,356,249 86,403,612 DFA Two-Year Global Fixed Income Portfolio(a) ....... 8,474,313 86,437,996 ------------ TOTAL FIXED INCOME FUNDS (Cost $342,118,271) ........................... 344,970,337 ------------ TOTAL INVESTMENTS -- 99.6% (Cost $342,118,271) ........................... 344,970,337 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% ....... 1,535,478 ------------ NET ASSETS -- 100.0% ................................ $346,505,815 ============
PORTFOLIO HOLDINGS SUMMARY TABLE (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ Fixed Income Funds 99.6% $344,970,337 Other Assets In Excess of Liabilities ................ 0.4% 1,535,478 ----- ------------ Net Assets 100.0% $346,505,815 ===== ============
- ---------- (a) A portfolio of DFA Investment Dimensions Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2010, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $344,970,337 $344,970,337 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 8 FREE MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2010 (UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET U.S. EQUITY INTERNATIONAL FIXED INCOME FUND EQUITY FUND FUND ------------ ------------- ------------ ASSETS Investments in non-affiliated funds, at value + ...... $429,380,641 $302,255,422 $344,970,337 Cash and cash equivalents ............................ 1,861,464 1,474,977 1,702,283 Receivables Receivable for capital shares sold ................ 980,895 722,017 1,579,434 Dividends and interest receivable ................. 345 239 1 Prepaid expenses and other assets .................... 33,815 33,010 28,338 ------------ ------------- ------------ Total assets ................................... 432,257,160 304,485,665 348,280,393 ------------ ------------- ------------ LIABILITIES Payables Investments purchased ............................. 1,538,825 1,132,697 1,355,000 Capital shares redeemed ........................... 364,292 131,318 211,128 Investment adviser ................................ 146,389 105,430 118,845 Other accrued expenses and liabilities ............... 103,119 80,695 89,605 ------------ ------------- ------------ Total liabilities .............................. 2,152,625 1,450,140 1,774,578 ------------ ------------- ------------ Net Assets ........................................... $430,104,535 $303,035,525 $346,505,815 ============ ============= ============ NET ASSETS CONSISTS OF Par value ............................................ $ 47,598 $ 37,676 $ 33,773 Paid-in capital ...................................... 414,783,786 300,414,493 343,832,303 Undistributed/accumulated net investment income (loss) ............................................ (445,755) 94,576 (566,386) Accumulated net realized gain/(loss) from investments ....................................... (3,210,819) (5,279,816) 354,059 Net unrealized appreciation on investments ........... 18,929,725 7,768,596 2,852,066 ------------ ------------- ------------ Net Assets ........................................... $430,104,535 $303,035,525 $346,505,815 ============ ============= ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ................................ 47,598,185 37,676,406 33,773,010 ------------ ------------- ------------ Net asset value, offering and redemption price per share ......................................... $ 9.04 $ 8.04 $ 10.26 ============ ============= ============ + Investment in non-affiliated funds, at cost ........ $410,450,916 $294,486,826 $342,118,271 ============ ============= ============
The accompanying notes are an integral part of the financial statements. 9 FREE MARKET FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET U.S. EQUITY INTERNATIONAL FIXED INCOME FUND EQUITY FUND FUND ------------ ------------- ------------ INVESTMENT INCOME Dividends from non-affiliated funds .................. $ 2,264,148 $ 2,335,356 $4,174,086 Interest from non-affiliated funds ................... 103 138 94 ----------- ----------- ---------- Total investment income ........................... 2,264,251 2,335,494 4,174,180 ----------- ----------- ---------- EXPENSES Advisory fees (Note 2) ............................... 905,281 698,650 677,420 Administration and accounting fees (Note 2) .......... 207,643 169,724 164,318 Professional fees .................................... 41,309 33,422 33,543 Directors' and officers' fees ........................ 38,886 31,773 31,259 Insurance expense .................................... 15,827 11,114 12,806 Printing and shareholder reporting fees .............. 9,260 7,055 6,376 Custodian fees (Note 2) .............................. 7,310 6,113 9,016 Transfer agent fees (Note 2) ......................... 7,112 6,867 6,866 Other expenses ....................................... 1,079 1,080 1,079 ----------- ----------- ---------- Total expenses .................................... 1,233,707 965,798 942,683 ----------- ----------- ---------- Net investment income ............................... 1,030,544 1,369,696 3,231,497 ----------- ----------- ---------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Non-affiliated funds .............................. (1,855,925) (4,626,203) 56,118 Capital gain distributions from non-affiliated fund investments ............................... -- 539,621 462,347 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Non-affiliated funds .............................. 37,050,303 6,761,714 (157,520) ----------- ----------- ---------- Net realized and unrealized gain from investments .... 35,194,378 2,675,132 360,945 ----------- ----------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .... $36,224,922 $ 4,044,828 $3,592,442 =========== =========== ==========
The accompanying notes are an integral part of the financial statements. 10 FREE MARKET U.S. EQUITY FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 ---------------- --------------- FROM OPERATIONS: Net investment income .............................. $ 1,030,544 $ 2,805,875 Net realized loss from investments ................. (1,855,925) (1,339,474) Net change in unrealized appreciation (depreciation) from investments ................................ 37,050,303 (17,705,184) ------------ ------------ Net increase/(decrease) in net assets resulting from operations ......................................... 36,224,922 (16,238,783) ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income .............................. (1,928,484) (2,401,803) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ...................... (1,928,484) (2,401,803) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .......................... 115,328,227 165,094,648 Reinvestment of distributions ...................... 1,928,484 2,401,259 Shares redeemed .................................... (33,552,348) (23,790,681) ------------ ------------ Net increase in net assets from capital shares ........ 83,704,363 143,705,226 ------------ ------------ Total increase in net assets .......................... 118,000,801 125,064,640 NET ASSETS: Beginning of period ................................ 312,103,734 187,039,094 ------------ ------------ End of period ...................................... $430,104,535 $312,103,734 ============ ============ Undistributed/accumulated net investment income (loss), end of period ...................................... $ (445,755) $ 452,185 ============ ============ CAPITAL SHARE TRANSACTIONS: Shares sold ........................................ 13,192,834 22,974,273 Shares reinvested .................................. 216,684 350,038 Shares redeemed .................................... (3,812,987) (3,503,840) ------------ ------------ Total share transactions .............................. 9,596,531 19,820,471 ============ ============
The accompanying notes are an integral part of the financial statements. 11 FREE MARKET INTERNATIONAL EQUITY FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 ---------------- --------------- FROM OPERATIONS: Net investment income .............................. $ 1,369,696 $ 3,203,164 Net realized gain/(loss) from investments .......... (4,086,582) 56,839 Net change in unrealized appreciation from investments ..................................... 6,761,714 16,019,226 ------------- ------------- Net increase in net assets resulting from operations ......................................... 4,044,828 19,279,229 ------------- ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income .............................. (3,144,187) (2,609,280) Net realized capital gains ......................... (1,183,603) -- ------------- ------------- Net decrease in net assets from dividends and distributions to shareholders ...................... (4,327,790) (2,609,280) ------------- ------------- CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .......................... 83,891,008 130,210,322 Reinvestment of distributions ...................... 4,327,790 2,608,705 Shares redeemed .................................... (43,532,415) (21,677,551) ------------- ------------- Net increase in net assets from capital shares ........ 44,686,383 111,141,476 ------------- ------------- Total increase in net assets .......................... 44,403,421 127,811,425 NET ASSETS: Beginning of period ................................ 258,632,104 130,820,679 ------------- ------------- End of period ...................................... $ 303,035,525 $ 258,632,104 ============= ============= Undistributed net investment income, end of period .......................................... $ 94,576 $ 1,869,067 ============= ============= CAPITAL SHARE TRANSACTIONS: Shares sold ........................................ 10,002,218 20,582,378 Shares reinvested .................................. 517,060 446,696 Shares redeemed .................................... (5,104,117) (3,557,044) ------------- ------------- Total share transactions .............................. 5,415,161 17,472,030 ============= =============
The accompanying notes are an integral part of the financial statements. 12 FREE MARKET FIXED INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 ---------------- --------------- FROM OPERATIONS: Net investment income .............................. $ 3,231,497 $ 3,252,139 Net realized gain from investments ................. 518,465 1,202,325 Net change in unrealized appreciation (depreciation) from investments ................................ (157,520) 2,453,228 ------------ ------------ Net increase in net assets resulting from operations ......................................... 3,592,442 6,907,692 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income .............................. (5,066,009) (2,191,528) Net realized capital gains ......................... (1,159,270) -- ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ...................... (6,225,279) (2,191,528) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .......................... 150,299,602 127,993,708 Reinvestment of distributions ...................... 6,225,279 2,191,099 Shares redeemed .................................... (17,493,070) (53,776,508) ------------ ------------ Net increase in net assets from capital shares ........ 139,031,811 76,408,299 ------------ ------------ Total increase in net assets .......................... 136,398,974 81,124,463 NET ASSETS: Beginning of period ................................ 210,106,841 128,982,378 ------------ ------------ End of period ...................................... $346,505,815 $210,106,841 ============ ============ Undistributed/accumulated net investment income (loss), end of period ...................................... $ (566,386) $ 1,268,126 ============ ============ CAPITAL SHARE TRANSACTIONS: Shares sold ........................................ 14,561,092 12,560,233 Shares reinvested .................................. 611,599 216,781 Shares redeemed .................................... (1,696,009) (5,331,134) ------------ ------------ Total share transactions .............................. 13,476,682 7,445,880 ============ ============
The accompanying notes are an integral part of the financial statements. 13 FREE MARKET FUNDS FREE MARKET U.S. EQUITY FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2010 ENDED THROUGH (UNAUDITED) AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period .................. $ 8.21 $ 10.29 $ 10.00 -------- -------- -------- Net investment income ................................. 0.02(2) 0.10(2) --(3) Net realized and unrealized gain/(loss) on investments ........................................ 0.85 (2.09) 0.29 -------- -------- -------- Net increase/(decrease) in net assets resulting from operations ......................................... 0.87 (1.99) 0.29 -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ................................. (0.04) (0.09) -- -------- -------- -------- Total dividends and distributions to shareholders ..... (0.04) (0.09) -- -------- -------- -------- Net asset value, end of period ........................ $ 9.04 $ 8.21 $ 10.29 ======== ======== ======== Total investment return(4) ............................ 10.65%(5) (19.19)% 2.90%(5) ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ............. $430,105 $312,104 $187,039 Ratio of expenses to average net assets(6) ............ 0.67%(7) 0.72% 0.84%(7) Ratio of net investment income to average net assets(6) .......................................... 0.56%(7) 1.37% 0.02%(7) Portfolio turnover rate ............................... 2%(5) 1% 0%(5)
- ---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Amount less than $0.005 per share. (4) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (5) Not annualized. (6) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (7) Annualized. The accompanying notes are an integral part of the financial statements. 14 FREE MARKET FUNDS FREE MARKET INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2010 ENDED THROUGH (UNAUDITED) AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period .................. $ 8.02 $ 8.85 $ 10.00 -------- -------- -------- Net investment income ................................. 0.04(2) 0.13(2) 0.08 Net realized and unrealized gain/(loss) on investments ..................................... 0.10 (0.85) (1.23) -------- -------- -------- Net decrease in net assets resulting from operations ......................................... 0.14 (0.72) (1.15) -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ................................. (0.09) (0.11) -- Net realized capital gains ............................ (0.03) -- -- -------- -------- -------- Total dividends and distributions to shareholders ..... (0.12) (0.11) -- -------- -------- -------- Net asset value, end of period ........................ $ 8.04 $ 8.02 $ 8.85 ======== ======== ======== Total investment return(3) ............................ 1.75%(4) (7.71)% (11.50)%(4) ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ............. $303,036 $258,632 $130,821 Ratio of expenses to average net assets(5) ............ 0.68%(6) 0.73% 0.92%(6) Ratio of net investment income to average net assets(5) .......................................... 0.97%(6) 2.01% 2.94%(6) Portfolio turnover rate ............................... 8%(4) 2% 0%(4)
- ---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (4) Not annualized. (5) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (6) Annualized. The accompanying notes are an integral part of the financial statements. 15 FREE MARKET FUNDS FREE MARKET FIXED INCOME FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2010 ENDED THROUGH (UNAUDITED) AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period .................. $ 10.35 $ 10.04 $ 10.00 -------- -------- -------- Net investment income ................................. 0.12(2) 0.21(2) 0.02 Net realized and unrealized gain on investments ....... 0.02 0.25 0.04 -------- -------- -------- Net increase in net assets resulting from operations ......................................... 0.14 0.46 0.06 -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ................................. (0.19) (0.15) (0.02) Net realized capital gains ............................ (0.04) -- -- Tax return of capital ................................. -- -- --(3) -------- -------- -------- Total dividends and distributions to shareholders...... (0.23) (0.15) (0.02) -------- -------- -------- Net asset value, end of period ........................ $ 10.26 $ 10.35 $ 10.04 ======== ======== ======== Total investment return(4) ............................ 1.34%(5) 4.62% 0.61%(5) ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ............. $346,506 $210,107 $128,982 Ratio of expenses to average net assets(6) ............ 0.69%(7) 0.75% 0.97%(7) Ratio of net investment income to average net assets(6) .......................................... 2.35%(7) 2.06% 0.26%(7) Portfolio turnover rate ............................... 1%(5) 84% 0%(5)
- ---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Amount less than $0.005 per share. (4) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (5) Not annualized. (6) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (7) Annualized. The accompanying notes are an integral part of the financial statements. 16 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Free Market U.S. Equity Fund, Free Market International Equity Fund, and the Free Market Fixed Income Fund (each a "Fund," collectively the "Funds"). Each Fund operates as a "Fund of Funds" and commenced investment operations on December 31, 2007. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families." PORTFOLIO VALUATION -- Investments in the underlying funds are valued at each fund's net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the Company's Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Fair Value Measurements -- The inputs and valuations techniques used to measure fair value of the Funds' investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Funds' investments as of February 28, 2010 is included with each Fund's Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. 17 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- Transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Each Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the net asset value of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Fund's pro-rata expenses of the underlying mutual funds in which each Fund invests. During the year ended August 31, 2009, the Free Market Fixed Income Fund recognized its pro-rata share of net investment income and realized and unrealized gains/ losses on a daily basis from its investment in the DFA One-Year Fixed Income Series and the DFA Two-Year Global Fixed Income Series which were treated as partnerships for both federal income tax and U.S. GAAP purposes for a portion of the year. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 18 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES Matson Money, Inc. (formerly known as Abundance Technologies, Inc.) ("Matson Money" or the "Adviser"), serves as each Fund's investment adviser. For its advisory services, Matson Money is entitled to receive 0.50% of each Fund's average daily net assets, computed daily and payable monthly. The Adviser has voluntarily agreed to waive its advisory fee and/or reimburse certain expenses in order to limit total annual fund operating expenses of Free Market U.S. Equity Fund, Free Market International Equity Fund and the Free Market Fixed Income Fund to 1.13%, 1.35% and 1.00%, respectively, of the particular Fund's average daily net assets. The expense limitations include expenses incurred as a result of investing in other investment companies. The Adviser may discontinue these arrangements at any time. For the six months ended February 28, 2010, investment advisory fees were:
GROSS ADVISORY FEES ------------------- Free Market U.S. Equity Fund $905,281 Free Market International Equity Fund 698,650 Free Market Fixed Income Fund 677,420
The Funds will not pay Matson Money at a later time for any amounts they may waive or any amounts that Matson Money has assumed. PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Funds. Administration and accounting fees accrued also include transfer agent, custodian fees and administrative service fees. For providing administrative and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. Included in the administration and accounting fees are fees for providing regulatory administration services to RBB. For providing these services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio in proportion to its assets of the Company. For providing transfer agent services, PNC is entitled to receive out-of-pocket expenses. For providing custodian services to the Funds, PFPC Trust Company, an affiliate of PNC, is entitled to receive out of pocket expenses. PFPC Distributors, Inc., an affiliate of PNC, serves as the principal underwriter and distributor of the Funds' shares pursuant to a Distribution Agreement with RBB. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2010 was $52,408. Certain employees of PNC are Officers of the Company. They are not compensated by the Funds or the Company. 19 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
PURCHASES SALES ------------ ----------- Free Market U.S. Equity Fund $ 91,388,209 $ 8,614,220 Free Market International Equity Fund 65,001,651 22,983,543 Free Market Fixed Income Fund 137,283,128 1,418,167
5. CAPITAL SHARE TRANSACTION As of February 28, 2010, the following shareholders held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many individual shareholders. Free Market U.S. Equity Fund (2 shareholders) 98% Free Market International Equity Fund (2 shareholders) 98% Free Market Fixed Income Fund (2 shareholders) 98%
6. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (tax years August 31, 2006 -2009) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION APPRECIATION ------------ ------------ ------------ -------------- Free Market U.S. Equity Fund $410,450,916 $18,955,458 $(25,733) $18,929,725 Free Market International Equity Fund 294,486,826 9,412,909 (1,644,313) 7,768,596 Free Market Fixed Income Fund 342,118,271 3,492,072 (640,006) 2,852,066
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009, the components of distributable earnings on a tax basis were as follows: 20 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
UNDISTRIBUTED UNDISTRIBUTED ORDINARY INCOME LONG-TERM GAINS --------------- --------------- Free Market U.S. Equity Fund $ 452,185 $ -- Free Market International Equity Fund 1,869,067 1,183,612 Free Market Fixed Income Fund 2,215,411 173,601
The differences between book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes. The tax character of distributions paid during the fiscal year ended August 31, 2009 were as follows:
ORDINARY LONG-TERM RETURN OF INCOME GAINS CAPITAL TOTAL ---------- --------- --------- ---------- Free Market U.S. Equity Fund $2,401,803 $-- $-- $2,401,803 Free Market International Equity Fund 2,609,280 -- -- 2,609,280 Free Market Fixed Income Fund 2,191,528 -- -- 2,191,528
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. As of February 28, 2010, the Funds had no capital loss carryforwards available to offset future capital gains. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there was the following subsequent event: On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. 21 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED) The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 22 FREE MARKET FUNDS OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357 ext. 3863 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 23 FREE MARKET U.S. EQUITY FUND FREE MARKET INTERNATIONAL EQUITY FUND FREE MARKET FIXED INCOME FUND OF THE RBB FUND, INC. SEMI-ANNUAL REPORT February 28, 2010 (Unaudited) This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds. Shares of the Free Market Funds are distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406. INVESTMENT ADVISER MATSON MONEY, INC. 5955 Deerfield Blvd. Mason, OH 45040 ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 (ROBECO LOGO) ROBECO INVESTMENT FUNDS OF THE RBB FUND, INC. ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- ------------- SEMI ANNUAL REPORT ------------- FEBRUARY 28, 2010 (UNAUDITED) ------------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND ------------- ROBECO BOSTON PARTNERS MID CAP VALUE FUND ------------- ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND ------------- ROBECO WPG SMALL CAP VALUE FUND ------------- SAM SUSTAINABLE CLIMATE FUND ------------- SAM SUSTAINABLE WATER FUND ------------- SAM SUSTAINABLE GLOBAL ACTIVE FUND ------------- ------------- ------------- ------------- ------------- ------------- This report is submitted for the general information of the ------------- shareholders of the Funds. It is not authorized for distribution ------------- unless preceded or accompanied by a current prospectus for the ------------- Funds. Shares of Robeco Investment Funds are distributed by PFPC ------------- Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406. ------------- ROBECO INVESTMENT FUNDS GENERAL MARKET COMMENTARY Dear Shareholder: The market's remarkable trajectory last year reminds us that it is always darkest before dawn. Although we're pleased by the brightening conditions, the path to stability and growth will be neither quick nor even.The markets and financial systems have narrowly survived a near-death experience.We detect definitive signs of improvement in world conditions, and it certainly looks like we have navigated past the point of systemic meltdown. In fact, the US recession looks to be over. In all likelihood it probably ended during the third quarter when US GDP expanded modestly. Economists' expectations generally figure that US GDP will have grown nearly 4% on an annualized basis in the fourth quarter.The Federal Reserve National Activity Index has historically provided a sound gauge of where the economy is in the cycle. It is indicating that the US is in the early stages of a recovery following a recession and that inflationary pressures are not a factor. Double-digit unemployment and exceptionally slack capacity utilization have so far nipped inflation in the bud. Employment growth, however, will eventually be needed to keep the economy moving. Sources such as the Bureau of Labor Statistics' nonfarm payroll data have become more constructive. Job losses have shrunk considerably and stand to reverse themselves, which sets the table for job gains down the road. The worst also appears to be behind us in the housing sector. Declines in inventory, improved affordability and attractive mortgage rates have installed a foundation for recovery. Although housing is unlikely to drive employment growth anytime soon, a healthier sector will help restore balance sheets and consumer sentiment. In the meantime, the US financial system as a whole has begun to recover. Many major private sector institutions have put their businesses on the path to generating significantly stronger earnings over the next two to three years.The stabilization has cleared the way for a more orderly deleveraging process and the resumption of credit formation within enduring standards. Excesses of capitalism greatly contributed to the bubble and its bursting, but the ingenuity, speed and breadth of public and private responses to the crisis underscore the resiliency of US financial and economic systems. Corporate America's extraordinary cost-cutting in response to the recession has largely driven the gains in operating profits generated in 2009. It has also created a tremendous amount of operating leverage within the system, putting substantial earnings growth in store when end demand recovers. The onslaught of government stimulus programs has helped replace some of the aggregate demand lost to the recession. The intervention has also introduced some risks: - Inflation is currently contained, but the risk of an inflationary spiral through a precipitous weakening of the US dollar is not unthinkable. It would force the Fed to drastically raise rates, cutting short the economy's recovery. - The Federal Reserve needs a healthy economy to support an orderly unwinding of its $2 trillion balance sheet; otherwise, it risks putting good money after bad. - The role of government in private enterprise has become more entwined since the crisis, risking the efficient functioning of a capitalistic system in ways that are difficult to quantify at this point. The dynamism driving capital markets and the economies underpinning them springs from an incomprehensible web of interdependencies. Interventions in one section impact the entire fabric.The public/private entanglement will produce some unintended consequences. However, we don't think the forces of "creative destruction" have been undone. In fact, we believe they'll present a wealth of investment opportunities in years to come. Last year, the data made clear that valuation alone was driving the US stock market's rally. Powerful mean reversion from distressed levels to historical norms has generally moved the market's valuation to fairish status.Variables related to business quality and earnings momentum made no contribution to explaining the rise in stock prices.Therefore, the anticipated turnaround for Corporate America will have to come through or stock prices stand to suffer. Although the upswing in the momentum of the economy, corporate earnings and stock markets is encouraging, valuation is the single biggest predictor of future investment returns.This is good news. Stock valuations today are not only reasonable, they enjoy far better earnings support than earlier in 2009. Make no mistake, earnings matter - earnings drive the direction of the market. In March, the trajectory of earnings warranted an S&P 500 of 600 to 700.At 1147 today (January 11th) many argue that the rebound in the market has left it overvalued. We disagree. After three solid quarters of earnings improvement, the market has much better fundamental support. SEMI-ANNUAL REPORT 2010 | 1 ROBECO INVESTMENT FUNDS GENERAL MARKET COMMENTARY (continued) Expectations for S&P 500 earnings per share of $76-$80 for 2010 certainly justify an S&P in the 1000-1200 range. However, the market's path over the next 12 months will depend on earnings achievability - and investors of all stripes will need to have a sharp pencil and weather eye on corporate sales and profit margins in coming months. These requirements play right to strengths of active management. 2010 is setting up to be another good year for stock pickers on the heels of a banner year in 2009. Market volatility fell sharply last year and exceptionally high degrees of correlation among stock returns came down to levels that are significantly lower but still above average.(1) Stocks' price performance is more differentiated when correlations are lower as stock-specific (de)merits move to the forefront.The trend begun in 2009 favors active management going into 2010. Perhaps most remarkable, however, is how similarly priced the high yields on free cash flow are for public companies with different expected growth rates.(2) These conditions have created a fertile environment for trained skeptics like us to find value for our clients.We intend to do that by applying the same set of fundamental principles that has driven our work over the years.The market in 2010 will undoubtedly bring its fair share of surprises.We look forward to keeping you informed of the work the team is doing for your portfolio as the year unfolds. Sincerely, Robeco Investment Funds - ---------- (1) Bank of America Merrill Lynch, December 2009 (2) Empirical Research Partners, December 2009 2 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS TOTAL RETURNS FOR THE PERIOD ENDED FEBRUARY 28, 2010 (UNAUDITED)
AVERAGE ANNUAL ----------------------------- SINCE SIX-MONTH 1 YEAR 5 YEAR 10 YEAR INCEPTION* --------- ------- ------ ------- ---------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II Institutional Class(1) 14.85% 94.32% 3.30% 14.03% N/A Investor Class(1) 14.77% 94.04% 3.04% 13.75% N/A Russell 2000(R) Value Index 10.53% 65.93% 0.70% 8.08% N/A Russell 2000(R) Index(2) 10.59% 63.95% 1.16% 2.18% N/A (1) Inception date July 1, 1998 (2) This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND Institutional Class(1) 11.62% 106.58% 13.11% 15.33% N/A Investor Class(1) 10.97% 105.19% 12.73% 14.99% N/A S&P 500(R) Index 9.32% 53.62% 0.37% -0.31% N/A (1) Inception date November 17, 1998 ROBECO BOSTON PARTNERS MID CAP VALUE FUND Institutional Class(1) 12.11% 68.16% 5.77% 9.88% N/A Investor Class(1) 12.01% 67.70% 5.52% 9.61% N/A Russell Midcap(R) Value Index 13.51% 74.74% 2.20% 8.94% N/A Russell 2500(R) Value Index(2) 12.31% 69.33% 1.41% 8.67% N/A Russell 2500(R) Index(2) 12.80% 68.00% 2.11% 3.90% N/A (1) Inception date June 2, 1997 (2) This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND Institutional Class(1) 9.42% 58.15% 4.37% N/A 8.78% Investor Class(1) 9.29% 58.00% 4.10% N/A 8.51% Russell 3000(R) Value Index 8.68% 57.23% -0.40% N/A 3.92% Russell 3000(R) Index(2) 9.96% 55.96% 0.80% N/A 4.08% (1) Inception date July 1, 2002 (2) This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. ROBECO WPG SMALL CAP VALUE FUND Institutional Class(1) 9.50% 67.49% -0.51% -1.88% N/A Russell 2000(R) Value Index 10.53% 65.93 0.70% 8.08% N/A SAM SUSTAINABLE CLIMATE FUND Institutional Class(1) 3.55% 62.80% N/A N/A -13.95% Investor Class(1) 3.31% 62.18% N/A N/A -14.18% MSCI World Index 5.21% 54.30% N/A N/A -12.16% (1) Inception date October 1, 2007
SEMI-ANNUAL REPORT 2008 | 3 ROBECO INVESTMENT FUNDS
AVERAGE ANNUAL ----------------------------- SINCE SIX-MONTH 1 YEAR 5 YEAR 10 YEAR INCEPTION* --------- ------- ------ ------- ---------- SAM SUSTAINABLE WATER FUND Institutional Class(1) 12.81% 58.30% N/A N/A -10.28% Investor Class(1) 12.64% 57.60% N/A N/A -10.53% MSCI World Index 5.21% 54.30% N/A N/A -12.16% Class C(2) N/A N/A N/A N/A 7.48% MSCI World Index N/A N/A N/A N/A 2.40% (1) Inception date October 1, 2007 (2) Inception date September 11, 2009 SAM SUSTAINABLE GLOBAL ACTIVE FUND Institutional Class(1) 8.39% N/A N/A N/A 22.48% MSCI World Index 5.21% N/A N/A N/A 20.34% Investor Class(2) 8.30% N/A N/A N/A 20.81% MSCI World Index 5.21% N/A N/A N/A 21.06% (1) Inception date June 18, 2009 (2) Inception date July 15, 2009
* Performance since inception date to February 28, 2010 presented only if fund has been in operation less than 10 years. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. ROBECO INVESTMENT MANAGEMENT, INC. AND SUSTAINABLE ASSET MANAGEMENT, USA, INC., HAVE EACH CONTRACTUALLY AGREED TO WAIVE A PORTION OF THEIR ADVISORY FEES AND/OR REIMBURSE A PORTION OF THE FUNDS' OPERATING EXPENSES, IF NECESSARY, TO MAINTAIN THE EXPENSE LIMITATIONS 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. THE FUNDS' ANNUAL OPERATING EXPENSE RATIOS BELOW ARE AS STATED IN THE CURRENT PROSPECTUSES.THESE RATES CAN FLUCTUATE AND MAY DIFFER FROM THE ACTUAL EXPENSES INCURRED BY THE FUNDS FOR THE PERIOD COVERED BY THIS REPORT. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-261-4073 OR VISIT OUR WEB SITE AT www.robecoinvest.com. INVESTORS SHOULD NOTE THAT THE FUNDS ARE ACTIVELY MANAGED MUTUAL FUNDS WHILE THE INDICES ARE UNMANAGED, DO NOT INCUR EXPENSE AND ARE NOT AVAILABLE FOR INVESTMENT. SMALL COMPANY STOCKS ARE GENERALLY RISKIER THAN LARGE COMPANY STOCKS DUE TO GREATER VOLATILITY AND LESS LIQUIDITY. THE SAM SUSTAINABLE CLIMATE FUND, SAM SUSTAINABLE WATER FUND AND SAM SUSTAINABLE GLOBAL ACTIVE FUND ARE NON-DIVERSIFIED. GAINS OR LOSSES IN A SINGLE SECURITY OR SECTOR MAY HAVE A GREATER IMPACT ON THESE FUNDS. The following are the Funds' gross annual operating expense ratios as stated in the most recent prospectus:
INSTITUTIONAL INVESTOR CLASS CLASS CLASS C ------------- -------- ------- Robeco Boston Partners Small Cap Value Fund II ... 1.74% 1.99% N/A Robeco Boston Partners Long/Short Equity Fund .... 4.04%(1) 4.29%(1) N/A Robeco Boston Partners Mid Cap Value Fund ........ 1.69% 1.94% N/A Robeco Boston Partners All-Cap Value Fund ........ 1.50% 1.75% N/A Robeco WPG Small Cap Value Fund .................. 1.95% N/A N/A SAM Sustainable Climate Fund ..................... 11.64% 11.89% N/A SAM Sustainable Water Fund ....................... 9.92% 10.17% 10.67% SAM Sustainable Global Active Fund ............... 4.06% 4.31% N/A
(1) Includes interest and dividend expense on short sales. 4 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FUND EXPENSE EXAMPLES (unaudited) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, redemption fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds.To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. EXPENSE TABLE
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES VALUE VALUE EXPENSE PAID DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 RATIO PERIOD* ----------------- ----------------- ---------- ----------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II INSTITUTIONAL Actual ........................................ $1,000.00 $1,148.50 1.30% $ 6.93 Hypothetical .................................. 1,000.00 1,018.27 1.30% 6.53 INVESTOR Actual ........................................ $1,000.00 $1,147.70 1.55% $ 8.25 Hypothetical .................................. 1,000.00 1,017.01 1.55% 7.78 ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,116.20 3.28%(1) $17.21 Hypothetical .................................. 1,000.00 1,008.33 3.28%(1) 16.47 INVESTOR Actual ........................................ $1,000.00 $1,109.70 3.53%(1) $18.47 Hypothetical .................................. 1,000.00 1,007.07 3.53%(1) 17.72 ROBECO BOSTON PARTNERS MID CAP VALUE FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,121.10 1.00% $ 5.26 Hypothetical .................................. 1,000.00 1,019.77 1.00% 5.02 INVESTOR Actual ........................................ $1,000.00 $1,120.10 1.25% $ 6.57 Hypothetical .................................. 1,000.00 1,018.52 1.25% 6.28
SEMI-ANNUAL REPORT 2010 | 5 ROBECO INVESTMENT FUNDS FUND EXPENSE EXAMPLES (unaudited) (continued)
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES VALUE VALUE EXPENSE PAID DURING SEPTEMBER 1, 2009 FEBRUARY 28, 2010 RATIO PERIOD* ----------------- ----------------- ---------- ----------- ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,094.20 0.95% $ 4.93 Hypothetical .................................. 1,000.00 1,020.03 0.95% 4.77 INVESTOR Actual ........................................ $1,000.00 $1,092.90 1.20% $ 6.23 Hypothetical .................................. 1,000.00 1,018.77 1.20% 6.02 ROBECO BOSTON PARTNERS WPG SMALL CAP VALUE FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,095.00 1.70% $ 8.83 Hypothetical .................................. 1,000.00 1,016.26 1.70% 8.53 SAM SUSTAINABLE CLIMATE FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,035.50 1.50% $ 7.57 Hypothetical .................................. 1,000.00 1,017.26 1.50% 7.53 INVESTOR Actual ........................................ $1,000.00 $1,033.10 1.75% $ 8.82 Hypothetical .................................. 1,000.00 1,016.01 1.75% 8.79 SAM SUSTAINABLE WATER FUND** INSTITUTIONAL Actual ........................................ $1,000.00 $1,128.10 1.50% $ 7.91 Hypothetical .................................. 1,000.00 1,017.26 1.50% 7.53 INVESTOR Actual ........................................ $1,000.00 $1,126.40 1.75% $ 9.23 Hypothetical .................................. 1,000.00 1,016.01 1.75% 8.79 CLASS C Actual ........................................ $1,000.00 $1,074.80 2.25% $10.94 Hypothetical .................................. 1,000.00 1,012.76 2.25% 10.66 SAM SUSTAINABLE GLOBAL ACTIVE FUND INSTITUTIONAL Actual ........................................ $1,000.00 $1,083.90 1.20% $ 6.20 Hypothetical .................................. 1,000.00 1,018.77 1.20% 6.02 INVESTOR Actual ........................................ $1,000.00 $1,083.00 1.45% $ 7.49 Hypothetical .................................. 1,000.00 1,017.51 1.45% 7.28
* Expenses are equal to the Fund's annualized six-month expense ratios in the table below, which include waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. ** Class C commenced operations on September 11, 2009. (1) These amounts include dividends paid on securities which the Fund has sold short ("short-sale dividends") and related interest expense. The amount of short-sale dividends and related interest expense was 0.78% of average net assets for the most recent fiscal half-year. 6 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) PORTFOLIO HOLDINGS SUMMARY TABLES ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Consumer Services ................................ 22.2% $ 17,029,037 Finance .......................................... 21.8 16,743,140 Health Care ...................................... 13.4 10,243,977 Capital Goods .................................... 9.4 7,223,618 Consumer Non-Durables ............................ 8.7 6,665,619 Technology ....................................... 7.0 5,403,937 Real Estate Investment Trusts .................... 4.8 3,647,034 Basic Industries ................................. 3.0 2,334,444 Energy ........................................... 2.8 2,154,193 Transportation ................................... 2.2 1,705,408 Utilities ........................................ 0.9 671,672 Consumer Durables ................................ 0.7 546,700 Communications ................................... 0.4 329,055 SECURITIES LENDING COLLATERAL ....................... 10.7 8,234,440 LIABILITIES IN EXCESS OF OTHER ASSETS ............... (8.0) (6,162,841) ----- ------------ NET ASSETS .......................................... 100.0% $ 76,769,433 ===== ============
- ---------- Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Finance .......................................... 20.7% $ 41,176,836 Technology ....................................... 18.3 36,458,427 Consumer Services ................................ 16.6 33,059,644 Health Care ...................................... 12.1 24,134,689 Consumer Non-Durables ............................ 7.8 15,598,831 Capital Goods .................................... 5.9 11,734,953 Communications ................................... 3.1 6,247,959 Consumer Durables ................................ 3.1 6,087,277 Basic Industries ................................. 2.5 4,928,422 Transportation ................................... 1.5 2,919,298 Energy ........................................... 0.8 1,592,769 PREFERRED STOCK ..................................... 4.9 9,836,340 SECURITIES LENDING COLLATERAL ....................... 8.7 17,286,130 WARRANTS ............................................ 0.0 -- SECURITIES SOLD SHORT ............................... (19.1) (38,074,395) OTHER ASSETS IN EXCESS OF LIABILITIES ............... 13.1 26,081,989 ----- ------------ NET ASSETS .......................................... 100.0% $199,069,169 ===== ============
- ---------- Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS MID CAP VALUE FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Consumer Services ................................ 18.3% $ 13,425,643 Finance .......................................... 17.0 12,463,053 Technology ....................................... 12.7 9,342,765 Capital Goods .................................... 9.5 7,015,409 Health Care ...................................... 8.2 6,050,380 Basic Industries ................................. 7.2 5,278,413 Energy ........................................... 6.1 4,460,350 Consumer Non-Durables ............................ 4.9 3,632,326 Utilities ........................................ 4.9 3,605,700 Real Estate Investment Trusts .................... 4.0 2,961,090 Consumer Durables ................................ 1.5 1,138,586 Communications ................................... 1.1 779,163 Transportation ................................... 0.4 266,665 SECURITY LENDING COLLATERAL ......................... 25.7 18,885,658 LIABILITIES IN EXCESS OF OTHER ASSETS ............... (21.5) (15,812,750) ----- ------------ NET ASSETS .......................................... 100.0% $ 73,492,451 ===== ============
- ---------- Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Finance .......................................... 29.7% $ 26,536,633 Consumer Services ................................ 18.7 16,664,421 Technology ....................................... 13.2 11,808,002 Health Care ...................................... 13.2 11,784,238 Energy ........................................... 8.1 7,256,891 Consumer Non-Durables ............................ 5.0 4,455,984 Capital Goods .................................... 3.0 2,666,912 Communications ................................... 1.9 1,640,326 Basic Industries ................................. 1.5 1,330,507 Real Estate Investment Trusts .................... 1.0 887,779 Consumer Durables ................................ 0.7 644,557 Utilities ........................................ 0.4 361,607 PREFERRED STOCK ..................................... 0.0 30,340 CORPORATE BONDS ..................................... 0.1 70,970 SECURITIES LENDING COLLATERAL ....................... 12.9 11,504,751 WRITTEN OPTIONS ..................................... (0.2) (143,595) LIABILITIES IN EXCESS OF OTHER ASSETS ............... (9.2) (8,231,626) ----- ------------ NET ASSETS .......................................... 100.0% $ 89,268,697 ===== ============
- ---------- Portfolio holdings are subject to change at any time. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 7 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) PORTFOLIO HOLDINGS SUMMARY TABLES ROBECO WPG SMALL CAP VALUE FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Finance .......................................... 27.4% $ 9,373,681 Consumer Services ................................ 17.0 5,801,161 Technology ....................................... 9.3 3,168,388 Capital Goods .................................... 8.1 2,773,044 Consumer Non-Durables ............................ 8.1 2,771,272 Health Care ...................................... 6.8 2,321,907 Real Estate Investment Trusts .................... 6.1 2,064,289 Utilities ........................................ 4.8 1,640,218 Transportation ................................... 3.8 1,306,607 Energy ........................................... 3.1 1,064,732 Basic Industries ................................. 2.3 767,230 Communications ................................... 1.5 525,800 Consumer Durables ................................ 0.5 161,400 SECURITIES LENDING COLLATERAL ....................... 11.7 4,013,270 LIABILITIES IN EXCESS OF OTHER ASSETS ............... (10.5) (3,596,294) ----- ------------ NET ASSETS .......................................... 100.0% $ 34,156,705 ===== ============
- ---------- Portfolio holdings are subject to change at any time. SAM SUSTAINABLE CLIMATE FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Industrials ...................................... 51.1% $ 1,873,195 Utilities ........................................ 25.4 928,481 Materials ........................................ 11.2 408,702 Consumer Discretionary ........................... 4.9 179,052 Information Technology ........................... 3.9 143,479 Basic Materials .................................. 2.4 89,491 SECURITIES LENDING COLLATERAL ....................... 12.3 452,055 LIABILITIES IN EXCESS OF OTHER ASSETS ............... (11.2) (411,824) ----- ------------ NET ASSETS .......................................... 100.0% $ 3,662,631 ===== ============
- ---------- Portfolio holdings are subject to change at any time. SAM SUSTAINABLE WATER FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Industrials ...................................... 48.0% $ 2,817,185 Utilities ........................................ 26.6 1,561,665 Consumer Stables ................................. 8.7 510,006 Health Care ...................................... 6.2 367,602 Materials ........................................ 4.0 233,291 SECURITIES LENDING COLLATERAL ....................... 1.0 58,800 OTHER ASSETS IN EXCESS OF LIABILITIES ............... 5.5 320,537 ----- ------------ NET ASSETS .......................................... 100.0% $ 5,869,086 ===== ============
- ---------- Portfolio holdings are subject to change at any time. SAM SUSTAINABLE GLOBAL ACTIVE FUND
% of Net Security Type/Sector Classification Assets Value - ----------------------------------- -------- ------------- COMMON STOCK Financials ....................................... 18.9% $ 2,923,700 Health Care ...................................... 12.0 1,857,071 Consumer Staples ................................. 11.0 1,694,774 Consumer Discretionary ........................... 10.5 1,628,079 Information Technology ........................... 10.0 1,549,484 Energy ........................................... 9.7 1,491,720 Industrial ....................................... 7.8 1,198,303 Materials ........................................ 7.7 1,193,819 Telecommunication Services ....................... 6.0 930,289 Utilities ........................................ 4.2 652,503 SECURITIES LENDING COLLATERAL ....................... 4.2 658,204 LIABILITIES IN EXCESS OF OTHER ASSETS ............... (2.0)% (315,328) ----- ------------ NET ASSETS .......................................... 100.0 $ 15,462,618 ===== ============
- ---------- Portfolio holdings are subject to change at any time. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 8 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--97.3% BASIC INDUSTRIES--3.0% Graham Packaging Co., Inc. * (a) .......... 92,320 $ 965,667 Schweitzer-Mauduit International, Inc. .... 11,205 514,309 Sensient Technologies Corp. ............... 11,885 314,002 USEC, Inc. * (a) .......................... 123,960 540,466 --------------- 2,334,444 --------------- CAPITAL GOODS--9.4% Actuant Corp., Class A .................... 21,950 397,515 Acuity Brands, Inc. ....................... 14,560 567,549 Beacon Roofing Supply, Inc. * ............. 36,750 639,450 Brady Corp., Class A ...................... 8,633 241,897 Drew Industries, Inc. * ................... 17,135 397,018 Generac Holdings, Inc. * .................. 18,335 246,239 Granite Construction, Inc. (a) ............ 16,345 451,612 Griffon Corp. * ........................... 77,105 954,560 LSI Industries, Inc. ...................... 16,535 101,360 Mueller Industries, Inc. .................. 8,625 193,028 Mueller Water Products, Inc., Class A ..... 75,355 348,894 Olin Corp. ................................ 13,480 236,035 RBC Bearings, Inc. * ...................... 6,200 157,046 Rofin-Sinar Technologies, Inc. * .......... 5,085 104,192 RTI International Metals, Inc. * .......... 33,740 810,772 Toro Co. (a) .............................. 7,845 345,337 Tutor Perini Corp. * ...................... 28,950 572,341 WESCO International, Inc. * ............... 15,880 458,773 --------------- 7,223,618 --------------- COMMUNICATIONS--0.4% EarthLink, Inc. ........................... 39,455 329,055 --------------- CONSUMER DURABLES--0.7% Tempur-Pedic International, Inc. * ........ 19,250 546,700 --------------- CONSUMER NON-DURABLES--8.7% Alliance One International, Inc. * ........ 66,860 342,992 Bowne & Co., Inc. ......................... 101,925 1,134,425 Brown Shoe Co., Inc. ...................... 30,737 425,093 Callaway Golf Co. (a) ..................... 65,815 521,913 Dole Food Co., Inc. * ..................... 73,675 864,208 Fresh Del Monte Produce, Inc. * ........... 19,230 373,254 Matthews International Corp., Class A ..... 8,210 275,199 Nu Skin Enterprises, Inc., Class A ........ 20,800 555,776 RC2 Corp. * ............................... 35,865 506,055 Skechers U.S.A., Inc., Class A * .......... 18,390 565,125 Steven Madden Ltd. * ...................... 8,450 354,985 Take-Two Interactive Software, Inc. * ..... 15,625 150,312 Universal Corp. ........................... 11,240 596,282 --------------- 6,665,619 --------------- CONSUMER SERVICES--22.2% ABM Industries, Inc. ...................... 16,655 341,094 Asbury Automative Group, Inc. * ........... 41,025 477,121 Asset Acceptance Capital Corp. * (a) ...... 21,150 119,921 BJ's Wholesale Club, Inc. * ............... 14,595 527,901 Brink's Co., (The) ........................ 30,275 771,407 Charming Shoppes, Inc. * .................. 109,995 654,470
Number of Shares Value ------------- --------------- CONSUMER SERVICES--(CONTINUED) Corporate Executive Board Co., (The) ...... 16,610 $ 380,037 Dress Barn, Inc., (The) * (a) ............. 32,470 807,204 Ennis, Inc. ............................... 16,500 253,605 Finish Line, Inc., (The), Class A (a) ..... 75,975 918,538 Franklin Covey Co. * ...................... 31,295 183,076 G&K Services, Inc., Class A ............... 13,927 347,757 Group 1 Automotive, Inc. * ................ 13,855 384,753 Gymboree Corp., (The) * ................... 5,585 242,947 Heidrick & Struggles International, Inc. .. 30,005 809,235 Hillenbrand, Inc. ......................... 36,255 726,913 InfoGROUP, Inc. * ......................... 37,935 304,618 International Speedway Corp., Class A ..... 19,488 520,524 Jackson Hewitt Tax Service, Inc. * (a) .... 40,650 99,186 Knoll, Inc. ............................... 46,093 554,038 Live Nation, Inc. * ....................... 128,830 1,673,502 MAXIMUS, Inc. ............................. 16,225 934,235 Men's Wearhouse, Inc., (The) (a) .......... 19,610 418,870 Navigant Consulting, Inc. * ............... 34,255 398,386 Regis Corp. ............................... 30,660 506,810 Rent-A-Center, Inc. * ..................... 23,990 533,538 School Specialty, Inc. * .................. 6,875 146,781 Service Corp. International ............... 46,810 377,289 SFN Group, Inc. * ......................... 85,080 669,580 Steiner Leisure Ltd. * .................... 6,100 262,117 Steinway Musical Instruments * ............ 14,670 257,458 Towers Watson & Co., Class A (a) .......... 12,960 572,443 World Fuel Services Corp. (a) ............. 32,312 853,683 --------------- 17,029,037 --------------- ENERGY--2.8% Approach Resources, Inc. * ................ 21,350 177,418 Bristow Group, Inc. * ..................... 31,205 1,129,933 Helix Energy Solutions Group, Inc. * (a) .. 39,250 451,767 Petroleum Development Corp. * ............. 5,655 132,949 Rosetta Resources, Inc. * ................. 13,995 262,126 --------------- 2,154,193 --------------- FINANCE--21.8% AMERISAFE, Inc. * ......................... 14,270 245,587 Apollo Investment Corp. ................... 43,910 511,991 Ares Capital Corp. ........................ 42,530 555,867 Centerstate Banks, Inc. ................... 26,975 289,711 CNA Surety Corp. * ........................ 11,065 178,368 Cowen Group, Inc., Class A * .............. 21,200 115,328 Cypress Sharpridge Investments, Inc. ...... 44,730 591,778 East West Bancorp, Inc. ................... 64,405 1,128,376 FBR Capital Markets Corp. * ............... 94,385 510,623 Fifth Street Finance Corp. (a) ............ 48,930 554,377 First Citizens Bancshares, Inc. ........... 2,585 473,029 First Financial Bancorp ................... 23,365 433,654 Flagstone Reinsurance Holdings Ltd. ....... 18,325 209,638 Gladstone Capital Corp. ................... 12,100 118,096 Heritage Financial Corp. * ................ 5,790 85,634 Horace Mann Educators Corp. ............... 19,740 265,306 Infinity Property & Casualty Corp. ........ 8,630 351,672 JMP Group, Inc. ........................... 51,940 400,977
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 9 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- FINANCE--(CONTINUED) Knight Capital Group, Inc., Class A * ..... 73,890 $ 1,192,585 Maiden Holdings Ltd. ...................... 77,395 543,313 Max Capital Group Ltd. .................... 57,130 1,379,118 Nara Bancorp, Inc. * ...................... 70,915 626,179 Navigators Group, Inc., (The) * ........... 6,880 260,546 Nelnet, Inc., Class A ..................... 55,901 878,764 PHH Corp. * ............................... 41,430 766,869 Platinum Underwriters Holdings Ltd. ....... 30,175 1,128,243 ProAssurance Corp. * ...................... 3,245 173,023 Safety Insurance Group, Inc. .............. 7,805 289,878 SeaBright Insurance Holdings, Inc. * ...... 14,030 147,455 State Auto Financial Corp. ................ 9,910 181,749 SVB Financial Group * ..................... 8,345 371,853 Symetra Financial Corp. * ................. 59,930 778,491 TradeStation Group, Inc. * ................ 43,695 301,495 United America Indemnity Ltd., Class A * .. 22,002 177,996 United Rentals, Inc. * .................... 10,280 77,614 Wilmington Trust Corp. (a) ................ 31,065 447,957 --------------- 16,743,140 --------------- HEALTH CARE--13.4% Addus HomeCare Corp. * .................... 39,160 309,364 Amedisys, Inc. * (a) ...................... 7,910 456,012 AmSurg Corp. * ............................ 16,325 337,276 Centene Corp. * ........................... 13,935 249,018 Conmed Corp. * ............................ 19,435 425,238 Haemonetics Corp. * ....................... 13,225 707,405 Hanger Orthopedic Group, Inc. * ........... 23,500 438,275 Home Diagnostics, Inc. * .................. 37,220 428,774 Invacare Corp. ............................ 11,570 315,630 Kindred Healthcare, Inc. * ................ 34,305 597,593 LHC Group, Inc. * ......................... 13,330 401,233 LifePoint Hospitals, Inc. * ............... 18,075 551,287 Medical Action Industries, Inc. * ......... 15,725 197,192 Odyssey HealthCare, Inc. * ................ 31,110 545,358 Owens & Minor, Inc. ....................... 3,825 170,786 PharMerica Corp. * ........................ 15,255 261,623 PSS World Medical, Inc. * ................. 19,210 405,139 Psychiatric Solutions, Inc. * (a) ......... 10,235 219,541 RehabCare Group, Inc. * ................... 22,460 625,286 Res-Care, Inc. * .......................... 9,735 88,783 Select Medical Holdings Corp. * ........... 69,030 565,356 Symmetry Medical, Inc. * .................. 92,240 793,264 U.S. Physical Therapy, Inc. * ............. 70,399 1,154,544 --------------- 10,243,977 --------------- REAL ESTATE INVESTMENT TRUSTS--4.8% Anworth Mortgage Asset Corp. .............. 162,972 1,101,691 Capstead Mortgage Corp. ................... 24,055 299,244 Colony Financial, Inc. (a) ................ 17,250 343,965
Number of Shares Value ------------- --------------- REAL ESTATE INVESTMENT TRUSTS--(CONTINUED) Gladstone Commercial Corp. ................ 13,955 $ 195,091 Hatteras Financial Corp. (a) .............. 9,015 234,120 MFA Financial, Inc. ....................... 132,960 962,630 Redwood Trust, Inc. (a) ................... 35,810 510,293 --------------- 3,647,034 --------------- TECHNOLOGY--7.0% Bel Fuse, Inc., Class B ................... 12,345 280,602 Belden, Inc. .............................. 31,185 660,498 CIBER, Inc. * ............................. 67,650 252,334 Coherent, Inc. * .......................... 5,635 179,137 Electronics For Imaging, Inc. * ........... 21,905 259,793 EnerSys * ................................. 40,175 915,588 Gilat Satellite Networks Ltd. * ........... 27,055 141,768 Heartland Payment Systems, Inc. ........... 45,825 700,664 Imation Corp. * ........................... 23,670 217,764 Insight Enterprises, Inc. * ............... 15,115 193,321 Ness Technologies, Inc. * ................. 28,385 161,794 NETGEAR, Inc. * ........................... 22,345 566,446 PAR Technology Corp. * .................... 30,345 179,035 Technitrol, Inc. (a) ...................... 27,965 123,046 Verigy Ltd. * ............................. 17,225 171,561 Zoran Corp. * ............................. 35,325 400,586 --------------- 5,403,937 --------------- TRANSPORTATION--2.2% Arkansas Best Corp. ....................... 14,635 384,022 Pacer International, Inc. * ............... 39,080 187,975 UTI Worldwide, Inc. ....................... 75,915 1,133,411 --------------- 1,705,408 --------------- UTILITIES--0.9% PNM Resources, Inc. ....................... 54,965 671,672 --------------- TOTAL COMMON STOCK (Cost $66,648,802) .................. 74,697,834 --------------- SECURITIES LENDING COLLATERAL--10.7% Institutional Money Market Trust .......... 8,234,440 8,234,440 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $8,234,440) ................... 8,234,440 --------------- TOTAL INVESTMENTS--108.0% (Cost $74,883,242) ........................ 82,932,274 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(8.0)% ............................ (6,162,841) --------------- NET ASSETS--100.0% ........................... $ 76,769,433 ===============
- ---------- * -- Non-income producing. (a) -- All or a portion of the security is on loan. (see note 6) A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investments in securities * $82,932,274 $82,932,274 $-- $-- ----------- ----------- --- --- Total Assets $82,932,274 $82,932,274 $-- $-- =========== =========== === ===
* see Portfolio of Investments detail for industry and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 10 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- LONG POSITIONS--106.0% DOMESTIC COMMON STOCK--92.4% BASIC INDUSTRIES--2.5% Cytec Industries, Inc. + .................. 40,730 $ 1,737,949 Haynes International, Inc. + .............. 42,250 1,226,940 Material Sciences Corp. * # ............... 49,582 94,702 Thompson Creek Metals Co., Inc. * ......... 135,915 1,868,831 --------------- 4,928,422 --------------- CAPITAL GOODS--5.9% Chase Corp. ............................... 67,145 806,411 Ducommun, Inc. + .......................... 116,750 2,041,957 Global Power Equipment Group, Inc. * ...... 472,415 845,623 Griffon Corp. * + ......................... 193,521 2,395,790 Hubbell, Inc., Class B + .................. 44,313 2,076,064 Innovative Solutions and Support, Inc. # * ............................... 207,580 892,594 Key Technology, Inc. * .................... 26,957 345,589 Mohawk Industries, Inc. * (a) + ........... 26,565 1,370,223 Thermadyne Holdings Corp. * + # ........... 123,325 960,702 --------------- 11,734,953 --------------- COMMUNICATIONS--3.1% Clarus Corp. * # .......................... 182,613 803,497 Lionbridge Technologies, Inc. * ........... 530,461 1,697,475 PRIMEDIA, Inc. (a) ........................ 309,470 1,145,039 RRSat Global Communications Network Ltd. ................................... 94,440 980,287 Web.com Group, Inc. * ..................... 340,685 1,621,661 --------------- 6,247,959 --------------- CONSUMER DURABLES--3.1% D.R. Horton, Inc. (a) + ................... 114,350 1,413,366 Hooker Furniture Corp. .................... 31,862 416,436 Magna International, Inc., Class A + ...... 22,740 1,295,953 Pulte Homes, Inc. * (a) + ................. 123,275 1,335,068 Stanley Furniture Co., Inc. * (a) ......... 47,962 402,881 Toll Brothers, Inc. * (a) ................. 64,980 1,223,573 --------------- 6,087,277 --------------- CONSUMER NON-DURABLES--7.8% Brunswick Corp. (a) ....................... 161,035 1,858,344 Coach, Inc. + ............................. 27,438 999,841 Coca-Cola Femsa S.A. de C.V. - Sponsored ADR (a) + .............................. 23,225 1,491,277 Lorillard, Inc. + ......................... 43,360 3,167,014 Matthews International Corp., Class A + ... 36,120 1,210,742 Overhill Farms, Inc. * .................... 216,020 1,220,513 Perry Ellis International, Inc. * ......... 31,310 612,737 Polo Ralph Lauren Corp. + ................. 17,440 1,393,979 Steven Madden Ltd. * + .................... 34,605 1,453,756 VF Corp. (a) + ............................ 28,310 2,190,628 --------------- 15,598,831 --------------- CONSUMER SERVICES--16.6% AFC Enterprises, Inc. * + ................. 311,696 2,524,738 Barrett Business Services, Inc. ........... 84,340 1,024,731 BCB Holdings Ltd. * # ..................... 53,148 93,009 Cache, Inc. * ............................. 185,390 817,570
Number of Shares Value ------------- --------------- CONSUMER SERVICES--(CONTINUED) Casual Male Retail Group, Inc. * .......... 317,941 $ 979,258 Century Casinos, Inc. * # ................. 674,006 1,685,015 Cornell Cos., Inc. * + .................... 63,395 1,181,683 CRA International, Inc. * + ............... 40,020 1,064,532 Deluxe Corp. + ............................ 87,610 1,572,599 Dress Barn, Inc., (The) * (a) + ........... 40,035 995,270 Family Dollar Stores, Inc. + .............. 53,530 1,765,955 Famous Dave's of America, Inc. * + # ...... 142,867 954,352 Finish Line, Inc., (The), Class A (a) + ... 83,235 1,006,311 Foot Locker, Inc. + ....................... 5,785 75,031 GameStop Corp., Class A * (a) ............. 61,495 1,057,714 Genesco, Inc. * + ......................... 87,405 2,091,602 Hackett Group, Inc. (The) * ............... 426,494 1,172,858 Harte-Hanks, Inc. (a) + ................... 63,585 756,026 LECG Corp. * # ............................ 393,430 1,121,275 MarineMax, Inc. * ......................... 94,346 998,181 Multi-Color Corp. + ....................... 166,560 2,105,318 Ross Stores, Inc. (a) + ................... 24,666 1,206,414 Schawk, Inc. (a) .......................... 264,631 3,469,312 Steiner Leisure Ltd. * + .................. 36,345 1,561,745 Systemax, Inc. ............................ 109,150 1,779,145 --------------- 33,059,644 --------------- ENERGY--0.8% Approach Resources, Inc. * + .............. 191,669 1,592,769 --------------- FINANCE--20.7% ACE Ltd. + ................................ 73,105 3,654,519 Capital One Financial Corp. + ............. 39,370 1,486,217 FBR Capital Markets Corp. * ............... 318,760 1,724,492 Fidelity National Financial, Inc., Class A + .............................. 110,420 1,573,485 First American Corp. + .................... 58,025 1,870,146 First Southern Bancorp, Inc., Class B 144A * # ++ .................... 64,350 1,373,229 Goldman Sachs Group, Inc., (The) (a) ...... 8,533 1,334,135 Investors Title Co. + ..................... 6,324 219,253 JPMorgan Chase & Co. + .................... 140,871 5,912,356 KKR Financial Holdings LLC (a) + .......... 189,605 1,325,339 Loews Corp. + ............................. 51,700 1,884,982 Maiden Holdings Ltd. + .................... 554,982 3,895,974 Morgan Stanley + .......................... 32,073 903,817 NBH Holdings Corp., Class A 144A * # ++ ... 79,735 1,531,709 Oriental Financial Group, Inc. (a) ........ 154,905 1,710,151 SLM Corp. * ............................... 162,850 1,820,663 State Street Corp. (a) + .................. 43,760 1,965,262 TradeStation Group, Inc. * + .............. 165,175 1,139,708 Travelers Companies., Inc., (The) + ....... 30,705 1,614,776 Validus Holdings, Ltd. + .................. 58,632 1,641,110 WESCO Financial Corp. + ................... 1,950 732,323 White Mountains Insurance Group Ltd. + .... 5,375 1,863,190 --------------- 41,176,836 --------------- HEALTH CARE--12.1% Alpha PRO Tech Ltd. * (a) ................. 908,910 3,063,027 AmSurg Corp. * + .......................... 55,380 1,144,151 Anika Therapeutics, Inc. * ................ 194,285 1,222,053 Baxter International, Inc. + .............. 26,890 1,530,848 BioClinica, Inc. * # ...................... 245,761 1,061,688
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 11 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- HEALTH CARE--(CONTINUED) Cooper Cos., Inc., (The) + ................ 41,295 $ 1,654,278 Hooper Holmes, Inc. * # ................... 609,853 536,671 Lincare Holdings, Inc. * (a) + ............ 39,645 1,592,143 MedQuist, Inc. (a) + # .................... 174,201 1,369,220 Merck & Co., Inc. + ....................... 54,603 2,013,759 Orthofix International N.V. * + ........... 57,796 1,970,266 PHC, Inc., Class A * ...................... 302,535 375,143 RehabCare Group, Inc. * + ................. 43,805 1,219,531 Res-Care, Inc. * .......................... 113,655 1,036,534 Synergetics USA, Inc. * # ................. 370,452 463,065 Theragenics Corp. * ....................... 461,065 654,712 Unilens Vision, Inc. # .................... 87,132 400,807 Varian Medical Systems, Inc. * (a) + ...... 57,725 2,826,793 --------------- 24,134,689 --------------- TECHNOLOGY--18.3% Amdocs Ltd. + * ........................... 70,540 2,051,303 BluePhoenix Solutions Ltd. * (a) .......... 180,775 423,013 CGI Group, Inc. Class A * + ............... 78,840 1,105,337 Coleman Cable, Inc. * (a) # ............... 191,785 830,429 Compuware Corp. * + ....................... 345,760 2,589,742 Concurrent Computer Corp. * # ............. 244,912 1,129,044 Digi International, Inc. * + .............. 170,221 1,727,743 Dynamics Research Corp. * ................. 89,870 925,661 Hewlett-Packard Co. + ..................... 27,178 1,380,371 MIPS Technologies, Inc. * ................. 465,170 1,958,366 MRV Communications, Inc. * ................ 535,710 449,996 NU Horizons Electronics Corp. * + ......... 66,191 287,931 NumereX Corp., Class A * # ................ 158,740 655,596 Oracle Corp. + ............................ 144,709 3,567,077 Photronics, Inc. * ........................ 241,100 1,060,840 PLATO Learning, Inc. * # .................. 690,351 2,761,404 Richardson Electronics Ltd. + ............. 147,211 1,157,078 Salary.com, Inc. * ........................ 316,880 779,525 SL Industries, Inc. * # ................... 77,155 621,098 Sybase, Inc. * (a) + ...................... 22,585 1,002,548 Technitrol, Inc. (a) ...................... 248,983 1,095,525 Telular Corp. * + # ....................... 889,224 4,001,508 Tier Technologies, Inc., Class B * + # .... 219,075 1,625,537 Versant Corp. * + ......................... 56,855 841,454 Virtusa Corp. * + ......................... 267,066 2,430,301 --------------- 36,458,427 --------------- TRANSPORTATION--1.5% Dynamex, Inc. * + ......................... 68,475 1,191,465 FedEx Corp. + ............................. 20,385 1,727,833 --------------- 2,919,298 --------------- TOTAL DOMESTIC COMMON STOCK (Cost $171,039,835) ................. 183,939,105 --------------- PREFERRED STOCK--4.9% FINANCE--4.9% Bank of America Corp. Capital Trust IV Pfd. 5.875% ............................ 99,365 1,935,630 Bank of America Corp. Pfd. 6.375% ......... 66,810 1,316,825 Capital One Capital II Pfd. 7.500% + ...... 21,505 529,453 Citigroup Capital XVI Pfd. 6.450% ......... 103,860 1,998,266 Fifth Third Capital Trust V Pfd. 7.250% ... 31,770 705,612
Number of Shares Value ------------- --------------- FINANCE--(CONTINUED) First Southern Bancorp, Inc. 144A * # ++ ............................ 110 $ 111,246 KeyCorp Capital LX Pfd. 6.750% ............ 57,420 1,266,685 SLM Corp. Pfd. 6.970% ..................... 4,940 190,906 Sovereign Capital Trust V Pfd. 7.750% ..... 26,870 658,046 Wachovia Capital Trust IV Pfd. 6.375% (a) ..................................... 48,455 1,123,671 --------------- TOTAL PREFERRED STOCK (Cost $8,080,978) ................... 9,836,340 --------------- SECURITIES LENDING COLLATERAL--8.7% Institutional Money Market Trust .......... 17,286,130 17,286,130 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $17,286,130) .................. 17,286,130 --------------- TOTAL LONG POSITIONS--106.0% (Cost $196,406,943) ....................... 211,061,575 --------------- SECURITIES SOLD SHORT--(19.1%) BASIC INDUSTRIES--(0.3%) China Green Agriculture, Inc. * ........... (15,415) (224,905) Stepan Co. ................................ (8,360) (397,434) Uranium Energy Corp. * .................... (11,655) (42,657) --------------- (664,996) --------------- CAPITAL GOODS--(2.2%) Applied Nanotech Holdings, Inc. * ......... (8,285) (2,651) Broadwind Energy, Inc. * .................. (176,260) (872,487) CARBO Ceramics, Inc. ...................... (8,015) (489,155) DynaMotive Energy Systems Corp. * ......... (72,185) (12,488) Hawkins, Inc. ............................. (47,965) (956,902) Maxwell Technologies, Inc. * .............. (33,895) (469,785) NewMarket Corp. ........................... (10,000) (890,500) PMFG, Inc. * .............................. (28,690) (401,660) Smith & Wesson Holding Corp. * ............ (56,505) (241,276) SulphCo, Inc. * ........................... (34,495) (13,108) --------------- (4,350,012) --------------- COMMUNICATIONS--(1.6%) CTC Communications Group, Inc. * # ++ ..... (98,900) (10) Equinix, Inc. * ........................... (7,610) (718,917) GSI Commerce, Inc. * ...................... (52,890) (1,320,663) Interliant, Inc. * ........................ (600) 0 One Communications Corp. * ................ (36,619) (4) Rackspace Hosting, Inc. * ................. (52,485) (1,040,778) SPEEDUS Corp. * ........................... (3,695) (10,494) --------------- (3,090,866) --------------- CONSUMER DURABLES--(0.3%) Kandi Technologies Corp. * ................ (26,150) (111,138) Middleby Corp., (The) * ................... (10,685) (495,677) QSound Labs, Inc. * ....................... (4,440) (1,554) --------------- (608,369) ---------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 12 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- CONSUMER NON-DURABLES--(1.4%) Amish Naturals, Inc. * .................... (25,959) $ (345) Cal-Maine Foods, Inc. ..................... (37,185) (1,192,151) Lifeway Foods, Inc. * ..................... (42,380) (496,694) Smart Balance, Inc. * ..................... (223,440) (1,119,434) Valence Technology, Inc. * ................ (27,585) (25,654) --------------- (2,834,278) --------------- CONSUMER SERVICES--(4.4%) Arbitron, Inc. ............................ (62,920) (1,352,780) Bally Technologies, Inc. * ................ (21,760) (901,082) Beard Co. * ............................... (9,710) (41,268) Constant Contact, Inc. * .................. (32,290) (602,854) New Oriental Education & Technology Group-Sponsored ADR * .................. (12,760) (997,704) PokerTek, Inc. * .......................... (6,110) (3,177) Sharps Compliance Corp. * ................. (255,895) (1,816,855) Spectrum Group International, Inc. * ...... (4,616) (8,078) Sturm Ruger & Co., Inc. ................... (204,045) (2,399,569) VistaPrint NV * ........................... (10,805) (623,665) --------------- (8,747,032) --------------- ENERGY--0.0% Ethanex Energy, Inc. * .................... (648) (81) --------------- FINANCE--(0.7%) China Logistics, Inc. * ................... (26) (3) Genmed Holding Corp. * .................... (5) (3) Value Line, Inc. # ........................ (51,295) (1,364,960) --------------- (1,364,966) --------------- HEALTH CARE--(2.6%) ActiveCare, Inc. * ........................ (421) (4) Bodytel Scientific, Inc. * ................ (4,840) (29) Bovie Medical Corp. * ..................... (70,710) (490,727) Conceptus, Inc. * ......................... (17,465) (342,838) Cytori Therapeutics, Inc. * ............... (63,120) (438,684) DexCom, Inc. * ............................ (72,795) (658,067) HeartWare International, Inc. * ........... (10,240) (394,650) IDEXX Laboratories, Inc. * ................ (9,925) (524,139) Mindray Medical International Ltd.-ADR .... (41,340) (1,577,534) Rockwell Medical Technologies, Inc. * ..... (49,915) (297,493) Savient Pharmaceuticals, Inc. * ........... (33,555) (452,321) --------------- (5,176,486) --------------- TECHNOLOGY--(5.6%) Aixtron AG-Sponsored ADR .................. (26,925) (788,633) ANSYS, Inc. * ............................. (14,605) (640,575) ANTS Software, Inc. * ..................... (10,334) (9,714) Applied Micro Circuits Corp. * ............ (119,530) (1,068,598) ASML Holding N.V. ......................... (16,620) (512,395) China Fire & Security Group, Inc. * ....... (76,420) (1,075,229)
Number of Shares Value ------------- --------------- TECHNOLOGY--(CONTINUED) ConSyGen, Inc. * .......................... (200) $ 0 Cree, Inc. * .............................. (5,905) (400,536) Ener1, Inc. * ............................. (90,220) (381,631) First Solar, Inc. * ....................... (4,455) (471,785) FLIR Systems, Inc. * ...................... (17,970) (481,776) Infinera Corp. * .......................... (70,405) (533,670) Informatica Corp. * ....................... (21,560) (550,211) KLA-Tencor Corp. .......................... (11,385) (331,645) Microvision, Inc. * ....................... (147,395) (324,269) Nestor, Inc. * ............................ (15,200) (23) Netezza Corp. * ........................... (76,850) (702,409) Palm, Inc. * .............................. (120,255) (733,556) Sonic Solutions * ......................... (108,545) (986,674) Synaptics, Inc. * ......................... (21,235) (566,975) Tiger Telematics, Inc. * .................. (6,510) (9) Tower Semiconductor Ltd. * ................ (38,915) (63,431) Universal Display Corp. * ................. (35,485) (373,657) WorldGate Communications, Inc. * .......... (436,195) (239,907) Xybernaut Corp. # ++ * .................... (35,000) (1) --------------- (11,237,309) --------------- TOTAL SECURITIES SOLD SHORT (Proceeds $41,836,838) .............. (38,074,395) --------------- WARRANTS--0.0% UTILITIES--0.0% Greenhunter Energy, Inc. Exercise Price $27.50, Exp. 09/15/11 ............ (423) 0 --------------- TOTAL WARRANTS (Proceeds $0) ....................... 0 --------------- OTHER ASSETS IN EXCESS OF LIABILITIES--13.1%.. 26,081,989 --------------- NET ASSETS--100.0% ........................... $ 199,069,169 ===============
- ---------- ADR -- American Depositary Receipt 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. * -- Non-income producing. (a) -- All or a portion of the security is on loan (see note 6). + -- Security position is either entirely or partially held in a segregated account as collateral for securities sold short. # -- 11.9% of the Fund's net assets were reported illiquid by the portfolio manager under the Funds' policy. ++ -- Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.'s Board of Directors. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 13 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Common Stock Basic Industries $ 4,928,422 $ 4,928,422 $-- $ -- Capital Goods 11,734,953 11,734,953 -- -- Communications 6,247,959 6,247,959 -- -- Consumer Durables 6,087,277 6,087,277 -- -- Consumer Non-Durables 15,598,831 15,598,831 -- -- Consumer Services 33,059,644 33,059,644 -- -- Energy 1,592,769 1,592,769 -- -- Finance 41,176,836 38,271,898 -- 2,904,938 Health Care 24,134,689 24,134,689 -- -- Technology 36,458,427 36,458,427 -- -- Transportation 2,919,298 2,919,298 -- -- Preferred Stocks 9,836,340 9,725,094 -- 111,246 Securities Lending Collateral 17,286,130 17,286,130 -- -- ------------ ------------ --- ---------- Total Assets $211,061,575 $208,045,391 $-- $3,016,184 ============ ============ === ==========
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Securities Sold Short Basic Industries $ (664,996) $ (664,996) $-- $ -- Capital Goods (4,350,012) (4,350,012) -- -- Communications (3,090,866) (3,090,852) -- (14) Consumer Durables (608,369) (608,369) -- -- Consumer Non-Durables (2,834,278) (2,834,278) -- -- Consumer Services (8,747,032) (8,747,032) -- -- Energy (81) (81) -- -- Finance (1,364,966) (1,364,966) -- -- Health Care (5,176,486) (5,176,482) -- (4) Technology (11,237,309) (11,237,308) -- (1) ------------ ------------ --- ---- Total Liabilities $(38,074,395) $(38,074,376) $-- $(19) ============ ============ === ====
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
COMMON PREFERRED STOCKS STOCK TOTAL ---------- --------- INVESTMENTS FINANCE FINANCE ----------- ---------- --------- Balance as of August 31, 2009 $ -- $ -- $ -- Accrued discounts/premiums -- -- -- Net realized gain/(loss) -- -- -- Change in unrealized appreciation (depreciation) (46,301) (47,547) 1,246 Net purchases/(sales) 3,062,485 2,952,485 110,000 Transfers in and/or out of Level 3 -- -- -- ---------- ---------- -------- Balance as of February 28, 2010 $3,016,184 $2,904,938 $111,246 ========== ========== ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 14 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded) PORTFOLIO OF INVESTMENTS
SECURITIES SOLD SHORT TOTAL ----------------------------------------- INVESTMENTS COMMUNICATIONS HEALTH CARE TECHNOLOGY ----------- -------------- ----------- ---------- Balance as of August 31, 2009 $ -- $ -- $ -- $ -- Accrued discounts/premiums -- -- -- -- Net realized gain/(loss) -- -- -- -- Change in unrealized appreciation (depreciation) 1,000 -- 21 979 Net purchases/(sales) -- -- -- -- Transfers in and/or out of Level 3 (1,019) (14) (25) (980) ------- ---- ---- ----- Balance as of February 28, 2010 $ (19) $(14) $ (4) $ (1) ======= ==== ==== =====
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 15 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--95.8% BASIC INDUSTRIES--7.2% Albemarle Corp. ........................... 18,865 $ 707,249 Allegheny Technologies, Inc. (a) .......... 13,185 575,657 Ashland, Inc. ............................. 17,610 829,079 Cliffs Natural Resources, Inc. ............ 4,775 269,310 Crown Holdings, Inc. * .................... 30,005 819,737 PPG Industries, Inc. ...................... 17,855 1,098,797 Reliance Steel & Aluminum Co. ............. 22,070 978,584 --------------- 5,278,413 --------------- CAPITAL GOODS--9.5% AGCO Corp. * .............................. 19,090 653,832 Cooper Industries PLC ..................... 16,430 745,265 Ingersoll-Rand PLC (a) .................... 20,890 666,600 Lennox International, Inc. ................ 10,970 462,934 Mettler-Toledo International, Inc. * ...... 1,425 141,659 Mohawk Industries, Inc. * (a) ............. 15,135 780,663 Stanley Works, (The) (a) .................. 7,605 435,386 Terex Corp. * ............................. 32,125 625,474 Thomas & Betts Corp. * .................... 25,455 918,926 W.W. Grainger, Inc. ....................... 3,880 394,402 WESCO International, Inc. * ............... 41,200 1,190,268 --------------- 7,015,409 --------------- COMMUNICATIONS--1.1% CenturyTel, Inc. (a) ...................... 22,736 779,163 --------------- CONSUMER DURABLES--1.5% Lennar Corp., Class A ..................... 36,580 600,278 NVR, Inc. * (a) ........................... 760 538,308 --------------- 1,138,586 --------------- CONSUMER NON-DURABLES--4.9% Coach, Inc. ............................... 14,615 532,571 Dr. Pepper Snapple Group, Inc. ............ 11,070 351,472 Electronic Arts, Inc. * (a) ............... 53,045 879,486 Lorillard, Inc. ........................... 4,910 358,626 Mattel, Inc. .............................. 13,520 297,305 Timberland Co., (The), Class A * .......... 34,355 635,224 VF Corp. (a) .............................. 7,465 577,642 --------------- 3,632,326 --------------- CONSUMER SERVICES--18.3% Abercrombie & Fitch Co., Class A .......... 14,025 510,790 Acxiom Corp. * ............................ 18,685 315,029 Bed Bath & Beyond, Inc. * ................. 13,360 555,910 Career Education Corp. * (a) .............. 20,410 567,806 Equifax, Inc. ............................. 39,515 1,274,754 Expedia, Inc. * (a) ....................... 24,299 540,410 GameStop Corp., Class A * (a) ............. 16,940 291,368 Gap, Inc., (The) .......................... 20,245 435,267 Herbalife Ltd. ............................ 18,055 723,103 Hewitt Associates, Inc., Class A * ........ 17,280 656,467 Kroger Co., (The) ......................... 20,170 445,757 Manpower, Inc. (a) ........................ 25,690 1,323,549 McGraw-Hill Companies, Inc., (The) ........ 24,730 845,766 Monster Worldwide, Inc. * (a) ............. 24,895 347,285 Omnicom Group, Inc. (a) ................... 23,790 871,190 Robert Half International, Inc. (a) ....... 32,995 920,560 Safeway, Inc. (a) ......................... 35,555 886,031 Staples, Inc. (a) ......................... 9,475 244,076
Number of Shares Value ------------- --------------- CONSUMER SERVICES--(CONTINUED) Starwood Hotels & Resorts Worldwide, Inc. (a) ............................... 5,695 $ 220,397 Towers Watson & Co., Class A (a) .......... 20,365 899,522 Washington Post Co., (The), Class B ....... 1,310 550,606 --------------- 13,425,643 --------------- ENERGY--6.1% Concho Resources, Inc. * .................. 21,335 991,011 Noble Energy, Inc. (a) .................... 12,760 926,886 Petrohawk Energy Corp. * .................. 24,360 521,304 Pride International, Inc. * ............... 12,380 346,392 Smith International, Inc. ................. 18,835 772,047 Ultra Petroleum Corp. * ................... 19,740 902,710 --------------- 4,460,350 --------------- FINANCE--17.0% ACE Ltd. .................................. 8,495 424,665 Affiliated Managers Group, Inc. * ......... 5,235 372,366 Alleghany Corp. * ......................... 3,509 972,870 AON Corp. ................................. 17,140 701,712 Assurant, Inc. ............................ 17,430 531,964 BB&T Corp. ................................ 17,325 494,282 Capital One Financial Corp. ............... 14,960 564,740 Discover Financial Services ............... 65,365 892,232 East West Bancorp, Inc. ................... 31,315 548,639 Federated Investors, Inc., Class B (a) .... 28,400 710,284 Hanover Insurance Group, Inc., (The) ...... 17,995 758,489 Loews Corp. ............................... 7,355 268,163 M&T Bank Corp. ............................ 4,555 352,694 Marsh & McLennan Cos., Inc. ............... 45,500 1,056,510 People's United Financial, Inc. ........... 9,235 145,636 Reinsurance Group of America, Inc. ........ 11,125 528,771 SEI Investments Co. ....................... 37,520 661,102 SLM Corp. * ............................... 86,335 965,225 Symetra Financial Corp. * ................. 58,155 755,433 Unum Group (a) ............................ 36,390 757,276 --------------- 12,463,053 --------------- HEALTH CARE--8.2% Cardinal Health, Inc. ..................... 10,755 365,347 DaVita, Inc. * ............................ 16,770 1,033,200 Hologic, Inc. * ........................... 50,025 862,931 Hospira, Inc. * ........................... 12,730 666,161 Humana, Inc. * ............................ 15,740 744,974 Laboratory Corp. of America Holdings * .... 9,215 675,552 McKesson Corp. ............................ 9,320 551,278 Omnicare, Inc. ............................ 27,855 754,035 Varian Medical Systems, Inc. * (a) ........ 8,105 396,902 --------------- 6,050,380 --------------- REAL ESTATE INVESTMENT TRUSTS--4.0% Annaly Capital Management, Inc. ........... 34,746 638,631 Equity Residential ........................ 10,260 370,181 Kimco Realty Corp. (a) .................... 49,745 690,958 Regency Centers Corp. (a) ................. 9,585 332,312 Taubman Centers, Inc. ..................... 13,370 517,820 Ventas, Inc. (a) .......................... 9,305 411,188 --------------- 2,961,090 ---------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 16 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS MID CAP VALUE FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- TECHNOLOGY--12.7% Amdocs Ltd. * ............................. 27,215 $ 791,412 Arrow Electronics, Inc. * ................. 34,910 984,811 Avnet, Inc. * ............................. 25,050 691,630 Broadridge Financial Solutions, Inc. ...... 33,510 705,050 CACI International, Inc., Class A * ....... 6,855 339,734 Cymer, Inc. * ............................. 16,905 529,465 Flextronics International Ltd. * .......... 57,905 403,019 Harris Corp. .............................. 24,525 1,109,020 Ingram Micro, Inc., Class A * ............. 41,250 730,125 McAfee, Inc. * ............................ 6,372 252,905 Micron Technology, Inc. * (a) ............. 53,850 487,881 SRA International, Inc., Class A * ........ 15,325 292,095 STMicroelectronics N.V. (a) ............... 61,865 536,370 Sybase, Inc. * (a) ........................ 11,060 490,953 Symantec Corp. * .......................... 35,215 582,808 Western Union Co. (The) (a) ............... 26,330 415,487 --------------- 9,342,765 --------------- TRANSPORTATION--0.4% Norfolk Southern Corp. .................... 5,185 266,665 --------------- UTILITIES--4.9% Allegheny Energy, Inc. (a) ................ 28,240 639,636 Alliant Energy Corp. ...................... 16,695 528,063 American Electric Power Co., Inc. (a) ..... 7,870 264,589
Number of Shares Value ------------- --------------- UTILITIES--(CONTINUED) Edison International ...................... 19,590 $ 639,222 NV Energy, Inc. ........................... 45,060 500,617 PG&E Corp. (a) ............................ 10,875 455,880 Westar Energy, Inc. ....................... 26,995 577,693 --------------- 3,605,700 --------------- TOTAL COMMON STOCK (Cost $65,748,043) .................. 70,419,543 --------------- SECURITIES LENDING COLLATERAL--25.7% Institutional Money Market Trust .......... 18,885,658 18,885,658 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $18,885,658) .................. 18,885,658 --------------- TOTAL INVESTMENTS--121.5% (Cost $84,633,701) ..................... 89,305,201 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(21.5)% ............................ (15,812,750) --------------- NET ASSETS--100.0% ........................... $ 73,492,451 ===============
- ---------- * -- Non-income producing. (a) -- All or a portion of the security is on loan (see note 6). A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investments in securities * $89,305,201 $89,305,201 $-- $-- ----------- ----------- --- --- Total Assets $89,305,201 $89,305,201 $-- $-- =========== =========== === ===
* see Portfolio of Investments detail for industry and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 17 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--96.4% BASIC INDUSTRIES--1.5% Cytec Industries, Inc. .................... 23,310 $ 994,638 Pactiv Corp. * ............................ 13,565 335,869 --------------- 1,330,507 --------------- CAPITAL GOODS--3.0% Actuant Corp., Class A .................... 20,325 368,086 Dover Corp. (a) ........................... 24,620 1,114,301 Illinois Tool Works, Inc. ................. 8,580 390,562 Parker-Hannifin Corp. ..................... 11,722 706,954 Wolseley PLC - ADR ........................ 37,025 87,009 --------------- 2,666,912 --------------- COMMUNICATIONS--1.9% Vodafone Group PLC - Sponsored ADR ........ 75,348 1,640,326 --------------- CONSUMER DURABLES--0.7% Magna International, Inc., Class A ........ 11,310 644,557 --------------- CONSUMER NON-DURABLES--5.0% Del Monte Foods Co. ....................... 12,535 146,910 Electronic Arts, Inc. * (a) ............... 39,115 648,527 Jones Apparel Group, Inc. ................. 15,085 254,333 Mattel, Inc. .............................. 55,550 1,221,544 Matthews International Corp., Class A ..... 6,860 229,947 Nestle S.A.- Sponsored ADR ................ 17,600 875,424 Oxford Industries, Inc. ................... 17,610 342,691 Timberland Co., (The), Class A * .......... 15,715 290,570 Tupperware Brands Corp. ................... 9,545 446,038 --------------- 4,455,984 --------------- CONSUMER SERVICES--18.7% Best Buy Co., Inc. ........................ 12,175 444,387 Career Education Corp. * # (a) ............ 27,675 769,918 CEC Entertainment, Inc. * ................. 14,970 524,698 eBay, Inc. * .............................. 49,815 1,146,741 Equifax, Inc. ............................. 23,425 755,690 Expedia, Inc. * # (a) ..................... 48,663 1,082,265 Family Dollar Stores, Inc. ................ 38,390 1,266,486 GameStop Corp., Class A * (a) ............. 56,115 965,178 Gap, Inc., (The) .......................... 21,310 458,165 Harte-Hanks, Inc. ......................... 36,155 429,883 Herbalife Ltd. ............................ 17,820 713,691 Hewitt Associates, Inc., Class A * ........ 12,170 462,338 HSN, Inc. * ............................... 26,065 564,568 Interval Leisure Group, Inc. * ............ 35,060 503,462 Lender Processing Services, Inc. .......... 20,965 800,444 Manpower, Inc. (a) ........................ 10,325 531,944 Monster Worldwide, Inc. * (a) ............. 24,440 340,938 Omnicom Group, Inc. (a) ................... 23,835 872,838 Pantry, Inc. (The) * ...................... 15,915 208,486 Philip Morris International, Inc. ......... 17,715 867,681 Regis Corp. ............................... 47,140 779,224 Rent-A-Center, Inc. * ..................... 36,290 807,090 Towers Watson & Co., Class A (a) .......... 13,480 595,412 Viacom, Inc., Class B * ................... 14,830 439,709 Wright Express Corp. * .................... 11,765 333,185 --------------- 16,664,421 ---------------
Number of Shares Value ------------- --------------- ENERGY--8.1% Apache Corp. # ............................ 11,670 $ 1,209,479 Chevron Corp. ............................. 25,825 1,867,147 EOG Resources, Inc. # ..................... 10,485 986,114 Marathon Oil Corp. # ...................... 16,085 465,661 Noble Energy, Inc. ........................ 31,670 2,300,509 XTO Energy, Inc. .......................... 9,365 427,981 --------------- 7,256,891 --------------- FINANCE--29.7% ACE Ltd. .................................. 14,135 706,609 Alleghany Corp. * ......................... 4,566 1,265,923 Allied World Assurance Co. Holdings Ltd. .......................... 11,965 551,586 American Express Co. ...................... 25,050 956,659 AON Corp. ................................. 9,395 384,631 Arch Capital Group Ltd. * ................. 3,335 246,723 Bank of America Corp. ..................... 136,840 2,279,754 BB&T Corp. ................................ 30,920 882,148 Bond Street Holdings LLC, Class A 144A * ++ .............................. 29,895 607,167 Capital One Financial Corp. ............... 19,300 728,575 Citigroup, Inc. * ......................... 126,955 431,647 Cypress Sharpridge Investments, Inc. ...... 19,315 255,537 Federated Investors, Inc., Class B (a) .... 16,390 409,914 First American Corp. ...................... 13,030 419,957 First Southern Bancorp, Inc., Class B 144A * ++ ...................... 17,550 374,517 Flagstone Reinsurance Holdings Ltd. ....... 62,940 720,034 Hanover Insurance Group, Inc., (The) ...... 18,220 767,973 J.G.Wentworth, Inc. * ++ +/- ~ ............ -- 0 JPMorgan Chase & Co. ...................... 71,865 3,016,174 Loews Corp. ............................... 61,489 2,241,889 Maiden Holdings Ltd. ...................... 14,125 99,157 Morgan Stanley ............................ 27,670 779,741 NBH Holdings Co., Inc. Class A 144A * ++ .............................. 40,025 768,880 Peoples Choice Financial Corp. 144A * ++ ~ ............................ 1,465 0 SLM Corp. * ............................... 93,445 1,044,715 Solar Cayman Ltd. 144A * ++ ............... 19,375 115,087 State Street Corp. (a) .................... 19,505 875,970 Symetra Financial Corp. * ................. 10,695 138,928 Travelers Companies., Inc., (The) ......... 26,925 1,415,986 Unum Group (a) ............................ 56,536 1,176,514 Validus Holdings, Ltd. .................... 29,912 837,237 Wells Fargo & Co. ......................... 35,075 958,951 White Mountains Insurance Group Ltd. ............................. 3,110 1,078,050 --------------- 26,536,633 --------------- HEALTH CARE--13.2% Aetna, Inc. ............................... 14,150 424,358 Amgen, Inc. * ............................. 31,190 1,765,666 Becton, Dickinson & Co. (a) ............... 10,880 847,226 Cardinal Health, Inc. ..................... 23,865 810,694 DaVita, Inc. * ............................ 8,405 517,832 Hologic, Inc. * ........................... 17,120 295,320 Johnson & Johnson ......................... 27,195 1,713,285 Lincare Holdings, Inc. * (a) .............. 14,425 579,308 McKesson Corp. ............................ 14,685 868,618
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 18 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- HEALTH CARE--(CONTINUED) Patterson Companies, Inc. * ............... 15,675 $ 465,234 Pfizer, Inc. .............................. 137,316 2,409,896 UnitedHealth Group, Inc. .................. 15,195 514,503 WellPoint, Inc. * ......................... 9,250 572,298 --------------- 11,784,238 --------------- REAL ESTATE INVESTMENT TRUSTS--1.0% Ashford Hospitality Trust, Inc. * (a) ..... 65,925 361,269 Colony Financial, Inc. (a) ................ 11,835 235,990 Terreno Realty Corp. * .................... 15,445 290,520 TMST, Inc. * ++ ........................... 191,097 0 --------------- 887,779 --------------- TECHNOLOGY--13.2% Accenture PLC ............................. 25,595 1,023,032 Avnet, Inc. * ............................. 15,955 440,518 BancTec, Inc., 144A * ++ .................. 15,732 138,599 Fidelity National Information Services, Inc. ......................... 11,305 254,815 Heartland Payment Systems, Inc. ........... 23,585 360,615 Hewlett-Packard Co. ....................... 33,135 1,682,927 International Business Machines Corp. ..... 17,220 2,189,695 Micron Technology, Inc. * (a) ............. 62,150 563,079 Microsoft Corp. ........................... 69,880 2,002,761 Sykes Enterprises, Inc. * ................. 7,935 188,932 Symantec Corp. * .......................... 45,120 746,736 Tech Data Corp. * ......................... 16,790 719,284 Texas Instruments, Inc. ................... 18,105 441,400 Tyco Electronics Ltd. ..................... 25,585 655,744 Western Union Co. (The) (a) ............... 25,340 399,865 --------------- 11,808,002 --------------- UTILITIES--0.4% Allegheny Energy, Inc. (a) ................ 15,965 361,607 --------------- TOTAL COMMON STOCK (Cost $78,256,302) .................. 86,037,857 --------------- PREFERRED STOCK--0.0% FINANCE--0.0% First Southern Bancorp, Inc. 144A * ++ .... 30 30,340 --------------- TOTAL PREFERRED STOCK (Cost $30,000) ...................... 30,340 ---------------
Par Value ------------- CORPORATE BONDS--0.1% MBIA Insurance Corp.144A ## + 14.00% 01/15/33 ........................ $ 151 70,970 Thornburg Mortgage, Inc. (PIK) @ ++ ~ 18.00% 03/31/15 ........................ 74 0 Thornburg Mortgage, Inc. 144A @ ++ ~ 18.00% 03/31/15 ........................ 824 0 --------------- TOTAL CORPORATE BONDS (Cost $981,292) ..................... 70,970 ---------------
Number of Shares Value ------------- --------------- SECURITIES LENDING COLLATERAL--12.9% Institutional Money Market Trust .......... 11,504,751 $ 11,504,751 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $11,504,751) .................. 11,504,751 --------------- TOTAL INVESTMENTS--109.4% (Cost $90,772,345) ........................ 97,643,918 ---------------
Number of Contracts ------------- PTIONS WRITTEN--(0.2%) Apache Corp. Call Options Expires 04/17/10 Strike Price $110 ...................... (105) (15,750) Career Education Corp. Call Options Expires 04/17/10 Strike Price $22 ....................... (181) (107,695) EOG Resources, Inc. Call Options Expires 04/17/10 Strike Price $95 ....................... (45) (18,000) Expedia, Inc. Call Options Expires 04/17/10 Strike Price $25 ....................... (86) (2,150) Expedia, Inc. Call Options Expires 04/17/10 Strike Price $30 ....................... (86) 0 Marathon Oil Corp. Call Options Expires 04/17/10 Strike Price $38 ....................... (147) 0 --------------- TOTAL OPTIONS WRITTEN (Premiums received $(171,767)) ...... (143,595) --------------- TOTAL INVESTMENTS, NET OF OPTIONS WRITTEN--109.2% (Cost $90,600,578) ........................ 97,500,323 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(9.2)% ............................ (8,231,626) --------------- NET ASSETS--100.0% ........................... $ 89,268,697 ===============
- ---------- 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. ADR -- American Depositary Receipt PIK -- Payment In Kind * -- Non-income producing. @ -- Security in default. ++ -- Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.'s Board of Directors. +/- -- Total shares owned by the Fund as of February 28, 2010 were less than one share. + -- Adjustable rate security. # -- Security segregated as collateral for options written. ## -- Callable security. (a) -- All or a portion of the security is on loan (see note 6). ~ -- 0.0% of the Fund's net assets were reported illiquid by the portfolio manager under the Funds' policy. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 19 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (concluded) PORTFOLIO OF INVESTMENTS A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Common Stock Basic Industries $ 1,330,507 $ 1,330,507 $ -- $ -- Capital Goods 2,666,912 2,666,912 -- -- Communications 1,640,326 1,640,326 -- -- Consumer Durables 644,557 644,557 -- -- Consumer Non-Durables 4,455,984 4,455,984 -- -- Consumer Services 16,664,421 16,664,421 -- -- Energy 7,256,891 7,256,891 -- -- Finance 26,536,633 24,670,982 -- 1,865,651 Health Care 11,784,238 11,784,238 -- -- Real Estate Investment Trusts 887,779 887,779 -- -- Technology 11,808,002 11,669,403 -- 138,599 Utilities 361,607 361,607 -- -- Preferred Stock - Finance 30,340 -- -- 30,340 Securities Lending Collateral 11,504,751 11,504,751 -- -- Corporate Bonds 70,970 -- 70,970 -- ----------- ----------- ------- ---------- Total Assets $97,643,918 $95,538,358 $70,970 $2,034,590 =========== =========== ======= ==========
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Options Written $(143,595) $-- $(143,595) $-- --------- --- --------- --- Total Liabilities $(143,595) $-- $(143,595) $-- ========= === ========= ===
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
PREFERRED COMMON STOCK STOCK TOTAL ----------------------- --------- INVESTMENTS FINANCE TECHNOLOGY FINANCE ----------- ---------- ---------- --------- Balance as of August 31, 2009 $ 239,717 $ 147,056 $ 92,661 $ -- Accrued discounts/premiums -- -- -- -- Net realized gain/(loss) -- -- -- -- Change in unrealized appreciation (depreciation) (49,770) (50,110) -- 340 Net purchases/(sales) 1,844,643 1,768,705 45,938 30,000 Transfers in and/or out of Level 3 -- -- -- -- ---------- ---------- -------- ------- Balance as of February 28, 2010 $2,034,590 $1,865,651 $138,599 $30,340 ========== ========== ======== =======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 20 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO WPG SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--98.8% BASIC INDUSTRIES--2.3% Buckeye Technologies, Inc. * .............. 3,000 $ 33,150 Globe Specialty Metals, Inc. * ............ 26,700 273,942 Graham Packaging Co., Inc. * .............. 8,000 83,680 Landec Corp. * ............................ 3,800 23,028 Schweitzer-Mauduit International, Inc. .... 7,700 353,430 --------------- 767,230 --------------- CAPITAL GOODS--8.1% BE Aerospace, Inc. * ...................... 10,700 277,130 Beacon Roofing Supply, Inc. * ............. 18,100 314,940 Columbus McKinnon Corp. * ................. 15,000 215,850 Generac Holdings, Inc. * (a) .............. 30,900 414,987 Granite Construction, Inc. (a) ............ 10,600 292,878 Hexcel Corp. * ............................ 23,400 257,868 Lakeland Industries, Inc. * ............... 34,100 289,850 RTI International Metals, Inc. * .......... 9,600 230,688 Teleflex, Inc. ............................ 2,900 176,726 Titan Machinery, Inc. * ................... 9,100 108,381 Tutor Perini Corp. * ...................... 9,800 193,746 --------------- 2,773,044 --------------- COMMUNICATIONS--1.5% Digital River, Inc. * ..................... 20,000 525,800 --------------- CONSUMER DURABLES--0.5% Lifetime Brands, Inc. * (a) ............... 20,000 161,400 --------------- CONSUMER NON-DURABLES--8.1% Alliance One International, Inc. * ........ 97,300 499,149 Brown Shoe Co., Inc. ...................... 16,100 222,663 Chiquita Brands International, Inc. * (a) ............................. 28,600 416,416 Del Monte Foods Co. ....................... 66,400 778,208 Fresh Del Monte Produce, Inc. * ........... 11,800 229,038 Iconix Brand Group, Inc. * ................ 23,800 310,114 Pool Corp. (a) ............................ 15,800 315,684 --------------- 2,771,272 --------------- CONSUMER SERVICES--17.0% America's Car-Mart, Inc. * (a) ............ 10,600 280,264 Casual Male Retail Group, Inc. * .......... 87,900 270,732 Cornell Cos., Inc. * ...................... 46,700 870,488 Foot Locker, Inc. ......................... 7,500 97,275 FTI Consulting, Inc. * .................... 6,100 224,114 Geo Group, Inc., (The) * .................. 18,200 359,814 Hackett Group, Inc. (The) * ............... 35,400 97,350 Hillenbrand, Inc. ......................... 13,200 264,660 Jack in the Box, Inc. * ................... 8,100 171,072 LECG Corp. * .............................. 85,100 242,535 Lincoln Educational Services Corp. * (a) ............................ 5,300 118,190 Lions Gate Entertainment Corp. * .......... 57,600 313,920 MDC Partners, Inc., Class A ............... 139,400 1,301,996 New Frontier Media, Inc. * ................ 76,800 137,472 Pantry, Inc. (The) * ...................... 27,600 361,560 Princeton Review, Inc. (The) * (a) ........ 93,200 354,160 Regis Corp. ............................... 20,300 335,559 --------------- 5,801,161 ---------------
Number of Shares Value ------------- --------------- ENERGY--3.1% Approach Resources, Inc. * ................ 53,342 $ 443,272 Boots & Coots, Inc. * ..................... 93,900 169,959 GeoMet, Inc. * ............................ 80,900 81,709 Holly Corp. ............................... 14,400 369,792 --------------- 1,064,732 --------------- FINANCE--27.4% A.B.Whatley Group, Inc. * ................. 93,855 1,314 Allied World Assurance Co. ................ Holdings Ltd. ............................. 5,100 235,110 Aspen Insurance Holdings Ltd. ............. 12,800 361,728 Bancorp Rhode Island, Inc. ................ 6,000 170,700 Boston Private Financial Holdings, Inc. ... 14,500 99,325 Cathay General Bancorp (a) ................ 26,500 257,845 Centerstate Banks, Inc. ................... 17,000 182,580 Delphi Financial Group, Inc., Class A ..... 19,000 405,270 Encore Bancshares, Inc. * ................. 25,483 206,412 ESSA Bancorp, Inc. (a) .................... 13,500 157,950 FBR Capital Markets Corp. * ............... 104,500 565,345 First Financial Bancorp ................... 29,700 551,232 Great American Group, Inc. * .............. 89,550 301,784 Home Bancshares, Inc. ..................... 17,700 429,756 Home Federal Bancorp, Inc. ................ 13,800 183,954 Max Capital Group Ltd. .................... 15,600 376,584 MB Financial, Inc. ........................ 14,600 297,110 Meadowbrook Insurance Group, Inc. ......... 111,800 791,544 National Penn Bancshares, Inc. ............ 27,200 187,408 Nelnet, Inc., Class A ..................... 18,000 282,960 Northwest Bancshares, Inc. ................ 12,100 142,901 Old National Bancorp ...................... 23,400 265,824 PMA Capital Corp., Class A * .............. 27,200 154,496 Renasant Corp. (a) ........................ 17,400 265,524 SCBT Financial Corp. ...................... 11,500 418,140 SeaBright Insurance Holdings, Inc. * ...... 19,300 202,843 Simmons First National Corp., Class A ..... 6,300 167,328 Texas Capital Bancshares, Inc. * (a) ...... 18,700 315,095 Thomas Weisel Partners Group, Inc. * ...... 36,900 148,707 Union First Market Bankshares Corp. ....... 8,900 111,339 United Financial Bancorp, Inc. ............ 11,200 146,608 Validus Holdings, Ltd. .................... 14,800 414,252 ViewPoint Financial Group ................. 15,600 227,916 WSFS Financial Corp. ...................... 11,300 346,797 --------------- 9,373,681 --------------- HEALTH CARE--6.8% Assisted Living Concepts, Inc., Class A * .............................. 14,300 395,681 Exactech, Inc. * .......................... 19,100 370,349 Healthcare Services Group, Inc. ........... 2,600 57,096 HealthTronics, Inc. * ..................... 114,100 344,582 ICU Medical, Inc. * ....................... 17,100 587,727 NovaMed, Inc. * (a) ....................... 39,000 147,810 Providence Service Corp. * ................ 5,700 69,027 Psychiatric Solutions, Inc. * (a) ......... 16,300 349,635 --------------- 2,321,907 ---------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 21 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) ROBECO WPG SMALL CAP VALUE FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- REAL ESTATE INVESTMENT TRUSTS--6.1% American Campus Communities, Inc. ......... 7,300 $ 201,772 Chimera Investment Corp. .................. 59,200 236,800 Dupont Fabros Technology, Inc. ............ 14,600 286,160 Hatteras Financial Corp. (a) .............. 9,300 241,521 Highwoods Properties, Inc. (a) ............ 12,100 351,505 Kenndy-Wilson Holdings, Inc. * (a) ........ 16,400 157,768 Starwood Property Trust, Inc. ............. 20,300 379,813 Washington Real Estate Investment Trust (a) .............................. 7,500 208,950 --------------- 2,064,289 --------------- TECHNOLOGY--9.3% CDC Software Corp. - ADR * ................ 67,500 670,950 CIBER, Inc. * ............................. 82,900 309,217 Digi International, Inc. * ................ 55,855 566,929 Double-Take Software, Inc. * .............. 31,200 276,744 ManTech International Corp., Class A * .... 5,200 256,776 OmniVision Technologies, Inc. * ........... 14,900 216,497 Plantronics, Inc. ......................... 3,700 105,191 RADWARE Ltd. * ............................ 10,900 185,300 Safeguard Scientifics, Inc. * ............. 10,400 122,096 Techwell, Inc. * .......................... 19,200 240,960 Zoran Corp. * ............................. 19,200 217,728 --------------- 3,168,388 --------------- TRANSPORTATION--3.8% Airtran Holdings, Inc. * .................. 136,500 657,930 Celadon Group, Inc. * ..................... 22,400 273,728 Rand Logistics, Inc. * .................... 13,400 58,156 US Airways Group, Inc. * (a) .............. 21,000 153,930 Werner Enterprises, Inc. (a) .............. 7,300 162,863 --------------- 1,306,607 ---------------
Number of Shares Value ------------- --------------- UTILITIES--4.8% El Paso Electric Co. * .................... 11,000 $ 221,320 Great Plains Energy, Inc. ................. 10,200 181,662 Portland General Electric Co. ............. 20,600 370,594 StealthGas, Inc. .......................... 43,700 203,642 UGI Corp. ................................. 17,000 425,850 Vectren Corp. ............................. 10,200 237,150 --------------- 1,640,218 --------------- TOTAL COMMON STOCK (Cost $28,898,932) .................. 33,739,729 --------------- SECURITIES LENDING COLLATERAL--11.7% Institutional Money Market Trust .......... 4,013,270 4,013,270 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $4,013,270) ................... 4,013,270 --------------- TOTAL INVESTMENTS--110.5% (Cost $32,912,202) ........................ 37,752,999 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(10.5)% ........................... (3,596,294) --------------- NET ASSETS--100.0% ........................... $ 34,156,705 ===============
- ---------- ADR -- American Depositary Receipt * -- Non-income Producing (a) -- All or a portion of the security is on loan (see note 6). A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investments in securities * $37,752,999 $37,752,999 $-- $-- ----------- ----------- --- --- Total Assets $37,752,999 $37,752,999 $-- $-- =========== =========== === ===
* see Portfolio of Investments detail for industry and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE CLIMATE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--98.9% AUSTRIA--7.0% Verbund - Oesterreichische Elektrizitaetswirtschafts AG (Utilities) ............................ 1,821 $ 74,139 Wienerberger AG (Industrials) * ........... 3,550 60,714 Zumtobel AG (Industrials) * ............... 5,750 121,984 --------------- 256,837 --------------- BRAZIL--2.9% Cia Energetica de Minas Gerais - ADR (Utilities) ........................ 6,465 105,832 --------------- CANADA--5.3% Canadian Solar, Inc. (Industrials) * ...... 3,300 63,096 Intermap Technologies Corp. (Industrials) * ........................ 10,100 15,358 Ram Power Corp. (Utilities) * ............. 38,300 113,932 --------------- 192,386 --------------- CHINA--7.3% JA Solar Holdings Co. Ltd. - ADR (Industrials) * (a) .................... 16,700 82,832 RINO International Corp. .................. (Industrials) * (a) .................... 1,300 26,273 Trina Solar Ltd. - ADR (Industrials) * .... 2,200 48,400 Yingli Green Energy Holding Co. Ltd. - ADR (Industrials) * ........................ 9,500 110,010 --------------- 267,515 --------------- DENMARK--2.4% Novozymes A/S, Class B (Materials) ........ 850 87,246 --------------- FINLAND--0.8% Vaisala Oyj, Class A (Information Technology) ............................ 992 28,542 --------------- FRANCE--5.7% Compagnie de Saint-Gobain (Industrials) ... 1,700 79,907 Saft Groupe SA (Industrials) .............. 1,160 42,426 Veolia Environnement (Utilities) .......... 2,720 88,185 --------------- 210,518 --------------- GERMANY--2.5% Steico AG (Materials) * ................... 3,500 40,462 Vossloh AG (Industrials) .................. 510 50,069 --------------- 90,531 --------------- GREECE--1.6% Terna Energy SA (Utilities) ............... 8,600 57,614 --------------- HONG KONG--2.4% Sino-Forest Corp. (Basic Materials) * ..... 4,600 89,491 --------------- IRELAND--2.5% CRH PLC (Materials) ....................... 3,480 79,281 Kingspan Group PLC (Industrials) * ........ 2,000 13,617 --------------- 92,898 ---------------
Number of Shares Value ------------- --------------- ITALY--6.2% Ansaldo STS SpA (Industrials) ............. 1,520 $ 29,286 Landi Renzo SpA (Consumer Discretionary) ......................... 21,500 100,123 Terna Rete Elettrica Nazionale SpA (Utilities) ............................ 23,580 96,885 --------------- 226,294 --------------- JAPAN--5.0% East Japan Railway Co. (Industrials) ...... 1,000 68,884 Yamatake Corp. (Information Technology) ... 4,900 114,937 --------------- 183,821 --------------- NETHERLANDS--0.7% Grontmij N.V. (Industrials) ............... 1,100 24,534 --------------- SPAIN--8.2% EDP Renovaveis SA (Utilities) * ........... 12,030 96,957 Gamesa Corp.Tecnologica SA (Industrials) .......................... 7,400 92,097 Iberdrola Renovables SA (Utilities) ....... 26,390 110,605 --------------- 299,659 --------------- SWEDEN--1.1% Munters AB (Industrials) * ................ 5,069 41,413 --------------- SWITZERLAND--4.3% ABB Ltd. (Industrials) .................... 4,390 88,801 Syngenta AG (Materials) ................... 260 67,284 --------------- 156,085 --------------- UNITED KINGDOM--1.4% SIG PLC (Industrials) * ................... 30,000 52,423 --------------- UNITED STATES--31.6% Acuity Brands, Inc. (Industrials) ......... 2,120 82,638 Aecom Technology Corp. (Industrials) * .... 3,310 89,701 Apogee Enterprises, Inc. (Industrials) .... 3,370 48,157 Covanta Holding Corp. (Industrials) * ..... 6,770 114,075 Ecolab, Inc. (Materials) .................. 1,010 42,561 Ener1, Inc. (Industrials) * (a) ........... 7,420 31,387 Fuel Systems Solutions, Inc. (Consumer Discretionary) * (a) ......... 2,830 78,929 Insituform Technologies, Inc., Class A (Industrials) * ........................ 3,051 74,933 ITC Holdings Corp. (Utilities) ............ 1,914 102,169 LSB Industries, Inc. (Materials) * (a) .... 6,465 91,868 Orion Marine Group, Inc. (Industrials) * (a) .................... 1,500 26,340 PG&E Corp. (Utilities)(a) ................. 1,960 82,163 Quanta Services, Inc. (Industrials) * ..... 4,550 86,450 Regal-Beloit Corp. (Industrials) .......... 1,370 77,295 Tetra Tech, Inc. (Industrials) * .......... 4,840 101,253 UQM Technologies, Inc. (Industrials) * (a) .................... 6,600 28,842 --------------- 1,158,761 --------------- TOTAL COMMON STOCK (Cost $3,422,908) ......................... 3,622,400 ---------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 23 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE CLIMATE FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- SECURITIES LENDING COLLATERAL--12.3% UNITED STATES--12.3% Institutional Money Market Trust .......... 452,055 $ 452,055 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $452,055) ..................... 452,055 --------------- TOTAL INVESTMENTS--111.2% (Cost $3,874,963) ......................... 4,074,455 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(11.2)% ........................... (411,824) --------------- NET ASSETS--100.0% ........................... $ 3,662,631 ===============
- ---------- ADR -- American Depositary Receipt * -- Non-income producing. (a) -- All or a portion of the security is on loan (see note 6). A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ---------- ----------- ------------- Investments in securities * $4,074,455 $4,074,455 $-- $-- ---------- ---------- --- --- Total Assets $4,074,455 $4,074,455 $-- $-- ========== ========== === ===
* see Portfolio of Investments detail for country and security type breakout. The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
COMMON STOCKS TOTAL ------------- INVESTMENTS UTILITIES ----------- ------------- Balance as of August 31, 2009 $ 106,005 $ 106,005 Accrued discounts/premiums -- -- Net realized gain/(loss) -- -- Change in unrealized appreciation (depreciation) -- -- Net purchases/(sales) -- -- Transfers in and/or out of Level 3 (106,005) (106,005) --------- --------- Balance as of February 28, 2010 $ -- $ -- ========= =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 24 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE WATER FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--93.5% AUSTRALIA--0.4% G.U.D. Holdings Ltd. (Industrials) ........ 2,700 $ 23,520 --------------- AUSTRIA--0.5% BWT AG (Industrials) ...................... 1,100 28,144 --------------- BRAZIL--0.6% Cia de Saneamento Basico do Estado de Sao Paulo - ADR (Utilities) ................ 900 30,681 Cia de Saneamento de Minas Gerais-Copasa MG (Utilities) .............. 300 4,192 --------------- 34,873 --------------- CANADA--3.1% BioteQ Environmental Tech, Inc. ........... (Industrials) * ........................ 15,785 17,552 Hanfeng Evergreen, Inc. (Materials) * ..... 9,000 62,612 Intermap Technologies Corp. (Industrials) * ........................ 11,000 16,727 Newalta, Inc. (Industrials) ............... 2,100 18,162 Stantec, Inc. (Industrials) * ............. 2,600 67,113 --------------- 182,166 --------------- CHINA--2.4% China Valves Technology, Inc. ............. (Industrials) * ........................ 700 8,526 Epure International Ltd. (Industrials) .... 124,000 71,011 RINO International Corp. .................. (Industrials) * (a) .................... 2,800 56,588 Xinjiang Tianye Water Saving Irrigation System Co. Ltd. (Industrials) * ........ 44,000 5,895 --------------- 142,020 --------------- DENMARK--1.3% Danisco A/S (Consumer Staples) ............ 1,100 73,761 --------------- FRANCE--6.6% Suez Environnement SA (Utilities) ......... 10,000 220,248 Veolia Environnement (Utilities) .......... 5,200 168,589 --------------- 388,837 --------------- GERMANY--2.4% KSB AG (Industrials) ...................... 140 88,262 Siemens AG (Industrials) .................. 650 55,751 --------------- 144,013 --------------- HONG KONG--13.0% Beijing Enterprises Water Group Ltd. ...... (Industrials) * ........................ 190,000 64,376 Chaoda Modern Agriculture (Consumer Staples) ..................... 319,040 345,257 China Green Holdings Ltd. Bermuda (Consumer Staples) ..................... 79,000 90,988 China Water Affairs Group Ltd. (Utilities) 93,000 37,022 Guangdong Investment Ltd. (Utilities) ..... 447,000 226,893 --------------- 764,536 ---------------
Number of Shares Value ------------- --------------- ITALY--2.1% ACEA SpA (Utilities) ...................... 5,500 $ 55,906 Hera SpA (Utilities) ...................... 29,500 66,801 --------------- 122,707 --------------- JAPAN--1.5% Kitz Corp. (Industrials) .................. 6,000 31,133 Kurita Water Industries Ltd. .............. (Industrials) .......................... 2,000 55,107 --------------- 86,240 --------------- NETHERLANDS--4.0% Aalberts Industries N.V. (Industrials) .... 3,250 45,183 Grontmij N.V. (Industrials) ............... 800 17,843 Ten Cate N.V. (Industrials) ............... 1,000 26,212 Wavin N.V. (Industrials) .................. 74,250 143,566 --------------- 232,804 --------------- PHILIPPINES--0.7% Manila Water Co., Inc. (Utilities) ........ 134,700 43,075 --------------- SINGAPORE--0.8% Boustead Singapore Ltd. (Industrials) ..... 54,000 29,964 Hyflux Ltd. (Industrials) ................. 8,000 20,033 --------------- 49,997 --------------- SOUTH KOREA--1.7% Woongjin Coway Co., Ltd. (Industrials) .... 3,300 98,866 --------------- SPAIN--0.2% Fluidra SA (Industrials) .................. 2,600 9,559 --------------- SWITZERLAND--2.5% Geberit AG (Industrials) .................. 850 145,511 --------------- THAILAND--0.6% Thai Tap Water Supply Co., Ltd. ........... (Utilities) ............................ 266,000 34,271 --------------- UNITED KINGDOM--7.5% Halma PLC (Industrials) ................... 22,900 87,016 Northumbrian Water Group PLC (Utilities) ............................ 13,000 54,651 Pennon Group PLC (Utilities) .............. 3,300 26,392 PuriCore PLC (Health Care) * .............. 28,900 4,957 Severn Trent PLC (Utilities) .............. 6,600 117,242 Spice PLC (Industrials) ................... 62,000 36,870 United Utilities Group PLC (Utilities) .... 13,900 115,194 --------------- 442,322 --------------- UNITED STATES--41.6% Aecom Technology Corp. (Industrials) * .... 4,300 116,530 American States Water Co. (Utilities) ..... 1,400 45,024 American Water Works Co., Inc. ............ (Utilities) ............................ 10,400 231,504 Aqua America, Inc. (Utilities) ............ 2,600 44,512 Calgon Carbon Corp. (Materials) * ......... 3,000 46,530
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 25 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE WATER FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- UNITED STATES--(CONTINUED) California Water Service Group (Utilities) ............................ 1,100 $ 39,468 Danaher Corp. (Industrials) ............... 3,900 288,483 Ecolab, Inc. (Materials) .................. 2,000 84,280 ICF International, Inc. (Industrials) * ... 1,540 36,082 IDEX Corp. (Industrials) .................. 2,000 62,000 Insituform Technologies, Inc., Class A (Industrials) * ........................ 3,300 81,048 ITT Corp. (Industrials) ................... 5,550 284,327 Layne Christensen Co. (Industrials) * ..... 800 22,064 Millipore Corp. (Health Care) * ........... 1,000 94,410 Mueller Water Products, Inc., Class A (Industrials) .......................... 4,766 22,067 Nalco Holding Co. (Materials) ............. 1,690 39,309 Pall Corp. (Industrials) .................. 8,200 323,654 Pentair, Inc. (Industrials) ............... 1,900 61,864 Roper Industries, Inc. (Industrials) ...... 3,100 171,864 Tetra Tech, Inc. (Industrials) * .......... 2,500 52,300 Thermo Fisher Scientific, Inc. ............ (Health Care) * ........................ 5,500 268,235 Toro Co. (Industrials) .................... 600 26,412 TyraTech, Inc. (Materials) * .............. 3,500 560 --------------- 2,442,527 --------------- TOTAL COMMON STOCK (Cost $5,083,760) ................... 5,489,749 ---------------
Number of Shares Value ------------- --------------- PREFERRED STOCK--0.0% UNITED KINGDOM--0.0% PuriCore PLC * ............................ 4,867 $ 0 --------------- TOTAL PREFERRED STOCK (Cost $0) ........................... 0 --------------- SECURITIES LENDING COLLATERAL--1.0% Institutional Money Market Trust .......... 58,800 58,800 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $58,800) ...................... 58,800 --------------- TOTAL INVESTMENTS--94.5% (Cost $5,142,560) ......................... 5,548,549 --------------- OTHER ASSETS IN EXCESS OF LIABILITIES--5.5% .. 320,537 --------------- NET ASSETS--100.0% ........................... $ 5,869,086 ===============
- --------- ADR -- American Depositary Receipt * -- Non-income producing. (a) All or a portion of the security is on loan (see note 6). A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ---------- ----------- ------------ Investments in securities * $5,548,549 $5,548,549 $-- $-- ---------- ---------- --- --- Total Assets $5,548,549 $5,548,549 $-- $-- ========== ========== === ===
* see Portfolio of Investments detail for country and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 26 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE GLOBAL ACTIVE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- COMMON STOCK--97.8% AUSTRALIA--3.3% National Australia Bank Ltd. (Financial) .. 17,600 $ 401,269 Westpac Banking Corp. (Financial) ......... 4,902 114,794 --------------- 516,063 --------------- AUSTRIA--2.4% Erste Group Bank AG (Financial) ........... 6,000 226,062 OMV AG (Energy) ........................... 4,100 151,852 --------------- 377,914 --------------- CANADA--4.3% BCE, Inc. (Telecommunication Services) .... 9,069 251,677 Sherritt International Corp. (Materials) .. 46,500 328,355 Teck Resources Ltd., Class B (Materials) * .......................... 2,204 81,063 --------------- 661,095 --------------- CHINA--2.1% Bank of China Ltd., Class H (Financial) ... 656,000 318,613 --------------- GERMANY--2.4% Henkel AG & Co. KGaA (Consumer Staples) ... 3,076 158,470 Muenchener Rueckversicherungs- Gesellschaft AG (Financial) ............ 1,332 206,130 --------------- 364,600 --------------- JAPAN--10.9% Daito Trust Construction Co., Ltd. ........ (Financial) ............................ 11,500 562,412 Fast Retailing Co., Ltd. .................. (Consumer Discretionary) ............... 1,100 185,717 ITOCHU Corp. (Industrials) ................ 36,000 290,123 Japan Tobacco, Inc. (Consumer Staples) .... 20 72,598 Mitsubishi Corp. (Industrials) ............ 7,200 179,909 Mitsui O.S.K. Lines, Ltd. (Industrials) ... 31,000 199,933 Nitori Co., Ltd. (Consumer Discretionary) ......................... 2,400 192,335 --------------- 1,683,027 --------------- NETHERLANDS--1.0% Koninklijke Ahold N.V. (Consumer Staples) ............................... 12,263 150,282 --------------- NORWAY--2.1% Aker Solutions ASA (Energy) ............... 10,100 133,745 Norsk Hydro ASA (Materials) * ............. 28,000 188,587 --------------- 322,332 --------------- PORTUGAL--3.0% EDP - Energias de Portugal, SA (Utilities) ............................ 31,300 114,861 Portugal Telecom, SGPS SA (Telecommunication Services) ........... 33,001 347,355 --------------- 462,216 ---------------
Number of Shares Value ------------- --------------- SPAIN--5.9% Banco Santander SA (Financial) ............ 13,278 $ 172,647 Iberdrola Renovables SA (Utilities) ....... 99,554 417,248 Telefonica SA (Telecommunication Services) .............................. 14,107 331,257 --------------- 921,152 --------------- SWEDEN--4.1% Boliden AB (Materials) .................... 9,902 121,175 Svenska Cellulosa AB, Class B (Materials) ............................ 18,000 266,095 Telefonaktiebolaget LM Ericsson, Class B (Information Technology) ............... 24,398 243,987 --------------- 631,257 --------------- SWITZERLAND--2.4% Adecco SA (Industrials) ................... 2,000 99,418 Baloise Holding AG (Financial) ............ 2,220 190,950 Sonova Holding AG (Health Care) ........... 700 87,317 --------------- 377,685 --------------- UNITED KINGDOM--8.4% AstraZeneca PLC (Health Care) ............. 5,637 247,847 Barclays PLC (Financial) .................. 51,260 244,255 BG Group PLC (Energy) ..................... 13,931 243,222 Logica PLC (Information Technology) ....... 72,900 132,723 Travis Perkins PLC (Industrials) * ........ 42,047 428,920 --------------- 1,296,967 --------------- UNITED STATES--45.5% Aetna, Inc. (Health Care) ................. 6,374 191,156 Bristol-Myers Squibb Co. (Health Care) .... 3,631 88,996 Chevron Corp. (Energy) .................... 3,831 276,981 CIGNA Corp. (Health Care) ................. 3,700 126,762 Forest Oil Corp. (Energy) * (a) ........... 10,811 292,978 Green Mountain Coffee Roasters, Inc. ...... (Consumer Staples) * ................... 2,000 168,780 Hartford Financial Services Group, Inc. ... (Financial) ............................ 17,200 419,164 Health Net, Inc. (Health Care) * .......... 22,181 512,159 Hewlett-Packard Co. (Information Technology) ............................ 12,148 616,997 International Business Machines Corp. ..... (Information Technology) ............... 3,965 504,189 Johnson Controls, Inc. (Consumer Discretionary) ......................... 11,000 342,100 JPMorgan Chase & Co. (Financial) .......... 1,606 67,404 Kimberly-Clark Corp. (Consumer Staples) ... 5,266 319,857 Limited Brands, Inc. (Consumer Discretionary) ......................... 21,836 482,794 McDonald's Corp. (Consumer Discretionary) ......................... 2,406 153,623 McKesson Corp. (Health Care) .............. 2,164 128,001 Microsoft Corp. (Information Technology) .. 1,800 51,588 Occidental Petroleum Corp. (Energy) ....... 4,921 392,942 Pfizer, Inc. (Health Care) ................ 27,056 474,833
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 27 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 (unaudited) SAM SUSTAINABLE GLOBAL ACTIVE FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------- --------------- UNITED STATES--(CONTINUED) PG&E Corp. (Utilities)(a) ................. 2,872 $ 120,394 Procter & Gamble Co. (Consumer Staples) ... 8,862 560,787 Reynolds American, Inc. (Consumer Staples)(a) ............................ 5,000 264,000 Target Corp. (Consumer Discretionary) ..... 5,270 271,510 Temple-Inland, Inc. (Materials) ........... 11,200 208,544 --------------- 7,036,539 --------------- TOTAL COMMON STOCK (Cost $14,068,215) .................. 15,119,742 --------------- SECURITIES LENDING COLLATERAL--4.2% Institutional Money Market Trust .......... 658,204 658,204 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $658,204) ..................... 658,204 --------------- TOTAL INVESTMENTS--102.0% (Cost $14,726,419) ........................ 15,777,946 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS--(2.0)% ............................ (315,328) --------------- NET ASSETS--100.0% ........................... $ 15,462,618 ==============
- --------- * -- Non-income producing. (a) -- All or a portion of the security is on loan (see note 6). A summary of the inputs used to value the Fund's investments as of February 28, 2010 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/10 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investments in securities * $15,777,946 $15,777,946 $-- $-- ----------- ----------- --- --- Total Assets $15,777,946 $15,777,946 $-- $-- =========== =========== === ===
* see Portfolio of Investments detail for country and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 28 | SEMI-ANNUAL REPORT 2010 [THIS PAGE INTENTIONALLY LEFT BLANK] ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF ASSETS AND LIABILITIES (unaudited)
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON PARTNERS PARTNERS PARTNERS PARTNERS SMALL CAP LONG/SHORT MID CAP ALL-CAP VALUE FUND II EQUITY FUND VALUE FUND VALUE FUND ------------- ------------- ------------- ------------- ASSETS Investments in securities, at value+ ### ................... $ 82,932,274 $211,061,575 $ 89,305,201 $ 97,643,918 Cash ....................................................... 1,959,581 9,122,666 4,837,566 3,080,279 Receivables Investments sold ........................................ 305,804 2,619,159 -- 1,850,995 Deposits with brokers for securities sold short ......... -- 39,519,871 -- -- Dividends and interest .................................. 36,060 191,543 67,294 106,142 Capital shares sold ..................................... 69,075 568,269 944,993 49,686 Prepaid expenses and other assets .......................... 19,355 44,400 19,151 19,183 ------------ ------------ ------------ ------------ Total assets ......................................... 85,322,149 263,127,483 95,174,205 102,750,203 ------------ ------------ ------------ ------------ LIABILITIES Securities sold short, at fair value++ ..................... $ -- $ 38,074,395 $ -- $ -- Options written, at value* ................................. -- -- -- 143,595 Payables Securities lending collateral ........................... 8,234,440 17,286,130 18,885,658 11,504,751 Investments purchased ................................... -- 2,629,301 2,669,382 1,735,229 Capital shares redeemed ................................. 119,352 24,544 29,152 -- Due to prime broker ..................................... -- 5,667,820 -- -- Investment advisory fees ................................ 77,749 297,404 30,352 34,227 Distribution and service fees (Investor Class) .......... 9,229 14,338 3,365 1,629 Dividends on securities sold-short ...................... -- 3,684 -- -- Interest payable ........................................ -- 358 -- -- Other accrued expenses and liabilities ..................... 111,946 60,340 63,845 62,075 ------------ ------------ ------------ ------------ Total liabilities .................................... 8,552,716 64,058,314 21,681,754 13,481,506 ------------ ------------ ------------ ------------ Net Assets ................................................. $ 76,769,433 $199,069,169 $ 73,492,451 $ 89,268,697 ============ ============ ============ ============ NET ASSETS CONSIST OF Par value .................................................. $ 6,548 $ 11,478 $ 7,973 $ 6,561 Paid-in capital ............................................ 100,540,478 183,342,664 74,591,309 85,181,083 Undistributed/accumulated net investment income (loss) ..... (89,943) (1,294,805) (11,000) 291,820 Accumulated net realized loss from investments ............. (31,736,682) (1,407,243) (5,767,331) (3,110,512) Net unrealized appreciation on investments ................. 8,049,032 18,417,075 4,671,500 6,899,745 ------------ ------------ ------------ ------------ Net Assets ........................................... $ 76,769,433 $199,069,169 $ 73,492,451 $ 89,268,697 ============ ============ ============ ============ INSTITUTIONAL CLASS Net assets ................................................. $ 26,944,034 $121,782,624 $ 55,282,244 $ 80,394,780 Shares outstanding ......................................... 2,244,649 6,928,294 5,955,106 5,906,534 ------------ ------------ ------------ ------------ Net asset value, offering and redemption price per share ... $ 12.00 $ 17.58 $ 9.28 $ 13.61 ============ ============ ============ ============ INVESTOR CLASS Net assets ................................................. $ 49,825,399 $ 77,286,545 $ 18,210,207 $ 8,873,917 Shares outstanding ......................................... 4,302,875 4,550,086 2,018,079 654,112 ------------ ------------ ------------ ------------ Net asset value, offering and redemption price per share ... $ 11.58 $ 16.99 $ 9.02 $ 13.57 ============ ============ ============ ============ + Investment in securities, at cost ........................ $ 74,883,242 $196,406,943 $ 84,633,701 $ 90,772,345 ### Includes market value of securities on loan ............ $ 7,818,520 $ 16,438,176 $ 18,241,547 $ 11,037,107 ++ Proceeds received, securities sold short ................ $ -- $ 41,836,838 $ -- $ -- * Premiums received, options written ....................... $ -- $ -- $ -- $ 171,767
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 30 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF ASSETS AND LIABILITIES (concluded) (unaudited)
SAM ROBECO WPG SAM SAM SUSTAINABLE SMALL CAP SUSTAINABLE SUSTAINABLE GLOBAL ACTIVE VALUE FUND CLIMATE FUND WATER FUND FUND ------------ ------------ ----------- ------------- ASSETS Investments in securities, at value+ ### ................... $ 37,752,999 $ 4,074,455 $ 5,548,549 $15,777,946 Cash ....................................................... 407,574 115,478 347,391 266,318 Receivables Investments sold ........................................ 585,849 -- 8,987 -- Dividends and interest .................................. 28,937 2,955 14,277 28,170 Capital shares sold ..................................... -- -- 22,156 49,990 Investment adviser ...................................... -- 9,990 12,281 6,146 Prepaid expenses and other assets .......................... 18,103 27,767 26,951 28,180 ------------ ----------- ----------- ----------- Total assets ......................................... 38,793,462 4,230,645 5,980,592 16,156,750 ------------ ----------- ----------- ----------- LIABILITIES Payables Securities lending collateral ........................... 4,013,270 452,055 58,800 658,204 Investments purchased ................................... 523,922 72,661 23,795 -- Capital shares redeemed ................................. 29,816 -- -- -- Investment advisory fees ................................ 22,789 -- -- -- Distribution and service fees (Investor Class and Class C) ............................................. -- 68 155 1 Other accrued expenses and liabilities ..................... 46,960 43,230 28,756 35,927 ------------ ----------- ----------- ----------- Total liabilities .................................... 4,636,757 568,014 111,506 694,132 ------------ ----------- ----------- ----------- Net Assets ................................................. $ 34,156,705 $ 3,662,631 $ 5,869,086 $15,462,618 ============ =========== =========== =========== NET ASSETS CONSIST OF Par value .................................................. $ 2,959 $ 533 $ 775 $ 1,367 Paid-in capital ............................................ 45,266,910 4,887,135 6,840,853 14,178,385 Undistributed/accumulated net investment income (loss) ..... (7,851) (18,353) (7,201) 2,379 Accumulated net realized gain/(loss) from investments ...... (15,946,110) (1,406,102) (1,370,846) 229,338 Net unrealized appreciation on investments and foreign currency translation .................................... 4,840,797 199,418 405,505 1,051,149 ------------ ----------- ----------- ----------- Net Assets ........................................... $ 34,156,705 $ 3,662,631 $ 5,869,086 $15,462,618 ============ =========== =========== =========== INSTITUTIONAL CLASS Net assets ................................................. $ 34,156,705 $ 3,297,964 $ 5,068,489 $15,453,303 Shares outstanding ......................................... 2,959,157 479,518 668,673 1,366,438 ------------ ----------- ----------- ----------- Net asset value, offering and redemption price per share ... $ 11.54 $ 6.88 $ 7.58 $ 11.31 ============ =========== =========== =========== INVESTOR CLASS Net assets ................................................. $ -- $ 364,667 $ 758,614 $ 9,315 Shares outstanding ......................................... -- 53,123 100,347 824 ------------ ----------- ----------- ----------- Net asset value, offering and redemption price per share ... $ -- $ 6.86 $ 7.56 $ 11.31 ============ =========== =========== =========== CLASS C Net Assets ................................................. $ -- $ -- $ 41,983 $ -- Shares outstanding ......................................... -- -- 5,543 -- ------------ ----------- ----------- ----------- Net asset value and offering price per share++ ............. $ -- $ -- $ 7.57 $ -- ============ =========== =========== =========== + Investment in securities, at cost ........................ $ 32,912,202 $ 3,874,963 $ 5,142,560 $14,726,419 ### Includes market value of securities on loan ............ $ 3,771,962 $ 415,402 $ 56,588 $ 635,452
- ---------- ++ Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 31 ROBECO INVESTMENT FUNDS FOR THE PERIOD ENDED FEBRUARY 28, 2010 STATEMENTS OF OPERATIONS (unaudited)
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON PARTNERS PARTNERS PARTNERS PARTNERS SMALL CAP LONG/SHORT MID CAP ALL-CAP VALUE FUND II EQUITY FUND VALUE FUND VALUE FUND ------------- ------------- ------------- ------------- INVESTMENT INCOME Dividends + ............................................ $ 610,065 $ 1,233,253 $ 453,934 $ 668,962 Interest ............................................... 320 3,076 641 11,604 Income from securities loaned (Note 6) ................. 4,016 2,642 884 444 ---------- ----------- ---------- ---------- Total investment income ............................. 614,401 1,238,971 455,459 681,010 ---------- ----------- ---------- ---------- EXPENSES Advisory fees .......................................... 351,593 1,653,434 223,044 320,212 Transfer agent fees .................................... 61,553 47,199 53,620 39,736 Distribution fees (Investor Class) ..................... 57,728 75,257 19,695 8,925 Administration and accounting fees ..................... 41,798 72,040 42,676 44,393 Printing and shareholder reporting fees ................ 7,481 11,923 9,849 12,304 Directors' and officers' fees .......................... 6,767 12,235 9,965 11,665 Professional fees ...................................... 19,092 24,743 18,178 22,951 Custodian fees ......................................... 18,635 35,917 9,611 14,419 Registration and filing fees ........................... 16,501 13,817 17,534 15,884 Dividend expense on securities sold-short .............. -- 54,002 -- -- Prime broker interest expense .......................... -- 522,548 -- -- Other expenses ......................................... 523 536 1,018 1,440 ---------- ----------- ---------- ---------- Total expenses before waivers and reimbursements .... 581,671 2,523,651 405,190 491,929 Less: waivers and reimbursements .................... (67,341) (41,954) (106,690) (102,752) ---------- ----------- ---------- ---------- Net expenses after waivers and reimbursements .......... 514,330 2,481,697 298,500 389,177 ---------- ----------- ---------- ---------- Net investment income/(loss) ........................... 100,071 (1,242,726) 156,959 291,833 ---------- ----------- ---------- ---------- Net realized gain/(loss) from: Investments ......................................... 4,994,445 9,984,372 1,329,021 1,585,402 Investments sold-short .............................. -- (32,044) -- -- Written options * ................................... -- -- -- (97,627) Net change in unrealized appreciation/(depreciation) on: Investments ......................................... 4,529,754 2,048,316 4,617,992 4,971,317 Investments sold short .............................. -- 3,272,115 -- -- Written options * ................................... -- -- -- 162,721 ---------- ----------- ---------- ---------- Net realized and unrealized gain from investments ...... 9,524,199 15,272,759 5,947,013 6,621,813 ---------- ----------- ---------- ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $9,624,270 $14,030,033 $6,103,972 $6,913,646 ========== =========== ========== ========== + Net of foreign withholding taxes of .................. $ -- $ (2,353) $ (622) $ (7,175) ========== =========== ========== ==========
* Primary risk is equity contracts. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 32 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FOR THE PERIOD ENDED FEBRUARY 28, 2010 STATEMENTS OF OPERATIONS (concluded) (unaudited)
SAM ROBECO WPG SAM SAM SUSTAINABLE SMALL CAP SUSTAINABLE SUSTAINABLE GLOBAL ACTIVE VALUE FUND CLIMATE FUND WATER FUND FUND ---------- ------------ ----------- ------------- INVESTMENT INCOME Dividends + ............................................ $ 301,292 $ 9,895 $ 31,210 $121,147 Interest ............................................... 162 3 65 52 Income from securities loaned (Note 6) ................. 878 1,215 361 26 ---------- --------- --------- -------- Total investment income ............................. 302,332 11,113 31,636 121,225 ---------- --------- --------- -------- EXPENSES Advisory fees .......................................... 164,274 18,396 24,377 51,527 Transfer agent fees .................................... 42,053 36,980 36,571 26,889 Distribution fees (Investor Class) ..................... -- 442 772 7 Distribution fees (Class C) ............................ -- -- 96 -- Administration and accounting fees ..................... 42,164 40,682 42,188 40,902 Printing and shareholder reporting fees ................ 3,185 76 74 100 Directors' and officers' fees .......................... 7,401 6,435 7,681 8,166 Professional fees ...................................... 19,625 16,319 16,212 17,559 Custodian fees ......................................... 20,370 10,949 18,083 15,145 Registration and filing fees ........................... 11,377 11,728 12,292 15,096 Other expenses ......................................... 2,366 2,083 2,098 433 ---------- --------- --------- -------- Total expenses before waivers and reimbursements .... 312,815 144,090 160,444 175,824 Less: waivers and reimbursements .................... (2,635) (116,067) (123,010) (98,526) ---------- --------- --------- -------- Net expenses after waivers and reimbursements .......... 310,180 28,023 37,434 77,298 ---------- --------- --------- -------- Net investment income/(loss) ........................... (7,848) (16,910) (5,798) 43,927 ---------- --------- --------- -------- Net realized gain/(loss) from: Investments ......................................... 1,366,955 165,610 (51,443) 521,914 Foreign currency transactions ....................... -- (82) (1,523) 9,093 Net change in unrealized appreciation/(depreciation) on: Investments ......................................... 1,891,789 (45,082) 588,580 391,891 Foreign currency translation ........................ -- (25) (409) (2,212) ---------- --------- --------- -------- Net realized and unrealized gain from investments ...... 3,258,744 120,421 535,205 920,686 ---------- --------- --------- -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $3,250,896 $ 103,511 $ 529,407 $964,613 ========== ========= ========= ======== + Net of foreign withholding taxes of .................. $ (2,765) $ (553) $ (900) $ (4,224) ========== ========= ========= ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 33 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF CHANGES IN NET ASSETS
ROBECO BOSTON PARTNERS ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II LONG/SHORT EQUITY FUND ----------------------------------- ----------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- ----------------- --------------- FROM OPERATIONS: Net investment income/(loss) ........................ $ 100,071 $ 666,651 $ (1,242,726) $ (651,398) Net realized gain/(loss) from investments ........... 4,994,445 (30,907,801) 9,952,328 (5,018,842) Net change in unrealized appreciation/(depreciation) from investments ................................. 4,529,754 8,902,011 5,320,431 16,031,112 ----------- ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations .......................................... 9,624,270 (21,339,139) 14,030,033 10,360,872 ----------- ------------ ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class .............................. (95,191) (428,811) -- -- Investor Class ................................... (94,823) (550,302) -- -- Net realized capital gains Institutional Class .............................. -- (141,170) -- (3,859,743) Investor Class ................................... -- (222,896) -- (1,041,399) Return of capital Institutional Class .............................. -- (117,965) -- -- Investor Class ................................... -- (151,361) -- -- ----------- ------------ ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ....................... (190,014) (1,612,505) -- (4,901,142) ----------- ------------ ------------ ------------ CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ........................ 3,780,324 5,138,859 68,750,546 23,055,972 Subscriptions issued in reorganization (Note 9) .. -- -- -- 8,000,331 Reinvestment of distributions .................... 93,687 672,856 -- 3,803,772 Shares redeemed .................................. (1,590,920) (29,398,473) (10,470,181) (20,373,730) Redemption fees (Note 7) ......................... 613 3,551 154,600 11,244 Investor Class Proceeds from shares sold ........................ 3,885,470 2,306,110 50,911,219 23,337,683 Reinvestment of distributions .................... 93,851 911,751 -- 1,037,134 Shares redeemed .................................. (3,802,252) (13,838,158) (10,101,079) (2,802,031) Redemption fees (Note 7) ......................... 1,169 6,768 110,445 3,256 ----------- ------------ ------------ ------------ Net increase/(decrease) in net assets from capital transactions ........................................ 2,461,942 (34,196,736) 99,355,550 36,073,631 ----------- ------------ ------------ ------------ Total increase/(decrease) in net assets ................ 11,896,198 (57,148,380) 113,385,583 41,533,361 NET ASSETS Beginning of period .............................. 64,873,235 122,021,615 85,683,586 44,150,225 ----------- ------------ ------------ ------------ End of period .................................... $76,769,433 $ 64,873,235 $199,069,169 $ 85,683,586 =========== ============ ============ ============ Undistributed net investment income/(loss), end of period ........................................ $ (89,943) $ -- $ (1,294,805) $ (52,079) =========== ============ ============ ============ SHARE TRANSACTIONS: Institutional Class Shares sold ...................................... 331,136 624,057 4,075,752 1,699,043 Shares issued in reorganization (Note 9) ......... -- -- -- 746,155 Shares reinvested ................................ 8,232 91,297 -- 425,002 Shares redeemed .................................. (141,237) (3,442,537) (621,578) (1,750,768) ----------- ------------ ------------ ------------ Net increase/(decrease) ................................ 198,131 (2,727,183) 3,454,174 1,119,432 ----------- ------------ ------------ ------------ Investor Class Shares sold ...................................... 350,682 270,214 3,150,088 1,636,225 Shares reinvested ................................ 8,539 128,055 -- 118,937 Shares redeemed .................................. (348,766) (1,823,957) (623,643) (241,075) ----------- ------------ ------------ ------------ Net increase/(decrease) ................................ 10,455 (1,425,688) 2,526,445 1,514,087 ----------- ------------ ------------ ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 34 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF CHANGES IN NET ASSETS (continued)
ROBECO BOSTON PARTNERS ROBECO BOSTON PARTNERS MID CAP VALUE FUND ALL-CAP VALUE FUND ----------------------------------- ----------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- ----------------- --------------- FROM OPERATIONS: Net investment income ............................... $ 156,959 $ 477,239 $ 291,833 $ 810,659 Net realized gain/(loss) from investments ........... 1,329,021 (5,878,181) 1,487,775 (4,534,091) Net change in unrealized appreciation/(depreciation) from investments ................................. 4,617,992 (324,285) 5,134,038 2,649,667 ----------- ----------- ----------- ----------- Net increase/(decrease) in net assets resulting from operations .......................................... 6,103,972 (5,725,227) 6,913,646 (1,073,765) ----------- ----------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class .............................. (307,672) (341,607) (728,026) (456,682) Investor Class ................................... (92,302) (110,208) (63,358) (17,485) Net realized capital gains Institutional Class .............................. -- (1,154) -- (335,000) Investor Class ................................... -- (496) -- (18,253) ----------- ----------- ----------- ----------- Net decrease in net assets from dividends and distributions to shareholders ....................... (399,974) (453,465) (791,384) (827,420) ----------- ----------- ----------- ----------- CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ........................ 21,056,981 5,308,485 11,327,996 17,515,574 Reinvestment of distributions .................... 302,876 335,472 617,838 791,556 Shares redeemed .................................. (2,848,951) (4,554,459) (247,000) (5,127,776) Investor Class Proceeds from shares sold ........................ 5,023,219 5,122,885 4,362,029 2,710,752 Reinvestment of distributions .................... 90,650 107,613 61,116 31,921 Shares redeemed .................................. (2,443,222) (5,791,669) (1,247,181) (762,358) ----------- ----------- ----------- ----------- Net increase in net assets from capital transactions ... 21,181,553 528,327 14,874,798 15,159,669 ----------- ----------- ----------- ----------- Total increase/(decrease) in net assets ................ 26,885,551 (5,650,365) 20,997,060 13,258,484 NET ASSETS Beginning of period .............................. 46,606,900 52,257,265 68,271,637 55,013,153 ----------- ----------- ----------- ----------- End of period .................................... $73,492,451 $46,606,900 $89,268,697 $68,271,637 =========== =========== =========== =========== Undistributed net investment income/(loss), end of period ..................................... $ (11,000) $ 232,015 $ 291,820 $ 791,371 =========== =========== =========== =========== SHARE TRANSACTIONS: Institutional Class Shares sold ...................................... 2,315,438 794,979 857,508 1,609,618 Shares reinvested ................................ 33,541 53,081 46,176 78,063 Shares redeemed .................................. (314,831) (675,830) (18,313) (475,846) ----------- ----------- ----------- ----------- Net increase ........................................... 2,034,148 172,230 885,371 1,211,835 ----------- ----------- ----------- ----------- Investor Class Shares sold ...................................... 571,435 741,258 328,007 252,948 Shares reinvested ................................ 10,325 17,469 4,581 3,155 Shares redeemed .................................. (281,338) (935,943) (92,901) (74,947) ----------- ----------- ----------- ----------- Net increase/(decrease) ................................ 300,422 (177,216) 239,687 181,156 ----------- ----------- ----------- -----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 35 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF CHANGES IN NET ASSETS (continued)
ROBECO SAM SUSTAINABLE WPG SMALL CAP VALUE FUND CLIMATE FUND ----------------------------------- ----------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- ----------------- --------------- FROM OPERATIONS: Net investment income/(loss) ........................ $ (7,848) $ 109,509 $ (16,910) $ 4,277 Net realized gain/(loss) from investments and foreign currency ................................. 1,366,955 (10,265,024) 165,528 (1,370,788) Net change in unrealized appreciation/(depreciation) from investments and foreign currency ............ 1,891,789 3,986,476 (45,107) 738,871 ----------- ------------ ---------- ----------- Net increase/(decrease) in net assets resulting from operations .......................................... 3,250,896 (6,169,039) 103,511 (627,640) ----------- ------------ ---------- ----------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class .............................. (107,007) (50,712) (3,194) (22,232) Investor Class ................................... -- -- -- (1,465) Net realized capital gains Institutional Class .............................. -- (38,110) -- -- ----------- ------------ ---------- ----------- Net decrease in net assets from dividends and distributions to shareholders ....................... (107,007) (88,822) (3,194) (23,697) ----------- ------------ ---------- ----------- CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ........................ 122,152 3,279,900 174,042 237,487 Reinvestment of distributions .................... 93,748 83,238 2,776 22,232 Shares redeemed .................................. (4,608,076) (4,838,738) (18,886) (3,176) Redemption fees (Note 7) ......................... 8 5,244 157 70 Investor Class Proceeds from shares sold ........................ -- -- 129,678 145,940 Reinvestment of distributions .................... -- -- -- 1,444 Shares redeemed .................................. -- -- (79,419) (75,627) Redemption fees (Note 7) ......................... -- -- 17 6 ----------- ------------ ---------- ----------- Net increase/(decrease) in net assets from capital transactions ........................................ (4,392,168) (1,470,356) 208,365 328,376 ----------- ------------ ---------- ----------- Total increase/(decrease) in net assets ................ (1,248,279) (7,728,217) 308,682 (322,961) NET ASSETS Beginning of period .............................. 35,404,984 43,133,201 3,353,949 3,676,910 ----------- ------------ ---------- ----------- End of period .................................... $34,156,705 $ 35,404,984 $3,662,631 $ 3,353,949 =========== ============ ========== =========== Undistributed net investment income/(loss), end of period ........................................ $ (7,851) $ 107,004 $ (18,353) $ 1,751 =========== ============ ========== =========== SHARE TRANSACTIONS: Institutional Class Shares sold ...................................... 10,823 366,216 23,924 48,277 Shares reinvested ................................ 8,453 10,672 379 4,622 Shares redeemed .................................. (409,856) (567,013) (2,637) (587) ----------- ------------ ---------- ----------- Net increase/(decrease) ................................ (390,580) (190,125) 21,666 52,312 ----------- ------------ ---------- ----------- Investor Class Shares sold ...................................... -- -- 17,698 26,319 Shares reinvested ................................ -- -- -- 300 Shares redeemed .................................. -- -- (11,044) (14,427) ----------- ------------ ---------- ----------- Net increase ........................................... -- -- 6,654 12,192 ----------- ------------ ---------- -----------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 36 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENTS OF CHANGES IN NET ASSETS (concluded)
SAM SAM SUSTAINABLE WATER FUND SUSTAINABLE GLOBAL ACTIVE FUND ----------------------------------- ----------------------------------- FOR THE SIX FOR THE SIX MONTHS ENDED FOR THE MONTHS ENDED PERIOD FEBRUARY 28, 2010 YEAR ENDED FEBRUARY 28, 2010 JUNE 18,2009* (UNAUDITED) AUGUST 31, 2009 (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- ----------------- --------------- FROM OPERATIONS: Net investment income/(loss) ........................ $ (5,798) $ 24,320 $ 43,927 $ 5,576 Net realized gain/(loss) from investments and foreign currency ......................................... (52,966) (1,249,130) 531,007 640,253 Net change in unrealized appreciation/(depreciation) from investments and foreign currency ............ 588,171 310,285 389,679 661,470 ---------- ----------- ----------- ----------- Net increase/(decrease) in net assets resulting from operations .......................................... 529,407 (914,525) 964,613 1,307,299 ---------- ----------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class .............................. (19,816) (28,831) (51,678) -- Investor Class ................................... (1,747) (2,732) (20) -- Class C .......................................... (52) -- -- -- Net realized capital gains Institutional Class .............................. -- -- (936,892) -- Investor Class ................................... -- -- (456) -- ---------- ----------- ----------- ----------- Net decrease in net assets from dividends and distributions to shareholders ....................... (21,615) (31,563) (989,046) -- ---------- ----------- ----------- ----------- CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ........................ 1,177,344 712,588 4,064,334 10,306,820 Reinvestment of distributions .................... 16,440 28,831 861,288 -- Shares redeemed .................................. (288,617) (216,910) (1,061,944) -- Redemption fees (Note 7) ......................... 120 -- 277 -- Investor Class Proceeds from shares sold ........................ 261,724 289,535 5,500 3,000 Reinvestment of distributions .................... 1,747 2,708 477 -- Shares redeemed .................................. (117,595) (95,372) -- -- Redemption fees (Note 7) ......................... 18 -- -- -- Class C Proceeds from shares sold ........................ 41,129 -- -- -- Reinvestment of distributions .................... 52 -- -- -- ---------- ----------- ----------- ----------- Net increase in net assets from capital transactions ... 1,092,362 721,380 3,869,932 10,309,820 ---------- ----------- ----------- ----------- Total increase/(decrease) in net assets ................ 1,600,154 (224,708) 3,845,499 11,617,119 NET ASSETS Beginning of period .............................. 4,268,932 4,493,640 11,617,119 -- ---------- ----------- ----------- ----------- End of period .................................... $5,869,086 $ 4,268,932 $15,462,618 $11,617,119 ========== =========== =========== =========== Undistributed net investment income/(loss), end of period ........................................ $ (7,201) $ 20,212 $ 2,379 $ 10,150 ========== =========== =========== =========== SHARE TRANSACTIONS: Institutional Class Shares sold ...................................... 153,967 117,956 353,909 1,027,702 Shares reinvested ................................ 2,152 5,290 75,551 -- Shares redeemed .................................. (38,826) (35,489) (90,724) -- ---------- ----------- ----------- ----------- Net increase ........................................... 117,293 87,757 338,736 1,027,702 ---------- ----------- ----------- ----------- Investor Class Shares sold ...................................... 35,247 48,588 472 310 Shares reinvested ................................ 229 497 42 -- Shares redeemed .................................. (16,097) (16,263) -- -- ---------- ----------- ----------- ----------- Net increase ........................................... 19,379 32,822 514 310 ---------- ----------- ----------- ----------- Class C Shares sold ...................................... 5,536 -- -- -- Shares reinvested ................................ 7 -- -- -- ---------- ----------- ----------- ----------- Net increase ........................................... 5,543 -- -- -- ---------- ----------- ----------- -----------
* Commencement of operations. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 37 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2010 STATEMENT OF CASH FLOWS (unaudited)
ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND ------------- CASH FLOWS PROVIDED FROM (USED IN) OPERATING ACTIVITIES: Net increase in net assets resulting from operations ....................................... $ 14,030,033 Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: Purchases of long-term portfolio investments ........ (152,156,316) Proceeds from disposition of long-term portfolio investments ...................................... 52,092,066 Purchases to cover short sales ...................... 46,823,774 Proceeds from short sales ........................... (21,731,783) Net realized loss on investments and investments sold short ....................................... (9,952,328) Net unrealized appreciation on investments and investments sold short ........................... (5,320,431) Increase in receivable for securities lending collateral ....................................... (17,286,130) Increase in deposits with brokers for securities sold short ............................................ (24,268,085) Increase in receivable for securities sold .......... (508,355) Increase in dividend and interest receivable ........ (159,160) Increase in prepaid expenses and other assets ....... (30,312) Decrease in payable for investments purchased ....... (1,720,125) Increase in payable for securities lending collateral ....................................... 17,286,130 Increase in dividend payable for short sales ........ 3,097 Decrease in interest payable ........................ (5,083) Increase in payable to adviser ...................... 174,997 Decrease in accrued expenses ........................ (15,445) ------------- NET CASH USED IN OPERATING ACTIVITIES ............... (102,743,456) ------------- CASH FLOWS FROM FINANCING ACTIVITIES: Decrease in payable to Prime Broker ................. (2,152,469) Net payment for fund share activity ................. 100,581,102 ------------- Net cash provided by financing activities ........... 98,428,633 ------------- NET DECREASE IN CASH ................................ (4,314,823) CASH AT BEGINNING OF PERIOD ......................... $ 13,437,489 ============= CASH AT END OF PERIOD ............................... $ 9,122,666 ============= SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: Cash paid during the period for interest expense .... $ 37,467 =============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 38 | SEMI-ANNUAL REPORT 2010 [THIS PAGE INTENTIONALLY LEFT BLANK] ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS PER SHARE OPERATING PERFORMANCE Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
NET REALIZED NET AND DIVIDENDS TO DISTRIBUTIONS ASSET NET UNREALIZED TOTAL SHAREHOLDERS TO SHAREHOLDERS VALUE, INVESTMENT GAIN/(LOSS) FROM FROM NET FROM NET BEGINNING INCOME ON INVESTMENT INVESTMENT REALIZED RETURN TOTAL OF PERIOD /(LOSS) INVESTMENTS OPERATIONS INCOME GAINS OF CAPITAL DISTRIBUTIONS --------- ---------- ----------- ---------- ------------ --------------- ---------- ------------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $10.49 $ 0.02* $ 1.54 $ 1.56 $(0.05) $ -- $ -- $(0.05) 8/31/09 11.87 0.11* (1.26) (1.15) (0.14) (0.05) (0.04) (0.23) 8/31/08 21.47 0.07* (1.97) (1.90) -- (7.70) -- (7.70) 8/31/07 22.82 (0.01)* 2.41 2.40 (0.09) (3.67) -- (3.76) 8/31/06 24.75 (0.08)* 1.57 1.49 -- (3.42) -- (3.42) 8/31/05 22.80 (0.10) 5.07 4.97 -- (3.03) -- (3.03) INVESTOR CLASS 9/1/09 through 2/28/10+ $10.11 $ 0.01* $ 1.48 $ 1.49 $(0.02) $ -- $ -- $(0.02) 8/31/09 11.43 0.07* (1.20) (1.13) (0.11) (0.05) (0.03) (0.19) 8/31/08 21.02 0.03* (1.92) (1.89) -- (7.70) -- (7.70) 8/31/07 22.40 (0.07)* 2.37 2.30 (0.02) (3.67) -- (3.69) 8/31/06 24.35 (0.13)* 1.54 1.41 -- (3.36) -- (3.36) 8/31/05 22.53 (0.17) 5.01 4.84 -- (3.03) -- (3.03) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $15.75 $(0.13)* $ 1.93 $ 1.80 $ -- $ -- $ -- $ -- 8/31/09 15.47 (0.22)* 2.98 2.76 -- (2.48) -- (2.48) 8/31/08 17.23 (0.36)* 0.50 0.14 -- (1.90) -- (1.90) 8/31/07 18.57 (0.21)* 0.73 0.52 -- (1.86) -- (1.86) 8/31/06 17.89 (0.26)* 2.40 2.14 -- (1.47) -- (1.47) 8/31/05 14.70 (0.25) 3.43 3.18 -- -- -- -- INVESTOR CLASS 9/1/09 through 2/28/10+ $15.31 $(0.15)* $ 1.80 $ 1.65 $ -- $ -- $ -- $ -- 8/31/09 15.17 (0.25)* 2.87 2.62 -- (2.48) -- (2.48) 8/31/08 16.97 (0.39)* 0.49 0.10 -- (1.90) -- (1.90) 8/31/07 18.36 (0.26)* 0.73 0.47 -- (1.86) -- (1.86) 8/31/06 17.74 (0.30)* 2.38 2.08 -- (1.47) -- (1.47) 8/31/05 14.62 (0.28) 3.39 3.11 -- -- -- --
+ Unaudited. * Calculated based on average shares outstanding for the period. (1) Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period. (2) Redemption fees are reflected in total return calculations. (3) Amount is less than $0.01 per share. (4) Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 40 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE
RATIO OF EXPENSES TO RATIO OF NET AVERAGE NET INVESTMENT RATIO OF ASSETS WITH RATIO OF INCOME (LOSS) NET NET EXPENSES TO WAIVERS AND EXPENSES TO TO AVERAGE ASSET ASSETS, AVERAGE NET REIMBURSEMENTS AVERAGE NET NET ASSETS VALUE, TOTAL END OF ASSETS WITH (EXCLUDING ASSETS WITHOUT WITH WAIVERS PORTFOLIO REDEMPTION END OF INVESTMENT PERIOD WAIVERS AND DIVIDEND AND WAIVERS AND AND TURNOVER FEES PERIOD RETURN(1, 2) (000) REIMBURSEMENTS INTEREST EXPENSE) REIMBURSEMENTS REIMBURSEMENTS RATE - ---------- ------- ------------ -------- -------------- ----------------- -------------- -------------- --------- $ --(3) $ 12.00 14.85% $ 26,944 1.30%(4) N/A 1.49%(4) 0.44%(4) 23% --(3) 10.49 (8.97) 21,466 1.30 N/A 1.74 1.29 66 --(3) 11.87 (10.15) 56,652 1.39 N/A 1.54 0.47 54 0.01 21.47 10.53 94,337 1.55 N/A 1.56 (0.09) 46 --(3) 22.82 6.39 114,153 1.52 N/A 1.53 (0.34) 34 0.01 24.75 22.65 138,143 1.53 N/A 1.54 (0.42) 38 $ --(3) $ 11.58 14.77% $ 49,825 1.55%(4) N/A 1.74%(4) 0.20%(4) 23% --(3) 10.11 (9.20) 43,408 1.55 N/A 2.00 0.90 66 --(3) 11.43 (10.40) 65,370 1.64 N/A 1.79 0.19 54 0.01 21.02 10.26 154,546 1.80 N/A 1.81 (0.32) 46 --(3) 22.40 6.12 230,362 1.77 N/A 1.78 (0.58) 34 0.01 24.35 22.32 274,648 1.78 N/A 1.79 (0.64) 38 $0.03 $17.58 11.62% $121,783 3.28%(4) 2.50%(4) 3.33%(4) (1.56)%(4) 36% --(3) 15.75 30.02 54,703 3.35 2.50 4.04 (1.85) 172 --(3) 15.47 1.12 36,423 3.98 2.50 4.36 (2.27) 124 --(3) 17.23 2.61 73,770 3.44 2.50 3.60 (1.17) 93 0.01 18.57 12.93 90,313 3.24 2.50 3.40 (1.51) 109 0.01 17.89 21.70 99,748 3.13 2.50 3.30 (1.82) 107 $0.03 $16.99 10.97% $ 77,286 3.53%(4) 2.75%(4) 3.58%(4) (1.87)%(4) 36% --(3) 15.31 29.63 30,980 3.55 2.75 4.19 (2.09) 172 --(3) 15.17 0.88 7,728 4.23 2.75 4.61 (2.51) 124 --(3) 16.97 2.35 14,664 3.69 2.75 3.85 (1.42) 93 0.01 18.36 12.69 20,706 3.48 2.75 3.65 (1.77) 109 0.01 17.74 21.34 24,716 3.37 2.75 3.55 (2.07) 107
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 41 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
NET REALIZED DISTRIBUTIONS NET AND DIVIDENDS TO TO ASSET NET UNREALIZED TOTAL SHAREHOLDERS SHAREHOLDERS VALUE, INVESTMENT GAIN/(LOSS) FROM FROM NET FROM NET BEGINNING INCOME/ ON INVESTMENT INVESTMENT REALIZED TOTAL REDEMPTION OF PERIOD (LOSS) INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS FEES --------- ---------- ------------ ---------- ------------ ------------- ------------- ----------- ROBECO BOSTON PARTNERS MID CAP VALUE FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $ 8.34 $ 0.03* $ 0.98 $ 1.01 $(0.07) $ -- $(0.07) $-- 8/31/09 9.35 0.09* (1.01)(4) (0.92) (0.09) --(5) (0.09) -- 8/31/08 11.45 0.08* (0.76) (0.68) (0.06) (1.36) (1.42) -- 8/31/07 13.05 0.05* 2.44 2.49 (0.03) (4.06) (4.09) -- 8/31/06 14.02 0.04* 0.86 0.90 (0.02) (1.85) (1.87) -- 8/31/05 13.16 --(5) 3.22 3.22 (0.01) (2.35) (2.36) -- INVESTOR CLASS 9/1/09 through 2/28/10+ $ 8.10 $ 0.02* $ 0.95 $ 0.97 $(0.05) $ -- $(0.05) $-- 8/31/09 9.08 0.07* (0.98)(4) (0.91) (0.07) --(5) (0.07) -- 8/31/08 11.16 0.06* (0.74) (0.68) (0.04) (1.36) (1.40) -- 8/31/07 12.81 0.02* 2.39 2.41 -- (4.06) (4.06) -- 8/31/06 13.80 (0.01)* 0.87 0.86 -- (1.85) (1.85) -- 8/31/05 13.02 --(5) 3.13 3.13 -- (2.35) (2.35) -- ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $12.56 $ 0.05* $ 1.13 $ 1.18 $(0.13) $ -- $(0.13) $-- 8/31/09 13.61 0.19* (1.03) (0.84) (0.12) (0.09) (0.21) -- 8/31/08 16.47 0.23* (1.54) (1.31) (0.16) (1.39) (1.55) -- 8/31/07 15.69 0.16* 2.05 2.21 (0.13) (1.30) (1.43) -- 8/31/06 15.54 0.15* 1.03 1.18 (0.08) (0.95) (1.03) -- 8/31/05 13.29 0.07 2.83 2.90 (0.05) (0.60) (0.65) -- INVESTOR CLASS 9/1/09 through 2/28/10+ $12.52 $ 0.03* $ 1.13 $ 1.16 $(0.11) $ -- $(0.11) $-- 8/31/09 13.56 0.16* (1.03) (0.87) (0.08) (0.09) (0.17) -- 8/31/08 16.41 0.16* (1.51) (1.35) (0.11) (1.39) (1.50) -- 8/31/07 15.63 0.11* 2.06 2.17 (0.09) (1.30) (1.39) -- 8/31/06 15.49 0.11* 1.03 1.14 (0.05) (0.95) (1.00) -- 8/31/05 13.26 0.03 2.83 2.86 (0.03) (0.60) (0.63) -- ROBECO WPG SMALL CAP VALUE FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $10.57 $ --*(5) $ 1.00 $ 1.00 $(0.03) $ -- $(0.03) $--(5) 8/31/09 12.18 0.03* (1.62) (1.59) (0.01) (0.01) (0.02) -- 8/31/08 17.05 0.05 (2.46) (2.41) (0.01) (2.45) (2.46) -- 8/31/07 16.54 0.01 2.31 2.32 -- (1.81) (1.81) -- 8/31/06 17.42 --(5) 1.10 1.10 -- (1.98) (1.98) -- 8/31/05(6) 17.55 (0.04) (0.09) (0.13) -- -- -- -- 12/31/04 16.34 --(5) 3.11 3.11 -- (1.90) (1.90) --
+ Unaudited. * Calculated based on average shares outstanding. (1) Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period. (2) Redemption fees are reflected in total return calculations. (3) Annualized. (4) In 2009, the investment advisor fully reimbursed the BP Mid Cap Value Fund for a loss on a transaction not meeting the Fund's investment guidelines, which otherwise would have reduced total return by 0.11% and net realized and unrealized gain/(loss) on investment by $0.01 per share. (5) Amount is less than $0.01. (6) For the period January 1, 2005 through August 31, 2005. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 42 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE
RATIO OF NET INVESTMENT RATIO OF RATIO OF INCOME (LOSS) NET NET EXPENSES TO EXPENSES TO TO AVERAGE ASSET ASSETS, AVERAGE NET AVERAGE NET NET ASSETS VALUE, TOTAL END OF ASSETS WITH ASSETS WITHOUT WITH WAIVERS PORTFOLIO END OF INVESTMENT PERIOD WAIVERS AND WAIVERS AND AND TURNOVER PERIOD RETURN(1, 2) (000) REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS RATE - ------ ------------ ------ -------------- -------------- -------------- --------- $ 9.28 12.11% $55,282 1.00%(3) 1.38%(3) 0.63%(3) 20% 8.34 (9.50)(4) 32,691 1.00 1.69 1.33 58 9.35 (6.41) 35,056 1.00 1.48 0.80 64 11.45 21.32 35,722 1.00 1.48 0.38 89 13.05 6.82 27,538 1.00 1.38 0.28 97 14.02 25.97 54,187 1.00 1.31 0.03 74 $ 9.02 12.01% $18,210 1.25%(3) 1.63%(3) 0.40%(3) 20% 8.10 (9.79)(4) 13,916 1.25 1.93 1.09 58 9.08 (6.62) 17,202 1.25 1.73 0.55 64 11.16 21.02 12,778 1.25 1.73 0.14 89 12.81 6.59 5,334 1.25 1.70 (0.04) 97 13.80 25.47 4,462 1.25 1.56 (0.22) 74 $13.61 9.42% $80,395 0.95%(3) 1.21%(3) 0.75%(3) 20% 12.56 (5.88) 63,085 0.95 1.50 1.79 55 13.61 (8.55) 51,850 0.95 1.70 1.59 44 16.47 14.38 13,720 0.95 2.24 0.92 45 15.69 7.95 9,374 1.09 2.93 0.94 51 15.54 22.33 7,315 1.25 3.90 0.53 29 $13.57 9.29% $ 8,874 1.20%(3) 1.46%(3) 0.51%(3) 20% 12.52 (6.15) 5,187 1.20 1.75 1.51 55 13.56 (8.82) 3,164 1.20 1.95 1.10 44 16.41 14.16 4,021 1.20 2.49 0.67 45 15.63 7.72 3,739 1.34 3.19 0.69 51 15.49 22.06 2,840 1.50 4.04 0.20 29 $11.54 9.50% $34,157 1.70%(3) 1.71%(3) (0.04)%(3) 43% 10.57 (12.93) 35,405 1.61 1.95 0.37 137 12.18 (15.12) 43,133 1.61 1.65 0.11 131 17.05 14.28 53,962 1.47 1.47 0.09 138 16.54 7.16 48,607 1.43 1.43 0.02 139 17.42 (0.74) 52,368 1.57(3) 1.57(3) (0.35)(3) 136 17.55 19.35 57,787 1.55 1.55 (0.55) 159
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 43 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (continued) PER SHARE OPERATING PERFORMANCE Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
NET DISTRIBUTIONS NET REALIZED DIVIDENDS TO TO ASSET AND TOTAL SHAREHOLDERS SHAREHOLDERS VALUE, NET UNREALIZED FROM FROM NET FROM NET BEGINNING INVESTMENT GAIN ON INVESTMENT INVESTMENT REALIZED TOTAL REDEMPTION OF PERIOD INCOME INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS FEES --------- ---------- ----------- ---------- ------------ ------------ ------------- ---------- SAM SUSTAINABLE CLIMATE FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $ 6.65 $(0.03)* $ 0.27 $ 0.24 $(0.01) $ -- $(0.01) $--(3) 8/31/09 8.36 0.01* (1.67) (1.66) (0.05) -- (0.05) -- 10/1/07** through 8/31/08 10.00 0.02* (1.66) (1.64) -- -- -- -- INVESTOR CLASS 9/1/09 through 2/28/10+ $ 6.64 $(0.04)* $ 0.26 $ 0.22 $ -- $ -- $ -- $--(3) 8/31/09 8.36 --*(4) (1.68) (1.68) (0.04) -- (0.04) -- 10/1/07** through 8/31/08 10.00 0.02* (1.66) (1.64) -- -- -- -- SAM SUSTAINABLE WATER FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $ 6.75 $(0.01)* $ 0.87 $ 0.86 $(0.03) $ -- $(0.03) $--(3) 8/31/09 8.78 0.04* (2.01) (1.97) (0.06) -- (0.06) -- 10/1/07** through 8/31/08 10.00 0.04* (1.26) (1.22) -- -- -- -- INVESTOR CLASS 9/1/09 through 2/28/10+ $ 6.73 $(0.02)* $ 0.87 $ 0.85 $(0.02) $ -- $(0.02) $--(3) 8/31/09 8.78 0.04* (2.04) (2.00) (0.05) -- (0.05) -- 10/1/07** through 8/31/08 10.00 0.04* (1.26) (1.22) -- -- -- -- CLASS C 9/11/09** through 2/28/10+ $ 7.06 $(0.03)* 0.56 $ 0.53 $(0.02) $ -- $(0.02) $--(3) SAM SUSTAINABLE GLOBAL ACTIVE FUND INSTITUTIONAL CLASS 9/1/09 through 2/28/10+ $11.30 $ 0.04* $ 0.92 $ 0.96 $(0.05) $(0.90) $(0.95) $--(3) 6/18/09** through 8/31/09 10.00 0.01* 1.29 1.30 -- -- -- -- INVESTOR CLASS 9/1/09 through 2/28/10+ $11.30 $ 0.02* $ 0.93 $ 0.95 $(0.04) $(0.90) $(0.94) $--(3) 7/15/09** through 8/31/09 10.13 --*(4) 1.17 1.17 -- -- -- --
+ Unaudited * Calculated based on average shares outstanding for the period. ** Commencement of operations. (1) Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. Total return for periods less than one year has not been annualized. (2) Redemption fees are reflected in total return calculations. (3) Amount is less than $0.01 per share. (4) Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 44 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (concluded) PER SHARE OPERATING PERFORMANCE
RATIO OF NET RATIO OF NET INVESTMENT INVESTMENT RATIO OF RATIO OF INCOME (LOSS) INCOME (LOSS) NET NET EXPENSES TO EXPENSES TO TO AVERAGE ASSET ASSETS, AVERAGE NET AVERAGE NET NET ASSETS VALUE, TOTAL END OF ASSETS WITH ASSETS WITHOUT WITH WAIVERS PORTFOLIO END OF INVESTMENT PERIOD WAIVERS AND WAIVERS AND AND TURNOVER PERIOD RETURN(1, 2) (000) REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS RATE - ------ ------------ -------- -------------- -------------- -------------- --------- $ 6.88 3.55% $ 3,298 1.50%(4) 7.81%(4) (0.90)%(4) 23% 6.65 (19.55) 3,045 1.50 11.64 0.19 129 8.36 (16.40) 3,390 1.50(3) 9.18(3) 0.16(3) 34 $ 6.86 3.31% $ 365 1.75%(4) 8.04%(4) (1.15)%(4) 23% 6.64 (19.88) 309 1.75 11.56 (0.07) 129 8.36 (16.40) 287 1.75(3) 8.93(4) (0.09)(4) 34 $ 7.58 12.81% $ 5,068 1.50%(4) 6.54%(4) (0.20)%(4) 30% 6.75 (22.24) 3,724 1.50 9.92 0.73 61 8.78 (12.20) 4,071 1.50(3) 8.89(3) 0.42(3) 40 $ 7.56 12.64% $ 759 1.75%(4) 6.81%(4) (0.44)%(4) 30% 6.73 (22.66) 545 1.75 9.82 0.61 61 8.78 (12.20) 423 1.75(4) 8.64(4) 0.17(4) 40 $ 7.57 7.48% $ 42 2.25%(4) 7.14%(4) (0.89)%(4) 30% $11.31 8.39% $15,453 1.20%(4) 2.73%(4) 0.68%(4) 55% 11.30 13.00 11,614 1.20(4) 4.06(4) 0.27(4) 72 $11.31 8.30% $ 9 1.45%(4) 2.96%(4) 0.31%(4) 55% 11.30 11.55 4 1.45(4) 4.20(4) 0.13(4) 72
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2010 | 45 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series trust," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including Robeco Boston Partners Small Cap Value Fund II ("BP Small Cap Value Fund II"), Robeco Boston Partners Long/Short Equity Fund ("BP Long/Short Equity Fund"), Robeco Boston Partners Mid Cap Value Fund ("BP Mid Cap Value Fund"), Robeco Boston Partners All-Cap Value Fund ("BP All-Cap Value Fund") (collectively "BP Funds"), Robeco WPG Small Cap Value Fund ("WPG Small Cap Value Fund"), the SAM Sustainable Climate Fund, SAM Sustainable Water Fund and SAM Sustainable Global Active Fund (collectively "SAM Funds") (each a "Fund," collectively the "Funds"). As of February 28, 2010, the BP Funds and SAM Sustainable Global Active Fund each offer two classes of shares, Institutional Class and Investor Class. The WPG Small Cap Value Fund is a single class fund, offering only the Institutional Class of shares. The SAM Sustainable Climate Fund and the SAM Sustainable Water Fund each offer four classes of shares, Institutional Class, Investor Class, Class A and Class C.As of February 28, 2010, Class A Shares have not been issued. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families." PORTFOLIO VALUATION -- Each Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer's financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of February 28, 2010 is included in each Fund's Portfolio of Investments. 46 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) USE OF ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Funds record security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Funds' investment income, expenses (other than class specific distribution fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees are accrued daily and taken into account for the purpose of determining the NAV of the Funds. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. generally accepted accounting principles. U.S.TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. FOREIGN CURRENCY TRANSLATION -- The books and records of the portfolios are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rate prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resulting exchange gains and losses are included in the Statement of Operations. FOREIGN SECURITIES -- There are certain risks resulting from investing in foreign securities in addition to the usual risks inherent in domestic investments. Such risks include political, economic and currency exchange developments including investment restrictions and changes in foreign laws. OPTIONS WRITTEN --The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities. The BP All-Cap Value Fund, the WPG Small Cap Value Fund and the SAM Funds write covered call and secured put options. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. The risk in writing a call option is that a Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that a Fund may incur a loss if the market price of the security decreases and the option is exercised. A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. A Fund also may write over-the- SEMI-ANNUAL REPORT 2010 | 47 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are recorded as liabilities to the extent of premiums received. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received or paid. The BP All-Cap Value Fund had transactions in options written during the six-month period ended February 28, 2010 as follows:
NUMBER OF PREMIUMS CONTRACTS RECEIVED --------- --------- Options outstanding as of August 31, 2009 1,704 $ 900,977 Options written 478 141,273 Options closed (761) (520,689) Options expired (246) (28,001) Options exercised (525) (321,793) ------ --------- Options outstanding as of February 28, 2010 650 $ 171,767 ====== =========
SHORT SALES -- When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund and the BP All-Cap Value Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund's gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them. In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these prime broker charges on a net basis as interest income or interest expense. For the six-month period ended February 28, 2010, the BP Long/Short Equity Fund had net charges of $490,164 on borrowed securities. Such amounts are included in prime broker interest expense on the statement of operations. As of February 28, 2010, the BP Long/Short Equity Fund had securities sold short valued at $38,074,395 for which securities of $63,534,978 and cash deposits of $39,519,871 were pledged as collateral. In accordance with the Special Custody and Pledge Agreement with Goldman Sachs (the Fund's prime broker), the BP Long/Short Equity Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the Libor rate plus an agreed upon spread. The BP Long/Short Equity Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the six-month period ended February 28, 2010:
AVERAGE DAILY WEIGHTED AVERAGE DAYS UTILIZED BORROWINGS INTEREST RATE - ------------- ------------- ---------------- 181 $5,875,832 1.09%
As of February 28, 2010, the Fund had borrowings of $5,597,116. Interest expense for the six-month period ended February 28, 2010 totaled $32,384. 2. TRANSACTIONS WITH INVESTMENT ADVISOR AND OTHER SERVICES Robeco Investment Management, Inc. ("Robeco") provides investment advisory services to the BP Funds and the WPG Small Cap Value Fund. For its advisory services with respect to the BP Funds, Robeco is entitled to receive 1.00% of the BP Small Cap Value Fund II's average daily net assets, 2.25% of the BP Long/Short Equity Fund's average daily net assets, 0.80% 48 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) of the BP Mid Cap Value Fund's average daily net assets and 0.80% of the BP All-Cap Value Fund's average daily net assets, each accrued daily and payable monthly. Until December 31, 2011, Robeco has contractually agreed to limit the BP Funds' total operating expenses (other than brokerage commissions, extraordinary items, interest, dividends on short sales, or taxes) to the extent that such expenses exceed the ratios in the table below. This limit is calculated daily based on each Fund's average daily net assets. This limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee as necessary. Robeco may not recoup any of its waived investment advisory fees.
INSTITUTIONAL INVESTOR ------------- -------- BP Small Cap Value Fund II 1.30% 1.55% BP Long/Short Equity Fund 2.50% 2.75% BP Mid Cap Value Fund 1.00% 1.25% BP All-Cap Value Fund 0.95% 1.20%
For its advisory services with respect to the WPG Small Cap Value Fund, Robeco is entitled to receive advisory fees, accrued daily and paid monthly, as follows: WPG Small Cap Value Fund 0.90% of net assets up to $300 million 0.80% of net assets $300 million to $500 million 0.75% of net assets in excess of $500 million
Until December 31, 2011, Robeco has contractually agreed to limit the WPG Small Cap Value Fund's operating expenses to 1.70% as a percentage of each Fund's average daily net assets. Robeco may not recoup any of its waived investment advisory fees. Sustainable Asset Management USA, Inc. ("SAM") provides investment advisory services to the SAM Funds. SAM is an affiliate of Robeco Investment Management, Inc., and a subsidiary of Robeco Groep. SAM is entitled to an advisory fee at the annual rate of 1.00% of SAM Sustainable Climate Fund and SAM Sustainable Water Fund and 0.80% of SAM Sustainable Global Active Fund's average daily net assets, computed daily and payable monthly. Until December 31, 2011, SAM has contractually agreed to limit the SAM Funds' total operating expenses (other than brokerage commissions, extraordinary items, interest or taxes) to the extent that such expenses exceed certain ratios. SAM has agreed to waive fees and reimburse expenses to the extent that total operating expenses of the SAM Sustainable Climate Fund and the SAM Sustainable Water Fund exceed to 1.50% for the Institutional Class, 1.75% for the Investor Class and 2.25% for Class C of the Funds' average daily net assets attributable to the respective class. For the Institutional Class, SAM has agreed to waive fees and reimburse expenses to the extent that the total operating expenses of the SAM Sustainable Global Active Fund exceed 1.20% of the first $50 million of the Fund's average daily net assets, 1.10% of the Fund's average daily net assets between $50 million and $100 million and 1.00% of the Fund's average daily net assets in excess of $100 million. For the Investor Class, SAM has agreed to waive fees and reimburse expenses to the extent that the total operating expenses of the SAM Sustainable Global Active Fund exceed 1.45% of the first $50 million of the Fund's average daily net assets, 1.35% of the Fund's average daily net assets between $50 million and $100 million and 1.25% of the Fund's average daily net assets in excess of $100 million. SAM may not recoup any of its waived investment advisory fees. PNC Global Investment Servicing (U.S.) Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Funds. For providing administration and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administrative services to RBB. For providing these services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each Fund in proportion to its net assets of the Company. In addition, PNC serves as the Funds' transfer and dividend disbursing agent. For providing transfer agency services, PNC is entitled to receive a minimum monthly fee. PFPC Trust Company ("PFPC Trust") is a member of The PNC Financial Services Groups, Inc. and provides certain custodial services to the Funds. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Funds' average daily net assets, is subject to certain minimum monthly fees. SEMI-ANNUAL REPORT 2010 | 49 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) The Board of Directors of the Company has approved a Distribution Agreement for the Funds and adopted a separate Plan of Distribution for the Investor Class (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, PFPC Distributors, Inc. (the "Distributor") is entitled to receive from the Funds a distribution fee with respect to the Investor Class, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class, all as set forth in the Funds' 12b-1 Plan. A contingent deferred sales charge is imposed when Class C Shares are redeemed within the first year of purchase. 3. DIRECTORS/COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six-month period ended February 28, 2010 was $35,429. Certain employees of PNC are Officers of the Company. They are not compensated by the Funds or the Company. 4. INVESTMENT IN SECURITIES For the six-month period ended February 28, 2010, aggregate purchases and sales of investment securities (excluding investments and U.S. government obligations) were as follows:
PURCHASES SALES ------------ ----------- BP Small Cap Value Fund II $ 18,793,680 $15,645,944 BP Long/Short Equity fund 152,156,316 52,092,066 BP Mid Cap Value Fund 30,510,682 10,705,159 BP All-Cap Value Fund 29,400,963 15,693,672 WPG Small Cap Value Fund 14,911,904 17,615,492 SAM Sustainable Climate Fund 1,034,684 819,888 SAM Sustainable Water Fund 2,283,856 1,389,623 SAM Sustainable Global Active Fund 9,721,727 6,913,609
5. CAPITAL SHARE TRANSACTIONS As of February 28, 2010, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class of the WPG Small Cap Value Fund, which has 50,000,000 shares of $0.001 par value common stock authorized. As of February 28, 2010, the following Funds had shareholders that held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many underlying shareholders. BP Small Cap Value Fund II (3 shareholders) 65% BP Long/Short Equity Fund (2 shareholders) 62% BP Mid Cap Value Fund (2 shareholder) 75% BP All-Cap Value Fund (1 shareholder) 56% SAM Sustainable Climate Fund (1 shareholder) 72% SAM Sustainable Water Fund (2 shareholders) 62% SAM Sustainable Global Active Fund (2 shareholders) 90%
6. SECURITIES LENDING Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. During the six-month period ended February 28, 2010, the Funds participated in securities lending. The market value of securities on loan and collateral as of February 28, 2010 and the income generated from the program during the six-month period ended February 28, 2010 with respect to such loans is as follows: 50 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued)
MARKET VALUE INCOME RECEIVED OF SECURITIES MARKET VALUE FROM SECURITIES FUND LOANED OF COLLATERAL LENDING - ---- ------------- ------------- --------------- BP Small Cap Value Fund II $ 7,818,520 $ 8,234,440 $4,016 BP Long/Short Equity Fund 16,438,176 17,286,130 2,642 BP Mid Cap Value Fund 18,241,547 18,885,658 884 BP All-Cap Value Fund 11,037,107 11,504,751 444 WPG Small Cap Value Fund 3,771,962 4,013,270 878 SAM Sustainable Climate Fund 415,402 452,055 1,215 SAM Sustainable Water Fund 56,588 58,800 361 SAM Sustainable Global Activity Fund 635,452 658,204 26
7. REDEMPTION FEES There is a 1.00% redemption fee on shares redeemed which have been held 60 days or less on the BP Small Cap Value Fund II and the SAM Funds. There is a 2.00% redemption fee on shares redeemed which have been held 365 days or less on the BP Long/Short Equity Fund. The WPG Small Cap Value Fund has a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees are retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. 8. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2006 - 2009) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED FUND COST APPRECIATION DEPRECIATION APPRECIATION - ---- ------------ ------------ ------------ -------------- BP Small Cap Value Fund II $ 74,883,242 $14,446,511 $(6,397,479) $ 8,049,032 BP Long/Short Equity Fund 196,406,943 19,133,214 (4,478,582) 14,654,632 BP Mid Cap Value Fund 84,633,701 7,004,539 (2,333,039) 4,671,500 BP All-Cap Value Fund 90,772,345 10,289,663 (3,418,090) 6,871,573 WPG Small Cap Value Fund 32,912,202 5,670,557 (829,760) 4,840,797 SAM Sustainable Climate Fund 3,874,963 478,112 (278,620) 199,492 SAM Sustainable Water Fund 5,142,560 631,480 (225,491) 405,989 SAM Sustainable Global Activity Fund 14,726,419 1,305,515 (253,988) 1,051,527
Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG-TERM FUND INCOME GAINS - ---- ------------- ------------- BP Small Cap Value Fund II $ -- $-- BP Long/Short Equity Fund -- -- BP Mid Cap Value Fund 232,015 -- BP All-Cap Value Fund 791,371 -- WPG Small Cap Value Fund 107,004 -- SAM Sustainable Climate Fund 3,191 -- SAM Sustainable Water Fund 21,610 -- SAM Sustainable Global Active Fund 646,846 --
SEMI-ANNUAL REPORT 2010 | 51 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal tax purposes. The tax character of distributions paid during the fiscal year ended August 31, 2009 were as follows:
2009 ----------------------------------------------- ORDINARY LONG-TERM RETURN OF FUND INCOME GAINS CAPITAL TOTAL - ---- ---------- --------- --------- ---------- BP Small Cap Value Fund II $1,343,179 $ -- $269,326 $1,612,505 BP Long/Short Equity Fund 4,901,142 -- -- 4,901,142 BP Mid Cap Value Fund 452,583 882 -- 453,465 BP All-Cap Value Fund 474,174 353,246 -- 827,420 WPG Small Cap Value Fund 88,822 -- -- 88,822 SAM Sustainable Climate Fund 23,697 -- -- 23,697 SAM Sustainable Water Fund 31,563 -- -- 31,563
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes. For Federal income tax purposes, capital loss carryforwards represent net realized capital losses of a Fund that may be carried forward for a maximum of eight years and applied against future net capital gains. As of August 31, 2009, the following Funds had capital loss carryforwards available to offset future realized capital gains through the expiration dates indicated below:
FUND 2016 2017 TOTAL - ---- ---------- ----------- ----------- BP Small Cap Value Fund II $ -- $15,908,734 $15,908,734 BP Long/Short Equity Fund 3,108,415 1,948,489 5,056,904 BP Mid Cap Value Fund -- 2,550,027 2,550,027 BP All-Cap Value Fund -- 1,022,337 1,022,337 WPG Small Cap Value Fund -- 7,340,717 7,340,717 SAM Sustainable Climate Fund 4,482 1,030,355 1,034,837 SAM Sustainable Water Fund -- 183,846 183,846
Due to limitations imposed by the Internal Revenue Code and the regulations thereunder, losses of $2,326,868 for the BP Long/Short Equity Fund which were acquired in its reorganization with WPG 130/30 Large Cap Core Fund (see Note 9) were reclassed to paid-in capital since they will not be available to offset future capital gains. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the fiscal year ended August 31, 2009, the following Funds will defer post-October capital and foreign currency losses to the fiscal year ended August 31, 2010.
FUND CAPITAL FOREIGN CURRENCY - ---- ----------- ---------------- BP Small Cap Value Fund II $18,575,127 $ -- BP Long/Short Equity Fund 3,594,095 15,313 BP Mid Cap Value Fund 4,299,397 -- BP All-Cap Value Fund 2,756,066 -- WPG Small Cap Value Fund 7,972,056 -- SAM Sustainable Climate Fund 462,752 1,440 SAM Sustainable Water Fund 814,646 1,398
9. FUND REORGANIZATION The Board of Directors of the Company and the stockholders of the WPG 130/30 Large Cap Core Fund approved a plan of reorganization pursuant to which the assets and identified liabilities of the WPG 130/30 Large Cap Core Fund were transferred into the BP Long/Short Equity Fund in exchange for 746,155 Institutional Class shares of the BP Long/Short Equity Fund with a Net Asset Value of $10.72. The reorganization was a tax-free event and took place on April 20, 2009. 52 | SEMI-ANNUAL REPORT 2010 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded) The following information relates to the Funds immediately prior and immediately after the consummation of the reorganization:
SHARES UNREALIZED CAPITAL LOSS FUND OUTSTANDING NET ASSETS DEPRECIATION CARRY FORWARD - ---- ----------- ----------- ------------ ------------ WPG 130/30 Large Cap Core Fund (before reorganization) 834,162 $ 8,000,331 $(1,467,735) $(5,435,283) BP Long/Short Equity Fund Fund (before reorganization) 1,872,054 25,301,128 N/A N/A BP Long/Short Equity Fund Fund (after reorganization) 2,618,209 33,301,459 N/A N/A
10. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 11. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund(s) through the date the financial statements were issued, and has determined that there were the following subsequent events: A. On February 2, 2010,The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. B. At a meeting of the Board of Directors of RBB (the "Board") held on March 11, 2010, the Board unanimously voted to approve, subject to shareholder approval, the Agreement and Plan of Reorganization whereby the Boston Partners Mid Cap Value Fund (the "Fund") would be reorganized into the John Hancock Disciplined Mid Cap Value Fund (the "New Fund"). The New Fund is a newly organized series of John Hancock Funds III with substantially identical investment objectives to the Fund, but it will be offered and managed through the John Hancock organization. Robeco would serve as the New Fund's subadviser with responsibility for the day-to-day portfolio management and John Hancock Investment Management Services, LLC would act as the New Fund's adviser. A Special Meeting of Shareholders of the Fund will be held on or about July 7, 2010 at which shareholders of the Fund will be asked to consider and approve the Agreement and Plan of Reorganization. Shareholders of record of the Fund as of April 8, 2010 will be entitled to vote and should expect to receive a prospectus providing more information about the New Fund and a proxy statement describing the proposed reorganization. If approved by shareholders at the Special Meeting, the reorganization will take place at the close of business on or about July 9, 2010. C. Effective March 1, 2010, Robeco has contractually agreed to waive additional fees for the BP All-Cap Value Fund through December 31, 2011. Robeco has agreed to limit total operating expenses (other than brokerage commissions, extraordinary items, interest, dividends on short sales or taxes) to the extent that such expenses exceed the following ratios:
INSTITUTIONAL INVESTOR ------------- -------- BP All-Cap Value Fund 0.70% 0.95%
SEMI-ANNUAL REPORT 2010 | 53 ROBECO INVESTMENT FUNDS OTHER INFORMATION (unaudited) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (800) 261-4073 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULE The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 54 | SEMI-ANNUAL REPORT 2010 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISERS Robeco Investment Management Inc. 909 Third Avenue New York, NY 10022 or Sustainable Asset Management USA, Inc. 909 Third Avenue, 32nd Floor New York, NY 10022 and Josefstrasse 218 CH-8005 Zurich, Switzerland ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Two Commerce Square 2001 Market Street, Suite 4000 Philadelphia, PA 19103 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 THE SCHNEIDER FUNDS SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2010 (UNAUDITED) Fellow Shareholder: The semi-annual report for the Schneider Funds covers the six months ended February 28, 2010. INVESTMENT REVIEW U.S. equity markets continued their upward momentum during the period as the broad market Russell 3000 Index rose 10.0%. Signs of improving health in global economies and financial conditions offered evidence of a sustained and broader global expansion. The U.S. economy strengthened during the period, and inflation remained subdued. The performance of both Funds continued their healthy resurgence since the November 2008 market bottom. Our patience was rewarded by sticking with a number of holdings that were hit hard during the financial crisis. Strong returns were also driven by new investment opportunities, primarily in the energy and technology sectors that surfaced during the 2008 market meltdown. Historically, our investment process has enjoyed a nice tailwind when the U.S. economy is in the recovery phase and moving toward expansion. The nature of our deep value approach generally results in a portfolio of companies whose businesses are more cyclical and economically sensitive than the benchmark as a whole. From our experience, the economic and financial climate should be supportive for our disciplined investment approach. We believe the investments in the Funds as a whole are cheaply valued, focused in several high-conviction areas, and invested in companies that have reasonable prospects for healthy earnings improvement. OUTLOOK Recent data confirm our opinion that the U.S. economy is on a path to a modest, self-sustaining cyclical expansion. Favorable trends continued in manufacturing, consumer spending, corporate profits and credit conditions, and more signs emerged that housing and employment are stabilizing. Powerful emerging market economies are helping exports. The picture looks cloudier in 2011 when short-term interest rates will likely be higher and, as proposed by the Administration, some of the 2001 tax cuts are allowed to expire. The private sector will probably have improved enough to relieve most of these headwinds, while bank lending to small businesses and consumers should loosen up by that time. Recent surveys indicate that banks have ceased tightening their lending standards on many types of loans, but they have yet to begin unwinding the considerable tightening that occurred over the past 2+ years. Beyond next year, the hangover from continued private sector debt deleveraging and negative fallout from our government fiscal problems will combine to dampen the long-term growth potential for the U.S. economy. The recently passed health care entitlements further exacerbate these headwinds in our opinion. The bill does little to control health care costs which currently stand at 16% of GDP, nearly twice the average of other developed economies. Not only is the legislation not completely paid for, which will add to our deficit, but the taxes collected for this entitlement will not be available for paying down our national debt. We believe the bill will add to our deficit beginning in 2014 as the outlays begin to ramp up. With interest expense approaching the critical level of 10% of government revenues by that time, our country's coveted AAA credit rating will be in jeopardy. "What does not kill you makes you stronger." Financial and non-financial public companies that survived the deep recession are, in general, more efficient and productive enterprises that have substantial operating leverage to benefit from any meaningful increase in sales. On the whole, the economic climate this year and next should be constructive for a continued corporate profit recovery. Thank you for the confidence you have placed in us. /s/ Arnold C. Schneider Arnold C. Schneider III, CFA Portfolio Manager Schneider Capital Management 1 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PERFORMANCE DATA FEBRUARY 28, 2010 (UNAUDITED) Total Returns for the Periods Ended February 28, 2010
AVERAGE ANNUAL ------------------ SIX ONE SINCE MONTHS YEAR FIVE YEARS INCEPTION* ------ ----- ---------- ---------- SCHNEIDER VALUE 9.32% 83.05% -3.23% 8.63% RUSSELL 1000(R) VALUE INDEX 8.52% 56.50% -0.49% 6.72%
* INCEPTION DATE 9/30/02 The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Schneider Capital Management contractually agreed to waive a portion of its advisory fee and reimburse a portion of the Fund's operating expenses, as necessary, to maintain the expense limitation, as set forth in the notes to the financial statements. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-888-520-3277. The Fund's gross and net annual operating expenses, as stated in the current prospectus, are 1.14% and 0.90%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than 90 days are subject to a 1.00% redemption fee. The Fund's aggregate total return since inception is based on an increase in net asset value from $10.00 per share on September 30, 2002 (inception) to $12.98 per share on February 28, 2010, adjusted for dividends and distributions totaling $6.44 per share paid from net investment income and realized gains. Portfolio composition is subject to change. 2 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PERFORMANCE DATA FEBRUARY 28, 2010 (UNAUDITED) Total Returns for the Periods Ended February 28, 2010
AVERAGE ANNUAL ---------------------- SIX ONE SINCE MONTHS YEAR FIVE YEARS TEN YEARS INCEPTION* ------ ------ ---------- --------- ----------- SCHNEIDER SMALL CAP VALUE 16.12% 119.43% -0.69% 11.61% 15.84% RUSSELL 2000(R) VALUE INDEX 10.53% 65.93% 0.70% 8.08% 8.32%
* INCEPTION DATE 9/2/98 The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Schneider Capital Management contractually agreed to waive a portion of its advisory fee and reimburse a portion of the Fund's operating expenses, as necessary, to maintain the expense limitation, as set forth in the notes to the financial statements. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-888-520-3277. The Fund's gross and net annual operating expenses, as stated in the current prospectus, are 1.43% and 1.16%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than one year are subject to a 1.75% redemption fee. The Fund's annualized total return since inception is based on an increase in net asset value from $10.00 per share on September 2, 1998 (inception) to $14.25 per share on February 28, 2010, adjusted for dividends and distributions totaling $29.52 per share paid from net investment income and realized gains. Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity. Portfolio composition is subject to change. 3 THE SCHNEIDER FUNDS FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six months from September 1, 2009 through February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
SCHNEIDER VALUE FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,093.20 $4.67 Hypothetical (5% return before expenses) 1,000.00 1,020.28 4.52
SCHNEIDER SMALL CAP VALUE FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2009 FEBRUARY 28, 2010 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,161.20 $6.16 Hypothetical (5% return before expenses) 1,000.00 1,019.02 5.77
* Expenses are equal to an annualized six-month expense ratio of 0.90% for the Schneider Value Fund and 1.15% for the Schneider Small Cap Value Fund, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The Fund's ending account values on the first line in each table are based on the actual six-month total return for each Fund of 9.32% for the Schneider Value Fund and 16.12% for the Schneider Small Cap Value Fund. 4 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------- Domestic Common Stocks: Banks ............................................ 15.5% $ 20,132,846 Oil & Gas ........................................ 13.5 17,585,897 Coal ............................................. 9.6 12,517,464 Insurance ........................................ 8.6 11,123,440 Energy & Utilities ............................... 6.8 8,871,638 Semiconductors ................................... 6.7 8,744,106 Home Builders .................................... 5.8 7,501,747 Real Estate Investment Trusts .................... 5.2 6,733,141 Computers ........................................ 4.1 5,320,087 Electronics ...................................... 3.1 3,983,157 Automobile Parts & Equipment ..................... 2.9 3,796,389 Food ............................................. 2.7 3,495,255 Aerospace & Defense .............................. 2.2 2,873,780 Retail ........................................... 1.9 2,398,062 Automobile Manufacturers ......................... 1.8 2,322,815 Media ............................................ 1.5 1,944,006 Leisure Time ..................................... 1.2 1,569,834 Health Care - Services ........................... 1.2 1,566,238 Life & Health Insurance .......................... 0.6 718,261 Health Care - Products ........................... 0.1 188,430 Exchange Traded Fund ................................ 3.6 4,665,939 Securities Lending Collateral ....................... 28.9 37,573,417 Liabilities in Excess of Other Assets ............... (27.5) (35,735,338) ----- ------------ NET ASSETS .......................................... 100.0% $129,890,611 ===== ============
- ---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 5 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------- Domestic Common Stocks: Semiconductors ................................... 14.3% $ 13,449,620 Banks ............................................ 13.2 12,383,092 Coal ............................................. 11.7 10,933,249 Aerospace & Defense .............................. 6.7 6,284,319 Oil & Gas ........................................ 6.4 6,021,265 Internet ......................................... 6.3 5,873,638 Commercial Services .............................. 6.0 5,646,647 Computers ........................................ 4.4 4,093,376 Home Builders .................................... 4.1 3,883,158 Insurance ........................................ 2.8 2,665,697 Retail ........................................... 2.7 2,546,232 Real Estate Investment Trusts .................... 2.6 2,434,740 Energy & Utilities ............................... 1.9 1,771,022 Industrial ....................................... 1.7 1,621,559 Automobile Manufacturers ......................... 1.7 1,601,724 Apparel .......................................... 1.7 1,557,288 Leisure Time ..................................... 1.4 1,286,248 Healthcare - Products ............................ 1.4 1,263,307 Building Materials ............................... 1.3 1,259,523 Chemicals ........................................ 1.2 1,147,800 Software ......................................... 1.1 1,070,177 Metals Fabricating ............................... 1.1 1,042,638 Automobile Parts & Equipment ..................... 1.1 1,037,331 Airlines ......................................... 1.0 961,807 Healthcare - Services ............................ 0.7 639,140 Food ............................................. 0.7 625,562 Transportation ................................... 0.6 537,128 Savings & Loans .................................. 0.5 439,174 Real Estate ...................................... 0.4 374,136 Electronics ...................................... 0.1 122,855 Machinery - Diversified .......................... 0.0 13,078 Exchange Traded Fund ................................ 2.7 2,566,065 Corporate Bonds ..................................... 0.0 19,978 Securities Lending Collateral ....................... 28.8 27,000,201 Liabilities in Excess of Other Liabilities .......... (32.3) (30,329,059) ----- ------------ NET ASSETS .......................................... 100.0% $ 93,843,715 ===== ============
- ---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 6 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
SHARES VALUE ------------- --------------- DOMESTIC COMMON STOCKS -- 95.0% AEROSPACE & DEFENSE -- 2.2% Boeing Co. (The) ............................. 45,500 $ 2,873,780 --------------- AUTOMOBILE MANUFACTURERS -- 1.8% Navistar International Corp. * ............... 59,316 2,322,815 --------------- AUTOMOBILE PARTS & EQUIPMENT -- 2.9% Magna International, Inc., Class A ........... 66,615 3,796,389 --------------- BANKS -- 15.5% Bank of America Corp. ........................ 364,025 6,064,657 Citigroup, Inc. * ............................ 389,400 1,323,960 Regions Financial Corp. (a) .................. 741,010 5,001,818 Suntrust Banks, Inc. ......................... 62,000 1,476,220 Wells Fargo & Co. ............................ 229,195 6,266,191 --------------- 20,132,846 --------------- COAL -- 9.6% Arch Coal, Inc. .............................. 358,845 8,070,424 Consol Energy, Inc. .......................... 88,305 4,447,040 --------------- 12,517,464 --------------- COMPUTERS -- 4.1% Dell, Inc. *(a) .............................. 402,123 5,320,087 --------------- ELECTRONICS -- 3.1% Avnet, Inc. * ................................ 144,265 3,983,157 --------------- ENERGY & UTILITIES -- 6.8% Allegheny Energy, Inc. ....................... 200,115 4,532,605 RRI Energy, Inc. *(a) ........................ 1,020,949 4,339,033 --------------- 8,871,638 --------------- FOOD -- 2.7% Smithfield Foods, Inc. * ..................... 28,225 485,752 Tyson Foods, Inc., Class A (a) ............... 176,614 3,009,503 --------------- 3,495,255 --------------- HEALTH CARE - PRODUCTS -- 0.1% Boston Scientific Corp. * .................... 24,345 188,430 --------------- HEALTH CARE - SERVICES -- 1.2% Brookdale Senior Living, Inc. * .............. 87,110 1,566,238 ---------------
SHARES VALUE ------------- --------------- HOME BUILDERS -- 5.8% NVR, Inc. *(a) ............................... 6,869 $ 4,865,313 Pulte Homes, Inc. *(a) ....................... 243,438 2,636,434 --------------- 7,501,747 --------------- INSURANCE -- 8.6% Allstate Corp., (The) (a) .................... 106,830 3,338,437 Assured Guaranty, Ltd. (a) ................... 110,241 2,326,085 Brown & Brown, Inc. .......................... 77,210 1,295,584 Fidelity National Financial, Inc., Class A ... 30,676 437,133 Genworth Financial, Inc., Class A * .......... 162,081 2,583,571 RenaissanceRe Holdings, Ltd. ................. 20,640 1,142,630 --------------- 11,123,440 --------------- LEISURE TIME -- 1.2% Carnival Corp. * ............................. 43,655 1,569,834 --------------- LIFE & HEALTH INSURANCE -- 0.6% AFLAC, Inc. .................................. 14,525 718,261 --------------- MEDIA -- 1.5% Liberty Media Corp., Series A * .............. 57,447 1,944,006 --------------- OIL & GAS -- 13.5% Chesapeake Energy Corp. (a) .................. 322,416 8,566,593 EQT Corp. .................................... 91,871 4,020,275 Forest Oil Corp. *(a) ........................ 184,466 4,999,029 --------------- 17,585,897 --------------- REAL ESTATE INVESTMENT TRUSTS -- 5.2% Annaly Capital Management, Inc. .............. 241,098 4,431,381 MFA Financial, Inc. .......................... 115,240 834,338 Redwood Trust, Inc. .......................... 102,977 1,467,422 --------------- 6,733,141 --------------- RETAIL -- 1.9% Best Buy Co, Inc. (a) ........................ 24,050 877,825 J.C. Penney Co., Inc. ........................ 55,121 1,520,237 --------------- 2,398,062 ---------------
The accompanying notes are an integral part of the financial statements. 7 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
SHARES VALUE ------------- --------------- SEMICONDUCTORS -- 6.7% ASML Holding N.V ............................. 63,500 $ 1,957,705 International Rectifier Corp. * .............. 227,723 4,606,836 Lam Research Corp. * ......................... 64,275 2,179,565 --------------- 8,744,106 --------------- TOTAL DOMESTIC COMMON STOCKS (Cost $106,404,077) .......................... 123,386,593 --------------- EXCHANGE TRADED FUND -- 3.6% FINANCE -- 3.6% iShares Russell 1000 Value Index Fund (a) ............................ 81,175 4,665,939 --------------- TOTAL EXCHANGE TRADED FUND (Cost $4,565,784) ...................... 4,665,939 ---------------
SHARES VALUE ------------- --------------- SECURITIES LENDING COLLATERAL -- 28.9% Institutional Money Market Trust ............. 37,573,417 $ 37,573,417 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $37,573,417) ..................... 37,573,417 --------------- TOTAL INVESTMENTS -- 127.5% (Cost $148,543,278) ....................... 165,625,949 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (27.5)% ......................... (35,735,338) --------------- NET ASSETS -- 100.0% ......................... $ 129,890,611 ===============
* Non-income producing. (a) -- All or a portion of the security is on loan. (see note 7) The following is a summary of inputs used, as of February 28, 2010, in valuing the Fund's investments carried at market value (See Note 1 to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- ------------ ----------- ------------ Domestic Common Stocks* ......... $123,386,593 $123,386,593 $-- $-- Exchange Traded Fund ............ 4,665,939 4,665,939 -- -- Securities Lending Collateral ... 35,573,417 35,573,417 -- -- ------------ ------------ --- --- Total ........................... $165,625,949 $165,625,949 -- -- ============ ============ === ===
* Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 8 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED)
SHARES VALUE ------------- --------------- DOMESTIC COMMON STOCKS -- 100.8% AEROSPACE & DEFENSE -- 6.7% AAR Corp. * (a) .............................. 166,425 $ 3,774,519 BE Aerospace, Inc. * ......................... 68,070 1,763,013 Triumph Group, Inc. .......................... 14,268 746,787 --------------- 6,284,319 --------------- AIRLINES -- 1.0% AirTran Holdings, Inc. * (a) ................. 199,545 961,807 --------------- APPAREL -- 1.7% Barry (R.G.) Corp. ........................... 125,059 1,211,822 Liz Claiborne, Inc. * (a) .................... 49,995 345,466 --------------- 1,557,288 --------------- AUTOMOBILE MANUFACTURERS -- 1.7% Wabash National Corp. * ...................... 544,804 1,601,724 --------------- AUTOMOBILE PARTS & EQUIPMENT -- 1.1% American Axle & Manufacturing Holdings, Inc. * .................................... 26,299 257,993 Magna International, Inc., Class A ........... 13,675 779,338 --------------- 1,037,331 --------------- BANKS -- 13.2% Associated Banc-Corp ......................... 24,840 320,684 Boston Private Financial Holdings, Inc. ...... 1,828 12,522 Cathay General Bancorp (a) ................... 99,060 963,854 Citizens Republic Bancorp, Inc. * ............ 1,969,921 1,388,794 First BanCorp. (a) ........................... 952,262 2,018,796 MainSource Financial Group, Inc. ............. 27,726 177,169 Regions Financial Corp. (a) .................. 383,335 2,587,511 Sandy Spring Bancorp, Inc. ................... 22,617 319,804 South Financial Group, Inc. (The) (a) ........ 196,176 111,820 Susquehanna Bancshares, Inc. (a) ............. 374,945 3,130,791 Synovus Financial Corp. ...................... 312,400 890,340 Wilmington Trust Corp. (a) ................... 31,970 461,007 --------------- 12,383,092 --------------- BUILDING MATERIALS -- 1.3% Builders FirstSource, Inc. * (a) ............. 399,091 1,197,273 Louisiana-Pacific Corp. * .................... 8,180 62,250 --------------- 1,259,523 ---------------
SHARES VALUE ------------- --------------- CHEMICALS -- 1.2% A. Schulman, Inc. ............................ 25,981 $ 612,112 Kraton Performance Polymers, Inc. * .......... 39,710 535,688 --------------- 1,147,800 --------------- COAL -- 11.7% Arch Coal, Inc. .............................. 267,935 6,025,858 Cloud Peak Energy, Inc. * .................... 35,410 538,586 Massey Energy Co. ............................ 101,435 4,368,805 --------------- 10,933,249 --------------- COMMERCIAL SERVICES -- 6.0% Administaff, Inc. ............................ 55,356 997,515 Aegean Marine Petroleum Network, Inc. ........ 85,093 2,438,765 Hudson Highland Group, Inc. * ................ 506,965 2,210,367 --------------- 5,646,647 --------------- COMPUTERS -- 4.4% Insight Enterprises, Inc. * .................. 123,960 1,585,448 Ness Technologies, Inc. * .................... 208,029 1,185,765 Xyratex Ltd. * ............................... 100,088 1,322,163 --------------- 4,093,376 --------------- ELECTRONICS -- 0.1% Arrow Electronics, Inc. * .................... 4,355 122,855 --------------- ENERGY & UTILITIES -- 1.9% RRI Energy, Inc. * (a) ....................... 416,711 1,771,022 --------------- FOOD -- 0.7% Sanderson Farms, Inc. (a) .................... 12,777 625,562 --------------- HEALTHCARE - PRODUCTS -- 1.4% Orthofix International N.V. * ................ 37,058 1,263,307 --------------- HEALTHCARE - SERVICES -- 0.7% Emeritus Corp. * (a) ......................... 36,439 639,140 --------------- HOME BUILDERS -- 4.1% Brookfield Homes Corp. * ..................... 6,984 53,148 KB HOME ...................................... 39,780 647,618 NVR, Inc. * (a) .............................. 4,493 3,182,392 --------------- 3,883,158 ---------------
The accompanying notes are an integral part of the financial statements. 9 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
SHARES VALUE ------------- --------------- INDUSTRIAL -- 1.7% FreightCar America, Inc. ..................... 76,597 $ 1,621,559 --------------- INSURANCE -- 2.8% Genworth Financial, Inc., Class A * .......... 87,085 1,388,135 Stewart Information Services Corp. ........... 90,865 1,277,562 --------------- 2,665,697 --------------- INTERNET -- 6.3% Internet Capital Group, Inc. * ............... 256,920 1,747,056 ModusLink Global Solutions, Inc. * ........... 293,460 2,905,254 Openwave Systems, Inc. * ..................... 471,555 1,221,328 --------------- 5,873,638 --------------- LEISURE TIME -- 1.4% Brunswick Corp. (a) .......................... 111,460 1,286,248 --------------- MACHINERY - DIVERSIFIED -- 0.0% Flow International Corp. * ................... 4,049 13,078 --------------- METALS FABRICATING -- 1.1% RTI International Metals, Inc. * ............. 43,389 1,042,638 --------------- OIL & GAS -- 6.4% Goodrich Petroleum Corp. * ................... 27,014 520,560 SandRidge Energy, Inc. * (a) ................. 692,784 5,500,705 --------------- 6,021,265 --------------- REAL ESTATE -- 0.4% MI Developments, Inc., Class A ............... 10,905 136,094 Thomas Properties Group, Inc. ................ 87,195 238,042 --------------- 374,136 --------------- REAL ESTATE INVESTMENT TRUSTS -- 2.6% Associated Estates Realty Corp. .............. 14,300 177,034 Redwood Trust, Inc. .......................... 92,270 1,314,848 Winthrop Realty Trust ........................ 79,432 942,858 --------------- 2,434,740 --------------- RETAIL -- 2.7% AC Moore Arts & Crafts, Inc. * ............... 205,414 597,755 MarineMax, Inc. * ............................ 146,554 1,550,541 Pacific Sunwear of California, Inc. * (a) .... 88,825 397,936 --------------- 2,546,232 ---------------
SHARES VALUE ------------- --------------- SAVINGS & LOANS -- 0.5% United Western Bancorp, Inc. ................. 180,730 $ 439,174 --------------- SEMICONDUCTORS -- 14.3% Alliance Semiconductor Corp. * ............... 586,665 88,000 ASM International N.V. * ..................... 18,389 431,590 Atmi, Inc. * ................................ 87,215 1,468,701 Axcelis Technologies, Inc. * ................. 2,437,276 4,021,505 BE Semiconductor Industries N.V. * ........... 352,388 1,451,839 Entegris, Inc. * (a) ......................... 811,047 3,633,491 International Rectifier Corp. * .............. 77,615 1,570,152 Lam Research Corp. * ......................... 11,520 390,643 Photronics, Inc. * ........................... 89,477 393,699 --------------- 13,449,620 --------------- SOFTWARE -- 1.1% Take-Two Interactive Software, Inc. * ........ 111,245 1,070,177 --------------- TRANSPORTATION -- 0.6% Atlas Air Worldwide Holdings, Inc. * ......... 11,915 537,128 --------------- TOTAL DOMESTIC COMMON STOCKS (Cost $64,377,249) ........................ 94,586,530 --------------- EXCHANGE TRADED FUND -- 2.7% FINANCE -- 2.7% iShares Russell 2000 Value Index Fund ........ 43,500 2,566,065 --------------- TOTAL EXCHANGE TRADED FUND (Cost $2,488,261) ...................... 2,566,065 --------------- SECURITIES LENDING COLLATERAL -- 28.8% Institutional Money Market Trust ............. 27,000,201 27,000,201 --------------- TOTAL SECURITIES LENDING COLLATERAL (Cost $27,000,201) ..................... 27,000,201 ---------------
The accompanying notes are an integral part of the financial statements. 10 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
PAR (000) VALUE ------------- --------------- CORPORATE BONDS -- 0.0% LandAmerica Financial Group, Inc. CONV ### + 3.25%, 05/15/34 $ 148 $ 19,978 --------------- TOTAL CORPORATE BONDS (Cost $27,925) 19,978 --------------- TOTAL INVESTMENTS -- 132.3% (Cost $93,893,636) 124,172,774 --------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (32.3)% (30,329,059) --------------- NET ASSETS -- 100.0% $ 93,843,715 ===============
* Non-income producing (a) -- All or a portion of the security is on loan. (see note 7) ### -- Security was purchased pursuant to Rule 144A under Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2010, this security amounted to 0.00% of net assets. + Security in default. CONV Convertible The following is a summary of inputs used, as of February 28, 2010, in valuing the Fund's investments carried at market value (See Note 1 to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICE INPUTS INPUTS ----------------- ------------ ----------- ------------ Domestic Common Stocks* $ 94,586,530 $ 94,586,530 $ -- $-- Corporate Bonds 19,978 -- 19,978 -- Exchange Traded Fund 2,566,065 2,566,065 -- -- Securities Lending Collateral 27,000,201 27,000,201 -- -- ------------ ------------ ------- --- Total $124,172,774 $124,152,796 $19,978 $-- ============ ============ ======= ===
* Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 11 THE SCHNEIDER FUNDS STATEMENTS OF ASSETS & LIABILITIES FEBRUARY 28, 2010 (UNAUDITED)
SCHNEIDER SCHNEIDER SMALL CAP VALUE FUND VALUE FUND ------------- ------------ ASSETS Investments, at value +### ................................. $ 165,625,949 $124,172,774 Cash ....................................................... 1,860,775 -- Receivables Investments sold ........................................ 1,851,641 8,053,177 Capital shares sold ..................................... 29,215 268,354 Dividends and interest .................................. 89,825 49,656 Prepaid expenses and other assets ............................. 20,000 19,329 ------------- ------------ Total assets ......................................... 169,477,405 132,563,290 ------------- ------------ LIABILITIES Cash overdraft ............................................. -- 1,912,889 Payables Securities lending collateral ........................... 37,573,417 27,000,201 Capital shares redeemed ................................. 205,877 9,671,685 Investments purchased ................................... 1,632,168 -- Investment adviser ...................................... 53,735 53,051 Other accrued expenses and liabilities ..................... 121,597 81,749 ------------- ------------ Total liabilities .................................... 39,586,794 38,719,575 ------------- ------------ Net Assets ................................................. $ 129,890,611 $ 93,843,715 ============= ============ NET ASSETS CONSIST OF Par value .................................................. 10,006 6,584 Paid-in capital ............................................ 265,229,205 103,727,617 Undistributed/accumulated net investment income/loss ............................................. 387,278 (244,404) Accumulated net realized loss from investments ............. (152,818,549) (39,925,220) Net unrealized appreciation on investments ................. 17,082,671 30,279,138 ------------- ------------ Net Assets ........................................... $ 129,890,611 $ 93,843,715 ============= ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ...................................... 10,005,560 6,583,603 Net asset value, offering and redemption price per share ... $ 12.98 $ 14.25 ============= ============ + Investment in securities, at cost ........................ $ 148,543,278 $ 93,893,636 ============= ============ ### Includes market value of securities on loan ............ $ 30,680,145 $ 24,731,826 ============= ============
The accompanying notes are an integral part of the financial statements. 12 THE SCHNEIDER FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED)
SCHNEIDER SCHNEIDER SMALL CAP VALUE FUND VALUE FUND ----------- ----------- INVESTMENT INCOME Dividends+ .............................................. $ 931,334 $ 349,926 Securities Lending Income ............................... 1,581 6,417 Interest ................................................ 272 485 ----------- ----------- Total investment income .............................. 933,187 356,828 ----------- ----------- EXPENSES Advisory fees ........................................... 424,533 522,807 Administration and accounting fees ...................... 90,175 81,866 Transfer agent fees ..................................... 32,977 32,253 Custodian fees .......................................... 23,911 29,660 Professional fees ....................................... 24,480 24,505 Directors' and officers' fees ........................... 17,932 17,269 Printing and shareholder reporting fees ................. 17,613 12,624 Registration and filing fees ............................ 12,397 12,397 Insurance fees .......................................... 4,663 4,365 Other expenses .......................................... 1,361 309 ----------- ----------- Total expenses before waivers and reimbursements ..... 650,042 738,055 Less: waivers and reimbursements ..................... (104,214) (136,827) ----------- ----------- Net expenses after waivers and reimbursements ........ 545,828 601,228 ----------- ----------- Net investment income/(loss) ............................ 387,359 (244,400) ----------- ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments .......................................... 660,908 10,285,948 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments .......................................... 10,145,881 5,699,867 ----------- ----------- Net realized and unrealized gain on investments ......... 10,806,789 15,985,815 ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $11,194,148 $15,741,415 =========== =========== + Net of foreign withholding taxes of ................ $ -- $ (470) =========== ===========
The accompanying notes are an integral part of the financial statements. 13 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ................................ $ 387,359 $ 2,533,628 Net realized gain/(loss) from investments ............ 660,908 (97,077,057) Net change in unrealized appreciation from investments .................................. 10,145,881 34,119,050 ------------ ------------- Net increase/(decrease) in net assets resulting from operations ...................................... 11,194,148 (60,424,379) ------------ ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ................................ (2,533,672) (4,861,935) ------------ ------------- Net decrease in net assets from dividends and distributions to shareholders ........................ (2,533,672) (4,861,935) ------------ ------------- CAPITAL TRANSACTIONS: Proceeds from shares sold ............................ 16,540,251 19,397,418 Reinvestment of distributions ........................ 2,086,849 3,890,232 Redemption fees* ..................................... 692 15,540 Shares redeemed ...................................... (15,864,663) (64,586,179) ------------ ------------- Net increase/(decrease) in net assets from capital share transactions ................................... 2,763,129 (41,282,989) ------------ ------------- Total increase/(decrease) in net assets ................. 11,423,605 (106,569,303) ------------ ------------- NET ASSETS: Beginning of period .................................. 118,467,006 225,036,309 ------------ ------------- End of period ........................................ $129,890,611 $ 118,467,006 ============ ============= Undistributed net investment income, end of period ... $ 387,278 $ 2,533,591 ============ ============= SHARE TRANSACTIONS: Shares sold .......................................... 1,309,561 1,955,016 Shares reinvested .................................... 175,365 456,600 Shares redeemed ...................................... (1,240,980) (6,393,319) ============ ============= Total share transactions ............................. 243,946 (3,981,703) ============ =============
* There is a 1.00% redemption fee on shares redeemed which have been held less than 90 days in the Schneider Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. The accompanying notes are an integral part of the financial statements. 14 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2010 ENDED (UNAUDITED) AUGUST 31, 2009 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ......................... $ (244,400) $ 816,361 Net realized gain/(loss) from investments ............ 10,285,948 (39,533,004) Net change in unrealized appreciation from investments .................................. 5,699,867 39,577,628 ------------ ------------ Net increase in net assets resulting from operations ...................................... 15,741,415 860,985 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ................................ (543,270) (1,113,054) Net realized capital gains ........................... -- (12,861) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ........................ (543,270) (1,125,915) ------------ ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold ............................ 7,041,450 50,730,024 Reinvestment of distributions ........................ 446,678 979,117 Redemption fees* ..................................... 36,651 569,400 Shares redeemed ...................................... (27,161,829) (45,421,894) ------------ ------------ Net increase/(decrease) in net assets from capital share transactions ................................... (19,637,050) 6,856,647 ------------ ------------ Total increase/(decrease) in net assets ................. (4,438,905) 6,591,717 ------------ ------------ NET ASSETS: Beginning of period .................................. 98,282,620 91,690,903 ------------ ------------ End of period ........................................ $ 93,843,715 $ 98,282,620 ============ ============ Undistributed net investment income, end of period ... $ (244,404) $ 543,266 ============ ============ SHARE TRANSACTIONS: Shares sold .......................................... 515,700 5,988,310 Shares reinvested .................................... 35,507 125,207 Shares redeemed ...................................... (1,929,027) (4,456,499) ------------ ------------ Total share transactions ............................. (1,377,820) 1,657,018 ============ ============
* There is a 1.75% redemption fee on shares redeemed which have been held less than 90 days in the Schneider Value Small Cap Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. The accompanying notes are an integral part of the financial statements. 15 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31, FEBRUARY 28, 2010 --------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 ----------------- -------- -------- -------- -------- ------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ............ $ 12.14 $ 16.37 $ 23.13 $ 21.16 $ 20.55 $ 18.22 -------- -------- -------- -------- -------- ------- Net investment income ........................... 0.05 0.34 0.37 0.14 0.10 0.07 Net realized and unrealized gain/(loss) from investments and foreign currency transactions ................................. 1.06 (4.14) (5.89) 2.99 1.99 3.40 -------- -------- -------- -------- -------- ------- Net increase/(decrease) in net assets resulting from operations .................... 1.11 (3.80) (5.52) 3.13 2.09 3.47 -------- -------- -------- -------- -------- ------- Dividends and distributions to shareholders from: Net investment income ........................... (0.27) (0.43) (0.14) (0.08) (0.08) (0.05) Net realized capital gains ...................... -- -- (1.10) (1.08) (1.40) (1.09) -------- -------- -------- -------- -------- ------- Total dividends and distributions to shareholders ................................. (0.27) (0.43) (1.24) (1.16) (1.48) (1.14) -------- -------- -------- -------- -------- ------- Redemption fees+ ................................ -- -- -- -- -- -- -------- -------- -------- -------- -------- ------- Net asset value, end of period .................. $ 12.98 $ 12.14 $ 16.37 $ 23.13 $ 21.16 $ 20.55 ======== ======== ======== ======== ======== ======= Total investment return(1) ...................... 9.32%(2) (22.06)% (25.05)% 14.88% 10.85% 19.37% ======== ======== ======== ======== ======== ======= RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ....... $129,891 $118,467 $225,036 $364,793 $139,288 $61,146 Ratio of expenses to average net assets(3) ...... 0.90%(4) 0.88% 0.85% 0.85% 0.85% 0.85% Ratio of expenses to average net assets without waivers and expense reimbursements ............................... 1.07%(4) 1.14% 1.09% 1.12% 1.27% 1.38% Ratio of net investment income to average net assets(3) ................................ 0.64%(4) 2.24% 1.61% 0.77% 0.69% 0.41% Portfolio turnover rate ......................... 45.31%(2) 107.13% 101.98% 131.75% 104.92% 76.66%
- ---------- + Amount is less than $0.005 per share. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not Annualized. (3) Reflects waivers and reimbursements. (4) Annualized. The accompanying notes are an integral part of the financial statements. 16 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31, FEBRUARY 28, 2010 --------------------------------------------------- (UNAUDITED) 2009 2008 2007 2006 2005 ----------------- -------- -------- -------- -------- ------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ............ $ 12.34 $ 14.54 $ 19.06 $ 21.96 $ 24.94 $ 29.09 ------- ------- ------- -------- -------- ------- Net investment income/(loss) .................... (0.04) 0.12 0.16 0.43 0.05 (0.10) Net realized and unrealized gain/(loss) on investments and foreign currency transactions ................................. 2.01 (2.20) (3.81) 0.15 1.66 8.01 ------- ------- ------- -------- -------- ------- Net increase/(decrease) in net assets resulting from operations .................... 1.97 (2.08) (3.65) 0.58 1.71 7.91 ------- ------- ------- -------- -------- ------- Dividends and distributions to shareholders from: Net investment income ........................... (0.07) (0.18) (0.32) (0.20) -- -- Net realized capital gains ...................... -- --+ (0.55) (3.28) (4.69) (12.06) ------- ------- ------- -------- -------- ------- Total dividends and distributions to shareholders ................................. (0.07) (0.18) (0.87) (3.48) (4.69) (12.06) ------- ------- ------- -------- -------- ------- Redemption fees ................................. 0.01 0.06 --+ --+ --+ --+ ------- ------- ------- -------- -------- ------- Net asset value, end of period .................. $ 14.25 $ 12.34 $ 14.54 $ 19.06 $ 21.96 $ 24.94 ======= ======= ======= ======== ======== ======= Total investment return(1) ...................... 16.12%(2) (13.20)% (19.78)% 0.72% 7.79% 31.57% ======= ======= ======= ======== ======== ======= RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ....... $93,844 $98,283 $91,691 $101,052 $105,092 $55,163 Ratio of expenses to average net assets(3) ...... 1.15%(4) 1.14% 1.10% 1.10% 1.10% 1.10% Ratio of expenses to average net assets without waivers and expense reimbursements ............................... 1.41%(4) 1.42% 1.49% 1.50% 1.56% 1.71% Ratio of net investment income to average net assets(3) ................................ (0.46)%(4) 0.97% 0.92% 1.81% 0.29% (0.41)% Portfolio turnover rate ......................... 36.49%(2) 122.36% 116.34% 75.21% 91.45% 68.87%
- ---------- + Amount is less than $0.005 per share. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not Annualized. (3) Reflects waivers and reimbursements. (4) Annualized. The accompanying notes are an integral part of the financial statements. 17 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Schneider Value Fund (the "Value Fund") and the Schneider Small Cap Value Fund (the "Small Cap Value Fund") (each a "Fund," collectively the "Funds"), which commenced investment operations on September 30, 2002 and September 2, 1998, respectively. As of the date hereof, each Fund offers Institutional Class shares. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of Common Stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families". PORTFOLIO VALUATION -- Each Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed Income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described in the hierarchy below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) 18 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of February 28, 2010 is included with each Fund's Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds. FOREIGN CURRENCY TRANSLATION -- Foreign securities and other foreign assets and liabilities are valued using the foreign currency exchange rate effective at the end of the reporting period. The books and records of the Funds are maintained in U.S. dollars. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement dates of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates, between the date income is accrued and paid, is treated as a gain or loss on foreign currency. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. 19 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Schneider Capital Management Company ("SCM" or the "Adviser") serves as each Fund's investment adviser. For its advisory services, SCM is entitled to receive 0.70% of the Value Fund's average daily net assets and 1.00% of the Small Cap Value Fund's average daily net assets, computed daily and payable monthly. The Adviser contractually agreed to limit the Value Fund's and the Small Cap Value Fund's total operating expenses to the extent that such expenses exceeded 0.90% and 1.15%, respectively, of the Fund's average daily net assets (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes). As necessary, this limitation is effected in waivers of advisory fees and reimbursements of other Fund expenses. For the six months ended February 28, 2010, investment advisory fees and waivers of expenses were as follows:
GROSS ADVISORY FEES WAIVERS NET ADVISORY FEES ------------------- --------- ----------------- Schneider Value Fund $424,533 $(104,214) $320,319 Schneider Small Cap Value Fund 522,807 (136,827) 385,980
The Funds will not pay SCM at a later time for any amounts it may waive or any amounts that SCM has assumed. PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Funds. For providing administration and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, and is subject to certain minimum monthly fees. PNC voluntarily agreed to waive $7,000 annually of its administration and accounting services fees for the Small Cap Value Fund. The waiver may end at any time. Included in the administration and accounting services fees and expenses, are fees for providing regulatory administration services to RBB. For providing these services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company. In addition, PNC serves as the Funds' transfer and dividend disbursing agent. For providing transfer agent services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, subject to certain minimum monthly fees. For providing custodian services to the Funds, PFPC Trust Company, an affiliate of PNC, is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily gross assets, subject to certain minimum monthly fees. PFPC Distributors, Inc., an affiliate of PNC, serves as the principal underwriter and distributor of the Funds' shares pursuant to a Distribution Agreement with RBB. 20 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2010, was $15,545 Certain employees of PNC are Officers of the Company. They are not compensated by the Funds or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
PURCHASES SALES ----------- ----------- Schneider Value Fund $53,934,951 $55,653,341 Schneider Small Cap Value Fund 36,330,317 51,232,228
5. CAPITAL SHARE TRANSACTIONS As of February 28, 2010, the following shareholders held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many individual shareholders. Schneider Value Fund (1 shareholder) 20% Schneider Small Cap Value Fund (2 shareholders) 31%
6. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2006-2009) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION DEPRECIATION ------------ ------------ ------------ -------------- Schneider Value Fund $148,543,278 $24,575,347 $(7,492,676) $17,082,671 Schneider Small Cap Value Fund 93,893,636 34,452,189 (4,173,051) 30,279,138
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. 21 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) As of August 31, 2009, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED ORDINARY UNDISTRIBUTED INCOME LONG-TERM GAINS -------------- --------------- Schneider Value Fund $2,533,591 $-- Schneider Small Cap Value Fund 543,266 --
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the last fiscal year ended August 31, 2009 was as follows:
ORDINARY LONG-TERM INCOME GAINS TOTAL ---------- --------- ---------- Schneider Value Fund 2009 $4,861,935 $ -- $4,861,935 Schneider Small Cap Value Fund 2009 $1,113,058 $12,857 $1,125,915
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2009, the Schneider Value Fund and the Schneider Small Cap Value Fund had capital loss carryforwards of $87,755,969 and $12,220,752, respectively, that will expire as follows:
AUGUST 31, 2016 AUGUST 31, 2017 --------------- ---------------- Schneider Value Fund $11,810,397 $75,945,572 Schneider Small Cap Value Fund -- 12,220,752
During the fiscal year ended August 31, 2009, the Funds' did not utilize any of their capital loss carryforwards. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2009, the Schneider Value Fund and the Schneider Small Cap Value Fund incurred post-October capital losses of $45,840,052 and $32,241,568, respectively. 7. SECURITIES LENDING The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive collateral equal to at least 102% of the current market value of the loaned securities, as marked to market each day that the NAV of a Fund is determined. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. As of February 28, 2010, the market value of the securities on loan and collateral was as follows: 22 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED)
INCOME RECEIVED MARKET VALUE OF MARKET VALUE FROM SECURITIES SECURITIES LOANED OF COLLATERAL LENDING ----------------- ------------- --------------- Schneider Value Fund $30,680,145 $37,573,417 $1,581 Schneider Small Cap Value Fund 24,731,826 27,000,201 6,417
8. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and have determined that there was the following subsequent event: On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 23 THE SCHNEIDER FUNDS OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 520-3277 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 24 [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] INVESTMENT ADVISER Schneider Capital Management 460 E. Swedesford Road Suite 1080 Wayne, PA 19087 ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 PRINCIPAL UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Blvd. Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Suite 2000 Philadelphia, PA 19103-6996 THE SCHNEIDER FUNDS OF THE RBB FUND, INC. SCHNEIDER VALUE FUND SCHNEIDER SMALL CAP VALUE FUND SEMI-ANNUAL REPORT FEBRUARY 28, 2010 (UNAUDITED) (SCHNEIDER CAPITAL MANAGEMENT LOGO) This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds. SIX MONTHS ENDED FEBRUARY 28, 2010 TO: SHAREHOLDERS OF SENBANC FUND The Nasdaq Bank Index dropped by 16.30% in 2009, while the S&P 500 Index rose 26.47%. This is the widest margin between these two indexes since the lows of 1999. Senbanc Fund was down by 0.41% in 2009; its recovery from the March 2009 lows was one fourth greater than the S&P 500, which underscores the severity of decline for banks to that March low, compared with the general market. Bank failures in 2009 occurred at only one eighth of the rate in the Real Estate-related recession of 1989/1990. Fewer bank failures is testament to the earnings strength of banks coming into this current period, and reflects higher margins in response to competitive pressures. Those banks not having taken full advantage of opportunities to compete, did not build the equity strength necessary to sustain them in a negative leverage environment, and did not build an earnings stream sufficient to fund higher Reserve levels in the face of declining asset values. Those banks failed. Strongly capitalized, profitable banks diverted pre-tax earnings to Reserves, and were able to deploy capital to acquire problem assets at degraded prices. Acquisitions that would normally entail exchanges of stock with disparate premiums to the advantage of the acquirer would not be accretive in the current pricing environment. Absence of reliable operating income reports in the face of Reserve buildup, and the collapse of price/earnings multiples to a low, narrow band has limited the use of stock as currency for acquisitions. Relative performance of Senbanc Fund in 2009 reflects the quality of its underlying portfolio. When the perception of bank stocks is universally negative, credit quality of individual banks is just about the only mitigating effect on valuation. There has yet to be substantial separation for bank valuations, based on performance metrics. Reported earnings for the typical bank have been impacted by the need to build Reserves for Loan Losses as non-performing asset levels rose. In the event of overall problem asset stabilization in 2010, a bank has no option but to cease adding to its Reserve. Pre-tax operating income otherwise intended for Reserves must flow to the bottom line. If the average value of underlying assets increase or are sold at a price in excess of the written down value, then amounts previously reserved for any specific asset would be required to flow back into pre-tax earnings. In this event, even a moderate increase in problem asset valuation or disposal could result in quite large increases in reported earnings for banks. Adding in returns to profitability of distressed asset purchases by the largest banks, we anticipate multiple quarters of increasing earnings for our portfolio of banks. Throughout 2010, we anticipate strong earnings comparisons for our portfolio of banks, versus the previous year's quarters. The mechanism should be moderate increases in overall lending, wider spreads as short term interest rates edge up, and a less urgent need to divert bank pre-tax income to Reserves as underlying asset values improve. We anticipate increasing interest in banks and in Senbanc Fund as the weight of apprehension surrounding bank stock potential is lifted. Very truly yours, /s/ Alan F. Morel Alan F. Morel Hilliard Lyons Research Advisors Portfolio Manager Senbanc Fund 1 SENBANC FUND PERFORMANCE DATA FEBRUARY 28, 2010 (UNAUDITED)
TOTAL RETURNS (%) SIX 1 3 YEAR 5 YEAR 10 YEAR AS OF 2/28/10 MONTHS YEAR ANNUALIZED ANNUALIZED ANNUALIZED - ----------------- ------ ----- ---------- ---------- ---------- Senbanc Fund -1.76 48.26 -25.87 -15.29 0.85 Inception Date - 7/8/99
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-800-444-1854 OR VISIT OUR WEB SITE AT WWW.HILLIARD.COM. THE FUND'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 2.26%. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS. RETURNS COULD HAVE BEEN LOWER IF THESE WAIVERS WERE NOT IN EFFECT. THE MAXIMUM SALES CHARGE, AS STATED IN THE PROSPECTUS, IS 2.25%. THE ADVISER HAS AGREED TO VOLUNTARILY WAIVE FEES AND/OR REIMBURSE EXPENSES TO THE EXTENT THAT THE FUND'S TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED 1.75% OF THE FUND'S AVERAGE DAILY NET ASSETS. THE ADVISER MAY TERMINATE THE VOLUNTARY FEE WAIVERS AND REIMBURSEMENTS UPON NOTICE TO THE COMPANY'S BOARD OF DIRECTORS. THE PERFORMANCE IN THE ABOVE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR REDEMPTION OF FUND SHARES. SENBANC FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2010 (UNAUDITED)
% of Industry Classification Net Assets - ----------------------- ---------- Savings, Credit & Other Financial Institutions ... 95.0% State & National Banks ........................... 4.8 ----- Total Investments ................................ 99.8 Other Assets in Excess of Liabilities ............ 0.2 ----- Net Assets ....................................... 100.0% =====
Portfolio holdings are subject to change at any time. 2 SENBANC FUND FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2009 to February 28, 2010, and held for the entire period. ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Ending Account Value Value Expenses Paid 9/01/09 2/28/10 During Period* ----------------- -------------- -------------- Actual ................................. $1,000.00 $ 982.40 $8.60 Hypothetical (5% return before expenses) ........................... 1,000.00 1,016.01 8.79
- ---------- * Expenses are equal to the Fund's annualized six-month expense ratio of 1.75%, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund's ending account value is based on the actual six-month total return of -1.76%. 3 SENBANC FUND SCHEDULE OF INVESTMENTS FEBRUARY 28, 2010 (UNAUDITED) COMMON STOCK -- 99.8%
SHARES DESCRIPTION VALUE - ------- ----------- ----------- SAVINGS, CREDIT & OTHER FINANCIAL INSTITUTIONS -- 95.0% 15,655 American River Bankshares ............................. $ 122,892 26,900 Associated Banc-Corp. ................................. 347,279 116,400 Bank of America Corp. ................................. 1,939,224 42,478 C&F Financial Corp. ................................... 848,710 87,500 Capital Bank Corp. .................................... 276,500 52,398 Centrue Financial Corp. ............................... 197,016 72,800 Citizens Republic Bancorp, Inc.* ...................... 51,324 45,400 CityBank* ............................................. 67,192 35,700 Comerica, Inc. ........................................ 1,288,056 4,630 Crescent Banking Co.* ................................. 2,315 42,600 Financial Institutions, Inc. .......................... 564,024 40,500 First United Corp. .................................... 232,875 87,368 Hampton Roads Bankshares, Inc. ........................ 157,262 202,000 JPMorgan Chase & Co. .................................. 8,477,940 180,400 KeyCorp ............................................... 1,289,860 3,917 MainSource Financial Group, Inc. ...................... 25,030 134,111 National Bankshares, Inc. ............................. 3,633,067 186,199 Northrim BanCorp, Inc. ................................ 2,962,426 276,928 PAB Bankshares, Inc.* ................................. 304,621 15,000 Pacific Capital Bancorp N.A. .......................... 18,450 122,900 Pacific Premier Bancorp, Inc.* ........................ 526,012 25,200 PacWest Bancorp ....................................... 511,560 26,600 Peoples Bancorp of North Carolina, Inc. ............... 144,704 12,000 Peoples Financial Corp. ............................... 188,400 101,094 Premier Financial Bancorp ............................. 769,325 186,800 Regions Financial Corp. ............................... 1,260,900 11,700 Umpqua Holdings Corp. ................................. 146,016 5,472 United Security Bancshares, Inc. ...................... 78,797 ----------- $26,431,777 ===========
See Notes to Financial Statements. 4 SENBANC FUND SCHEDULE OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED)
SHARES DESCRIPTION VALUE - ------- ----------- ----------- STATE & NATIONAL BANKS -- 4.8% 55,899 Bancorp, Inc. (The)* .................................. $ 392,970 40,700 Cascade Financial Corp. ............................... 79,772 11,801 Cowlitz Bancorp* ...................................... 6,609 58,600 First Regional Bancorp* ............................... 1,471 68,200 Rainier Pacific Financial Group, Inc.* ................ 12,481 67,897 Rurban Financial Corp. ................................ 470,526 50,400 Summit Financial Group, Inc. .......................... 207,144 26,100 Synovus Financial Corp. ............................... 74,385 23,700 Yadkin Valley Financial Corp. ......................... 90,297 ----------- 1,335,655 ----------- TOTAL COMMON STOCK (COST $54,393,332) .............. 27,767,432 ----------- TOTAL INVESTMENTS -- 99.8% (COST $54,393,332) ................................. 27,767,432 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% ...... 43,219 ----------- NET ASSETS -- 100% ................................. $27,810,651 ===========
* Non-income producing security. The following is a summary of the inputs used, as of February 28, 2010, in valuing the Fund's investments carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2010 PRICES INPUTS INPUTS ----------------- ----------- ----------- ------------ Investments in Securities* $27,767,432 $27,767,432 $-- $-- =========== =========== === ===
* Please refer to the Schedule of Investments for industry and security type breakouts. See Notes to Financial Statements. 5 SENBANC FUND STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 2010 (UNAUDITED) ASSETS Investments, at value (Cost $54,393,332) .............................. $ 27,767,432 Cash and cash equivalents ............................................. 163,515 Receivables Investment adviser ................................................. 9,779 Capital shares sold ................................................ 5,640 Dividends and interest ............................................. 1,859 Prepaid expenses and other assets ..................................... 14,501 ------------ Total assets .................................................... 27,962,726 ------------ LIABILITIES Payables Capital shares redeemed ............................................ 52,960 Distribution fees .................................................. 26,401 Administration and accounting fees ................................. 18,778 Professional fees .................................................. 16,094 Transfer agent fees ................................................ 12,873 Custodian fees ..................................................... 8,601 Directors' and officers' fees ...................................... 5,655 Other accrued expenses and liabilities ................................ 10,713 ------------ Total liabilities ............................................... 152,075 ------------ Net Assets ............................................................... $ 27,810,651 ============ NET ASSETS CONSIST OF Par value ............................................................. $ 4,908 Paid-in capital ....................................................... 75,358,981 Accumulated net investment loss ....................................... (49,707) Accumulated net realized loss from investments ........................ (20,877,631) Net unrealized depreciation on investments ............................ (26,625,900) ------------ Net Assets ............................................................ $ 27,810,651 ============ Shares outstanding ($0.001 par value, 50,000,000 shares authorized) ... 4,907,856 ------------ Net asset value per share ................................................ $ 5.67(a) ============ Maximum offering price per share (NAV / 1 - 2.25%) ....................... $ 5.80(b) ============
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (b) On sales of $500,000 or more, the offering price is reduced. See Notes to Financial Statements. 6 SENBANC FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2010 (UNAUDITED) INVESTMENT INCOME Dividends ............................................... $ 236,839 Interest ................................................ 81 ----------- Total investment income .............................. 236,920 ----------- EXPENSES Advisory fees ........................................... 86,987 Transfer agent fees ..................................... 62,320 Distribution fees ....................................... 60,731 Administration and accounting fees ...................... 53,507 Professional fees ....................................... 17,482 Printing and shareholder reporting fees ................. 13,700 Directors' and officers' fees ........................... 11,243 Custodian fees .......................................... 10,488 Registration and filing fees ............................ 8,228 Insurance fees .......................................... 395 Other expenses .......................................... 986 ----------- Total expenses before waivers and reimbursements ..... 326,067 Less: waivers and reimbursements ..................... (72,354) ----------- Net expenses after waivers and reimbursements ........ 253,713 ----------- Net investment loss ..................................... (16,793) ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments .......................................... (4,843,754) NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments .......................................... 4,184,394 ----------- Net realized and unrealized loss from investments ....... (659,360) ----------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ (676,153) ===========
See Notes to Financial Statements. 7 SENBANC FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2010 YEAR ENDED (UNAUDITED) AUGUST 31, 2009 ----------------- --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ................................ $ (16,793) $ 464,107 Net realized loss from investments .......................... (4,843,754) (9,750,866) Net change in unrealized appreciation/(depreciation) from investments ......................................... 4,184,394 (4,149,144) ----------- ------------ Net decrease in net assets resulting from operations ........... (676,153) (13,435,903) ----------- ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ....................................... (177,961) (1,363,146) Net realized capital gains .................................. -- (9,202) ----------- ------------ Net decrease in net assets from dividends and distributions to shareholders ............................................. (177,961) (1,372,348) ----------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold ................................... 920,823 1,528,070 Reinvestment of distributions ............................... 165,569 1,273,840 Shares redeemed ............................................. (4,047,179) (8,234,912) ----------- ------------ Net decrease in net assets from capital transactions ........... (2,960,787) (5,433,002) ----------- ------------ Total decrease in net assets ................................... (3,814,901) (20,241,253) NET ASSETS: Beginning of period ......................................... 31,625,552 51,866,805 ----------- ------------ End of period ............................................... $27,810,651 $ 31,625,552 =========== ============ Undistributed/accumulated net investment income (loss), end of period ............................................... $ (49,707) $ 145,047 =========== ============ SHARE TRANSACTIONS: Shares sold ................................................. 161,956 273,976 Shares reinvested ........................................... 31,122 230,768 Shares redeemed ............................................. (726,241) (1,353,080) ----------- ------------ Total share transactions ....................................... (533,163) (848,336) =========== ============
See Notes to Financial Statements. 8 SENBANC FUND FINANCIAL HIGHLIGHTS
FOR THE FOR SIX MONTHS FOR THE FOR THE FOR THE FOR THE THE PERIOD FOR THE ENDED FISCAL YEAR FISCAL YEAR FISCAL YEAR FISCAL YEAR JULY 1, 2005 FISCAL YEAR FEBRUARY 28, ENDED ENDED ENDED ENDED THROUGH ENDED 2010 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, JUNE 30, (UNAUDITED) 2009 2008 2007 2006 2005* 2005 ------------ ----------- ----------- ----------- ----------- ------------ ----------- PER SHARE OPERATING PERFORMANCE Net asset value: Beginning of period $ 5.81 $ 8.25 $ 14.69 $ 16.57 $ 16.27 $ 16.13 $ 16.54 ------- ------- ------- -------- -------- -------- -------- Net investment income/(loss) --**** 0.10 0.39 0.41 0.29 0.03 0.15 Net realized and unrealized gain/(loss) on investments (0.10) (2.30) (5.52) (1.56) 0.44 0.11 0.78 ------- ------- ------- -------- -------- -------- -------- Total from investment operations (0.10) (2.20) (5.13) (1.15) 0.73 0.14 0.93 ------- ------- ------- -------- -------- -------- -------- Less distributions from: Net investment income (0.04) (0.24) (0.61) (0.31) (0.12) -- (0.10) Net realized gain on investments -- --**** (0.70) (0.42) (0.31) -- (1.24) ------- ------- ------- -------- -------- -------- -------- Total distributions (0.04) (0.24) (1.31) (0.73) (0.43) -- (1.34) ------- ------- ------- -------- -------- -------- -------- Net asset value: End of period $ 5.67 $ 5.81 $ 8.25 $ 14.69 $ 16.57 $ 16.27 $ 16.13 ======= ======= ======= ======== ======== ======== ======== Total investment return (1.76)%** (26.47)% (37.08)% (7.47)% 4.52% 0.87%** 5.25% (excludes sales charge) RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) $27,811 $31,626 $51,867 $111,119 $185,593 $230,250 $231,651 Ratio of expenses to average net assets, including waivers 1.75%*** 1.73% 1.75% 1.53% 1.38% 1.43%*** 1.40% Ratio of expenses to average net assets, excluding waivers 2.25%*** 2.26% 1.79% 1.53% 1.38% 1.43%*** 1.40% Ratio of net investment income/ (loss) to average net assets, including waivers (0.11)%*** 1.43% 2.79% 1.84% 1.53% 0.93%*** 0.91% Ratio of net investment income/ (loss) to average net assets, excluding waivers (0.61)%*** 0.90% 2.75% 1.84% 1.53% 0.93%*** 0.91% Portfolio turnover rate 0.00% 3.11% 11.01% 9.74% 7.47% 0.94% 19.90%
- ---------- * As a result of a reorganization that was effective August 31, 2005, the Fund changed its fiscal year end from June 30 to August 31. ** Not annualized. *** Annualized. **** Less than $(0.005) per share. See Notes to Financial Statements. 9 SENBANC FUND NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2010 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has nineteen active investment portfolios, including the Senbanc Fund (the "Fund"). As of the date hereof, the Fund offers one class of shares and is a non-diversified fund. RBB has authorized capital of one hundred billion shares of common stock of which 78.973 billion shares are currently classified into one hundred and twenty-nine classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The active classes have been grouped into separate "families." The Fund commenced operations on July 8, 1999, as a separate portfolio (the "Predecessor Fund") of the Hilliard Lyons Research Trust. After the close of business on August 31, 2005, all of the assets and liabilities of the Predecessor Fund were transferred to the Fund, a newly created portfolio of the Company, that is continuing the business, including carrying forward the financial and performance history, of the Predecessor Fund. PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued under the amortized cost method, which approximates fair value. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) 10 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2010 is included with the Fund's Schedule of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 11 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES Hilliard Lyons Research Advisors (the "Adviser"), a division of J.J.B. Hilliard, W.L. Lyons, LLC, provides management and investment advisory services to the Fund pursuant to an investment advisory agreement with the Company. For its services, the Adviser is paid a monthly fee at the annual rate of 0.60% of the Fund's average daily net assets. The Adviser has voluntarily agreed to limit the Fund's total operating expenses to 1.75%. This limit is calculated daily based on the Fund's average daily net assets. This limitation is effected in waivers of advisory fees and reimbursement of expenses exceeding the advisory fees as necessary. The Adviser may terminate the voluntary limit at any time upon notice to the Company's Board of Directors. PNC Global Investment Servicing (U.S.), Inc. ("PNC"), a member of The PNC Financial Services Group, Inc., serves as administrator for the Fund. For providing administrative and accounting services, PNC is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. Included in the administration and accounting fees shown on the Statement of Operations are fees for providing regulatory administration services to RBB. For providing those services, PNC is entitled to receive compensation as agreed to by the Company and PNC. This fee is allocated to the Fund in proportion to its net assets of the Company. In addition, PNC serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, PNC is entitled to receive a monthly fee, equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. PFPC Trust Company ("PFPC Trust") is a member of The PNC Financial Services Group, Inc. and provides certain custodial services to the Fund. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. PFPC Distributors, Inc. ("PFPC Distributors"), an affiliate of PNC, provides certain administrative services to the Fund. The Board of Directors has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, to allow the Fund to reimburse PFPC Distributors for certain expenses incurred in connection with distribution activities. The Directors have authorized a payment of up to 0.60% of the Fund's average net assets annually to reimburse PFPC Distributors for such expenses. For the six months ended February 28, 2010, PFPC Distributors earned $866 in underwriting concessions. Commissions on sales of $7,277 were paid by the Adviser for the six months ended February 28, 2010. Fund shares are subject to a maximum front-end sales charge of 2.25%. There is no sales charge on share purchases of $1 million or more, however, a 1% contingent deferred sales charge is imposed in the event of redemption within 12 months following any such purchase. 12 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2010, was $3,467. Certain employees of PNC are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2010, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
Investment Securities - ---------------------- Purchases Sales - --------- ---------- $-- $3,210,538
5. FEDERAL INCOME TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2006 - 2009) and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2010, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows: Cost of investments for tax purposes ......... $ 54,393,332 ------------ Gross tax unrealized appreciation ............ $ 1,700,752 Gross tax unrealized depreciation ............ (28,326,652) ------------ Net tax unrealized depreciation on investments ............................... $(26,625,900) ============
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2009, the components of distributable earnings on a tax basis were as follows: Undistributed ordinary income $145,047 Undistributed long-term capital gain -- -------- Total distributable earnings $145,047 ========
13 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2010 (UNAUDITED) The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gains are reported as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the fiscal year ended August 31, 2009 was as follows: Distributions paid from: Ordinary income .......... $1,363,168 Long-term capital gains... 9,180 ---------- $1,372,348 ==========
Dividends paid from short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2009, the Fund had a capital loss carryforward of $14,466,794 that will expire on August 31, 2017. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2009, the Fund deferred post-October capital losses of $1,567,083. 6. INDUSTRY CONCENTRATION RISK Since the Fund's investments are concentrated in the banking industry, as well as certain single large portfolio holdings, they are subject to risks in addition to those that apply to the general equity market. Events may occur that significantly affect the entire banking industry or single security; therefore, the Fund's share value may at times increase or decrease at a faster rate than the share value of a mutual fund with investments in many industries or smaller concentrations in single issuers. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management is currently evaluating the impact ASU No. 2010-06 will have on its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event: 14 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2010 (UNAUDITED) On February 2, 2010, The PNC Financial Services Group, Inc. entered into a Stock Purchase Agreement (the "Stock Purchase Agreement") with The Bank of New York Mellon Corporation ("BNY Mellon"). Upon the terms and subject to the conditions set forth in the Stock Purchase Agreement, which has been approved by the board of directors of each company, The PNC Financial Services Group, Inc. will sell to BNY Mellon (the "Stock Sale") 100% of the issued and outstanding shares of PNC, an indirect, wholly-owned subsidiary of The PNC Financial Services Group, Inc. The Stock Sale includes PNC, PFPC Trust Company and PFPC Distributors, Inc. and is expected to close in the third quarter of 2010. 15 SENBANC FUND OTHER INFORMATION FEBRUARY 28, 2010 (UNAUDITED) PROXY VOTING A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request by calling Senbanc Fund at (877) 264-5346, at www.hilliard.com and on the SEC's website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling (202) 551-8090. 16 [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] INVESTMENT ADVISER Hilliard Lyons Research Advisors 500 West Jefferson Street Louisville, KY 40202 ADMINISTRATOR PNC Global Investment Servicing (U.S.), Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT PNC Global Investment Servicing (U.S.), Inc. 101 Sabin Street Pawtucket, RI 02860 UNDERWRITER PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 8800 Tinicum Boulevard Suite 200 Philadelphia, PA 19153 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103-3984 LEGAL COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 (GRAPHIC) (HILLIARD LYONS LOGO) SENBANC FUND SENBANC OF THE RBB FUND, INC. SEMI-ANNUAL REPORT FEBRUARY 28, 2010 (UNAUDITED) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Shares of Senbanc Fund are distributed by PFPC Distributors, Inc., 760 Moore Road, King of Prussia, PA 19406. ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) The RBB Fund, Inc. By (Signature and Title)* /s/ Salvatore Faia ------------------------------------- Salvatore Faia, President (principal executive officer) Date April 27, 2010 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Salvatore Faia ------------------------------------- Salvatore Faia, President (principal executive officer) Date April 27, 2010 By (Signature and Title)* /s/ Joel Weiss ------------------------------------- Joel Weiss, Treasurer (principal financial officer) Date April 26, 2010 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 p17506exv99wcert.txt EX-99.CERT EXHIBIT 99.CERT CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Salvatore Faia, certify that: 1. I have reviewed this report on Form N-CSR of The RBB Fund, Inc.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 27, 2010 /s/ Salvatore Faia ---------------------------------------- Salvatore Faia, President (principal executive officer) EXHIBIT 99.CERT CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Joel Weiss, certify that: 1. I have reviewed this report on Form N-CSR of The RBB Fund, Inc.; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: April 26, 2010 /s/ Joel Weiss ---------------------------------------- Joel Weiss, Treasurer (principal financial officer) EX-99.906CERT 3 p17506exv99w906cert.txt EX-99.906CERT EXHIBIT 99.906CERT CERTIFICATION PURSUANT TO RULE 30A-2(B) UNDER THE 1940 ACT AND SECTION 906 OF THE SARBANES-OXLEY ACT I, Salvatore Faia, President of The RBB Fund, Inc. (the "Registrant"), certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended February 28, 2010 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: April 27, 2010 /s/ Salvatore Faia ---------------------------------------- Salvatore Faia, President (principal executive officer) I, Joel Weiss, Treasurer of The RBB Fund, Inc. (the "Registrant"), certify that: 1. The Registrant's periodic report on Form N-CSR for the period ended February 28, 2010 (the "Report") fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and 2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. Date: April 26, 2010 /s/ Joel Weiss ---------------------------------------- Joel Weiss, Treasurer (principal financial officer) THESE CERTIFICATIONS ARE BEING FURNISHED TO THE SECURITIES AND EXCHANGE COMMISSION SOLELY PURSUANT TO RULE 30A-2(B) UNDER THE INVESTMENT COMPANY ACT OF 1940, AS AMENDED, AND 18 U.S.C. Section 1350 AND ARE NOT BEING FILED AS PART OF THE REPORT OR AS A SEPARATE DISCLOSURE DOCUMENT. -----END PRIVACY-ENHANCED MESSAGE-----