0000950123-11-046447.txt : 20110506 0000950123-11-046447.hdr.sgml : 20110506 20110506140248 ACCESSION NUMBER: 0000950123-11-046447 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20110228 FILED AS OF DATE: 20110506 DATE AS OF CHANGE: 20110506 EFFECTIVENESS DATE: 20110506 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: 11818500 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/MICRO 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 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 S000025304 SAM Sustainable Global Active Fund C000075423 Institutional C000075424 Investor 0000831114 S000026538 Perimeter Small Cap Growth Fund C000079687 Investor Class C000079688 I Shares 0000831114 S000030121 S1 Fund C000092508 I Shares C000092509 R Shares 0000831114 S000030191 Robeco Boston Partners Long/Short Research Fund C000092912 Investor Class C000092913 Institutional Class N-CSRS 1 y89713nvcsrs.txt FORM 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) Bellevue Park Corporate Center 103 Bellevue Parkway Wilmington, DE 19809 (Address of principal executive offices) (Zip code) Salvatore Faia BNY Mellon Investment Servicing (US) Inc. 103 Bellevue Parkway Wilmington, DE 19809 (Name and address of agent for service) Registrant's telephone number, including area code: 302-791-1851 Date of fiscal year end: August 31 Date of reporting period: February 28, 2011 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The Report to Shareholders is attached herewith. (BEAR STEARNS LOGO) BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO OF THE RBB FUND, INC. SEMI-ANNUAL REPORT February 28, 2011 (Unaudited) This report is submitted for the general information of the shareholders of the Portfolio. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolio. BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PERFORMANCE DATA FEBRUARY 28, 2011 (UNAUDITED) TOTAL RETURNS AS OF FEBRUARY 28, 2011
Average Annual Average Annual Total Returns Total Returns Six-Month* 1 Year 3 Year Since Inception** ---------- ------- -------------- ----------------- Bear Stearns CUFS(R) MLP Mortgage Portfolio(1) 4.02% 7.67% -0.24% 1.05% Barclay's Capital U.S. Treasury Bills 1 to 3 Month Index(2) 0.07% 0.14% 0.52% 3.43% 1 Month LIBOR(3) 0.13% 0.28% 0.98% 4.61%
PERFORMANCE QUOTED IS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS QUOTED ABOVE. CALL CUFS(R) AT 1-800-519-CUFS (2837) FOR RETURNS CURRENT TO THE MOST RECENT MONTH-END. THE PORTFOLIO'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 0.88%. THE PERFORMANCE DATA REFLECTS FEE WAIVERS AND EXPENSE REIMBURSEMENTS. THE RETURNS WOULD HAVE BEEN LOWER IF THESE WAIVERS AND EXPENSE REIMBURSEMENTS WERE NOT IN EFFECT. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. ---------- * Not annualized. ** The inception date of the Portfolio was December 19, 2006. (1) Net of fees and expenses. (2) The Barclay's Capital U.S. Treasury Bills 1-3 Month Index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than 3 months and more than 1 month, are rated investment grade, and have $250 million or more of outstanding face value. It is not possible to invest directly in an index. (3) The 1-Month LIBOR is a constant maturity index of the London Interbank Offering Rate established to reflect the total return of the 1-Month LIBOR rate. Source: Merrill Lynch. 1 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO FUND EXPENSE EXAMPLE (UNAUDITED) As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Portfolio expenses. The example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 that was invested at the beginning of the period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if any transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD* ----------------------- --------------------- -------------------- Actual $1,000.00 $1,040.20 $4.40 Hypothetical (5% return before expenses) 1,000.00 1,020.43 4.37
---------- * Expenses are equal to the Portfolio's annualized six-month expense ratio of 0.87%, which includes waived fees or reimbursed expenses, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Portfolio's ending account value on the first line is based on the actual six-month total return of 4.02%. 2 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET SECURITY TYPE/INDUSTRY CLASSIFICATION ASSETS VALUE -------------------------------------------- -------- ------------ GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES 49.6% $ 61,973,755 COLLATERALIZED MORTGAGE OBLIGATIONS 22.3 27,818,097 SHORT TERM OBLIGATIONS 20.1 25,168,363 MORTGAGE DERIVATIVES 9.6 11,963,752 LIABILITIES IN EXCESS OF OTHER ASSETS (1.6) (2,006,177) ----- ------------ NET ASSETS 100.0% $124,917,790 ===== ============
---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 3 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- ---------- ---------- GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES--49.6% FEDERAL HOME LOAN MORTGAGE CORPORATION--17.9% 5.000% 05/01/18 Aaa/AAA $ 906 $ 970,553 5.000% 09/01/19 Aaa/AAA 1,297 1,388,800 5.000% 09/01/20 Aaa/AAA 1,333 1,425,011 4.500% 11/01/20 Aaa/AAA 815 862,570 4.500% 06/01/21 Aaa/AAA 1,234 1,304,451 4.500% 12/01/21 Aaa/AAA 1,154 1,221,423 4.500% 08/01/22 Aaa/AAA 2,203 2,329,939 4.500% 08/01/22 Aaa/AAA 1,757 1,859,345 5.000% 10/01/23 Aaa/AAA 3,452 3,687,902 5.983% 08/01/36 (a) Aaa/AAA 2,309 2,433,875 5.977% 09/01/36 (a) Aaa/AAA 1,086 1,151,659 5.784% 11/01/36 (a) Aaa/AAA 1,358 1,431,012 5.801% 08/01/37 (a) Aaa/AAA 2,132 2,261,734 ---------- 22,328,274 ---------- FEDERAL NATIONAL MORTGAGE ASSOCIATION--31.7% 5.000% 06/01/18 Aaa/AAA 1,400 1,488,256 5.000% 02/01/19 Aaa/AAA 1,453 1,544,076 5.000% 04/01/19 Aaa/AAA 916 982,971 5.000% 07/01/19 Aaa/AAA 1,234 1,327,634 4.500% 03/01/20 Aaa/AAA 2,314 2,446,439 5.000% 04/01/21 Aaa/AAA 1,172 1,250,303 4.500% 10/01/23 Aaa/AAA 10,702 11,281,936 5.000% 09/01/25 Aaa/AAA 2,998 3,192,623 2.024% 12/01/34 (a) Aaa/AAA 3,159 3,285,457 6.013% 10/01/36 (a) Aaa/AAA 977 1,035,246 6.014% 10/01/36 (a) Aaa/AAA 437 463,633 5.500% 12/01/36 Aaa/AAA 282 302,385 5.658% 12/01/36 (a) Aaa/AAA 726 765,848 5.524% 09/01/37 (a) Aaa/AAA 1,399 1,492,538 4.500% 04/01/40 Aaa/AAA 8,609 8,786,136 ---------- 39,645,481 ---------- TOTAL GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (COST $60,628,414) ............ 61,973,755 ---------- MORTGAGE DERIVATIVES--9.6% FANNIE MAE (IO)--7.2% 4.500% 12/01/18 Aaa/AAA 3,938 358,200 4.500% 01/01/19 Aaa/AAA 3,903 352,014 4.500% 03/01/20 Aaa/AAA 1,439 136,376 4.500% 03/01/20 Aaa/AAA 1,487 142,645 5.500% 05/25/23 Aaa/AAA 1,060 152,785 5.500% 12/25/24 Aaa/AAA 3,673 381,570 5.500% 10/25/31 Aaa/AAA 10,219 1,108,911 7.589% 04/25/32 (a) Aaa/AAA 2,040 354,805 6.789% 09/25/32 (a) Aaa/AAA 3,080 379,326 5.000% 10/01/33 Aaa/AAA 5,904 1,190,834 5.000% 12/01/33 Aaa/AAA 1,179 211,436 5.000% 12/01/33 Aaa/AAA 1,900 343,364 5.000% 08/01/34 Aaa/AAA 1,858 398,917 5.500% 04/01/36 Aaa/AAA 3,879 702,952 5.500% 04/01/36 Aaa/AAA 6,078 1,085,611
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE --------- -------- ---------- MORTGAGE DERIVATIVES--(CONTINUED) FANNIE MAE (IO)--(CONTINUED) 7.039% 08/25/36 (a) Aaa/AAA $ 3,409 $ 668,442 5.000% 10/01/36 Aaa/AAA 4,605 993,191 ---------- 8,961,379 ---------- FANNIE MAE (PO)--0.1% 4.000% 06/25/36 (d) Aaa/AAA 133 129,815 ---------- FREDDIE MAC (IO)--1.5% 6.889% 02/25/32 (a) Aaa/AAA 3,132 313,019 6.219% 06/15/36 (a) Aaa/AAA 2,135 282,628 6.314% 09/15/36 (a) Aaa/AAA 4,041 645,036 6.384% 11/15/36 (a) Aaa/AAA 4,010 612,804 ---------- 1,853,487 ---------- FREDDIE MAC (PO)--0.1% 4.000% 09/15/35 (d) Aaa/AAA 157 146,879 ---------- NON-AGENCY (IO)--0.7% CWALT Series 2006-43CB (b) 6.000% 02/25/37 C (e) 5,079 872,192 ---------- TOTAL MORTGAGE DERIVATIVES (COST $10,976,059) ............ 11,963,752 ---------- COLLATERALIZED MORTGAGE OBLIGATIONS--22.3% Banc of America Mortgage Securities, Inc. Series 2005-H (a) (b) 3.183% 09/25/35 Bbb/B 2,000 1,631,578 Banc of America Mortgage Securities, Inc. Series 2006-B (a) (b) 3.202% 10/20/46 C/CCC 2,406 1,453,765 Banc of America Mortgage Securities, Inc. Series 2007-3 (b) 6.000% 09/25/37 Cc/CCC 3,284 3,043,800 Citigroup Mortgage Loan Trust, Inc. Series 2007-AR8 (a) 5.777% 07/25/37 Caa3/CC 3,043 2,348,670 Countrywide Asset-Backed Certificates Series 2004-AB2 (a) 0.862% 05/25/36 Baa3/B- 500 131,172 Countrywide Home Loan Mortgage Pass-Through Trust Series 2003-3 (a) (b) 0.762% 04/25/18 Aaa/AAA 35 34,559 Countrywide Home Loan Mortgage Pass-Through Trust Series 2007-HY1 (a) (b) 5.451% 04/25/37 C/CC 1,749 226,041 CWALT Series 2006-43CB (b) 6.000% 02/25/37 C/CC 571 414,070
The accompanying notes are an integral part of the financial statements. 4 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
MOODY'S/ PAR MARKET S&P (b) (000'S) VALUE -------- ------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS--(CONTINUED) CWALT Series 2006-HY13 (a) (b) 5.684% 02/25/37 C/CC $ 8,197 $ 649,550 CWALT Series 2006-J2 6.000% 04/25/36 Caa2/CC 4,640 3,996,667 CWALT Series 2007-2CB 5.750% 03/25/37 C/CC 3,394 265,273 CWALT Series 2007-J2 (b) 6.000% 07/25/37 Caa3/C 1,345 1,103,734 Fannie Mae REMICS Series 2005-25 (a) 0.612% 04/25/35 Aaa/AAA 1,626 1,615,114 Fannie Mae REMICS Series 2006-61 6.000% 10/25/30 Aaa/AAA 124 123,945 First Horizon Asset Securities, Inc. Series 2006-AR1 (a) (b) 3.966% 05/25/36 Cc/CCC 2,599 710,563 Freddie Mac REMICS Series 2752 (a) 0.616% 12/15/30 Aaa/AAA 266 266,237 Freddie Mac REMICS Series 2995 (a) 0.666% 06/15/35 Aaa/AAA 422 421,037 JPMorgan Mortgage Trust Series 2005-A4 (a) (c) 5.156% 07/25/35 Ba1/AAA 603 586,587 JPMorgan Mortgage Trust Series 2005-A6 (a) (b) (c) 3.142% 08/25/35 Aa/B+ 516 458,441 Residential Asset Securitiation Trust Series 2007-A5 6.000% 05/25/37 Caa2/CCC 1,125 885,809 Residential Funding Mortgage Securities I Series 2006-SA4 (a) 6.077% 11/25/36 Caa3/CCC 4,237 3,137,927 Washington Mutual, Inc. Series 2007-HY3 (a) (b) 4.546% 03/25/37 C/CCC 1,635 111,336 Washington Mutual, Inc. Series 2007-HY4 (a) (b) 5.283% 04/25/37 C/CCC 2,848 2,121,456 Wells Fargo Mortgage Backed Securities Trust Series 2007-10 (b) 6.250% 07/25/37 B2/CCC 2,183 2,080,766 ------------ TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (COST $49,209,204) 27,818,097 ------------
PAR MARKET (000'S) VALUE ------- ------------ SHORT TERM OBLIGATIONS--20.1% U.S. TREASURY BILLS--20.1% U.S. Treasury Bill (d) 0.095% 03/10/11 $ 4,000 $ 3,999,905 0.110% 03/24/11 21,000 20,998,524 U.S. Treasury Bill (d) (f) 0.150% 06/09/11 170 169,934 ------------ 25,168,363 ------------ TOTAL SHORT TERM OBLIGATIONS (COST $25,168,358) ............ 25,168,363 ------------ TOTAL INVESTMENTS--101.6% (Cost $145,982,035) ........... 126,923,967 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS (g)--(1.6)% ... (2,006,177) NET ASSETS--100.0% ............... ------------ $124,917,790 ============
---------------- CWALT Countrywide Alternative Loan Trust IO Interest Only PO Principal Only (a) Adjustable rate security. Interest rate varies due to interest rate fluctuations, or, in the case of certain asset-backed securities, interest payment shortfalls. (b) Where Moody's or S&P rating is not available, Fitch rating is substituted, if available. (Unaudited) (c) Security was purchased prior to the Portfolio's affiliation with JPMorgan Chase & Co. (d) Rate represents the yield at the time of purchase. (e) Not rated by Moody's or S&P, Fitch rating is substituted. The accompanying notes are an integral part of the financial statements. 5 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) (f) All or a portion of the security held as collateral for the following Futures contracts open at February 28, 2011:
NUMBER VALUE VALUE UNREALIZED OF EXPIRATION AT TRADE AT APPRECIATION CONTRACTS TYPE MONTH DATE 02/28/2011 (DEPRECIATION)* ---------------- ------------- ---------- ----------- ----------- --------------- Long Positions: 107 U.S. Treasury 10 Year Note 06/2011 $12,706,507 $12,738,016 $ 31,509 Short Positions: 43 U.S. Treasury 2 Year Note 06/2011 9,373,506 9,386,766 (13,260) 48 U.S. Treasury 5 Year Note 06/2011 5,597,604 5,613,000 (15,396) --------- $ 2,853 =========
(g) Liabilities in excess of other assets include interest rate swaps as follows:
NOTIONAL TERMINATION AMOUNT FIXED FLOATING VALUE AT UNREALIZED COUNTERPARTY DATE (000) RATE RATE 02/28/2011 (DEPRECIATION)* --------------- ----------- --------- ------ ------------- ----------- --------------- Deutsche Bank** 09/17/2013 $20,000 4.520% 3 MONTH LIBOR $(2,075,497) $(2,075,497) =========== ===========
* Primary risk exposure is interest rate contracts. ** Portfolio pays the fixed rate and receives the floating rate. The following is a summary of the inputs used, as of February 28, 2011, in valuing the Portfolio's investments carried at market value (See Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- --------- ----------- ------------ GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES $61,973,755 $ -- $ 61,973,755 $-- MORTGAGE DERIVATIVES 11,963,752 -- 11,963,752 -- COLLATERALIZED MORTGAGE OBLIGATIONS 27,818,097 -- 27,818,097 -- SHORT TERM OBLIGATIONS 25,168,363 -- 25,168,363 -- ASSET DERIVATIVES INTEREST RATE CONTRACTS*** 31,509 31,509 -- -- ----------- -------- ----------- --- TOTAL ASSETS $ 126,955,476 $ 31,509 $126,923,967 $-- =========== ======== =========== ===
LEVEL 2 LEVEL 3 TOTAL MARKET LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- --------- ----------- ------------- LIABILITY DERIVATIVES INTEREST RATE CONTRACTS*** $(2,104,153) $(28,656) $(2,075,497) $-- ----------- -------- ----------- --- TOTAL LIABILITIES $(2,104,153) $(28,656) $(2,075,497) $-- =========== ======== =========== ===
*** Interest rate contracts include open futures contracts and swap contracts. The accompanying notes are an integral part of the financial statements. 6 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value+ ................................................... $126,923,967 Cash ..................................................................... 1,242,402 Segregated cash .......................................................... 2,253,369 Receivables Dividends and interest ................................................ 486,939 Investments sold ...................................................... 158,039 Prepaid expenses and other assets ........................................ 20,177 ------------ Total assets ....................................................... 131,084,893 ------------ LIABILITIES Unrealized depreciation on swap agreements* .............................. 2,075,497 Payables Investments purchased ................................................. 3,674,473 Distributions to shareholders ......................................... 318,061 Investment adviser .................................................... 45,834 Variation margin due to broker ........................................ 6,031 Other accrued expenses and liabilities ................................ 47,207 ------------ Total liabilities .................................................. 6,167,103 ------------ Net Assets ............................................................... $124,917,790 ============ NET ASSETS CONSIST OF: Par value ................................................................ $ 15,085 Paid-in capital .......................................................... 150,314,189 Undistributed net investment income ...................................... 135,985 Accumulated net realized loss from investments, futures transactions, TBA sales commitments, swap agreements and purchased options .......... (4,416,757) Net unrealized depreciation from investments, futures transactions and swap agreements ....................................................... (21,130,712) ------------ Net Assets ............................................................... $124,917,790 ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 15,085,138 ------------ Net asset value, offering and redemption price per share ................. $ 8.28 ============ + Investment in securities, at cost ...................................... $145,982,035 ============
---------- * Primary risk exposure is interest rate contracts. The accompanying notes are an integral part of the financial statements. 7 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Interest ............................................................... $ 2,694,927 ----------- Total investment income ............................................. 2,694,927 ----------- EXPENSES Advisory fees .......................................................... 293,997 Administration and accounting fees ..................................... 91,815 Legal fees ............................................................. 67,324 Transfer agent fees .................................................... 22,205 Audit fees ............................................................. 14,741 Custodian fees ......................................................... 13,947 Directors' and officers' fees .......................................... 9,513 Registration and filing fees ........................................... 7,966 Printing and shareholder reporting fees ................................ 2,898 Insurance .............................................................. 2,562 Other expenses ......................................................... 8,953 ----------- Total expenses 535,921 ----------- Net investment income .................................................. 2,159,006 ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS, FUTURES TRANSACTIONS, AND SWAP AGREEMENTS NET REALIZED LOSS FROM: Investments ......................................................... (1,674,810) Futures* ............................................................ (617,344) Swap agreements* .................................................... (409,690) ----------- Total realized loss from investments, futures transactions, and swap agreements .......................................................... (2,701,844) ----------- NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ......................................................... 5,023,950 Futures* ............................................................ (70,467) Swap agreements* .................................................... 449,460 ----------- Total net changes in unrealized appreciation/(depreciation) on investments, futures transactions, and swap agreements 5,402,943 ----------- Net realized and unrealized gain/(loss) on investments, futures transactions, and swap agreements 2,701,099 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $ 4,860,105 ===========
---------- * Primary risk exposure is interest rate contracts. The accompanying notes are an integral part of the financial statements. 8 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2011 ENDED (UNAUDITED) AUGUST 31, 2010 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ................................................. $ 2,159,006 $ 4,350,630 Net realized gain/(loss) from investments, futures transactions, purchased options and swap agreements .............................. (2,701,844) 1,820,653 Net change in unrealized appreciation from investments, futures transactions, TBA sale commitments and swap agreements ..... 5,402,943 6,233,526 ------------ ------------ Net increase in net assets resulting from operations ..................... 4,860,105 12,404,809 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ................................................. (2,008,236) (6,097,351) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders .......................................................... (2,008,236) (6,097,351) ------------ ------------ CAPITAL TRANSACTIONS: Reinvestment of distributions ......................................... -- 1,318,552 ------------ ------------ Net increase in net assets from capital transactions ..................... -- 1,318,552 ------------ ------------ Total increase in net assets .......................................... 2,851,869 7,626,010 NET ASSETS: Beginning of period ................................................... 122,065,921 114,439,911 ------------ ------------ End of period ......................................................... $124,917,790 $122,065,921 ============ ============ Undistributed net investment income/(loss), end of period ............. $ 135,985 $ (14,785) ============ ============ SHARE TRANSACTIONS: Shares reinvested ..................................................... -- 165,888 ------------ ------------ Total share transactions .............................................. -- 165,888 ============ ============
The accompanying notes are an integral part of the financial statements. 9 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX FOR THE PERIOD MONTHS ENDED FOR THE FOR THE FOR THE DECEMBER 19, FEBRUARY 28, YEAR ENDED YEAR ENDED YEAR ENDED 2006* TO 2011 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, (UNAUDITED) 2010 2009 2008 2007 ------------ ---------- ---------- ---------- -------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ........ $ 8.09 $ 7.67 $ 8.93 $ 9.92 $ 10.00 -------- -------- -------- -------- -------- Net investment income ....................... 0.14 0.29 0.54 0.54 0.38 Net realized and unrealized gain/ (loss) on investments, futures transactions, TBA sale commitments, swap agreements and options .............. 0.18 0.54 (1.28) (0.98) (0.08) -------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations ......... 0.32 0.83 (0.74) (0.44) 0.30 -------- -------- -------- -------- -------- Dividends to shareholders from: Net investment income ....................... (0.13) (0.41) (0.52) (0.55) (0.38) Net realized capital gains .................. -- -- -- -- -- -------- -------- -------- -------- -------- Net asset value, end of period .............. $ 8.28 $ 8.09 $ 7.67 $ 8.93 $ 9.92 ======== ======== ======== ======== ======== Total investment return(1) .................. 4.02%(2) 10.96% (7.82)% (4.76)% 3.10%(2) ======== ======== ======== ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) .......................... $124,918 $122,066 $114,440 $129,888 $161,278 Ratio of expenses to average net assets with waivers and expense reimbursements (excluding interest expense) ........................ 0.87%(3) 0.78% 0.60% 0.60% 0.60%(3) Ratio of expenses to average net assets with waivers and expense reimbursements (including interest expense) ........................ 0.87%(3) 0.78% 0.60% 0.60% 0.78%(3) Ratio of expenses to average net assets without waivers and expense reimbursements (including interest expense) ............. 0.87%(3) 0.86% 0.88% 0.80% 0.95%(3) Ratio of net investment income to average net assets ....................... 3.52%(3) 3.63% 7.30% 5.56% 5.58%(3) Portfolio turnover rate ..................... 16.36%(2) 180.05%(4) 410.52%(4) 190.88%(4) 259.47%(2)(4)
---------- * Commencement of operations. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not annualized. (3) Annualized. (4) The portfolio turnover rate excluding TBA transactions (see Note 1 in Notes to the Financial Statements) is 42.09% for the year ended August 31, 2010, 35.58% for the year ended August 31, 2009, 32.83% for the year ended August 31, 2008 and 125.15% for the period December 19, 2006 to August 31, 2007, respectively. The accompanying notes are an integral part of the financial statements. 10 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Bear Stearns CUFS(R) MLP Mortgage Portfolio (the "Portfolio"), which commenced investment operations on December 19, 2006. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. On April 5, 2010, the Board of Directors of the Company (the "Board") approved a plan of liquidation and termination providing for the liquidation of the Portfolio on or about April 30, 2010 (the "Liquidation"). Effective April 6, 2010, new account requests and purchase orders for the Portfolio's shares were no longer permissible and daily dividends were suspended. Subsequently, at the unanimous request of the shareholders of the Portfolio, the Board postponed indefinitely the Liquidation of the Portfolio while other options with regards to the Portfolio are explored. Daily dividends have resumed; however, the Portfolio remains closed to new investments. In the event that a shareholder of the Portfolio requests a redemption of all or any portion of the shares in the Portfolio held by it, the Board has approved the liquidation of the Portfolio within no more than seven (7) days after the date of such redemption request in order not to disadvantage the Portfolio's remaining shareholders. As of period end and through the date of issuance of the financial statements, no requests for redemptions have been received. PORTFOLIO VALUATION -- The Portfolio's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. These fixed income securities are valued by pricing services approved by the Board of Directors based upon market transactions for normal, institutional-size trading units of similar securities. The services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. Debt securities for which quotations are readily available are valued at an over-the-counter or exchange bid quotation. Certain debt securities, which tend to be more thinly traded and of lesser quality, are priced based on fundamental analysis of the financial condition of the issuer and the estimated value of any collateral. Valuations developed through pricing techniques may materially vary from the actual amounts realized upon sale of the securities, and the potential material variation may be greater for those securities valued using fundamental analysis. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies, if held, are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If price quotes are unavailable or deemed unreliable, securities will be fair valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The inputs and valuation techniques used to measure fair value of the Portfolio's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that 11 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) do not have a readily available market value, the fair value of the Portfolio's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolio may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Portfolio. The fair value of the Portfolio's bonds are generally based on quotes received from brokers of independent pricing services. Bonds with quotes that are based on actual trades with a sufficient level of activity on or near the measurement date are classified as Level 2 assets. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Portfolio's investments as of February 28, 2011 is included in the Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and these differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Portfolio records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Paydown gains and losses on mortgage and asset-backed securities are presented as an adjustment to interest income. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Portfolio estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Portfolio's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees are accrued daily and taken into account for the purpose of determining the net asset value of the Portfolio. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily and paid monthly. Distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-date for the Portfolio. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from generally accepted accounting principles in the United States of America. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Portfolio's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Portfolio considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Portfolio expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Portfolio may enter into contracts that provide general indemnifications. The Portfolio's maximum exposure under these arrangements is dependent on claims that may be made against the Portfolio in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. MORTGAGE-RELATED SECURITIES -- The Portfolio may invest in mortgage pass-through securities and multiple-class pass-through securities, such as collateralized mortgage obligations ("CMOs") and Real Estate Mortgage Investment Conduit ("REMIC") pass-through or participation certificates as well as other securities collateralized by or representing a direct or indirect interest in mortgage-related securities or mortgage loans. The Portfolio may also invest in certain stripped mortgage-backed securities. Some of these securities may contain "embedded leverage" which can make them more sensitive to small movements in interest rates. 12 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) The types of mortgage-related securities in which the Portfolio may invest include: mortgage pass-through securities, including CMOs and REMICs, which may or may not be U.S. Government guaranteed, privately issued mortgage-related securities, stripped mortgage-backed securities, including interest only ("IO") or principal only ("PO") class securities, and floating rate and inverse floating rate securities. Stripped mortgage-backed securities represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. Payments received for IOs and POs are used to reduce the cost of the security. Payments in excess of cost are recognized as interest income on the Statement of Operations based on a security's yield to maturity. If the underlying mortgage assets experience greater than anticipated payments of principal, the Portfolio may fail to recoup some or all of its initial investment in IO securities. For PO securities, accelerated payments of principal will cause a faster than anticipated return of the initial investment resulting in an increased yield to maturity for the security. The market value of these securities is highly sensitive to changes in interest rates. The Portfolio is subject to risks associated with securities with contractual cash flows including mortgage related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including some securities that are backed by sub-prime mortgages. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market's perception of the issuers and changes in interest rates. A significant portion of the Portfolio's investments are comprised of mortgage related securities, including some securities that are backed by sub-prime mortgages. TBA COMMITMENTS -- The Portfolio may purchase securities on a to-be-announced ("TBA") basis, with payment and delivery scheduled for a future date. These transactions are subject to market fluctuations and are subject to the risk that their value at delivery may be more or less than the trade date purchase price. Although the Portfolio may purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Portfolio may dispose of when-issued securities or forward commitments prior to settlement if the Adviser deems it appropriate. MORTGAGE DOLLAR ROLLS - The Portfolio can enter into dollar roll transactions, pursuant to which it sells a mortgage-backed TBA or security and simultaneously purchases a similar, but not identical, TBA with the same issuer, rate and terms. The Portfolio may execute a "roll" to obtain better underlying mortgage securities or to increase yield. The Portfolio accounts for dollar roll transactions as purchases and sales, which has the effect of increasing its portfolio turnover rates. Risks associated with dollar rolls are that actual mortgages received by the Portfolio may be less favorable than those anticipated or that counterparties may fail to perform under the terms of the contracts. For the six months ended February 28, 2011, the Portfolio did not enter into any dollar roll transactions. FINANCIAL FUTURES CONTRACTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may enter into futures contracts to hedge against changes in interest rates and securities prices, or to otherwise manage its term structure, sector selections and duration. Upon entering into a futures contract, the Portfolio is required to deposit with the broker an amount of cash or cash equivalents equal to a certain percentage of the contract amount. This is known as the "initial margin." Subsequent payments ("variation margin") are made or received by the Portfolio each day, depending on the daily fluctuation of the value of the contract. The daily changes in the contract are recorded as unrealized gain or loss. The Portfolio recognizes a realized gain or loss when the contract is closed. The risks associated with entering into financial futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in financial futures contracts involves the risk that the Portfolio could lose more than the original margin deposit and subsequent payments required for a futures transaction. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts. For the six months ended February 28, 2011, the Portfolio's average volume of futures contracts is 165 for long position contracts and 64 for short position contracts. OPTIONS CONTRACTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may write covered call and put options on futures, or securities it owns or in which it may invest. Writing put options tends to increase the Portfolio's exposure to the underlying instrument. When the Portfolio writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statement of Assets and Liabilities. Payments received or made, if any, from writing options with premiums to be determined on a future date are reflected as such on the Statement of Assets and Liabilities. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options that are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future or security transaction to determine the realized gain or loss. The Portfolio, as a writer of an option, has no control over whether the underlying future or security may be sold (call) or pur- 13 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) chased (put), and as a result bears the market risk of an unfavorable change in the price of the future or security underlying the written option. The Portfolio may not be able to enter into a closing transaction because of an illiquid market. The Portfolio may also purchase put and call options. Purchasing call options tends to increase the Portfolio's exposure to the underlying instrument. Purchasing put options tends to decrease the Portfolio's exposure to the underlying instrument. The Portfolio pays a premium which is included in the Portfolio's Statement of Assets and Liabilities as an investment and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options that are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying future or security transaction to determine the realized gain or loss. SWAP AGREEMENTS -- The Portfolio is subject to interest rate risk exposure in the normal course of pursuing its investment objectives. The Portfolio may invest in swap agreements for the purpose of hedging against changes in interest rates. Swap agreements involve the exchange by the Portfolio with another party of their respective commitments to pay or receive interest with respect to a notional amount of principal. Swaps are marked to market daily based upon quotations from independent market makers and the change, if any, is recorded as unrealized gain or loss in the statement of operations. Net payments of interest are recorded as realized gain or loss. Cash in the amount of $2,253,369 held as collateral for swap agreements is classified as segregated cash on the Portfolio's Statement of Assets and Liabilities. The Portfolio is also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Portfolio such as swap contracts, option contracts, and TBA securities. The Portfolio is party to various derivative contracts governed by International Swaps and Derivatives Association Master Agreements (ISDA agreements). The Portfolio's ISDA agreements, which are separately negotiated with each dealer counterparty, typically contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Portfolio in the event the Portfolio's net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. Such rights often include the ability to terminate (i.e., close out) open contracts at prices which may favor the counterparty, which could have an adverse impact on the Portfolio. For open swap contracts, see the Portfolio of Investments, which is also indicative of activity for the six months ended February 28, 2011. REPURCHASE AGREEMENTS -- Money market instruments may be purchased subject to the seller's agreement to repurchase them at an agreed-upon date and price. The seller will be required on a daily basis to maintain the value of the securities as collateral, subject to the agreement at not less than the repurchase price plus accrued interest. If the value of the collateral falls below this amount, the Portfolio will require the seller to deposit additional collateral by the next Portfolio business day. In the event that the seller under the agreement defaults on its repurchase obligation or fails to deposit sufficient collateral, the Portfolio has the contractual right, subject to the requirements of applicable bankruptcy and insolvency laws, to sell the underlying securities and may claim any resulting loss from the seller. The agreements are conditioned upon the collateral being deposited under the Federal Reserve Book Entry System or with the Portfolio's custodian or a third party sub-custodian. 2. INVESTMENT ADVISER AND OTHER SERVICES Bear Stearns Asset Management Inc. ("BSAM" or the "Adviser"), an indirect wholly-owned subsidiary of JPMorgan Chase & Co., serves as investment adviser to the Portfolio pursuant to an investment advisory agreement with the Company (the "Advisory Agreement"). For its services, the Adviser is paid a monthly fee at the annual rate of 0.48% of the Portfolio's average daily net assets. Through December 31, 2009, BSAM was voluntarily waiving a portion of its advisory fee and reimbursing certain expenses in order to limit the Portfolio's total annual portfolio operating expenses excluding interest expense to 0.60% of the Portfolio's average daily net assets. As of January 1, 2010, BSAM terminated its voluntary fee waivers and expense reimbursements. For the six months ended February 28, 2011, investment advisory fees were $293,997. BNY Mellon Investment Servicing (US) Inc., ("BNY Mellon") serves as administrator for the Portfolio. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting fees, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. 14 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York Mellon Corporation and provides certain custodial services to the Portfolio. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets, subject to certain minimum monthly fees. BNY Mellon Distributors Inc. serves as the principal underwriter and distributor of the Portfolio's shares pursuant to a Distribution Agreement with RBB. The Portfolio will not pay BNY Mellon or BNY Mellon's affiliates at a later time for any amounts waived or any amounts assumed. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Portfolio during the six months ended February 28, 2011 was $8,346. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Portfolio or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Portfolio were as follows:
PURCHASES SALES ----------- ---------- Investments in U.S. Government Securities .......... $18,516,811 $8,943,333 Investments in Non-U.S. Government Securities ...... -- 7,084,473
5. CAPITAL STOCK TRANSACTIONS As of February 28, 2011, the Portfolio had individual shareholder accounts, which individually amounted to more than 10% of the total shares outstanding of the Portfolio as detailed below.
% OF SHARES NUMBER OF OUTSTANDING ACCOUNTS ----------- --------- 100% 5
Significant shareholder transactions, if any, may impact the Portfolio's performance. 6. FEDERAL INCOME TAX INFORMATION Management has analyzed the Portfolio's tax positions taken on federal income tax returns for all open tax years (August 31, 2007 - 2010) and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Portfolio were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION DEPRECIATION ------------ ------------ ------------ -------------- $145,982,035 $4,050,706 $(23,108,774) $(19,058,068)
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2010, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY INCOME LONG-TERM GAINS --------------- --------------- $353,429 $--
15 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term capital gains are reported as ordinary income dividends for federal tax purposes. The federal income tax character of dividends and distributions paid fiscal year end was as follows:
AUGUST 31, 2010 --------------- Ordinary income $6,097,351 Long-term capital gains --
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. As of August 31, 2010, the Portfolio had a capital loss carryforward of $1,382,809 available to offset future capital gains. The capital loss carryforward will expire in 2015 $483,278, 2016 $832,226 and 2018 $67,305 if not utilized by future capital gains. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2010, the Portfolio deferred post-October capital losses of $258,784. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are currently effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Portfolio through the date the financial statements were issued, and has determined that there were no subsequent events. 16 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Bear Stearns CUFS(R) MLP Mortgage Portfolio at (800) 519-CUFS (2837) and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 17 BEAR STEARNS CUFS(R) MLP MORTGAGE PORTFOLIO INVESTMENT ADVISER Bear Stearns Asset Management c/o JP Morgan Asset Management 245 Park Avenue New York, NY 10167 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103 LEGAL COUNSEL Drinker Biddle & Reath LLP One Logan Square, Suite 2000 Philadelphia, PA 19103-6996 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Portfolio, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution fees, and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011 and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees that may be incurred by shareholders of other funds. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
MONEY MARKET PORTFOLIO - BEDFORD CLASS ----------------------------------------------------- BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD* ----------------- ----------------- ------------- Actual $1,000.00 $1,000.10 $1.54 Hypothetical (5% return before expenses) 1,000.00 1,023.24 1.56
MONEY MARKET PORTFOLIO - SANSOM STREET CLASS ----------------------------------------------------- BEGINNING ENDING EXPENSES PAID ACCOUNT VALUE ACCOUNT VALUE DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD* ----------------- ----------------- ------------- Actual $1,000.00 $1,000.40 $1.24 Hypothetical (5% return before expenses) 1,000.00 1,023.54 1.26
* Expenses are equal to the Portfolio's annualized six month expense ratio of 0.31% for the Bedford Class shares and 0.25% for the Sansom Street Class shares, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Portfolio's ending account value on the first line in each table is based on the actual six-month total return of 0.01% for the Bedford Class shares and 0.04% for the Sansom Street Class shares. 1 THE RBB FUND, INC. MONEY MARKET PORTFOLIO PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET SECURITY TYPE ASSETS VALUE ------------- -------- ------------ Short Term Investments: Commercial Paper .................... 31.7% $234,163,605 Certificates of Deposit ............. 30.1 222,565,164 U.S. Treasury Obligations ........... 14.2 105,148,542 Agency Obligations .................. 8.8 64,973,473 Municipal Bonds ..................... 8.4 61,940,000 Repurchase Agreement ................ 6.5 48,147,000 Variable Rate Obligations ........... 1.2 8,900,000 Liabilities in Excess of Other Assets .. (0.9) (6,747,344) ----- ------------ NET ASSETS ............................. 100.0% $739,090,440 ===== ============
Portfolio holdings are subject to change at any time. 2 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
PAR (000) VALUE ------------ ------------ CERTIFICATES OF DEPOSIT--30.1% DOMESTIC CERTIFICATES OF DEPOSIT--1.8% Harris NA 0.250%, 03/10/11 .............................. $ 3,000 $ 3,000,000 State Street Bank & Trust Co. 0.250%, 04/28/11 .............................. 6,000 6,000,000 0.250%, 05/03/11 .............................. 4,500 4,500,000 ------------ 13,500,000 ------------ YANKEE DOLLAR CERTIFICATES OF DEPOSIT--28.3% (a) Bank of Montreal, Chicago 0.270%, 03/01/11 .............................. 10,000 10,000,000 0.230%, 03/21/11 .............................. 5,000 5,000,000 0.312%, 08/29/11(b) ........................... 4,500 4,500,000 Bank of Nova Scotia, Houston 0.270%, 03/01/11 .............................. 4,000 4,000,000 0.260%, 03/10/11 .............................. 7,000 6,999,990 0.280%, 04/05/11 .............................. 5,000 5,000,000 0.265%, 05/25/11 .............................. 5,000 5,000,000 Bank of Tokyo-Mitsubishi UFJ, Ltd., New York 0.250%, 03/15/11 .............................. 7,000 7,000,000 0.300%, 04/11/11 .............................. 5,000 5,000,000 Barclays Bank PLC, New York 0.400%, 03/04/11 .............................. 6,000 6,000,000 BNP Paribas SA, New York 0.260%, 03/08/11 .............................. 10,000 10,000,000 0.390%, 05/05/11 .............................. 8,000 8,000,000 Credit Agricole Corp. & Investment Bank, New York 0.270%, 03/14/11 .............................. 5,000 5,000,000 0.270%, 03/14/11 .............................. 11,000 11,000,000 Credit Suisse, New York 0.280%, 04/12/11 .............................. 8,500 8,500,000 0.250%, 04/25/11 .............................. 11,000 11,000,000 Deutsche Bank AG, New York 0.300%, 04/06/11 .............................. 8,000 8,000,000 0.305%, 06/17/11 .............................. 7,000 7,000,000 0.333%, 08/04/11(b) ........................... 6,500 6,500,000 Dexia Credit Local, GTD, New York(b)(d) 2.053%, 03/17/11 .............................. 6,000 6,000,000 Lloyds TSB Bank PLC, New York 0.322%, 02/14/12 (b) .......................... 8,065 8,065,000 National Australia Bank(b) 0.354%, 02/10/12 .............................. 4,000 4,000,000
PAR (000) VALUE ------------ ------------ CERTIFICATES OF DEPOSIT--(CONTINUED) YANKEE DOLLAR CERTIFICATES OF DEPOSIT--(CONTINUED) Nordea Bank Finland PLC, New York 0.320%, 04/15/11 .............................. $ 7,000 $ 7,000,174 Rabobank Nederland NV, New York(b) 0.356%, 09/15/11 .............................. 5,000 5,000,000 Royal Bank of Canada, New York(b) 0.330%, 10/14/11 .............................. 5,000 5,000,000 0.311%, 02/29/12 .............................. 7,500 7,500,000 Royal Bank of Scotland PLC, Connecticut 0.490%, 04/19/11 .............................. 7,000 7,000,000 Societe Generale, New York(b) 0.370%, 04/21/11 .............................. 5,000 5,000,000 Sumitomo Mitsui Banking Corp., New York 0.300%, 04/20/11 .............................. 5,000 5,000,000 Toronto Dominion Bank, New York(b) 0.344%, 01/12/12 .............................. 4,000 4,000,000 Westpac Banking Corp., New York(b) 0.338%, 11/04/11 .............................. 7,000 7,000,000 0.354%, 12/09/11 .............................. 5,000 5,000,000 ------------ 209,065,164 ------------ TOTAL CERTIFICATES OF DEPOSIT (Cost $222,565,164) ..................... 222,565,164 ------------ COMMERCIAL PAPER--31.7% ASSET BACKED--19.6% (e) Antalis US Funding Corp. 0.280%, 03/07/11 .............................. 8,180 8,179,618 0.280%, 03/10/11 .............................. 8,800 8,799,384 0.280%, 03/11/11 .............................. 4,000 3,999,689 0.270%, 03/16/11 .............................. 10,000 9,998,875 Aspen Funding Corp. 0.260%, 03/17/11 .............................. 10,000 9,998,844 Fairway Finance Co. LLC 0.270%, 05/05/11 .............................. 7,794 7,790,200 Falcon Asset Securitization Co. LLC 0.260%, 05/19/11 .............................. 6,500 6,496,291 Gotham Funding Corp. 0.260%, 03/17/11 .............................. 7,936 7,935,083 Jupiter Securitization Co. LLC 0.260%, 04/05/11 .............................. 8,000 7,997,978 LMA Americas LLC 0.250%, 03/22/11 .............................. 10,000 9,998,542
See Accompanying Notes to Financial Statements. 3 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
PAR (000) VALUE ------------ ------------ COMMERCIAL PAPER--(CONTINUED) ASSET BACKED--(CONTINUED) Manhattan Asset Funding Co. LLC 0.260%, 03/18/11 .............................. $ 5,000 $ 4,999,386 Mont Blanc Capital Corp. 0.280%, 03/09/11 .............................. 8,000 7,999,502 Scaldis Capital LLC 0.280%, 03/17/11 .............................. 10,000 9,998,756 Solitaire Funding LLC 0.260%, 03/08/11 .............................. 15,000 14,999,242 0.260%, 03/18/11 .............................. 10,000 9,998,772 Surrey Funding Corp. 0.240%, 03/22/11 .............................. 7,000 6,999,020 Ticonderoga Funding LLC 0.280%, 04/04/11 .............................. 6,500 6,498,281 Variable Funding 0.270%, 04/26/11 .............................. 2,000 1,999,160 ------------ 144,686,623 ------------ BANKS--9.9% BNP Paribas Finance, Inc.(e) 0.420%, 03/01/11 .............................. 4,000 4,000,000 BNZ International Funding, Ltd.(b) 0.380%, 03/22/11 .............................. 7,000 6,998,448 Commonwealth Bank of Australia(b) 0.323%, 10/06/11 .............................. 7,000 6,999,518 Danske Corp.(e) 0.277%, 03/09/11 .............................. 8,000 7,999,507 Grampian Funding LLC(e) 0.270%, 03/21/11 .............................. 10,000 9,998,500 JPMorgan Chase & Co.(e) 0.230%, 06/27/11 .............................. 5,500 5,495,854 Nordea North America(e) 0.270%, 03/14/11 .............................. 8,000 7,999,220 Novartis Finance Corp.(e) 0.260%, 08/12/11 .............................. 3,000 2,996,447 State Street Corp.(e) 0.260%, 05/24/11 .............................. 8,000 7,995,147 Westpac Banking Corp., New York(b) 0.344%, 01/06/12 .............................. 8,000 8,000,000 0.420%, 01/13/12 .............................. 5,000 5,000,000 ------------ 73,482,641 ------------
PAR (000) VALUE ------------ ------------ COMMERCIAL PAPER--(CONTINUED) LIFE INSURANCE--2.2% Metlife Short Term Funding(e) 0.280%, 03/07/11 .............................. $ 5,000 $ 4,999,767 0.260%, 04/13/11 .............................. 5,000 4,998,447 0.280%, 05/23/11 .............................. 6,000 5,996,127 ------------ 15,994,341 ------------ TOTAL COMMERCIAL PAPER (Cost $234,163,605) ..................... 234,163,605 ------------ MUNICIPAL BONDS--8.4% CALIFORNIA--1.7% California Bay Area Toll Authority, Toll Bridge Revenue, RB (LOC: Bank of America)(b)(d) 0.190%, 03/07/11 .............................. 5,000 5,000,000 California Housing Finance Agency Revenue, Series A, RB (LOC: Fannie Mae, Freddie Mac)(b)(d) 0.260%, 03/07/11 .............................. 3,400 3,400,000 San Francisco, City & County Redevelopment Agency, Multifamily Revenue, Series A, RB (Liquidity Facility: Fannie Mae)(b)(d) 0.240%, 03/07/11 .............................. 4,000 4,000,000 ------------ 12,400,000 ------------ COLORADO--0.9% Colorado State, Housing Finance Authority, Class I, Series A-3, RB (LOC: Fannie Mae, Freddie Mac)(b)(d) 0.260%, 03/07/11 .............................. 6,500 6,500,000 ------------ CONNECTICUT--0.8% Connecticut State, Health & Educational Facilities Authority Revenue, New Haven Hospital, Series K-2, RB (LOC: JPMorgan Chase Bank)(b)(d) 0.230%, 03/07/11 .............................. 5,800 5,800,000 ------------ ILLINOIS--0.7% Illinois State, Toll Highway Authority, Toll Highway Revenue, Series A-2, RB (SBPA: JPMorgan Chase Bank)(b)(d) 0.290%, 03/07/11 .............................. 5,000 5,000,000 ------------
See Accompanying Notes to Financial Statements. 4 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
PAR (000) VALUE ------------ ------------ MUNICIPAL BONDS--(CONTINUED) MASSACHUSETTS--0.5% Massachusetts Bay Transportation Authority, General Transportation System, RB (SBPA: Dexia Credit Local)(b)(d) 0.280%, 03/07/11 .............................. $ 4,000 $ 4,000,000 ------------ NEW YORK--2.8% New York City, Housing Development Corp., Multifamily Rent Housing Revenue, Series A, RB (LOC: Fannie Mae)(b)(d) 0.250%, 03/07/11 .............................. 6,000 6,000,000 New York City, Industrial Development Agency Civic Facility Revenue, New York Law School Project, Series A, RB (LOC: JPMorgan Chase Bank)(b)(d) 0.240%, 03/07/11 .............................. 4,445 4,445,000 New York State, Housing Finance Agency Revenue, RB (Liquidity Facility: Freddie Mac)(b)(d) 0.220%, 03/07/11 .............................. 5,200 5,200,000 Westchester County, Health Care Revenue, RB (LOC: TB Bank NA)(b)(d) 0.240%, 03/07/11 .............................. 5,000 5,000,000 ------------ 20,645,000 ------------ TEXAS--1.0% Harris County, Municipal Securities Trust Receipts, Class A, RB (LOC: Societe Generale)(b)(c)(d) 0.260%, 03/07/11 .............................. 3,695 3,695,000 Texas State, Veterans Housing Assessment Project, Series A-2, GO (Liquidity Facility: JPMorgan Chase & Co.)(b)(d) 0.230%, 03/07/11 .............................. 3,900 3,900,000 ------------ 7,595,000 ------------ TOTAL MUNICIPAL BONDS (Cost $61,940,000) ...................... 61,940,000 ------------
PAR (000) VALUE ------------ ------------ VARIABLE RATE OBLIGATIONS--1.2% BANKS--1.2% Merill Lynch, Pierce, Fenner and Smith Inc.(b)(d) 0.330%, 03/01/11 .............................. $ 4,000 $ 4,000,000 Rabobank Nederland NV(b)(c)(d) 2.053%, 04/07/11 .............................. 4,900 4,900,000 ------------ 8,900,000 ------------ TOTAL VARIABLE RATE OBLIGATIONS (Cost $8,900,000) ....................... 8,900,000 ------------ AGENCY OBLIGATIONS--8.8% Fannie Mae(b) 0.252%, 07/26/12 .............................. 6,500 6,498,175 0.294%, 09/17/12 .............................. 6,000 5,998,119 0.293%, 12/20/12 .............................. 3,500 3,498,719 Federal Home Loan Bank(b) 0.243%, 10/06/11 .............................. 7,000 6,998,293 Freddie Mac 0.363%, 04/01/11 (b) .......................... 5,000 5,000,429 0.191%, 05/05/11(b) ........................... 10,000 9,999,463 0.190%, 08/30/11(e) ........................... 5,000 4,995,197 0.212%, 12/29/11(b) ........................... 5,000 4,997,904 0.233%, 04/03/12(b) ........................... 6,000 5,997,339 0.202%, 11/02/12(b) ........................... 7,000 6,992,903 0.320%, 01/24/13(b) ........................... 4,000 3,996,932 ------------ TOTAL AGENCY OBLIGATIONS (Cost $64,973,473) ...................... 64,973,473 ------------ U.S. TREASURY OBLIGATIONS--14.2% U.S. Treasury Bills(e) 0.195%, 03/17/11 .............................. 6,500 6,499,437 0.195%, 03/31/11 .............................. 10,000 9,998,379 0.190%, 05/26/11 .............................. 3,500 3,498,411 0.212%, 06/02/11 .............................. 7,400 7,395,947 0.225%, 06/30/11 .............................. 8,000 7,993,950 0.200%, 07/07/11 .............................. 8,500 8,493,956 U.S. Treasury Notes 0.875%, 03/31/11 .............................. 8,500 8,504,414 4.875%, 05/31/11 .............................. 5,000 5,057,621 1.125%, 06/30/11 .............................. 11,750 11,784,240 5.000%, 08/15/11 .............................. 8,000 8,174,695 1.000%, 09/30/11 .............................. 17,500 17,576,691
See Accompanying Notes to Financial Statements. 5 THE RBB FUND, INC. MONEY MARKET PORTFOLIO SCHEDULE OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED)
PAR (000) VALUE ------------ ------------ U.S. TREASURY OBLIGATIONS--(CONTINUED) 1.000%, 10/31/11 .............................. $ 5,000 $ 5,025,499 4.625%, 10/31/11 .............................. 5,000 5,145,302 ------------ TOTAL U.S. TREASURY OBLIGATIONS (Cost $105,148,542) ..................... 105,148,542 ------------ REPURCHASE AGREEMENT--6.5% Deutsche Bank Securities Inc. (Tri-Party Agreement dated 02/28/11 to be repurchased at $48,147,254, collateralized by $48,185,000 par value, Federal National Mortgage Association Structured Notes and Federal Home Loan Mortgage Corp. Structured Notes, 0.00% to 6.00%, due 02/10/2012 to 04/18/2036, Fair Value of the collateral is $49,110,586) 0.190%, 03/01/11 .............................. 48,147 48,147,000 ------------ TOTAL REPURCHASE AGREEMENT (Cost $48,147,000) ...................... 48,147,000 ------------ TOTAL INVESTMENTS AT VALUE--100.9% (Cost $745,837,784)* .......................... 745,837,784 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(0.9)% .......................... (6,747,344) ------------ NET ASSETS (APPLICABLE TO 721,032,664 BEDFORD SHARES AND 18,053,088 SANSOM STREET SHARES )--100.0% ....................... $739,090,440 ============
* Aggregate cost is the same for financial reporting and Federal tax purposes. (a) Issuer is a US branch of a foreign domiciled bank. (b) Variable Rate Security. Rate shown is as of report date. (c) Security is exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in trans-actions exempt from registration, normally to qualified insti-tutional investors. At February 28, 2011, this security amounted to $8,595,000 or 1.2% of net assets. This security has been determined by the Adviser to be a liquid security. (d) Rate shown is as of report date and the date shown is date on which principal and accrued interest may be recovered through demand. (e) Rate disclosed represents the discount rate at the time of purchase. GO General Obligation LOC Line of Credit RB Revenue Bond SBPA Standby Bond Purchase Agreement The following is a summary of the inputs used, as of February 28, 2011, in valuing the Portfolio's investments carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ------- ------------ ------------ Investments in Securities* $745,837,784 $-- $745,837,784 $-- ============ === ============ ===
* Please refer to the Schedule of Investments for industry and security type breakouts. See Accompanying Notes to Financial Statements. 6 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (Cost $697,690,784) ............................... $697,690,784 Repurchase agreement, at value (Cost $48,147,000) ....................... 48,147,000 Cash .................................................................... 13 Receivables Interest receivable .................................................. 458,453 Prepaid expenses and other assets ....................................... 35,636 ------------ Total assets ...................................................... 746,331,886 ------------ LIABILITIES Payables Investments purchased ................................................ 6,992,903 Distribution to shareholders ......................................... 1,218 Investment advisory and administration fees .......................... 100,448 Custodian fees ....................................................... 46,139 Distribution fees .................................................... 24,505 Professional fees .................................................... 20,544 Service organization fees (Sansom Street Class) ...................... 1,600 Other accrued expenses and liabilities ............................... 54,089 ------------ Total liabilities ................................................. 7,241,446 ------------ Net Assets ........................................................ $739,090,440 ============ NET ASSETS CONSIST OF Par Value ............................................................... $ 739,086 Paid-in Capital ......................................................... 738,346,642 Accumulated net realized gain from investments .......................... 4,712 ------------ Net Assets .............................................................. $739,090,440 ============ BEDFORD CLASS Net assets .............................................................. $721,037,706 ------------ Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 721,032,664 ------------ Net asset value, offering and redemption price per share ................ $ 1.00 ============ SANSOM STREET CLASS Net assets .............................................................. $ 18,052,734 ------------ Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized) .. 18,053,088 ------------ Net asset value, offering and redemption price per share ................ $ 1.00 ============
See Accompanying Notes to Financial Statements. 7 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Interest ........................................... $ 1,165,836 ----------- Total investment income ......................... 1,165,836 ----------- EXPENSES Distribution fees (Bedford Class)(1) ............... 2,178,621 Investment advisory and administration fees ........ 1,406,523 Custodian fees ..................................... 75,952 Professional fees .................................. 57,131 Directors' and officers' fees ...................... 43,933 Printing and shareholder reporting fees ............ 30,701 Regulatory administration fees ..................... 28,255 Transfer agent fees ................................ 27,465 Registration and filing fees ....................... 16,466 Insurance fees ..................................... 9,479 Other expenses ..................................... 9,002 ----------- Total expenses before waivers ................... 3,883,528 Less: Advisory and administration waivers ....... (833,126) Less: Distribution fee waivers .................. (1,961,132) ----------- Net expenses after waivers ......................... 1,089,270 ----------- Net investment income .............................. 76,566 ----------- Net realized gain from investments ................. 4,712 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .. $ 81,278 ===========
(1) See Note 2 in Notes to Financial Statements See Accompanying Notes to Financial Statements. 8 THE RBB FUND, INC. MONEY MARKET PORTFOLIO STATEMENTS OF CHANGES IN NET ASSETS
FOR THE FOR THE SIX MONTHS ENDED YEAR ENDED FEBRUARY 28, 2011 AUGUST 31, (UNAUDITED) 2010 ----------------- ------------- INCREASE (DECREASE) IN NET ASSETS: FROM OPERATIONS: Net investment income ................................ $ 76,566 $ 163,554 Net realized gain from investments ................... 4,712 11,771 ------------- ------------- Net increase in net assets resulting from operations ....... 81,278 175,325 ------------- ------------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income: Bedford Class ........................................ (77,058) (190,149) Sansom Street Class .................................. (11,321) (40,344) ------------- ------------- Net decrease in net assets from dividends to shareholders .. (88,379) (230,493) ------------- ------------- CAPITAL TRANSACTIONS (AT $1.00 PER SHARE): Proceeds from shares sold: Bedford Class ........................................ 494,359,402 811,191,644 Sansom Street Class .................................. 72,969,141 126,322,590 Shares issued on reinvestment of distributions: Bedford Class ........................................ 75,452 185,482 Sansom Street Class .................................. 168 597 Shares repurchased: Bedford Class ........................................ (366,960,298) (762,949,046) Sansom Street Class .................................. (92,624,289) (121,108,751) ------------- ------------- Net increase in net assets derived from capital transactions ............................................ 107,819,576 53,642,516 ------------- ------------- Total increase in net assets ............................... 107,812,475 53,587,348 NET ASSETS: Beginning of period .................................. 631,277,965 577,690,617 ------------- ------------- End of period ........................................ $ 739,090,440 $ 631,277,965 ============= ============= Undistributed net investment income, end of period ......... $ -- $ 11,813 ============= ============= SHARE TRANSACTIONS: Shares sold Bedford Class ........................................ 494,359,402 806,442,244 Sansom Street Class .................................. 72,969,141 126,322,590 Shares reinvested Bedford Class ........................................ 75,452 185,482 Sansom Street Class .................................. 168 597 Shares repurchased Bedford Class ........................................ (366,960,298) (758,199,646) Sansom Street Class .................................. (92,624,289) (121,108,751) ------------- ------------- Total Share Activity ....................................... 107,819,576 53,642,516 ============= =============
See Accompanying Notes to Financial Statements. 9 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE BEDFORD CLASS FOR THE ------------------------------------------------------------------------------- SIX MONTHS FOR FOR FOR FOR FOR ENDED THE THE THE THE THE FEBRUARY 28, YEAR YEAR YEAR YEAR YEAR 2011 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 AUGUST 31, 2007 AUGUST 31, 2006 ------------ --------------- --------------- --------------- --------------- --------------- Net asset value, beginning of period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ............. 0.0001 0.0003 0.0074 0.0307 0.0447 0.0388 Net gains (losses) on securities .. --(b) --(b) --(b) --(b) --(b) --(b) -------- -------- -------- -------- -------- -------- Total net income from investment operations .................. 0.0001 0.0003 0.0074 0.0307 0.0447 0.0388 -------- -------- -------- -------- -------- -------- Less dividends and distributions: Dividends (from net investment income) ........................ (0.0001) (0.0003) (0.0074) (0.0307) (0.0447) (0.0388) -------- -------- -------- -------- -------- -------- Net asset value, end of period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return ...................... 0.01%(c) 0.03% 0.74% 3.12% 4.56% 3.95% Ratios/Supplemental Data Net assets, end of period (000's omitted) ................ $721,038 $593,570 $545,194 $319,387 $218,914 $150,657 Ratios of expenses to average net assets(a) .................. 0.31%(d) 0.31% 0.69% 0.90% 0.90% 0.85% Ratios of net investment income to average net assets .......... 0.02%(d) 0.02% 0.65% 2.94% 4.47% 3.81%
(a) Without the waiver of advisory fees, distribution fees, and/or reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Bedford Class of the Money Market Portfolio would have been 1.14% (annualized) for the six months ended February 28, 2011 and 1.18%, 1.24%, 1.23%, 1.29% and 1.34% for the years ended August 31, 2010, 2009, 2008, 2007 and 2006 respectively. (b) Amount is less than $0.00005 per share. (c) Not annualized. (d) Annualized. See Accompanying Notes to Financial Statements. 10 THE RBB FUND, INC. MONEY MARKET PORTFOLIO FINANCIAL HIGHLIGHTS (CONCLUDED) (FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
THE SANSOM STREET CLASS FOR THE ------------------------------------------------------------------------------- SIX MONTHS FOR FOR FOR FOR FOR ENDED THE THE THE THE THE FEBRUARY 28, YEAR YEAR YEAR YEAR YEAR 2011 ENDED ENDED ENDED ENDED ENDED (UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 AUGUST 31, 2007 AUGUST 31, 2006 ------------ --------------- --------------- --------------- --------------- --------------- Net asset value, beginning of period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------- -------- -------- -------- -------- -------- Income from investment operations: Net investment income ............. 0.0004 0.0010 0.0121 0.0365 0.0502 0.0434 Net gains (losses) on securities .. --(b) --(b) --(b) --(b) --(b) --(b) -------- -------- -------- -------- -------- -------- Total net income from investment operations .................. 0.0004 0.0010 0.0121 0.0365 0.0502 0.0434 -------- -------- -------- -------- -------- -------- Less dividends and distributions: Dividends (from net investment income) ........................ (0.0004) (0.0010) (0.0121) (0.0365) (0.0502) (0.0434) -------- -------- -------- -------- -------- -------- Net asset value, end of period ............................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ======== ======== ======== ======== ======== ======== Total Return ....................... 0.04%(c) 0.10% 1.21% 3.71% 5.14% 4.42% Ratios/Supplemental Data Net assets, end of period (000's omitted) ................ $ 18,053 $ 37,708 $ 32,496 $ 28,749 $ 15,352 $ 15,525 Ratios of expenses to average net assets(a) .................. 0.25%(d) 0.24% 0.25% 0.31% 0.35% 0.26% Ratios of net investment income to average net assets .......... 0.08%(d) 0.09% 0.93% 3.64% 5.02% 4.25%
(a) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Sansom Street Class of the Money Market Portfolio would have been 0.49%(annualized) for the six months ended February 28, 2011 and 0.54%, 0.60%, 0.60%, 0.69% and 0.67% for the years ended August 31, 2010, 2009, 2008, 2007 and 2006, respectively. (b) Amount is less than $0.00005 per share. (c) Not annualized. (d) Annualized. See Accompanying Notes to Financial Statements. 11 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988, and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Money Market Portfolio ("Portfolio"). RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Portfolio has issued shares with a par value of $0.001. SECURITY VALUATION -- Securities held in the Portfolio are valued under the amortized cost method, which approximates fair value. Under this method, securities are valued at cost when purchased and thereafter a constant accretion of discount or amortization of premium is recorded until maturity of the security. Regular review and monitoring of the valuation is performed to ensure that cost continues to approximate fair value and to avoid dilution or other unfair results to shareholders. The Portfolio seeks to maintain net asset value ("NAV") per share at $1.00. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Portfolio's investments are summarized into three levels as described below: - Level 1 -- unadjusted quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Portfolio's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Portfolio's investments as of February 28, 2011 is included with the Portfolio's Schedule of Investments. At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolio's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolio may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Level 1 and Level 2 for the Fund. 12 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Security transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. Interest income is accrued when earned. Certain expenses, such as distribution fee and service organization fees, are class specific expenses and vary by class. Expenses not directly attributable to a specific portfolio or class are allocated based on relative net assets of each portfolio and class. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all portfolios within the Company (such as director or professional fees) are charged to all portfolios in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolio. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income are declared daily, recorded on the ex-date and paid monthly. All dividends from net investment income are taxed as ordinary income. Any net realized capital gains are distributed at least annually. Income subject to dividends and capital gain subject to distributions are determined in accordance with U.S. federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. FEDERAL INCOME TAXES -- No provision is made for federal income taxes. It is the Company's intention to have the Portfolio continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended and make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes. REPURCHASE AGREEMENTS -- Money market instruments may be purchased from financial institutions, such as banks and non-bank dealers, subject to the seller's agreement to repurchase them at an agreed upon date and price. Collateral for repurchase agreements may have longer maturities than the maximum permissible remaining maturity of portfolio investments, provided the repurchase agreements themselves mature in 13 months or less. The seller is required on a daily basis to maintain the value of the securities subject to the agreement at no less than the repurchase price. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a separate account by the Portfolio's custodian or an authorized securities depository. In the event the counterparty defaults and the fair value of the collateral declines, the Portfolio could experience losses, delays and costs in liquidating the collateral. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions. These estimates and assumptions affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant. OTHER -- In the normal course of business, the Portfolio may enter into contracts that provide general indemnifications. The Portfolio's maximum exposure under these arrangements is dependent on claims that may be made against the Portfolio in the future and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 13 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES Pursuant to an Investment Advisory and Administration Agreement, BlackRock Institutional Management Corp. (the "Adviser" or "BIMC"), an indirect wholly owned subsidiary of BlackRock, Inc., serves as investment adviser and administrator for the Portfolio. BIMC and BNY Mellon Investment Servicing (US) Inc, ("BNY Mellon"), entered into a delegation agreement on behalf of the Portfolio, wherein BNY Mellon has agreed to perform administration and accounting services for an annual fee of 0.10% of the average net assets of the Portfolio, paid out of the fee paid to BIMC. For its advisory services, BIMC is entitled to receive the following fees, computed daily and payable monthly, and based on the Portfolio's average daily net assets: ANNUAL RATE 0.45% of first $250 million of net assets; 0.40% of next $250 million of net assets; and 0.35% of net assets in excess of $500 million. BIMC may, at its discretion, voluntarily waive and/or reimburse all or any portion of its advisory fee for the Portfolio. For each class of shares within the Portfolio, the net advisory fee charged to each class is the same on a relative basis. For the six months ended February 28, 2011, advisory fees and waivers were as follows:
GROSS ADVISORY NET ADVISORY AND AND ADMINISTRATION ADMINISTRATION FEE WAIVER FEE -------------- --------- -------------- $1,406,523 $(833,126) $573,397
As of February 28, 2011, the Portfolio owed BIMC $100,448 in advisory and administration fees. BNY Mellon and BNY Mellon Distributors Inc., ("BNY Mellon Distributors"), may also voluntarily waive a portion of their fees and/or reimburse expenses. The Portfolio will not pay BIMC, BNY Mellon or BNY Mellon Distributors at a later time for any amounts waived or assumed. For providing regulatory administration services to RBB, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. In addition, BNY Mellon serves as the Portfolio's transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets and is subject to certain minimum monthly fees. For providing custodial services to the Portfolio, PFPC Trust Company, an affiliate of BNY Mellon, is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio's average daily net assets subject to certain minimum monthly fees. The Portfolio, on behalf of the Bedford Class of shares of the Portfolio, has adopted a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the "Plan"). The Portfolio has entered into a Distribution Agreement with BNY Mellon Distributors. 14 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) The Plan provides for the Bedford Class to make monthly payments, based on average net assets, to BNY Mellon Distributors of up to 0.65% on an annualized basis. BNY Mellon Distributors may voluntarily waive these fees at its discretion. For the six months ended February 28, 2011, distribution fees paid to BNY Mellon Distributors for the Bedford Class were as follows:
GROSS NET DISTRIBUTION DISTRIBUTION FEE WAIVER FEE ------------ ----------- ------------ Bedford Class $2,178,621 $(1,961,132) $217,489
The Portfolio has entered into service agreements with BNY Mellon which render support services to customers who are the beneficial owners of the Sansom Street Class in consideration of the payment of 0.10% of the daily net asset value of such shares. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Portfolio during the six months ended February 28, 2011 was $37,314. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Portfolio or the Company. 4. SIGNIFICANT SHAREHOLDERS For the period ended February 28, 2011, the Portfolio had one shareholder account and/or Omnibus account (comprised of a group of individual shareholders) that amounted to 98% of the total shares outstanding of the Portfolio. 5. FEDERAL INCOME TAX INFORMATION The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Therefore, no federal tax provision is required. Management has analyzed the Portfolio's tax positions taken on federal income tax returns for all open tax years (August 31, 2007 - 2010) and has concluded that no provision for federal income tax is required in the Portfolio's financial statements. The Portfolio's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of August 31, 2010 the Portfolio had $17,335 of undistributed ordinary income for federal tax purposes. The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for Federal income tax purposes. Short-term capital gains are reported as ordinary income dividends for Federal income tax purposes. 15 THE RBB FUND, INC. MONEY MARKET PORTFOLIO NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The tax character of dividends and distributions paid during the year ended August 31, 2010 was as follows:
ORDINARY LONG-TERM INCOME GAINS ---------- --------- 2010 $3,031,192 $1,432
Dividends paid from net investment income and short-term capital gains are treated as ordinary income distributions for federal income tax purposes. For federal income tax purposes, realized capital losses may be carried forward and applied against future realized gains. As of August 31, 2010, the Portfolio had no capital loss carryforwards. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2010, the Portfolio did not incur a net post-October capital loss. 6. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 7. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 16 THE RBB FUND, INC. MONEY MARKET PORTFOLIO ADDITIONAL INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling the number shown below and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. Bedford (800) 888-9723 Sansom Street (800) 430-9618
QUARTERLY PORTFOLIO SCHEDULES The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarter of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP ("D&T") was replaced as the independent registered public accounting firm to the Portfolio effective upon the completion of services related to the audit for the Portfolio's 2010 fiscal year. The Company's Audit Committee participated in, and approved, the decision to change auditors. D&T's reports on the Portfolio's financial statements for the fiscal years ended August 31, 2010 and August 31, 2009 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Portfolio's fiscal years ended August 31, 2010 and August 31, 2009 and through November 11, 2010, (i) there were no disagreements with D&T on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of D&T, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Portfolio's financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. On November 11, 2010, the Company by action of its Board of Directors upon the recommendation of the Company's Audit Committee engaged PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm to audit the Portfolio's financial statements for the fiscal year ending August 31, 2011. During the Portfolio's fiscal years ended August 31, 2010 and August 31, 2009 and through November 11, 2010, neither the Company, its portfolios nor anyone on their behalf has consulted PwC on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Portfolio's financial statements or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304). PwC also serves as independent registered public accounting firm for certain of the Company's other portfolios. 17 [THIS PAGE INTENTIONALLY LEFT BLANK.] [THIS PAGE INTENTIONALLY LEFT BLANK.] INVESTMENT ADVISER BlackRock Institutional Management Corporation 100 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 ================================================================================ THE BEDFORD CLASS OF THE RBB FUND, INC. MONEY MARKET PORTFOLIO SEMI ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) AN INVESTMENT IN THE PORTFOLIO IS NOT INSURED OR GUARANTEED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER GOVERNMENT AGENCY. ALTHOUGH THE PORTFOLIO SEEKS TO PRESERVE THE VALUE OF YOUR INVESTMENT AT $1.00 PER SHARE, IT'S POSSIBLE TO LOSE MONEY BY INVESTING IN THE PORTFOLIO. THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS OF THE PORTFOLIO. IT IS NOT AUTHORIZED FOR DISTRIBUTION UNLESS PRECEDED OR ACCOMPANIED BY A PROSPECTUS FOR THE PORTFOLIO. ================================================================================ BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND SEMIANNUAL REPORT FOR THE SIX-MONTH PERIOD ENDED FEBRUARY 28, 2011 (UNAUDITED) Fellow Shareholder: Performance for both the Bogle Small Cap Growth Fund (the "Fund") and the benchmark Russell 2000(R) turned strongly positive in September 2010, the start of the latest semiannual reporting period. After a difficult summer for U.S. equity markets, the tone in the market shifted sharply in September, as investors turned optimistic on merger and acquisition activity and signs that the worst of the recession was over. U.S. equity markets generally advanced from September 2010 through February 2011. Both the Fund and the benchmark posted robust gains for the six months, and both ended the period above pre-2008 credit crisis levels but below highs set in the summer of 2007. In addition to strong absolute performance, the Fund produced consistent, positive relative performance, outperforming the benchmark in five of the six months in the semiannual period. During the semiannual period, the Fund's Investor shares advanced +43.46% net of all fees and Institutional shares gained +43.55% net of all fees; these results were about six percentage points (unannual- INVESTMENT PERFORMANCE - PERIODS ENDING FEBRUARY 28, 2011 BOGLE FUND VS. RUSSELL 2000(R) BENCHMARK (PERFORMANCE GRAPH) (PLOT POINTS TO COME) * Due to recent market conditions, the Fund has experienced relatively high one-year performance which may not be sustainable or repeated in the future. ---------- ALL FUND RETURNS ARE PRESENTED NET OF FEES AND INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER EARNINGS. MULTI-YEAR PERIOD RETURNS ARE ANNUALIZED. RETURNS SHOWN REPRESENT PAST PERFORMANCE AND DO NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE RETURNS SHOWN ABOVE. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT IN THE FUND WILL FLUC-TUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. RETURNS CURRENT TO THE MOST RECENT MONTH-END MAY BE OBTAINED AT 1-877-264-5346. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.51% FOR THE INSTITUTIONAL CLASS AND 1.61% FOR THE INVESTOR CLASS, PRIOR TO FEE WAIVERS. THE FUND'S INVESTMENT ADVISER, BOGLE INVESTMENT MANAGEMENT, L.P., HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE EXPENSES THROUGH DECEMBER 31, 2011 TO THE EXTENT THAT TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED 1.25% AND 1.35% FOR THE INSTITUTIONAL CLASS AND INVESTOR CLASS, RESPECTIVELY. THE ADVISER, IN ITS DISCRETION, HAS THE RIGHT TO EXTEND THIS WAIVER. THE RUSSELL 2000(R) IS AN INDEX OF STOCKS 1001 THROUGH 3000 IN THE RUSSELL 3000(R) INDEX AS RANKED BY TOTAL MARKET CAPITALIZATION. A DIRECT INVESTMENT IN THE INDEX IS NOT POSSIBLE. INVESTING IN SMALL COMPANIES CAN INVOLVE MORE VOLATILITY, LESS LIQUIDITY AND LESS AVAILABLE INFORMATION THAN INVESTING IN LARGE COMPANIES. 1 ized) ahead of the Russell 2000(R) benchmark return of +37.55%. The market environment is discussed in more detail in the next section of this letter. Semiannual performance is discussed further on pages two and three, including investment model performance, other performance attribution, and a few stock specific examples. We then present the fundamental characteristics of the Fund and benchmark, highlighting the Fund's above benchmark median expected growth rate and below benchmark price-based ratios. Finally, we close with an update on developments at Bogle Investment Management, L.P. MARKET ENVIRONMENT. As mentioned in our introduction, U.S. equity market performance was generally robust in the semiannual reporting period. The advance was also generally uninterrupted during the six month period, with two notable exceptions. Large cap value stocks declined in November, as this market segment was the most affected during the month by concerns about European sovereign debt defaults and the impact on European economies. Small cap growth stocks retreated in January, reflecting some profit taking in the market segment that had advanced the most since August. Investors showed a preference for small capitalization stocks during the semiannual period, as the Russell 2000(R) Index returned +37.55% compared with a +28.65% return for the Russell 1000(R). Within small capitalization stocks, growth outperformed value for the six months ended February 28, 2011, as the Russell 2000(R) Growth advanced +40.75%, while the Russell 2000(R) Value gained +34.31%. Cap-weighted and equal-weighted small cap indices showed similar performance for the six months (the equal-weighted Russell 2000(R) was up +38.64%) and we did not discern a strong investor preference for either stocks with positive price momentum or stocks that had been beaten down. Among small cap stocks (categorized using our eight proprietary sectors), the energy, basic industry and technology sectors were the strongest performers, while financials and utilities were the weakest. Market volatility was highest at the start of the semiannual period and was lowest at the end of the calendar year. Although the market generally continued to advance into 2011, returns were less consistent and volatility increased during January and February, reflecting concerns about the Middle East, ongoing uncertainty about European macroeconomies, and a general waning of investor enthusiasm for the U.S. equity markets. PERFORMANCE ATTRIBUTION. Our return attribution analysis shows that positive stock selection, as usual, accounted for the majority of the Fund's outperformance relative to its benchmark in the semiannual period. Recall that our three longer-term fundamental models seek to identify the following: 1) stocks that have demonstrated an ability to generate better earnings than the market expects (the earnings expectations model); 2) companies that do not have to "manufacture" earnings growth through aggressive accounting and that have a low percentage of their shares held by short sellers (financial quality model); and 3) stocks that trade at attractive valuations relative to their most similar peers (relative valuation model). You may also recall that last year we changed the way in which we trade the Fund, taking advantage of inefficiencies related to trading behavior that help us to implement our investment process more efficiently. On a stand-alone basis, within our small cap investable universe, all of our sub-models posted positive returns during the semiannual period. Financial quality sub-model performance was strongest, with positive returns in each month of the period except for December, when performance was flat. The earnings expectations sub-model extended its positive performance; the sub-model had struggled when trends were shifting during the market downturn and rebound, but it began to produce more consistently positive results in May of last year. Relative valuation sub-model performance was positive specifically in the last three months of the semiannual period. Stock selection was strongest in technology, energy and basic industry stocks, and was also positive in the consumer sectors. The Fund's modest growth orientation and approximately equal weighted portfolio construction (versus the benchmark's capitalization weighting of positions) both enhanced performance for the semiannual period. As you know, it is our policy to be essentially fully invested to maintain exposure to the small cap market, as we do not believe that we, nor most professional investors, can successfully forecast market direction. We also maintain factor and sector exposures that are very similar to those of our 2 benchmark (see table below), such that the significant majority of our relative returns have historically been attributed to stock selection. We continue to maintain a diversified portfolio of 150 to 200 stocks in order to minimize the impact any single stock can have on total Fund performance. At the end of the semiannual period, the Fund held 180 stocks and the largest holding represented 1.4% of net assets. Approximately 80% of the Fund was invested in 81 positions. In the stock specific examples that follow, we illustrate how our models led us to two stocks that outperformed the benchmark and one where our investment underperformed. NEWPORT CORPORATION develops, manufactures, and markets technology products and systems (including precision positioning systems and subsystems, optics, and lasers) to various industries worldwide. At the start of the semiannual period, the stock was experiencing good earning growth, and it was achieving this growth with conservative accounting. The stock price appreciated strongly relative to peers during the semiannual period, based on strong financial results and increased earnings and sales projections. We continued to hold the stock at the end of the semiannual period, as the composite fundamental model score remained strong and short-term performance indicators were also positive. Another strong relative contributor during the six months was CVR ENERGY, INC., a company that refines and markets transportation fuels and produces and markets nitrogen fertilizer products. Although the company's earnings expectations signal was weak when we first purchased the stock for the Fund in February 2010, the company appeared to have conservative accounting and a relatively inexpensive valuation. The stock price increased relative to the Russell 2000(R) in all six months of the semiannual period and earnings estimates were revised upward in January and February. The earnings score has since improved dramatically, while the other longer term fundamental measures also remain positive. Turning to an investment that negatively impacted performance, we built a position throughout the semiannual period in INTERACTIVE BROKERS GROUP, INC., an automated global electronic market maker and broker. As we initiated the position in mid-November, the stock ranked in the top 20% of financial stocks in our investable universe according to its composite score, with positive (although not strong) earnings expectations and very attractive relative valuation. As earning prospects have failed to improve, the stock price has been penalized. Attractive valuation characteristics have kept this investment in the portfolio. FUNDAMENTAL CHARACTERISTICS FEBRUARY 28, 2011
RUSSELL MEDIAN BOGLX* 2000(R) -------- ------ ------- Median Market Cap. ($mil.) $ 967 $1,204 Estimated Long-Term Earnings Growth Rate** 16.0% 13.3% Price/Historical Earnings 19.0x 20.9x Price/Forward Earnings 14.0x 17.2x Price/Sales 1.0x 1.9x
* THE BOGLE SMALL CAP GROWTH FUND INVESTOR SHARES. MEDIAN CHARACTERISTICS REFER TO THE FUND'S HOLDINGS, NOT THE FUND ITSELF. ** THE ESTIMATED LONG-TERM EARNINGS GROWTH RATE IS CALCULATED FOR THE FUND'S PORTFOLIO OF COMPANIES AND THE BENCHMARK COMPANIES FROM FIRST CALL ANALYSTS' MEDIAN ESTIMATED EARNINGS GROWTH RATE OVER THE NEXT 3 TO 5 YEARS. THIS FIGURE IS NOT INDICATIVE OF FUTURE PERFORMANCE OF THE FUND; THE PORTFOLIO AND BENCHMARK COMPANIES' ACTUAL EARNINGS GROWTH RATE WILL VARY FROM THIS FIGURE. INVESTMENT POSITIONING. As you can see in the table to the right, Fund characteristics remain in line with the benchmark. Note that small deviations from the benchmark reflected in the fundamental characteristics (and sector exposures) of the Fund arise purely from the bottom up stock selection process and do not reflect attempts to actively time the overall market, style preferences, or sector rotation. As of the end of February, the Fund's median market capitalization was below that of the benchmark, as we have continued to take advantage of our small size in pursuit of these smaller, less liquid opportunities. The Fund has had a higher median analysts' expected long-term earnings growth rate versus the benchmark since June of 2009. At the same time, the Fund has maintained its attractive valuation exposure, with price-to-earnings and price-to-sales ratios below the 3 benchmark. Selected risk statistics for the portfolio and benchmark are presented in the table to the right. Total fund volatility, as measured by the annualized standard deviation of daily returns, fell steadily for most of the semiannual period to below long-term average levels. Active volatility, or the standard deviation of the difference between the Fund and benchmark daily returns, fluctuated between 3.5% and 5.5% (annualized) over the last six months, also indicating stable markets. RISK STATISTICS*** SEMIANNUAL PERIOD
RUSSELL MEASUREMENT*** BOGLX 2000(R) --------------- ----- ------- Annualized Standard Deviation 19.7% 18.8% Annualized Active Volatility 4.9% Beta with Russell 2000(R) 1.02 Average Cash 0.8%
*** RISK STATISTICS APPLY TO THE FUND AND BENCHMARK. STANDARD DEVIATION IS A STATISTICAL MEASURE OF THE RANGE OF PERFORMANCE. ACTIVE RISK IS THE STANDARD DEVIATION OF THE DIFFERENCE BETWEEN THE FUND AND BENCHMARK PERFORMANCE. BETA IS A MEASURE OF A PORTFOLIO'S SENSITIVITY TO MARKET MOVEMENTS. PROGRESS AT BOGLE INVESTMENT MANAGEMENT, L.P. At the end of February 2011, assets in the Fund were $123 million. Net cashflows into the Fund turned positive in the fourth quarter of last year and we believe that we will see continued positive net flows if market volatility remains low and portfolio performance remains consistent. As we have always done, we will monitor growth in the Fund, growth in overall firm assets, and market liquidity conditions to determine when it is appropriate to reclose our investment strategies. We anticipate that if and when we reclose the Fund we will be able to remain open for existing shareholders and financial advisers, as we did when we closed in 2002. Finally, we are happy to report that our team remains the same, and we have not lost a single investment professional since inception of the firm eleven and a half years ago. As a reminder, information about the Fund, including historical NAVs, sector allocation, fundamental characteristics, and top ten holdings, can be viewed on our website, www.boglefunds.com. The NAVs are updated daily while the other Fund information is updated quarterly. Please feel free to call on us at any time with questions you may have about the portfolio or anything else that might be on your mind. Respectfully, Bogle Investment Management, L.P. Management Office: 781-283-5000 SHAREHOLDER Services Toll Free: 1-877-BOGLEIM (264-5346) THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH END MAY BE OBTAINED AT 1-877-264-5346. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. THIS MATERIAL MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS. 4 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
INSTITUTIONAL CLASS --------------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD* ----------------------- -------------------- -------------------- Actual $1,000.00 $1,435.50 $7.55 Hypothetical (5% return before expenses) 1,000.00 1,018.52 6.28
5 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FUND EXPENSE EXAMPLES (CONCLUDED) (UNAUDITED)
INVESTOR CLASS --------------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 PERIOD* ----------------------- -------------------- -------------------- Actual $1,000.00 $1,434.60 $8.15 Hypothetical (5% return before expenses) 1,000.00 1,018.02 6.78
---------- * Expenses are equal to the Fund's annualized six-month expense ratio of 1.25% for the Institutional Class and 1.35% for the Investor Class, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund's ending account values on the first line in each table are based on the actual six-month total return for each class of 43.55% for the Institutional Class and 43.46% for the Investor Class. 6 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET SECURITY TYPE & SECTOR CLASSIFICATION ASSETS VALUE ------------------------------------- -------- ------------ COMMON STOCKS: Technology 25.3% $ 31,179,481 Consumer Growth 23.4 28,931,030 Financial 15.1 18,642,477 Consumer Cyclical 12.0 14,826,581 Industrial 10.9 13,500,046 Basic Industry 6.9 8,518,600 Energy 5.1 6,248,096 Utility 0.1 135,173 SHORT-TERM INVESTMENTS 1.0 1,254,498 OTHER ASSETS IN EXCESS OF LIABILITIES 0.2 277,221 ----- ------------ NET ASSETS 100.0% $123,513,203 ===== ============
---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 7 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ COMMON STOCKS--98.8% BASIC INDUSTRY--6.9% Boise, Inc ....................................... 35,743 $ 320,972 Buckeye Technologies, Inc. ....................... 58,774 1,539,879 Endeavour Silver Corp. * ......................... 153,657 1,138,598 Ferro Corp. * .................................... 83,214 1,324,767 Georgia Gulf Corp. * ............................. 1,307 41,719 Huntsman Corp. ................................... 1,307 23,069 Innospec, Inc. * ................................. 46,645 1,250,552 Kronos Worldwide, Inc. ........................... 18,743 927,779 New Gold, Inc. * ................................. 52,747 506,899 Noranda Aluminum Holding Corp. * ................. 85,027 1,340,876 Schnitzer Steel Industries, Inc., Class A ........ 1,612 103,490 ------------ 8,518,600 ------------ CONSUMER CYCLICAL--12.0% Bon-Ton Stores, Inc., (The) * .................... 42,017 657,986 Destination Maternity Corp. ...................... 5,910 266,541 Domino's Pizza, Inc. * ........................... 75,205 1,268,708 Eastman Kodak Co. * .............................. 16,964 57,678 Express, Inc. .................................... 64,351 1,157,031 Foot Locker, Inc. ................................ 67,300 1,337,251 Goodyear Tire & Rubber Co., (The) * .............. 93,113 1,320,342 Imax Corp. * ..................................... 20,807 551,594 Liz Claiborne, Inc. * ............................ 253,961 1,305,360 LoJack Corp. * ................................... 74,821 447,430 Melco Crown Entertainment Ltd., ADR * ............ 184,080 1,279,356 New York & Co., Inc. * ........................... 2,533 17,604 Pantry, Inc., (The) * ............................ 56,780 894,853 PEP Boys-Manny, Moe & Jack ....................... 40,089 502,315 Rick's Cabaret International, Inc. * ............. 654 7,116 Select Comfort Corp. * ........................... 1,274 14,180 Susser Holdings Corp. * .......................... 12,600 174,510 TAM SA, SP ADR ................................... 60,776 1,302,430 Timberland Co., (The), Class A * ................. 2,933 108,345 Valuevision Media, Inc., Class A * ............... 192,273 1,286,306 Washington Post Co., (The), Class B .............. 2,008 869,645 ------------ 14,826,581 ------------
NUMBER OF SHARES VALUE --------- ------------ CONSUMER GROWTH--23.4% Accuray, Inc. * .................................. 73,986 $ 732,461 AMERIGROUP Corp. * ............................... 23,286 1,335,452 Arthrocare Corp. * ............................... 27,178 937,369 Boston Beer Co., Inc., (The), Class A * .......... 13,786 1,279,617 Cardica, Inc. * .................................. 192 630 Cardiovascular Systems, Inc. * ................... 33,921 301,897 Cia Cervecerias Unidas SA, ADR ................... 3,308 179,128 Coca-Cola Bottling Co. Consolidated .............. 11,488 662,858 Cosan Ltd., Class A .............................. 101,873 1,401,772 Coventry Health Care, Inc. * ..................... 16,741 505,578 Depomed, Inc. * .................................. 6,782 56,901 Elizabeth Arden, Inc. * .......................... 41,756 1,214,682 Emergent Biosolutions, Inc. * .................... 21,869 460,124 Endo Pharmaceuticals Holdings, Inc. * ............ 1,667 59,212 Genomic Health, Inc. * ........................... 10,814 272,945 Health Management Associates, Inc., Class A * .... 59,292 592,920 Health Net, Inc. * ............................... 42,048 1,237,052 Herbalife Ltd. ................................... 2,646 207,473 Hill-Rom Holdings, Inc. .......................... 33,126 1,261,107 Impax Laboratories, Inc. * ....................... 61,392 1,264,061 Inspire Pharmaceuticals, Inc. * .................. 64,380 258,808 Integra LifeSciences Holdings Corp. * ............ 257 12,889 ISTA Pharmaceuticals, Inc. * ..................... 32,633 251,600 Jazz Pharmaceuticals, Inc. * ..................... 56,391 1,388,910 Lincoln Educational Services Corp. ............... 82,323 1,276,830 Magellan Health Services, Inc. * ................. 25,913 1,243,306 Medicines Co., (The) * ........................... 57,501 999,942 Nabi Biopharmaceuticals * ........................ 27,415 155,169 Orthofix International, N.V. * ................... 703 22,215 Par Pharmaceutical Cos., Inc. * .................. 39,598 1,222,786 PDL BioPharma, Inc ............................... 256,113 1,421,427 Providence Service Corp. * ....................... 18,677 306,490 Smithfield Foods, Inc. * ......................... 5,148 119,176 SunOpta, Inc. * .................................. 85,676 588,594 SXC Health Solutions Corp. * ..................... 2,359 116,417 Team Health Holdings, Inc. * ..................... 13,408 247,914 Tyson Foods, Inc., Class A ....................... 71,253 1,327,443
The accompanying notes are an integral part of the financial statements. 8 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ CONSUMER GROWTH--(CONTINUED) Universal Technical Institute,Inc. ............... 38,751 $ 713,018 Viropharma, Inc. * ............................... 74,186 1,330,155 WellCare Health Plans, Inc. * .................... 33,307 1,250,678 Wright Medical Group, Inc. * ..................... 37,330 590,934 WuXi Pharmatech Cayman, Inc., ADR * .............. 8,098 123,090 ------------ 28,931,030 ------------ ENERGY--5.1% Callon Petroleum Co. * ........................... 9,024 75,621 China Sunergy Co., Ltd., ADR * ................... 24,758 111,411 Clayton Williams Energy, Inc. * .................. 12,409 1,316,347 CVR Energy, Inc. * ............................... 65,400 1,236,060 Energy Partners Ltd. * ........................... 83,873 1,373,001 Hercules Offshore, Inc. * ........................ 42,179 208,364 Petrobras Argentina SA, ADR ...................... 23,494 540,597 SEACOR Holdings, Inc. ............................ 12,050 1,141,979 SinoCoking Coal and Coke Chemical Industries, Inc. * ........................................ 18,509 192,864 Western Refining, Inc. * ......................... 3,187 51,852 ------------ 6,248,096 ------------ FINANCIAL--15.1% Advance America Cash Advance Centers, Inc. ....... 98,168 528,144 American Financial Group, Inc. ................... 36,641 1,268,878 American Safety Insurance Holdings Ltd. * ........ 37,609 802,952 BanColumbia SA, SP ADR ........................... 23,394 1,331,820 BGC Partners, Inc., Class A ...................... 38,582 368,844 Calamos Asset Management, Inc., Class A .......... 79,680 1,321,094 CapitalSource, Inc. .............................. 87,179 660,817 Cardtronics, Inc. * .............................. 73,057 1,384,430 E*TRADE Financial Corp. * ........................ 71,827 1,147,795 FBL Financial Group, Inc., Class A 4,827 150,795 Financial Engines, Inc. * ........................ 25,100 612,691 FXCM, Inc., Class A * ............................ 1,681 19,130 Grupo Financiero Galicia SA, ADR * ............... 88,402 1,270,337
NUMBER OF SHARES VALUE --------- ------------ FINANCIAL--(CONTINUED) Interactive Brokers Group, Inc., Class A ......... 80,707 $ 1,246,923 LPL Investment Holdings, Inc. * .................. 38,523 1,294,758 Maiden Holdings Ltd. ............................. 43,146 344,737 MarketAxess Holdings, Inc. ....................... 2,504 53,561 MB Financial, Inc. ............................... 1,721 35,401 MF Global Holdings Ltd. * ........................ 86,604 750,857 Nara Bancorp, Inc. * ............................. 14,499 151,950 Netspend Holdings, Inc. * ........................ 60,556 793,889 Pzena Investment Management, Inc., Class A ....... 75,285 568,402 Transatlantic Holdings, Inc. ..................... 12,914 657,710 United Fire & Casualty Co. ....................... 3,831 79,263 Unitrin, Inc. .................................... 44,915 1,315,560 Universal American Corp. ......................... 220 4,528 Waddell & Reed Financial, Inc., Class A .......... 11,818 477,211 ------------ 18,642,477 ------------ INDUSTRIAL--10.9% Altra Holdings, Inc. * ........................... 1,626 35,170 AMERCO * ......................................... 13,214 1,276,340 CAI International, Inc. * ........................ 26,370 558,517 Casella Waste Systems, Inc., Class A * ........... 24,487 179,490 China Digital TV Holding Co., Ltd., ADR .......... 23,392 167,253 Diebold, Inc. .................................... 1,879 66,066 DXP Enterprises, Inc. * .......................... 16,264 345,773 G & K Services, Inc., Class A .................... 320 10,374 Great Lakes Dredge & Dock Co. .................... 163,039 1,283,117 iRobot Corp. * ................................... 11,427 328,183 KEMET Corp. * .................................... 94,428 1,312,549 Kforce, Inc. * ................................... 581 10,377 Mueller Industries, Inc. ......................... 572 19,437 Navios Maritime Holdings, Inc. ................... 4,167 23,627 Navistar International Corp. * ................... 20,463 1,268,297 Park-Ohio Holdings Corp * ........................ 1,866 41,201 Quality Distribution, Inc. * ..................... 490 4,949 RailAmerica, Inc. * .............................. 34,453 516,795 Ryder System, Inc. ............................... 26,392 1,262,329 Sauer-Danfoss, Inc. * ............................ 43,053 1,314,408
The accompanying notes are an integral part of the financial statements. 9 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ INDUSTRIAL--(CONTINUED) Steelcase, Inc., Class A ......................... 53,629 $ 520,738 TAL International Group, Inc. .................... 4,154 144,892 Timken Co., (The) ................................ 2,939 143,188 TriMas Corp. * ................................... 62,427 1,284,123 TrueBlue, Inc. * ................................. 7,665 123,790 Twin Disc, Inc. .................................. 38,908 1,259,063 ------------ 13,500,046 ------------ TECHNOLOGY--25.3% ACI Worldwide, Inc. * ............................ 46,081 1,442,796 Airmedia Group, Inc., ADR * ...................... 86,251 568,394 Allot Communications Ltd. * ...................... 47,134 751,080 Ancestry.com, Inc. * ............................. 4,193 137,782 AudioCodes Ltd. * ................................ 150,240 978,062 Brightpoint, Inc. * .............................. 133,349 1,680,197 Coherent, Inc. * ................................. 2,922 180,434 Datalink Corp. * ................................. 134,069 904,966 Energy Conversion Devices, Inc. * ................ 248,810 975,335 Entegris, Inc. * ................................. 146,344 1,276,120 FEI Co. * ........................................ 422 14,150 Glu Mobile, Inc. * ............................... 270,686 1,226,208 HealthStream, Inc. * ............................. 30,281 235,889 Internap Network Services Corp. * ................ 21,308 144,894 Itron, Inc. * .................................... 17,368 984,939 Jabil Circuit, Inc. .............................. 59,200 1,268,656 Keynote Systems, Inc. ............................ 70,498 1,240,060 Kulicke & Soffa Industries, Inc. * ............... 10,434 100,062 Lattice Semiconductor Corp. * .................... 117,342 779,151 LeCroy Corp. * ................................... 88,253 1,239,072 Manhattan Associates, Inc. * ..................... 35,124 1,130,993 Monotype Imaging Holdings, Inc. * ................ 82,374 1,102,164 NaviSite, Inc. * ................................. 245 1,338 Newport Corp. * .................................. 73,698 1,227,072 Nova Measuring Instruments Ltd. * ................ 133,567 1,255,530 O2Micro International Ltd., ADR * ................ 946 7,738 Online Resources Corp. * ......................... 9,557 62,598 Oplink Communications, Inc. * .................... 1,052 28,625 OPNET Technologies, Inc. ......................... 3,391 115,565
NUMBER OF SHARES VALUE --------- ------------ TECHNOLOGY--(CONTINUED) Orbotech Ltd. * .................................. 53,430 $ 752,294 Photronics, Inc. * ............................... 147,035 1,314,493 RealNetworks, Inc. * ............................. 81,027 311,954 Rudolph Technologies, Inc. * ..................... 19,539 216,492 Silicon Image, Inc. * ............................ 180,730 1,453,069 Silicon Motion Technology Corp., ADR * ........... 1,767 16,044 Spreadtrum Communications, Inc., ADR * ........... 61,839 1,234,306 Unisys Corp. * ................................... 34,877 1,296,029 USA Mobility, Inc. ............................... 57,562 858,825 Verint Systems, Inc. * ........................... 38,018 1,307,059 Vishay Intertechnology, Inc. * ................... 245 4,275 WebMD Health Corp. * ............................. 1,776 103,008 Websense, Inc. * ................................. 58,439 1,251,763 ------------ 31,179,481 ------------ UTILITY--0.1% Pampa Energia SA, SP ADR ......................... 8,665 135,173 ------------ TOTAL COMMON STOCKS (Cost $108,683,408) ........................ 121,981,484 ------------ SHORT-TERM INVESTMENTS--1.0% Columbia Prime Reserves Fund ..................... 1,254,498 1,254,498 ------------ TOTAL SHORT-TERM INVESTMENTS (Cost $1,254,498) .......................... 1,254,498 ------------ TOTAL INVESTMENTS--99.8% (Cost $109,937,906) .............................. 123,235,982 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES--0.2% ......... 277,221 ------------ NET ASSETS--100.0% .................................. $123,513,203 ============
---------- * Non-income producing. ADR -- American Depositary Receipt. SP ADR -- Sponsored American Depositary Receipt. The accompanying notes are an integral part of the financial statements. 10 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The following is a summary of inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ------------ ----------- ------------ TOTAL INVESTMENTS* $123,235,982 $123,235,982 $-- $-- ============ ============ === ===
* See Portfolio of Investments detail for security type and sector classification breakout. The accompanying notes are an integral part of the financial statements. 11 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (cost $109,937,906) .............................. $123,235,982 Receivables for: Investments sold .................................................... 7,234,543 Capital shares sold ................................................. 707,227 Dividends ........................................................... 64,039 Prepaid expenses and other assets ................................... 17,242 ------------ Total assets ..................................................... 131,259,033 ------------ LIABILITIES Payables for: Investments purchased ............................................... 7,373,721 Capital shares redeemed ............................................. 217,914 Investment advisory fees and shareholder servicing fees ............. 83,636 Directors' and officers' fees ....................................... 1,628 Other accrued expenses and liabilities .............................. 68,931 ------------ Total liabilities ................................................ 7,745,830 ------------ Net assets ............................................................. $123,513,203 ============ NET ASSETS CONSIST OF Capital stock, $0.001 par value ........................................ $ 5,861 Paid-in capital ........................................................ 155,716,212 Accumulated net investment loss ........................................ (320,834) Accumulated net realized loss from investments ......................... (45,186,112) Net unrealized appreciation on investments ............................. 13,298,076 ------------ Net assets ............................................................. $123,513,203 ============ INSTITUTIONAL CLASS Net assets ............................................................. $ 46,152,691 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 2,170,999 ------------ Net asset value, offering and redemption price per share ............... $ 21.26 ============ INVESTOR CLASS Net assets ............................................................. $ 77,360,512 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 3,690,451 ------------ Net asset value, offering and redemption price per share ............... $ 20.96 ============
The accompanying notes are an integral part of the financial statements. 12 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Dividends (net of foreign withholding taxes of $600) ................... $ 346,933 ----------- Total investment income .......................................... 346,933 ----------- EXPENSES Advisory fees .......................................................... 509,289 Administration and accounting fees ..................................... 76,440 Transfer agent fees .................................................... 71,699 Shareholder servicing fees ............................................. 31,156 Professional fees ...................................................... 23,437 Registration and filing fees ........................................... 17,852 Custodian fees ......................................................... 16,473 Printing and shareholder reporting fees ................................ 14,876 Chief compliance officer fees .......................................... 6,815 Directors' and officers' fees .......................................... 6,373 Insurance fees ......................................................... 3,650 Other expenses ......................................................... 9,735 ----------- Total expenses before waivers ....................................... 787,795 Less: waivers ....................................................... (120,028) ----------- Net expenses after waivers ............................................. 667,767 ----------- Net investment loss .................................................... (320,834) ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS Net realized gain/(loss) from investments .............................. 21,280,529 Net change in unrealized appreciation/(depreciation) on investments .... 13,752,596 ----------- Net realized and unrealized gain from investments ......................... 35,033,125 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $34,712,291 ===========
The accompanying notes are an integral part of the financial statements. 13 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment loss .................................................... $ (320,834) $ (486,243) Net realized gain from investments ..................................... 21,280,529 19,623,580 Net change in unrealized appreciation/(depreciation) on investments .... 13,752,596 (14,010,093) ------------ ------------ Net increase in net assets resulting from operations ................... 34,712,291 5,127,244 ------------ ------------ INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ........................................... 5,498,186 8,195,988 Distributions for shares redeemed ................................... (4,693,887) (13,976,421) ------------ ------------ Total Institutional Class ........................................... 804,299 (5,780,433) Investor Class Proceeds from shares sold ........................................... 14,627,104 5,494,728 Distributions for shares redeemed ................................... (6,790,504) (13,630,981) ------------ ------------ Total Investor Class 7,836,600 (8,136,253) ------------ ------------ Net increase/(decrease) in net assets from capital share transactions ..... 8,640,899 (13,916,686) ------------ ------------ Total increase/(decrease) in net assets ................................... 43,353,190 (8,789,442) ------------ ------------ NET ASSETS Beginning of period .................................................... 80,160,013 88,949,455 ------------ ------------ End of period .......................................................... $123,513,203 $ 80,160,013 ============ ============ Undistributed net investment income/(loss), end of period .............. $ (320,834) $ -- ============ ============
The accompanying notes are an integral part of the financial statements. 14 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS (CONCLUDED)
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- --------------- INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: Institutional Class Shares sold ......................................................... 283,925 519,898 Shares redeemed ..................................................... (254,420) (912,854) -------- -------- Total Institutional Class ........................................... 29,505 (392,956) -------- -------- Investor Class Shares sold ......................................................... 739,661 360,412 Shares redeemed ..................................................... (364,963) (895,346) -------- -------- Total Investor Class ................................................ 374,698 (534,934) -------- -------- Total decrease in shares outstanding derived from share transactions ... 404,203 (927,890) ======== ========
The accompanying notes are an integral part of the financial statements. 15 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
INSTITUTIONAL CLASS ------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 2/28/11 8/31/10 8/31/09 8/31/08 8/31/07 8/31/06 ----------- ------- ------- ------- -------- -------- (UNAUDITED) PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ........ $ 14.81 $ 14.03 $ 17.35 $ 24.61 $ 27.74 $ 28.78 ------- ------- ------- ------- -------- -------- Net investment loss* ........................ (0.05) (0.07) (0.05) (0.13) (0.08) (0.16) Net realized and unrealized gain/(loss) from investments ......................... 6.50 0.85 (3.27) (3.99) 2.74 3.08 ------- ------- ------- ------- -------- -------- Net increase/(decrease) in net assets resulting from operations ................ 6.45 0.78 (3.32) (4.12) 2.66 2.92 ------- ------- ------- ------- -------- -------- Distributions to shareholders from: Net realized capital gains .................. -- -- -- (3.14) (5.79) (3.96) ------- ------- ------- ------- -------- -------- Net asset value, end of period .............. $ 21.26 $ 14.81 $ 14.03 $ 17.35 $ 24.61 $ 27.74 ======= ======= ======= ======= ======== ======== Total investment return(1) .................. 43.55%(2) 5.56% (19.08)% (19.33)% 10.29% 12.46% ======= ======= ======= ======= ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ... $46,153 $31,714 $35,571 $84,546 $197,415 $189,920 Ratio of expenses to average net assets with waivers and reimbursements .......... 1.25%(3) 1.25% 1.25% 1.25% 1.25% 1.25% Ratio of expenses to average net assets without waivers and reimbursements ....... 1.49%(3) 1.51% 1.57% 1.44% 1.43% 1.43% Ratio of net investment loss to average net assets ....................... (0.56)%(3) (0.48)% (0.44)% (0.64)% (0.30)% (0.55)% Portfolio turnover rate ..................... 138.80%(2) 196.03% 159.14% 162.10% 142.45% 126.64%
---------- * Calculated based on average shares outstanding for the period. (1) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not Annualized. (3) Annualized. The accompanying notes are an integral part of the financial statements. 16 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
INVESTOR CLASS ------------------------------------------------------------------- FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE SIX MONTHS YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED 2/28/11 8/31/10 8/31/09 8/31/08 8/31/07 8/31/06 ----------- ------- ------- ------- -------- -------- (UNAUDITED) PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ........ $ 14.61 $ 13.86 $ 17.14 $ 24.38 $ 27.56 $ 28.65 ------- ------- ------- ------- -------- -------- Net investment loss* ........................ (0.06) (0.09) (0.06) (0.14) (0.10) (0.18) Net realized and unrealized gain/(loss) from investments ......................... 6.41 0.84 (3.22) (3.96) 2.71 3.05 ------- ------- ------- ------- -------- -------- Net increase/(decrease) in net assets resulting from operations ................ 6.35 0.75 (3.28) (4.10) 2.61 2.87 ------- ------- ------- ------- -------- -------- Distributions to shareholders from: Net realized capital gains .................. -- -- -- (3.14) (5.79) (3.96) ------- ------- ------- ------- -------- -------- Net asset value, end of period .............. $ 20.96 $ 14.61 $ 13.86 $ 17.14 $ 24.38 $ 27.56 ======= ======= ======= ======= ======== ======== Total investment return(1) .................. 43.46%(2) 5.41% (19.14)% (19.45)% 10.15% 12.33% ======= ======= ======= ======= ======== ======== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ... $77,360 $48,446 $53,379 $82,477 $135,752 $147,471 Ratio of expenses to average net assets with waivers and reimbursements .......... 1.35%(3) 1.35% 1.35% 1.35% 1.35% 1.35% Ratio of expenses to average net assets without waivers and reimbursements ....... 1.59%(3) 1.62% 1.67% 1.54% 1.53% 1.53% Ratio of net investment loss to average net assets ....................... (0.67)%(3) (0.58)% (0.56)% (0.74)% (0.40)% (0.65)% Portfolio turnover rate ..................... 138.80%(2) 196.03% 159.14% 162.10% 142.45% 126.64%
--------- * Calculated based on average shares outstanding for the period. (1) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not Annualized. (3) Annualized. The accompanying notes are an integral part of the financial statements. 17 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the "Investment Company Act") as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the "Fund"), which commenced investment operations on October 1, 1999. As of the date hereof, the Fund offers two classes of shares, Institutional Class and Investor Class. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 - unadjusted quoted prices in active markets for identical securities - Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) 18 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is included with the Fund's Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. The Fund's net investment income (other than class specific shareholder servicing fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from accounting principles generally accepted in the United States. 19 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Bogle Investment Management, L.P. (the "Adviser" or "Bogle") serves as the Fund's investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 1.00% of the Fund's average daily net assets. The Adviser has contractually agreed to limit the Fund's total operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) through December 31, 2011 to the extent that such expenses exceed 1.25% of the average daily net assets of the Fund's Institutional Class and 1.35% of the average daily net assets of the Fund's Investor Class. As necessary, this limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee. The contractual fee waiver does not provide for recoupment of fees that were waived or expenses that were reimbursed. For the six-month period ended February 28, 2011, investment advisory fees and waivers of the Fund were as follows:
GROSS NET ADVISORY FEES WAIVERS ADVISORY FEES ------------- --------- ------------- $509,289 $(113,662) $395,627
The Fund will not pay the Adviser at a later time for any amounts waived or any amounts assumed. In addition to serving as the Fund's investment adviser, Bogle provides certain shareholder services to the Investor Class of the Fund. As compensation for such services, the Adviser receives a monthly fee equal to an annual rate of 0.10% of the average daily net assets of the Fund's Investor Class. BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. 20 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) BNY Mellon has voluntarily agreed to waive a portion of its administration and accounting fees for the Fund. For the six-month period ended February 28, 2011, administration and accounting fees and waivers of the Fund were as follows:
GROSS ADMINISTRATION NET ADMINISTRATION AND ACCOUNTING AND ACCOUNTING FEES WAIVERS FEES -------------------- ------- ------------------ $76,440 $(6,366) $70,074
For providing regulatory administration services to RBB, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. In addition, BNY Mellon serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. For providing custodial services to the Fund, PFPC Trust Company, a member of The Bank of New York Mellon Corporation, is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. BNY Mellon Distributors Inc. serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. The Fund will not pay The Bank of New York Mellon Corporation or any of its members or BNY Mellon's affiliates at a later time for any amounts waived or any amounts assumed. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six-month period ended February 28, 2011 was $6,600. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six-month period ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
INVESTMENT SECURITIES --------------------------- PURCHASES SALES ------------ ------------ $146,640,938 $139,582,135
21 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED) 5. CAPITAL SHARE TRANSACTIONS As of February 28, 2011, the Fund has 100,000,000 shares of $0.001 par value common stock authorized for the Institutional Class and 100,000,000 shares of $0.001 par value common stock authorized for the Investor Class. As of February 28, 2011, the Fund had two shareholder accounts and/or omnibus accounts (comprised of a group of individual shareholders) that held 31% of the total shares outstanding of the Fund. 6. FEDERAL INCOME TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION DEPRECIATION ------------ ------------ ------------ -------------- $109,937,906 $15,360,691 $(2,062,615) $13,298,076
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. There were no dividends or distributions paid during the fiscal year ended August 31, 2010. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. As of August 31, 2010, the Fund had a capital loss carryforward of $65,547,173 available to offset future capital gains. This capital loss carryforward will expire as follows: August 31, 2018 ........... $26,317,731 August 31, 2017 ........... $36,842,815 August 31, 2016 ........... $ 2,386,627
22 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) (UNAUDITED) Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2010, the Fund did not incur a net post-October capital loss. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are currently effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund though the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 23 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 24 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISER Bogle Investment Management, L.P. 2310 Washington Street Suite 310 Newton Lower Falls, MA 02462 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 BOGLE INVESTMENT MANAGEMENT SMALL CAP GROWTH FUND OF THE RBB FUND, INC. SEMIANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. FREE MARKET FUNDS SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2011 (UNAUDITED) Dear Fellow Shareholder, The Free Market Mutual Funds (the "Funds") have steadily gained assets since their start and are collectively approaching the $2 billion mark. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies. Over the past six months ended February 28, 2011, investors who remained invested have continued to experience the gains from the upward rally that started March 9, 2009. Global equity markets over the past six months have risen 24.75% as measured by the MSCI All Country World Index. Furthermore, U.S. Small stocks and U.S. Small Value stocks led the way with double digit returns over the past half a year. However, the majority of all the equity asset classes experienced double digit returns for the period. The Barclays Capital US Government/Credit Intermediate Bond Index slipped slightly with returns of -0.62% for the last six months. Matson Money, Inc. ("Matson Money") strives to deliver the performance of capital markets and add value through Free Market Investment strategies and Structured Market Portfolios. Grounded in the conviction that Free Markets work, Matson Money avoids the cost-generating activity of stock picking and market timing. Instead, we focus on the dimensions of capital markets that we believe reward investors as intelligently and effectively as possible. Our disciplined approach to lifelong investing provides both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals. Sound economic and financial research has documented that, over the long term, small cap stocks outperform large cap stocks, and value stocks outperform growth stocks. These returns seem to be compensation for risk. In fixed income, risk is well described by bond maturity and credit quality. Matson Money's vehicles deliberately target specific risk and return trade offs. The Funds are broadly diversified and designed to work together in your total investment plan. We invite you to contact your financial professional or explore our website, www.MyMatrix.cc, to learn more about the concepts and strategies of Matson Money's investing. We appreciate your support and confidence in our firm's investment philosophy, process and people. /s/ Daniel J List Daniel J List Chief Compliance Officer and Director of Portfolio Management Matson Money, Inc. 1 FREE MARKET FUNDS PERFORMANCE DATA (UNAUDITED) FREE MARKET U.S. EQUITY FUND Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL ----------------------------- SIX ONE THREE SINCE MONTHS* YEAR YEAR INCEPTION** ------- ----- ----- ----------- FREE MARKET U.S. EQUITY FUND 36.51%*** 30.62%*** 5.45% 5.99% RUSSELL 2500(R) INDEX 36.04% 32.74% 7.80% 4.18% COMPOSITE INDEX 31.70% 26.76% 4.33% 1.11%
* Not annualized. ** The Fund commenced operations on December 31, 2007. *** Due to recent market conditions, the Fund has experienced relatively high performance which might not be sustainable or repeated in the future. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.01% (INCLUDED IN THE RATIO IS 0.34%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $11.74 per share on February 28, 2011. Portfolio composition is subject to change. The Free Market U.S. Equity Fund's underlying funds invest in small-cap and micro-cap stocks, large-cap stocks and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. FREE MARKET INTERNATIONAL EQUITY FUND Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL ----------------------------- SIX ONE THREE SINCE MONTHS* YEAR YEAR INCEPTION** ------- ----- ----- ----------- FREE MARKET INTERNATIONAL EQUITY FUND 26.73%*** 25.62%*** 1.24% 1.37% MSCI WORLD (EXCLUDING U.S.) INDEX 24.42% 21.22% -2.04% -4.27% COMPOSITE INDEX 22.56% 22.27% -0.71% -3.01%
* Not annualized. ** The Fund commenced operations on December 31, 2007. *** Due to recent market conditions, the Fund has experienced relatively high performance which might not be sustainable or repeated in the future. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 1.21% (INCLUDED IN THE RATIO IS 0.53%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $9.97 per share on February 28, 2011. Portfolio composition is subject to change. 2 FREE MARKET FUNDS PERFORMANCE DATA (UNAUDITED) The Free Market International Equity Fund's underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. FREE MARKET FIXED INCOME FUND Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL -------------------------- SIX ONE THREE SINCE MONTHS* YEAR YEAR INCEPTION** ------- ---- ----- ----------- FREE MARKET FIXED INCOME FUND -0.74% 1.83% 2.66% 2.65% CITIGROUP WORLD GOVT. BOND 1-5 YEAR CURRENCY HEDGED U.S. DOLLAR INDEX -0.74% 1.01% 2.81% 3.36% COMPOSITE INDEX -0.43% 2.64% 3.21% 3.73%
* Not annualized. ** The Fund commenced operations on December 31, 2007. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-866-780-0357 EXT. 3863. THE FUND'S ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, IS 0.90% (INCLUDED IN THE RATIO IS 0.22%, ATTRIBUTABLE TO ACQUIRED FUND FEES AND EXPENSES). The Fund's aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.25 per share on February 28, 2011. Portfolio composition is subject to change. The Free Market Fixed Income Fund's underlying funds invest in fixed income securities. The underlying funds may invest their assets in bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses. 3 FREE MARKET FUNDS FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
FREE MARKET U.S. EQUITY FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,365.10 $3.81 Hypothetical (5% return before expenses) 1,000.00 1,021.53 3.26
FREE MARKET INTERNATIONAL EQUITY FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,267.30 $3.71 Hypothetical (5% return before expenses) 1,000.00 1,021.48 3.31
4 FREE MARKET FUNDS FUND EXPENSE EXAMPLES (CONCLUDED) (UNAUDITED)
FREE MARKET FIXED INCOME FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $ 992.60 $3.26 Hypothetical (5% return before expenses) 1,000.00 1,021.48 3.31
* Expenses are equal to an annualized six-month expense ratio of 0.65% for the Free Market U.S. Equity Fund, 0.66% for the Free Market International Equity Fund and 0.66% for the Free Market Fixed Income Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. The range of weighted expense ratios of the underlying funds held by the Funds, as stated in their current prospectuses, were as follows:
FREE MARKET U.S. FREE MARKET INTERNATIONAL FREE MARKET FIXED EQUITY FUND EQUITY FUND INCOME FUND ---------------- ------------------------- ----------------- 0.10%-0.54% 0.28%-0.80% 0.15%-0.30%
Each Fund's ending account values on the first line in each table are based on the actual six-month total return for each Fund of 36.51% for the Free Market U.S. Equity Fund, 26.73% for the Free Market International Equity Fund and -0.74% for the Free Market Fixed Income Fund. 5 FREE MARKET FUNDS FREE MARKET U.S. EQUITY FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------------- --------------- EQUITY FUNDS -- 99.9% U.S. Large Cap Value Portfolio III(a) ............ 12,726,467 $ 213,295,580 U.S. Large Company Portfolio(a) .................. 10,123,440 106,093,646 U.S. Micro Cap Portfolio(b) ...................... 7,385,091 106,493,018 U.S. Small Cap Portfolio(b) ...................... 4,729,851 106,800,025 U.S. Small Cap Value Portfolio(b) ................ 6,556,325 178,725,428 --------------- TOTAL EQUITY FUNDS (Cost $537,215,638) ........................... 711,407,697 --------------- TOTAL INVESTMENTS -- 99.9% (Cost $537,215,638) ........................... 711,407,697 --------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% .... 796,589 --------------- NET ASSETS -- 100.0% ............................. $ 712,204,286 ===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET ASSETS VALUE --------------- --------------- Equity Funds ..................................... 99.9% $ 711,407,697 Other Assets In Excess of Liabilities ............ 0.1% 796,589 ----- --------------- NET ASSETS ....................................... 100.0% $ 712,204,286 ===== ===============
---------- (a) A portfolio of Dimensional Investment Group Inc. (b) A portfolio of DFA Investment Dimensions Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $711,407,697 $711,407,697 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 6 FREE MARKET FUNDS FREE MARKET INTERNATIONAL EQUITY FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------------- --------------- INTERNATIONAL EQUITY FUNDS -- 99.8% Asia Pacific Small Company Portfolio(a) .......... 387,393 $ 10,223,300 Continental Small Company Portfolio(a) ........... 1,173,077 21,502,504 DFA International Small Cap Value Portfolio(a) .................................. 11,381,788 205,668,903 DFA International Value Portfolio III(b) ......... 8,315,674 154,006,288 Emerging Markets Portfolio(a) .................... 905,221 26,830,752 Emerging Markets Small Cap Portfolio(a) .......... 1,110,883 24,839,339 Emerging Markets Value Portfolio(a) .............. 722,680 24,889,084 Japanese Small Company Portfolio(a) .............. 612,383 10,288,029 Large Cap International Portfolio(a) ............. 1,215,453 25,718,979 United Kingdom Small Company Portfolio(a) ........ 331,404 8,705,996 --------------- TOTAL INTERNATIONAL EQUITY FUNDS (Cost $418,621,277) ........................... 512,673,174 --------------- TOTAL INVESTMENTS -- 99.8% (Cost $418,621,277) ........................... 512,673,174 --------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% .... 899,143 --------------- NET ASSETS -- 100.0% ............................. $ 513,572,317 ===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET ASSETS VALUE --------------- --------------- International Equity Funds ....................... 99.8% $ 512,673,174 Other Assets In Excess of Liabilities ............ 0.2% 899,143 ----- --------------- NET ASSETS ....................................... 100.0% $ 513,572,317 ===== ===============
---------- (a) A portfolio of DFA Investment Dimensions Group Inc. (b) A portfolio of Dimensional Investment Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $512,673,174 $512,673,174 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 7 FREE MARKET FUNDS FREE MARKET FIXED INCOME FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------------- --------------- FIXED INCOME FUNDS -- 99.8% DFA Five-Year Global Fixed Income Portfolio(a) .................................. 12,935,245 $ 140,994,172 DFA Short-Term Government Portfolio(a) ........... 4,169,765 44,950,067 DFA Inflation-Protected Securities Portfolio(a) .................................. 2,467,880 28,207,870 DFA Intermediate Government Fixed Income Portfolio(a) .................................. 5,499,744 67,591,848 DFA One-Year Fixed Income Portfolio(a) ........... 13,552,833 140,000,768 DFA Two-Year Global Fixed Income Portfolio(a) .... 13,848,336 140,699,091 --------------- TOTAL FIXED INCOME FUNDS (Cost $564,138,849) ........................... 562,443,816 --------------- TOTAL INVESTMENTS -- 99.8% (Cost $564,138,849) ........................... 562,443,816 --------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.2% .... 1,062,010 --------------- NET ASSETS -- 100.0% ............................. $ 563,505,826 ===============
PORTFOLIO HOLDINGS SUMMARY TABLE
% OF NET ASSETS VALUE --------------- --------------- Fixed Income Funds ............................... 99.8% $ 562,443,816 Other Assets In Excess of Liabilities ............ 0.2% 1,062,010 ----- --------------- NET ASSETS ....................................... 100.0% $ 563,505,826 ===== ===============
---------- (a) A portfolio of DFA Investment Dimensions Group Inc. Portfolio holdings are subject to change at any time. The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's assets carried at value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUT INPUT ----------------- ------------ ----------- ------------ Investments in Securities* $562,443,816 $562,443,816 $-- $-- ============ ============ === ===
* Please refer to the Portfolio of Investments for further details. The accompanying notes are an integral part of the financial statements. 8 FREE MARKET FUNDS STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET U.S. EQUITY INTERNATIONAL FIXED INCOME FUND EQUITY FUND FUND ------------ ------------- ------------ ASSETS Investments in non-affiliated funds, at value + ............. $711,407,697 $512,673,174 $562,443,816 Cash and cash equivalents ................................... 458,124 603,389 255,783 Receivables Receivable for investments sold .......................... -- -- 195,103 Receivable for capital shares sold ....................... 1,025,272 787,008 950,207 Dividends and interest receivable ........................ 400 268 27 Prepaid expenses and other assets ........................... 36,908 32,581 33,472 ------------ ------------ ------------ Total assets .......................................... 712,928,401 514,096,420 563,878,408 ------------ ------------ ------------ LIABILITIES Payables Investments purchased .................................... -- 95,000 -- Capital shares redeemed .................................. 377,719 167,538 92,658 Investment adviser ....................................... 268,042 194,157 212,850 Administration and accounting fees ....................... 50,665 40,099 42,741 Other accrued expenses and liabilities ...................... 27,689 27,309 24,333 ------------ ------------ ------------ Total liabilities ..................................... 724,115 524,103 372,582 ------------ ------------ ------------ Net Assets .................................................. $712,204,286 $513,572,317 $563,505,826 ============ ============ ============ NET ASSETS CONSISTS OF Par value ................................................... $ 60,646 $ 51,490 $ 54,953 Paid-in capital ............................................. 540,375,374 419,647,222 562,716,458 Accumulated net investment loss ............................. (719,649) (562,497) (2,129,692) Accumulated net realized gain/(loss) from investments ....... (1,704,144) 384,205 4,559,140 Net unrealized appreciation/(depreciation) on investments ... 174,192,059 94,051,897 (1,695,033) ------------ ------------ ------------ Net Assets .................................................. $712,204,286 $513,572,317 $563,505,826 ============ ============ ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ....................................... 60,645,716 51,490,414 54,952,971 ------------ ------------ ------------ Net asset value, offering and redemption price per share .... $ 11.74 $ 9.97 $ 10.25 ============ ============ ============ + Investment in non-affiliated funds, at cost ............... $537,215,638 $418,621,277 $564,138,849 ============ ============ ============
The accompanying notes are an integral part of the financial statements. 9 FREE MARKET FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED)
FREE MARKET FREE MARKET FREE MARKET U.S. EQUITY INTERNATIONAL FIXED INCOME FUND EQUITY FUND FUND ------------ ------------- ------------ INVESTMENT INCOME Dividends from non-affiliated funds ......................... $ 5,057,999 $ 4,186,407 $ 7,626,639 Interest from non-affiliated funds .......................... 151 137 138 ------------ ------------ ------------ Total investment income .................................. 5,058,150 4,186,544 7,626,777 ------------ ------------ ------------ EXPENSES Advisory fees (Note 2) ...................................... 1,532,577 1,118,302 1,249,710 Administration and accounting fees (Note 2) ................. 320,860 249,758 275,483 Professional fees ........................................... 42,587 35,317 40,069 Directors' and officers' fees ............................... 38,733 29,843 33,343 Printing and shareholder reporting fees ..................... 12,107 11,056 10,239 Transfer agent fees (Note 2) ................................ 7,439 7,439 7,186 Custodian fees (Note 2) ..................................... 5,013 6,441 8,991 Other expenses .............................................. 25,077 24,154 23,108 ------------ ------------ ------------ Total expenses ........................................... 1,984,393 1,482,310 1,648,129 ------------ ------------ ------------ Net investment income ....................................... 3,073,757 2,704,234 5,978,648 ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Non-affiliated funds ..................................... 1,536,773 (291,011) 47,276 Capital gain distributions from non-affiliated fund investments ........................................... -- 6,117,170 4,662,503 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Non-affiliated funds ..................................... 179,814,536 92,896,786 (14,117,319) ------------ ------------ ------------ Net realized and unrealized gain/(loss) on investments ...... 181,351,309 98,722,945 (9,407,540) ------------ ------------ ------------ NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS .................................................. $184,425,066 $101,427,179 $ (3,428,892) ============ ============ ============
The accompanying notes are an integral part of the financial statements. 10 FREE MARKET U.S. EQUITY FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ...................................................... $ 3,073,757 $ 946,302 Net realized gain/(loss) from investments .................................. 1,536,773 (1,664,650) Net change in unrealized appreciation (depreciation) from investments ...... 179,814,536 12,498,101 ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............... 184,425,066 11,779,753 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ...................................................... (3,793,406) (1,601,122) Net realized capital gains ................................................. (18,738) -- Return of capital .......................................................... -- (327,363) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ... (3,812,144) (1,928,485) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .................................................. 110,054,572 239,392,683 Reinvestment of distributions .............................................. 3,812,144 1,928,485 Shares redeemed ............................................................ (67,466,343) (78,085,179) ------------ ------------ Net increase in net assets from capital shares ................................ 46,400,373 163,235,989 ------------ ------------ Total increase in net assets .................................................. 227,013,295 173,087,257 NET ASSETS: Beginning of period ........................................................ 485,190,991 312,103,734 ------------ ------------ End of period .............................................................. $712,204,286 $485,190,991 ============ ============ Undistributed / accumulated net investment income (loss), end of period ....... $ (719,649) $ -- ============ ============ CAPITAL SHARE TRANSACTIONS: Shares sold ................................................................ 10,450,433 26,371,487 Shares reinvested .......................................................... 345,930 216,684 Shares redeemed ............................................................ (6,256,593) (8,483,879) ------------ ------------ Total share transactions ...................................................... 4,539,770 18,104,292 ============ ============
The accompanying notes are an integral part of the financial statements. 11 FREE MARKET INTERNATIONAL EQUITY FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- ---------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ...................................................... $ 2,704,234 $ 4,041,960 Net realized gain/(loss) from investments .................................. 5,826,159 (4,118,689) Net change in unrealized appreciation (depreciation) from investments ...... 92,896,786 148,229 ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............... 101,427,179 71,500 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ...................................................... (6,163,601) (3,144,188) Net realized capital gains ................................................. -- (1,183,603) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ... (6,163,601) (4,327,791) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .................................................. 82,924,579 177,149,715 Reinvestment of distributions .............................................. 6,163,601 4,327,791 Shares redeemed ............................................................ (36,244,640) (70,388,120) ------------ ------------ Net increase in net assets from capital shares ................................ 52,843,540 111,089,386 ------------ ------------ Total increase in net assets .................................................. 148,107,118 106,833,095 NET ASSETS: Beginning of period ........................................................ 365,465,199 258,632,104 ------------ ------------ End of period .............................................................. $513,572,317 $365,465,199 ============ ============ Undistributed / accumulated net investment income (loss), end of period ....... $ (562,497) $ 2,896,870 ============ ============ CAPITAL SHARE TRANSACTIONS: Shares sold ................................................................ 8,870,368 21,412,066 Shares reinvested .......................................................... 643,382 517,060 Shares redeemed ............................................................ (3,861,671) (8,352,036) ------------ ------------ Total share transactions ...................................................... 5,652,079 13,577,090 ============ ============
The accompanying notes are an integral part of the financial statements. 12 FREE MARKET FIXED INCOME FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- ---------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income ...................................................... $ 5,978,648 $ 4,452,311 Net realized gain/(loss) from investments .................................. 4,709,779 577,583 Net change in unrealized appreciation (depreciation) from investments ...... (14,117,319) 9,412,700 ------------ ------------ Net increase/(decrease) in net assets resulting from operations ............... (3,428,892) 14,442,594 ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ...................................................... (8,108,340) (6,051,846) Net realized capital gains ................................................. (232,406) (1,159,271) ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ... (8,340,746) (7,211,117) ------------ ------------ CAPITAL SHARE TRANSACTIONS: Proceeds from shares sold .................................................. 143,809,759 288,483,371 Reinvestment of distributions .............................................. 8,340,746 7,211,117 Shares redeemed ............................................................ (36,156,803) (53,751,044) ------------ ------------ Net increase in net assets from capital shares ................................ 115,993,702 241,943,444 ------------ ------------ Total increase in net assets .................................................. 104,224,064 249,174,921 NET ASSETS: Beginning of period ........................................................ 459,281,762 210,106,841 ------------ ------------ End of period .............................................................. $563,505,826 $459,281,762 ============ ============ Undistributed / accumulated net investment income (loss), end of period ....... $ (2,129,692) $ -- ============ ============ CAPITAL SHARE TRANSACTIONS: Shares sold ................................................................ 13,879,066 27,950,700 Shares reinvested .......................................................... 809,022 707,254 Shares redeemed ............................................................ (3,483,743) (5,205,656) ------------ ------------ Total share transactions ...................................................... 11,204,345 23,452,298 ============ ============
The accompanying notes are an integral part of the financial statements. 13 FREE MARKET FUNDS FREE MARKET U.S. EQUITY FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2011 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ................ $ 8.65 $ 8.21 $ 10.29 $ 10.00 -------- -------- -------- -------- Net investment income ............................... 0.05(2) 0.02(2) 0.10(2) --(3) Net realized and unrealized gain/(loss) on investments ...................................... 3.10 0.46 (2.09) 0.29 -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations .................................. 3.15 0.48 (1.99) 0.29 -------- -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ............................... (0.06) (0.03) (0.09) -- Net realized capital gains .......................... --(4) -- -- -- Tax return of capital ............................... -- (0.01) -- -- -------- -------- -------- -------- Total dividends and distributions to shareholders ... (0.06) (0.04) (0.09) -- -------- -------- -------- -------- Net asset value, end of period ...................... $ 11.74 $ 8.65 $ 8.21 $ 10.29 ======== ======== ======== ======== Total investment return(5) .......................... 36.51%(6) 5.88% (19.19)% 2.90%(6) ======== ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........... $712,204 $485,191 $312,104 $187,039 Ratio of expenses to average net assets(7) .......... 0.65%(8) 0.67% 0.72% 0.84%(8) Ratio of net investment income to average net assets(7) ........................................ 1.00%(8) 0.22% 1.37% 0.02%(8) Portfolio turnover rate ............................. 4%(6) 3% 1% 0%(6)
---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Amount less than $0.005 per share. (4) Amount less than $(0.005) per share. (5) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (6) Not annualized. (7) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (8) Annualized. The accompanying notes are an integral part of the financial statements. 14 FREE MARKET FUNDS FREE MARKET INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2011 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ................ $ 7.97 $ 8.02 $ 8.85 $ 10.00 -------- -------- -------- -------- Net investment income ............................... 0.06(2) 0.11(2) 0.13(2) 0.08 Net realized and unrealized gain/(loss) on investments ...................................... 2.07 (0.04) (0.85) (1.23) -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations .................................. 2.13 0.07 (0.72) (1.15) -------- -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ............................... (0.13) (0.09) (0.11) -- Net realized capital gains .......................... -- (0.03) -- -- -------- -------- -------- -------- Total dividends and distributions to shareholders ... (0.13) (0.12) (0.11) -- -------- -------- -------- -------- Net asset value, end of period ...................... $ 9.97 $ 7.97 $ 8.02 $ 8.85 ======== ======== ======== ======== Total investment return(3) .......................... 26.73%(4) 0.86% (7.71)% (11.50)%(4) ======== ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........... $513,572 $365,465 $258,632 $130,821 Ratio of expenses to average net assets(5) .......... 0.66%(6) 0.68% 0.73% 0.92%(6) Ratio of net investment income to average net assets(5) .................................... 1.21%(6) 1.29% 2.01% 2.94%(6) Portfolio turnover rate ............................. 1%(4) 8% 2% 0%(4)
---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (4) Not annualized. (5) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (6) Annualized. The accompanying notes are an integral part of the financial statements. 15 FREE MARKET FUNDS FREE MARKET FIXED INCOME FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS FOR THE PERIOD ENDED FOR THE YEAR FOR THE YEAR DECEMBER 31, 2007(1) FEBRUARY 28, 2011 ENDED ENDED THROUGH (UNAUDITED) AUGUST 31, 2010 AUGUST 31, 2009 AUGUST 31, 2008 ------------------ --------------- --------------- -------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ................ $ 10.50 $ 10.35 $ 10.04 $ 10.00 -------- -------- -------- -------- Net investment income ............................... 0.13(2) 0.13(2) 0.21(2) 0.02 Net realized and unrealized gain on investments ..... (0.21) 0.27 0.25 0.04 -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations .................................. (0.08) 0.40 0.46 0.06 -------- -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ............................... (0.17) (0.21) (0.15) (0.02) Net realized capital gains .......................... --(3) (0.04) -- -- Tax return of capital ............................... -- -- -- --(3) -------- -------- -------- -------- Total dividends and distributions to shareholders ... (0.17) (0.25) (0.15) (0.02) -------- -------- -------- -------- Net asset value, end of period ...................... $ 10.25 $ 10.50 $ 10.35 $ 10.04 ======== ======== ======== ======== Total investment return(4) .......................... (0.74)%(5) 3.96% 4.62% 0.61%(5) ======== ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ........... $536,506 $459,282 $210,107 $128,982 Ratio of expenses to average net assets(6) .......... 0.66%(7) 0.68% 0.75% 0.97%(7) Ratio of net investment income to average net assets(6) .................................... 2.39%(7) 1.31% 2.06% 0.26%(7) Portfolio turnover rate ............................. 0%(5) 1% 84% 0%(5)
---------- (1) Commencement of operations. (2) The selected per share data was calculated using the average shares outstanding method for the period. (3) Amount less than $(0.005) per share. (4) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (5) Not annualized. (6) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio. (7) Annualized. The accompanying notes are an integral part of the financial statements. 16 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Free Market U.S. Equity Fund, Free Market International Equity Fund, and the Free Market Fixed Income Fund (each a "Fund," collectively the "Funds"). Each Fund operates as a "Fund of Funds" and commenced investment operations on December 31, 2007. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION -- Investments in the underlying funds are valued at each fund's net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the Company's Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Fair Value Measurements -- The inputs and valuations techniques used to measure fair value of the Funds' investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Funds' investments as of February 28, 2011 is included with each Fund's Portfolio of Investments. At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such 17 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- Transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Each Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the net asset value of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Fund's pro-rata expenses of the underlying mutual funds in which each Fund invests. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the 18 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Matson Money, Inc. ("Matson Money" or the "Adviser"), serves as each Fund's investment adviser. For its advisory services, Matson Money is entitled to receive 0.50% of each Fund's average daily net assets, computed daily and payable monthly. The Adviser has voluntarily agreed to waive its advisory fee and/or reimburse certain expenses in order to limit total annual fund operating expenses of Free Market U.S. Equity Fund, Free Market International Equity Fund and the Free Market Fixed Income Fund to 1.13%, 1.35% and 1.00%, respectively, of the particular Fund's average daily net assets. The expense limitations include expenses incurred as a result of investing in other investment companies. The Adviser may discontinue these arrangements at any time. The Funds will not pay Matson Money at a later time for any amounts they may waive or any amounts that Matson Money has assumed. BNY Mellon Investment Servicing (US) Inc. ("BNY"), a member of Bank of New York Mellon Corporation ("BNY Mellon") serves as administrator for the Funds. Administration and accounting fees accrued also include transfer agent, custodian fees and administrative service fees. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. Included in the administration and accounting fees are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its assets of the Company. For providing transfer agent services, BNY is entitled to receive out-of-pocket expenses. For providing custodian services to the Funds, PFPC Trust Company, a member of BNY Mellon, is entitled to receive out of pocket expenses. BNY Mellon Distributors Inc., a member of BNY Mellon, serves as the principal underwriter and distributor of the Funds' shares pursuant to a Distribution Agreement with RBB. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2011 was $79,136. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Funds or the Company. 19 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:
PURCHASES SALES ------------ ----------- Free Market U.S. Equity Fund $ 69,428,013 $24,266,151 Free Market International Equity Fund 59,788,720 4,932,218 Free Market Fixed Income Fund 119,635,316 1,946,201
5. CAPITAL SHARE TRANSACTION As of February 28, 2011, each Fund has 100,000,000 shares of $0.001 per value common stock authorized. As of February 28, 2011, the following shareholders held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many individual shareholders. Free Market U.S. Equity Fund (2 shareholders) 98% Free Market International Equity Fund (2 shareholders) 98% Free Market Fixed Income Fund (2 shareholders) 99%
6. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (tax years August 31, 2007-2010) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- Free Market U.S. Equity Fund $537,215,638 $174,192,059 $ -- $174,192,059 Free Market International Equity Fund 418,621,277 94,051,897 -- 94,051,897 Free Market Fixed Income Fund 564,138,849 1,941,774 (3,636,807) (1,695,033)
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. 20 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) As of August 31, 2010, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY INCOME LONG-TERM GAINS --------------- --------------- Free Market U.S. Equity Fund $ -- $ -- Free Market International Equity Fund 2,896,870 -- Free Market Fixed Income Fund -- 208,642
The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for Federal income tax purposes. Short-term and foreign currency gains are reportable as ordinary income for Federal income tax purposes. The tax character of distributions paid during the fiscal year ended August 31, 2010 were as follows:
ORDINARY LONG-TERM RETURN OF INCOME GAINS CAPITAL TOTAL ---------- ---------- --------- ---------- Free Market U.S. Equity Fund $1,398,503 $ 202,619 $327,363 $1,928,485 Free Market International Equity Fund 3,144,179 1,183,612 -- 4,327,791 Free Market Fixed Income Fund 6,962,760 248,357 -- 7,211,117
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2010, the Free Market International Equity Fund had a capital loss carryforward of $111,839 available to offset future capital gains. This capital loss carryforward will expire on August 31, 2018. Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the six months ended February 28, 2011, the Funds did not incur any net Post-October currency or capital losses. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 21 FREE MARKET FUNDS NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 22 FREE MARKET FUNDS OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357, ext. 3863 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 23 INVESTMENT ADVISER MATSON MONEY, INC. 5955 Deerfield Blvd. Mason, OH 45040 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 FREE MARKET U.S. EQUITY FUND FREE MARKET INTERNATIONAL EQUITY FUND FREE MARKET FIXED INCOME FUND OF THE RBB FUND, INC. SEMI-ANNUAL REPORT February 28, 2011 (Unaudited) This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds. Shares of the Free Market Funds are distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406. (MARVIN & PALMER (R) ASSOCIATES, INC. LOGO) GLOBAL EQUITY MANAGEMENT MARVIN & PALMER LARGE CAP GROWTH FUND of The RBB Fund, Inc. Semi-Annual Report February 28, 2011 (Unaudited) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Shares of the Fund are distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406. MARVIN & PALMER LARGE CAP GROWTH FUND SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2011 (UNAUDITED) DEAR FELLOW SHAREHOLDER: During the period from September 1, 2010 through February 28, 2011, the Fund returned 31.52%. It slightly outperformed the Russell 1000(R) Growth Index which was up 31.04% for the same period. INVESTMENT CLIMATE AND OUTLOOK The six month period started positively as readings on GDP, core Consumer Price Index, existing home sales, advanced retail sales and Institute of Supply Management manufacturing all came in better than expected. This, combined with the Federal Reserve's continued suggestion that it would maintain or even enhance accommodative monetary policy, lifted the market to its strongest September since 1939. Throughout the period, equity markets benefitted from a perception that economic growth was starting to pick up in the developed world at the same time that emerging markets continued to show strong growth. Near-term concerns centered on the uncertainty of energy prices caused by upheaval in the Middle East that developed during February. There are differing opinions as to whether these uncertainties could be more like 1979 or 1989. As you recall, 1979 led to the overthrow of the Shah of Iran and substantial dislocation in the political direction of the Middle East. On the other hand, 1989 was highlighted by the fall of the Berlin Wall and the demise of the old Soviet Union. This led to a major opportunity for the world to incorporate new economies and political systems in a globalized march towards growth. Earnings from U.S. corporations remain strong while their improving balance sheets and increasing orientation toward overseas/emerging markets growth continue to provide ample quality growth opportunities. We believe that the market will reward cyclical sensitivity as 2011 unfolds, and we are emphasizing leaders in the materials, energy and industrials sectors. The potential for a significant shift back to equities from bonds exists as the outlook improves. INVESTMENT REVIEW AND PORTFOLIO STRATEGY The Marvin & Palmer Large Cap Growth Fund slightly outperformed the Russell 1000 Growth Index and fared better against the broader S&P 500 Index, which returned 27.73% during the six months ended February 28, 2011. The Fund's outperformance was driven primarily by sector allocation. Stock selection was also a positive contributor. The industrials, energy and health care sectors helped the most, while consumer discretionary and information technology were the only sectors that hurt. The Fund's best performing stocks were Joy Global, National Oilwell Varco and Avago Technologies. The worst contributing stocks were Qualcomm, Akamai Technologies and EMC.* The Fund has been emphasizing cyclical sensitivity focused on materials, energy and industrials stocks. Technology exposure is neutral and focused on the types of companies that enable data mobility. These areas should continue to lead if energy prices do not substantially upset the global economy. At this point we are willing to maintain our exposure to cyclical sensitivity. David F. Marvin, CFA Chairman Marvin & Palmer Associates, Inc. ---------- * The Fund's holdings in Akamai Technologies and EMC were sold during the period. Portfolio composition is subject to change. 1 MARVIN & PALMER LARGE CAP GROWTH FUND SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) Total Returns for the Period Ended February 28, 2011
AVERAGE ANNUAL ---------------------------------- SIX SINCE MONTHS* ONE YEAR THREE YEAR INCEPTION** ------ ---------------------------------- LARGE CAP GROWTH FUND 31.52%*** 27.86%*** -1.92% -2.17% RUSSELL 1000(R) GROWTH INDEX 31.04% 24.94% 4.93% 2.05%
* NOT ANNUALIZED ** INCEPTION DATE JUNE 29, 2007. *** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH PERFORMANCE WHICH MIGHT NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND DOES NOT GUARANTEE FUTURE RESULTS. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END MAY BE OBTAINED BY CALLING (877) 821-2117. THE INVESTMENT RETURN AND PRINCIPAL VALUE OF AN INVESTMENT WILL FLUCTUATE SO THAT SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LESS IN THEIR ABSENCE. THE FUND'S GROSS ANNUAL OPERATING EXPENSE RATIO, AS STATED IN THE CURRENT PROSPECTUS, IS 2.62% AND THE FUND'S NET OPERATING EXPENSE RATIO IS 0.80%. THE EXPENSE RATIO IS CONTRACTUALLY CAPPED AT 0.80% THROUGH DECEMBER 31, 2011, WITHOUT WHICH PERFORMANCE WOULD HAVE BEEN LESS. THIS CAP CAN BE DISCONTINUED AT ANY TIME AFTER DECEMBER 31, 2011. THE FUND'S TOTAL RETURNS SINCE INCEPTION ARE BASED ON A CHANGE IN NET ASSET VALUE FROM $10.00 PER SHARE ON JUNE 29, 2007 (INCEPTION) TO $9.18 PER SHARE ON FEBRUARY 28, 2011. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. 2 MARVIN & PALMER LARGE CAP GROWTH FUND FUND EXPENSE DISCLOSURE FEBRUARY 28, 2011 (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
LARGE CAP GROWTH FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual $1,000.00 $1,315.20 $4.59 Hypothetical (5% return before expenses) 1,000.00 1,020.78 4.02
---------- * Expenses are equal to an annualized six-month expense ratio of 0.80% for the Fund which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (181), then divided by 365 to reflect the one-half year period. The Fund's ending account values are based on the actual six-month total return for the Fund of 31.52%. 3 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% of Net Assets Value -------- ----------- Common Stocks: Energy ............................................ 15.5% $ 1,742,686 Capital Goods ..................................... 13.4 1,506,329 Software & Services ............................... 12.5 1,407,960 Technology Hardware & Equipment ................... 12.1 1,355,764 Materials ......................................... 10.9 1,219,110 Retailing ......................................... 5.4 603,293 Consumer Durables & Apparel ....................... 5.2 577,590 Semiconductors & Semiconductor Equipment .......... 4.2 471,328 Transportation .................................... 3.5 392,829 Consumer Services ................................. 3.1 351,809 Pharmaceuticals, Biotechnology & Life Sciences .... 2.3 255,900 Health Care Equipment & Services .................. 1.7 195,365 Food & Staples Retailing .......................... 1.5 164,538 Diversified Financials ............................ 1.3 147,356 Household & Personal Products ..................... 0.8 84,969 Food, Beverage & Tobacco .......................... 0.6 71,036 Other Assets in Excess of Liabilities ................ 6.0 677,757 ----- ----------- NET ASSETS ........................................... 100.0% $11,225,619 ===== ===========
Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 4 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
Shares Value ------ ----------- COMMON STOCKS -- 94.0% CAPITAL GOODS -- 13.4% Caterpillar, Inc. .................................... 2,900 $ 298,497 Cummins, Inc. ........................................ 1,600 161,792 Deere & Co. .......................................... 3,100 279,465 Joy Global, Inc. ..................................... 3,900 379,782 Precision Castparts Corp. ............................ 1,550 219,713 United Technologies Corp. ............................ 2,000 167,080 ----------- 1,506,329 ----------- CONSUMER DURABLES & APPAREL -- 5.2% Coach, Inc. .......................................... 5,400 296,568 Hasbro, Inc. ......................................... 1,500 67,350 NIKE, Inc., Class B .................................. 2,400 213,672 ----------- 577,590 ----------- CONSUMER SERVICES -- 3.1% Starbucks Corp. ...................................... 3,800 125,324 Yum! Brands, Inc. .................................... 4,500 226,485 ----------- 351,809 ----------- DIVERSIFIED FINANCIALS -- 1.3% T. Rowe Price Group, Inc. ............................ 2,200 147,356 ----------- ENERGY -- 15.5% Cameron International Corp.* ......................... 5,900 348,867 FMC Technologies, Inc.* .............................. 3,100 291,555 National Oilwell Varco, Inc. ......................... 5,500 437,635 Peabody Energy Corp. ................................. 4,300 281,607 Schlumberger Ltd. .................................... 4,100 383,022 ----------- 1,742,686 ----------- FOOD & STAPLES RETAILING -- 1.5% Costco Wholesale Corp. ............................... 2,200 164,538 ----------- FOOD, BEVERAGES & TOBACCO -- 0.6% Altria Group, Inc. ................................... 2,800 71,036 ----------- HEALTH CARE EQUIPMENT & SERVICES -- 1.7% Express Scripts, Inc.* ............................... 2,600 146,172 Intuitive Surgical, Inc.* ............................ 150 49,193 ----------- 195,365 ----------- HOUSEHOLD & PERSONAL PRODUCTS -- 0.8% Estee Lauder Cos. Inc., Class A (The) ................ 900 84,969 ----------- MATERIALS -- 10.9% CF Industries Holdings, Inc. ......................... 1,800 254,304 Cliffs Natural Resources, Inc. ....................... 3,700 359,159 Freeport-McMoRan Copper & Gold, Inc. ................. 5,600 296,520 Monsanto Co. ......................................... 4,300 309,127 ----------- 1,219,110 -----------
Shares Value ------ ----------- PHARMACEUTICALS, BIOTECHNOLOGY & LIFE SCIENCES -- 2.3% Alexion Pharmaceuticals, Inc.* ....................... 1,000 $ 96,280 Illumina, Inc.* ...................................... 2,300 159,620 ----------- 255,900 ----------- RETAILING -- 5.4% Amazon.com, Inc.* .................................... 2,700 467,883 Tiffany & Co. ........................................ 2,200 135,410 ----------- 603,293 ----------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT -- 4.2% Avago Technologies Ltd. (Singapore) .................. 10,000 339,900 NVIDIA Corp.* ........................................ 5,800 131,428 ----------- 471,328 ----------- SOFTWARE & SERVICES -- 12.5% Cognizant Technology Solutions Corp., Class A* ....... 4,400 338,228 Intuit, Inc.* ........................................ 5,900 310,222 Oracle Corp. ......................................... 9,000 296,100 Symantec Corp.* ...................................... 9,000 162,270 VMware, Inc., Class A* ............................... 3,600 301,140 ----------- 1,407,960 ----------- TECHNOLOGY HARDWARE & EQUIPMENT -- 12.1% Amphenol Corp., Class A .............................. 2,700 155,196 Apple, Inc.* ......................................... 1,450 512,154 Hewlett-Packard Co. .................................. 1,600 69,808 NetApp, Inc.* ........................................ 6,900 356,454 QUALCOMM, Inc. ....................................... 4,400 262,152 ----------- 1,355,764 ----------- TRANSPORTATION -- 3.5% CSX Corp. ............................................ 1,300 97,058 Union Pacific Corp. .................................. 3,100 295,771 ----------- 392,829 ----------- TOTAL COMMON STOCKS (Cost $7,506,583) ................................. 10,547,862 ----------- TOTAL INVESTMENTS -- 94.0% (Cost $7,506,583) ................................. 10,547,862 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 6.0% ........ 677,757 ----------- NET ASSETS -- 100.0% ................................. $11,225,619 ===========
---------- * Non-income producing. The accompanying notes are an integral part of the financial statements. 5 MARVIN & PALMER LARGE CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (See note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ----------- ----------- ------------ Investments in Securities* $10,547,862 $10,547,862 $-- $-- =========== =========== === ===
* Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 6 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (Cost $7,506,583) ................................ $ 10,547,862 Cash and cash equivalents .............................................. 164,020 Receivables Investments sold .................................................... 513,867 Investment adviser .................................................. 29,031 Dividends and interest .............................................. 6,163 Prepaid expenses and other assets ...................................... 8,233 ------------ Total assets ..................................................... 11,269,176 ------------ LIABILITIES Other accrued expenses and liabilities ................................. 43,557 ------------ Total liabilities ................................................ 43,557 ------------ Net Assets ............................................................. $ 11,225,619 ============ NET ASSETS CONSIST OF Par value .............................................................. $ 1,222 Paid-in capital ........................................................ 18,295,362 Undistributed net investment income .................................... 1,626 Accumulated net realized loss from investments ......................... (10,113,870) Net unrealized appreciation on investments ............................. 3,041,279 ------------ Net Assets ............................................................. $ 11,225,619 ============ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ... 1,222,294 ------------ Net asset value, offering and redemption price per share ............... $ 9.18 ============
The accompanying notes are an integral part of the financial statements. 7 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Dividends ..................................................... $ 44,161 Interest ...................................................... 64 ---------- Total investment income .................................... 44,225 ---------- EXPENSES Administration and accounting fees ............................ 75,976 Advisory fees ................................................. 34,612 Transfer agent fees ........................................... 16,165 Audit fees .................................................... 13,314 Directors' and officers' fees ................................. 8,747 Printing and shareholder reporting fees ....................... 8,676 Registration and filing fees .................................. 7,544 Legal fees .................................................... 5,209 Insurance ..................................................... 3,035 Custodian fees ................................................ 1,649 Other expenses ................................................ 1,146 ---------- Total expenses before waivers and reimbursements ........... 176,073 ---------- Less: waivers and reimbursements ........................... (133,474) ---------- Net expenses after waivers and reimbursements .............. 42,599 ---------- Net investment income ......................................... 1,626 NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments ................................................ 965,126 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ................................................ 1,834,390 ---------- Net realized and unrealized gain from investments ............. 2,799,516 ---------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. $2,801,142 ==========
The accompanying notes are an integral part of the financial statements. 8 MARVIN & PALMER LARGE CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, 2011 ENDED (UNAUDITED) AUGUST 31, 2010 ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income/(loss) ................................................ $ 1,626 $ (750) Net realized gain from investments .......................................... 965,126 3,394,602 Net change in unrealized appreciation/(depreciation) from investments ....... 1,834,390 (1,818,562) ----------- ------------ Net increase in net assets resulting from operations ........................... 2,801,142 1,575,290 ----------- ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ....................................................... -- (31,926) ----------- ------------ Net decrease in net assets from dividends and distributions to shareholders .... -- (31,926) ----------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold ................................................... -- 1,407,000 Reinvestment of distributions ............................................... -- 31,506 Shares redeemed ............................................................. (555,812) (13,344,833) ----------- ------------ Net decrease in net assets from capital transactions ........................... (555,812) (11,906,327) ----------- ------------ Total increase/(decrease) in net assets ........................................ 2,245,330 (10,362,963) NET ASSETS Beginning of period ......................................................... 8,980,289 19,343,252 ----------- ------------ End of period ............................................................... $11,225,619 $ 8,980,289 =========== ============ Undistributed net investment income, end of period .......................... $ 1,626 $ -- =========== ============ SHARE TRANSACTIONS: Shares sold ................................................................. -- 191,656 Shares reinvested ........................................................... -- 4,376 Shares redeemed ............................................................. (63,659) (1,823,327) ----------- ------------ Total share transactions .................................................... (63,659) (1,627,295) =========== ============
The accompanying notes are an integral part of the financial statements. 9 MARVIN & PALMER LARGE CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD FEBRUARY 28, ENDED ENDED ENDED JUNE 29, 2007* 2011 AUGUST 31, AUGUST 31, AUGUST 31, TO AUGUST 31, (UNAUDITED) 2010 2009 2008 2007 ------------ ------------ ------------ ------------ -------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ......................... $ 6.98 $ 6.64 $ 9.32 $ 10.20 $ 10.00 ------- ------- ------- ------- ------- Net investment income/(loss) ................................. --(1) --(1) 0.02 0.01 --(1) Net realized and unrealized gain/(loss) on investments ....... 2.20 0.35 (2.68) (0.89) 0.20 ------- ------- ------- ------- ------- Net increase/(decrease) in net assets resulting from operations ........................................... 2.20 0.35 (2.66) (0.88) 0.20 ------- ------- ------- ------- ------- DIVIDENDS TO SHAREHOLDERS FROM: Net investment income ........................................ -- (0.01) (0.02) --(1) -- ------- ------- ------- ------- ------- Net asset value, end of period ............................... $ 9.18 $ 6.98 $ 6.64 $ 9.32 $ 10.20 ======= ======= ======= ======= ======= Total investment return(2) ................................... 31.52%(3) 5.28% (28.51)% (8.61)% 2.00%(3) RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) .................... $11,226 $ 8,980 $19,343 $28,780 $15,283 Ratio of expenses to average net assets ...................... 0.80%(4) 0.80% 0.80% 0.80% 0.80%(4) Ratio of expenses to average net assets without waivers and expense reimbursements ................................ 3.31%(4) 2.62% 2.27% 2.09% 3.93%(4) Ratio of net investment income/(loss) to average net assets .. 0.03%(4) (0.01)% 0.37% 0.12% 0.21%(4) Portfolio turnover rate ...................................... 58.13%(3) 138.68% 237.91% 252.37% 28.70%(3)
---------- * Commencement of Operations. (1) Less than $0.005 per share. (2) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (3) Not Annualized. (4) Annualized. The accompanying notes are an integral part of the financial statements. 10 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Marvin & Palmer Large Cap Growth Fund (the "Fund"), which commenced investment operations on June 29, 2007. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is included with the Fund's Schedule of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. 11 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Marvin & Palmer Associates, Inc. ("Marvin & Palmer" or the "Adviser") serves as investment adviser to the Fund pursuant to an investment advisory agreement with the Company (the "Advisory Agreement"). For its services, the Adviser is paid a monthly fee at the annual rate of 0.65% of the Fund's average daily net assets. The Adviser has agreed to limit through December 31, 2011 the Fund's total operating expenses (other than acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to the extent that such expenses exceed 0.80% of the Fund's average daily net assets. This limitation is effected in waivers of advisory fees and reimbursement of expenses exceeding the advisory fee as necessary. If at any time during the three years ending March 4, 2013 the advisory agreement is in effect, the Fund's total annual operating expenses for that year are less than 0.80% of the Fund's average daily net assets, the Adviser is entitled to reimbursement by the Fund of the advisory fees waived and other payments remitted by the Adviser to the Fund during such three-year period. For the six months ended February 28, 2011, investment advisory fees accrued and waived were $34,612 and expenses reimbursed or to be reimbursed by the Adviser were $98,862. As of February 28, 2011, the total fees which were previously waived by the Advisor which may be subject to possible future reimbursements to the Adviser were as follows:
EXPIRATION ----------------------------------------------------------------------- AUGUST 31, 2011 AUGUST 31, 2012 AUGUST 31, 2013 FEBRUARY 28, 2014 --------------- --------------- --------------- ----------------- $153,696 $268,864 $251,254 $133,474
BNY Mellon Investment Servicing (US), Inc. ("BNY Mellon") serves as administrator for the Fund. Administration and accounting fees accrued also include certain Transfer Agent and custodian fees. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting fees are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. 12 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) In addition, BNY Mellon serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive out of pocket expenses. For providing custodial services to the Fund, PFPC Trust Company, a member of The Bank of New York Mellon Corp., is entitled to receive out of pocket expenses. BNY Mellon Distributors Inc. serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2011 was $2,394. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES SALES ---------- ---------- Investment Securities..... $5,961,118 $7,001,647
5. SIGNIFICANT SHAREHOLDERS As of February 28, 2011, the Fund had 1 shareholder account and/or omnibus account (comprised of a group of individual shareholders) that amounted to 69% of the total shares outstanding of the Fund. 6. FEDERAL TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2007 - 2010) and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION APPRECIATION ----------- ------------ ------------ -------------- $7,506,583 $3,067,561 $(26,282) $3,041,279
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. As of February 28, 2011 the Fund had no tax-basis distributable earnings. The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reportable as ordinary income for federal income tax purposes. 13 MARVIN & PALMER LARGE CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The tax character of distributions paid during the fiscal year ended August 31, 2010 was as follows: Ordinary income .................................... $31,926 Long-term capital gains ............................ -- ------- Total distributions ................................ $31,926 =======
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2010, the Fund had a capital loss carryforward of $11,054,164 which will expire as follows: August 31, 2018 .................... $3,287,157 August 31, 2017 .................... $7,438,269 August 31, 2016 .................... $ 328,738
7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are currently effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 14 MARVIN & PALMER LARGE CAP GROWTH FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Marvin and Palmer at (877) 821-2117 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 15 [THIS PAGE INTENTIONALLY LEFT BLANK.] Investment Adviser Marvin & Palmer Associates, Inc. 1201 N. Market Street Suite 2300 Wilmington, DE 19801-1165 Administrator BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 Transfer Agent BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 Principal Underwriter BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 Custodian PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 Independent Registered Public Accounting Firm PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 Counsel Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 18 PERIMETER SMALL CAP GROWTH FUND OF THE RBB FUND, INC. SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) (PERIMETER LOGO) CAPITAL MANAGEMENT INVESTMENT ADVISER: PERIMETER CAPITAL MANAGEMENT LLC This report has been prepared for Shareholders of the Perimeter Small Cap Growth Fund. It is not authorized for distribution to prospective investors unless preceded by or accompanied by a current prospectus. The Perimeter Small Cap Growth Fund is distributed by BNY Mellon Distributors Inc., which is not an adviser affiliate. PERIMETER SMALL CAP GROWTH FUND SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2011 (UNAUDITED) Dear Shareholders: The Perimeter Small Cap Growth Fund (the "Fund") returned 35.63% (I Shares) and 35.50% (Investor Shares) versus the 40.76% return of the Russell 2000(R) Growth Index during the six-month period ended February 28, 2011. The Fund's fiscal year began with the market posting the best September ever for the Russell 2000(R) Index, up 12.5%. A combination of better than expected retail sales, statements from the Fed about a second round of quantitative easing and accelerating merger & acquisition (M&A) activity enabled the market to climb, defying investors' fears of a double-dip recession. Economically sensitive sectors and high beta stocks led the market, with Energy, Materials and Technology up 19%+ in September alone. In a reversal from previous months, traditional "safe haven" sectors trailed with sub-par returns from the Consumer Staples, Healthcare and Utilities sectors. Consumer Discretionary continued to be the top contributor to Perimeter's performance. Of significant benefit has been our focus on dominant brand name companies such as Fossil*, Warnaco and Steve Madden. We also benefited from our overweight position and solid stock selection in the Materials sector as a downward trending dollar seemed to re-inflate global commodity prices. Our overweight to the Energy sector has been a positive contributor as we have found many attractive growth prospects given the global economic recovery, rising oil prices and increasing factory utilization. The most significant driver of underperformance over the past six months was from the Technology sector. The Fund did not significantly benefit from recent increased M&A activity in the sector and the resulting speculation that occurred during the later stages of 2010. When combined with our underweight to this strong performing sector, this produced a substantial headwind for the Fund. Further, the highest beta stocks in the Russell 2000(R) Growth Index outperformed their lower beta counterparts by a wide margin, particularly within Technology. This factor presented an additional headwind, as Perimeter has a quality-focused stock selection process that results in a portfolio of companies with a beta that is typically less than that of the Russell 2000(R) Growth benchmark. The goal of our process is to not only capture the growth of the benchmark, but also to reduce volatility and produce more consistent returns over the long-term. Looking ahead, after back-to-back years of very strong small cap performance, we would not be surprised to see some type of market correction in the coming months, although we remain positively biased for the rest of the year. We would expect record high correlations among stock returns to begin to moderate. This should lead to quality, company-specific fundamentals returning as a driver to stock performance rather than recent macro perceptions. In the meantime, Perimeter continues to employ our bottom-up, company-specific, fundamental process designed to lead us to companies we feel can generate strong fundamental momentum and accelerating growth in any market environment. Sincerely, Perimeter Capital Management LLC * The Fund's holdings in Fossil were sold during the period. THIS REPRESENTS THE MANAGER'S ASSESSMENT OF THE FUND AND THE MARKET ENVIRONMENT AT A SPECIFIC POINT IN TIME AND SHOULD NOT BE RELIED UPON BY THE READER AS RESEARCH OR INVESTMENT ADVICE. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. THE RUSSELL 2000(R) GROWTH INDEX IS A WIDELY-RECOGNIZED, CAPITALIZATION-WEIGHTED INDEX THAT MEASURES THE PERFORMANCE OF THE SMALLEST 2,000 COMPANIES IN THE RUSSELL 3000(R) INDEX. THE RUSSELL 2000(R) GROWTH INDEX MEASURES THE PERFORMANCE OF THOSE RUSSELL 2000 COMPANIES WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED GROWTH VALUES. 1 PERIMETER SMALL CAP GROWTH FUND SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) AVERAGE ANNUAL TOTAL RETURNS FOR THE PERIODS ENDED FEBRUARY 28, 2011
SINCE SIX MONTHS* ONE YEAR THREE YEAR INCEPTION ----------- -------- ---------- --------- PERIMETER SMALL CAP GROWTH FUND, INVESTOR CLASS SHARES** ... 35.50%(1) 29.04%(1) 5.23% 4.30% PERIMETER SMALL CAP GROWTH FUND, I SHARES*** ............... 35.63%(1) 29.48%(1) 5.40% 1.24% RUSSELL 2000(R) GROWTH INDEX ............................... 40.76% 36.33% 8.61% 6.05%
---------- * Not Annualized. ** Investor Class Shares were offered beginning September 29, 2006. *** I Shares were offered beginning December 31, 2007. The performance shown for the I Shares prior to December 31, 2007 is based on the performance and expenses of the Investor Class Shares, and has not been adjusted for the shareholder servicing fee charged specifically to the Investor Class Shares. (1) Due to recent market conditions, the Fund has experienced relatively high performance which might not be sustainable or repeated in the future. THE PERFORMANCE DATA QUOTED HEREIN REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN ITS ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE QUOTED. FOR PERFORMANCE CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-968-4964. PERFORMANCE ASSUMES REINVESTMENT OF DIVIDENDS AND CAPITAL GAINS. UNLIKE A MUTUAL FUND, INDEX RETURNS DO NOT REFLECT TAXES, FEES OR EXPENSES. THE FUND'S GROSS TOTAL EXPENSE RATIO AS STATED IN THE PROSPECTUS IS 1.47% FOR INVESTOR SHARES AND 1.22% FOR I SHARES. THE PERFORMANCE QUOTED REFLECTS FEE WAIVERS IN EFFECT AND WOULD HAVE BEEN LOWER IN THEIR ABSENCE. THE FUND CHARGES A 2.00% REDEMPTION FEE IF REDEEMED WITHIN 7 DAYS. THE ADVISER HAS CONTRACTUALLY AGREED TO LIMIT THE TOTAL EXPENSES OF THE INVESTOR CLASS SHARES AND I SHARES OF THE FUND (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) TO 1.35% AND 1.10% OF THE AVERAGE DAILY NET ASSETS OF THE FUND'S INVESTOR CLASS SHARES AND I SHARES, RESPECTIVELY, THROUGH DECEMBER 31, 2011. RETURNS SHOWN DO NOT REFLECT THE DEDUCTION OF TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND SHARES. MUTUAL FUND INVESTING INVOLVES RISK INCLUDING THE POSSIBLE LOSS OF PRINCIPAL. THE FUND INVESTS IN SMALL CAP STOCKS WHICH GENERALLY INVOLVE MORE RISK THAN LARGE CAP STOCKS DUE TO POTENTIALLY GREATER VOLATILITY AND LESS MARKET LIQUIDITY. 2 PERIMETER SMALL CAP GROWTH FUND FUND EXPENSE DISCLOSURE FEBRUARY 28, 2011 (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
PERIMETER SMALL CAP GROWTH FUND -- INVESTOR CLASS --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual ....................................... $1,000.00 $1,355.00 $7.82 Hypothetical -- (5% return before expenses) .. 1,000.00 1,018.07 6.73
PERIMETER SMALL CAP GROWTH FUND -- I SHARES --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- -------------- Actual ....................................... $1,000.00 $1,356.30 $6.37 Hypothetical -- (5% return before expenses) .. 1,000.00 1,019.32 5.47
* Expenses are equal to an annualized six-month expense ratio of 1.35% for the Investor Class and 1.10% for the I Shares which includes waived fees, reimbursed expenses or recoupment, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (181), then divided by 365 to reflect the six-month period. The Fund's ending account values on the first line in each table are based on the actual six-month total return for the Fund of 35.50% for the Investor Class and 35.63% for the I Shares. 3 PERIMETER SMALL CAP GROWTH FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ Domestic Common Stocks: Consumer Non-cyclical ................. 20.0% $ 91,492,067 Industrial ............................ 18.4 84,074,906 Consumer Cyclical ..................... 13.9 63,723,661 Technology ............................ 13.3 61,063,870 Communications ........................ 11.0 50,395,461 Energy ................................ 7.3 33,355,849 Financial ............................. 4.8 21,837,674 Basic Materials ....................... 3.5 16,149,067 Utilities ............................. 0.3 1,495,217 Other Assets In Excess of Liabilities .... 7.5 34,115,909 ----- ------------ NET ASSETS ............................... 100.0% $457,703,681 ===== ============
The accompanying notes are an integral part of the financial statements. 4 PERIMETER SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ COMMON STOCK+ -- 92.5% BASIC MATERIALS -- 3.5% Buckeye Technologies ............................. 82,300 $ 2,156,260 Kraton Performance Polymers* ..................... 60,130 2,062,459 Kronos Worldwide ................................. 73,305 3,628,598 Solutia* ......................................... 110,507 2,564,867 Stillwater Mining* ............................... 141,969 3,388,800 Thompson Creek Metals* ........................... 178,155 2,348,083 ------------ 16,149,067 ------------ COMMUNICATIONS -- 11.0% APAC Customer Services* .......................... 249,606 1,462,691 Aruba Networks* .................................. 93,850 2,857,732 Atlantic Tele-Network ............................ 35,380 1,379,466 Blue Coat Systems* ............................... 106,676 3,001,863 ClickSoftware Technologies* ...................... 294,822 2,393,955 DigitalGlobe* .................................... 86,870 2,804,164 Dolan* ........................................... 146,123 1,826,537 eResearchTechnology* ............................. 283,980 1,803,273 EZchip Semiconductor* ............................ 56,160 1,689,293 HealthStream* .................................... 14,290 111,319 Infospace* ....................................... 175,200 1,412,112 Keynote Systems .................................. 83,770 1,473,514 Neutral Tandem* .................................. 195,370 3,360,364 NIC .............................................. 177,751 1,802,395 NICE Systems, ADR* ............................... 88,179 3,054,961 Novatel Wireless* ................................ 304,150 1,800,568 Plantronics ...................................... 61,500 2,145,735 SAVVIS* .......................................... 69,939 2,272,318 Shutterfly* ...................................... 48,207 2,058,439 TIBCO Software* .................................. 103,950 2,559,249 Travelzoo* ....................................... 70,861 2,795,466 US Auto Parts Network* ........................... 178,990 1,453,399 ValueClick* ...................................... 190,575 2,845,285 Zix* ............................................. 550,505 2,031,363 ------------ 50,395,461 ------------ CONSUMER CYCLICAL -- 13.9% 99 Cents Only Stores* ............................ 166,277 2,766,849 Ascena Retail Group* ............................. 76,700 2,396,108 BJ's Restaurants* ................................ 11,813 424,677 Buckle ........................................... 62,890 2,458,370 Caribou Coffee* .................................. 160,365 1,577,992 Cash America International ....................... 64,121 2,738,608 Casual Male Retail Group* ........................ 451,828 1,929,306 Deckers Outdoor* ................................. 42,585 3,756,849 Domino's Pizza* .................................. 164,470 2,774,609 Finish Line, Cl A ................................ 147,940 2,583,032 First Cash Financial Services* ................... 49,766 1,629,339 Genesco* ......................................... 82,011 3,241,075 Group 1 Automotive ............................... 51,880 2,191,930 Hibbett Sports* .................................. 34,385 1,080,033 Iconix Brand Group* .............................. 107,370 2,372,877
SHARES VALUE ------------ ------------ CONSUMER CYCLICAL -- (CONTINUED) JOS A Bank Clothiers* ............................ 57,825 $ 2,666,311 Lithia Motors, Cl A .............................. 56,566 856,409 Pep Boys-Manny Moe & Jack ........................ 221,870 2,780,031 Perry Ellis International* ....................... 51,920 1,507,757 Ruby Tuesday* .................................... 177,967 2,377,639 Rush Enterprises, Cl A* .......................... 83,861 1,574,071 Steelcase, Cl A .................................. 185,265 1,798,923 Steven Madden* ................................... 65,636 2,831,537 Texas Roadhouse* ................................. 91,784 1,558,492 Ulta Salon Cosmetics & Fragrance* ................ 40,057 1,671,579 Wabash National* ................................. 203,682 2,122,366 Warnaco Group* ................................... 50,442 2,961,450 Westport Innovations* ............................ 151,643 2,785,682 Williams-Sonoma .................................. 64,000 2,309,760 ------------ 63,723,661 ------------ CONSUMER NON-CYCLICAL -- 20.0% Abaxis* .......................................... 49,515 1,313,138 Advisory Board* .................................. 35,257 1,803,748 Akorn* ........................................... 358,475 2,003,875 AngioDynamics* ................................... 103,938 1,748,237 ArthroCare* ...................................... 89,500 3,086,855 Atrion ........................................... 7,399 1,304,740 Bio-Reference Laboratories* ...................... 77,202 1,615,066 Bruker* .......................................... 156,455 3,002,371 Cardiome Pharma* ................................. 240,860 1,389,762 Consolidated Graphics* ........................... 52,780 2,878,621 Dollar Financial* ................................ 60,796 1,300,426 Ensign Group ..................................... 62,090 1,888,157 FTI Consulting* .................................. 33,890 1,118,031 Hain Celestial Group* ............................ 90,161 2,688,601 Healthspring* .................................... 34,610 1,302,720 Hillenbrand ...................................... 149,130 3,243,578 Huron Consulting Group* .......................... 65,240 1,814,977 ICON ADR* ........................................ 124,023 2,466,817 ICU Medical* ..................................... 59,420 2,495,046 Impax Laboratories* .............................. 149,084 3,069,640 Integra LifeSciences Holdings* ................... 35,290 1,769,794 Inter Parfums .................................... 70,664 1,276,898 Invacare ......................................... 94,420 2,791,999 Jazz Pharmaceuticals* ............................ 113,930 2,806,096 Kforce* .......................................... 125,155 2,235,268 Korn/Ferry International* ........................ 89,570 2,047,570 LHC Group* ....................................... 14,610 436,255 Merge Healthcare* ................................ 324,667 1,626,582 Natus Medical* ................................... 122,212 1,938,282 Nektar Therapeutics* ............................. 235,017 2,253,813 Onyx Pharmaceuticals* ............................ 83,770 2,952,055 PAREXEL International* ........................... 110,438 2,591,980 Princeton Review* ................................ 413,347 380,279 QKL Stores* ...................................... 86,763 262,892
The accompanying notes are an integral part of the financial statements. 5 PERIMETER SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ CONSUMER NON-CYCLICAL -- (CONTINUED) Salix Pharmaceuticals* ........................... 67,320 $ 2,244,449 Sirona Dental Systems* ........................... 69,320 3,497,887 SunOpta* ......................................... 245,730 1,688,165 SuperGen* ........................................ 438,120 1,301,216 Synovis Life Technologies* ....................... 131,683 2,599,422 TeleTech Holdings* ............................... 96,600 2,200,548 TreeHouse Foods* ................................. 55,394 2,889,905 TrueBlue* ........................................ 126,729 2,046,673 US Physical Therapy* ............................. 87,007 1,720,128 Valassis Communications* ......................... 65,340 1,843,895 Wright Express* .................................. 50,110 2,555,610 ------------ 91,492,067 ------------ ENERGY -- 7.3% Brigham Exploration* ............................. 76,360 2,793,249 Dawson Geophysical* .............................. 48,195 2,405,894 Georesources* .................................... 36,530 1,149,599 International Coal Group* ........................ 269,590 2,660,853 Key Energy Services* ............................. 146,291 2,267,511 Kodiak Oil & Gas* ................................ 327,310 2,477,737 Magnum Hunter Resources* ......................... 370,897 2,655,623 Newpark Resources* ............................... 294,886 2,058,304 North American Energy Partners* .................. 244,237 3,221,486 OYO Geospace* .................................... 28,421 2,889,847 Patterson-UTI Energy ............................. 109,550 2,995,097 Penn Virginia .................................... 61,440 999,629 Rex Energy* ...................................... 182,660 2,301,516 Swift Energy* .................................... 57,730 2,479,504 ------------ 33,355,849 ------------ FINANCIAL -- 4.8% Altisource Portfolio Solutions SA* ............... 67,810 2,047,184 Boston Private Financial Holdings ................ 186,530 1,322,498 Columbia Banking System .......................... 104,190 2,067,130 Encore Capital Group* ............................ 113,636 3,094,308 First Citizens BancShares, Cl A .................. 8,006 1,617,212 IBERIABANK ....................................... 35,070 2,009,160 Knight Capital Group, Cl A* ...................... 175,130 2,453,571 Montpelier Re Holdings ........................... 83,740 1,689,036 Provident Financial Services ..................... 74,970 1,110,306 Stifel Financial* ................................ 32,560 2,335,854 Umpqua Holdings .................................. 182,816 2,091,415 ------------ 21,837,674 ------------ INDUSTRIAL -- 18.4% A.O. Smith ....................................... 64,375 2,600,750 Actuant, Cl A .................................... 88,560 2,506,248 Applied Industrial Technologies .................. 89,214 2,858,417 Atlas Air Worldwide Holdings* .................... 47,710 3,257,639 Briggs & Stratton ................................ 95,610 1,924,629 Celadon Group* ................................... 147,770 2,158,920 Columbus McKinnon* ............................... 97,600 1,685,552
SHARES VALUE ------------ ------------ INDUSTRIAL -- (CONTINUED) Drew Industries .................................. 79,698 $ 1,843,415 DXP Enterprises* ................................. 50,735 1,078,626 EnerSys* ......................................... 82,133 2,915,722 EnPro Industries* ................................ 71,975 2,855,968 Esterline Technologies* .......................... 35,002 2,505,093 Fushi Copperweld* ................................ 124,023 1,206,744 General Cable* ................................... 37,500 1,628,250 GrafTech International* .......................... 118,900 2,379,189 Harbin Electric* ................................. 118,861 2,255,982 Hexcel* .......................................... 92,780 1,721,069 HUB Group, Cl A* ................................. 90,702 3,170,942 IESI-BFC ......................................... 112,128 2,789,745 II-VI* ........................................... 45,526 2,330,476 KEMET* ........................................... 160,584 2,232,118 Kennametal ....................................... 46,031 1,770,352 L.B. Foster, Cl A* ............................... 19,795 831,390 Littelfuse ....................................... 16,310 861,657 Marten Transport ................................. 68,323 1,458,696 Middleby* ........................................ 28,540 2,559,182 Newport* ......................................... 136,770 2,277,221 NVE* ............................................. 28,786 1,705,571 Old Dominion Freight Line* ....................... 91,920 2,829,298 OSI Systems* ..................................... 45,665 1,717,917 Power-One* ....................................... 300,290 2,471,387 Rock-Tenn ........................................ 32,770 2,249,661 Rofin-Sinar Technologies* ........................ 70,279 2,725,420 RTI International Metals* ........................ 79,288 2,259,708 Silgan Holdings .................................. 55,930 2,040,326 STR Holdings* .................................... 120,132 2,175,591 TAL International Group .......................... 63,140 2,202,323 TriMas* .......................................... 44,440 914,131 VSE .............................................. 35,135 952,510 Werner Enterprises ............................... 92,020 2,167,071 ------------ 84,074,906 ------------ TECHNOLOGY -- 13.3% Compuware* ....................................... 277,470 3,124,312 CSG Systems International* ....................... 119,740 2,340,917 Electronics for Imaging* ......................... 136,780 2,110,515 Emulex* .......................................... 238,410 2,622,510 Entegris* ........................................ 352,260 3,071,707 Fortinet* ........................................ 56,629 2,312,728 Insight Enterprises* ............................. 147,853 2,704,231 Interactive Intelligence* ........................ 70,996 2,442,972 Lattice Semiconductor* ........................... 324,777 2,156,519 LivePerson* ...................................... 164,066 1,645,582 LTX-Credence* .................................... 189,928 1,697,956 Maxwell Technologies* ............................ 62,970 1,140,387 Microsemi* ....................................... 99,470 2,191,324 MIPS Technologies* ............................... 193,260 2,351,974 Monolithic Power Systems* ........................ 155,426 2,401,332
The accompanying notes are an integral part of the financial statements. 6 PERIMETER SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ TECHNOLOGY -- (CONTINUED) NetScout Systems* ................................ 72,330 $ 1,807,527 O2Micro International* ........................... 157,981 1,292,285 Open Text* ....................................... 46,140 2,718,569 PMC-Sierra* ...................................... 319,250 2,522,075 Progress Software* ............................... 64,270 1,886,967 Radiant Systems* ................................. 107,646 1,846,129 RADWARE* ......................................... 44,990 1,694,773 Riverbed Technology* ............................. 56,970 2,352,291 Schawk ........................................... 42,454 767,144 Silicon Image* ................................... 242,075 1,946,283 Smith Micro Software* ............................ 139,274 1,304,997 Sykes Enterprises* ............................... 124,519 2,316,053 Ultimate Software Group* ......................... 38,410 2,052,630 Volterra Semiconductor* .......................... 88,830 2,241,181 ------------ 61,063,870 ------------
SHARES VALUE ------------ ------------ UTILITIES -- 0.3% Avista ........................................... 66,990 $ 1,495,217 ------------ TOTAL COMMON STOCK (Cost $329,055,300) ........................ 423,587,772 ------------ TOTAL INVESTMENTS -- 92.5% (Cost $329,055,300) ........................... 423,587,772 ------------ OTHER ASSETS IN EXCESS OF LIABILITIES -- 7.5% .... 34,115,909 ------------ NET ASSETS -- 100.0% ............................. $457,703,681 ============
---------- + More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. * Non-income producing security. ADR American Depositary Receipt Cl Class The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (See Note 1 in Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ------------ ----------- ------------ Investments in Securities* ... $423,587,772 $423,587,772 $-- $-- ============ ============ === ===
---------- * Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 7 PERIMETER SMALL CAP GROWTH FUND STATEMENTS OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (Cost $329,055,300) .................. $423,587,772 Receivables Investments sold ........................................ 37,024,799 Capital shares sold ..................................... 752,480 Dividends and interest .................................. 69,461 Prepaid expenses and other assets .......................... 45,205 ------------ Total assets ......................................... 461,479,717 ------------ LIABILITIES Cash overdraft ............................................. 1,027,550 Payable for investments purchased .......................... 1,319,585 Capital shares redeemed .................................... 1,014,508 Investment advisory fees ................................... 317,595 Administration and accounting fees ......................... 30,588 Other accrued expenses and liabilities ..................... 66,210 ------------ Total liabilities .................................... 3,776,036 ------------ Net Assets ................................................. $457,703,681 ============ NET ASSETS CONSIST OF Par value .................................................. $ 38,300 Paid-in capital ............................................ 334,934,871 Accumulated net investment loss ............................ (1,558,337) Accumulated net realized gain from investments ............. 29,756,375 Net unrealized appreciation on investments ................. 94,532,472 ------------ Net Assets ................................................. $457,703,681 ------------ INVESTOR CLASS Net Assets ................................................. $211,390,949 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ...................................... 17,751,054 ------------ Net asset value, offering and redemption price per share ... $ 11.91 ============ I SHARES Net Assets ................................................. $246,312,732 ------------ Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ...................................... 20,549,062 ------------ Net asset value, offering and redemption price per share ... $ 11.99 ============
The accompanying notes are an integral part of the financial statements. 8 PERIMETER SMALL CAP GROWTH FUND STATEMENTS OF OPERATIONS SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Dividends (net of foreign taxes withheld of $1,799) ........ $ 1,000,393 Interest ................................................... 1,697 ------------ Total investment income ................................. 1,002,090 ------------ EXPENSES Advisory fees .............................................. 1,895,240 Distribution fees(1) ....................................... 244,024 Administration and accounting fees ......................... 181,037 Transfer agent fees ........................................ 91,151 Professional fees .......................................... 40,486 Directors' and officers' fees .............................. 24,549 Printing and shareholder reporting fees .................... 22,167 Registration and filing fees ............................... 21,939 Custodian fees ............................................. 12,757 Insurance fees ............................................. 4,976 Other expenses ............................................. 1,367 ------------ Total expenses before waivers and recoupment ............ 2,539,693 ------------ Less: waiver of Advisory fees ........................... (5,695) Plus net expenses recouped (Note 2) ............... 26,429 ------------ Net expenses after waivers and recoupment ............... 2,560,427 ------------ Net investment loss ........................................ (1,558,337) ------------ NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments ............................................. 40,865,694 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ................................................... 81,617,059 ------------ Net realized and unrealized gain from investments .......... 122,482,753 ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......... $120,924,416 ============
---------- (1) Attributable to Investor Class Shares. The accompanying notes are an integral part of the financial statements. 9 PERIMETER SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX FOR THE MONTHS ENDED ONE MONTH FOR THE YEAR FEBRUARY 28, 2011 PERIOD ENDED ENDED (UNAUDITED) AUGUST 31, 2010* JULY 31, 2010 ----------------- ---------------- ------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment loss ............................................ $ (1,558,337) $ (245,658) $ (2,802,352) Net realized gain from investments ............................. 40,865,694 395,360 31,732,848 Net change in unrealized appreciation/(depreciation) from investments ................................................. 81,617,059 (27,503,824) 10,207,973 ------------ ------------ ------------ Net increase/(decrease) in net assets resulting from operations ... 120,924,416 (27,354,122) 39,138,469 ------------ ------------ ------------ INCREASE/(DECREASE) IN NET ASSETS FROM CAPITAL TRANSACTIONS: Investor Class Proceeds from shares sold ...................................... 21,066,059 2,458,564 58,722,592 Shares redeemed ................................................ (26,542,406) (2,914,696) (41,879,703) ------------ ------------ ------------ Total Investor Class ........................................ (5,476,347) (456,132) 16,842,889 ------------ ------------ ------------ I Shares Proceeds from shares sold ...................................... 44,813,028 3,287,158 58,747,611 Shares redeemed ................................................ (28,387,821) (3,370,264) (54,840,925) ------------ ------------ ------------ Total I Shares .............................................. 16,425,207 (83,106) 3,906,686 ------------ ------------ ------------ Redemption fees ................................................... 262 3 1,373 ------------ ------------ ------------ Net increase/(decrease) in net assets from capital transactions ... 10,949,122 (539,235) 20,750,948 ------------ ------------ ------------ Total increase/(decrease) in net assets ........................... 131,873,538 (27,893,357) 59,889,417 NET ASSETS Beginning of period ............................................ 325,830,143 353,723,500 293,834,083 ------------ ------------ ------------ End of period .................................................. $457,703,681 $325,830,143 $353,723,500 ============ ============ ============ Undistributed/accumulated net investment income (loss), end of period ...................................................... $ (1,558,337) $ -- $ -- ============ ============ ============
---------- * The Fund changed its fiscal year end to August 31. The accompanying notes are an integral part of the financial statements. 10 PERIMETER SMALL CAP GROWTH FUND STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE SIX FOR THE MONTHS ENDED ONE MONTH FOR THE YEAR FEBRUARY 28, 2011 PERIOD ENDED ENDED (UNAUDITED) AUGUST 31, 2010* JULY 31, 2010 ----------------- ---------------- ------------- INCREASE/(DECREASE) IN SHARES OUTSTANDING DERIVED FROM SHARE TRANSACTIONS: Investor Class Shares sold ........................................................... 1,915,394 262,205 6,349,320 Shares redeemed ....................................................... (2,416,549) (312,042) (4,485,456) ---------- -------- ---------- Total Investor Class ............................................... (501,155) (49,837) 1,863,864 ---------- -------- ---------- I Shares Shares sold ........................................................... 4,359,248 356,707 6,443,881 Shares redeemed ....................................................... (2,515,808) (369,113) (5,996,326) ---------- -------- ---------- Total I Shares ..................................................... 1,843,440 (12,406) 447,555 ---------- -------- ---------- Net increase/(decrease) in shares outstanding from share transactions .... 1,342,285 (62,243) 2,311,419 ========== ======== ==========
---------- * The Fund changed its fiscal year end to August 31. The accompanying notes are an integral part of the financial statements. 11 PERIMETER SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
INVESTOR CLASS SHARES ---------------------------------------------------------------------- SIX MONTHS PERIOD ENDED ONE MONTH YEAR YEAR YEAR PERIOD FEBRUARY 28, PERIOD ENDED ENDED ENDED ENDED ENDED 2011 AUGUST 31, JULY 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2010* 2010 2009 2008 2007** ------------ ------------ -------- -------- -------- -------- Net asset value, Beginning of Period ...... $ 8.79 $ 9.53 $ 8.45 $ 10.40 $ 11.49 $ 10.00 Income (Loss) from Operations: Net Investment Loss(1) ................. (0.05) (0.01) (0.09) (0.05) (0.08) (0.08)(2) Net Realized and Unrealized Gains (Loss) on Investments ............... 3.17 (0.73) 1.17 (1.90) (0.88) 1.57(2) -------- -------- -------- -------- -------- ------- Total from Operations ..................... 3.12 (0.74) 1.08 (1.95) (0.96) 1.49 -------- -------- -------- ------- Dividends and Distributions from: Net Realized Gains ..................... -- -- -- -- (0.13) -- -------- -------- -------- -------- -------- ------- Total Dividends and Distributions ......... -- -- -- -- (0.13) -- -------- -------- -------- -------- -------- ------- Redemption Fees ........................... --(3) --(3) --(3) --(3) -- -- -------- -------- -------- -------- -------- ------- Net Asset Value, End of Period ............ $ 11.91 $ 8.79 $ 9.53 $ 8.45 $ 10.40 $ 11.49 ======== ======== ======== ======== ======== ======= TOTAL RETURN+ 35.50% (7.77)% 12.78% (18.75)% (8.47)% 14.90% ======== ======== ======== ======== ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (Thousands) ..... $211,391 $160,496 $174,434 $138,929 $122,353 $53,100 Ratio of Expenses to Average Net Assets (including waivers and recoupment, excluding fees paid indirectly) ........ 1.35%*** 1.35%*** 1.29% 1.11% 1.20% 1.38%*** Ratio of Expenses to Average Net Assets (including waivers, recoupment and fees paid indirectly) .............. 1.35%*** 1.35%*** 1.29% 1.09% 1.16% 1.29%*** Ratio of Expenses to Average Net Assets (excluding waivers, recoupment and fees paid indirectly) .................. 1.34%*** 1.47%*** 1.34% 1.41% 1.51% 2.11%*** Ratio of Net Investment Loss to Average Net Assets ............................. (0.87)%*** (0.97)%*** (0.93)% (0.66)% (0.74)% (0.79)%*** Portfolio Turnover Rate++ ................. 63% 7% 97% 126% 147% 88%
+ Total return has not been annualized for periods less than one year. Total return would have been lower had certain expenses not been waived by the Adviser during the period. The return shown does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Portfolio turnover rate has not been annualized for periods less than one year. * The Fund changed its fiscal year end to August 31. ** Commenced operations on September 29, 2006. *** Annualized (1) Per share data calculated using average shares method. (2) This amount is inconsistent with the Fund's aggregate net income, gains and losses because of the timing of sales and redemption of Fund shares in relation to fluctuating market values for the investment portfolio. (3) Amount is less than $0.01 per share. The accompanying notes are an integral part of the financial statements. 12 PERIMETER SMALL CAP GROWTH FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
I SHARES ------------------------------------------------------------ SIX MONTHS PERIOD ENDED ONE MONTH YEAR YEAR PERIOD FEBRUARY 28, PERIOD ENDED ENDED ENDED ENDED 2011 AUGUST 31, JULY 31, JULY 31, JULY 31, (UNAUDITED) 2010* 2010 2009 2008** ------------ ------------ -------- -------- -------- Net asset value, Beginning of Period ................. $ 8.84 $ 9.58 $ 8.48 $ 10.42 $ 11.53 -------- -------- -------- -------- ------- Income (Loss) from Operations: Net Investment Loss(1) ............................ (0.03) (0.01) (0.07) (0.05) (0.04) Net Realized and Unrealized Gains (Loss) on Investments .................................... 3.18 (0.73) 1.17 (1.89) (1.07) -------- -------- -------- -------- ------- Total from Operations ................................ 3.15 (0.74) 1.10 (1.94) (1.11) -------- -------- -------- -------- ------- Redemption Fees ...................................... --(2) --(2) --(2) --(2) -- -------- -------- -------- -------- ------- Net Asset Value, End of Period ....................... $ 11.99 $ 8.84 $ 9.58 $ 8.48 $ 10.42 ======== ======== ======== ======== ======= TOTAL RETURN+ ........................................ 35.63% (7.73)% 12.97% (18.62)% (9.63)% ======== ======== ======== ======== ======= RATIOS AND SUPPLEMENTAL DATA Net Assets, End of Period (Thousands) ................ $246,313 $165,334 $179,290 $154,905 $26,616 Ratio of Expenses to Average Net Assets (including waivers and recoupment, excluding fees paid indirectly) ....................................... 1.10%*** 1.10%*** 1.10% 1.04% 1.03%*** Ratio of Expenses to Average Net Assets (including waivers, recoupment and fees paid indirectly) ..... 1.10%*** 1.10%*** 1.10% 1.03% 1.00%*** Ratio of Expenses to Average Net Assets (excluding waivers, recoupment and fees paid indirectly) ..... 1.09%*** 1.22%*** 1.16% 1.36% 1.37%*** Ratio of Net Investment Loss to Average Net Assets ........................................ (0.62)%*** (0.72)%*** (0.74)% (0.64)% (0.58)%*** Portfolio Turnover Rate++ ............................ 63% 7% 97% 126% 147%++++
---------- + Total return has not been annualized for periods less than one year. Total return would have been lower had certain expenses not been waived by the Adviser during the period. The return shown does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. ++ Portfolio turnover rate has not been annualized for periods less than one year. ++++ Portfolio turnover rate is for the Fund for the year ended July 31, 2008. * The Fund changed its fiscal year end to August 31. ** Commenced operations on December 31, 2007. *** Annualized (1) Per share data calculated using average shares method. (2) Amount is less than $0.01 per share. The accompanying notes are an integral part of the financial statements. 13 PERIMETER SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Perimeter Small Cap Growth Fund. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Fund commenced operations on September 29, 2006 as a separate portfolio (the "Predecessor Fund") of The Advisors' Inner Circle Fund II. Immediately prior to the opening of business on February 8, 2010, pursuant to an Agreement and Plan of Reorganization (the "Reorganization") approved at a Meeting of Shareholders held on January 14, 2010, the Fund received substantially all of the assets and liabilities of the Predecessor Fund. The shareholders of the Predecessor Fund received Investor Class Shares and I Shares of the Fund with an aggregate net asset value equal to the aggregate net asset value of their shares in the Predecessor Fund immediately prior to the Reorganization. The Reorganization was treated as a tax-free reorganization for federal income tax purposes and, accordingly, the basis of the assets of the Fund reflected the historical basis of the assets of the Predecessor Fund as of the date of the Reorganization. The Predecessor Fund and the Fund had identical investment objectives and substantially similar investment policies and principal risks. For financial reporting purposes, the Predecessor Fund's financial and performance history prior to the Reorganization is carried forward and reflected in the Fund's financial statements and financial highlights. The investment objective of the Fund is to seek long-term capital appreciation. The Fund invests primarily (at least 80% of its net assets) in small-cap equity securities. The assets of each fund of the Company are segregated, and a shareholder's interest is limited to the fund in which shares are held. The Fund is registered to offer Investor Class Shares and I Shares. The fiscal year end of the Predecessor Fund was July 31. Subsequent to July 31, 2010, the Fund changed its fiscal year end to August 31 to reflect the fiscal year end of the other series of RBB. PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. As of February 28, 2011, there were no fair valued securities. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels are described below: - Level 1 -- unadjusted quoted prices in active markets for identical assets and liabilities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) 14 PERIMETER SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is included with the Fund's Portfolio of Investments. At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. USE OF ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. REDEMPTION FEES -- The Fund retains a redemption fee of 2% on redemptions of Fund shares held less than seven days. The fees are reflected on the Statement of Changes in Net Assets. The Fund reserves the right to modify or eliminate the redemption fees or waivers at any time. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 15 PERIMETER SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) 2. INVESTMENT ADVISER AND OTHER SERVICES Perimeter Capital Management, LLC (the "Adviser") serves as investment adviser to the Fund. For its services, the Adviser is entitled to a fee, which is calculated daily and paid monthly, at an annual rate of 0.90% of the Fund's average daily net assets. The Adviser has contractually agreed to limit the total expenses of the Investor Class Shares and I Shares of the Fund (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) to 1.35% and 1.10% of the average daily net assets of the Fund's Investor Class Shares and I Shares, respectively, through December 31, 2011. To maintain this expense limitation, the Adviser may waive a portion of its advisory fee and/ or reimburse certain expenses of the Fund. If at any point it becomes unnecessary for the Adviser to make expense limitation reimbursements, the Adviser may retain the difference between the "Total Annual Fund Operating Expenses" and the respective share class expense limitations to recapture all or a portion of its prior expense limitation reimbursements made during the preceding three-year period. As of February 28, 2011, the total fees which were previously waived by the Adviser which may be subject to possible future reimbursement to the Adviser were $56,926 and $5,695, expiring in 2013 and 2014, respectively. Effective February 8, 2010, BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon"), serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. Prior to February 8, 2010, SEI Investments Global Funds Services ("SEI") provided management and administrative services to the Predecessor Fund at agreed upon rates. Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. Effective February 8, 2010, BNY Mellon serves as the Fund's transfer and dividend disbursing agent. For providing transfer agency services, BNY Mellon is entitled to a monthly fee, subject to certain minimums. Prior to February 8, 2010, DST Systems, Inc. served as the transfer agent and dividend disbursing agent for the Predecessor Fund. Effective February 8, 2010, PFPC Trust Company ("PFPC Trust"), a member of The Bank of New York Mellon Corporation, provides custodial services to the Fund. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. Prior to February 8, 2010, Union Bank N.A. acted as custodian for the Predecessor Fund. Effective February 8, 2010, BNY Mellon Distributors (the "Distributor"), an affiliate of BNY Mellon, serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. Effective February 8, 2010, the Board of Directors has adopted a separate Plan of Distribution for the Investor Class Shares (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act. Under the Plan, the Fund's Distributor is entitled to receive from the Fund a distribution fee with respect to the Investor Class Shares, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class Shares. Prior to February 8, 2010, the Predecessor Fund had entered into shareholder servicing agreements with third-party service providers pursuant to which the service providers provide certain shareholder services to Predecessor Fund shareholders (the "Service Plan"). Under the Service Plan, the Predecessor Fund could pay service providers a shareholder servicing fee at a rate of up to 0.25% annually of the average daily net assets of the Investor Class Shares of the Predecessor Fund. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2011 was $21,611. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Fund or the Company. Prior to February 8, 2010, certain officers and a trustee of The Advisors' Inner Circle Fund II (the "Predecessor Trust") were also officers of SEI. Such officers were paid no fees by the Predecessor Trust for serving as officers of the Predecessor Trust. The services provided by the Chief Compliance Officer ("CCO") of the Predecessor Trust and his staff, whom were employees of SEI, were paid for by the Predecessor Trust as incurred. The services included regulatory oversight of the Predecessor Trust's Advisors and service providers as required by SEC regulations. The CCO's services had been approved by and were reviewed by the board of the Predecessor Trust. 16 PERIMETER SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
PURCHASES SALES ------------ ------------ $253,477,610 $267,425,732
5. SIGNIFICANT SHAREHOLDERS As of the period ended February 28, 2011, the Fund had three shareholder accounts and/or omnibus accounts (comprised of a group of individual shareholders) that amounted to 60% of the total shares outstanding of the Fund. 6. FEDERAL TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (July 31, 2007-2010 and August 31, 2010) and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION (DEPRECIATION) ------------ ------------ ------------ -------------- $329,055,300 $100,908,163 $(6,375,691) $94,532,472
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. As of August 31, 2010 and July 31, 2010, the components of distributable earnings on a tax basis were as follows:
AUGUST 31, 2010 JULY 31, 2010 --------------- ------------- Capital Loss Carryforwards ... $(9,010,990) $(9,569,118) Unrealized Appreciation ...... 10,817,084 38,483,676 ----------- ----------- Total ........................ $ 1,806,094 $28,914,558 =========== ===========
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term gains are reported as ordinary income for federal income tax purposes. There were no distributions paid during the period ended August 31, 2010 and the fiscal years ended July 31, 2010 and July 31, 2009. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2010 and July 31, 2010, the Fund had capital loss carryforwards as follows:
EXPIRES AS OF AUGUST 31 AS OF JULY 31 ------- --------------- ------------- August 2016 ... $9,010,990 $ -- July 2017 ..... -- 9,569,118
17 PERIMETER SMALL CAP GROWTH FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010 and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 8. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no events requiring disclosure. 18 PERIMETER SMALL CAP GROWTH FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Perimeter at (888) 968-4964 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 19 THIS PAGE INTENTIONALLY LEFT BLANK THIS PAGE INTENTIONALLY LEFT BLANK INVESTMENT ADVISOR Perimeter Capital Management LLC Six Concourse Parkway Suite 3300 Atlanta, GA 30328 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young, LLP Two Commerce Square 2001 Market Street Suite 4000 Philadelphia, PA 19103 LEGAL COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 (ROBECO LOGO) ROBECO INVESTMENT FUNDS OF THE RBB FUND, INC. SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND ROBECO WPG SMALL/MICRO CAP VALUE FUND (FORMERLY ROBECO WPG SMALL CAP VALUE FUND) SAM SUSTAINABLE GLOBAL ACTIVE FUND This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds. Shares of Robeco Investment Funds are distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406. ROBECO INVESTMENT FUNDS GENERAL MARKET COMMENTARY Dear Shareholder: With the continuation of a strong earnings recovery, the U.S. equity markets have posted double-digit returns virtually across the board over the six months ended February 28, 2011. Corporate America's operating earnings for the third quarter 2010 alone grew by 37% on a year-over-year basis for S&P 500 companies and marked the seventh-consecutive quarter of earnings expansion. The majority of companies beat earnings expectations, helped by continued gains on the cost side and more prevalent revenue growth. Along the way, corporate earnings have been steadily approaching prior peaks and current consensus expectations estimate that those levels will be surpassed this year as well. In the meantime, Corporate America's balance sheets and income statements have been very strong. So too has been free cash flow generation. Equity free cash flow yields (or the price investors are paying for cash flows) are at exceptionally attractive levels relative to history and to the bond market. Yields have more recently begun to flatten out from historic levels, but for good reasons: business spending has been picking up and equity prices have been rising. Business spending has come back from the historic doldrums of the recession as well. According to an International Strategy & Investment survey of 114 companies with annual sales totaling 12% of U.S. GDP growth, CFOs are expecting to spend excess cash versus saving it for a rainy day. Capital spending for the S&P 500 companies increased over 20% in the third quarter and continued double digit growth is expected through 2011. A turn in sentiment and behavior helps grease the wheels for growth. We don't expect a smooth ride, however. The economy is squarely recovering, but so far, its growth has been less than would be expected after a severe recession. As we noted in our Annual Report commentary last year, global risk levels in general are elevated. Government debt loads in many countries are high and rising, which points to increases in interest rates and inflation down the road. There are also significant growth challenges facing developed economies, including the U.S. Our investment process helps us keep these risks in perspective and keep opportunities in view. It is data driven, objectively addressing the facts to assess a stock's risk/return profile in the context of earnings and valuation. On both counts the data have been very good. In addition, we are seeing significant gains in business momentum in numerous areas of the market, from the auto industry to retailing businesses. In our day-to-day work as stock pickers we are seeing evidence of a truly unique investment environment: a strong earnings recovery is in progress, corporate fundamentals have improved dramatically and valuations are very attractive across multiple measures. These conditions reward investors over time, and we plan on discussing in our portfolio commentaries in the 2011 Annual Report how we have been taking advantage of them to build your portfolio for the future. Sincerely, Robeco Investment Funds SEMI-ANNUAL REPORT 2011 | 1 ROBECO INVESTMENT FUNDS TOTAL RETURNS FOR THE PERIOD ENDED FEBRUARY 28, 2011 (UNAUDITED)
AVERAGE ANNUAL ---------------------------- SINCE SIX-MONTH 1 YEAR 5 YEAR 10 YEAR INCEPTION --------- ------ ------ ------- --------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II Institutional Class 34.07% 23.12% 4.78% 10.73% N/A Investor Class 33.78% 22.69% 4.50% 10.45% N/A Russell 2000(R) Value Index 34.31% 28.87% 2.91% 8.68% N/A Russell 2000(R) Index(1) 37.55% 32.59% 3.80% 7.06% N/A (1) This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND Institutional Class 27.70% 26.47% 16.72% 11.42% N/A Investor Class 27.57% 26.15% 16.33% 11.08% N/A S&P 500(R) Index 27.73% 22.58% 2.87% 2.62% N/A ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND Institutional Class(1) N/A N/A N/A N/A 11.30% S&P 500(R) Index N/A N/A N/A N/A 17.27% Investor Class(2) N/A N/A N/A N/A 6.92% S&P 500(R) Index N/A N/A N/A N/A 12.16% (1) Inception date September 30, 2010 (2) Inception date November 29, 2010 ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND Institutional Class(1) 26.52% 19.46% 5.76% N/A 9.96% Investor Class(1) 26.43% 19.16% 5.49% N/A 9.69% Russell 3000(R) Value Index 26.92% 22.71% 1.67% N/A 5.93% Russell 3000(R) Index(2) 29.34% 24.25% 3.21% N/A 6.22% (1) Inception date July 1, 2002 (2) This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes. ROBECO WPG SMALL/MICRO CAP VALUE FUND Institutional Class 29.96% 31.20% 4.59% 4.91% N/A Russell 2000(R) Value Index 34.31% 28.87% 2.91% 8.68% N/A SAM SUSTAINABLE GLOBAL ACTIVE FUND Institutional Class(1) 26.97% 23.49% N/A N/A 27.58% MSCI World Index 26.07% 21.67% N/A N/A 25.08% Investor Class(2) 26.93% 23.22% N/A N/A 27.75% MSCI World Index 26.07% 21.67% N/A N/A 26.81% (1) Inception date June 18, 2009 (2) Inception date July 15, 2009
2 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. ROBECO INVESTMENT MANAGEMENT, INC. WAIVED A PORTION OF ITS ADVISORY FEE AND AGREED TO REIMBURSE A PORTION OF EACH FUND'S OPERATING EXPENSES, IF NECESSARY, TO MAINTAIN THE EXPENSE LIMITATION AS SET FORTH IN THE NOTES TO THE FINANCIAL STATEMENTS. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS, IF ANY; TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THERE BEEN NO ASSUMPTION OF FEES AND EXPENSES IN EXCESS OF EXPENSE LIMITATIONS. EACH FUND'S ANNUAL OPERATING EXPENSE RATIOS BELOW ARE AS STATED IN THE CURRENT PROSPECTUSES. THESE RATES CAN FLUCTUATE AND MAY DIFFER FROM THE ACTUAL EXPENSES INCURRED BY A FUND FOR THE PERIOD COVERED BY THIS REPORT. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-261-4073 OR VISIT OUR WEB SITE AT WWW.ROBECOINVEST.COM. INVESTORS SHOULD NOTE THAT THE FUNDS ARE ACTIVELY MANAGED MUTUAL FUNDS WHILE THE INDICES ARE UNMANAGED, DO NOT INCUR EXPENSE AND ARE NOT AVAILABLE FOR INVESTMENT. SMALL COMPANY STOCKS ARE GENERALLY RISKIER THAN LARGE COMPANY STOCKS DUE TO GREATER VOLATILITY AND LESS LIQUIDITY. VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED. THE SAM SUSTAINABLE GLOBAL ACTIVE FUND IS NON-DIVERSIFIED. GAINS OR LOSSES IN A SINGLE SECURITY OR SECTOR MAY HAVE A GREATER IMPACT ON THIS FUND. The following are the Funds' gross annual operating expense ratios as stated in the most recent prospectus:
INSTITUTIONAL INVESTOR CLASS CLASS ------------- -------- Robeco Boston Partners Small Cap Value Fund II .......... 1.38% 1.63% Robeco Boston Partners Long/Short Equity Fund ........... 3.45%(1) 3.70%(1) Robeco Boston Partners Long/Short Research Fund ......... 3.36%(1) 3.61%(1) Robeco Boston Partners All-Cap Value Fund ............... 1.10% 1.35% Robeco WPG Small/Micro Cap Value Fund ................... 1.78% N/A SAM Sustainable Global Active Fund ...................... 2.81% 3.06%
(1) Includes interest and dividend expense on short sales. SEMI-ANNUAL REPORT 2011 | 3 ROBECO INVESTMENT FUNDS FUND EXPENSE EXAMPLES (unaudited) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on a Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund(s) and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. EXPENSE TABLE
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES VALUE VALUE EXPENSE PAID DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 RATIO PERIOD* ----------------- ----------------- ---------- ---------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II INSTITUTIONAL Actual ........................................... $1,000.00 $1,340.70 1.30% $ 7.54 Hypothetical ..................................... 1,000.00 1,018.27 1.30% 6.53 INVESTOR Actual ........................................... $1,000.00 $1,337.80 1.55% $ 8.98 Hypothetical ..................................... 1,000.00 1,017.01 1.55% 7.78 ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND INSTITUTIONAL Actual ........................................... $1,000.00 $1,277.00 3.32%(1) $18.74 Hypothetical ..................................... 1,000.00 1,008.13 3.32%(1) 16.67 INVESTOR Actual ........................................... $1,000.00 $1,275.70 3.55%(1) $20.03 Hypothetical ..................................... 1,000.00 1,006.97 3.55%(1) 17.82 ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND(2) INSTITUTIONAL Actual(3) ........................................ $1,000.00 $1,113.00 2.70%(1) $11.72 Hypothetical(4) .................................. 1,000.00 1,011.24 2.70%(1) 13.56 INVESTOR Actual(5) ........................................ $1,000.00 $1,069.20 2.95%(1) $ 7.53 Hypothetical(4) .................................. 1,000.00 1,009.98 2.95%(1) 14.81
4 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FUND EXPENSE EXAMPLES (unaudited) (concluded)
BEGINNING ACCOUNT ENDING ACCOUNT ANNUALIZED EXPENSES VALUE VALUE EXPENSE PAID DURING SEPTEMBER 1, 2010 FEBRUARY 28, 2011 RATIO PERIOD* ----------------- ----------------- ---------- ---------- ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND INSTITUTIONAL Actual ........................................... $1,000.00 $1,265.20 0.70% $3.93 Hypothetical ..................................... 1,000.00 1,021.28 0.70% 3.51 INVESTOR Actual ........................................... $1,000.00 $1,264.30 0.95% $5.33 Hypothetical ..................................... 1,000.00 1,020.03 0.95% 4.77 ROBECO BOSTON PARTNERS WPG SMALL/MICRO VALUE FUND INSTITUTIONAL Actual ........................................... $1,000.00 $1,299.60 1.69% $9.64 Hypothetical ..................................... 1,000.00 1,016.31 1.69% 8.48 SAM SUSTAINABLE GLOBAL ACTIVE FUND INSTITUTIONAL Actual ........................................... $1,000.00 $1,269.70 1.20% $6.75 Hypothetical ..................................... 1,000.00 1,018.77 1.20% 6.02 INVESTOR Actual ........................................... $1,000.00 $1,269.30 1.45% $8.16 Hypothetical ..................................... 1,000.00 1,017.51 1.45% 7.28
* Expenses are equal to the Fund's annualized six-month expense ratios in the table below, which include waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. (1) These amounts include dividends paid on securities which the Funds have sold short ("short-sale dividends") and related interest expense. The annualized amount of short-sale dividends and related interest expense was 0.84% and 0.64% of average net assets for the most recent fiscal half-year for the Robeco Boston Partners Long/Short Equity Fund and the Robeco Boston Partners Long/Short Research Fund, respectively. (2) Institutional Class commenced operations on October 2, 2010. Investor Class commenced operations on December 1, 2010. (3) Expenses are equal to an annualized expense ratio for the period beginning September 30, 2010 to February 28, 2011 of 2.70%, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (150) then divided by 365 days. (4) Expenses (hypothetical expenses if the Fund had been in existence from September 1, 2010) are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by 365. (5) Expenses are equal to an annualized expense ratio for the period beginning November 29, 2010 to February 28, 2011 of 2.95%, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (90) then divided by 365 days. SEMI-ANNUAL REPORT 2011 | 5 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) PORTFOLIO HOLDINGS SUMMARY TABLES ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ------------ COMMON STOCK Finance .............................. 20.2% $ 23,909,653 Consumer Services .................... 20.2 23,833,892 Health Care .......................... 12.8 15,093,960 Capital Goods ........................ 10.0 11,832,202 Technology ........................... 9.8 11,598,422 Consumer Non-Durables ................ 7.7 9,098,869 Real Estate Investment Trusts ........ 5.2 6,121,220 Basic Industries ..................... 3.2 3,820,738 Consumer Durables .................... 2.4 2,888,759 Energy ............................... 2.2 2,614,288 Transportation ....................... 1.9 2,216,670 Communications ....................... 1.1 1,320,741 Utilities ............................ 0.8 901,220 SECURITIES LENDING COLLATERAL ........... 14.2 16,707,049 LIABILITIES IN EXCESS OF OTHER ASSETS ... (11.7) (13,769,526) ----- ------------ NET ASSETS .............................. 100.0% $118,188,157 ===== ============
Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ----------- COMMON STOCK Consumer Services .................... 19.5% $ 3,535,456 Technology ........................... 18.5 3,362,395 Finance .............................. 17.8 3,229,711 Capital Goods ........................ 11.9 2,168,692 Health Care .......................... 8.1 1,466,013 Consumer Non-Durables ................ 4.8 867,600 Energy ............................... 4.8 866,910 Basic Industries ..................... 4.5 820,279 Communications ....................... 3.9 708,960 Consumer Durables .................... 2.3 421,960 Utilities ............................ 0.7 139,158 WARRANTS ................................ 1.0 175,138 SECURITIES SOLD SHORT ................... (41.1) (7,456,295) OTHER ASSETS IN EXCESS OF LIABILITIES ... 43.3 7,854,803 ----- ----------- NET ASSETS .............................. 100.0% $18,160,780 ===== ===========
Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ------------- COMMON STOCK Finance .............................. 22.4% $ 99,579,522 Technology ........................... 16.6 73,984,610 Consumer Services .................... 13.3 58,932,418 Health Care .......................... 9.2 40,700,725 Capital Goods ........................ 7.1 31,428,122 Consumer Non-Durables ................ 6.5 28,757,914 Basic Industries ..................... 5.2 23,142,098 Energy ............................... 3.3 14,675,815 Consumer Durables .................... 3.2 14,144,693 Communications ....................... 3.0 13,317,011 Transportation ....................... 1.3 5,997,980 Real Estate Investment Trusts ........ 0.2 1,084,293 PREFERRED STOCK ......................... 0.3 1,055,116 SECURITIES LENDING COLLATERAL ........... 1.6 7,155,540 SECURITIES SOLD SHORT ................... (46.0) (204,223,392) OPTIONS WRITTEN ......................... 0.0 (161,510) OTHER ASSETS IN EXCESS OF LIABILITIES ... 52.8 234,823,424 ----- ------------- NET ASSETS .............................. 100.0% $ 444,394,379 ===== =============
Portfolio holdings are subject to change at any time. ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ------------ COMMON STOCK Finance .............................. 27.3% $ 76,876,348 Technology ........................... 17.9 50,404,531 Consumer Services .................... 16.2 45,584,885 Health Care .......................... 13.6 38,189,692 Energy ............................... 9.4 26,524,306 Consumer Non-Durables ................ 5.2 14,802,374 Capital Goods ........................ 4.5 12,616,666 Communications ....................... 2.4 6,849,250 Consumer Durables .................... 0.8 2,226,198 Real Estate Investment Trusts ........ 0.4 1,125,547 Utilities ............................ 0.3 903,949 Basic Industries ..................... 0.3 869,829 PREFERRED STOCK ......................... 0.1 287,759 CORPORATE BONDS ......................... 0.1 95,130 SECURITIES LENDING COLLATERAL ........... 2.1 5,985,471 WRITTEN OPTIONS ......................... (0.3) (899,469) LIABILITIES IN EXCESS OF OTHER ASSETS ... (0.3) (718,010) ----- ------------ NET ASSETS .............................. 100.0% $281,724,456 ===== ============
Portfolio holdings are subject to change at any time. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 6 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) PORTFOLIO HOLDINGS SUMMARY TABLES ROBECO WPG SMALL/MICRO CAP VALUE FUND
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ----------- COMMON STOCK Finance .............................. 22.3% $ 9,130,833 Consumer Services .................... 15.4 6,296,729 Health Care .......................... 9.9 4,065,687 Capital Goods ........................ 8.9 3,646,698 Real Estate Investment Trusts ........ 7.7 3,139,551 Transportation ....................... 7.2 2,960,794 Technology ........................... 6.4 2,629,614 Consumer Non-Durables ................ 6.2 2,557,656 Utilities ............................ 5.0 2,030,376 Energy ............................... 2.1 839,664 Communications ....................... 2.0 804,534 Consumer Durables .................... 1.4 572,427 Basic Industries ..................... 0.7 297,208 PREFFERED STOCK ......................... 0.2 77,248 SECURITIES LENDING COLLATERAL ........... 9.6 3,942,776 LIABILITIES IN EXCESS OF OTHER ASSETS ... (5.0) (2,052,471) ----- ----------- NET ASSETS .............................. 100.0% $40,939,324 ===== ===========
Portfolio holdings are subject to change at any time. SAM SUSTAINABLE GLOBAL ACTIVE FUND
% of Net Security Type/Sector Classification Assets Value ----------------------------------- -------- ----------- COMMON STOCK Financial ............................ 17.9% $ 3,831,264 Energy ............................... 11.5 2,472,829 Health Care .......................... 11.2 2,392,841 Industrials .......................... 10.7 2,297,009 Consumer Staples ..................... 10.6 2,282,154 Information Technology ............... 9.7 2,083,069 Materials ............................ 8.8 1,881,162 Consumer Discretionary ............... 6.8 1,453,055 Telecommunciation Services ........... 5.4 1,165,578 Utilities ............................ 4.0 860,183 SECURITIES LENDING COLLATERAL ........... 4.5 959,056 LIABILITIES IN EXCESS OF OTHER ASSETS ... (1.1) (238,032) ----- ----------- NET ASSETS .............................. 100.0% $21,440,168 ===== ===========
Portfolio holdings are subject to change at any time. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 7 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ COMMON STOCK--97.5% BASIC INDUSTRIES--3.2% Graham Packaging Co., Inc. * .................. 93,610 $ 1,590,433 Haynes International, Inc. .................... 11,905 617,154 Schweitzer-Mauduit International, Inc. ....................................... 13,800 756,653 Sensient Technologies Corp. ................... 14,645 488,849 Spartech Corp. * .............................. 43,355 367,649 ------------ 3,820,738 ------------ CAPITAL GOODS--10.0% Actuant Corp., Class A ........................ 27,045 765,373 Beacon Roofing Supply, Inc. * ................. 68,405 1,450,869 Brady Corp., Class A .......................... 24,343 870,018 Drew Industries, Inc. (a) ..................... 21,110 488,273 Globe Specialty Metals, Inc. .................. 39,380 917,159 Granite Construction, Inc. (a) ................ 20,130 573,704 Griffon Corp. * ............................... 77,025 928,922 Hillenbrand, Inc. ............................. 29,215 635,426 Insituform Technologies, Inc., Class A * .................................. 51,075 1,319,778 LSI Industries, Inc. .......................... 20,375 157,703 Mueller Industries, Inc. ...................... 10,625 361,038 Mueller Water Products, Inc., Class A .................................... 92,830 376,890 Olin Corp. .................................... 16,605 309,019 Rofin-Sinar Technologies, Inc. * .............. 6,260 242,763 Tutor Perini Corp. ............................ 35,665 849,540 UniTek Global Services, Inc. * ................ 45,670 446,653 WESCO International, Inc. * (a) ............... 19,565 1,139,074 ------------ 11,832,202 ------------ COMMUNICATIONS--1.1% EarthLink, Inc. ............................... 48,595 399,937 Monster Worldwide, Inc. * (a) ................. 34,365 589,360 Neutral Tandem, Inc. * ........................ 19,270 331,444 ------------ 1,320,741 ------------ CONSUMER DURABLES--2.4% Tempur-Pedic International, Inc. * (a) ................................. 23,715 1,113,182 Thor Industries, Inc. ......................... 24,430 812,053 Tower International, Inc. * (a) ............... 55,695 963,524 ------------ 2,888,759 ------------ CONSUMER NON-DURABLES--7.7% Alliance One International, Inc. * ............ 82,365 298,985 Brown Shoe Co., Inc. .......................... 37,862 586,861 Callaway Golf Co. (a) ......................... 81,075 627,521 Dole Food Co., Inc. * (a) ..................... 90,760 1,338,710 Fresh Del Monte Produce, Inc. ................. 23,690 677,060 Matthews International Corp., Class A .................................... 10,115 375,772 Nu Skin Enterprises, Inc., Class A (a) ................................ 25,620 817,790 RC2 Corp. * ................................... 44,175 959,039 Sanderson Farms, Inc. (a) ..................... 19,700 814,595 Skechers U.S.A., Inc., Class A * (a) .......... 28,545 593,165 Steven Madden Ltd. * .......................... 15,617 673,717
Number of Shares Value ------------ ------------ CONSUMER NON-DURABLES--(CONTINUED) Take-Two Interactive Software, Inc. * (a) ................................. 47,085 $ 756,656 Universal Corp. (a) ........................... 13,845 578,998 ------------ 9,098,869 ------------ CONSUMER SERVICES--20.2% ABM Industries, Inc. .......................... 20,515 546,314 Asbury Automative Group, Inc. * ............... 50,540 932,463 Ascena Retail Group, Inc. * ................... 43,530 1,359,877 Asset Acceptance Capital Corp. * (a) ................................ 26,055 153,203 Brink's Co., (The) ............................ 38,010 1,173,369 CBIZ, Inc. * .................................. 50,990 361,009 Charming Shoppes, Inc. * (a) .................. 135,505 443,101 Children's Place Retail Stores, Inc., (The) * (a) .......................... 12,255 560,054 Ennis, Inc. ................................... 20,330 330,363 Finish Line, Inc., (The), Class A (a) ......... 72,185 1,260,350 FTI Consulting, Inc. * ........................ 21,720 716,543 G&K Services, Inc., Class A ................... 17,162 556,392 Geo Group, Inc., (The) * ...................... 19,800 503,514 Group 1 Automotive, Inc. (a) .................. 17,070 721,208 Heidrick & Struggles International, Inc. ........................ 36,965 1,006,557 International Speedway Corp., Class A .................................... 38,123 1,056,770 KAR Auction Services, Inc. * .................. 51,420 721,937 Knoll, Inc. ................................... 56,773 1,173,498 Knot, Inc., (The) * ........................... 40,605 407,268 Korn/Ferry International * .................... 17,540 400,964 Live Nation Entertainment, Inc. * ............. 68,400 727,092 MAXIMUS, Inc. ................................. 14,895 1,102,230 Men's Wearhouse, Inc., (The) .................. 24,155 644,939 Navigant Consulting, Inc. * ................... 58,215 546,639 Regis Corp. ................................... 37,770 662,108 Rent-A-Center, Inc. (a) ....................... 29,550 976,923 Service Corp. International ................... 57,665 628,549 SFN Group, Inc. * ............................. 104,810 1,449,522 Steiner Leisure Ltd. * ........................ 7,520 354,643 Steinway Musical Instruments * ................ 18,070 388,144 Viad Corp. .................................... 13,925 319,161 World Fuel Services Corp. ..................... 39,797 1,649,188 ------------ 23,833,892 ------------ ENERGY--2.2% Bristow Group, Inc. * ......................... 15,600 747,552 Helix Energy Solutions Group, Inc. * .......... 31,395 483,483 Rosetta Resources, Inc. * ..................... 30,495 1,383,253 ------------ 2,614,288 ------------ FINANCE--20.2% Ameris Bancorp * .............................. 22,453 226,551 AMERISAFE, Inc. * ............................. 17,575 350,797 Apollo Investment Corp. ....................... 35,245 435,981 Centerstate Banks, Inc. ....................... 52,040 377,290 Citizens Republic Bancorp, Inc. * ............. 440,240 370,198 CNA Surety Corp. * ............................ 13,635 344,693
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 8 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ FINANCE--(CONTINUED) Columbia Banking System, Inc. ................. 26,900 $ 533,696 Cowen Group, Inc., Class A * .................. 26,110 111,751 Cypress Sharpridge Investments, Inc ........................................ 80,260 1,000,040 FBR Capital Markets Corp. * ................... 116,265 432,506 Fifth Street Finance Corp. (a) ................ 87,945 1,211,003 First American Financial Corp. ................ 44,040 694,070 First Citizens Bancshares, Inc., Class A .................................... 3,185 643,370 Flagstone Reinsurance Holdings S.A. ........... 22,570 257,298 Gladstone Capital Corp. ....................... 14,910 169,825 Global Indemnity PLC * ........................ 13,553 302,232 Heritage Financial Corp. * .................... 23,135 346,100 Horace Mann Educators Corp. ................... 24,320 412,224 Infinity Property & Casualty Corp. ............ 10,630 645,347 JMP Group, Inc. ............................... 63,985 546,432 Knight Capital Group, Inc., Class A * .................................. 91,020 1,275,190 Maiden Holdings Ltd. .......................... 124,740 996,673 MGIC Investment Corp. * (a) ................... 123,140 1,057,773 Nara Bancorp, Inc. * .......................... 87,355 915,480 Navigators Group, Inc., (The) * ............... 8,475 444,599 Nelnet, Inc., Class A ......................... 47,131 1,052,435 Ocwen Financial Corp. * ....................... 117,670 1,244,949 Park Sterling Corp. * ......................... 41,650 207,834 PHH Corp. * (a) ............................... 69,875 1,724,515 Platinum Underwriters Holdings Ltd. ........... 23,010 959,517 ProAssurance Corp. * .......................... 4,005 253,637 Safety Insurance Group, Inc. .................. 9,610 462,433 State Auto Financial Corp. .................... 31,155 538,358 Stewart Information Services Corp ....................................... 41,925 467,464 Student Loan Corp., (The) ..................... 18,405 46,013 SVB Financial Group * ......................... 10,275 556,700 Symetra Financial Corp. ....................... 73,825 1,055,698 TradeStation Group, Inc. * .................... 53,820 362,209 United Rentals, Inc. * (a) .................... 12,665 392,362 Washington Federal, Inc. ...................... 27,260 484,410 ------------ 23,909,653 ------------ HEALTH CARE--12.8% Addus HomeCare Corp. * ........................ 48,641 218,398 AmSurg Corp. * ................................ 20,110 475,199 Centene Corp. * ............................... 17,170 523,170 CONMED Corp. * ................................ 23,940 633,931 Haemonetics Corp. * ........................... 16,295 1,004,587 Hanger Orthopedic Group, Inc. * ............... 28,950 778,755 ICON PLC, Sponsored ADR * ..................... 49,685 988,235 Kindred Healthcare, Inc. * .................... 66,610 1,659,921 LHC Group, Inc. * ............................. 16,425 490,451 LifePoint Hospitals, Inc. * ................... 14,345 559,168 Owens & Minor, Inc. ........................... 25,317 789,890 PAREXEL International Corp. * ................. 28,325 664,788 PharMerica Corp. * ............................ 18,790 220,783 PSS World Medical, Inc. * (a) ................. 23,665 615,763 RehabCare Group, Inc. * ....................... 37,630 1,397,955
Number of Shares Value ------------ ------------ HEALTH CARE--(CONTINUED) Select Medical Holdings Corp. * ............... 85,035 $ 663,273 Skilled Healthcare Group, Inc., Class A * .................................. 48,730 668,088 Symmetry Medical, Inc. * ...................... 113,625 1,027,170 U.S. Physical Therapy, Inc. * ................. 86,719 1,714,435 ------------ 15,093,960 ------------ REAL ESTATE INVESTMENT TRUSTS--5.2% Anworth Mortgage Asset Corp. .................. 191,497 1,367,289 Capstead Mortgage Corp. ....................... 29,635 389,404 Chatham Lodging Trust ......................... 49,210 859,699 Colony Financial, Inc. (a) .................... 21,250 451,563 Gladstone Commercial Corp. .................... 17,185 315,517 Hatteras Financial Corp. ...................... 11,100 328,338 MFA Financial, Inc. (a) ....................... 87,825 743,878 Monmouth Real Estate Investment Corp., Class A ............................. 67,190 554,989 Redwood Trust, Inc. (a) ....................... 44,110 722,522 Two Harbors Investment Corp. .................. 35,115 388,021 ------------ 6,121,220 ------------ TECHNOLOGY--9.8% Bel Fuse, Inc., Class B ....................... 15,215 333,209 Belden, Inc. .................................. 38,415 1,407,141 Brooks Automation, Inc. * ..................... 42,940 538,897 CIBER, Inc. * ................................. 83,335 389,174 Coherent, Inc. * .............................. 6,940 428,545 Dolan Co., (The) * ............................ 23,960 299,500 Electronics for Imaging, Inc. * ............... 26,980 416,301 EnerSys * ..................................... 39,715 1,409,883 Generac Holdings, Inc. * ...................... 22,590 414,075 Heartland Payment Systems, Inc. ............... 56,450 1,105,291 Imation Corp. * ............................... 29,160 334,757 Insight Enterprises, Inc. * ................... 18,615 340,468 Integrated Device Technology, Inc. * ..................................... 75,355 584,001 Ness Technologies, Inc. * ..................... 34,970 207,372 NETGEAR, Inc. * ............................... 27,520 902,656 Sykes Enterprises, Inc. * ..................... 57,800 1,075,080 SYNNEX Corp. * ................................ 18,310 645,977 Teradyne, Inc. * (a) .......................... 26,345 490,807 Verigy Ltd. * (a) ............................. 21,225 275,288 ------------ 11,598,422 ------------ TRANSPORTATION--1.9% Arkansas Best Corp. ........................... 18,030 427,672 Diana Shipping, Inc. * ........................ 37,565 468,060 Landstar System, Inc. ......................... 13,865 616,577 UTI Worldwide, Inc. ........................... 35,395 704,361 ------------ 2,216,670 ------------ UTILITIES--0.8% PNM Resources, Inc. ........................... 67,710 901,220 ------------ TOTAL COMMON STOCK (Cost $91,200,297) ...................... 115,250,634 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 9 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ SECURITIES LENDING COLLATERAL--14.2% Institutional Money Market Trust .............. 15,606,786 $ 15,606,786 KBC Bank NV, 0.15%, 03/01/11,TD ................................ 1,100,263 1,100,263 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $16,707,049) ...................... 16,707,049 ------------ TOTAL INVESTMENTS--111.7% (Cost $107,907,346) ........................... 131,957,683 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(11.7)% ......................... (13,769,526) ------------ NET ASSETS--100.0% ............................... $118,188,157 ============
ADR -- American Depositary Receipt PLC -- Public Limited Company TD -- Time Deposits * -- Non-income producing. (a) -- All or a portion of the security is on loan. (See Note 6 of the Notes to Financial Statements) A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Common Stock * $115,250,634 $115,250,634 $ -- $-- Securities Lending Collateral 16,707,049 15,606,786 1,100,263 ------------ ------------ ---------- --- Total Assets $131,957,683 $130,857,420 $1,100,263 $-- ============ ============ ========== ===
* see Portfolio of Investments detail for industry and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 10 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ LONG POSITIONS--93.2% COMMON STOCK--91.3% BASIC INDUSTRIES--5.2% AbitibiBowater, Inc. * (a) .................... 74,880 $ 2,095,891 AEP Industries, Inc. * + ...................... 84,069 2,360,658 Cytec Industries, Inc. + ...................... 50,470 2,868,210 Haynes International, Inc. + .................. 48,729 2,526,111 PH Glatfelter Co. + ........................... 300,970 3,704,941 POSCO, ADR + .................................. 28,210 2,907,887 Smurfit-Stone Container Corp. *+ .............. 96,070 3,692,931 Spartech Corp. * .............................. 352,060 2,985,469 ------------ 23,142,098 ------------ CAPITAL GOODS--7.1% Chase Corp. + ................................. 122,802 1,994,304 Ducommun, Inc. + .............................. 170,125 3,805,696 Dynamics Research Corp. * + ................... 88,835 1,364,506 General Cable Corp. * + ....................... 66,455 2,885,476 Global Power Equipment Group, Inc. * + ........ 145,959 3,279,699 Griffon Corp. * + ............................. 157,011 1,893,553 Hardinge, Inc ................................. 98,040 1,308,834 Innovative Solutions and Support, Inc. * ...... 254,447 1,511,415 Michael Baker Corp. * + ....................... 87,190 2,743,869 Miller Industries, Inc ........................ 44,523 739,972 Mohawk Industries, Inc. * + ................... 38,860 2,258,155 NCI Building Systems, Inc. * + ................ 220,460 3,115,100 WaterFurnace Renewable Energy, Inc. ........... 69,755 1,950,742 Zagg, Inc. * (a) .............................. 285,360 2,576,801 ------------ 31,428,122 ------------ COMMUNICATIONS--3.0% DISH Network Corp., Class A * + ............... 155,840 3,623,280 InfoSpace, Inc. * + ........................... 603,445 4,863,767 SureWest Communications * + ................... 370,965 4,829,964 ------------ 13,317,011 ------------ CONSUMER DURABLES--3.2% China XD Plastics Co., Ltd. * (a) ............. 172,490 1,228,129 D.R. Horton, Inc. (a) + ....................... 157,780 1,868,115 Hooker Furniture Corp. + ...................... 91,327 1,243,874 Libbey, Inc. * (a) + .......................... 186,675 3,208,943 Pulte Homes, Inc. * (a) + ..................... 212,300 1,464,870 Toll Brothers, Inc. * + ....................... 89,660 1,906,172 Visteon Corp. * ............................... 43,605 3,224,590 ------------ 14,144,693 ------------ CONSUMER NON-DURABLES--6.5% Anheuser-Busch InBev NV - Sponsored ADR + .................. 116,845 6,546,825 Brunswick Corp. (a) + ......................... 125,630 2,893,259 Coca-Cola Femsa S.A. de C.V. - Sponsored ADR + .............. 35,165 2,569,155 Hanesbrands, Inc. * ........................... 89,550 2,320,241 Kenneth Cole Products, Inc., Class A * ........ 178,124 2,315,612 Kid Brands, Inc. * ............................ 142,747 1,336,112 Lorillard, Inc. + ............................. 41,885 3,215,511
Number of Shares Value ------------ ------------ CONSUMER NON-DURABLES--(CONTINUED) Matthews International Corp., Class A + ....... 63,640 $ 2,364,226 Perry Ellis International, Inc. * + ........... 56,290 1,634,662 Rocky Brands, Inc. * .......................... 60,657 884,986 VF Corp. (a) + ................................ 27,985 2,677,325 ------------ 28,757,914 ------------ CONSUMER SERVICES--13.3% AFC Enterprises, Inc. * + ..................... 136,771 2,022,843 Asbury Automative Group, Inc. * + ............. 163,790 3,021,926 Barrett Business Services, Inc. + ............. 127,695 1,863,070 Benihana, Inc., Class A * + ................... 256,275 2,357,730 Century Casinos, Inc. * ....................... 768,896 1,999,130 Charming Shoppes, Inc. * ...................... 582,330 1,904,219 Christopher & Banks Corp. + ................... 437,490 2,673,064 CRA International, Inc. * + ................... 60,595 1,571,834 CVS Caremark Corp ............................. 77,115 2,549,422 Destination Maternity Corp. + ................. 59,329 2,675,738 Ennis, Inc. + ................................. 188,320 3,060,200 G.Willi-Food International Ltd. * ............. 64,630 484,725 Hackett Group, Inc. (The) * ................... 475,144 1,715,270 Heidrick & Struggles International, Inc. + .... 140,175 3,816,965 Hudson Highland Group, Inc. * + ............... 578,788 3,883,667 MarineMax, Inc. * + ........................... 237,076 2,140,796 Multi-Color Corp. + ........................... 107,619 1,996,332 Navigant Consulting, Inc. * ................... 222,925 2,093,266 Saga Communications, Inc., Class A * + ........ 73,467 2,130,543 Schawk, Inc. + ................................ 62,257 1,124,984 Steiner Leisure Ltd. * + ...................... 38,595 1,820,140 Towers Watson & Co., Class A + ................ 51,105 3,004,974 Tuesday Morning Corp. * ....................... 855,238 3,993,961 Viad Corp. + .................................. 78,415 1,797,272 Walgreen Co. + ................................ 74,535 3,230,347 ------------ 58,932,418 ------------ ENERGY--3.3% Canadian Natural Resources Ltd. (a) + ......... 59,165 2,975,999 Cenovus Energy Inc. + ......................... 79,125 3,078,754 Ensco PLC, Sponsored ADR (a) + ................ 38,485 2,159,008 EOG Resources, Inc. + ......................... 30,955 3,476,556 Mitcham Industries, Inc. * .................... 129,445 1,434,251 PHI, Inc. * ................................... 72,151 1,551,247 ------------ 14,675,815 ------------ FINANCE--22.4% ACE Ltd. + .................................... 42,920 2,714,690 Advance America Cash Advance Centers, Inc. .... 212,945 1,145,644 Alterra Capital Holdings Ltd. + ............... 59,245 1,281,469 Aon Corp. + ................................... 49,320 2,596,205 Banco Santander SA-Sponsored ADR + ............ 148,042 1,820,917 Bank of America Corp. + ....................... 283,405 4,049,857 Bank of Commerce Holdings ..................... 204,419 827,897 BankFinancial Corp. + ......................... 87,510 765,712 Beacon Federal Bancorp, Inc. .................. 44,125 622,161 Brown & Brown, Inc. + ......................... 97,080 2,537,671
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 11 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ FINANCE--(CONTINUED) Calamos Asset Management, Inc., Class A + ..... 248,795 $ 4,125,021 Capital One Financial Corp. + ................. 59,615 2,967,039 CapitalSource, Inc. + ......................... 397,640 3,014,111 Capitol Federal Financial, Inc. + ............. 239,050 3,021,592 Century Bancorp, Inc., Class A + .............. 34,978 945,805 Citigroup, Inc.* .............................. 816,275 3,820,167 Citizens Republic Bancorp, Inc. * ............. 1,734,240 1,458,322 Cowen Group, Inc., Class A * .................. 256,505 1,097,841 ESSA Bancorp, Inc ............................. 56,950 740,350 FBR Capital Markets Corp. * ................... 396,490 1,474,943 Fidelity National Financial, Inc., Class A (a) + .............................. 108,715 1,505,703 First American Financial Corp. + .............. 63,145 995,165 First California Financial Group, Inc. * ...... 352,275 1,306,940 First Place Financial Corp. * ................. 117,925 383,256 First Southern Bancorp, Inc., Class B 144A * +++ ................................ 64,350 964,606 Flushing Financial Corp. + .................... 145,356 2,081,498 Fox Chase Bancorp, Inc ........................ 81,820 1,050,569 Goldman Sachs Group, Inc., (The) .............. 16,743 2,742,169 HF Financial Corp. ............................ 77,114 848,254 Hopfed Bancorp, Inc. .......................... 50,835 470,732 Hudson City Bancorp, Inc. ..................... 128,620 1,479,130 Investors Title Co. + ......................... 6,765 214,924 JPMorgan Chase & Co. + ........................ 146,481 6,839,198 Kaiser Federal Financial Group, Inc. + ........ 88,448 1,193,164 KKR Financial Holdings LLC (a) + .............. 188,330 1,877,650 Loews Corp. + ................................. 77,070 3,333,278 Maiden Holdings Ltd. + ........................ 467,927 3,738,737 Morgan Stanley + .............................. 77,853 2,310,677 NBH Holdings Corp., Class A 144A * ++ ......... 79,735 1,375,429 New Hampshire Thrift Bancshares, Inc. ......... 29,529 394,507 Nicholas Financial, Inc. * .................... 149,247 1,855,140 OceanFirst Financial Corp. .................... 54,265 752,113 OmniAmerican Bancorp, Inc. * .................. 58,505 916,773 Oriental Financial Group, Inc. + .............. 198,695 2,378,379 Oritani Financial Corp. ....................... 131,920 1,697,810 Penn Millers Holding Corp. * (a) .............. 34,130 484,305 SLM Corp. * + ................................. 173,065 2,564,823 Stewart Information Services Corp. ............ 116,450 1,298,418 Sun Bancorp, Inc. * ........................... 184,905 809,884 Teche Holding Co. ............................. 10,222 373,819 TFS Financial Corp. ........................... 127,910 1,327,706 TradeStation Group, Inc. * + .................. 193,190 1,300,169 United Bancshares, Inc. ....................... 46,740 434,682 Univest Corp. of Pennsylvania ................. 37,820 682,273 Validus Holdings Ltd. + ....................... 88,757 2,747,029 West Coast Bancorp * .......................... 423,435 1,426,976 White Mountains Insurance Group Ltd. + ........ 6,310 2,396,223 ------------ 99,579,522 ------------
Number of Shares Value ------------ ------------ HEALTH CARE--9.2% Affymetrix, Inc. * ............................ 561,435 $ 2,756,646 Allied Healthcare International Inc. * ........ 721,115 1,766,732 Alpha PRO Tech Ltd. * ......................... 446,605 652,043 AmSurg Corp. * + .............................. 83,840 1,981,139 Anika Therapeutics, Inc. * .................... 231,960 2,099,238 BioClinica, Inc. * ............................ 301,156 1,439,526 Biolase Technology, Inc. * (a) ................ 875,370 2,713,647 Cross Country Healthcare, Inc. * .............. 284,222 2,364,727 Hooper Holmes, Inc. * ......................... 792,223 625,856 ICON PLC, Sponsored ADR * + ................... 146,420 2,912,294 Immucor, Inc. * + ............................. 102,650 1,998,596 IMRIS, Inc. * ................................. 167,740 1,246,243 Kendle International, Inc. * + ................ 124,092 1,476,695 Lincare Holdings, Inc. (a) + .................. 97,234 2,852,846 NovaMed, Inc. * + ............................. 157,118 2,064,531 Pfizer, Inc. + ................................ 199,660 3,841,458 Rotech Healthcare, Inc. * ..................... 188,283 638,279 Synergetics USA, Inc. * ....................... 428,691 2,164,890 Teva Pharmaceutical Industries Ltd., Sponsored ADR .............................. 84,885 4,252,739 Theragenics Corp. * ........................... 487,200 852,600 ------------ 40,700,725 ------------ REAL ESTATE INVESTMENT TRUSTS--0.2% Reis, Inc.* ................................... 145,153 1,084,293 ------------ TECHNOLOGY--16.6% ADPT Corp. * .................................. 781,795 2,329,749 Amdocs Ltd. * + ............................... 107,180 3,198,251 Avnet, Inc. * + ............................... 74,500 2,548,645 CA, Inc. + .................................... 183,435 4,545,519 Cisco Systems, Inc. * (a) ..................... 178,640 3,315,558 Coleman Cable, Inc. * ......................... 627,793 4,639,390 Compuware Corp. * + ........................... 252,175 2,839,490 Concurrent Computer Corp. * ................... 329,422 2,019,357 CoreLogic, Inc. + ............................. 187,450 3,495,942 CSG Systems International, Inc. * + ........... 163,630 3,198,966 DragonWave, Inc. * ............................ 55,475 432,705 GSI Group, Inc. * + ........................... 144,395 1,862,696 Hewlett-Packard Co. + ......................... 84,913 3,704,754 Hurco Cos., Inc. * + .......................... 96,505 2,898,045 Microsoft Corp. + ............................. 312,210 8,298,542 MRV Communications, Inc. * .................... 1,427,815 2,498,676 Oracle Corp. + ................................ 103,049 3,390,312 PAR Technology Corp. * ........................ 172,193 922,954 Pulse Electronics Corp ........................ 362,818 2,191,421 Rimage Corp. * + .............................. 94,574 1,419,556 SL Industries, Inc. * + ....................... 42,370 810,538 Sykes Enterprises, Inc. * + ................... 162,390 3,020,454 Telular Corp. + ............................... 325,121 2,259,591 Tier Technologies, Inc., Class B * + .......... 226,035 1,417,239 Tyco Electronics Ltd. + ....................... 91,130 3,284,325 Xerox Corp. ................................... 320,180 3,441,935 ------------ 73,984,610 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 12 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ TRANSPORTATION--1.3% Baltic Trading Ltd. ........................... 147,075 $ 1,392,800 DHT Holdings, Inc ............................. 492,385 2,289,590 Republic Airways Holdings, Inc.* .............. 365,235 2,315,590 ------------ 5,997,980 ------------ TOTAL COMMON STOCK (Cost $355,634,965) ..................... 405,745,201 ------------ PREFERRED STOCK--0.3% FINANCE--0.3% First Southern Bancorp, Inc., 5.000% 144A ++ ............................. 110 1,055,116 ------------ TOTAL PREFERRED STOCK (Cost $110,000) ......................... 1,055,116 ------------ SECURITIES LENDING COLLATERAL--1.6% Institutional Money Market Trust .............. 6,684,303 6,684,303 KBC Bank NV, 0.15%, 03/01/11,TD ............... 471,237 471,237 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $7,155,540) ....................... 7,155,540 ------------ TOTAL LONG POSITIONS--93.2% (Cost $362,900,505) ........................... 413,955,857 ------------ SECURITIES SOLD SHORT--(46.0%) COMMON STOCK--(46.0%) BASIC INDUSTRIES--(3.7%) Arch Coal, Inc ................................ (65,440) (2,194,203) Avalon Rare Metals, Inc. * .................... (127,460) (948,302) Cliffs Natural Resources, Inc. ................ (26,820) (2,603,417) Ethanex Energy, Inc. * ........................ (648) (44) Intrepid Potash, Inc. * ....................... (65,870) (2,542,582) Molycorp, Inc. * .............................. (19,615) (941,324) NewMarket Corp ................................ (16,335) (2,092,677) Rare Element Resources Ltd. * ................. (61,300) (744,795) Seabridge Gold, Inc. * ........................ (72,370) (2,413,540) Tanzanian Royalty Exploration Corp. * ......... (174,450) (1,217,661) Uranium Resources, Inc. * ..................... (231,695) (655,697) ------------ (16,354,242) ------------ CAPITAL GOODS--(2.3%) ADA-ES, Inc. * ................................ (68,138) (990,727) Applied Energetics, Inc. * .................... (238,070) (198,074) Applied Nanotech Holdings, Inc. * ............. (8,285) (5,385) DynaMotive Energy Systems Corp. * ............. (72,185) (10,250) Lindsay Corp .................................. (22,150) (1,564,012) PMFG, Inc. * .................................. (57,765) (1,072,118) Satcon Technology Corp. * ..................... (275,070) (1,001,255) Trex Co., Inc.* ............................... (174,170) (5,216,392) ------------ (10,058,213) ------------ COMMUNICATIONS--(5.0%) Akamai Technologies, Inc. * ................... (57,765) (2,167,920) Ancestry.com, Inc. * .......................... (55,980) (1,839,503) Cogent Communications Group, Inc. * ........... (148,790) (2,193,165)
Number of Shares Value ------------ ------------ COMMUNICATIONS--(CONTINUED) CTC Communications Group, Inc. * +++ (triangle) ...................... (98,900) $ (10) Equinix, Inc. * ............................... (28,675) (2,478,667) GSI Commerce, Inc. * .......................... (95,270) (1,980,663) Interliant, Inc. * ............................ (600) 0 LogMeIn, Inc. * ............................... (53,410) (1,916,885) OpenTable, Inc. * ............................. (15,270) (1,357,045) Quepasa Corp. * ............................... (90,675) (789,779) Rackspace Hosting, Inc. * ..................... (115,260) (4,254,247) SAVVIS, Inc. * ................................ (65,925) (2,141,903) Wave Systems Corp., Class A * ................. (290,760) (1,145,594) ------------ (22,265,381) ------------ CONSUMER DURABLES--(1.1%) Kandi Technolgies Corp. * ..................... (32,850) (117,932) Middleby Corp., (The) * ....................... (14,550) (1,304,699) QSound Labs, Inc. * ........................... (4,440) (799) Tesla Motors, Inc. * .......................... (62,725) (1,498,500) Universal Electronics Inc. * .................. (79,920) (2,177,820) (5,099,750) CONSUMER NON-DURABLES--(1.9%) Amish Naturals, Inc. * ........................ (25,959) (106) Cal-Maine Foods, Inc. ......................... (76,875) (2,219,381) Diamond Foods, Inc ............................ (33,565) (1,710,137) Green Mountain Coffee Roasters, Inc. * ........ (81,305) (3,315,618) Primo Water Corp.* ............................ (79,650) (1,017,927) Valence Technology, Inc. * .................... (27,585) (41,653) ------------ (8,304,822) ------------ CONSUMER SERVICES--(11.4%) Arbitron, Inc. ................................ (84,495) (3,363,746) Blue Nile, Inc. * ............................. (76,950) (4,400,001) Buffalo Wild Wings, Inc. * .................... (49,460) (2,620,885) Chipotle Mexican Grill, Inc. * ................ (9,565) (2,343,425) Constant Contact, Inc. * ...................... (44,670) (1,292,303) EnerNOC, Inc. * ............................... (181,765) (3,504,429) Lululemon Athletica, Inc. * ................... (11,900) (923,321) Lumber Liquidators Holdings, Inc. * ........... (107,940) (2,512,843) Medifast, Inc. ................................ (53,215) (1,231,395) Netflix, Inc. * ............................... (26,175) (5,409,587) New Oriental Education & Technology Group, Inc. - Sponsored ADR * ..................... (16,210) (1,566,048) Pegasystems, Inc .............................. (53,910) (2,171,495) ReachLocal, Inc. * ............................ (92,380) (1,758,915) Rentrak Corp. * ............................... (94,085) (2,486,667) Ritchie Bros. Auctioneers, Inc. ............... (136,255) (3,474,503) Sturm Ruger & Co., Inc. ....................... (150,510) (2,718,211) Texas Roadhouse, Inc. * ....................... (147,730) (2,508,455) Vail Resorts, Inc. * .......................... (34,190) (1,668,472) VistaPrint NV * ............................... (59,995) (3,072,344) Zumiez, Inc. * ................................ (67,920) (1,770,674) ------------ (50,797,719) ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 13 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ ENERGY--(2.4%) Beard Co.* .................................... (9,710) $ (3,787) Chesapeake Energy Corp ........................ (58,495) (2,083,007) Complete Production Services, Inc. * .......... (47,745) (1,375,533) Goodrich Petroleum Corp. * .................... (65,630) (1,334,914) Houston American Energy Corp. ................. (108,035) (1,729,640) InterOil Corp. * .............................. (17,825) (1,324,219) RPC, Inc. ..................................... (146,285) (2,864,260) ------------ (10,715,360) ------------ FINANCE--(0.2%) China Logistics, Inc. * ....................... (26) (1) Value Line, Inc ............................... (70,044) (1,010,034) ------------ (1,010,035) ------------ HEALTH CARE--(3.3%) athenahealth, Inc. * .......................... (46,225) (2,095,842) BioTime, Inc. * ............................... (89,210) (614,657) Bodytel Scientific, Inc. * .................... (4,840) (68) Conceptus, Inc. * ............................. (55,725) (783,494) DexCom, Inc. * ................................ (68,385) (1,000,473) HeartWare International, Inc. * ............... (14,400) (1,210,752) IDEXX Laboratories, Inc. * .................... (13,515) (1,050,116) Intuitive Surgical, Inc. * .................... (7,955) (2,608,842) MAKO Surgical Corp. * ......................... (98,715) (2,033,529) Mindray Medical International Ltd.-ADR ........ (75,570) (2,046,436) Savient Pharmaceuticals, Inc. * ............... (83,715) (807,013) Spectranetics Corp. * ......................... (94,170) (453,899) ------------ (14,705,121) ------------ REAL ESTATE INVESTMENT TRUSTS--(0.3%) St. Joe Co., (The) * .......................... (45,490) (1,218,222) ------------ TECHNOLOGY--(13.8%) 3D Systems Corp. * ............................ (75,310) (3,686,425) Acme Packet, Inc. * ........................... (17,605) (1,324,600) Advanced Micro Devices, Inc. * ................ (141,320) (1,301,557) Aixtron AG-Sponsored ADR ...................... (75,935) (3,180,917) American Superconductor Corp. * ............... (28,215) (748,262) ANSYS, Inc. * ................................. (19,595) (1,103,590) ANTS Software, Inc. * ......................... (10,334) (4,754) ARM Holdings plc - Sponsored ADR .............. (168,850) (5,111,090) Cavium Networks, Inc. * ....................... (32,750) (1,414,145) China Fire & Security Group, Inc. * ........... (78,320) (450,340) Ciena Corp. * ................................. (147,625) (4,070,021) Cirrus Logic, Inc. * .......................... (44,295) (1,034,288) Citrix Systems, Inc. * ........................ (13,495) (946,809) ConSyGen, Inc. * .............................. (200) (1) Cree, Inc. * .................................. (27,945) (1,471,863) Ener1, Inc. * ................................. (102,820) (379,406) EZchip Semiconductor Ltd. * ................... (54,945) (1,652,746) F5 Networks, Inc. * ........................... (20,785) (2,452,838) First Solar, Inc. * ........................... (24,045) (3,543,993) Hyperdynamics Corp. * ......................... (201,215) (1,094,610) Infinera Corp. * .............................. (82,030) (657,060) IXYS Corp. * .................................. (93,400) (1,160,028) Juniper Networks, Inc. * ...................... (32,275) (1,420,100) Nestor, Inc. * ................................ (15,200) (17)
Number of Shares Value ------------ ------------- TECHNOLOGY--(CONTINUED) Netlogic Microsystems, Inc. * ................. (20,880) $ (864,223) NetSuite, Inc. * .............................. (66,305) (1,989,813) OmniVision Technologies, Inc. * ............... (70,600) (2,161,772) QuickLogic Corp. * ............................ (185,985) (929,925) RealPage, Inc. * .............................. (115,070) (2,853,736) Red Hat, Inc. * ............................... (46,935) (1,937,477) Salesforce.com, Inc. * ........................ (16,395) (2,168,567) STEC, Inc. * .................................. (99,215) (2,026,962) SuccessFactors, Inc. * ........................ (73,035) (2,622,687) Tiger Telematics, Inc. * ...................... (6,510) (7) TigerLogic Corp. * ............................ (96,490) (463,152) Tower Semiconductor Ltd. * .................... (514,365) (694,393) Vicor Corp .................................... (148,320) (2,258,914) VMware, Inc., Class A * ....................... (22,700) (1,898,855) WorldGate Communications, Inc. * .............. (582,655) (116,531) Xybernaut Corp. * +++(triangle) ............... (35,000) 0 ------------- (61,196,474) ------------- UTILITIES--(0.6%) Cadiz, Inc.* .................................. (64,210) (821,888) Clean Energy Fuels Corp.* ..................... (119,385) (1,676,165) ------------- (2,498,053) ------------- TOTAL COMMON STOCK (Proceeds $179,267,376) ................. (204,223,392) ------------- WARRANTS--0.0% UTILITIES--0.0% Greenhunter Energy, Inc. Exercise Price $27.50, Exp. 09/15/11 ................ (423) 0 ------------- TOTAL WARRANTS (Proceeds $0) ........................... 0 ------------- TOTAL SECURITIES SOLD SHORT --(46.0%) (Proceeds $179,267,376) ................. (204,223,392) -------------
Number of Contracts ------------ OPTIONS WRITTEN++--0.0% Rare Element Resources, Ltd. Call Options Expires 01/21/12 Strike Price $18 ........................... (62) (10,540) Rare Element Resources, Ltd. Call Options Expires 01/21/12 Strike Price $15 ........................... (77) (17,710) Uranium Energy Corp. .......................... Call Options Expires 08/20/11 Strike Price $3 ............................ (222) (72,150) Uranium Energy Corp. .......................... Call Options Expires 05/21/11 Strike Price $3 ............................ (194) (61,110) ------------- TOTAL OPTIONS WRITTEN (Premiums received $208,871) ............ (161,510) ------------- OTHER ASSETS IN EXCESS OF LIABILITIES--52.8% ..... 234,823,424 ------------- NET ASSETS--100.0% ............................... $ 444,394,379 =============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 14 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued) PORTFOLIO OF INVESTMENTS ADR -- American Depositary Receipt PLC -- Public Limited Company TD -- Time Deposits 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2011, these securities amounted to $3,395,151 or 0.8% of net assets. These 144A securities have not been deemed illiquid. * -- Non-income producing. (a) -- All or a portion of the security is on loan. See Note 6 of the Notes to Financial Statements. + -- Security position is either entirely or partially held in a segregated account as collateral for securities sold short. ++ -- Primary risk exposure is equity contracts. +++ -- Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.'s Board of Directors. As of February 28, 2011, long positions amounted to $3,395,151 and short positions amounted to ($10), or 0.8% and 0.0%, respectively, of net assets. (triangle) -- Security has been deemed illiquid. Less then 0.001% of the Fund's net assets were reported illiquid by the portfolio manager under the Fund's policy. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see Notes 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 0/28/11 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Common Stock Basic Industries $ 23,142,098 $ 23,142,098 $ -- $ -- Capital Goods 31,428,122 31,428,122 -- -- Communications 13,317,011 13,317,011 -- -- Consumer Durables 14,144,693 14,144,693 -- -- Consumer Non-Durables 28,757,914 28,757,914 -- -- Consumer Services 58,932,418 58,932,418 -- -- Energy 14,675,815 14,675,815 -- -- Finance 99,579,522 97,239,487 -- 2,340,035 Health Care 40,700,725 40,700,725 -- -- Real Estate Investment Trusts 1,084,293 1,084,293 -- -- Technology 73,984,610 73,984,610 -- -- Transportation 5,997,980 5,997,980 -- -- Preferred Stocks Finance 1,055,116 -- -- 1,055,116 Securities Lending Collateral 7,155,540 -- 7,155,540 -- ------------ ------------ ---------- ---------- Total Assets $413,955,857 $403,405,166 $7,155,540 $3,395,151 ============ ============ ========== ==========
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 0/28/11 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Options Written $(161,510) $-- $(161,510) $-- --------- --- --------- --- Total Assets $(161,510) $-- $(161,510) $-- ========= === ========= ===
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 15 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded) PORTFOLIO OF INVESTMENTS
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS -- ------------- ------------- ----------- ------------ Securities Sold Short Basic Industries $ (16,354,242) $ (16,354,242) $-- $ -- Capital Goods (10,058,213) (10,058,213) -- -- Communications (22,265,381) (22,265,371) -- (10) Consumer Durables (5,099,750) (5,099,750) -- -- Consumer Non-Durables (8,304,822) (8,304,822) -- -- Consumer Services (50,797,719) (50,797,719) -- -- Energy (10,715,360) (10,715,360) -- -- Finance (1,010,035) (1,010,035) -- -- Health Care (14,705,121) (14,705,121) -- -- Real Estate Investment Trusts (1,218,222) (1,218,222) -- -- Technology (61,196,474) (61,196,474) -- -- Utilities (2,498,053) (2,498,053) -- -- ------------- ------------- --- ---- Total Liabilities $(204,223,392) $(204,223,382) $-- $(10) ============= ============= === ====
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
COMMON PREFERRED STOCK STOCK TOTAL ----------------------- INVESTMENTS FINANCE FINANCE ----------- ---------- ---------- Balance as of August 31, 2010 $2,499,108 $2,236,410 $ 262,698 Accrued discounts/premiums -- -- -- Net realized gain/(loss) -- -- -- Change in unrealized appreciation/(depreciation) 896,043 103,625 792,418 Net purchases/(sales) -- -- -- Transfers in and/or (out) of Level 3 * -- -- -- ---------- ---------- ---------- Balance as of February 28, 2011 $3,395,151 $2,340,035 $1,055,116 ========== ========== ==========
SECURITIES SOLD SHORT ---------------------------- TOTAL INVESTMENTS COMMUNICATIONS ----------- -------------- Balance as of August 31, 2010 $(10) $(10) Accrued discounts/premiums -- -- Net realized gain/(loss) -- -- Change in unrealized appreciation/(depreciation) -- -- Net purchases/(sales) -- -- Transfers in and/or (out) of Level 3 * -- -- ---- ---- Balance as of February 28, 2011 $(10) $(10) ==== ====
* Transfers in and/or (out) of Level 3 are recognized as of the actual date of the event or change in circumstances that caused the transfer.The transfer occurred because of lack of observable market data due to decrease in market activity for this security.The Fund presents unrealized appreciation/(depreciation) on the Statement of Operations as net change in unrealized appreciation/(depreciation) on investments.The change in unrealized appreciation/(depreciation) related to investments still held at February 28, 2011 was $896,043. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 16 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ LONG POSITIONS--97.8% COMMON STOCK--96.8% BASIC INDUSTRIES--4.5% AbitibiBowater, Inc. * ........................ 1,970 $ 55,140 Albemarle Corp. + ............................. 500 28,780 Ball Corp. .................................... 764 27,580 Bayer AG - Sponsored ADR + .................... 875 68,014 Crown Holdings, Inc. * ........................ 1,393 53,603 Cytec Industries, Inc. + ...................... 1,370 77,857 Haynes International, Inc. + .................. 2,135 110,678 PanAust Ltd. * ................................ 89,796 73,598 Rock-Tenn Co., Class A ........................ 985 67,620 Solutia, Inc. * ............................... 3,965 92,028 Spartech Corp. * + ............................ 3,712 31,478 Symrise AG .................................... 1,872 49,121 Yamana Gold, Inc. + ........................... 6,660 84,782 ------------ 820,279 ------------ CAPITAL GOODS--11.9% 3M Co. + ...................................... 640 59,027 Briggs & Stratton Corp. ....................... 1,490 29,994 Chicago Bridge & Iron Co. NV * ................ 1,610 57,187 Cooper Industries PLC ......................... 470 30,245 Dah Chong Hong Holdings Ltd. .................. 51,000 53,567 Dover Corp. + ................................. 1,260 80,955 Globe Specialty Metals, Inc. + ................ 6,687 155,740 Honeywell International, Inc. + ............... 3,595 208,186 Illinois Tool Works, Inc. + ................... 1,495 80,880 Ingersoll-Rand PLC ............................ 1,360 61,608 ITT Corp. ..................................... 1,205 69,806 Kennametal, Inc. + ............................ 1,465 56,344 Koninklijke Philips Electronics NV ............ 3,160 103,173 Lockheed Martin Corp. + ....................... 800 63,328 Meggitt PLC ................................... 6,004 33,010 Northrop Grumman Corp. ........................ 990 66,013 Oshkosh Corp. * + ............................. 2,055 73,302 Precision Castparts Corp. + ................... 690 97,808 Raytheon Co. + ................................ 1,785 91,410 Siemens AG - Sponsored ADR + .................. 1,218 163,748 Stanley Black & Decker, Inc. .................. 855 64,835 Thomas & Betts Corp. * ........................ 540 29,911 TriMas Corp. * + .............................. 2,765 56,876 Tyco International Ltd. + ..................... 4,660 211,284 URS Corp. * ................................... 647 30,105 Volvo AB - Sponsored ADR ...................... 3,660 63,208 WESCO International, Inc. * + ................. 1,325 77,142 ------------ 2,168,692 ------------ COMMUNICATIONS--3.9% DIRECTV, Class A * + .......................... 1,415 65,047 Monster Worldwide, Inc. * ..................... 4,580 78,547 Netease.com, Inc. - ADR * ..................... 570 26,591 RigNet, Inc. * + .............................. 4,715 69,311 Shenandoah Telecommunications Co. + ........... 5,218 91,315 Time Warner Cable, Inc. ....................... 1,375 99,248 Vodafone Group PLC - Sponsored ADR + .......... 6,025 172,436 Windstream Corp. + ............................ 8,490 106,465 ------------ 708,960 ------------
Number of Shares Value ------------ ------------ CONSUMER DURABLES--2.3% Goodyear Tire & Rubber Co., (The) * ........... 7,330 $ 103,939 Hoshizaki Electric Co. Ltd. ................... 3,100 57,146 Johnson Controls, Inc. ........................ 1,920 78,336 Lennar Corp., Class A + ....................... 1,602 32,296 LISI .......................................... 684 56,558 TRW Automotive Holdings Corp. * ............... 850 48,280 Visteon Corp.* ................................ 614 45,405 ------------ 421,960 ------------ CONSUMER NON-DURABLES--4.8% Activision Blizzard, Inc. * ................... 3,255 36,196 Anheuser-Busch InBev NV - Sponsored ADR + ............................ 2,866 160,582 Coca-Cola Enterprises, Inc. + ................. 5,215 137,154 ConAgra Foods, Inc. + ......................... 5,415 125,411 Electronic Arts, Inc. * + ..................... 3,445 64,766 Guess?, Inc. + ................................ 2,365 107,111 Henkel AG & Co. KGaA .......................... 885 45,187 Kerry Group PLC, Class A ...................... 1,687 61,226 Lorillard, Inc. + ............................. 847 65,024 Omega Pharma .................................. 1,345 64,943 ------------ 867,600 ------------ CONSUMER SERVICES--19.5% AnnTaylor Stores Corp. * + .................... 3,117 72,345 Asbury Automative Group, Inc. * ............... 2,895 53,413 CBS Corp., Class B + .......................... 9,610 229,295 Century Casinos, Inc. * ....................... 19,193 49,902 Cinemark Holdings, Inc. + ..................... 7,940 159,435 CVS Caremark Corp. ............................ 2,994 98,982 eBay, Inc. * + ................................ 1,750 58,634 Equifax, Inc. + ............................... 4,696 167,882 Expedia, Inc. + ............................... 2,405 47,763 Finish Line, Inc., (The), Class A ............. 2,111 36,858 Gap, Inc., (The) + ............................ 4,880 109,946 Home Depot, Inc. (The) + ...................... 3,120 116,906 IAC/InterActiveCorp * ......................... 1,060 32,934 Kohl's Corp. * + .............................. 1,775 95,655 Liberty Media Corp.-Starz, Series A * + ............................... 2,198 154,300 Lowe's Cos., Inc. ............................. 3,205 83,875 Macy's, Inc. + ................................ 3,213 76,791 Manpower, Inc. + .............................. 3,083 195,771 McGraw-Hill Cos., Inc., (The) + ............... 4,100 158,588 Moody's Corp. + ............................... 5,825 185,818 Mothercare PLC ................................ 7,135 55,675 Nordstrom, Inc. + ............................. 2,640 119,486 Omnicom Group, Inc. + ......................... 3,725 189,603 Robert Half International, Inc. + ............. 3,593 114,617 Target Corp. .................................. 1,665 87,496 Time Warner, Inc. + ........................... 4,660 178,012 Towers Watson & Co., Class A + ................ 2,033 119,540 Viacom, Inc., Class B + ....................... 4,795 214,145 Wal-Mart Stores, Inc. + ....................... 1,708 88,782 Walgreen Co. .................................. 2,095 90,797 Williams-Sonoma, Inc. ......................... 2,555 92,210 ------------ 3,535,456 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 17 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ ENERGY--4.8% CE Franklin Ltd. * ............................ 11,688 $ 106,594 EOG Resources, Inc. + ......................... 968 108,716 Noble Energy, Inc. ............................ 743 68,846 Occidental Petroleum Corp. + .................. 875 89,224 Pace Oil and Gas Ltd. * ....................... 8,237 75,965 PetroBakken Energy Ltd., Class A .............. 2,922 67,060 Rosetta Resources, Inc. *+ .................... 1,714 77,747 Royal Dutch Shell PLC - ADR ................... 1,715 123,909 Technicoil Corp. * ............................ 43,018 84,128 Xtreme Coil Drilling Corp. * .................. 12,000 64,721 ------------ 866,910 ------------ FINANCE--17.8% ACE Ltd. + .................................... 1,841 116,443 American Express Co. + ........................ 3,075 133,978 Bank of America Corp. + ....................... 9,455 135,112 Barclays PLC - Sponsored ADR + ................ 8,724 181,197 Capital One Financial Corp. + ................. 2,850 141,844 Centerstate Banks, Inc. ....................... 13,210 95,772 Discover Financial Services + ................. 8,258 179,611 Federated Investors, Inc., Class B + .......... 3,280 90,397 Fifth Third Bancorp + ......................... 7,630 111,398 JPMorgan Chase & Co. + ........................ 4,072 190,122 Kaiser Federal Financial Group, Inc. + ..................................... 9,845 132,809 Maiden Holdings Ltd. .......................... 12,310 98,357 Morgan Stanley + .............................. 6,280 186,390 Oriental Financial Group, Inc. + .............. 10,725 128,378 PNC Financial Services Group, Inc. + ..................................... 2,610 161,037 Popular, Inc. * ............................... 36,605 118,966 Raymond James Financial, Inc. + ............... 4,015 153,855 SLM Corp. * + ................................. 9,503 140,834 State Street Corp. + .......................... 2,677 119,715 TD Ameritrade Holding Corp. ................... 2,560 55,808 Torchmark Corp. ............................... 1,545 100,811 TradeStation Group, Inc. * .................... 11,563 77,819 Travelers Cos., Inc., (The) ................... 1,604 96,128 Validus Holdings Ltd. ......................... 3,145 97,338 Wells Fargo & Co. + ........................... 5,753 185,592 ------------ 3,229,711 ------------ HEALTH CARE--8.1% Amgen, Inc. * + ............................... 1,197 61,442 Cardinal Health, Inc. + ....................... 2,015 83,905 CareFusion Corp. * + .......................... 1,033 28,221 Covidien PLC + ................................ 1,734 89,214 DaVita, Inc. * + .............................. 1,416 112,388 Hologic, Inc. * + ............................. 1,858 37,494 Hospira, Inc. * ............................... 859 45,398 Humana, Inc. * ................................ 1,558 101,285 ICON PLC, Sponsored ADR * ..................... 4,259 84,712 Johnson & Johnson + ........................... 905 55,603 Lincare Holdings, Inc. + ...................... 4,242 124,460 McKesson Corp. + .............................. 1,798 142,545 Novartis AG - ADR + ........................... 605 34,043 Omnicare, Inc. + .............................. 4,382 125,457 Pfizer, Inc. + ................................ 1,396 26,859
Number of Shares Value ------------ ------------ HEALTH CARE--(CONTINUED) Quest Diagnostics, Inc. + ..................... 1,535 $ 87,111 Roche Holding AG - Sponsored ADR + ............ 1,560 58,594 Stryker Corp. + ............................... 1,063 67,245 WellPoint, Inc. * + ........................... 1,505 100,037 ------------ 1,466,013 ------------ TECHNOLOGY--18.5% Accenture PLC, Class A + ...................... 1,942 99,974 Alliance Data Systems Corp. * + ............... 875 68,897 Amdocs Ltd. * + ............................... 5,795 172,923 Analog Devices, Inc. + ........................ 2,076 82,791 Arrow Electronics, Inc. *+ .................... 3,347 131,202 Avnet, Inc. *+ ................................ 3,245 111,011 CA, Inc. + .................................... 5,948 147,391 CACI International, Inc., Class A * + ......... 1,255 74,447 CDC Software Corp. - ADR * .................... 11,025 71,332 CGI Group, Inc., Class A * + .................. 6,570 131,072 EMC Corp. * + ................................. 7,607 206,986 Flextronics International Ltd. * .............. 9,584 77,535 Generac Holdings, Inc. * + .................... 4,785 87,709 Harris Corp. + ................................ 3,405 158,877 Hewlett-Packard Co. + ......................... 4,157 181,370 Ingram Micro, Inc., Class A * + ............... 9,290 185,150 International Business Machines Corp. + ...... 833 134,846 Littelfuse, Inc. + ............................ 2,385 126,000 Microsoft Corp. + ............................. 6,170 163,999 Oracle Corp. + ................................ 6,072 199,769 STMicroelectronics NV + ....................... 11,263 144,617 Symantec Corp. * .............................. 3,548 63,970 Texas Instruments, Inc. + ..................... 2,020 71,932 Thermo Fisher Scientific, Inc. * + ............ 660 36,841 Tyco Electronics Ltd. + ....................... 2,350 84,694 Western Digital Corp. * + ..................... 3,370 103,055 Western Union Co. + ........................... 4,610 101,374 Xerox Corp. + ................................. 13,268 142,631 ------------ 3,362,395 ------------ UTILITIES--0.7% American Electric Power Co., Inc. + ........... 1,838 65,764 FirstEnergy Corp. + ........................... 1,916 73,394 ------------ 139,158 ------------ TOTAL COMMON STOCK (Cost $16,440,229) ......................... 17,587,134 ------------ WARRANTS--1.0% FINANCE--1.0% JPMorgan Chase & Co., Strike Price $42.42, Exp. 10/28/18 .............................. 10,456 175,138 ------------ TOTAL WARRANTS (Cost $148,765) ............................ 175,138 ------------ TOTAL LONG POSITIONS--97.8% (Cost $16,588,994) ............................ 17,762,272 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 18 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ SECURITIES SOLD SHORT--(41.1%) COMMON STOCK--(41.1%) BASIC INDUSTRIES--(0.9%) Arch Coal, Inc. ............................... (2,659) $ (89,156) Seabridge Gold, Inc. * ........................ (834) (27,814) Tanzanian Royalty Exploration Corp. * ......... (2,490) (17,380) Texas Industries, Inc. ........................ (600) (24,468) ------------ (158,818) ------------ CAPITAL GOODS--(2.1%) Donaldson Co., Inc. ........................... (410) (23,083) Encore Wire Corp. ............................. (1,815) (42,580) FLIR Systems, Inc. ............................ (2,725) (88,018) Graco, Inc. ................................... (602) (24,507) Lindsay Corp. ................................. (490) (34,599) Otter Tail Corp. .............................. (1,140) (25,673) PMFG, Inc. * .................................. (695) (12,899) Quanta Services, Inc. * ....................... (1,330) (30,337) Trex Co., Inc. * .............................. (795) (23,810) Vulcan Materials Co. .......................... (815) (37,368) Watsco, Inc. .................................. (568) (36,681) ------------ (379,555) ------------ COMMUNICATIONS--(4.1%) Akamai Technologies, Inc. * ................... (850) (31,900) Ancestry.com, Inc. * .......................... (1,015) (33,353) Cbeyond, Inc. * ............................... (2,710) (37,886) Cincinnati Bell, Inc. * ....................... (13,160) (34,742) Clearwire Corp., Class A * .................... (7,370) (37,071) Cogent Communications Group, Inc. * ........... (4,030) (59,402) Equinix, Inc. * ............................... (1,385) (119,719) Global Crossing Ltd. * ........................ (2,252) (35,469) GSI Commerce, Inc. * .......................... (1,009) (20,977) Leap Wireless International, Inc. * ........... (2,655) (32,444) Level 3 Communications, Inc. * ................ (32,335) (45,269) OpenTable, Inc. * ............................. (415) (36,881) PAETEC Holding Corp. * ........................ (8,105) (30,799) Rackspace Hosting, Inc. * ..................... (1,297) (47,872) SAVVIS, Inc. * ................................ (2,175) (70,666) Tata Communications Ltd. - ADR * .............. (3,255) (29,295) tw telecom, inc.* ............................. (2,335) (43,431) ------------ (747,176) ------------ CONSUMER DURABLES--(1.4%) Ethan Allen Interiors, Inc. ................... (3,895) (85,885) Harley-Davidson, Inc. ......................... (750) (30,615) KB Home ....................................... (2,080) (27,560) LKQ Corp. * ................................... (1,314) (31,221) Middleby Corp., (The) * ....................... (281) (25,197) Ryland Group, Inc., (The) ..................... (1,061) (18,419) Sherwin-Williams Co., (The) ................... (410) (33,669) ------------ (252,566) ------------ CONSUMER NON-DURABLES--(2.8%) China New Borun Corp. - ADR * ................. (5,565) (69,117) Diamond Foods, Inc. ........................... (1,355) (69,037) Flowers Foods, Inc. ........................... (2,576) (68,522) Gildan Activewear, Inc. ....................... (2,771) (88,617)
Number of Shares Value ------------ ------------ CONSUMER NON-DURABLES--(CONTINUED) Green Mountain Coffee Roasters, Inc. * ........ (1,342) $ (54,727) K-Swiss, Inc., Class A * ...................... (7,715) (77,227) Luxottica Group SPA - Sponsored ADR ........... (914) (28,425) LVMH Moet Hennessy Louis Vuitton SA - Unsponsored ADR ....................... (1,767) (55,714) ------------ (511,386) ------------ CONSUMER SERVICES--(8.6%) Blue Nile, Inc. * ............................. (848) (48,489) Buffalo Wild Wings, Inc. * .................... (1,680) (89,023) Cenveo, Inc. * ................................ (9,110) (50,925) Churchill Downs, Inc. ......................... (1,026) (42,846) Clean Harbors, Inc. * ......................... (201) (18,468) Concur Technologies, Inc. * ................... (1,104) (57,441) Fastenal Co. .................................. (497) (30,879) Iron Mountain, Inc. ........................... (2,932) (76,232) Lamar Advertising Co., Class A * .............. (1,855) (71,918) Lumber Liquidators Holdings, Inc. * ........... (3,910) (91,025) McClatchy Co., (The), Class A * ............... (14,825) (59,448) Media General, Inc., Class A * ................ (11,090) (75,856) New Oriental Education & Technology Group, Inc. - Sponsored ADR * ............................ (413) (39,900) Pegasystems, Inc. ............................. (2,005) (80,761) Pool Corp. .................................... (1,530) (38,189) Ritchie Bros. Auctioneers, Inc. ............... (2,771) (70,661) Rite Aid Corp. * .............................. (66,887) (87,622) Rollins, Inc. ................................. (4,526) (88,800) Sinclair Broadcasting Group, Inc., Class A .................................... (5,770) (74,664) Sonic Corp. * ................................. (8,740) (77,611) Sysco Corp. ................................... (2,925) (81,286) United Natural Foods, Inc. * .................. (2,170) (92,117) Vail Resorts, Inc. * .......................... (748) (36,502) Winn-Dixie Stores, Inc. * ..................... (10,405) (72,627) ------------ (1,553,290) ------------ ENERGY--(3.4%) Basic Energy Services, Inc. * ................. (2,345) (44,977) BPZ Resources, Inc. * ......................... (15,185) (98,702) CARBO Ceramics, Inc. .......................... (454) (56,282) Chesapeake Energy Corp. ....................... (3,500) (124,635) Continental Resources, Inc. * ................. (744) (51,730) Forest Oil Corp. * ............................ (1,725) (61,220) Goodrich Petroleum Corp. * .................... (4,589) (93,340) Range Resources Corp. ......................... (463) (25,141) RPC, Inc. ..................................... (3,487) (68,275) ------------ (624,302) ------------ FINANCE--(5.2%) CVB Financial Corp. ........................... (7,750) (64,790) Eaton Vance Corp. ............................. (1,715) (53,680) FirstMerit Corp. .............................. (3,290) (56,095) Glacier Bancorp, Inc. ......................... (4,490) (70,179) Greenhill & Co., Inc. ......................... (743) (53,370) Hancock Holding Co. ........................... (2,040) (70,727)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 19 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ FINANCE--(CONTINUED) New York Community Bancorp, Inc. .............. (3,075) $ (57,380) PacWest Bancorp ............................... (3,030) (62,751) Republic Bancorp, Inc., Class A ............... (2,995) (51,334) Royal Bank of Canada .......................... (993) (58,160) Texas Capital Bancshares, Inc. * .............. (2,965) (74,837) Textainer Group Holdings Ltd. ................. (1,885) (66,635) Tompkins Financial Corp. ...................... (1,575) (64,575) UMB Financial Corp. ........................... (1,790) (71,385) Valley National Bancorp ....................... (4,770) (65,015) ------------ (940,913) ------------ HEALTH CARE--(3.7%) Align Technology, Inc.* ....................... (1,460) (30,441) AstraZeneca PLC - Sponsored ADR ............... (529) (26,011) athenahealth, Inc. * .......................... (2,250) (102,015) BioTime, Inc. * ............................... (1,645) (11,334) Boston Scientific Corp. * ..................... (2,665) (19,081) Bristol-Myers Squibb Co. ...................... (1,803) (46,535) Conceptus, Inc. * ............................. (1,218) (17,125) Elan Corp. PLC - Sponsored ADR * .............. (3,250) (20,638) IDEXX Laboratories, Inc. * .................... (544) (42,269) Intuitive Surgical, Inc. * .................... (69) (22,629) Lundbeck (H.) A/S ............................. (2,275) (52,001) Orion OYJ, Class B * .......................... (885) (20,249) Qiagen NV * ................................... (1,678) (34,617) Seattle Genetics, Inc. * ...................... (1,035) (15,370) Stericycle, Inc. * ............................ (837) (72,334) STERIS Corp. .................................. (1,409) (47,695) Valeant Pharmaceuticals International, Inc. ... (603) (24,168) Warner Chilcott PLC, Class A .................. (1,530) (36,230) Wright Medical Group, Inc.* ................... (1,485) (23,508) ------------ (664,250) ------------ TECHNOLOGY--(7.2%) Alvarion Ltd. * ............................... (16,669) (32,671) Aspen Technology, Inc. * ...................... (3,796) (57,813) Blackboard, Inc. * ............................ (2,018) (70,650) Ciena Corp. * ................................. (3,085) (85,053) Cirrus Logic, Inc. * .......................... (2,974) (69,443) Dassault Systemes SA - ADR .................... (771) (59,043) Finisar Corp. * ............................... (2,140) (87,783) First Solar, Inc. * ........................... (415) (61,167) Infinera Corp. * .............................. (3,630) (29,076) Itron, Inc. * ................................. (863) (48,941) Logitech International SA * ................... (3,830) (72,272) National Instruments Corp. .................... (1,836) (57,155) NetSuite, Inc. * .............................. (2,204) (66,142) Polycom, Inc. * ............................... (1,640) (78,392) Red Hat, Inc. * ............................... (1,405) (57,998) Salesforce.com, Inc. * ........................ (436) (57,670) Skyworks Solutions, Inc. * .................... (2,095) (75,294) Syntel, Inc. .................................. (1,168) (61,495) Total Systems Services, Inc. .................. (2,810) (49,878) VMware, Inc., Class A * ....................... (702) (58,722) Wipro Ltd. - ADR .............................. (5,075) (66,787) ------------ (1,303,445) ------------
Number of Shares Value ------------ ------------ TRANSPORTATION--(0.8%) CH Robinson Worldwide, Inc. ................... (655) $ (47,415) Expeditors International of Washington, Inc. ........................... (1,132) (54,110) Genco Shipping & Trading Ltd. * ............... (3,995) (48,499) ----------- (150,024) ----------- UTILITIES--(0.9%) Aqua America, Inc. ............................ (708) (15,944) Consolidated Edison, Inc. ..................... (324) (16,194) NextEra Energy, Inc. .......................... (548) (30,398) Progress Energy, Inc. ......................... (761) (34,785) Wisconsin Energy Corp. ........................ (564) (33,389) Xcel Energy, Inc. ............................. (1,665) (39,860) ----------- (170,570) ---------- TOTAL COMMON STOCK (Proceeds $6,971,229) ................... (7,456,295) TOTAL SECURITIES SOLD SHORT --(41.1%) (Proceeds $6,971,229) ................... (7,456,295) OTHER ASSETS IN EXCESS OF LIABILITIES--43.3% ..... 7,854,803 ------------ NET ASSETS--100.0% ............................... $ 18,160,780 ============
---------- ADR -- American Depositary Receipt PLC -- Public Limited Company * -- Non-income producing. + -- Security position is either entirely or partially held in a segregated account as collateral for securities sold short. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 20 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (unaudited) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (concluded) PORTFOLIO OF INVESTMENTS A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investment in securities * $17,762,272 $17,762,272 $-- $-- ----------- ----------- --- --- Total Assets $17,762,272 $17,762,272 $-- $-- ----------- ----------- --- ---
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Investment in securities sold short * $(7,456,295) $(7,456,295) $-- $-- ----------- ----------- --- --- Total Liabilities $(7,456,295) $(7,456,295) $-- $-- =========== =========== === ===
* see Portfolio of Investments detail for country and security type breakout THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 21 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ COMMON STOCK--98.3% BASIC INDUSTRIES--0.3% Ball Corp. .................................... 24,095 $ 869,829 ------------ CAPITAL GOODS--4.5% Actuant Corp., Class A ........................ 42,355 1,198,646 Dover Corp. ................................... 30,460 1,957,055 Illinois Tool Works, Inc. ..................... 62,510 3,381,791 Parker-Hannifin Corp. ......................... 22,387 1,996,473 Spirit Aerosystems Holdings, Inc., Class A * .................................. 35,400 920,046 Stanley Black & Decker, Inc. .................. 20,810 1,578,022 Tyco International Ltd. ....................... 34,950 1,584,633 ------------ 12,616,666 ------------ COMMUNICATIONS--2.4% Monster Worldwide, Inc. * (a) ................. 57,355 983,638 Vodafone Group PLC - Sponsored ADR .............................. 204,948 5,865,612 ------------ 6,849,250 ------------ CONSUMER DURABLES--0.8% Thor Industries, Inc. ......................... 24,095 800,918 Tower International, Inc. * ................... 31,305 541,577 Visteon Corp. * ............................... 11,950 883,703 ------------ 2,226,198 ------------ CONSUMER NON-DURABLES--5.2% Electronic Arts, Inc. * ....................... 146,365 2,751,662 Jones Group, Inc. (The) ....................... 72,300 961,590 Mattel, Inc. .................................. 133,860 3,354,532 Matthews International Corp., Class A .................................... 18,935 703,435 PepsiCo, Inc. ................................. 62,460 3,961,213 Philip Morris International, Inc. ............. 48,900 3,069,942 ------------ 14,802,374 ------------ CONSUMER SERVICES--16.2% CEC Entertainment, Inc. * ..................... 41,320 1,598,671 eBay, Inc. * .................................. 105,975 3,550,692 Equifax, Inc. ................................. 64,665 2,311,774 Expedia, Inc. # (a) ........................... 134,313 2,667,456 GameStop Corp., Class A * (a) ................. 97,810 1,951,310 Harte-Hanks, Inc. ............................. 106,405 1,350,279 Herbalife Ltd. ................................ 21,785 1,708,162 HSN, Inc. * # ................................. 44,540 1,446,659 IAC/InterActiveCorp * ......................... 26,970 837,958 Kohl's Corp. * ................................ 84,656 4,562,112 Manpower, Inc. ................................ 50,995 3,238,183 Omnicom Group, Inc. ........................... 75,145 3,824,881 Pantry, Inc. (The) * .......................... 18,635 293,688 Regis Corp. ................................... 130,105 2,280,741 Rent-A-Center, Inc. (a) ....................... 82,685 2,733,566 Target Corp. .................................. 59,720 3,138,286 Towers Watson & Co., Class A .................. 37,210 2,187,948 Viacom, Inc., Class B ......................... 40,930 1,827,934 Wal-Mart Stores, Inc. ......................... 46,515 2,417,850 Wright Express Corp. * ........................ 32,485 1,656,735 ------------ 45,584,885 ------------
Number of Shares Value ------------ ------------ ENERGY--9.4% Apache Corp. .................................. 19,975 $ 2,489,284 Canadian Natural Resources Ltd. ............... 34,905 1,755,721 Chevron Corp. ................................. 71,265 7,393,744 EOG Resources, Inc. (a) ....................... 27,055 3,038,547 Noble Energy, Inc. # .......................... 26,300 2,436,958 Occidental Petroleum Corp. .................... 51,425 5,243,807 PetroBakken Energy Ltd., Class A .............. 50,195 1,151,975 Royal Dutch Shell PLC - ADR ................... 41,720 3,014,270 ------------ 26,524,306 ------------ FINANCE--27.3% ACE Ltd. ...................................... 38,995 2,466,434 Alleghany Corp. * ............................. 8,581 2,923,976 American Express Co. .......................... 69,140 3,012,430 Axis Capital Holdings Ltd. .................... 21,885 794,863 Bank of America Corp. ......................... 447,695 6,397,561 BB&T Corp. .................................... 85,355 2,355,798 Bond Street Holdings LLC, Class A 144A * +++ ......................... 63,670 1,306,508 Capital One Financial Corp. ................... 65,220 3,245,999 Citigroup, Inc. * # ........................... 1,010,460 4,728,953 Federated Investors, Inc., Class B (a) ................................ 61,670 1,699,625 First American Financial Corp. ................ 56,290 887,130 First Southern Bancorp, Inc., Class B 144A * +++ ......................... 17,550 263,075 Flagstone Reinsurance Holdings S.A. .............................. 95,295 1,086,363 Hanover Insurance Group, Inc., (The) ................................ 28,750 1,336,013 Hercules Technology Growth Capital, Inc. .............................. 74,655 825,684 J.G.Wentworth, Inc. * +/- (triangle) +++ ...... -- 0 JPMorgan Chase & Co. .......................... 219,595 10,252,891 Loews Corp. ................................... 147,714 6,388,631 Maiden Holdings Ltd. .......................... 38,990 311,530 Morgan Stanley ................................ 76,365 2,266,513 NBH Holdings Corp., Class A 144A * +++ ......................... 40,025 690,431 Peoples Choice Financial Corp. 144A *(triangle) +++ ................. 1,465 0 SLM Corp. * ................................... 257,905 3,822,152 Solar Cayman Ltd. 144A * (triangle) +++ ....... 19,375 0 State Street Corp. ............................ 62,865 2,811,323 THL Credit, Inc. .............................. 29,905 402,222 Travelers Cos., Inc., (The) ................... 74,325 4,454,297 Unum Group .................................... 82,076 2,177,476 Validus Holdings Ltd. ......................... 62,199 1,925,059 Wells Fargo & Co. ............................. 157,395 5,077,563 White Mountains Insurance Group Ltd. ................................. 7,810 2,965,848 ------------ 76,876,348 ------------ HEALTH CARE--13.6% Amgen, Inc. * ................................. 99,850 5,125,300 Becton, Dickinson & Co. ....................... 20,155 1,612,400 Cardinal Health, Inc. ......................... 65,860 2,742,410 CareFusion Corp. * ............................ 69,780 1,906,390 Covidien PLC .................................. 47,360 2,436,672 Humana, Inc. * ................................ 39,615 2,575,371 Johnson & Johnson ............................. 75,055 4,611,379
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 22 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ HEALTH CARE--(CONTINUED) McKesson Corp. ................................ 40,530 $ 3,213,218 Medtronic, Inc. ............................... 37,750 1,506,980 Pfizer, Inc. .................................. 466,596 8,977,307 UnitedHealth Group, Inc. ...................... 41,920 1,784,954 WellPoint, Inc. * ............................. 25,535 1,697,311 ------------ 38,189,692 ------------ REAL ESTATE INVESTMENT TRUSTS--0.4% Ashford Hospitality Trust, Inc. * ............. 59,885 617,414 Colony Financial, Inc ......................... 11,810 250,963 Terreno Realty Corp. * ........................ 14,030 257,170 TMST, Inc. * +++ .............................. 191,097 0 ------------ 1,125,547 ------------ TECHNOLOGY--17.9% Accenture PLC, Class A ........................ 70,645 3,636,805 Arrow Electronics, Inc. * ..................... 63,195 2,477,244 Avnet, Inc. * ................................. 63,630 2,176,782 BancTec, Inc., 144A * +++ .................... 15,732 70,794 CA, Inc. ...................................... 125,310 3,105,182 Flextronics International Ltd. * .............. 175,376 1,418,792 Heartland Payment Systems, Inc. ............... 65,095 1,274,560 Hewlett-Packard Co. ........................... 91,445 3,989,745 International Business Machines Corp. ...................................... 47,515 7,691,728 Maxim Integrated Products, Inc. ............... 40,025 1,103,890 Microchip Technology, Inc. (a) ................ 24,575 907,063 Micron Technology, Inc. * ..................... 171,530 1,909,129 Microsoft Corp. ............................... 192,885 5,126,883 Oracle Corp. # ................................ 108,020 3,553,858 Tech Data Corp. * ............................. 46,330 2,297,041 Texas Instruments, Inc. ....................... 82,990 2,955,274 Tyco Electronics Ltd. ........................ 118,320 4,264,253 Western Union Co. ............................. 111,210 2,445,508 ------------ 50,404,531 ------------ UTILITIES--0.3% FirstEnergy Corp. (a) ......................... 23,602 903,949 ------------ TOTAL COMMON STOCK (Cost $246,846,936) ..................... 276,973,575 ------------ PREFERRED STOCK--0.1% FINANCE--0.1% First Southern Bancorp, Inc., 5.000% 144A +++ ........................... 30 287,759 ------------ TOTAL PREFERRED STOCK (Cost $30,000) .......................... 287,759 ------------
Par (000) ------------ CORPORATE BONDS--0.1% MBIA Insurance Corp. 144A + ## 14.00% 01/15/33 ............................ $ 151 95,130 Thornburg Mortgage, Inc. (PIK) @ (triangle) +++ 18.00% 03/31/15 ............................ 74 0 Thornburg Mortgage, Inc. 144A @ (triangle) +++ 18.00% 03/31/15 ............................ 824 0 ------------ TOTAL CORPORATE BONDS (Cost $981,305) ......................... 95,130 ------------
Number of Shares Value ------------ ------------ SECURITIES LENDING COLLATERAL--2.1% Institutional Money Market Trust .............. 5,591,290 $ 5,591,290 KBC Bank NV, 0.15%, 03/01/11,TD ............... 394,181 394,181 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $5,985,471) ....................... 5,985,471 ------------ TOTAL INVESTMENTS--100.6% (Cost $253,843,712) ........................... 283,341,935 ------------
Number of Contracts ------------ OPTIONS WRITTEN++--(0.3%) Citigroup, Inc. Call Options Expires 01/21/12 Strike Price $4 ............................ (1,640) (164,000) Citigroup, Inc. Call Options Expires 01/19/13 Strike Price $6 ............................ (2,714) (132,986) Expedia, Inc. Call Options Expires 01/21/12 Strike Price $35 ........................... (352) (4,224) HSN, Inc. Call Options Expires 03/19/11 Strike Price $35 ........................... (161) (5,635) Noble Energy, Inc. Call Options Expires 05/21/11 Strike Price $75 ........................... (263) (460,250) Oracle Corp. Call Options Expires 01/21/12 Strike Price $35 ........................... (547) (132,374) ------------ TOTAL OPTIONS WRITTEN (Premiums received $795,037) ............ (899,469) ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(0.3)% .......................... (718,010) ------------ NET ASSETS--100.0% ............................... $281,724,456 ============
---------- 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2011, these securities amounted to $2,713,697 or 1.0% of net assets. These 144A securities have not been deemed illiquid. ADR -- American Depositary Receipt PIK -- Payment In Kind PLC -- Public Limited Company TD -- Time Deposits * -- Non-income producing. @ -- Security in default. +++ -- Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.'s Board of Directors. As of February 28, 2011, these securities amounted to $2,618,567 or 0.9% of net assets. +/- -- Total shares owned by the Fund as of February 28, 2011 were less than one share. + -- Adjustable rate security. # -- Security segregated as collateral for options written. ## -- Callable security. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 23 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (concluded) PORTFOLIO OF INVESTMENTS (a) -- All or a portion of the security is on loan. See Note 6 of the Notes to Financial Statements. (triangle) -- Security has been deemed illiquid. Less than 0.1% of the Fund's net assets were reported illiquid by the portfolio manager under the Funds' policy. ++ -- Primary risk exposure is equity contracts. A summary of the inputs used to value the Fund's investments as of Feburary 28, 2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ------------ ------------ ----------- ------------ Common Stock Basic Industries $ 869,829 $ 869,829 $ -- $ -- Capital Goods 12,616,666 12,616,666 -- -- Communications 6,849,250 6,849,250 -- -- Consumer Durables 2,226,198 2,226,198 -- -- Consumer Non-Durables 14,802,374 14,802,374 -- -- Consumer Services 45,584,885 45,584,885 -- -- Energy 26,524,306 26,524,306 -- -- Finance 76,876,348 74,616,334 -- 2,260,014 Health Care 38,189,692 38,189,692 -- -- Real Estate Investment Trusts 1,125,547 1,125,547 -- -- Technology 50,404,531 50,333,737 -- 70,794 Utilities 903,949 903,949 -- -- Preferred Stocks 287,759 -- -- 287,759 Corporate Bonds 95,130 -- 95,130 -- Securities Lending Collateral 5,985,471 5,591,290 394,181 -- ------------ ------------ -------- ---------- Total Assets $283,341,935 $280,234,057 $489,311 $2,618,567 ============ ============ ======== ==========
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ----------- ------- ----------- ------------ Options Written $(899,469) $-- $(899,469) $-- --------- --- --------- --- Total Liabilities $(899,469) $-- $(899,469) $-- ========= === ========= ===
The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
PREFERRED COMMON STOCK STOCK TOTAL ----------------------- -------- INVESTMENTS FINANCE TECHNOLOGY FINANCE ----------- ---------- ---------- --------- Balance as of August 31, 2010 $2,456,323 $2,248,439 $136,239 $ 71,645 Accrued discounts/premiums -- -- -- -- Net realized gain/(loss) -- -- -- -- Change in unrealized appreciation/(depreciation) 162,244 11,575 (65,445) 216,114 Net purchases/(sales) -- -- -- -- Transfers in and/or (out) of Level 3 * -- -- -- -- ---------- ---------- -------- -------- Balance as of February 28, 2011 $2,618,567 $2,260,014 $ 70,794 $287,759 ========== ========== ======== ========
* Transfers in and/or (out) of Level 3 are recognized as of the actual date of the event or change in circumstances that caused the transfer. The Fund presents unrealized appreciation/(depreciation) on the Statement of Operations as net change in unrealized appreciation/(depreciation) on investments. The change in unrealized appreciation/(depreciation) related to investments still held at February 28, 2011 was $162,244. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 24 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO WPG SMALL/MICRO CAP VALUE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ COMMON STOCK--95.2% BASIC INDUSTRIES--0.7% GrafTech International Ltd. * ................. 8,400 $ 168,084 Graham Packaging Co., Inc. * .................. 7,600 129,124 ------------ 297,208 ------------ CAPITAL GOODS--8.9% Beacon Roofing Supply, Inc.* .................. 9,700 205,737 Columbus McKinnon Corp. ....................... 24,500 423,115 Global Power Equipment Group, Inc. * (a) .......................... 3,500 78,645 Globe Specialty Metals, Inc. .................. 27,900 649,791 Granite Construction, Inc. (a) ................ 7,500 213,750 Lakeland Industries, Inc. * ................... 18,400 149,040 Matrix Service Co. * .......................... 23,800 332,248 Mistras Group, Inc. * ......................... 3,100 46,779 RTI International Metals, Inc. * .............. 7,400 210,900 Trinity Industries, Inc. ...................... 7,700 239,855 Tutor Perini Corp. ............................ 20,500 488,310 Wabash National Corp. * ....................... 58,400 608,528 ------------ 3,646,698 ------------ COMMUNICATIONS--2.0% Digital River, Inc. * (a) ..................... 17,300 580,934 Neutral Tandem, Inc. * ........................ 13,000 223,600 ------------ 804,534 ------------ CONSUMER DURABLES--1.4% Libbey, Inc. * (a) ............................ 33,300 572,427 ------------ CONSUMER NON-DURABLES--6.2% Brown Shoe Co., Inc. .......................... 25,500 395,250 Chiquita Brands International, Inc. * ......... 59,600 1,024,524 Del Monte Foods Co. ........................... 38,400 726,912 Jones Group, Inc. (The) ....................... 30,900 410,970 ------------ 2,557,656 ------------ CONSUMER SERVICES--15.4% AMN Healthcare Services, Inc. * ............... 23,400 174,798 Body Central Corp. * .......................... 14,400 245,664 Casual Male Retail Group, Inc. * .............. 57,400 245,098 FTI Consulting, Inc. * ........................ 27,000 890,730 Geo Group, Inc., (The) * ...................... 47,500 1,207,925 Hackett Group, Inc. (The) * ................... 113,400 409,374 MDC Partners, Inc., Class A ................... 46,500 806,775 Navigant Consulting, Inc. * ................... 35,400 332,406 New Frontier Media, Inc. * .................... 68,700 144,957 Pantry, Inc. (The) * .......................... 45,800 721,808 Penske Automotive Group, Inc. * ............... 18,700 380,919 Pool Corp. .................................... 6,400 159,744 Providence Service Corp. * .................... 24,700 405,327 Shoe Carnival, Inc. * ......................... 6,600 171,204 ------------ 6,296,729 ------------
Number of Shares Value ------------ ------------ ENERGY--2.1% Approach Resources, Inc. * .................... 5,300 $ 172,515 Delek US Holdings, Inc. ....................... 3,600 40,500 GeoMet, Inc. * ................................ 66,400 90,304 Global Geophysical Services, Inc. * ........... 8,900 125,223 Newpark Resources, Inc. * ..................... 58,900 411,122 ------------ 839,664 ------------ FINANCE--22.3% A.B.Whatley Group, Inc., 144A * ............... 93,855 375 Alterra Capital Holdings Ltd. ................. 13,800 298,494 Aspen Insurance Holdings Ltd. ................. 11,700 345,735 Bancorp Rhode Island, Inc. .................... 7,200 226,872 Boston Private Financial Holdings, Inc. ............................. 73,300 519,697 Cathay General Bancorp ........................ 36,400 645,008 Delphi Financial Group, Inc., Class A (a) ................................ 17,000 526,320 Encore Bancshares, Inc. * ..................... 13,600 166,600 ESSA Bancorp, Inc. ............................ 12,300 159,900 FBR Capital Markets Corp. * ................... 121,700 452,724 Global Indemnity PLC * ........................ 4,100 91,430 Great American Group, Inc. * .................. 79,750 27,115 Home Bancshares, Inc. ......................... 19,200 432,576 Maiden Holdings Ltd. .......................... 44,500 355,555 Meadowbrook Insurance Group, Inc. ................................ 100,300 1,019,048 National Penn Bancshares, Inc. ................ 44,600 354,124 Nelnet, Inc., Class A ......................... 15,200 339,416 Radian Group, Inc. (a) ........................ 41,000 289,460 Renasant Corp. ................................ 15,900 255,513 SCBT Financial Corp. .......................... 11,000 356,290 Simmons First National Corp., Class A .................................... 9,800 282,044 Stifel Financial Corp. * (a) .................. 3,369 241,692 THL Credit, Inc. .............................. 19,800 266,310 United Financial Bancorp, Inc. ................ 9,900 154,539 Validus Holdings Ltd. ......................... 13,500 417,825 ViewPoint Financial Group ..................... 32,600 432,928 Western Alliance Bancorp * (a) ................ 13,900 112,729 WSFS Financial Corp. .......................... 7,700 360,514 ------------ 9,130,833 ------------ HEALTH CARE--9.9% Accuray, Inc. * ............................... 37,600 372,240 Alere, Inc. * ................................. 14,700 568,008 Assisted Living Concepts, Inc., Class A * .................................. 11,300 406,235 eResearch Technology, Inc. * .................. 17,100 108,585 Exactech, Inc. * .............................. 11,000 208,450 Healthways, Inc. * ............................ 8,400 117,348 ICU Medical, Inc. * ........................... 11,900 499,681 Medical Action Industries, Inc. * ............. 47,000 388,220 RehabCare Group, Inc. * ....................... 26,600 988,190 Teleflex, Inc. (a) ............................ 7,000 408,730 ------------ 4,065,687 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 25 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO WPG SMALL/MICRO CAP VALUE FUND (continued) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ REAL ESTATE INVESTMENT TRUSTS--7.7% American Campus Communities, Inc. (a) ................................... 7,800 $ 260,676 American Capital Agency Corp. ................. 13,800 406,410 Campus Crest Communities, Inc. ................ 22,000 315,040 Chatham Lodging Trust * ....................... 12,300 214,881 Chimera Investment Corp. ...................... 70,100 302,131 Highwoods Properties, Inc. .................... 11,900 403,767 Kennedy-Wilson Holdings, Inc. * ............... 14,600 160,600 Lexington Realty Trust (a) .................... 45,400 429,938 Starwood Property Trust, Inc. ................. 14,000 327,460 Washington Real Estate Investment Trust (a) .................................. 10,200 318,648 ------------ 3,139,551 ------------ TECHNOLOGY--6.4% Aeroflex Holding Corp. * ...................... 27,900 548,235 CDC Software Corp. - ADR * .................... 64,800 419,256 CIBER, Inc. * ................................. 88,800 414,696 Digi International, Inc. * .................... 39,100 432,837 Electronics for Imaging, Inc. * ............... 3,100 47,833 Generac Holdings, Inc. * ...................... 10,200 186,966 ManTech International Corp., Class A * (a) .............................. 3,100 133,920 Plantronics, Inc. ............................. 6,000 209,340 Zoran Corp. * ................................. 21,100 236,531 ------------ 2,629,614 ------------ TRANSPORTATION--7.2% Air Transport Services Group, Inc. * .......... 16,000 125,600 AirTran Holdings, Inc. * ...................... 49,500 361,350 Celadon Group, Inc. * ......................... 11,200 163,632 Hawaiian Holdings, Inc. * ..................... 38,900 258,296 Republic Airways Holdings, Inc. * (a) ......... 36,200 229,508 Scorpio Tankers, Inc. * ....................... 79,800 821,142 Swift Transporation Co. * ..................... 19,400 279,748 US Airways Group, Inc. * (a) .................. 83,800 721,518 ------------ 2,960,794 ------------
Number of Shares Value ------------ ------------ UTILITIES--5.0% Aegean Marine Petroleum Network, Inc. .............................. 74,600 $ 651,258 California Water Service Group ................ 4,700 165,816 Nicor, Inc. ................................... 3,400 179,316 Portland General Electric Co. ................. 16,300 381,746 StealthGas, Inc. * ............................ 28,000 195,720 UIL Holdings Corp. ............................ 9,200 282,808 Vectren Corp. ................................. 6,600 173,712 ------------ 2,030,376 ------------ TOTAL COMMON STOCK (Cost $30,821,916) ...................... 38,971,771 ------------ PREFERRED STOCK--0.2% ENERGY--0.2% GeoMet, Inc., Series A ........................ 7,748 77,248 ------------ TOTAL PREFERRED STOCK (Cost $74,705) ......................... 77,248 ------------ SECURITIES LENDING COLLATERAL--9.6% Institutional Money Market Trust .............. 3,683,120 3,683,120 KBC Bank NV, 0.15%, 03/01/11,TD ............... 259,656 259,656 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $3,942,776) ....................... 3,942,776 ------------ TOTAL INVESTMENTS--105.0% (Cost $34,839,397) ............................ 42,991,795 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(5.0)% .......................... (2,052,471) ------------ NET ASSETS--100.0% ............................... $ 40,939,324 ============
---------- 144A -- Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2011, these securities amounted to $375 or 0.0 % of net assets.. These 144A securities have not been deemed illiquid. ADR -- American Depositary Receipt PLC -- Public Limited Company TD -- Time Deposits * -- Non-income Producing (a) -- All or a portion of the security is on loan. See Note 6 of the Notes to Financial Statements. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 0/28/11 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Common Stock * $38,971,771 $38,971,771 $ -- $-- Preferred Stock - Energy 77,248 77,248 -- -- Securities Lending Collateral 3,942,776 3,683,120 259,656 -- ----------- ----------- -------- --- Total Assets $42,991,795 $42,732,139 $259,656 $-- =========== =========== ======== ===
* see Portfolio of Investments detail for industry and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 26 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) ROBECO WPG SMALL/MICRO CAP VALUE FUND (concluded) PORTFOLIO OF INVESTMENTS The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
PREFERRED STOCK ---------------------- TOTAL INVESTMENTS ENERGY ----------- -------- Balance as of August 31, 2010 $ 74,710 $ 74,710 Accrued discounts/premiums -- -- Net realized gain/(loss) -- -- Change in unrealized appreciation/(depreciation) 2,538 2,538 Net purchases/(sales) -- -- Transfers in and/or (out) of Level 3 * (77,248) (77,248) -------- -------- Balance as of February 28, 2011 $ -- $ -- ======== ========
* Transfers in and/or (out) of Level 3 are recognized as of the actual date of the event or change in circumstances that caused the transfer. The tranfer occurred because the security listed and began trading on an exchange, thereby providing market activity. The Fund presents unrealized appreciation/(depreciation) on the Statement of Operations as net change in unrealized appreciation/ (depreciation) on investments. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 27 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) SAM SUSTAINABLE GLOBAL ACTIVE FUND PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ COMMON STOCK--96.6% AUSTRALIA--1.5% National Australia Bank Ltd. (Financial) ...... 11,900 $ 312,594 ------------ CANADA--9.7% Bank of Nova Scotia (Financial)(a) ............ 4,700 290,695 Canadian Imperial Bank of Commerce (Financial) ................................ 4,900 414,524 Sherritt International Corp. (Materials) ...... 85,100 796,211 Teck Resources Ltd., Class B (Materials) ...... 2,404 132,999 TELUS Corp. (Telecommunication Services) ...... 9,000 446,040 ------------ 2,080,469 ------------ GERMANY--6.5% Deutsche Bank AG (Financial) .................. 6,000 385,671 Henkel AG & Co. KGaA (Consumer Staples) ....... 5,076 305,824 MTU Aero Engines Holding AG (Industrials) ..... 4,400 293,360 Muenchener Rueckversicherungs- Gesellschaft AG (Financial) ................ 2,462 410,922 ------------ 1,395,777 ------------ ISRAEL--1.6% Teva Pharmaceutical Industries Ltd., Sponsored ADR (Health Care) ................ 7,000 350,700 ------------ ITALY--2.6% Snam Rete Gas SpA (Utilities) ................. 100,000 547,015 ------------ JAPAN--6.3% Asahi Breweries Ltd. (Consumer Staples) ....... 16,800 323,657 ITOCHU Corp. (Industrials) .................... 39,600 409,530 Mitsubishi Corp. (Industrials) ................ 7,900 218,347 Mitsui O.S.K. Lines, Ltd. (Industrials) ....... 59,000 390,184 ------------ 1,341,718 ------------ NETHERLANDS--1.5% Koninklijke Philips Electronics NV (Industrials) .............................. 10,000 326,498 ------------ NORWAY--6.2% Aker Solutions ASA (Energy) ................... 26,200 554,391 Norsk Hydro ASA (Materials) ................... 34,173 281,307 Telenor ASA (Telecommunication Services) ...... 30,000 497,393 ------------ 1,333,091 ------------ SPAIN--1.3% Repsol YPF SA (Energy) ........................ 8,500 285,382 ------------ SWEDEN--2.9% Boliden AB (Materials) ........................ 12,402 264,739 Svenska Cellulosa AB, Class B (Materials) ..... 21,300 352,108 ------------ 616,847 ------------
Number of Shares Value ------------ ------------ SWITZERLAND--2.0% Zurich Financial Services AG (Financial) ...... 1,500 $ 435,421 ------------ UNITED KINGDOM--13.4% AstraZeneca PLC (Health Care) ................. 7,037 342,733 Barclays PLC (Financial) ...................... 101,260 526,514 BG Group PLC (Energy) ......................... 15,331 372,969 BT Group PLC (Telecommunication Services) ..... 75,000 222,145 Legal & General Group PLC (Financial) ......... 160,000 309,003 Logica PLC (Information Technology) ........... 198,900 445,887 Travis Perkins PLC (Industrials) .............. 40,747 659,090 ------------ 2,878,341 ------------ UNITED STATES--41.1% Chevron Corp. (Energy) ........................ 3,431 355,966 Del Monte Foods Co. (Consumer Staples) ........ 12,000 227,160 Forest Oil Corp. (Energy) (a) * ............... 11,911 422,721 Hartford Financial Services Group, Inc. (Financial) ................................ 25,200 745,920 Health Net, Inc. (Health Care) * .............. 25,881 761,419 Hewlett-Packard Co. (Information Technology) .. 15,048 656,544 International Business Machines Corp. (Information Technology) ................... 3,365 544,726 Johnson Controls, Inc. (Consumer Discretionary) ............................. 12,600 514,080 Kimberly-Clark Corp. (Consumer Staples) ....... 5,766 379,979 Limited Brands, Inc. (Consumer Discretionary).. 13,036 417,413 McDonald's Corp. (Consumer Discretionary)(a) .. 2,656 201,006 Microsoft Corp. (Information Technology) ...... 16,400 435,912 Mylan, Inc. (Health Care) * ................... 18,000 411,660 Northeast Utilities (Utilities) ............... 9,200 313,168 Occidental Petroleum Corp. (Energy) ........... 4,721 481,400 Pfizer, Inc. (Health Care) .................... 27,356 526,329 Procter & Gamble Co. (Consumer Staples) ....... 8,962 565,054 Reynolds American, Inc. (Consumer Staples) .... 14,000 480,480 Target Corp. (Consumer Discretionary)(a) ...... 6,100 320,556 Temple-Inland, Inc. (Materials) ............... 2,300 53,798 ------------ 8,815,291 ------------ TOTAL COMMON STOCK (Cost $16,756,082) ...................... 20,719,144 ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 28 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) SAM SUSTAINABLE GLOBAL ACTIVE FUND (concluded) PORTFOLIO OF INVESTMENTS
Number of Shares Value ------------ ------------ SECURITIES LENDING COLLATERAL--4.5% Institutional Money Market Trust .............. 895,896 $ 895,896 KBC Bank NV, 0.15%, 03/01/11,TD ............... 63,160 63,160 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $959,056) ......................... 959,056 ------------ TOTAL INVESTMENTS--101.1% (Cost $17,715,138) ............................ 21,678,200 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS--(1.1)% .... (238,032) ------------ NET ASSETS--100.0% ............................... $ 21,440,168 ============
---------- ADR -- American Depositary Receipt PLC -- Public Limited Company TD -- Time Deposits * -- Non-income producing. (a) -- All or a portion of the security is on loan. (see note 6) A summary of the inputs used to value the Fund's investments as of February 28, 2011 is as follows (see note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE 02/28/11 PRICE INPUTS INPUTS ----------- ----------- ----------- ------------ Common Stock * $20,719,144 $20,719,144 $ -- $-- Securities Lending Collateral 959,056 895,896 63,160 ----------- ----------- ------- --- Total Assets $21,678,200 $21,615,040 $63,160 $-- =========== =========== ======= ===
* see Portfolio of Investments detail for country and security type breakout. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 29 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF ASSETS AND LIABILITIES
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON PARTNERS PARTNERS PARTNERS PARTNERS SMALL CAP LONG/SHORT LONG/SHORT ALL-CAP VALUE FUND II EQUITY FUND RESEARCH FUND VALUE FUND ------------- ------------- ------------- ------------- ASSETS Investments in securities, at value +## ........ $131,957,683 $413,955,857 $17,762,272 $283,341,935 Cash ........................................... 2,550,886 76,991,981 2,588,495 57,191,277 Receivables Investments sold ............................ 355,399 18,121,440 1,298,451 307,644 Deposits with brokers for securities sold short and written options ................ -- 200,292,314 6,212,304 -- Dividends and interest ...................... 65,431 358,699 20,582 321,041 Capital shares sold ......................... 235,651 1,028,540 32,938 345,063 Prepaid expenses and other assets .............. 15,355 59,939 25,503 18,309 ------------ ------------ ----------- ------------ Total assets ............................. 135,180,405 710,808,770 27,940,545 341,525,269 ------------ ------------ ----------- ------------ LIABILITIES Securities sold short, at fair value +++ ....... -- 204,223,392 7,456,295 -- Options written, at value * .................... -- 161,510 -- 899,469 Foreign cash overdraft # ....................... -- 103 -- -- Payables Securities lending collateral ............... 16,707,049 7,155,540 -- 5,985,471 Investments purchased ....................... 11,978 3,180,751 1,765,289 52,782,079 Capital shares redeemed ..................... 141,005 417,915 438 10,813 Due to prime broker ......................... -- 50,420,969 510,606 -- Investment advisory fees .................... 78,446 722,707 1,641 72,101 Distribution and service fees ............... 15,812 23,742 994 4,319 Dividends on securities sold-short .......... -- 31,072 5,566 -- Other accrued expenses and liabilities ......... 37,958 76,690 38,936 46,561 ------------ ------------ ----------- ------------ Total liabilities ........................ 16,992,248 266,414,391 9,779,765 59,800,813 ------------ ------------ ----------- ------------ Net Assets ..................................... $118,188,157 $444,394,379 $18,160,780 $281,724,456 ============ ============ =========== ============ NET ASSETS CONSIST OF Par value ...................................... $ 8,238 $ 21,892 $ 1,632 $ 17,669 Paid-in capital ................................ 120,011,155 386,955,067 17,366,875 250,644,132 Undistributed net investment income/(accumulated net investment loss) .... (198,753) (3,503,656) (43,611) 177,676 Accumulated net realized gain/(loss) from investments ................................. (25,682,820) 34,774,381 148,117 1,491,188 Net unrealized appreciation on investments, securities sold short, written options and foreign currency translation ................ 24,050,337 26,146,695 687,767 29,393,791 ------------ ------------ ----------- ------------ Net Assets ............................... $118,188,157 $444,394,379 $18,160,780 $281,724,456 ============ ============ =========== ============ INSTITUTIONAL CLASS Net assets ..................................... $ 35,028,039 $319,832,769 $12,172,355 $258,162,535 Shares outstanding ............................. 2,378,752 15,578,415 1,093,766 16,187,432 ------------ ------------ ----------- ------------ Net asset value, offering and redemption price per share ............................. $ 14.73 $ 20.53 $ 11.13 $ 15.95 ============ ============ =========== ============ INVESTOR CLASS Net assets ..................................... $ 83,160,118 $124,561,610 $ 5,988,425 $ 23,561,921 Shares outstanding ............................. 5,858,920 6,313,804 538,531 1,481,452 ------------ ------------ ----------- ------------ Net asset value, offering and redemption price per share ............................. $ 14.19 $ 19.73 $ 11.12 $ 15.90 ============ ============ =========== ============ + Investment in securities, at cost ............ $107,907,346 $362,900,505 $16,588,994 $253,843,712 ## Includes market value of securities on loan .. $ 15,988,835 $ 6,650,029 $ -- $ 5,719,378 # Foreign currency, at cost .................... $ -- $ (101) $ -- $ -- +++ Proceeds received, securities sold short ..... $ -- $179,267,376 $ 6,971,229 $ -- * Premiums received, options written ........... $ -- $ 208,871 $ -- $ 795,037
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 30 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF ASSETS AND LIABILITIES (concluded)
SAM ROBECO WPG SUSTAINABLE SMALL/MICRO CAP GLOBAL ACTIVE VALUE FUND FUND --------------- ------------- ASSETS Investments in securities, at value +## ................... $42,991,795 $21,678,200 Cash ...................................................... 2,630,668 610,079 Receivables Investments sold ....................................... 236,361 -- Dividends and interest ................................. 20,034 54,929 Capital shares sold .................................... 54,313 99,990 Investment adviser ..................................... -- 6,899 Prepaid expenses and other assets ......................... 12,479 6,444 ----------- ----------- Total assets ........................................ 45,945,650 22,456,541 ----------- ----------- LIABILITIES Payables Securities lending collateral .......................... 3,942,776 959,056 Investments purchased .................................. 832,849 -- Capital shares redeemed ................................ 166,480 -- Investment advisory fees ............................... 25,666 -- Distribution and service fees .......................... -- 3 Other accrued expenses and liabilities .................... 38,555 57,314 ----------- ----------- Total liabilities ................................... 5,006,326 1,016,373 ----------- ----------- Net Assets ................................................ $40,939,324 $21,440,168 =========== =========== NET ASSETS CONSIST OF Par value ................................................. $ 2,704 $ 1,613 Paid-in capital ........................................... 41,888,829 17,185,061 Undistributed net investment income/(accumulated net investment loss) ................................... (128,155) 50,842 Accumulated net realized gain/(loss) from investments ..... (8,976,452) 238,878 Net unrealized appreciation on investments and foreign currency translation ....................... 8,152,398 3,963,774 ----------- ----------- Net Assets ......................................... $40,939,324 $21,440,168 =========== =========== INSTITUTIONAL CLASS Net assets ................................................ $40,939,324 $21,428,692 Shares outstanding ........................................ 2,703,802 1,611,879 ----------- ----------- Net asset value, offering and redemption price per share .. $ 15.14 $ 13.29 =========== =========== INVESTOR CLASS Net assets ................................................ $ -- $ 11,476 Shares outstanding ........................................ -- 863 ----------- ----------- Net asset value, offering and redemption price per share .. $ -- $ 13.29 =========== =========== + Investment in securities, at cost ....................... $34,839,397 $17,715,138 ## Includes market value of securities on loan ............. $ 3,760,761 $ 933,040
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 31 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF OPERATIONS
ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON ROBECO BOSTON PARTNERS PARTNERS PARTNERS PARTNERS SMALL CAP LONG/SHORT LONG/SHORT ALL-CAP VALUE FUND II EQUITY FUND RESEARCH FUND* VALUE FUND ------------- ------------- -------------- ------------- INVESTMENT INCOME Dividends + ............................................ $ 696,388 $ 2,150,097 $ 50,494 $ 1,240,926 Interest ............................................... 852 11,240 15 11,976 Income from securities loaned (Note 6) ................. 18,213 37,690 -- 14,295 ----------- ------------ ---------- ----------- Total investment income ............................. 715,453 2,199,027 50,509 1,267,197 ----------- ------------ ---------- ----------- EXPENSES Advisory fees .......................................... 528,566 3,782,109 43,100 718,859 Distribution fees (Investor Class) ..................... 93,120 131,571 1,812 20,204 Administration and accounting fees ..................... 56,330 152,347 15,003 86,794 Transfer agent fees .................................... 53,490 77,217 22,335 42,785 Registration and filing fees ........................... 22,152 36,898 17,524 23,083 Printing and shareholder reporting fees ................ 18,771 35,211 6,585 15,023 Directors' and officers' fees .......................... 13,446 21,434 7,852 16,019 Audit Fees ............................................. 12,878 17,531 13,170 15,825 Custodian fees ......................................... 11,754 38,551 12,313 20,335 Legal Fees ............................................. 8,927 19,281 5,707 11,158 Dividend expense on securities sold-short .............. -- 216,197 15,125 -- Prime broker interest expense .......................... -- 1,192,053 6,798 -- Other expenses ......................................... 1,823 3,511 2,153 2,246 ----------- ------------ ---------- ----------- Total expenses before waivers and reimbursements .... 821,257 5,723,911 169,477 972,331 Less: waivers and reimbursements .................... (41,002) (29,009) (75,357) (323,126) ----------- ------------ ---------- ----------- Net expenses after waivers and reimbursements .......... 780,255 5,694,902 94,120 649,205 ----------- ------------ ---------- ----------- Net investment income/(loss) ........................... (64,802) (3,495,875) (43,611) 617,992 ----------- ------------ ---------- ----------- Net realized gain/(loss) from: Investments ......................................... 4,980,254 47,493,062 166,976 5,375,653 Investments sold-short .............................. -- (1,625,631) (18,141) -- Foreign currency transactions ....................... -- 14,949 (718) -- Written options ** .................................. -- (53,120) -- (772,172) Net change in unrealized appreciation/(depreciation) on: Investments ......................................... 25,066,047 61,285,192 1,173,278 34,623,665 Investments sold short .............................. -- (28,816,274) (485,066) -- Foreign currency translation ........................ -- (2) (445) -- Written options ** .................................. -- 47,361 -- (240,905) ----------- ------------ ---------- ----------- Net realized and unrealized gain from investments ...... 30,046,301 78,345,537 835,884 38,986,241 ----------- ------------ ---------- ----------- Net increase in net assets resulting from operations ...... $29,981,499 $ 74,849,662 $ 792,273 $39,604,233 =========== ============ ========== =========== + Net of foreign witholding taxes of ................... $ -- $ (11,138) $ (1,251) $ (2,811) =========== ============ ========== ===========
* For the period September 30, 2010 (commencement of operations) to February 28, 2011. ** Primary risk is equity contracts THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 32 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF OPERATIONS (concluded)
SAM ROBECO WPG SUSTAINABLE SMALL/MICRO CAP GLOBAL ACTIVE VALUE FUND FUND --------------- ------------- INVESTMENT INCOME Dividends + ............................................... $ 176,423 $ 269,703 Interest .................................................. -- 94 Income from securities loaned (Note 6) .................... 10,081 747 ---------- ---------- Total investment income ................................ 186,504 270,544 ---------- ---------- EXPENSES Advisory fees ............................................. 167,435 76,683 Distribution fees (Investor Class) ........................ -- 13 Administration and accounting fees ........................ 43,428 43,926 Transfer agent fees ....................................... 40,983 36,965 Registration and filing fees .............................. 14,088 16,411 Printing and shareholder reporting fees ................... 6,500 3,008 Directors' and officers' fees ............................. 10,725 10,130 Audit Fees ................................................ 12,876 13,759 Custodian fees ............................................ 16,939 17,798 Legal Fees ................................................ 6,604 6,212 Other expenses ............................................ 2,728 1,521 ---------- ---------- Total expenses before waivers and reimbursements ....... 322,306 226,426 Less: waivers and reimbursements ....................... (7,647) (111,388) ---------- ---------- Net expenses after waivers and reimbursements ............. 314,659 115,038 ---------- ---------- Net investment income/(loss) .............................. (128,155) 155,506 ---------- ---------- Net realized gain/(loss) from: Investments ............................................ 3,038,316 327,911 Foreign currency transactions .......................... -- (2,359) Net change in unrealized appreciation/(depreciation) on: Investments ............................................ 6,671,521 3,998,380 Foreign currency translation ........................... -- 683 ---------- ---------- Net realized and unrealized gain from investments ......... 9,709,837 4,324,615 ---------- ---------- Net increase in net assets resulting from operations ......... $9,581,682 $4,480,121 ========== ========== + Net of foreign witholding taxes of ...................... $ (1,634) $ (14,936) ========== ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 33 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS
ROBECO BOSTON PARTNERS ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II LONG/SHORT EQUITY FUND --------------------------- --------------------------- FOR THE FOR THE SIX MONTHS SIX MONTHS ENDED FOR THE ENDED FOR THE FEBRUARY 28, YEAR ENDED FEBRUARY 28, YEAR ENDED 2011 AUGUST 31, 2011 AUGUST 31, (UNAUDITED) 2010 (UNAUDITED) 2010 ------------ ------------ ------------ ------------ FROM OPERATIONS: Net investment income/(loss) .................................. $ (64,802) $ 258,606 $ (3,495,875) $ (4,229,971) Net realized gain from investments, securities sold short, written options and foreign currency ................ 4,980,254 6,061,178 45,829,260 31,081,104 Net change in unrealized appreciation/(depreciation) from investments, securities sold short, written options and foreign currency ....................................... 25,066,047 (4,534,988) 32,516,277 (19,466,226) ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations ............. 29,981,499 1,784,796 74,849,662 7,384,907 ------------ ------------ ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class ........................................ (100,184) (95,191) -- -- Investor Class ............................................. (95,484) (94,823) -- -- Net realized capital gains Institutional Class ........................................ -- -- (17,894,655) -- Investor Class ............................................. -- -- (8,626,259) -- ------------ ------------ ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ............................................... (195,668) (190,014) (26,520,914) -- ------------ ------------ ------------ ------------ CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold .................................. 3,341,627 6,525,815 129,857,049 132,696,590 Reinvestment of distributions .............................. 93,662 93,687 14,385,081 -- Shares redeemed ............................................ (2,909,417) (3,316,755) (21,901,791) (27,301,878) Redemption fees (Note 8) ................................... 1,338 476 77,789 365,813 Investor Class Proceeds from shares sold .................................. 9,574,533 27,718,964 31,694,733 70,371,181 Reinvestment of distributions .............................. 94,378 93,851 8,458,921 -- Shares redeemed ............................................ (8,793,987) (10,587,822) (13,068,472) (22,909,284) Redemption fees (Note 8) ................................... 3,225 734 36,686 234,720 ------------ ------------ ------------ ------------ Net increase in net assets from capital transactions ............. 1,405,359 20,528,950 149,539,996 153,457,142 ------------ ------------ ------------ ------------ Total increase in net assets ..................................... 31,191,190 22,123,732 197,868,744 160,842,049 NET ASSETS Beginning of period ........................................ 86,996,967 64,873,235 246,525,635 85,683,586 ------------ ------------ ------------ ------------ End of period .............................................. $118,188,157 $ 86,996,967 $444,394,379 $246,525,635 ============ ============ ============ ============ Undistributed net investment income/(loss), end of period .. $ (198,753) $ 61,717 $ (3,503,656) $ (7,781) ============ ============ ============ ============ SHARE TRANSACTIONS: Institutional Class Shares sold ................................................ 255,959 555,555 6,511,943 7,534,517 Shares reinvested .......................................... 6,807 8,233 734,681 -- Shares redeemed ............................................ (218,805) (275,515) (1,115,041) (1,561,805) ------------ ------------ ------------ ------------ Net increase ..................................................... 43,961 288,273 6,131,583 5,972,712 ------------ ------------ ------------ ------------ Investor Class Shares sold ................................................ 766,533 2,391,723 1,657,678 4,227,832 Shares reinvested .......................................... 7,112 8,540 449,464 -- Shares redeemed ............................................ (683,933) (923,475) (679,838) (1,364,973) ------------ ------------ ------------ ------------ Net increase ..................................................... 89,712 1,476,788 1,427,304 2,862,859 ------------ ------------ ------------ ------------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 34 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (continued)
ROBECOBOSTON PARTNERS LONG/SHORT ROBECO BOSTON PARTNERS RESEARCH FUND ALL-CAP VALUE FUND ------------- --------------------------- PERIOD FOR THE SEPTEMBER 30, SIX MONTHS 2010 TO ENDED FOR THE FEBRUARY 28, FEBRUARY 28, YEAR ENDED 2011 2011 AUGUST 31, (UNAUDITED)* (UNAUDITED) 2010 ------------- ------------ ------------ FROM OPERATIONS: Net investment income/(loss) ................................................. $ (43,611) $ 617,992 $ 724,663 Net realized gain from investments, securities sold short, written options and foreign currency ............................... 148,117 4,603,481 3,905,856 Net change in unrealized appreciation/(depreciation) from investments, securities sold short, written options and foreign currency .. 687,767 34,382,760 (6,754,676) ----------- ------------ ------------ Net increase/(decrease) in net assets resulting from operations .............................................................. 792,273 39,604,233 (2,124,157) ----------- ------------ ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class ....................................................... -- (1,101,905) (728,026) Investor Class ............................................................ -- (63,061) (63,358) Net realized capital gains Institutional Class ....................................................... -- (2,218,532) -- Investor Class ............................................................ -- (201,330) -- ----------- ------------ ------------ Net decrease in net assets from dividends and distributions to shareholders ..... -- (3,584,828) (791,384) ----------- ------------ ------------ CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold ................................................. 11,552,472 117,414,646 53,342,730 Reinvestment of distributions ............................................. -- 3,267,204 617,838 Shares redeemed ........................................................... (7,074) (7,679,450) (3,296,424) Redemption fees (Note 8) .................................................. 1,082 -- -- Investor Class Proceeds from shares sold ................................................. 6,079,593 10,317,877 20,987,057 Reinvestment of distributions ............................................. -- 252,790 61,116 Shares redeemed ........................................................... (257,915) (3,321,182) (11,615,247) Redemption fees (Note 8) .................................................. 349 -- -- ----------- ------------ ------------ Net increase in net assets from capital transactions ............................ 17,368,507 120,251,885 60,097,070 ----------- ------------ ------------ Total increase in net assets .................................................... 18,160,780 156,271,290 57,181,529 NET ASSETS Beginning of period ....................................................... -- 125,453,166 68,271,637 ----------- ------------ ------------ End of period ............................................................. $18,160,780 $281,724,456 $125,453,166 =========== ============ ============ Undistributed net investment income/(loss), end of period ................. $ (43,611) $ 177,676 $ 724,650 =========== ============ ============ SHARE TRANSACTIONS: Institutional Class Shares sold ............................................................... 1,094,410 7,736,561 3,931,770 Shares reinvested ......................................................... -- 218,688 46,176 Shares redeemed ........................................................... (644) (515,206) (251,720) ----------- ------------ ------------ Net increase .................................................................... 1,093,766 7,440,043 3,726,226 ----------- ------------ ------------ Investor Class Shares sold ............................................................... 562,223 673,508 1,472,751 Shares reinvested ......................................................... -- 16,966 4,581 Shares redeemed ........................................................... (23,692) (226,571) (874,208) ----------- ------------ ------------ Net increase .................................................................... 538,531 463,903 603,124 ----------- ------------ ------------
* Commencement of operations. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 35 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENTS OF CHANGES IN NET ASSETS (concluded)
ROBECO WPG SAM SMALL/MICRO CAP VALUE FUND SUSTAINABLE GLOBAL ACTIVE FUND --------------------------- ------------------------------ FOR THE FOR THE SIX MONTHS SIX MONTHS PERIOD ENDED FOR THE ENDED JUNE 18, FEBRUARY 28, YEAR ENDED FEBRUARY 28, 2009* TO 2011 AUGUST 31, 2011 AUGUST 31, (UNAUDITED) 2010 (UNAUDITED) 2010 ------------ ------------ ------------ ----------- FROM OPERATIONS: Net investment income/(loss) .................................. $ (128,155) $ (138,673) $ 155,506 $ 241,553 Net realized gain from investments and foreign currency ....... 3,038,316 5,294,081 325,552 860,306 Net change in unrealized appreciation/(depreciation) from investments and foreign currency ........................... 6,671,521 (1,468,131) 3,999,063 (696,759) ----------- ----------- ----------- ----------- Net increase in net assets resulting from operations ............. 9,581,682 3,687,277 4,480,121 405,100 ----------- ----------- ----------- ----------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Class ........................................ -- (107,006) (310,944) (51,677) Investor Class ............................................. -- -- (146) (21) Net realized capital gains Institutional Class ........................................ -- -- (638,542) (936,892) Investor Class ............................................. -- -- (348) (456) ----------- ----------- ----------- ----------- Net decrease in net assets from dividends and distributions to shareholders ............................................... -- (107,006) (949,980) (989,046) ----------- ----------- ----------- ----------- CAPITAL TRANSACTIONS: Institutional Class Proceeds from shares sold .................................. 572,617 311,566 997,247 6,210,174 Reinvestment of distributions .............................. -- 93,748 918,071 861,288 Shares redeemed ............................................ (1,608,521) (6,997,084) (771,157) (1,345,517) Redemption fees (Note 8) ................................... -- 61 -- 277 Investor Class Proceeds from shares sold .................................. -- -- -- 5,500 Reinvestment of distributions .............................. -- -- 494 477 ----------- ----------- ----------- ----------- Net increase/(decrease) in net assets from capital transactions .................................................. (1,035,904) (6,591,709) 1,144,655 5,732,199 ----------- ----------- ----------- ----------- Total increase/(decrease) in net assets .......................... 8,545,778 (3,011,438) 4,674,796 5,148,253 NET ASSETS Beginning of period ........................................ 32,393,546 35,404,984 16,765,372 11,617,119 ----------- ----------- ----------- ----------- End of period .............................................. $40,939,324 $32,393,546 $21,440,168 $16,765,372 =========== =========== =========== =========== Undistributed net investment income/(loss), end of period .. $ (128,155) $ -- $ 50,842 $ 206,426 =========== =========== =========== =========== SHARE TRANSACTIONS: Institutional Class Shares sold ................................................ 38,794 26,105 75,355 536,115 Shares reinvested .......................................... -- 8,453 74,458 75,551 Shares redeemed ............................................ (116,711) (602,576) (61,799) (115,503) ----------- ----------- ----------- ----------- Net increase/(decrease) .......................................... (77,917) (568,018) 88,014 496,163 ----------- ----------- ----------- ----------- Investor Class Shares sold ................................................ -- -- -- 472 Shares reinvested .......................................... -- -- 39 42 ----------- ----------- ----------- ----------- Net increase ..................................................... -- -- 39 514 ----------- ----------- ----------- -----------
* Commencement of operations. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 36 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FEBRUARY 28, 2011 (UNAUDITED) STATEMENT OF CASH FLOWS
ROBECO BOSTON ROBECO BOSTON PARTNERS PARTNERS LONG/SHORT LONG/SHORT EQUITY FUND RESEARCH FUND* ------------- -------------- CASH FLOWS PROVIDED FROM (USED IN) OPERATING ACTIVITIES: Net increase in net assets resulting from operations ............. $ 74,849,662 $ 792,273 Adjustments to reconcile net increase in net assets resulting from operations to net cash provided by (used in) operating activities: Purchases of long-term portfolio investments ..................... (234,862,747) (18,215,320) Proceeds from disposition of long-term portfolio investments ..... 164,428,326 2,260,140 Purchases to cover short sales ................................... 136,819,954 7,572,493 Proceeds from short sales ........................................ (19,205,698) (619,405) Proceeds for written options ..................................... 471,656 -- Proceeds from litigation ......................................... 7,579 -- Net realized loss on investments, investments sold short and written options ........................................... (45,814,311) (148,835) Net unrealized appreciation on investments, investments sold short and written options ........................................... (32,516,279) (688,212) Effect of exchange rate changes on cash .......................... (14,947) -- Decrease in securities lending collateral ........................ 9,512,059 -- Increase in deposits with brokers for securities sold short ...... (142,417,084) (6,212,304) Increase in dividend and interest receivable ..................... (172,853) (20,582) Increase in prepaid expenses and other assets .................... (20,977) (25,503) Decrease in payable for securities lending collateral ............ (9,512,059) -- Increase in dividend payable for short sales ..................... 22,365 5,566 Increase in foreign cash overdraft ............................... (103) -- Increase/(decrease) in interest payable .......................... (356) -- Increase in payable to adviser ................................... 289,705 1,641 Increase/(decrease) in accrued expenses .......................... (2,671) 39,930 ------------- ------------ NET CASH USED IN OPERATING ACTIVITIES ............................ (98,138,779) (15,258,118) ------------- ------------ CASH FLOWS FROM FINANCING ACTIVITIES: Increase in payable to Prime Broker .............................. 32,069,404 510,606 Net payment for fund share activity .............................. 125,822,597 17,336,007 Distributions paid from realized capital gains ................... (3,676,912) -- ------------- ------------ Net cash provided by financing activities ........................ 154,215,089 17,846,613 ------------- ------------ NET INCREASE IN CASH AND FOREIGN CURRENCY ........................ 56,076,310 2,588,495 CASH AT BEGINNING OF PERIOD ...................................... $ 20,915,568 $ -- ============= ============ CASH AT END OF PERIOD ............................................ $ 76,991,878 $ 2,588,495 ============= ============ SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION: Cash paid during the period for interest expense ................. $ 1,204,489 $ 6,798 ============= ============
* For the period September 30, 2010 (commencement of operations) to February 28, 2011. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 37 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS PER SHARE OPERATING PERFORMANCE Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
NET DIVIDENDS TO DISTRIBUTIONS TO ASSET NET REALIZED TOTAL SHAREHOLDERS SHAREHOLDERS VALUE, NET AND UNREALIZED FROM FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT REALIZED RETURN TOTAL OF PERIOD INCOME/(LOSS)* INVESTMENTS OPERATIONS INCOME GAINS OF CAPITAL DISTRIBUTIONS --------- -------------- -------------- ---------- ------------ ---------------- ---------- ------------- ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II INSTITUTIONAL CLASS 9/1/10 through 2/28/11+ $11.02 $ --(3) $ 3.75 $ 3.75 $(0.04) $ -- $ -- $(0.04) 8/31/10 10.49 0.06 0.52 0.58 (0.05) -- -- (0.05) 8/31/09 11.87 0.11 (1.26) (1.15) (0.14) (0.05) (0.04) (0.23) 8/31/08 21.47 0.07 (1.97) (1.90) -- (7.70) -- (7.70) 8/31/07 22.82 (0.01) 2.41 2.40 (0.09) (3.67) -- (3.76) 8/31/06 24.75 (0.08) 1.57 1.49 -- (3.42) -- (3.42) INVESTOR CLASS 9/1/10 through 2/28/11+ $10.62 $(0.01) $ 3.60 $ 3.59 $(0.02) $ -- $ -- $(0.02) 8/31/10 10.11 0.03 0.50 0.53 (0.02) -- -- (0.02) 8/31/09 11.43 0.07 (1.20) (1.13) (0.11) (0.05) (0.03) (0.19) 8/31/08 21.02 0.03 (1.92) (1.89) -- (7.70) -- (7.70) 8/31/07 22.40 (0.07) 2.37 2.30 (0.02) (3.67) -- (3.69) 8/31/06 24.35 (0.13) 1.54 1.41 -- (3.36) -- (3.36) ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND INSTITUTIONAL CLASS 9/1/10 through 2/28/11+ $17.41 $(0.20) $ 4.93 $ 4.73 $ -- $(1.62) $ -- $(1.62) 8/31/10 15.75 (0.37) 1.98 1.61 -- -- -- -- 8/31/09 15.47 (0.22) 2.98 2.76 -- (2.48) -- (2.48) 8/31/08 17.23 (0.36) 0.50 0.14 -- (1.90) -- (1.90) 8/31/07 18.57 (0.21) 0.73 0.52 -- (1.86) -- (1.86) 8/31/06 17.89 (0.26) 2.40 2.14 -- (1.47) -- (1.47) INVESTOR CLASS 9/1/10 through 2/28/11+ $16.80 $(0.21) $ 4.75 $ 4.54 $ -- $(1.62) $ -- $(1.62) 8/31/10 15.31 (0.40) 1.84 1.44 -- -- -- -- 8/31/09 15.17 (0.25) 2.87 2.62 -- (2.48) -- (2.48) 8/31/08 16.97 (0.39) 0.49 0.10 -- (1.90) -- (1.90) 8/31/07 18.36 (0.26) 0.73 0.47 -- (1.86) -- (1.86) 8/31/06 17.74 (0.30) 2.38 2.08 -- (1.47) -- (1.47) ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND INSTITUTIONAL CLASS 9/30/10** through 2/28/11+ $10.00 $(0.05) $ 1.18 $ 1.13 $ -- $ -- $ -- $ -- INVESTOR CLASS11/29/10** through 2/28/11+ $10.40 $(0.04) $ 0.76 $ 0.72 $ -- $ -- $ -- $ --
+ Unaudited. * Calculated based on average shares outstanding for the period. ** Commencement of operations. (1) Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year. (2) Redemption fees are reflected in total return calculations. (3) Amount is less than $0.01 per share. (4) Annualized. (5) Not Annualized. (6) Includes dividend expense of 0.44%, which is outside of the expense caps of 2.25% and 2.50% for Institutional Class and Investor Class, respectively. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 38 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) PER SHARE OPERATING PERFORMANCE
RATIO OF EXPENSES TO RATIO OF NET AVERAGE NET INVESTMENT RATIO OF ASSETS WITH RATIO OF INCOME/(LOSS) NET NET EXPENSES TO WAIVERS AND EXPENSES TO TO AVERAGE ASSET ASSETS, AVERAGE NET REIMBURSEMENTS AVERAGE NET NET ASSETS VALUE, TOTAL END OF ASSETS WITH (EXCLUDING ASSETS WITHOUT WITH WAIVERS PORTFOLIO REDEMPTION END OF INVESTMENT PERIOD WAIVERS AND DIVIDEND AND WAIVERS AND AND TURNOVER FEES PERIOD RETURN(1,2) (000) REIMBURSEMENTS INTEREST EXPENSE) REIMBURSEMENTS REIMBURSEMENTS RATE ---------- ------ ----------- -------- -------------- ----------------- --------------- -------------- --------- $ --(3) $14.73 34.07% $ 35,028 1.30%(4) N/A 1.38%(4) 0.05%(4) 21%(5) --(3) 11.02 5.47 25,736 1.30 N/A 1.39 0.51 43 --(3) 10.49 (8.97) 21,466 1.30 N/A 1.74 1.29 66 --(3) 11.87 (10.15) 56,652 1.39 N/A 1.54 0.47 54 0.01 21.47 10.53 94,337 1.55 N/A 1.56 (0.09) 46 --(3) 22.82 6.39 114,153 1.52 N/A 1.53 (0.34) 34 $ --(3) $14.19 33.78% $ 83,160 1.55%(4) N/A 1.63%(4) (0.20)%(4) 21%(5) --(3) 10.62 5.26 61,260 1.55 N/A 1.63 0.25 43 --(3) 10.11 (9.20) 43,408 1.55 N/A 2.00 0.90 66 --(3) 11.43 (10.40) 65,370 1.64 N/A 1.79 0.19 54 0.01 21.02 10.26 154,546 1.80 N/A 1.81 (0.32) 46 --(3) 22.40 6.12 230,362 1.77 N/A 1.78 (0.58) 34 $0.01 $20.53 27.70% $319,833 3.31%(4) 2.47%(4) 3.33%(4) (2.00)%(4) 55%(5) 0.05 17.41 10.54 164,438 3.40 2.50 3.46 (2.10) 81 --(3) 15.75 30.02 54,703 3.35 2.50 4.04 (1.85) 172 --(3) 15.47 1.12 36,423 3.98 2.50 4.36 (2.27) 124 --(3) 17.23 2.61 73,770 3.44 2.50 3.60 (1.17) 93 0.01 18.57 12.93 90,313 3.24 2.50 3.40 (1.51) 109 $0.01 $19.73 27.57% $124,562 3.56%(4) 2.72%(4) 3.58%(4) (2.25)%(4) 55%(5) 0.05 16.80 9.73 82,088 3.65 2.75 3.70 (2.35) 81 --(3) 15.31 29.63 30,980 3.55 2.75 4.19 (2.09) 172 --(3) 15.17 0.88 7,728 4.23 2.75 4.61 (2.51) 124 --(3) 16.97 2.35 14,664 3.69 2.75 3.85 (1.42) 93 0.01 18.36 12.69 20,706 3.48 2.75 3.65 (1.77) 109 $ --(3) $11.13 11.30% $ 12,172 2.70%(4, 6) 2.06%(4) 5.02%(4) (1.21)%(4) 38%(5) $ --(3) $11.12 6.92% $ 5,988 2.95%(4, 6) 2.31%(4) 5.27%(4) (1.49)%(4) 38%(5)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 39 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) PER SHARE OPERATING PERFORMANCE Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
DISTRIBUTIONS NET DIVIDENDS TO TO ASSET NET REALIZED TOTAL SHAREHOLDERS SHAREHOLDERS VALUE, NET AND UNREALIZED FROM FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT INVESTMENT REALIZED TOTAL REDEMPTION OF PERIOD INCOME/(LOSS)* INVESTMENTS OPERATIONS INCOME GAINS DISTRIBUTIONS FEES --------- -------------- -------------- ---------- ------------ ------------- ------------- ---------- ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND INSTITUTIONAL CLASS 9/1/10 through 2/28/11+ $12.85 $ 0.05 $ 3.34 $ 3.39 $(0.10) $(0.19) $(0.29) $-- 8/31/10 12.56 0.10 0.32 0.42 (0.13) -- (0.13) -- 8/31/09 13.61 0.19 (1.03) (0.84) (0.12) (0.09) (0.21) -- 8/31/08 16.47 0.23 (1.54) (1.31) (0.16) (1.39) (1.55) -- 8/31/07 15.69 0.16 2.05 2.21 (0.13) (1.30) (1.43) -- 8/31/06 15.54 0.15 1.03 1.18 (0.08) (0.95) (1.03) -- INVESTOR CLASS 9/1/10 through 2/28/11+ $12.79 $ 0.03 $ 3.33 $ 3.36 $(0.06) $(0.19) $(0.25) $-- 8/31/10 12.52 0.07 0.31 0.38 (0.11) -- (0.11) -- 8/31/09 13.56 0.16 (1.03) (0.87) (0.08) (0.09) (0.17) -- 8/31/08 16.41 0.16 (1.51) (1.35) (0.11) (1.39) (1.50) -- 8/31/07 15.63 0.11 2.06 2.17 (0.09) (1.30) (1.39) -- 8/31/06 15.49 0.11 1.03 1.14 (0.05) (0.95) (1.00) -- ROBECO WPG SMALL/MICRO CAP VALUE FUND INSTITUTIONAL CLASS 9/1/10 through 2/28/11+ $11.65 $(0.05) $ 3.54 $ 3.49 $ -- $ -- $ -- $-- 8/31/10 10.57 (0.05) 1.16 1.11 (0.03) -- (0.03) --(3) 8/31/09 12.18 0.03 (1.62) (1.59) (0.01) (0.01) (0.02) -- 8/31/08 17.05 0.05(6) (2.46) (2.41) (0.01) (2.45) (2.46) -- 8/31/07 16.54 0.01(6) 2.31 2.32 -- (1.81) (1.81) -- 8/31/06 17.42 --(3, 6) 1.10 1.10 -- (1.98) (1.98) -- SAM SUSTAINABLE GLOBAL ACTIVE FUND INSTITUTIONAL CLASS 9/1/10 through 2/28/11+ $11.00 $ 0.10 $ 2.82 $ 2.92 $(0.21) $(0.42) $(0.63) $-- 8/31/10 11.30 0.18 0.47 0.65 (0.05) (0.90) (0.95) --(3) 6/18/09** through 8/31/09 10.00 0.01 1.29 1.30 -- -- -- -- INVESTOR CLASS 9/1/10 through 2/28/11+ $10.98 $ 0.08 $ 2.83 $ 2.91 $(0.18) $(0.42) $(0.60) $-- 8/31/10 11.30 0.16 0.46 0.62 (0.04) (0.90) (0.94) --(3) 7/15/09** through 8/31/09 10.13 --(4) 1.17 1.17 -- -- -- --
+ Unaudited. * Calculated based on average shares outstanding, unless otherwise noted. ** Commencement of operations. (1) Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year. (2) Redemption fees are reflected in total return calculations. (3) Amount is less than $0.01. (4) Annualized. (5) Not Annualized. (6) Calculated using the SEC's undistributed net investment income method. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. 40 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS FINANCIAL HIGHLIGHTS (CONTINUED) PER SHARE OPERATING PERFORMANCE
RATIO OF NET INVESTMENT RATIO OF RATIO OF INCOME/(LOSS) NET NET EXPENSES TO EXPENSES TO TO AVERAGE ASSET ASSETS, AVERAGE NET AVERAGE NET NET ASSETS VALUE, TOTAL END OF ASSETS WITH ASSETS WITHOUT WITH WAIVERS PORTFOLIO END OF INVESTMENT PERIOD WAIVERS AND WAIVERS AND AND TURNOVER PERIOD RETURN(1, 2) (000) REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS RATE ------ ------------ -------- -------------- -------------- -------------- --------- $15.95 26.52% $258,163 0.70%(4) 1.06%(4) 0.71%(4) 16%(5) 12.85 3.31 112,437 0.80 1.15 0.75 48 12.56 (5.88) 63,085 0.95 1.50 1.79 55 13.61 (8.55) 51,850 0.95 1.70 1.59 44 16.47 14.38 13,720 0.95 2.24 0.92 45 15.69 7.95 9,374 1.09 2.93 0.94 51 $15.90 26.43% $ 23,562 0.95%(4) 1.31%(4) 0.46%(4) 16%(5) 12.79 3.01 13,016 1.03 1.39 0.55 48 12.52 (6.15) 5,187 1.20 1.75 1.51 55 13.56 (8.82) 3,164 1.20 1.95 1.10 44 16.41 14.16 4,021 1.20 2.49 0.67 45 15.63 7.72 3,739 1.34 3.19 0.69 51 $15.14 29.96% $ 40,939 1.69%(4) 1.73%(4) (0.69)%(4) 38%(5) 11.65 10.54 32,394 1.69 1.77 (0.39) 94 10.57 (12.93) 35,405 1.61 1.95 0.37 137 12.18 (15.12) 43,133 1.61 1.65 0.11 131 17.05 14.28 53,962 1.47 1.47 0.09 138 16.54 7.16 48,607 1.43 1.43 0.02 139 $13.29 26.97% $ 21,429 1.20%(4) 2.36%(4) 1.62%(4) 20%(5) 11.00 5.42 16,756 1.20 2.81 1.58 88 11.30 13.00 11,614 1.20(4) 4.06(4) 0.27(4) 72(5) $13.29 26.93% $ 11 1.45%(4) 2.61%(4) 1.36%(4) 20%(5) 10.98 5.14 9 1.45 3.06 1.38 88 11.30 11.55 4 1.45(4) 4.20(4) 0.13(4) 72(5)
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. SEMI-ANNUAL REPORT 2011 | 41 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series trust," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including Robeco Boston Partners Small Cap Value Fund II ("BP Small Cap Value Fund II"), Robeco Boston Partners Long/Short Equity Fund ("BP Long/Short Equity Fund"), Robeco Boston Partners Long/Short Research Fund ("BP Long/Short Research Fund"), (collectively "BP Funds"), Robeco WPG Small/Micro Cap Value Fund ("WPG Small/Micro Cap Value Fund"), formerly Robeco WPG Small Cap Value Fund, and SAM Sustainable Global Active Fund (each a "Fund," collectively the "Funds"). As of February 28, 2011, the BP Funds and the SAM Sustainable Global Active Fund each offer two classes of shares, Institutional Class and Investor Class. The WPG Small/Micro Cap Value Fund is a single class fund, offering only the Institutional Class of shares. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION -- Each Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer's financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of February 28, 2011 is included in each Fund's Portfolio of Investments. At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, 42 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) management evaluates the Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. As of February 28, 2011, management has evaluated the activity in Levels 1, 2 and 3 and has concluded that there were no significant changes to report. USE OF ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Funds record security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received from Real Estate Investment Trusts that may be considered return of capital distributions or capital gain distributions. The Funds' investment income, expenses (other than class specific distribution fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees are accrued daily and taken into account for the purpose of determining the NAV of the Funds. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. FOREIGN CURRENCY TRANSLATION -- The books and records of the portfolios are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rate prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resulting exchange gains and losses are included in the Statement of Operations. SEMI-ANNUAL REPORT 2011 | 43 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) FOREIGN SECURITIES -- There are certain risks resulting from investing in foreign securities in addition to the usual risks inherent in domestic investments. Such risks include political, economic and currency exchange developments, including investment restrictions and changes in foreign laws. OPTIONS WRITTEN --The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities. The BP All-Cap Value Fund, the WPG Small/Micro Cap Value Fund and the SAM Sustainable Global Active Fund write covered call and secured put options. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. The risk in writing a call option is that a Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that a Fund may incur a loss if the market price of the security decreases and the option is exercised. A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. A Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are recorded as liabilities to the extent of premiums received. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received or paid. The BP Long/Short Equity Fund and the BP All-Cap Value Fund had transactions in options written during the six-month period ended February 28, 2011 as follows:
BP LONG/SHORT EQUITY FUND BP ALL-CAP VALUE FUND ------------------------- --------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS CONTRACTS RECEIVED CONTRACTS RECEIVED --------- -------- --------- ---------- Options outstanding at August 31, 2010 -- $ -- 6,002 $1,000,610 Options written 1,339 471,656 6,820 857,966 Options closed -- -- (6,791) (995,837) Options expired -- -- (94) (39,882) Options exercised (784) (262,785) (260) (27,820) ----- -------- ----- --------- Options outstanding at February 28, 2011 555 $208,871 5,677 $ 795,037 ===== ======== ===== =========
For the six-month period ended February 28, 2011, the average volume of written options for the BP Long/Short Equity Fund and the BP All-Cap Value Fund was $69,624 and $994,895, respectively. SHORT SALES -- When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund and the BP All-Cap Value Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund's gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them. In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these prime broker charges on a net basis as interest income or interest expense. For the six-month period ended February 28, 2011, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had net charges of $1,077,582 and $6,138, respectively, on borrowed securities. Such amounts are included in prime broker interest expense on the statement of operations. 44 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) As of February 28, 2011, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had securities sold short valued at $204,223,392 and $7,456,295, respectively, for which securities of $198,210,329 and $6,214,150 and cash deposits of $149,729,301 and $5,701,909, respectively, were pledged as collateral. In accordance with the Special Custody and Pledge Agreement with Goldman Sachs (the Fund's prime broker), the BP Long/Short Equity Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread. The BP Long/Short Equity Fund and the BP Long/Short Research Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the six-month period ended February 28, 2011:
AVERAGE DAILY WEIGHTED AVERAGE DAYS UTILIZED BORROWINGS INTEREST RATE ------------- ------------- ---------------- BP Long/Short Equity Fund 181 $33,839,262 0.68% BP Long/Short Research Fund 138 232,858 0.65%
As of February 28, 2011, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had borrowings of $50,400,177 and $510,470, respectively. Interest expenses for the six-month period ended February 28, 2011 totaled $114,470 and $580, respectively. Interest expense payable at February 28, 2011 totaled $20,792 and $136, respectively. 2. TRANSACTIONS WITH INVESTMENT ADVISERS AND OTHER SERVICES Robeco Investment Management, Inc. ("Robeco") provides investment advisory services to the BP Funds and the WPG Small/Micro Cap Value Fund. For its advisory services with respect to the BP Funds, Robeco is entitled to receive 1.00% of the BP Small Cap Value Fund II's average daily net assets, 2.25% of the BP Long/Short Equity Fund's average daily net assets, 1.25% of the BP Long/Short Research Fund's average daily net assets and 0.80% of the BP All-Cap Value Fund's average daily net assets, each accrued daily and payable monthly. Until December 31, 2011, Robeco has contractually agreed to limit the BP Small Cap Value II, BP Long/Short Equity Fund and BP All-Cap Value Funds' total operating expenses (other than brokerage commissions, extraordinary items, interest, dividends on short sales, or taxes) to the extent that such expenses exceed the ratios in the table below. This limit is calculated daily based the BP Small Cap Value II, BP Long/Short Equity Fund and BP All-Cap Value Funds' average daily net assets. This limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee as necessary. Robeco may not recoup any of its waived investment advisory fees.
INSTITUTIONAL INVESTOR ------------- -------- BP Small Cap Value Fund II 1.30% 1.55% BP Long/Short Equity Fund 2.50% 2.75% BP All-Cap Value Fund 0.70% 0.95%
For the BP Long/Short Research Fund, Robeco has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the Total Annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items or taxes) exceeds 2.25% of the average daily net assets attributable to the Fund's Institutional Class shares and 2.50% of the average daily net assets attributable to the Fund's Investor Class. This contractual limitation is in effect until at least December 31, 2011 and may not be terminated without Board approval. If at any time during the first three years the Fund's Advisory Agreement with Robeco is in effect, the Fund's Total annual Fund operating expenses for that year are less than 2.25% for the Institutional Class and 2.50% for the Investor Class, Robeco is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by Robeco to the Fund during such three-year period. For its advisory services with respect to the WPG Small/Micro Cap Value Fund, Robeco is entitled to receive advisory fees, accrued daily and paid monthly, as follows: WPG Small/Micro Cap Value Fund 0.90% of net assets up to $300 million 0.80% of net assets $300 million to $500 million 0.75% of net assets in excess of $500 million
SEMI-ANNUAL REPORT 2011 | 45 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 2. TRANSACTIONS WITH INVESTMENT ADVISERS AND OTHER SERVICES (CONTINUED) Until December 31, 2011, Robeco has contractually agreed to limit the WPG Small/Micro Cap Value Fund's operating expenses to 1.70% as a percentage of each Fund's average daily net assets. Robeco may not recoup any of its waived investment advisory fees. For the six month period ended February 28, 2011, Robeco has waived and reimbursed fees as follows:
INVESTMENT ADVISER INVESTMENT ADVISER FUNDS EXPENSE WAIVED REIMBURSEMENT ----- ------------------ ------------------ BP Small Cap Value Fund II $ 41,002 $ -- BP Long/Short Equity Fund 29,009 -- BP Long/Short Research Fund 43,100 32,257 BP All-Cap Value Fund 323,126 -- BP WPG Small/Micro Cap Value Fund 7,647 -- BP SAM Sustainable Global Active Fund 76,683 34,705
Sustainable Asset Management USA, Inc. ("SAM") provides investment advisory services to the SAM Sustainable Global Active Fund. SAM is an affiliate of Robeco Investment Management, Inc., and a subsidiary of Robeco Groep. SAM is entitled to an advisory fee at the annual rate of 0.80% of SAM Sustainable Global Active Fund's average daily net assets, computed daily and payable monthly. Until December 31, 2011, SAM has contractually agreed to limit the SAM Sustainable Global Active Fund total operating expenses (other than brokerage commissions, extraordinary items, interest or taxes) to the extent that such expenses exceed certain ratios. For the Institutional Class, SAM has agreed to waive fees and reimburse expenses to the extent that the total operating expenses of the Fund exceed 1.20% of the first $50 million of the Fund's average daily net assets, 1.10% of the Fund's average daily net assets between $50 million and $100 million and 1.00% of the Fund's average daily net assets in excess of $100 million. For the Investor Class, SAM has agreed to waive fees and reimburse expenses to the extent that the total operating expenses of the Fund exceed 1.45% of the first $50 million of the Fund's average daily net assets, 1.35% of the Fund's average daily net assets between $50 million and $100 million and 1.25% of the Fund's average daily net assets in excess of $100 million. SAM may not recoup any of its waived investment advisory fees. BNY Mellon Investment Servicing (US) Inc. ("BNY"), a member of The Bank of New York Mellon Corporation, serves as administrator for the Funds. For providing administration and accounting services, BNY is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, subject to certain minimum monthly fees. Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administrative services to RBB. For providing these services, BNY is entitled to receive compensation as agreed to by the Company and BNY. This fee is allocated to each Fund in proportion to its net assets of the Company. In addition, BNY serves as the Funds' transfer and dividend disbursing agent. For providing transfer agency services, BNY is entitled to receive a monthly fee, subject to certain minimum. PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York Mellon Corporation and provides certain custodial services to the Funds. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Funds' average daily net assets, subject to certain minimum monthly fees. The Board of Directors of the Company has approved a Distribution Agreement for the Funds and adopted a separate Plan of Distribution for the Investor Class (the "Plan") pursuant to Rule 12b-1 under the Investment Company Act of 1940. Under the Plan, BNY Distributors Inc. (the "Distributor") is entitled to receive from the Funds a distribution fee with respect to the Investor Class, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Class. Amounts paid to the Distributor under the Plan may be used by the Distributor to cover expenses that are related to (i) the sale of the Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class, all as set forth in the Funds' 12b-1 Plan. 46 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 3. DIRECTORS/COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six-month period ended February 28, 2011 was $40,996. Certain employees of BNY are Officers of the Company. They are not compensated by the Funds or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding investments and U.S. government obligations) were as follows:
FUND PURCHASES SALES ---- ------------ ------------ BP Small Cap Value Fund II $ 22,119,218 $ 20,808,067 BP Long/Short Equity Fund 235,160,840 179,501,370 BP Long/Short Research Fund 19,980,609 3,558,591 BP All-Cap Value Fund 142,997,001 29,924,533 WPG Small/Micro Cap Value Fund 13,537,935 16,460,657 SAM Sustainable Global Active Fund 3,728,480 3,802,157
5. CAPITAL SHARE TRANSACTIONS As of February 28, 2011, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class of the WPG Small/Micro Cap Value Fund, which has 50,000,000 shares of $0.001 par value common stock authorized. As of February 28, 2011, the following Funds had shareholders that held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many underlying shareholders. BP Small Cap Value Fund II (2 shareholders) 60% BP Long/Short Equity Fund (4 shareholders) 79% BP Long/Short Research Fund (3 shareholders) 51% BP All-Cap Value Fund (3 shareholder) 52% SAM Sustainable Global Active Fund (2 shareholders) 96%
6. SECURITIES LENDING Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Fund and approved by the Board of Directors, is invested in the Institutional Money Market Trust. All such investments are made at the risk of the Fund and, as such, the Fund is liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by the Adviser to be of good standing and only when, in the Adviser's judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund's securities will be fully collateralized and marked to market daily. During the six-month period ended February 28, 2011, the Funds participated in securities lending. The market value of securities on loan and collateral as of February 28, 2011 and the income generated from the program during the six-month period ended February 28, 2011 with respect to such loans are as follows:
MARKET VALUE INCOME RECEIVED OF SECURITIES MARKET VALUE FROM SECURITIES FUND LOANED OF COLLATERAL LENDING ---- ------------- ------------- --------------- BP Small Cap Value Fund II $15,988,836 $16,707,049 $18,213 BP Long/Short Equity Fund 6,650,029 7,155,540 37,690 BP All-Cap Value Fund 5,719,378 5,985,471 14,295 WPG Small/Micro Cap Value Fund 3,760,761 3,942,776 10,081 SAM Sustainable Global Active Fund 933,040 959,056 747
SEMI-ANNUAL REPORT 2011 | 47 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (continued) 7. RESTRICTED SECURITIES A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the "1933 Act") or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Certain restricted securities may be resold in transactions exempt from registration, normally to qualified institutional buyers, and may be deemed liquid by Robeco or SAM, as applicable, based on procedures established by the Board of Directors. Therefore, not all restricted securities are considered illiquid. At February 28, 2011, the following Funds held restricted securities that were illiquid:
ACQUISITION % OF BP ALL-CAP VALUE FUND ACQUISITION DATE COST SHARES/PAR VALUE NET ASSETS --------------------- ----------------- ----------- ---------- ----- ---------- COMMON STOCKS: J.C. Wentworth, Inc. 144A 08/02/07-03/26/08 $181,980 -- $-- 0.0% Peoples Choice Financial Corp. 144A 12/21/04-01/23/06 14,293 1,465 -- 0.0 CORPORATE BOND: Thornburg Mortgage, Inc. 144A 10/01/08 758,149 824,000 -- 0.0 -------- ------- --- --- $954,422 825,465 $-- 0.0% ======== ======= === ===
8. REDEMPTION FEES There is a 1.00% redemption fee on shares redeemed which have been held 60 days or less on BP Small Cap Value Fund II, BP Long/Short Research Fund and SAM Global Active Fund. There is a 2.00% redemption fee on shares redeemed which have been held 365 days or less on the BP Long/Short Equity Fund. The WPG Small/Micro Cap Value Fund has a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees are retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital. 9. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2007 - 2010) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/ FUND COST APPRECIATION (DEPRECIATION) (DEPRECIATION) ---- ------------ ----------- ----------- --------------- BP Small Cap Value Fund II $107,907,346 $27,279,825 $(3,229,488) $24,050,337 BP Long/Short Equity Fund 362,900,505 57,510,816 (6,455,464) 51,055,352 BP Long/Short Research Fund 16,588,994 1,263,792 (90,514) 1,173,278 BP All-Cap Value Fund 253,843,712 32,172,589 (2,674,366) 29,498,223 WPG Small/Micro Cap Value Fund 34,839,397 9,427,256 (1,274,858) 8,152,398 SAM Sustainable Global Active Fund 17,715,138 4,006,110 (43,048) 3,963,062
Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. 48 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded) 9. FEDERAL INCOME TAX INFORMATION (CONTINUED) As of August 31 2010, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED UNDISTRIBUTED ORDINARY LONG-TERM FUND INCOME GAINS ---- ------------- ------------- BP Small Cap Value Fund II $ 61,717 $ -- BP Long/Short Equity Fund 18,920,984 -- BP All-Cap Value Fund 1,859,277 -- WPG Small/Micro Cap Value Fund -- -- SAM Sustainable Global Active Fund 788,803 38,085
The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal tax purposes. The tax character of distributions paid during the fiscal year ended August 31, 2010 were as follows:
2010 ------------------------------------------- ORDINARY LONG-TERM RETURN OF FUND INCOME GAINS CAPITAL TOTAL ------ -------- --------- --------- -------- BP Small Cap Value Fund II $190,014 -- -- $190,014 BP Long/Short Equity Fund -- -- -- -- BP All-Cap Value Fund 791,384 -- -- 791,384 WPG Small/Micro Cap Value Fund 107,006 -- -- 107,006 SAM Sustainable Global Active Fund 989,046 -- -- 989,046
Distributions from net investment income and short-term capital gains are treated as ordinary income for federal income tax purposes. For Federal income tax purposes, capital loss carryforwards represent net realized capital losses of a Fund that may be carried forward for a maximum of eight years and applied against future net capital gains. As of August 31, 2010, the following Funds had capital loss carryforwards available to offset future realized capital gains through the expiration dates indicated below:
FUND 2016 2017 2018 TOTAL ---- ---------- ----------- ----------- ----------- BP Small Cap Value Fund II $ -- $15,908,734 $12,850,401 $28,759,135 BP Long/Short Equity Fund 2,529,702 -- -- 2,529,702 WPG Small/Micro Cap Value Fund -- 7,340,717 3,418,543 10,759,260
10. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. SEMI-ANNUAL REPORT 2011 | 49 ROBECO INVESTMENT FUNDS NOTES TO FINANCIAL STATEMENTS (unaudited) (concluded) 11. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Fund(s) through the date the financial statements were issued, and has determined that there was the following subsequent event: At a meeting of the Company's Board of Directors held on February 17, 2011, the Board unanimously voted to approve, subject to shareholder approval, an Agreement and Plan of Reorganization whereby the Institutional and Investor classes of the SAM Sustainable Global Active Fund would be reorganized into the Institutional class of a newly created series of Frontegra Funds, Inc. (the "New Fund"). The New Fund will have virtually identical investment objectives and strategies to the SAM Sustainable Global Active Fund, but it will be offered and managed through the Frontegra organization. Sustainable Asset Management USA, Inc., the SAM Sustainable Global Active Fund's current adviser, would serve as the New Fund's sub-adviser with responsibility for the day-to-day portfolio management and Frontegra Asset Management, Inc. would act as the New Fund's adviser. A Special Meeting of Shareholders of the SAM Sustainable Global Active Fund will be held on June 2, 2011, at which shareholders will be asked to consider and approve the Agreement and Plan of Reorganization. Shareholders of record of the SAM Sustainable Global Active Fund as of March 11, 2011 will be entitled to vote and should expect to receive a prospectus/proxy statement providing more information about the New Fund the proposed reorganization. If approved by shareholders at the Special Meeting, the reorganization is expected to occur on or about June 10, 2011. 50 | SEMI-ANNUAL REPORT 2011 ROBECO INVESTMENT FUNDS OTHER INFORMATION (unaudited) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 261-4073 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULE The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. APPROVAL OF INVESTMENT ADVISORY AGREEMENTS ROBECO INVESTMENT MANAGEMENT, INC. As required by the 1940 Act, the Board of Directors (the "Board") of the Company, including all of the Directors who are not "interested persons" of the Company, as that term is defined in the 1940 Act (the "Independent Directors"), considered the initial approval of the investment advisory agreement between Robeco and the Company on behalf of the Robeco Boston Partners Long/Short Research Fund (the "Fund") (the "Advisory Agreement") at a meeting of the Board held on September 21, 2010. At the meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement for an initial term ending August 16, 2012. The Board's decision to approve the Advisory Agreement reflects the exercise of its business judgment. In approving the Advisory Agreement, the Board considered information provided by Robeco with the assistance and advice of counsel to the Independent Directors and the Company. In considering the approval of the Advisory Agreement, the Directors took into account all materials provided prior to and during the Meeting, the presentations made during the Meeting, and the discussions during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of Robeco's services to be provided to the Fund; (ii) descriptions of the experience and qualifications of Robeco's personnel providing those services; (iii) Robeco's investment philosophies and processes; (iv) Robeco's assets under management and client descriptions; (v) Robeco's soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Robeco's current and proposed advisory fee arrangements with the Company and other similarly managed clients; (vii) Robeco's compliance procedures; (viii) Robeco's financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; and (x) a report comparing the performance of the Fund's strategy to the performance of the S&P 500 Index. As part of their review, the Directors considered the nature, extent and quality of the services to be provided by Robeco. The Directors concluded that Robeco had substantial resources to provide services to the Fund and that Robeco's services to the other Robeco Investment Funds had been acceptable. The Directors also considered the prior investment performance of the Fund's strategy. The Directors concluded that the investment performance of the strategy as compared to the S&P 500 Index was acceptable. The Board of Directors also considered the advisory fee rate payable by the Fund under the proposed advisory agreement. In this regard, the Directors noted that Robeco had contractually agreed to waive management fees and reimburse expenses through December 31, 2011 to limit total annual operating expenses to agreed upon levels for the Fund. After reviewing the information regarding the Robeco's costs and economies of scale, and after considering Robeco's services, the Directors concluded that the investment advisory fees to be paid by the Fund were fair and reasonable, and that the Advisory Agreement should be approved for an initial period ending August 16, 2012. SEMI-ANNUAL REPORT 2011 | 51 [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISERS Robeco Investment Management Inc. 909 Third Avenue, 32nd Floor New York, NY 10022 or Sustainable Asset Management USA, Inc. 909 Third Avenue, 32nd Floor New York, NY 10022 and Josefstrasse 218 CH-8005 Zurich, Switzerland ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Two Commerce Square 2001 Market Street, Suite 4000 Philadelphia, PA 19103 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 S1 FUND SEMIANNUAL REPORT FOR THE PERIOD ENDED FEBRUARY 28, 2011 (UNAUDITED) Dear Fellow Investors: We are pleased to enclose the first semiannual report from the S1 Fund for your information. The Simple Alternatives team would also like to take this opportunity to thank you for your support. We are grateful for the confidence you have placed in us since the Fund's inception. Our focus remains the same - to preserve and grow capital through hedged equity strategies packaged in a transparent, low-cost, easy-to-use mutual fund structure. Given the market volatility of the past few years, investors are increasingly looking for smart diversification and active risk management. We know that historically, hedged equity strategies have outperformed long equity exposure with lower risk, but these types of investments have traditionally been accessible only in a limited partnership structure and with high investment minimums and high fees - until now. At Simple Alternatives we have seen growing demand from advisers for multi-manager, hedged equity strategies available in an easier-to-use format. We are pleased that many of these advisers have selected the S1 Fund and we look forward to building on the strong start we have made. Again, thank you for your support and participation, and please contact me with any questions you might have. Best Regards, Jim Dilworth CEO & Founding Partner Simple Alternatives, LLC 1 S1 FUND PERFORMANCE DATA TOTAL RETURNS AS OF FEBRUARY 28, 2011 (UNAUDITED)
One Since Month Inception* ------ ---------- S1 Fund, I Shares 1.51% 0.80% S&P 500(R) Index** 3.43% 17.27%
---------------- * I Shares were offered beginning September 30, 2010. ** Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself. Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Call Simple Alternatives at 1-866-882-1226 for returns current to the most recent month-end. The Fund's total expense ratio per the most recent prospectus is 3.51%. The performance data reflects fee waivers and expense reimbursements. Performance would have been lower if these waivers and expense reimbursements were not in effect. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Fund is non-diversified and may focus its investments in the securities of a comparatively small number of issuers. Concentration in securities of a limited number of issuers exposes a fund to greater market risk and potential monetary losses than if its assets were diversified among the securities of a greater number of issuers. The Fund may invest in small- and medium-sized companies which involve greater risk than investing in larger, more established companies, such as increased volatility of earnings and prospects, higher failure rates, and limited markets, product lines or financial resources. The Fund may invest in foreign or emerging markets securities which involve special risks, including the volatility of currency exchange rates and, in some cases, limited geographic focus, political and economic instability, and relatively illiquid markets. The Fund may invest in debt securities which are subject to interest rate risk. An increase in interest rates typically causes a fall in the value of the debt securities in which the Fund may invest. The Fund may also invest in high yield, lower rated (junk) bonds which involve a greater degree of risk and price fluctuation than investment grade bonds in return for higher yield potential. The Fund's distressed debt strategy may involve a substantial degree of risk, including investments in sub-prime mortgage securities. The Fund may purchase securities of companies in initial public offerings. Special risks associated with these securities may include a limited number of shares available for trading, unseasoned trading, lack of investor knowledge of the company and limited operating history. The Fund may leverage transactions which include selling short as well as borrowing for other than temporary or emergency purposes. Leverage creates the risk of magnified capital losses. The Fund may also invest in derivatives which can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. The Fund may invest in options and futures which are subject to special risks and my not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potentially normally associated with stocks. Futures trading is very speculative, largely due to the traditional volatility of future prices. 2 S1 FUND FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested at the beginning of the period from September 30, 2010 (date of commencement of operations) through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. 3 S1 FUND FUND EXPENSE EXAMPLES (CONCLUDED) (UNAUDITED)
I SHARES ---------------------------------------------------------------------------------- ENDING ACCOUNT VALUE BEGINNING ACCOUNT VALUE* FEBRUARY 28, 2011 EXPENSES PAID DURING PERIOD ------------------------- --------------------- ---------------------------- Actual** $ 1,000.00 $ 1,008.00 $ 15.43 Hypothetical (5% return before expenses)*** 1,000.00 1,006.27 18.53
---------- * The Fund commenced operations on September 30, 2010. Beginning account value for the hypothetical is September 1, 2010. ** Expenses equal to an annualized expense ratio for the period September 30, 2010 to February 28, 2011 of 3.69% for the Fund, which includes waived feees, reimbursement and fees paid indirectly (including dividend and interest expense), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (152) then divided by 365 days. The Fund's ending account value on the first line in the table are based on the actual total return since inception for the Fund of 0.80%. *** Expenses (hypothetical expenses if the Fund had been in existence from September 1, 2010) are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by 365. 4 S1 FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET SECURITY TYPE/SECTOR CLASSIFICATION ASSETS VALUE ------------------------------------- ---------- ---------- COMMON STOCKS: Financials 11.0% $ 742,892 Real Estate Investment Trusts 10.4 703,638 Consumer Discretionary 5.3 357,025 Information Technology 3.4 230,493 Health Care 2.8 188,556 Industrials 2.5 169,751 Consumer Staples 1.8 126,311 Energy 1.3 87,087 Materials 0.9 59,732 Telecommunication Services 0.1 7,135 CORPORATE BOND 0.5 31,135 FOREIGN GOVERNMENT NOTE 0.2 10,468 EXCHANGE TRADED FUNDS 1.7 116,548 SHORT-TERM INVESTMENTS 14.8 999,909 PURCHASED OPTIONS 0.3 23,914 SECURITIES SOLD SHORT (18.3) (1,238,605) WRITTEN OPTIONS (0.1) (7,153) OTHER ASSETS IN EXCESS OF LIABILITIES 61.4 4,153,004 -------- ----------- NET ASSETS 100.00% $ 6,761,840 ======== ===========
--------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the Portfolio of Investments. 5 S1 FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- --------- COMMON STOCKS - 39.5% CONSUMER DISCRETIONARY - 5.3% AH Belo Corp., Class A*#......... 9,194 $ 66,105 Black Diamond, Inc. *.... ....... 3,507 23,742 Cabela's, Inc. *................. 140 3,798 Coinstar, Inc. *................. 140 5,975 Domino's Pizza, Inc. *........... 100 1,687 Gaylord Entertainment Co.*....... 700 25,221 Gentex Corp...................... 1,000 30,280 Global Traffic Network, Inc. *... 1,300 16,315 Heelys, Inc. *................... 7,128 19,673 Hot Topic, Inc. ................. 5,353 28,639 Kirkland's, Inc. *............... 2,215 33,845 Macy's, Inc. . .................. 170 4,063 Magna International, Inc.+....... 100 4,936 Marriott International, Inc., Class A........................ 650 25,486 Sonic Automotive, Inc., Class A........................ 1,800 25,884 Stage Stores, Inc. .............. 1,691 29,491 True Religion Apparel, Inc.*..... 500 11,885 -------- 357,025 -------- CONSUMER STAPLES-1.8% Avon Products, Inc. ............. 170 4,728 Bunge Ltd. ...................... 170 12,269 Chiquita Brands International, Inc.*............. 110 1,891 Dr Pepper Snapple Group, Inc. .......................... 250 9,015 Pantry, Inc. , (The)* ........... 1,420 22,379 Ralcorp Holdings, Inc.*.......... 470 30,479 Safeway, Inc. ................... 1,100 24,002 Sysco Corp. ..................... 180 5,002 Tyson Foods, Inc. , Class A...... 100 1,863 Viterra, Inc. (Canada).......... 350 4,287 Wal-Mart Stores, Inc. ........... 200 10,396 -------- 126,311 -------- ENERGY-1.3% Bowood Energy, Inc. (Canada)*...................... 4,080 2,226 BPZ Resources, Inc. *............ 530 3,445 Cheniere Energy, Inc. *.......... 180 1,868 Cloud Peak Energy, Inc. *........ 350 7,175 Frontline Ltd.+.................. 120 3,239 Gastar Exploration Ltd. *........ 11,605 $ 57,445 Petroamerica Oil Corp. (Canada)*...................... 7,590 3,398 Petrodorado Energy Ltd. (Canada)*...................... 5,140 2,804 Sasol Ltd.- Sponsored ADR........ 100 5,487 -------- 87,087 -------- FINANCIALS-11.0% Altisource Portfolio Solutions SA.*+........................... 2,611 78,826 American Assets Trust, Inc. *.... 1,350 29,106 CB Richard Ellis Group, Inc. , Class A*....................... 900 22,536 Chatham Lodging Trust............ 1,250 21,838 China Life Insurance Co. Ltd. - ADR ..................... 130 7,441 Citigroup, Inc. *................ 3,500 16,380 Forest City Enterprises, Inc. , Class A*....................... 3,635 68,702 Grubb & Ellis Co.*............... 1,900 2,090 Hammerson, PLC (United Kingdom)....................... 2,650 20,079 Heritage Financial Group, Inc. .......................... 1,000 13,210 Invesco Mortgage Capital, Inc. #......................... 2,900 67,686 Knight Capital Group, Inc., Class A*....................... 2,378 33,316 MF Global Holdings Ltd. *........ 2,900 25,143 OmniAmerican Bancorp, Inc. *#........................ 3,989 62,508 Ping An Insurance Group Co. of China Ltd., Class H (China)........................ 500 5,130 Popular, Inc. *+................. 7,000 22,750 Retail Opportunity Investments Corp. ............. 2,289 25,179 Safestore Holdings PLC (United Kingdom)............... 3,302 7,730 SEI Investments Co. ............. 460 10,585 SLM Corp.* ...................... 1,830 27,121 Synovus Financial Corp........... 350 893
The accompanying notes are an integral part of the Portfolio of Investments. 6 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- -------- FINANCIALS-(CONTINUED) Tetragon Financial Group Ltd. ........................ 11,321 $ 90,455 TradeStation Group, Inc.*...... 3,756 25,278 Uranium Participation Corp. ... (Canada)* .................... 90 837 ViewPoint Financial Group...... 4,373 58,073 -------- 742,892 -------- HEALTH CARE-28% Align Technology, Inc. *....... 140 2,919 Brookdale Senior Living, Inc. *....................... 625 16,806 Cubist Pharmaceuticals, Inc. *....................... 1,500 32,895 Elan Corp., PLC - Sponsored ADR*......................... 90 572 Emeritus Corp.*................ 958 22,542 Endo Pharmaceuticals Holdings, Inc. *............. 210 7,459 Health Net, Inc. *............. 80 2,354 Integramed America, Inc. *..... 1,300 13,208 Johnson & Johnson.............. 85 5,222 Kindred Healthcare, Inc. *..... 170 4,236 Masimo Corp.................... 630 18,988 Medtronic, Inc. ............... 680 27,146 Raptor Pharmaceutical Corp.*....................... 1,200 4,308 Tenet Healthcare Corp.*........ 2,420 17,376 Teva Pharmaceutical Industries Ltd.- Sponsored ADR.......................... 250 12,525 -------- 188,556 -------- INDUSTRIALS-25% Acacia Research - Acacia Technologies*................ 600 17,592 Aircastle Ltd. ................ 2,525 30,502 American Superconductor Corp.*....................... 240 6,365 Canadian Pacific Railway Ltd. ........................ 80 5,438 Carlisle Cos, Inc. ............ 210 9,032 Cintas Corp. .................. 250 7,030 Cooper Industries PLC.......... 50 3,217 Cummins, Inc. ................. 50 5,056 Danaher Corp. ................. 100 $ 5,060 Deere & Co. ................... 20 1,803 Diana Shipping, Inc. *+........ 460 5,732 DigitalGlobe, Inc. *........... 390 12,589 Donaldson Co, Inc. ............ 60 3,378 Genco Shipping & Trading Ltd.* ....................... 180 2,185 GrafTech International Ltd.*... 70 1,401 II-VI, Inc. *.................. 70 3,583 Kennametal, Inc. .............. 180 6,923 Norfolk Southern Corp. ........ 52 3,410 Pitney Bowes, Inc. ............ 100 2,518 Republic Services, Inc. ....... 40 1,184 Ryder System, Inc. ............ 90 4,305 Snap-On, Inc. ................. 70 4,020 Southwest Airlines Co. ........ 900 10,647 Tata Motors Ltd - Sponsored ADR.......................... 380 9,356 Terex Corp.*................... 220 7,425 -------- 169,751 -------- INFORMATION TECHNOLOGY -34% Advanced Micro Devices, Inc. *....................... 1,910 17,591 Applied Micro Circuits Corp.*....................... 210 2,205 Atmel Corp.* .................. 240 3,523 AU Optronics Corp. - Sponsored ADR*............... 500 4,490 Cisco Systems, Inc. *.......... 1,520 28,211 DG Fastchannel, Inc. * ........ 200 6,622 Hewlett-Packard Co. ........... 200 8,726 Ingram Micro, Inc. , Class A*.. 1,310 26,108 Insight Enterprises, Inc. *.... 100 1,829 IntraLinks Holdings, Inc. *.... 90 2,537 IPG Photonics Corp.*........... 60 3,415 KIT Digital, Inc. * ........... 490 6,375 Kulicke & Soffa Industries, Inc. *....................... 1,848 17,722 Limelight Networks, Inc. *..... 1,000 6,950 LoopNet, Inc. *................ 20 238 Microsoft Corp.# .............. 1,562 41,518 OCZ Tech Group, Inc. *......... 493 3,712 On Track Innovations Ltd.*+.... 1,200 3,480
The accompanying notes are an integral part of the Portfolio of Investments. 7 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ---------- INFORMATION TECHNOLOGY-(CONTINUED) Research In Motion Ltd.* ........................ 100 $ 6,614 Sanmina-SCI Corp.* .............................. 110 1,718 SMART Modular Technologies WWH, Inc.* ........... 4,006 27,762 Teradata Corp.* ................................. 70 3,347 WebMD Health Corp.* ............................. 100 5,800 ---------- 230,493 ---------- MATERIALS-0.9% Argentex Mining Corp. (Canada)* ................. 510 546 Ball Corp ....................................... 150 5,415 Calgon Carbon Corp.* ............................ 40 562 Celanese Corp., Series A ........................ 30 1,243 Cia Siderurgica Nacional S.A. - Sponsored ADR ... 120 1,952 Cliffs Natural Resources, Inc ................... 70 6,795 FMC Corp ........................................ 30 2,323 Headwaters, Inc.* ............................... 900 4,563 Innospec, Inc.* ................................. 52 1,394 International Paper Co .......................... 150 4,167 Lubrizol Corp ................................... 60 6,532 Oremex Resources, Inc. (Canada)* ................ 2,900 791 POSCO - ADR ..................................... 100 10,308 Puda Coal, Inc.* ................................ 490 5,709 RTI International Metals, Inc.* ................. 120 3,420 Sterlite Industries India Ltd. - ADR ............ 100 1,474 West Fraser Timber Co., Ltd ..................... 20 930 Zoltek Cos., Inc.* .............................. 110 1,608 ---------- 59,732 ---------- REAL ESTATE INVESTMENT TRUSTS-10.4% Alexandria Real Estate Equities, Inc ........... 300 24,060 American Campus Communities, Inc ................ 1,865 62,328 Ashford Hospitality Trust, Inc.* ................ 780 8,042 Associated Estates Realty Corp ................. 1,350 21,938 BioMed Realty Trust, Inc ........................ 1,200 21,780 Boardwalk Real Estate Investment Trust (Canada)....................................... 250 $ 11,757 Boston Properties, Inc .......................... 350 33,572 Calloway Real Estate Investment Trust (Canada)... 400 10,206 Camden Property Trust ........................... 850 50,294 Cedar Shopping Centers, Inc ..................... 800 4,848 DCT Industrial Trust, Inc ....................... 3,700 20,794 Developers Diversified Realty Corp ............. 3,133 44,802 Equity Lifestyle Properties, Inc ................ 1,076 62,451 Extra Space Storage, Inc ........................ 950 18,763 Glimcher Realty Trust ........................... 923 8,492 Hersha Hospitality Trust ........................ 2,711 17,811 Nationwide Health Properties, Inc .............. 550 23,507 PennyMac Mortgage Investment Trust#.............. 3,100 58,435 Post Properties, Inc ............................ 650 25,350 Ramco-Gershenson Properties Trust................ 2,524 34,099 RioCan Real Estate Investment Trust (Canada)..... 400 9,972 Segro, PLC (United Kingdom)...................... 1,500 7,852 Simon Property Group, Inc ....................... 350 38,514 Sunstone Hotel Investors, Inc.*.................. 2,170 23,306 Vornado Realty Trust ............................ 650 60,665 ---------- 703,638 ---------- TELECOMMUNICATION SERVICES-0.1% China Mobile Ltd. - ADR ......................... 100 4,727 Neutral Tandem, Inc.* ........................... 140 2,408 ---------- 7,135 ---------- TOTAL COMMON STOCKS (Cost $2,527,152)............................ 2,672,620 ----------
The accompanying notes are an integral part of the Portfolio of Investments. 8 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
PAR (000'S) VALUE ------- ------- CORPORATE BOND - 0.5% FINANCIAL-0.5% Ally Financial, Inc. 6.625% 05/15/12 ......................... $ 30 $ 31,135 -------- TOTAL CORPORATE BOND (Cost$31,154)....... 31,135 -------- FOREIGN GOVERNMENT NOTE - 0.2% Canadian Government Bond 3.000% 12/01/15... CAD 10 10,468 -------- TOTAL FOREIGN GOVERNMENT NOTE (Cost $10,396)........................... 10,468 --------
NUMBER OF SHARES ---------- EXCHANGE TRADED FUNDS - 1.7% FINANCIALS -1.7% Industrial Select Sector SPDR Fund 30 1,110 iShares Barclays 20+ Year Treasury Bond Fund ........ 20 1,848 iShares FTSE NAREIT Mortgage Plus Capped Index Fund# ....................................... 6,282 100,701 ProShares Ultrashort S&P500* ........................ 110 2,320 ProShares UltraShort Silver* . ...................... 138 4,221 ProShares UltraShort Yen* ........................... 140 2,216 SPDR Gold Shares* ................................... 30 4,132 -------- 116,548 -------- TOTAL EXCHANGE TRADED FUNDS (Cost $110,418) ................................ 116,548 --------
PAR (000'S) VALUE ------- -------- SHORT-TERM INVESTMENTS - 14.8% U.S. TREASURY BILLS-14.8% 0.124% 04/14/11 ..................... $ 200 $199,979 0.140% 03/17/11# .................... 300 299,982 0.140% 04/14/11# .................... 500 499,948 -------- 999,909 -------- TOTAL SHORT-TERM INVESTMENTS (Cost $999,866) ................... 999,909 --------
NUMBER OF CONTRACTS ------------ PURCHASED OPTIONS - 0.3% CALL OPTIONS PURCHASED - 0.0% DryShips, Inc. Expires 03/19/11 Strike Price $5 ........................... 1 16 Eagle Bulk Shipping, Inc. Expires 03/19/11 Strike Price $4.50......................... 1 5 ------- TOTAL CALL OPTIONS PURCHASED (Cost $51)................................. 21 ------- PUT OPTIONS PURCHASED-0.3% Calumet Specialty Products Partners, LP Expires 03/19/11 Strike Price $25........................... 1 390 China Green Agriculture, Inc. Expires 03/19/11 Strike Price $9............................ 13 1,690 China Integrated, Inc. Expires 03/19/11 Strike Price $7.50......................... 11 1,568 China MediaExpress Holdings, Inc. Expires 03/19/11 Strike Price $10........................... 18 1,710 China MediaExpress Holdings, Inc. Expires 03/19/11 Strike Price $12.50........................ 6 990
The accompanying notes are an integral part of the Portfolio of Investments. 9 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF CONTRACTS VALUE ------------ ---------- PUT OPTIONS PURCHASED - (CONTINUED) China Valves Technology, Inc. Expires 03/19/11 Strike Price $10 ................................ 13 $ 5,135 CurrencyShares Australian Dollar Trust Expires 03/19/11 Strike Price $85................................. 200 3,000 CurrencyShares Canadian Dollar Trust Expires 03/19/11 Strike Price $90................................. 100 1,000 CurrencyShares Japanese Yen Trust Expires 03/19/11 Strike Price $102................................ 200 2,000 Harbin Electric, Inc. Expires 03/19/11 Strike Price $17.50.............................. 11 660 iShares Barclays 20+ Year Treasury Bond Fund Expires 06/18/11 Strike Price $85................................. 12 1,128 iShares Dow Jones U.S. Real Estate Index Fund Expires 03/19/11 Strike Price $47................................. 100 350 iShares Dow Jones U.S. Real Estate Index Fund Expires 03/19/11 Strike Price $57................................. 31 682 L&L Energy, Inc. Expires 03/19/11 Strike Price $10................................. 7 1,820 SPDR S&P 500 ETF Trust Expires 03/19/11 Strike Price $100................................ 100 300 Wonder Auto Technology, Inc. Expires 04/16/11 Strike Price $7.50............................... 14 1,470 ---------- TOTAL PUT OPTIONS PURCHASED (Cost $29,520) 23,893 ---------- TOTAL PURCHASED OPTIONS - 0.3% (Cost $29,571) .................................... $ 23,914 ---------- TOTAL LONG POSITIONS - 57.0% (Cost $3,708,557) ................................. 3,854,594 ----------
NUMBER OF SHARES --------- SECURITIES SOLD SHORT - (16.4)% COMMON STOCKS - (16.4)% CONSUMER DISCRETIONARY -(2.3)% Blue Nile, Inc.* ...................... (537) (30,706) Bob Evans Farms, Inc................... (70) (2,194) BorgWarner, Inc.* ..................... (80) (6,209) China MediaExpress Holdings, Inc.+*.... (1,253) (17,680) Garmin Ltd.+........................... (651) (22,101) Home Depot, Inc........................ (418) (15,662) Magna International, Inc.+............. (70) (3,455) MarineMax, Inc.* ...................... (1,524) (13,762) Tesla Motors, Inc.* ................... (600) (14,334) VF Corp................................ (175) (16,742) Winnebago Industries, Inc.* ........... (800) (11,568) -------- (154,413) -------- CONSUMER STAPLES-(0.5)% Cal-Maine Foods, Inc................... (210) (6,063) China Sky One Medical, Inc.* .......... (2,116) (9,945) China-Biotics, Inc.* .................. (1,300) (15,184) Universal Corp......................... (60) (2,509) -------- (33,701) -------- ENERGY-(0.4)% Berry Petroleum Co., Class A .......... (160) (8,318) Cameron International Corp.* ......... (80) (4,730) Connacher Oil and Gas Ltd. (Canada)*... (970) (1,597) Crescent Point Energy Corp. (Crescent) (110) (5,319) Magnum Hunter Resources Corp.* ........ (350) (2,506)
The accompanying notes are an integral part of the Portfolio of Investments. 10 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE ENERGY - (CONTINUED) Peabody Energy Corp............. (90) $ (5,894) ---------- (28,364) ---------- FINANCIALS-(3.2)% Brookfield Properties Corp...... (2,700) (47,331) Cohen & Steers, Inc............. (554) (16,177) CVB Financial Corp.............. (1,879) (15,708) Eaton Vance Corp................ (470) (14,711) First American Financial Corp............................ (770) (12,135) Greenhill & Co., Inc............ (272) (19,538) Howard Hughes Corp., (The)* .... (400) (23,108) Janus Capital Group, Inc........ (1,100) (14,773) KBW, Inc........................ (529) (13,537) Lazard Ltd., Class A+........... (340) (14,960) Manulife Financial Corp.+....... (350) (6,612) Netspend Holdings, Inc.* ....... (1,070) (14,028) Weyerhaeuser Co................. (180) (4,394) ---------- (217,012) ---------- HEALTH CARE-(0.5)% Ariad Pharmaceuticals, Inc.* . (350) (2,103) Arqule, Inc.* .................. (170) (1,083) Covance, Inc.* ................. (70) (3,950) Dendreon Corp.* ................ (300) (10,077) Depomed, Inc.* ................. (690) (5,789) Neurocrine Biosciences, Inc.* . (210) (1,418) NuVasive, Inc.* ................ (150) (4,010) Omnicare, Inc................... (80) (2,290) Seattle Genetics, Inc.* ........ (190) (2,822) St. Jude Medical, Inc.* ........ (50) (2,394) ---------- (35,936) ---------- INDUSTRIALS-(0.8)% AG Growth International, Inc.+........................... (30) (1,656) Canadian National Railway Co.+............................ (80) (5,862) Caterpillar, Inc................ (70) (7,205) Harbin Electric, Inc.*+......... (719) (13,647) Hubbell, Inc., Class B ......... (50) (3,375) Joy Global, Inc................. (23) (2,240) Kirby Corp.* ................... (63) (3,486) Pall Corp.................... (60) $ (3,262) Trex Co., Inc.* ............. (490) (14,676) Waste Connections, Inc....... (50) (1,450) --------- (56,859) --------- INFORMATION TECHNOLOGY -(1.4)% Broadridge Financial Solutions, Inc............... (685) (15,700) LAM Research Corp.* ......... (336) (18,446) Manhattan Associates, Inc.* . (100) (3,220) Meru Networks, Inc.* ........ (995) (21,253) Research In Motion Ltd.* .... (327) (21,628) Skyworks Solutions, Inc.* ... (170) (6,110) TriQuint Semiconductor, Inc.* ....................... (350) (4,988) ---------- (91,345) ---------- MATERIALS-(0.5)% Canfor Corp.* ............... (90) (1,079) Crown Holdings, Inc.* ....... (150) (5,772) Horsehead Holding Corp.* . (124) (2,051) Reliance Steel & Aluminum Co........................... (80) (4,426) STR Holdings, Inc.* ......... (529) (9,580) Taseko Mines Ltd.* +......... (120) (757) Yongye International, Inc.* + (1,587) (12,014) ---------- (35,679) ---------- REAL ESTATE INVESTMENT TRUSTS-(6.6)% Acadia Realty Trust ......... (1,352) (26,770) BRE Properties, Inc.......... (650) (30,881) CBL & Associates Properties, Inc.......................... (550) (9,817) Chimera Investment Corp...... (5,300) (22,843) EastGroup Properties, Inc.... (350) (15,935) Equity Residential .......... (500) (27,555) Essex Property Trust, Inc.... (250) (30,945) Host Hotels & Resorts, Inc... (1,700) (31,280) Kimco Realty Corp............ (1,900) (36,822) Liberty Property Trust ...... (1,150) (38,835) Mack-Cali Realty Corp........ (750) (25,455) Medical Properties Trust, Inc.......................... (1,950) (22,874)
The accompanying notes are an integral part of the Portfolio of Investments. 11 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF SHARES VALUE --------- ------------ REAL ESTATE INVESTMENT TRUSTS-(CONTINUED) National Health Investors, Inc ..................................... (550) $ (26,136) Redwood Trust, Inc ...................... (475) (7,781) Regency Centers Corp .................... (300) (13,575) Taubman Centers, Inc .................... (350) (19,418) Ventas, Inc ............................. (350) (19,397) Weingarten Realty Investors . (1,600) (41,392) ------------ (447,711) ------------ UTILITIES-(0.2)% China Natural Gas, Inc.*+................ (2,116) (11,088) ------------ TOTAL COMMON STOCKS SOLD SHORT (Proceeds $1,081,089) (1,112,108) ------------ EXCHANGE TRADED FUNDS SOLD SHORT- (1.9)% FINANCIALS-(1.9)% iShares Russell 2000 Index Fund .................................... (700) (57,589) iShares S&P/TSX Capped Energy Fund (Canada) .................... (870) (20,390) iShares Silver Trust* ................... (340) (11,261) Market Vectors Junior Gold Miners ETF .............................. (259) (9,972) Retail HOLDRs Trust ..................... (20) (2,130) SPDR S&P Oil & Gas Exploration & Production ETF ..................................... (320) (19,741) SPDR S&P Retail ETF ..................... (110) (5,414) ------------ (126,497) ------------ TOTAL EXCHANGE TRADED FUNDS SOLD SHORT (Proceeds $121,601) (126,497) ------------ TOTAL SECURITIES SOLD SHORT- (18.3)% (Proceeds $1,202,690) (1,238,605) ------------
NUMBER OF CONTRACTS ------------ WRITTEN OPTIONS- (0.1)% CALL OPTIONS WRITTEN-(0.1)% C.H. Robinson Worldwide, Inc. Expires 05/21/11 Strike Price $80 ............. (1) $ (60) Caterpillar, Inc. Expires 05/21/11 Strike Price $110 ............ (1) (241) China Green Agriculture, Inc. Expires 03/19/11 Strike Price $11 ............. (13) (130) China Green Agriculture, Inc. Expires 03/19/11 Strike Price $9 .............. (13) (130) China Integrated, Inc. Expires 03/19/11 Strike Price $10 ............. (11) (110) China Integrated, Inc. Expires 03/19/11 Strike Price $7.50 ........... (11) (110) China MediaExpress Holdings, Inc. Expires 03/19/11 Strike Price $12.50 .......... (13) (3,250) China MediaExpress Holdings, Inc. Expires 03/19/11 Strike Price $17.50 .......... (6) (300) China Valves Technology, Inc. Expires 03/19/11 Strike Price $10 ............. (13) (65) China Valves Technology, Inc. Expires 03/19/11 Strike Price $12.50 .......... (13) (65) Emerson Electric Co. Expires 06/18/11 Strike Price $65 ............. (1) (90) L&L Energy, Inc. Expires 03/19/11 Strike Price $10 ............. (7) (35)
The accompanying notes are an integral part of the Portfolio of Investments. 12 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
NUMBER OF CONTRACTS VALUE --------- ---------- CALL OPTIONS WRITTEN-( CONTINUED) L&L Energy, Inc. Expires 03/19/11 Strike Price $15 ................ (7) $ (35) Medco Health Solutions, Inc. Expires 03/19/11 Strike Price $65 ................ (2) (60) Wonder Auto Technology, Inc. Expires 04/16/11 Strike Price $10 ................ (14) (70) ---------- TOTAL CALL OPTIONS WRITTEN (Premiums Received $17,815)....... (4,751) ---------- PUT OPTIONS WRITTEN-0.0% Abercrombie & Fitch Co. Expires 03/19/11 Strike Price $55 ................ (1) (117) Con-way, Inc. Expires 06/18/11 Strike Price $25 ................ (1) (38) Cuming, Inc. Expires 03/19/11 Strike Price $105 ............... (1) (560) Equinix, Inc. Expires 03/19/11 Strike Price $80 ................ (1) (80) FedEx Corp. Expires 04/16/11 Strike Price $80 ................ (1) (94) GlaxoSmithKline PLC Expires 08/20/11 Strike Price $33 ................ (2) (130) iShares Dow Jones U.S. Real Estate Index Fund Expires 03/19/11 Strike Price $54 ................ (30) (285) PACCAR, Inc. Expires 05/21/11 Strike Price $42.70 ............. (2) (150) Procter & Gamble Co., (The) Expires 07/16/11 Strike Price $55 ................ (1) (60) PUT OPTIONS WRITTEN-(CONTINUED) ResMed, Inc. Expires 07/16/11 Strike Price $25 ................ (1) $ (60) Rovi Corp. Expires 03/19/11 Strike Price $55 ................ (1) (255) Rovi Corp. Expires 07/16/11 Strike Price $45 ................ (1) (150) Sherwin-Williams Co., (The) Expires 04/16/11 Strike Price $75 ................ (1) (67) Southwestern Energy Co. Expires 06/18/11 Strike Price $32 ................ (1) (56) Target Corp. Expires 04/16/11 Strike Price $50 ................ (1) (73) Thor Industries, Inc. Expires 06/18/11 Strike Price $30 ................ (1) (142) Thoratec Corp. Expires 03/19/11 Strike Price $25 ................ (1) (20) VMware, Inc. Expires 04/16/11 Strike Price $70 ................ (1) (65) ---------- TOTAL PUT OPTIONS WRITTEN (Premiums Received $3,514)....... (2,402) ---------- TOTAL WRITTEN OPTIONS- (0.1)% (Proceeds $21,329)............... (7,153) ---------- OTHER ASSETS IN EXCESS OF LIABILITIES- 61.4% .............. 4,153,004 ---------- NET ASSETS- 100.0%............... $6,761,840 ==========
The accompanying notes are an integral part of the Portfolio of Investments. 13 S1 FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) ---------- ADR American Depositary Receipt * Non-income producing. CAD Canadian dollar + This company is domiciled outside of the United ETF Exchange-traded fund States. The security's functional currency is the United States dollar. PLC Public limited company # Security position is either entirely or partially held in SPDR Standard & Poor's depositary receipt a segregated account as collateral for securities sold short.
The following is a summary of inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (see Notes to Portfolio of Investments):
LEVEL 2 LEVEL 3 TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ------------------------------------------------------------------------------------------------------ Common Stocks++ $ 2,672,620 $2,672,620 $ -- $ -- Corporate Bond 31,135 -- 31,135 -- Foreign Government Note 10,468 -- 10,468 -- Exchange Traded Funds 116,548 116,548 -- -- Short-Term Investments 999,909 -- 999,909 -- Asset Derivatives Equity Contracts 16,786 -- 16,786 -- Foreign Exchange Contracts 6,000 6,000 -- -- Interest Rate Contracts 1,128 -- 1,128 -- ------------------------------------------------------------------------------------------------------ Total Assets $ 3,854,594 $2,795,168 $ 1,059,426 $ -- ======================================================================================================
LEVEL 2 LEVEL 3 TOTAL FAIR LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ------------------------------------------------------------------------------------------------------ Securities Sold Short++ $ (1,112,108) $(1,112,108) $ -- $ -- Exchange Traded Funds Sold Short (126,497) (126,497) -- -- Liability Derivatives Equity Contracts (7,153) (779) (6,374) -- ------------------------------------------------------------------------------------------------------ Total Liabilities $ (1,245,758) $(1,239,384) $ (6,374) $ -- ======================================================================================================
++ see Portfolio of Investments for security type breakout. The accompanying notes are an integral part of the Portfolio of Investments. 14 S1 FUND STATEMENT OF ASSETS AND LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (cost $3,708,557) .................................. $3,854,594 Cash ..................................................................... 2,037,726 Deposits with brokers for securities sold short .......................... 1,141,875 Receivables for: Investment Advisor .................................................... 12,024 Investments sold ...................................................... 603,560 Capital shares sold ................................................... 1,100,000 Dividends and interest ................................................ 2,169 Prepaid expenses and other assets ........................................ 9,343 ---------- Total assets ....................................................... 8,761,291 ---------- LIABILITIES Securities sold short, at fair value (proceeds $1,202,690) ............... $1,238,605 Options written, at fair value (premiums received $21,329) ............... 7,153 Foreign currency (cost $33,937) .......................................... 35,225 Payables for: Investments purchased ................................................. 684,186 Capital shares redeemed ............................................... 40 Dividends on securities sold short .................................... 827 Due to prime broker ................................................... 2,683 Other accrued expenses and liabilities ................................... 30,732 ---------- Total liabilities .................................................. 1,999,451 ---------- Net Assets ............................................................... $6,761,840 ========== NET ASSETS CONSIST OF Capital stock, $0.001 par value .......................................... $ 671 Paid-in capital .......................................................... 6,662,943 Accumulated net investment loss .......................................... (38,668) Accumulated net realized gain from investments ........................... 13,884 Net unrealized appreciation on investments ............................... 123,010 ---------- Net assets ............................................................... $6,761,840 ========== ISHARES Net assets ............................................................... $6,761,840 ---------- Shares outstanding ($0.001 par value, 100,000,000 shares authorized) ..... 670,855 ---------- Net asset value, offering and redemption price per share ................. $ 10.08 ==========
The accompanying notes are an integral part of the financial statements. 15 S1 FUND STATEMENT OF OPERATIONS FOR THE PERIOD ENDED FEBRUARY 28, 2011(1) (UNAUDITED) INVESTMENT INCOME Dividends (net of foreign withholding taxes of $54)....... $ 8,294 Interest.................................................. 1,252 -------- Total investment income.................................. 9,546 -------- EXPENSES Advisory fees (Note 2).................................... 35,729 Administration and accounting fees........................ 15,252 Transfer agent fees....................................... 10,283 Legal fees................................................ 9,269 Printing and shareholder reporting fees................... 8,130 Audit fees................................................ 7,113 Custodian fees............................................ 5,580 Chief compliance officer fees ............................ 3,447 Directors' and officers' fees............................. 3,048 Dividend expense on securities sold short................. 4,633 Prime broker interest expense............................. 5,062 Other expenses............................................ 1,758 -------- Total expenses before waivers and reimbursements......... 109,304 Less: waivers and reimbursements (Note 2)................ (61,090) -------- Net expenses after waivers and reimbursements............. 48,214 -------- Net investment loss....................................... (38,668) -------- Net realized gain/(loss) from: Investments.............................................. 31,333 Investments sold short................................... (18,784) Foreign currency transactions............................ 645 Written options.......................................... 690 Net change in unrealized appreciation/(depreciation) on: Investments.............................................. 146,037 Investments sold short................................... (35,915) Foreign currency translation............................. (1,288) Written options.......................................... 14,176 -------- Net realized and unrealized gain from investments......... 136,894 -------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS....... $ 98,226 ========
---------- (1) The Fund commenced investment operations on September 30, 2010. The accompanying notes are an integral part of the financial statements. 16 S1 FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED FEBRUARY 28, 2011 (UNAUDITED)(1) ------------------ INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment loss.............................................. $ (38,668) Net realized gain from investments............................... 13,884 Net change in unrealized appreciation on investments.............. 123,010 ----------- Net increase in net assets resulting from operations............. 98,226 ----------- INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM CAPITAL TRANSACTIONS: Proceeds from shares sold........................................ 6,850,615 Distributions for shares redeemed................................ (187,001) ----------- Net increase in net assets from capital share transactions........ 6,663,614 ----------- Total increase in net assets...................................... 6,761,840 ----------- NET ASSETS Beginning of period ............................................. -- ----------- End of period.................................................... $ 6,761,840 =========== Undistributed net investment loss, end of period................. $ (38,668) =========== SHARE TRANSACTIONS: Shares sold...................................................... 689,771 Shares redeemed.................................................. (18,916) ----------- Net increase in share transactions................................ 670,855 -----------
---------- (1) The Fund commenced investment operations on September 30, 2010. The accompanying notes are an integral part of the financial statements. 17 S1 FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. This information has been derived from information provided in the financial statements.
I SHARES ---------------------- FOR THE PERIOD SEPTEMBER 30, 2010 TO FEBRUARY 28, 2011 (UNAUDITED)(1) ---------------------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period........................................ $ 10.00 ---------- Net investment loss......................................................... (0.12)(2) Net realized and unrealized gain from investments .......................... 0.20 ---------- Net increase in net assets resulting from operations........................ 0.08 ---------- Net asset value, end of period.............................................. $ 10.08 ========== Total investment return..................................................... 0.80%(3) ========== RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted)................................... $ 6,762 Ratio of expenses to average net assets..................................... with waivers, reimbursements and fees paid indirectly (including dividend and interest expense)............ 3.69%(4) Ratio of expenses to average net assets with waivers, reimbursements and fees paid indirectly (excluding dividend and interest expense)............ 2.95%(4) Ratio of expenses to average net assets without waivers, reimbursements and fees paid indirectly (including dividend and interest expense)............ 8.37%(4) Ratio of net investment loss to average net assets.......................... (2.97)%(4) Portfolio turnover rate..................................................... 370.19%(5)
---------- (1) The Fund commenced investment operations on September 30, 2010. (2) Calculated based on average shares outstanding for the period. (3) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (4) Annualized. (5) Not annualized. The accompanying notes are an integral part of the financial statements. 18 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the "Investment Company Act") as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the S1 Fund (the "Fund"), which commenced investment operations on September 30, 2010. As of the date hereof, the Fund offers two classes of shares, I Shares and R Shares. As of February 28, 2011, Class R Shares have not been issued. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION - The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. As of February 28, 2011 there were no fair valued securities. FAIR VALUE MEASUREMENTS - The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 - unadjusted quoted prices in active markets for identical securities - Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) 19 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) - Level 3 - significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is included with the Fund's Portfolio of Investments. DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES - The Fund has adopted Disclosures about Derivative Instruments and Hedging Activities. The following is a summary of the location of derivatives on the Fund's Statements of Assets and Liabilities as of February 28, 2011:
LOCATION ON THE STATEMENT OF ASSETS AND LIABILITIES -------------------------------------------------------------------------------------------- DERIVATIVE INVESTMENTS TYPE ASSET DERIVATIVES LIABILITY DERIVATIVES -------------------------------------------------------------------------------------------- Equity contracts Investments, at value Oustanding options written, at value -------------------------------------------------------------------------------------------- Interest rate contracts Investments, at value -------------------------------------------------------------------------------------------- Foreign exchange contracts Investments, at value --------------------------------------------------------------------------------------------
The following is a summary of the Fund's derivative instrument holdings categorized by primary risk exposure as of February 28, 2011:
ASSET DERIVATIVE INVESTMENTS VALUE --------------------------------------------------------------------------------------------- INTEREST FOREIGN TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER 02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS -------------- ---------------- ---------- ----------- ----------- ------------- $23,914 $16,786 $1,128 $- $6,000 $-
20 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED)
LIABILITY DERIVATIVE INVESTMENTS VALUE -------------------------------------------------------------------------------------- INTEREST FOREIGN TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER 02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS -------------- ---------------- --------- --------- --------- --------- $ 7,153 $ 7,153 $ -- $ -- $ -- $ --
The following is a summary of the location of derivative investments on the Fund's Statements of Operations as of February 28, 2011:
TYPE LOCATION OF GAIN (LOSS) ON DERIVATIVES DERIVATIVE INVESTMENTS TYPE RECOGNIZED IN THE STATEMENTS OF OPERATIONS -------------------------------------------------------------------------------------------------- Equity contracts Net realized gain (loss) from investments Net realized gain (loss) from written options Net change in unrealized appreciation (depreciation) on investments Net change in unrealized appreciation (depreciation) on written options -------------------------------------------------------------------------------------------------- Interest rate contracts Net realized gain (loss) on investments Change in net unrealized appreciation (depreciation) on investments -------------------------------------------------------------------------------------------------- Foreign exchange contracts Net realized gain (loss) from investments Net change in unrealized appreciation (depreciation) on investments
The following is a summary of the Fund's realized gain or loss and change in unrealized appreciation or depreciation on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the period ended February 28, 2011:
REALIZED GAIN (LOSS) ON DERIVATIVE INVESTMENTS RECOGNIZED IN THE STATEMENT OF OPERATIONS ------------------------------------------------------------------------------------------ INTEREST FOREIGN TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER 02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS -------------- ---------------- --------- --------- --------- --------- $ (5,473) $ (5,473) $ -- $ -- $ -- $ --
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVE INVESTMENTS RECOGNIZED IN THE STATEMENT OF OPERATIONS -------------------------------------------------------------------------------------------- INTEREST FOREIGN TOTAL VALUE AT RATE CREDIT EXCHANGE OTHER 02/28/11 EQUITY CONTRACTS CONTRACTS CONTRACTS CONTRACTS CONTRACTS -------------- ---------------- --------- --------- --------- --------- $ 7,231 $ 12,182 $ (1,413) $ -- $ (3,538) $ --
21 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) For the period ended February 28, 2011, the Fund's average volume of derivative is as follow:
PURCHASED WRITTEN OPTIONS OPTIONS (COST) (PROCEEDS) --------- ---------- $ 14,786 $ 10,665
USE OF ESTIMATES -- The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. The Fund's investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that 22 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. FOREIGN CURRENCY TRANSLATION -- The books and records of the Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rate prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resulting exchange gains and losses are included in the Statement of Operations. FOREIGN SECURITIES -- There are certain risks resulting from investing in foreign securities in addition to the usual risks inherent in domestic investments. Such risks include political, economic and currency exchange developments, including investment restrictions and changes in foreign laws. PURCHASED OPTIONS -- The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund purchases option contracts. This transaction is used to hedge against changes in interest rates and changes in the values of equities. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. OPTIONS WRITTEN -- The Fund is subject to equity price risk in the normal course of pursuing its investment objectives and may enter into options written to hedge against changes in the value of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are recorded as liabilities to the extent of premiums received. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received or paid. 23 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) The Fund had transactions in options written during the period ended February 28, 2011 as follows:
NUMBER OF PREMIUMS CONTRACTS RECEIVED --------- --------- Options outstanding at September 30, 2010 -- $ -- Options written 227 37,327 Options closed (25) (9,932) Options expired (7) (704) Options exercised (20) (5,362) --------- --------- Options outstanding at February 28, 2011 (175) $ 21,329 ========= =========
SHORT SALES -- When the investment adviser or a sub-adviser believes that a security is overvalued, the Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. The Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. The Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund's gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, the Fund may not receive any payments (including interest) on collateral deposited with them. In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Fund records these prime broker charges on a net basis as interest income or interest expense. For the period ended February 28, 2011, the Fund had net charges of $5,062 on borrowed securities. Such amounts are included in prime broker interest expense on the statement of operations. As of February 28, 2011, the Fund had securities sold short valued at $1,238,605 for which securities of $697,821 and cash deposits of $679,964 were pledged as collateral. In accordance with the Special Custody and Pledge Agreement with Goldman Sachs & Co. ("Goldman Sachs") (the Fund's prime broker), the Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread. 24 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) The Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the period ended February 28, 2011:
AVERAGE DAILY WEIGHTED AVERAGE DAYS UTILIZED BORROWINGS INTEREST RATE ------------- ------------- ---------------- 52 $ 8,519 1.40%
As of February 28, 2011, the Fund had borrowings of $2,238. Interest expense for the period ended February 28, 2011 totaled $17. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Simple Alternatives, LLC ("Simple Alternatives" or the "Adviser") serves as the Fund's investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 2.75% of the Fund's average daily net assets. The Adviser has contractually agreed to limit the Fund's total operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes) through October 2, 2011 to the extent that such expenses exceed 2.95% of the average daily net assets of the Fund's I Shares and 3.20% of the average daily net assets of the Fund's R Shares, respectively. As necessary, this limitation is effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee. If at any time during the first three years the Fund's Advisory Agreement with the Adviser is in effect, the Fund's Total Annual Fund Operating Expenses for that year are less than 2.95% or 3.20%, as applicable, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund during such three-year period if such reimbursement by the Fund does not cause the Fund to exceed existing expense limitations. For the period ended February 28, 2011, investment advisory fees accrued and waived were $35,729 and expenses reimbursed or to be reimbursed by the Adviser were $25,361. At February 28, 2011, the amount of potential recovery by the Advisor was as follows: EXPIRATION AUGUST 31, 2014 --------------- $ 61,090 Simple Alternatives has currently retained the services of Blue Lion Capital Management, LLC; Starwood Real Estate Securities, LLC; Lauren Templeton Capital Management, LLC; and Trellus Management Co., LLC as sub-advisers ("Sub-Adviser") of the Fund. Pursuant to sub-advisory agreements between the Adviser and each Sub-Adviser, each Sub-Adviser manages the investment and reinvestment of the portion of the 25 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) Fund's portfolio allocated to it by the Adviser. The Fund is not required to invest with any minimum number of Sub-Advisers, and does not have minimum or maximum limitations with respect to allocations of assets to any Sub-Adviser. BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets, subject to certain minimum monthly fees. For providing regulatory administration services to RBB, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company. In addition, BNY Mellon serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. For providing custodial services to the Fund, PFPC Trust Company, a member of The Bank of New York Mellon Corporation, is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. BNY Mellon Distributors, Inc. serves as the principal underwriter and distributor of the Fund's shares pursuant to a Distribution Agreement with RBB. The Fund will not pay The Bank of New York Mellon Corporation or any of its members or BNY Mellon's affiliates at a later time for any amounts waived or any amounts assumed. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the period ended February 28, 2011 was $1,919. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the period ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:
INVESTMENT SECURITIES -------------------------------- PURCHASES SALES ----------- ---------- $ 8,216,027 $5,573,397
26 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONTINUED) 5. CAPITAL SHARE TRANSACTIONS As of February 28, 2011, the Fund has 100,000,000 shares of $0.001 par value common stock authorized for the I Shares. As of February 28, 2011, the Fund had 1 shareholder account and/or omnibus accounts (comprised of a group of individual shareholders) that held 50% of the total shares outstanding of the Fund. 6. FEDERAL INCOME TAX INFORMATION As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:
FEDERAL TAX UNREALIZED UNREALIZED NET UNREALIZED COST APPRECIATION DEPRECIATION DEPRECIATION ----------- ------------ ------------ -------------- $3,708,557 $198,214 $(52,177) $146,037
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes. There were no dividends or distributions paid during the peiod ended February 28, 2011. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are currently effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 27 S1 FUND NOTES TO FINANCIAL STATEMENTS(UNAUDITED) (CONCLUDED) 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund though the date the financial statements were issued, and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 28 S1 FUND OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 882-1226 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. APPROVAL OF INVESTMENT ADVISORY AGREEMENT As required by the Investment Company Act, the Board of Directors (the "Board") of the Company, including all of the Directors who are not "interested persons" of the Company, as that term is defined in the Investment Company Act (the "Independent Directors"), considered the initial approval of the investment advisory agreement between Simple Alternatives and the Company on behalf of the Fund (the "Advisory Agreement") and the approval of the investment sub-advisory agreements between Simple Alternatives and, respectively, Argonaut Capital ("Argonaut"), Roaring Blue Lion Capital Management ("Blue Lion"), Courage Capital Management ("Courage"), Cramer Rosenthal McGlynn ("CRM"), Sandler Capital Management ("Sandler"), Starwood Capital ("Starwood"), Lauren Templeton Capital Management ("Templeton") and Trellus Management ("Trellus," and together with Argonaut, Blue Lion, Courage, CRM, Sandler, Starwood and Templeton each a "Sub-Adviser" and collectively the "Sub-Advisers")(the "Sub-Advisory Agreements") at a meeting of the Board held on September 21, 2010. At the meeting, the Board, including all of the Independent Directors, approved the Advisory Agreement and the Sub-Advisory Agreements for an initial term ending August 16, 2012. The Board's decision to approve the Advisory Agreement and the Sub-Advisory Agreements reflects the exercise of its business judgment. In approving the Advisory Agreement and the Sub-Advisory Agreements, the Board considered information provided by Simple Alternatives and each of the Sub-Advisers with the assistance and advice of counsel to the Independent Directors and the Company. In considering the approval of the Advisory Agreement with Simple Alternatives and the approval of the Sub-Advisory Agreements between Simple Alternatives and each Sub-Adviser, the Directors took into account all materials provided prior to and during the Meeting, the presentations made during the Meeting, and the discussions during the Meeting. Among other things, the Directors considered (i) the nature, extent, and quality of services to be provided to the Fund by Simple Alternatives and the Sub-Advisers; (ii) descriptions of the experience and qualifications of the personnel providing those services; (iii) the Sub-Advisers' investment 29 S1 FUND OTHER INFORMATION (CONCLUDED) (UNAUDITED) philosophies and processes; (iv) the Sub-Advisers' assets under management and client descriptions; (v) Simple Alternatives' and the Sub-Advisers' soft dollar commission and trade allocation policies, including information on the types of research and services obtained in connection with soft dollar commissions; (vi) Simple Alternatives' and the Sub-Advisers' proposed advisory fee arrangements with the Company and other similarly managed clients; (vii) Simple Alternatives' and the Sub-Advisers' compliance procedures; (viii) Simple Alternatives' and the Sub-Advisers' financial information and insurance coverage; (ix) the extent to which economies of scale are relevant to the Fund; and (x) performance information provided by the Sub-Advisers' regarding similarly managed accounts. As part of their review, the Directors considered the nature, extent and quality of the services to be provided by Simple Alternatives and each Sub-Adviser. The Directors concluded that Simple Alternatives and each Sub-Adviser had substantial resources to provide services to the Fund. The Board of Directors also considered the advisory fee rate payable by the Fund under the proposed Advisory Agreement. In this regard, the Directors noted that Simple Alternatives had contractually agreed to waive management fees and reimburse expenses for the Fund's first year of operations to limit total annual operating expenses to agreed upon levels for the Fund. The Directors also considered the sub-advisory fees payable to each Sub-Adviser under the proposed Sub-Advisory Agreements. In this regard, the Directors noted that the fees for each Sub-Adviser were payable by Simple Alternatives. After reviewing the information regarding Simple Alternatives' and the Sub- Advisers' costs, profitability and economies of scale, and after considering the services to be provided by Simple Alternatives and each Sub-Adviser, the Directors concluded that the investment advisory fees to be paid by the Fund to Simple Alternatives and to be paid by Simple Alternatives to each Sub-Adviser were fair and reasonable, and that the Advisory Agreement and each Sub-Advisory Agreement should be approved for initial terms ending August 16, 2012. 30 [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISER Simple Alternatives, LLC 90 Grove Street Suite 205 Ridgefield, CT 06877 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Ernst & Young LLP Two Commerce Square 2001 Market Street, Suite 4000 Philadelphia, PA 19103 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 S1 FUND OF THE RBB FUND, INC. SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. THE SCHNEIDER FUNDS SEMI-ANNUAL INVESTMENT ADVISER'S REPORT FEBRUARY 28, 2011 (UNAUDITED) Fellow Shareholder: The semi-annual report for the Schneider Funds covers the six months ended February 28, 2011. INVESTMENT REVIEW U.S. equity markets exhibited strong upward momentum as the broad market Russell 3000(R) Index rose 29.3% in the period. Economic data provided reinforcing signs that the recovery gained traction towards the end of the calendar year. The consumer sector showed some strength, business investment (ex-construction) continued to move in a favorable direction, export growth was healthy and labor market conditions improved. Both Funds posted strong relative performance during the period. The portfolios benefited from significant exposure to more economically-sensitive industries as the U.S. economy picked up steam after laboring through a soft patch in the summer of 2010. In particular, our overweight positions in the technology and energy sectors made a favorable contribution to returns. It was also helpful during the period to be underweighted in less cyclical economic sectors such as utilities, health care and consumer staples. The Funds maintained a substantial weighting in the energy sector, including significant exposure to coal mining. Coal stocks have measurably outperformed the overall equity market over the past two years, but we still see a healthy upside in the stocks driven by strong global demand powered by the emerging market economies. We believe that tight European natural gas supply conditions over the next few years should drive further fuel switching to much lower-cost coal, leading to growth in U.S. coal exports. Holdings include a number of diverse, economically-sensitive industries where we have committed substantial capital with high conviction. Although profitability measures for the S&P 500 should return to normal levels in 2011, our holdings include companies in later-cycle industries that we believe are still capable of a sharp upward earnings trajectory. OUTLOOK The U.S. economy should experience moderate, sustainable growth in 2011. Consumer debt service ratios have improved measurably, income numbers have been getting better, and there seems to be some pent-up demand to spend. The extension of current tax rates through 2012 is a positive factor. Although the one million jobs added in 2010 hardly put a dent in the eight million jobs lost in 2008 and 2009, a modest turnaround in the employment picture seems to be in place. Corporate profits, balance sheets and productivity are healthy. Improving confidence among small business owners should contribute to further gains in employment and capital spending. Overall, the economic recovery appears to be tentatively standing on its own feet. There is a solid case for our generally favorable outlook for 2011. However, the accumulation of potential shocks, primarily outside the U.S., bears close watching. The world economy remains vulnerable to the combination of unrest in the Middle East and North Africa, the recent alarming deterioration in the U.S. federal government's financial condition, sharply higher oil prices, ongoing sovereign debt strains in Europe, and any excessive slowdown in growth in emerging markets due to tighter credit conditions. The headwinds appear to be manageable, but post-crisis economies are potentially less resilient. /s/ Arnold C. Schneider III Arnold C. Schneider III, CFA Portfolio Manager Schneider Capital Management 1 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PERFORMANCE DATA FEBRUARY 28, 2011 (UNAUDITED) Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL ------------------------------------ SIX ONE SINCE MONTHS* YEAR FIVE YEARS TEN YEARS INCEPTION** ------ ----- ---------- --------- ----------- SCHNEIDER SMALL CAP VALUE 39.58%*** 29.19%*** 0.66% 11.71% 16.86% RUSSELL 2000(R) VALUE INDEX 34.31% 28.87% 2.91% 8.68% 9.83%
* NOT ANNUALIZED ** INCEPTION DATE 9/2/98 *** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH PERFORMANCE WHICH MAY NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. SCHNEIDER CAPITAL MANAGEMENT CONTRACTUALLY AGREED TO WAIVE A PORTION OF ITS ADVISORY FEE AND REIMBURSE A PORTION OF THE FUND'S OPERATING EXPENSES, AS NECESSARY, TO MAINTAIN THE EXPENSE LIMITATION, AS SET FORTH IN THE NOTES TO THE FINANCIAL STATEMENTS. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS, IF ANY; TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THERE BEEN NO WAIVER OR REIMBURSEMENT OF FEES AND EXPENSES IN EXCESS OF EXPENSE LIMITATIONS. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-520-3277. THE FUND'S GROSS AND NET ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.43% AND 1.15%, RESPECTIVELY. SHARES OF THE FUND NOT PURCHASED THROUGH REINVESTED DIVIDENDS OR CAPITAL GAINS AND HELD LESS THAN ONE YEAR ARE SUBJECT TO A 1.75% REDEMPTION FEE. THE FUND'S ANNUALIZED TOTAL RETURN SINCE INCEPTION IS BASED ON AN INCREASE IN NET ASSET VALUE FROM $10.00 PER SHARE ON SEPTEMBER 2, 1998 (INCEPTION) TO $18.41 PER SHARE ON FEBRUARY 28, 2011, ADJUSTED FOR DIVIDENDS AND DISTRIBUTIONS TOTALING $29.52 PER SHARE PAID FROM NET INVESTMENT INCOME AND REALIZED GAINS. THE ADVISOR HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE EXPENSES THROUGH DECEMBER 31, 2011, TO THE EXTENT THAT TOTAL ANNUAL FUND OPERATING EXPENSES (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) EXCEED 1.15%. SMALL COMPANY STOCKS ARE GENERALLY RISKIER THAN LARGE COMPANY STOCKS DUE TO GREATER VOLATILITY AND LESS LIQUIDITY. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED. 2 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PERFORMANCE DATA FEBRUARY 28, 2011 (UNAUDITED) Total Returns for the Periods Ended February 28, 2011
AVERAGE ANNUAL ------------------------------------- SIX ONE SINCE MONTHS* YEAR FIVE YEARS INCEPTION** ------ ----- ---------- ----------- SCHNEIDER VALUE 33.63%*** 20.66%*** -1.38% 10.00% RUSSELL 1000(R) VALUE INDEX 26.30% 22.16% 1.57% 8.44%
* NOT ANNUALIZED ** INCEPTION DATE 9/30/02 *** DUE TO RECENT MARKET CONDITIONS, THE FUND HAS EXPERIENCED RELATIVELY HIGH PERFORMANCE WHICH MAY NOT BE SUSTAINABLE OR REPEATED IN THE FUTURE. THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. SCHNEIDER CAPITAL MANAGEMENT CONTRACTUALLY AGREED TO WAIVE A PORTION OF ITS ADVISORY FEE AND REIMBURSE A PORTION OF THE FUND'S OPERATING EXPENSES, AS NECESSARY, TO MAINTAIN THE EXPENSE LIMITATION, AS SET FORTH IN THE NOTES TO THE FINANCIAL STATEMENTS. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS, IF ANY; TOTAL RETURNS WOULD HAVE BEEN LOWER HAD THERE BEEN NO WAIVER OR REIMBURSEMENT OF FEES AND EXPENSES IN EXCESS OF EXPENSE LIMITATIONS. RETURNS SHOWN INCLUDE THE REINVESTMENT OF ALL DIVIDENDS AND OTHER DISTRIBUTIONS AND DO NOT REFLECT TAXES THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR ON THE REDEMPTION OF FUND SHARES. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-888-520-3277. THE FUND'S GROSS AND NET ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 1.03% AND 0.90%, RESPECTIVELY. SHARES OF THE FUND NOT PURCHASED THROUGH REINVESTED DIVIDENDS OR CAPITAL GAINS AND HELD LESS THAN 90 DAYS ARE SUBJECT TO A 1.00% REDEMPTION FEE. THE FUND'S AGGREGATE TOTAL RETURN SINCE INCEPTION IS BASED ON AN INCREASE IN NET ASSET VALUE FROM $10.00 PER SHARE ON SEPTEMBER 30, 2002 (INCEPTION) TO $15.56 PER SHARE ON FEBRUARY 28, 2011, ADJUSTED FOR DIVIDENDS AND DISTRIBUTIONS TOTALING $6.53 PER SHARE PAID FROM NET INVESTMENT INCOME AND REALIZED GAINS. THE ADVISOR HAS CONTRACTUALLY AGREED TO WAIVE MANAGEMENT FEES AND REIMBURSE EXPENSES THROUGH DECEMBER 31, 2011, TO THE EXTENT THAT TOTAL ANNUAL FUND OPERATING EXPENSES (EXCLUDING ACQUIRED FUND FEES AND EXPENSES, BROKERAGE COMMISSIONS, EXTRAORDINARY ITEMS, INTEREST AND TAXES) EXCEED 0.90%. PORTFOLIO COMPOSITION IS SUBJECT TO CHANGE. VALUE INVESTING INVOLVES THE RISK THAT THE FUND'S INVESTMENT IN COMPANIES WHOSE SECURITIES ARE BELIEVED TO BE UNDERVALUED, RELATIVE TO THEIR UNDERLYING PROFITABILITY, WILL NOT APPRECIATE IN VALUE AS ANTICIPATED. 3 THE SCHNEIDER FUNDS FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds. These examples are based on an investment of $1,000 invested at the beginning of the six months from September 1, 2010 through February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the accompanying tables provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the accompanying tables provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not your Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare these 5% hypothetical examples with the 5% hypothetical examples that appear in the shareholder reports of other funds. Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
SCHNEIDER SMALL CAP VALUE FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- ------------- Actual $1,000.00 $1,395.80 $6.83 Hypothetical (5% return before expenses) 1,000.00 1,019.02 5.77
SCHNEIDER VALUE FUND --------------------------------------------------------------- BEGINNING ACCOUNT VALUE ENDING ACCOUNT VALUE EXPENSES PAID SEPTEMBER 1, 2010 FEBRUARY 28, 2011 DURING PERIOD* ----------------------- -------------------- ------------- Actual $1,000.00 $1,336.30 $5.21 Hypothetical (5% return before expenses) 1,000.00 1,020.28 4.52
* Expenses are equal to an annualized six-month expense ratio of 1.15% for the Schneider Small Cap Value Fund and 0.90% for the Schneider Value Fund, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The Fund's ending account values on the first line in each table are based on the actual six-month total return for each Fund of 39.58% for the Schneider Small Cap Value Fund and 33.63% for the Schneider Value Fund. 4 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ Common Stocks: Coal ........................................ 13.9% $ 14,054,252 Banks ....................................... 10.5 10,561,884 Commercial Services ......................... 7.8 7,813,902 Home Builders ............................... 7.7 7,808,334 Aerospace & Defense ......................... 5.1 5,114,567 Internet .................................... 4.9 4,950,082 Savings & Loans ............................. 4.4 4,450,630 Semiconductors .............................. 4.0 4,070,332 Real Estate Investment Trusts ............... 3.5 3,527,797 Computers ................................... 3.3 3,339,059 Industrial .................................. 3.3 3,330,870 Insurance ................................... 2.9 2,900,037 Oil & Gas ................................... 2.8 2,859,990 Electric .................................... 2.7 2,750,541 Chemicals ................................... 2.1 2,147,720 Retail ...................................... 2.1 2,144,061 Software .................................... 1.6 1,602,661 Healthcare - Services ....................... 1.5 1,510,885 Electronics ................................. 1.2 1,147,425 Diversified Financial Services .............. 1.0 1,028,189 Apparel ..................................... 1.0 1,017,680 Real Estate ................................. 1.0 987,189 Metals Fabricating .......................... 1.0 969,827 Building Materials .......................... 0.7 734,684 Healthcare - Products ....................... 0.5 516,028 Food ........................................ 0.4 371,530 Telecommunications .......................... 0.4 362,995 Pharmaceuticals ............................. 0.3 320,187 Machinery - Diversified ..................... 0.2 216,541 Securities Lending Collateral ............... 15.1 15,272,398 Exchange Traded Fund ........................ 2.7 2,717,586 Corporate Bonds ............................. 0.0 9,624 Liabilities In Excess Of Other Assets ....... (9.6) (9,649,713) ----- ------------ NET ASSETS ..................................... 100.0% $100,959,774 ===== ============
---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 5 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% OF NET ASSETS VALUE -------- ------------ Common Stocks: Banks ....................................... 21.6% $ 22,114,985 Coal ........................................ 13.3 13,648,530 Oil & Gas ................................... 11.5 11,738,925 Insurance ................................... 6.8 6,929,795 Home Builders ............................... 6.4 6,567,313 Electric .................................... 5.6 5,719,893 Computers ................................... 4.9 5,037,866 Semiconductors .............................. 3.6 3,661,093 Automobile Manufacturers .................... 2.7 2,819,820 Health Care - Services ...................... 2.3 2,396,033 Commercial Services ......................... 2.2 2,309,941 Life & Health Insurance ..................... 2.1 2,156,137 Aerospace & Defense ......................... 2.0 2,041,844 Electronics ................................. 1.9 2,002,311 Real Estate Investment Trusts ............... 1.7 1,759,155 Retail ...................................... 1.7 1,733,701 Automobile Parts & Equipment ................ 1.7 1,695,516 Telecommunications .......................... 1.3 1,296,214 Leisure Time ................................ 1.2 1,210,335 Securities Lending Collateral ............... 10.4 10,692,814 Exchange Traded Fund ........................ 0.8 856,092 Corporate Bonds ............................. 0.4 350,306 Liabilities In Excess Of Other Assets ....... (6.1) (6,268,255) ----- ------------ NET ASSETS ..................................... 100.0% $102,470,364 ===== ============
---------- Portfolio holdings are subject to change at any time. The accompanying notes are an integral part of the financial statements. 6 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ COMMON STOCKS -- 91.8% AEROSPACE & DEFENSE -- 5.1% AAR Corp. * ...................................... 117,965 $ 3,219,265 BE Aerospace, Inc. * ............................. 41,005 1,382,689 Triumph Group, Inc. (a) .......................... 5,920 512,613 ------------ 5,114,567 ------------ APPAREL -- 1.0% Barry (R.G.) Corp. ............................... 93,709 1,017,680 ------------ BANKS -- 10.5% Associated Banc-Corp. ............................ 53,225 770,166 Cathay General Bancorp (a) ....................... 80,780 1,431,422 Citizens Republic Bancorp, Inc. * (a) ............ 2,700,300 2,270,682 MainSource Financial Group, Inc. ................. 152,811 1,518,941 Regions Financial Corp. .......................... 426,090 3,255,328 Sterling Financial Corp. * ....................... 60,942 1,036,014 United Community Banks, Inc. * ................... 203,891 279,331 ------------ 10,561,884 ------------ BUILDING MATERIALS -- 0.7% Builders FirstSource, Inc. * ..................... 307,399 734,684 ------------ CHEMICALS -- 2.1% A. Schulman, Inc. ................................ 61,291 1,364,338 Spartech Corp. * ................................. 92,380 783,382 ------------ 2,147,720 ------------ COAL -- 13.9% Arch Coal, Inc. .................................. 232,585 7,798,575 Cloud Peak Energy, Inc. * ........................ 305,155 6,255,677 ------------ 14,054,252 ------------ COMMERCIAL SERVICES -- 7.8% Administaff, Inc. ................................ 39,486 1,181,816 Aegean Marine Petroleum Network, Inc. ............ 112,425 981,470 Hudson Highland Group, Inc. * .................... 559,265 3,752,668 Monster Worldwide, Inc. * (a) .................... 91,715 1,572,912 PHH Corp. * (a) .................................. 13,170 325,036 ------------ 7,813,902 ------------ COMPUTERS -- 3.3% Insight Enterprises, Inc. * ...................... 90,980 1,664,024 Ness Technologies, Inc. * ........................ 282,468 1,675,035 ------------ 3,339,059 ------------
SHARES VALUE ------------ ------------ DIVERSIFIED FINANCIAL SERVICES -- 1.0% Artio Global Investors, Inc. ..................... 64,870 $ 1,028,189 ------------ ELECTRIC -- 2.7% GenOn Energy, Inc. * ............................. 679,146 2,750,541 ------------ ELECTRONICS -- 1.2% Pulse Electronics, Inc. .......................... 189,971 1,147,425 ------------ FOOD -- 0.4% Sanderson Farms, Inc. (a) ........................ 8,985 371,530 ------------ HEALTHCARE - PRODUCTS -- 0.5% Orthofix International N.V. * .................... 16,330 516,028 ------------ HEALTHCARE - SERVICES -- 1.5% Emeritus Corp. * (a) ............................. 64,211 1,510,885 ------------ HOME BUILDERS -- 7.7% KB HOME (a) ...................................... 148,230 1,964,047 Meritage Homes Corp. * (a) ....................... 226,435 5,844,287 ------------ 7,808,334 ------------ INDUSTRIAL -- 3.3% FreightCar America, Inc. * ....................... 118,452 3,330,870 ------------ INSURANCE -- 2.9% Assured Guaranty Ltd. (a) ........................ 99,620 1,447,479 Platinum Underwriters Holdings Ltd. .............. 25,410 1,059,597 Stewart Information Services Corp. ............... 24,685 275,238 White Mountains Insurance Group Ltd. ............. 310 117,723 ------------ 2,900,037 ------------ INTERNET -- 4.9% Internet Capital Group, Inc. * ................... 183,175 2,507,666 ModusLink Global Solutions, Inc. * ............... 221,535 1,528,591 Openwave Systems, Inc. * ......................... 319,710 709,756 S1 Corp. * ....................................... 31,251 204,069 ------------ 4,950,082 ------------ MACHINERY - DIVERSIFIED -- 0.2% Flow International Corp. * ....................... 54,271 216,541 ------------ METALS FABRICATING -- 1.0% RTI International Metals, Inc. * ................. 34,029 969,827 ------------
The accompanying notes are an integral part of the financial statements. 7 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ OIL & GAS -- 2.8% Penn Virginia Corp. .............................. 141,275 $ 2,298,544 Tesoro Corp. * ................................... 23,610 561,446 ------------ 2,859,990 ------------ PHARMACEUTICALS -- 0.3% PharMerica Corp. * ............................... 27,250 320,187 ------------ REAL ESTATE -- 1.0% Forestar Group, Inc. * ........................... 16,330 314,516 HFF Inc., Class A * .............................. 26,548 350,434 Thomas Properties Group, Inc. * .................. 95,620 322,239 ------------ 987,189 ------------ REAL ESTATE INVESTMENT TRUSTS -- 3.5% FelCor Lodging Trust, Inc. * ..................... 176,730 1,337,846 Redwood Trust, Inc. (a) .......................... 82,780 1,355,936 Strategic Hotels & Resorts, Inc. * ............... 128,310 834,015 ------------ 3,527,797 ------------ RETAIL -- 2.1% Coldwater Creek, Inc. * .......................... 125,280 370,829 MarineMax, Inc. * ................................ 159,984 1,444,656 Pacific Sunwear of California, Inc. * (a) ........ 72,855 328,576 ------------ 2,144,061 ------------ SAVINGS & LOANS -- 4.4% First Financial Holdings, Inc. ................... 42,475 452,783 Flagstar Bancorp, Inc. * ......................... 2,284,484 3,997,847 ------------ 4,450,630 ------------ SEMICONDUCTORS -- 4.0% Alliance Semiconductor Corp. ..................... 441,625 136,904 ATMI, Inc. * ..................................... 64,399 1,174,638 Axcelis Technologies, Inc. * ..................... 306,698 843,419 MEMC Electronic Materials, Inc. * ................ 106,030 1,438,827 Verigy Ltd. * (a) 36,742 476,544 ------------ 4,070,332 ------------ SOFTWARE -- 1.6% Take-Two Interactive Software, Inc. * (a) ........ 99,730 1,602,661 ------------ TELECOMMUNICATIONS -- 0.4% Aviat Networks, Inc. * ........................... 59,410 362,995 ------------ TOTAL COMMON STOCKS (Cost $65,965,732) ......................... 92,609,879 ------------
SHARES VALUE ------------ ------------ EXCHANGE TRADED FUND -- 2.7% FINANCE -- 2.7% iShares Russell 2000 Value Index Fund (a) ........ 36,419 $ 2,717,586 ------------ TOTAL EXCHANGE TRADED FUND (Cost $2,367,572) .......................... 2,717,586 ------------ SECURITIES LENDING COLLATERAL -- 15.1% Institutional Money Market Trust ................. 15,272,398 15,272,398 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $15,272,398) ......................... 15,272,398 ------------
PAR (000) ------------ CORPORATE BONDS -- 0.0% LandAmerica Financial Group, Inc. + ++ CONV 3.25%, 05/15/34 ............................... $ 120 9,624 ------------ TOTAL CORPORATE BONDS (Cost $240) ................................ 9,624 ------------ TOTAL INVESTMENTS -- 109.6% (Cost $83,605,942) ............................ 110,609,487 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS -- (9.6)% .. (9,649,713) ------------ NET ASSETS -- 100.0% ............................. $100,959,774 ============
* Non-income producing. (a) All or a portion of the security is on loan. See Note 7 in the Notes to Financial Statements. + Security in default. ++ Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc's. Board of Directors. As of February 28, 2011, this security amounted to $9,624 or 0.0% of net assets. CONV Convertible The accompanying notes are an integral part of the financial statements. 8 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) The following is a summary of inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (See note 1 in the notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ----------- ----------- ------------ Common Stocks * $ 92,609,879 $92,609,879 $ -- $ -- Corporate Bonds 9,624 -- -- 9,624 Exchange Traded Fund 2,717,586 2,717,586 -- -- Securities Lending Collateral 15,272,398 -- 15,272,398 -- ------------ ----------- ----------- ------ Total $110,609,487 $95,327,465 $15,272,398 $9,624 ============ =========== =========== ======
* Please refer to the Portfolio of Investments for industry and security type breakouts. The following is a reconciliation of the Fund's Level 3 investments for which significant unobservable inputs were used to determine fair value.
TOTAL COMMON PREFERRED CORPORATE INVESTMENTS STOCK STOCK BONDS ----------- --------- ----------- ---------- Balance as of August 31, 2010 $ 1,435,000 $ 114,800 $ 1,320,200 $ -- Accrued discounts/premiums -- -- -- -- realized gain/(loss) -- -- -- -- Change in unrealized appreciation (depreciation) -- -- -- -- Net purchases/(sales) -- -- -- -- Transfers in and/or out of Level 3* (1,425,376) (114,800) (1,320,200) 9,624 ----------- --------- ----------- ------ Balance as of February 28, 2011 $ 9,624 $ -- $ -- $9,624 =========== ========= =========== ======
* Transfers in and out of the levels are recognized at the value at the beginning of the period. The net change in unrealized appreciation (depreciation) from level 3 investments held as of February 28, 2011 was $9,385. The Fund presents this unrealized appreciation/(depreciation) on the Statement of Operations as a net change in unrealized appreciation/(depreciation) on investments. The accompanying notes are an integral part of the financial statements. 9 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ COMMON STOCKS -- 94.5% AEROSPACE & DEFENSE -- 2.0% Boeing Co. (The) ................................. 28,355 $ 2,041,844 ------------ AUTOMOBILE MANUFACTURERS -- 2.7% General Motors Co. * ............................. 8,715 292,214 Navistar International Corp. * ................... 40,781 2,527,606 ------------ 2,819,820 ------------ AUTOMOBILE PARTS & EQUIPMENT -- 1.7% Magna International, Inc., Class A (a) ........... 34,350 1,695,516 ------------ BANKS -- 21.6% Bank of America Corp. ............................ 388,154 5,546,721 Citigroup, Inc. * ................................ 649,120 3,037,882 JPMorgan Chase & Co. ............................. 117,480 5,485,141 PNC Financial Services Group, Inc. ............... 76,598 4,726,097 Regions Financial Corp. .......................... 230,010 1,757,276 Wells Fargo & Co. ................................ 48,415 1,561,868 ------------ 22,114,985 ------------ COAL -- 13.3% Arch Coal, Inc. .................................. 237,600 7,966,728 Consol Energy, Inc. .............................. 112,045 5,681,802 ------------ 13,648,530 ------------ COMMERCIAL SERVICES -- 2.2% Aegean Marine Petroleum Network, Inc. ............ 113,352 989,563 Monster Worldwide, Inc. *(a) ..................... 76,990 1,320,378 ------------ 2,309,941 ------------ COMPUTERS -- 4.9% Dell, Inc. *(a) .................................. 318,248 5,037,866 ------------ ELECTRIC -- 5.6% FirstEnergy Corp. ................................ 76,645 2,935,502 GenOn Energy, Inc. * ............................. 687,504 2,784,391 ------------ 5,719,893 ------------ ELECTRONICS -- 1.9% Avnet, Inc. * .................................... 58,530 2,002,311 ------------
SHARES VALUE ------------ ------------ HEALTH CARE - SERVICES -- 2.3% Brookdale Senior Living, Inc. *(a) ............... 89,105 $ 2,396,033 ------------ HOME BUILDERS -- 6.4% D.R. Horton, Inc. (a) ............................ 289,470 3,427,325 NVR, Inc. *(a) ................................... 4,314 3,139,988 ------------ 6,567,313 ------------ INSURANCE -- 6.8% Allstate Corp., (The) ............................ 72,380 2,300,236 Assured Guaranty Ltd. (a) ........................ 147,911 2,149,147 Brown & Brown, Inc. .............................. 2,710 70,839 RenaissanceRe Holdings, Ltd. ..................... 17,480 1,171,510 Willis Group Holdings PLC ........................ 31,835 1,238,063 ------------ 6,929,795 ------------ LEISURE TIME -- 1.2% Carnival Corp. ................................... 28,365 1,210,335 ------------ LIFE & HEALTH INSURANCE -- 2.1% AFLAC, Inc. ...................................... 18,907 1,112,866 Lincoln National Corp. ........................... 32,890 1,043,271 ------------ 2,156,137 ------------ OIL & GAS -- 11.5% BP PLC, SP ADR (a) ............................... 46,150 2,236,891 Chesapeake Energy Corp. .......................... 150,386 5,355,245 EQT Corp. ........................................ 55,216 2,722,149 Valero Energy Corp. .............................. 50,555 1,424,640 ------------ 11,738,925 ------------ REAL ESTATE INVESTMENT TRUSTS -- 1.7% Annaly Capital Management, Inc. .................. 93,548 1,677,316 Sunstone Hotel Investors, Inc. * ................. 7,620 81,839 ------------ 1,759,155 ------------ RETAIL -- 1.7% J.C. Penney Co., Inc. ............................ 49,591 1,733,701 ------------ SEMICONDUCTORS -- 3.6% International Rectifier Corp. * .................. 28,218 906,926 MEMC Electronic Materials, Inc. * ................ 202,960 2,754,167 ------------ 3,661,093 ------------
The accompanying notes are an integral part of the financial statements. 10 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND PORTFOLIO OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED)
SHARES VALUE ------------ ------------ TELECOMMUNICATIONS -- 1.3% Cisco Systems, Inc. * ............................ 57,160 $ 1,060,890 Sprint Nextel Corp. * ............................ 53,850 235,324 ------------ 1,296,214 ------------ TOTAL COMMON STOCKS (Cost $73,170,648) ......................... 96,839,407 ------------ EXCHANGE TRADED FUND -- 0.8% FINANCE -- 0.8% iShares Russell 1000 Value Index Fund (a) ........ 12,445 856,092 ------------ TOTAL EXCHANGE TRADED FUND (Cost $791,648) ............................ 856,092 ------------ SECURITIES LENDING COLLATERAL -- 10.4% Institutional Money Market Trust ................. 10,692,814 10,692,814 ------------ TOTAL SECURITIES LENDING COLLATERAL (Cost $10,692,814) ......................... 10,692,814 ------------
PAR (000) VALUE ------------ ------------ CORPORATE BONDS -- 0.4% AIRLINES -- 0.4% UAL Corp. CONV 6.00%, 10/15/29 ............................... $ 119 $ 350,306 ------------ TOTAL CORPORATE BONDS (Cost $268,880) ............................ 350,306 ------------ TOTAL INVESTMENTS -- 106.1% (Cost $84,923,990) ............................ 108,738,619 ------------ LIABILITIES IN EXCESS OF OTHER ASSETS -- (6.1)% ........................ (6,268,255) ------------ NET ASSETS -- 100.0% ............................. $102,470,364 ============
* Non-income producing. (a) All or a portion of the security is on loan. See Notes to Portfolio of Investments. CONV Convertible SP ADR Sponsored American Depositary Receipt PLC Public Liability Company The following is a summary of inputs used, as of February 28, 2011, in valuing the Fund's investments carried at market value (See note 1 in the notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AS OF QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICE INPUTS INPUTS ----------------- ----------- ----------- ------------ Common Stocks* $ 96,839,407 $96,839,407 $ -- $-- Corporate Bonds 350,306 -- 350,306 -- Exchange Traded Fund 856,092 856,092 -- -- Securities Lending Collateral 10,692,814 -- 10,692,814 -- ------------ ----------- ----------- --- Total $108,738,619 $97,695,499 $11,043,120 $-- ============ =========== =========== ===
* Please refer to the Portfolio of Investments for industry and security type breakouts. The accompanying notes are an integral part of the financial statements. 11 THE SCHNEIDER FUNDS STATEMENTS OF ASSETS & LIABILITIES FEBRUARY 28, 2011 (UNAUDITED)
SCHNEIDER SMALL CAP SCHNEIDER VALUE FUND VALUE FUND ------------- ------------- ASSETS Investments, at value +## .......................................... $110,609,487 $ 108,738,619 Cash and cash equivalents .......................................... 5,894,618 4,255,109 Receivables Investments sold ................................................ 620,440 463,989 Capital shares sold ............................................. 33,210 53,950 Dividends and interest .......................................... 39,401 109,653 Prepaid expenses and other assets .................................. 17,190 15,034 ------------ ------------- Total assets ................................................. 117,214,346 113,636,354 ------------ ------------- LIABILITIES Payables Securities lending collateral ................................... 15,272,398 10,692,814 Capital shares redeemed ......................................... 510,082 117,142 Investments purchased ........................................... 345,144 244,995 Investment adviser .............................................. 61,327 41,726 Other accrued expenses and liabilities ............................. 65,621 69,313 ------------ ------------- Total liabilities ............................................ 16,254,572 11,165,990 ------------ ------------- Net Assets ......................................................... $100,959,774 $ 102,470,364 ============ ============= NET ASSETS CONSIST OF Par value .......................................................... $ 5,485 $ 6,587 Paid-in capital .................................................... 86,618,869 219,807,778 Undistributed/accumulated net investment income(loss) .............. (316,371) 111,668 Accumulated net realized loss from investments ..................... (12,351,754) (141,270,298) Net unrealized appreciation on investments ......................... 27,003,545 23,814,629 ------------ ------------- Net Assets ......................................................... $100,959,774 $ 102,470,364 ============ ============= Shares outstanding ($0.001 par value, 100,000,000 shares authorized) .............................................. 5,484,851 6,587,491 ------------ ------------- Net asset value, offering and redemption price per share ........... $ 18.41 $ 15.56 ============ ============= + Investment in securities, at cost ................................ $ 83,605,942 $ 84,923,990 ============ ============= ## Includes market value of securities on loan .................... $ 14,534,758 $ 10,483,434 ============ =============
The accompanying notes are an integral part of the financial statements. 12 THE SCHNEIDER FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED)
SCHNEIDER SMALL CAP SCHNEIDER VALUE FUND VALUE FUND ------------ ----------- INVESTMENT INCOME Dividends+ ............................................. $ 194,200 $ 547,059 Securities Lending Income .............................. 13,102 9,809 Interest ............................................... 682 6,637 ----------- ----------- Total investment income ............................. 207,984 563,505 ----------- ----------- EXPENSES Advisory fees .......................................... 455,961 351,424 Administration and accounting fees ..................... 70,108 75,648 Transfer agent fees .................................... 29,660 31,845 Professional fees ...................................... 23,441 24,912 Custodian fees ......................................... 22,008 15,592 Registration and filing fees ........................... 13,382 12,429 Directors' and officers' fees .......................... 12,116 12,812 Printing and shareholder reporting fees ................ 8,927 9,917 Insurance fees ......................................... 4,446 4,876 Other expenses ......................................... 1,385 1,432 ----------- ----------- Total expenses before waivers and reimbursements .... 641,434 540,887 Less: waivers and reimbursements .................... (117,079) (89,056) ----------- ----------- Net expenses after waivers and reimbursements ....... 524,355 451,831 ----------- ----------- Net investment income/(loss) ........................... (316,371) 111,674 ----------- ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments ......................................... 12,069,026 5,403,257 NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ......................................... 16,995,563 23,929,332 ----------- ----------- Net realized and unrealized gain/(loss) on investments ......................................... 29,064,589 29,332,589 ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $28,748,218 $29,444,263 =========== =========== + Net of foreign withholding taxes of ............... $ (155) $ (1,932) =========== ===========
The accompanying notes are an integral part of the financial statements. 13 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, ENDED 2011 AUGUST 31, (UNAUDITED) 2010 -------------- ------------ INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment (loss) .................................................. $ (316,371) $ (617,469) Net realized gain from investments ..................................... 12,069,026 25,790,509 Net change in unrealized appreciation/(depreciation) from investments .. 16,995,563 (14,571,289) ------------- ------------ Net increase in net assets resulting from operations ...................... 28,748,218 10,601,751 ------------- ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income .................................................. -- (543,270) ------------- ------------ Net decrease in net assets from dividends and distributions to shareholders ........................................................... -- (543,270) ------------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold .............................................. 6,512,001 16,951,483 Reinvestment of distributions .......................................... -- 446,678 Redemption fees * ...................................................... 41,377 130,734 Shares redeemed ........................................................ (7,584,731) (52,627,087) ------------- ------------ Net decrease in net assets from capital share transactions ................ (1,031,353) (35,098,192) ------------- ------------ Total increase/(decrease) in net assets ................................... 27,716,865 (25,039,711) ------------- ------------ NET ASSETS: Beginning of period .................................................... 73,242,909 98,282,620 ------------- ------------ End of period .......................................................... $ 100,959,774 $ 73,242,909 ============= ============ Undistributed net investment income (loss), end of period .............. $ (316,371) $ -- ============= ============ SHARE TRANSACTIONS: Shares sold ............................................................ 375,402 1,139,224 Shares reinvested ...................................................... -- 35,507 Shares redeemed ........................................................ (444,134) (3,582,571) ------------- ------------ Total share transactions ............................................... (68,732) (2,407,840) ============= ============
* There is a 1.75% redemption fee on shares redeemed which have been held less than one year in the Schneider Small Cap Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. The accompanying notes are an integral part of the financial statements. 14 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE YEAR FEBRUARY 28, ENDED 2011 AUGUST 31, (UNAUDITED) 2010 -------------- ------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income .................................................. $ 111,674 $ 632,966 Net realized gain from investments ..................................... 5,403,257 6,805,902 Net change in unrealized appreciation/(depreciation) from investments .. 23,929,332 (7,051,493) ------------ ------------- Net increase in net assets resulting from operations ...................... 29,444,263 387,375 ------------ ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income .................................................. (632,891) (2,533,672) ------------ ------------- Net decrease in net assets from dividends and distributions to shareholders ........................................................... (632,891) (2,533,672) ------------ ------------- CAPITAL TRANSACTIONS: Proceeds from shares sold .............................................. 3,268,445 20,439,350 Reinvestment of distributions .......................................... 547,704 2,086,849 Redemption fees * ...................................................... 272 716 Shares redeemed ........................................................ (29,110,284) (39,894,769) ------------ ------------- Net decrease in net assets from capital share transactions ................ (25,293,863) (17,367,854) ------------ ------------- Total increase/(decrease) in net assets ................................... 3,517,509 (19,514,151) ------------- ------------- NET ASSETS: Beginning of period .................................................... 98,952,855 118,467,006 ------------ ------------- End of period .......................................................... $102,470,364 $ 98,952,855 ============ ============= Undistributed net investment income, end of period ..................... $ 111,668 $ 632,885 ============ ============= SHARE TRANSACTIONS: Shares sold ............................................................ 225,104 1,597,175 Shares reinvested ...................................................... 38,817 175,365 Shares redeemed ........................................................ (2,117,922) (3,092,662) ------------ ------------- Total share transactions ............................................... (1,854,001) (1,320,122) ============ =============
* There is a 1.00% redemption fee on shares redeemed which have been held less than 90 days in the Schneider Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital. The accompanying notes are an integral part of the financial statements. 15 THE SCHNEIDER FUNDS SCHNEIDER SMALL CAP VALUE FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31, FEBRUARY 28, 2011 ------------------------------------------------- (UNAUDITED) 2010 2009 2008 2007 2006 ----------------- ------- ------- ------- -------- -------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ............ $ 13.19 $ 12.34 $ 14.54 $ 19.06 $ 21.96 $ 24.94 -------- ------- ------- ------- -------- -------- Net investment income/(loss) .................... (0.06) (0.11) 0.12 0.16 0.43 0.05 Net realized and unrealized gain/(loss) on investments and foreign currency transactions ................................. 5.27 1.01 (2.20) (3.81) 0.15 1.66 -------- ------- ------- ------- -------- -------- Net increase/(decrease) in net assets resulting from operations .................... 5.21 0.90 (2.08) (3.65) 0.58 1.71 -------- ------- ------- ------- -------- -------- Dividends and distributions to shareholders from: Net investment income ........................... -- (0.07) (0.18) (0.32) (0.20) -- Net realized capital gains ...................... -- -- --+ (0.55) (3.28) (4.69) -------- ------- ------- ------- -------- -------- Total dividends and distributions to shareholders ................................. -- (0.07) (0.18) (0.87) (3.48) (4.69) -------- ------- ------- ------- -------- -------- Redemption fees ................................. 0.01 0.02 0.06 --+ --+ --+ -------- ------- ------- ------- -------- -------- Net asset value, end of period .................. $ 18.41 $ 13.19 $ 12.34 $ 14.54 $ 19.06 $ 21.96 ======== ======= ======= ======= ======== ======== Total investment return(1) ...................... 39.58%(2) 7.48% (13.20)% (19.78)% 0.72% 7.79% ======== ======= ======= ======= ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ....... $100,960 $73,243 $98,283 $91,691 $101,052 $105,092 Ratio of expenses to average net assets(3) ...... 1.15%(4) 1.15% 1.14% 1.10% 1.10% 1.10% Ratio of expenses to average net assets without waivers and expense reimbursements ............................... 1.41%(4) 1.43% 1.42% 1.49% 1.50% 1.56% Ratio of net investment income/(loss) to average net assets(3) ................................ (0.69)%(4) (0.65)% 0.97% 0.92% 1.81% 0.29% Portfolio turnover rate ......................... 27.32%(2) 83.39% 122.36% 116.34% 75.21% 91.45%
---------- + Amount is less than $0.005 per share. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not annualized. (3) Reflects waivers and reimbursements. (4) Annualized. The accompanying notes are an integral part of the financial statements. 16 THE SCHNEIDER FUNDS SCHNEIDER VALUE FUND FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.
FOR THE SIX MONTHS ENDED FOR THE YEARS ENDED AUGUST 31, FEBRUARY 28, 2011 --------------------------------------------------- (UNAUDITED) 2010 2009 2008 2007 2006 ----------------- ------- -------- -------- -------- -------- PER SHARE OPERATING PERFORMANCE Net asset value, beginning of period ............ $ 11.72 $ 12.14 $ 16.37 $ 23.13 $ 21.16 $ 20.55 -------- ------- -------- -------- -------- -------- Net investment income ........................... 0.03 0.08 0.34 0.37 0.14 0.10 Net realized and unrealized gain/(loss) from investments and foreign currency transactions ................................. 3.90 (0.23) (4.14) (5.89) 2.99 1.99 -------- ------- -------- -------- -------- -------- Net increase/(decrease) in net assets resulting from operations .................... 3.93 (0.15) (3.80) (5.52) 3.13 2.09 -------- ------- -------- -------- -------- -------- Dividends and distributions to shareholders from: Net investment income ........................... (0.09) (0.27) (0.43) (0.14) (0.08) (0.08) Net realized capital gains ...................... -- -- -- (1.10) (1.08) (1.40) -------- ------- -------- -------- -------- -------- Total dividends and distributions to shareholders ................................. (0.09) (0.27) (0.43) (1.24) (1.16) (1.48) -------- ------- -------- -------- -------- -------- Redemption fees+ ................................ -- -- -- -- -- -- -------- ------- -------- -------- -------- -------- Net asset value, end of period .................. $ 15.56 $ 11.72 $ 12.14 $ 16.37 $ 23.13 $ 21.16 ======== ======= ======== ======== ======== ======== Total investment return(1) ...................... 33.63%(2) (1.30)% (22.06)% (25.05)% 14.88% 10.85% ======== ======= ======== ======== ======== ======== RATIO/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) ....... $102,470 $98,953 $118,467 $225,036 $364,793 $139,288 Ratio of expenses to average net assets(3) ...... 0.90%(4) 0.90% 0.88% 0.85% 0.85% 0.85% Ratio of expenses to average net assets without waivers and expense reimbursements ............................... 1.08%(4) 1.03% 1.14% 1.09% 1.12% 1.27% Ratio of net investment income to average net assets(3) ................................ 0.22%(4) 0.52% 2.24% 1.61% 0.77% 0.69% Portfolio turnover rate ......................... 26.03%(2) 79.30% 107.13% 101.98% 131.75% 104.92%
---------- + Amount is less than $0.005 per share. (1) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any. (2) Not annualized. (3) Reflects waivers and reimbursements. (4) Annualized. The accompanying notes are an integral part of the financial statements. 17 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Schneider Small Cap Value Fund (the "Small Cap Value Fund") and the Schneider Value Fund (the "Value Fund") (each a "Fund," collectively the "Funds"), which commenced investment operations on September 2, 1998 and September 30, 2002, respectively. As of the date hereof, each Fund offers Institutional Class shares. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of Common Stock. Each class represents an interest in an active or inactive RBB investment portfolio. PORTFOLIO VALUATION -- Each Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed Income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are amortized to maturity based on their cost. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. The inputs and valuation techniques used to measure fair value of the Funds' investments are summarized into three levels as described in the hierarchy below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Funds' own assumptions in determining the fair value of investments) 18 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) Bonds that are priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable. Investments designated as Level 3 may include assets valued using quotes or indications furnished by brokers which are based on models or estimates and may not be executable prices. In light of the developing market conditions, Schneider Capital Management continues to search for observable data points and evaluate broker quotes and indications received for portfolio investments. As a result, for the six-month period ended February 28, 2011, $9,624 of the Small Cap Value Fund's portfolio investments was transferred to Level 3 from Level 2. Additionally, a net amount of $1,435,000 of the Small Cap Value Fund's portfolio investments was transferred from Level 3 to Level 1. Determination of fair values is uncertain because it involves subjective judgments and estimates not easily substantiated by auditing procedures. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value each Fund's investments as of February 28, 2011 is included with each Fund's Portfolio of Investments. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America, requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES -- Transactions are accounted for on the trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds. FOREIGN CURRENCY TRANSLATION -- Foreign securities and other foreign assets and liabilities are valued using the foreign currency exchange rate effective at the end of the reporting period. The books and records of the Funds are maintained in U.S. dollars. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement dates of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates, between the date income is accrued and paid, is treated as a gain or loss on foreign currency. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to 19 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from generally accepted accounting principles. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is each Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. CASH AND CASH EQUIVALENTS -- The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds' maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Schneider Capital Management Company ("SCM" or the "Adviser") serves as each Fund's investment adviser. For its advisory services, SCM is entitled to receive 1.00% of the Small Cap Value Fund's average daily net assets and 0.70% of the Value Fund's average daily net assets, computed daily and payable monthly. The Adviser contractually agreed to limit the Small Cap Value Fund's and the Value Fund's total operating expenses to the extent that such expenses exceeded 1.15% and 0.90%, respectively, of the Fund's average daily net assets (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes). As necessary, this limitation is effected in waivers of advisory fees and reimbursements of other Fund expenses. For the six months ended February 28, 2011, investment advisory fees and waivers of expenses were as follows:
GROSS ADVISORY FEES WAIVERS NET ADVISORY FEES ------------------- --------- ----------------- Schneider Small Cap Value Fund $455,961 $(117,079) $338,882 Schneider Value Fund 351,424 (89,056) 262,368
The Funds will not pay SCM at a later time for any amounts it may waive or any amounts that SCM has assumed. BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as administrator for the Funds. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, and is subject to certain minimum monthly fees. Included in the administration and accounting services fees and expenses, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company. 20 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) In addition, BNY Mellon serves as the Funds' transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily net assets, subject to certain minimum monthly fees. For providing custodian services to the Funds, PFPC Trust Company, a member of The Bank of New York Mellon Corp., is entitled to receive a monthly fee equal to an annual percentage rate of each Fund's average daily gross assets, subject to certain minimum monthly fees. BNY Mellon Distributors Inc. serves as the principal underwriter and distributor of the Funds' shares pursuant to a Distribution Agreement with RBB. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2011 was $13,645. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Funds or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
PURCHASES SALES ----------- ----------- Schneider Small Cap Value Fund $23,911,620 $30,782,579 Schneider Value Fund 25,300,949 55,302,916
5. CAPITAL SHARE TRANSACTIONS As of February 28, 2011, the following shareholders held 10% or more of the outstanding shares of the Funds. These shareholders may be omnibus accounts which are comprised of many individual shareholders. Schneider Small Cap Value Fund (1 shareholder) 19% Schneider Value Fund (1 shareholder) 20%
6. FEDERAL INCOME TAX INFORMATION Management has analyzed each Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2007-2010) and has concluded that no provision for federal income tax is required in the Funds' financial statements. The Funds' federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. 21 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:
NET UNREALIZED FEDERAL TAX UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION DEPRECIATION DEPRECIATION ----------- ------------ ------------ -------------- Schneider Small Cap Value Fund $83,605,942 $29,412,166 $(2,408,621) $27,003,545 Schneider Value Fund 84,923,990 26,120,248 (2,305,619) 23,814,629
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. As of August 31, 2010, the components of distributable earnings on a tax basis were as follows:
UNDISTRIBUTED ORDINARY UNDISTRIBUTED INCOME LONG-TERM GAINS ------------- --------------- Schneider Small Cap Value Fund $ -- $-- Schneider Value Fund 632,885 --
The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reportable as ordinary income for federal income tax purposes. The tax character of dividends and distributions paid during the last two fiscal years were as follows:
ORDINARY LONG-TERM INCOME GAINS TOTAL ---------- --------- ---------- Schneider Small Cap Value Fund 2010 $ 543,270 $ -- $ 543,270 2009 1,113,058 12,857 1,125,915 Schneider Value Fund 2010 $2,533,672 $ -- $2,533,672 2009 4,861,935 -- 4,861,935
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2010, the Schneider Small Cap Value Fund and the Schneider Value Fund had capital loss carryforwards of $22,036,418 and $130,704,964, respectively, that will expire as follows:
AUGUST 31, 2016 AUGUST 31, 2017 AUGUST 31, 2018 --------------- --------------- --------------- Schneider Small Cap Value Fund $ -- $12,220,752 $ 9,815,666 Schneider Value Fund 11,810,397 75,945,572 42,948,995
During the fiscal year ended August 31, 2010, the Funds did not utilize any of their capital loss carryforwards. 22 THE SCHNEIDER FUNDS NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2010, the Schneider Value Fund incurred net post-October capital losses of $3,785,899. 7. SECURITIES LENDING The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and collateral as of February 28, 2011 and the income received for the six months ended February 28, 2011 were as follows:
INCOME RECEIVED MARKET VALUE OF MARKET VALUE FROM SECURITIES SECURITIES LOANED OF COLLATERAL LENDING ----------------- ------------- --------------- Schneider Small Cap Value Fund $14,534,758 $15,272,398 $13,102 Schneider Value Fund 10,483,434 10,692,814 9,809
8. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06 "Improving Disclosures about Fair Value Measurements". ASU 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are currently effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 9. SUBSEQUENT EVENTS Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued and have determined that there were no subsequent events requiring recognition or disclosure in the financial statements. 23 THE SCHNEIDER FUNDS OTHER INFORMATION (UNAUDITED) PROXY VOTING Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 520-3277 and on the Securities and Exchange Commission's ("SEC") website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Company will file a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company's Form N-Q will be available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090. 24 [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 BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 PRINCIPAL UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 COUNSEL Drinker Biddle & Reath LLP One Logan Square, Suite 2000 Philadelphia, PA 19103-6996 THE SCHNEIDER FUNDS OF THE RBB FUND, INC. SCHNEIDER SMALL CAP VALUE FUND SCHNEIDER VALUE FUND SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) (SCHNEIDER CAPITAL MANAGEMENT LOGO) This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds. SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) TO: SHAREHOLDERS OF SENBANC FUND The fourth calendar quarter of 2010 marked the sixth quarter of earnings recovery for banks, but the distribution of quarterly earnings performance is far from uniform and, in consequence, the perception of banks to the average investor has changed little. In 2010, on average, there were no earnings for banks in the Nasdaq Bank Index. Conversely, Senbanc Fund's (the "Fund") portfolio shows positive earnings for the majority of its bank holdings. The price/earnings ratio for the portfolio, at 22x, illustrates the recovering nature of these earnings, rather than any robustness of valuation. Changing perceptions of banks, rather than a change in the positive trend in earnings, was responsible for price appreciation in the last month of 2010, which accounted for almost all price appreciation for banks for the full year. The prospect of a reduced rate of regulatory change has signaled to investors that the rules of engagement for banks are stabilizing. Revenue growth for banks is still modest, but net interest margins are healthy and credit quality is improving. Restricted economic growth has cut into non-interest income, but reserves are being added to at a lower rate. Losses from real estate investment have dropped dramatically as housing prices have stabilized. Additional reserves have been created for possible mortgage repurchases and potential litigation liability. Goodwill impairment charges have been a feature of fourth quarter earnings reports, which suggests a balance sheet clean-up in preparation for relatively unencumbered financial results in 2011. Generally speaking, the current low time value of money is advantageous to banks in two important ways. The first is the well known benefit to net interest margins. Less obvious is the low carrying cost of underperforming assets, given the yields of securitized real estate loan portfolios and the alternative of low yielding cash if these instruments were to be liquidated. In a low interest rate environment, there is little pressure on well capitalized banks to find a market for bundles of low-performance securitized assets. This advantage may disappear if the Federal Reserve Board fails to cut its quantitative easing program when Congress cuts spending in any meaningful way, but we suspect that any early signs of inflation will be a positive signal for a housing market now on the cusp of a supply/demand imbalance. The Fund's portfolio continues its transformation to a more balanced structure. The top ten holdings still represent the largest proportion of assets under management, but the 48% portfolio turnover rate is the trail left from transferring funds from our largest positions to the next generation of undervalued banks. This is a process we intend to pursue over time, until the excessive positions established by default during the financial crisis are reined in. These large positions are held in some of the strongest, best-performing financial institutions, and have served as a buffer in these uncertain times. We are sorry to see them go, but an expanding economy will benefit all solvent banks and we seek to build a more diversified portfolio in the interim. In 2011 we expect the perceptions and expectations for banks to improve dramatically. A lower profile for government regulatory input, continued strong consecutive quarter and year over year earnings improvement, a lower real estate inventory, and increased dividends should all play their part in a rising tide of price appreciation that lifts all banks. We have previously made the case for lower provisions as contributions to reserves are scaled back, then a flow of freed reserves back to earnings. This is a multi-year process, but we are seeing the early stages now. We believe economic recovery will boost revenues, compensating for higher interest rates and higher inflation which lifts housing prices as the supply of existing houses dwindles before building starts recover. Finally, we feel dividends will begin to be restored in the second half of 2011. Though restoration will not be at a pace to match prior removal, we do expect dividend levels to increase significantly in the first round, then at an accelerated pace to achieve a 30% plus payout ratio within five years. The major change for dividend policy is likely to be a recognition by banks that dividends no longer support stock prices. - dividends will henceforth be a lagging indicator. 1 In 2011 and 2012, investors will see banks as the engine of economic recovery, and premiums over book value per share should emerge even as equity for banks expands. It is this confluence of events that should mark 2012 and 2013 as a high water mark for bank stock valuations. Following the Board's decision to close Senbanc Fund, an orderly liquidation is underway, and is expected to be completed by the end of July 2011. Very truly yours, /s/ Alan F. Morel ---------------------------------------- Alan F. Morel Hilliard Lyons Research Advisors Portfolio Manager Senbanc Fund 2 SENBANC FUND PERFORMANCE DATA FEBRUARY 28, 2011 (UNAUDITED)
AVERAGE ANNUAL SINCE TOTAL RETURNS (%) SIX 1 3 YEAR 5 YEAR 10 YEAR INCEPTION AS OF 2/28/11 MONTHS* YEAR ANNUALIZED ANNUALIZED ANNUALIZED ANNUALIZED ----------------- ------- ---- ---------- ---------- ---------- ---------- Senbanc Fund Inception Date - 7/8/99 14.96 3.00 -15.55 -15.42 -1.25 -0.06
* NOT ANNUALIZED THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURN AND PRINCIPAL VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. CURRENT PERFORMANCE MAY BE LOWER OR HIGHER THAN THE PERFORMANCE DATA QUOTED. FOR PERFORMANCE DATA CURRENT TO THE MOST RECENT MONTH-END, PLEASE CALL 1-800-444-1854 OR VISIT OUR WEB SITE AT www.hilliard.com. THE FUND'S GROSS ANNUAL OPERATING EXPENSES, AS STATED IN THE CURRENT PROSPECTUS, ARE 2.50%. TOTAL RETURNS SHOWN INCLUDE FEE WAIVERS AND EXPENSE REIMBURSEMENTS. RETURNS COULD HAVE BEEN LOWER IF THESE WAIVERS WERE NOT IN EFFECT. THE MAXIMUM SALES CHARGE, AS STATED IN THE PROSPECTUS, IS 2.25%. THE ADVISER HAS VOLUNTARILY AGREED TO WAIVE AND/OR REIMBURSE CERTAIN FEES TO THE EXTENT THAT THE FUND'S TOTAL ANNUAL FUND OPERATING EXPENSES EXCEED 1.75% OF THE FUND'S AVERAGE DAILY NET ASSETS. THIS AGREEMENT MAY BE TERMINATED BY THE ADVISER UPON NOTICE TO THE RBB FUND, INC'S BOARD OF DIRECTORS. THE PERFORMANCE IN THE ABOVE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR REDEMPTION OF FUND SHARES. SENBAC FUND PORTFOLIO HOLDINGS SUMMARY TABLE FEBRUARY 28, 2011 (UNAUDITED)
% of Industry Classification Net Assets ----------------------- ---------- Savings, Credit & Other Financial Institutions ........ 80.0% State & National Banks ................................ 16.4 ----- Total Investments ..................................... 96.4 Other Assets in Excess of Liabilities ................. 3.6 ----- Net Assets ............................................ 100.0% =====
Portfolio holdings are subject to change at any time. 3 SENBANC FUND FUND EXPENSE EXAMPLES (UNAUDITED) As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees; distribution (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2010 to February 28, 2011, and held for the entire period. ACTUAL EXPENSES The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use the information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Beginning Account Ending Account Value Value Expenses Paid 9/01/10 2/28/11 During Period* ----------------- -------------- -------------- Actual ....................................... $1,000.00 $1,149.60 $9.33 Hypothetical (5% return before expenses) ..... 1,000.00 1,016.01 8.79
---------- * Expenses are equal to the Fund's annualized six-month expense ratio of 1.75%, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund's ending account value is based on the actual six-month total return of 14.96%. 4 SENBANC FUND SCHEDULE OF INVESTMENTS FEBRUARY 28, 2011 (UNAUDITED) COMMON STOCK -- 96.4%
SHARES DESCRIPTION VALUE ------- ---------------------------------------------------------------- ----------- SAVINGS, CREDIT & OTHER FINANCIAL INSTITUTIONS -- 80.0% 46,400 Bank of America Corp. .......................................... $ 663,056 42,478 C&F Financial Corp. ............................................ 976,994 30,700 Comerica, Inc. ................................................. 1,194,230 42,600 Financial Institutions, Inc. ................................... 821,754 6,900 First Bancorp .................................................. 101,706 37,500 First Financial Bancorp ........................................ 634,875 16,201 IBERIABANK Corp. ............................................... 928,155 87,500 JPMorgan Chase & Co. ........................................... 4,085,375 99,111 National Bankshares, Inc. ...................................... 2,874,219 12,191 NB&T Financial Group, Inc. ..................................... 259,059 186,199 Northrim BanCorp, Inc. ......................................... 3,457,716 26,600 Peoples Bancorp of North Carolina, Inc. ........................ 186,200 9,484 Peoples Financial Corp. ........................................ 157,719 112,994 Premier Financial Bancorp ...................................... 766,099 47,538 QCR Holdings, Inc. ............................................. 369,370 23,500 S&T Bancorp, Inc. .............................................. 524,050 12,600 SCBT Financial Corp. ........................................... 408,114 93,424 United Security Bancshares, Inc. ............................... 771,682 ----------- 19,180,373 -----------
See Notes to Financial Statements. 5 SENBANC FUND SCHEDULE OF INVESTMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) COMMON STOCK -- (CONTINUED)
SHARES DESCRIPTION VALUE ------- ---------------------------------------------------------------- ----------- STATE & NATIONAL BANKS -- 16.4% 11,400 Bar Harbor Bankshares .......................................... $ 331,170 30,300 BCB Bancorp, Inc. .............................................. 335,724 64,700 BNC Bancorp .................................................... 526,658 13,017 DNB Financial Corp. ............................................ 137,655 40,207 Evans Bancorp, Inc. ............................................ 570,537 25,469 Firstbank Corp. ................................................ 171,916 75,500 Monarch Financial Holdings, Inc. ............................... 610,795 37,374 Republic Bancorp, Inc. ......................................... 640,590 69,546 VISIT Financial Corp. .......................................... 622,437 ----------- 3,947,482 ----------- TOTAL COMMON STOCK (COST $25,662,046) ....................... 23,127,855 ----------- TOTAL INVESTMENTS -- 96.4% (COST $25,662,046) .......................................... 23,127,855 ----------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.6% ............... 856,079 ----------- NET ASSETS -- 100% .......................................... $23,983,934 ===========
The following is a summary of the inputs used, as of February 28, 2011, in valuing the Fund's investments carried at value (See Note 1 in the Notes to Financial Statements):
LEVEL 2 LEVEL 3 TOTAL LEVEL 1 SIGNIFICANT SIGNIFICANT VALUE AT QUOTED OBSERVABLE UNOBSERVABLE FEBRUARY 28, 2011 PRICES INPUTS INPUTS ----------------- ----------- ----------- ------------ Investments in Securities* $23,127,855 $23,127,855 $-- $-- =========== =========== === ===
* Please refer to the Schedule of Investments for industry and security type breakouts. See Notes to Financial Statements. 6 SENBANC FUND STATEMENT OF ASSETS & LIABILITIES FEBRUARY 28, 2011 (UNAUDITED) ASSETS Investments, at value (Cost $25,662,046) ............................. $ 23,127,855 Cash and cash equivalents ............................................ 1,023,345 Receivables Investment adviser ................................................ 6,804 Dividends and interest ............................................ 4,081 Capital shares sold ............................................... 1,956 Prepaid expenses and other assets .................................... 11,084 ------------ Total assets ................................................... 24,175,125 ------------ LIABILITIES Payables Capital shares redeemed ........................................... 94,427 Transfer agent fees ............................................... 32,435 Distribution fees ................................................. 24,508 Professional fees ................................................. 17,617 Other accrued expenses and liabilities ............................... 22,204 ------------ Total liabilities .............................................. 191,191 ------------ Net Assets ........................................................... $ 23,983,934 ============ NET ASSETS CONSIST OF Par value ............................................................ $ 4,104 Paid-in capital ...................................................... 70,734,683 Undistributed net investment income .................................. 21,940 Accumulated net realized loss from investments ....................... (44,242,602) Net unrealized depreciation on investments ........................... (2,534,191) ------------ Net Assets ........................................................... $ 23,983,934 ============ Shares outstanding ($0.001 par value, 50,000,000 shares authorized) .. 4,104,486 ------------ Net asset value per share ............................................... $ 5.84(a) ============ Maximum offering price per share (NAV / 1 - 2.25%) ...................... $ 5.97(b) ============
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge. (b) On sales of $500,000 or more, the offering price is reduced. See Notes to Financial Statements. 7 SENBANC FUND STATEMENT OF OPERATIONS FOR THE SIX MONTHS ENDED FEBRUARY 28, 2011 (UNAUDITED) INVESTMENT INCOME Dividends .............................................. $ 232,967 Interest ............................................... 187 ----------- Total investment income ............................. 233,154 ----------- EXPENSES Advisory fees .......................................... 72,416 Distribution fees ...................................... 72,416 Transfer agent fees .................................... 54,274 Administration and accounting fees ..................... 54,247 Professional fees ...................................... 22,160 Printing and shareholder reporting fees ................ 12,576 Directors' and officers' fees .......................... 9,883 Custodian fees ......................................... 9,664 Registration and filing fees ........................... 8,515 Insurance fees ......................................... 4,165 Other expenses ......................................... 2,843 ----------- Total expenses before waivers and reimbursements .... 323,159 Less: waivers and reimbursements .................... (111,945) ----------- Net expenses after waivers and reimbursements ....... 211,214 ----------- Net investment income .................................. 21,940 ----------- NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS NET REALIZED GAIN/(LOSS) FROM: Investments ......................................... (9,733,142) NET CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON: Investments ......................................... 13,067,315 ----------- Net realized and unrealized gain from investments ...... 3,334,173 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...... $ 3,356,113 ===========
See Notes to Financial Statements. 8 SENBANC FUND STATEMENTS OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FOR THE FEBRUARY 28, 2011 YEAR ENDED (UNAUDITED) AUGUST 31, 2010 ----------------- --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) ..................................... $ 21,940 $ (68,447) Net realized loss from investments ............................... (9,733,142) (18,475,583) Net change in unrealized appreciation from investments ........... 13,067,315 15,208,788 ----------- ------------ Net increase/(decrease) in net assets resulting from operations ..... 3,356,113 (3,335,242) ----------- ------------ DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income ............................................ -- (145,047) Return of capital ................................................ -- (32,914) ----------- ------------ Net decrease in net assets from dividends and distributions to shareholders .................................................. -- (177,961) ----------- ------------ CAPITAL TRANSACTIONS: Proceeds from shares sold ........................................ 172,062 1,206,774 Reinvestment of distributions .................................... -- 165,569 Shares redeemed .................................................. (2,883,640) (6,145,293) ----------- ------------ Net decrease in net assets from capital transactions ................ (2,711,578) (4,772,950) ----------- ------------ Total increase/(decrease) in net assets ............................. 644,535 (8,286,153) NET ASSETS: Beginning of period .............................................. 23,339,399 31,625,552 ----------- ------------ End of period .................................................... $23,983,934 $ 23,339,399 =========== ============ Undistributed/accumulated net investment income, end of period ...... $ 21,940 $ -- =========== ============ SHARE TRANSACTIONS: Shares sold ...................................................... 29,319 211,834 Shares reinvested ................................................ -- 31,122 Shares redeemed .................................................. (515,819) (1,092,989) ----------- ------------ Total share transactions ............................................ (486,500) (850,033) =========== ============
See Notes to Financial Statements. 9 SENBANC FUND FINANCIAL HIGHLIGHTS
FOR THE SIX MONTHS ENDED FEBRUARY 28, FOR THE YEAR ENDED, AUGUST 31, 2011 ------------------------------------------------- (UNAUDITED) 2010 2009 2008 2007 2006 ------------ ------- ------- ------- -------- -------- PER SHARE OPERATING PERFORMANCE Net asset value: Beginning of period ..................... $ 5.08 $ 5.81 $ 8.25 $ 14.69 $ 16.57 $ 16.27 ------- ------- ------- ------- -------- -------- Net investment income/(loss) ............... 0.01 (0.01) 0.10 0.39 0.41 0.29 Net realized and unrealized gain/(loss) on investments .......................... 0.75 (0.67) (2.30) (5.52) (1.56) 0.44 ------- ------- ------- ------- -------- -------- Total from investment operations ........... 0.76 (0.68) (2.20) (5.13) (1.15) 0.73 ------- ------- ------- ------- -------- -------- Less distributions from: Net investment income ...................... -- (0.04) (0.24) (0.61) (0.31) (0.12) Net realized gain on investments ........... -- -- --* (0.70) (0.42) (0.31) Return of capital .......................... -- (0.01) -- -- -- -- ------- ------- ------- ------- -------- -------- Total distributions ........................ -- (0.05) (0.24) (1.31) (0.73) (0.43) ------- ------- ------- ------- -------- -------- Net asset value: End of period ........................... $ 5.84 $ 5.08 $ 5.81 $ 8.25 $ 14.69 $ 16.57 ======= ======= ======= ======= ======== ======== Total investment return .................... 14.96%** (11.98)% (26.47)% (37.08)% (7.47)% 4.52% (excludes sales charge) RATIOS/SUPPLEMENTAL DATA Net assets, end of period (000's omitted) .. $23,984 $23,339 $31,626 $51,867 $111,119 $185,593 Ratio of expenses to average net assets, including waivers ........... 1.75%*** 1.75% 1.73% 1.75% 1.53% 1.38% Ratio of expenses to average net assets, excluding waivers ........... 2.68%*** 2.37% 2.26% 1.79% 1.53% 1.38% Ratio of net investment income/(loss) to average net assets, including waivers ................................. 0.18%*** (0.24)% 1.43% 2.79% 1.84% 1.53% Ratio of net investment income/(loss) to average net assets, excluding waivers ................................. (0.75)%*** (0.86)% 0.90% 2.75% 1.84% 1.53% Portfolio turnover rate .................... 23.71%** 9.80% 3.11% 11.01% 9.74% 7.47%
---------- * Less than $(0.005) per share. ** Not annualized. *** Annualized. See Notes to Financial Statements. 10 SENBANC FUND NOTES TO FINANCIAL STATEMENTS FEBRUARY 28, 2011 (UNAUDITED) 1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The RBB Fund, Inc. ("RBB" or the "Company") was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. RBB is a "series fund," which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has eighteen active investment portfolios, including the Senbanc Fund (the "Fund"). As of the date hereof, the Fund offers one class of shares and is a non-diversified fund. RBB has authorized capital of one hundred billion shares of common stock of which 79.373 billion shares are currently classified into one hundred and thirty-three classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Fund commenced operations on July 8, 1999, as a separate portfolio (the "Predecessor Fund") of the Hilliard Lyons Research Trust. After the close of business on August 31, 2005, all of the assets and liabilities of the Predecessor Fund were transferred to the Fund, a newly created portfolio of the Company, that is continuing the business, including carrying forward the financial and performance history, of the Predecessor Fund. PORTFOLIO VALUATION -- The Fund's net asset value ("NAV") is calculated once daily at the close of regular trading hours on the New York Stock Exchange ("NYSE") (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System ("NASDAQ") market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued under the amortized cost method, which approximates fair value. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company's Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. FAIR VALUE MEASUREMENTS -- The inputs and valuation techniques used to measure fair value of the Fund's investments are summarized into three levels as described below: - Level 1 -- quoted prices in active markets for identical securities - Level 2 -- other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) - Level 3 -- significant unobservable inputs (including the Fund's own assumptions in determining the fair value of investments) See Notes to Financial Statements. 11 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A summary of the inputs used to value the Fund's investments as of February 28, 2011 is included with the Fund's Schedule of Investments. At the end of each calendar quarter, management evaluates the Level 2 and Level 3 assets and liabilities, if any, for changes in liquidity, including but not limited to: whether a broker is willing to execute at the quoted price, the depth and consistency of prices from third party services, and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the Level 1 and Level 2 assets and liabilities, if any, on a quarterly basis for changes in listings or delistings on national exchanges. Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund's investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities. For the six months ended February 28, 2011, there were no transfers between Levels 1, 2 and 3 for the Fund. USE OF ESTIMATES -- The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant. INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES -- The Fund records security transactions based on trade date. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as directors' or professional fees) are charged to all funds in proportion to their average net assets of RBB or in such other manner as the Company's Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from accounting principles generally accepted in the United States of America. U.S. TAX STATUS -- No provision is made for U.S. income taxes as it is the Fund's intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes. 12 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) CASH AND CASH EQUIVALENTS -- The Fund considers liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. OTHER -- In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote. 2. INVESTMENT ADVISER AND OTHER SERVICES Hilliard Lyons Research Advisors (the "Adviser"), a division of J.J.B. Hilliard, W.L. Lyons, LLC, provides management and investment advisory services to the Fund pursuant to an investment advisory agreement with the Company. For its services, the Adviser is paid a monthly fee at the annual rate of 0.60% of the Fund's average daily net assets. The Adviser has voluntarily agreed to limit the Fund's total operating expenses to 1.75%. This limit is calculated daily based on the Fund's average daily net assets. This limitation is effected in waivers of advisory fees and reimbursement of expenses exceeding the advisory fees as necessary. The Fund will not pay the Adviser at a later time for any amounts waived or any amounts assumed. The Adviser may terminate the voluntary limit at any time upon notice to the Company's Board of Directors. BNY Mellon Investment Servicing (US) Inc. ("BNY Mellon") serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. Included in the administration and accounting fees shown on the Statement of Operations are fees for providing regulatory administration services to RBB. For providing those services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to the Fund in proportion to its net assets of the Company. In addition, BNY Mellon serves as the Fund's transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets subject to certain minimum monthly fees. PFPC Trust Company ("PFPC Trust") is a member of The Bank of New York Mellon Corp. and provides certain custodial services to the Fund. PFPC Trust is entitled to receive a monthly fee equal to an annual percentage rate of the Fund's average daily net assets and is subject to certain minimum monthly fees. BNY Mellon Distributors Inc. ("BNY Mellon Distributors") provides certain administrative services to the Fund. The Board of Directors has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act, to allow the Fund to reimburse BNY Mellon Distributors for certain expenses incurred in connection with distribution activities. The Directors have authorized a payment of up to 0.60% of the Fund's average net assets annually to reimburse BNY Mellon Distributors for such expenses. For the six months ended February 28, 2011, BNY Mellon Distributors earned $382 in underwriting concessions. 13 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) Commissions on sales of $2,798 were paid by the Adviser for the six months ended February 28, 2011. Fund shares are subject to a maximum front-end sales charge of 2.25%. There is no sales charge on share purchases of $1 million or more; however, a 1% contingent deferred sales charge is imposed in the event of redemption within 12 months following any such purchase. 3. DIRECTOR COMPENSATION The Directors of the Company receive an annual retainer, meeting fees and out of pocket expenses for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2011 was $3,200. Certain employees of BNY Mellon are Officers of the Company. They are not compensated by the Fund or the Company. 4. INVESTMENT IN SECURITIES For the six months ended February 28, 2011, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:
Investment Securities ----------------------- Purchases Sales --------- ---------- $5,569,685 $8,396,330
5. FEDERAL INCOME TAX INFORMATION Management has analyzed the Fund's tax positions taken on federal income tax returns for all open tax years (August 31, 2007-2010) and has concluded that no provision for federal income tax is required in the Fund's financial statements. The Fund's federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue. As of February 28, 2011, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows: Cost of investments for tax purposes ....................... $25,662,046 ----------- Gross tax unrealized appreciation .......................... $ 2,024,864 Gross tax unrealized depreciation .......................... (4,559,055) ----------- Net tax unrealized depreciation on investments ............. $(2,534,191) ===========
Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. 14 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONTINUED) FEBRUARY 28, 2011 (UNAUDITED) The tax character of dividends and distributions paid were as follows:
FOR THE YEARS ENDED AUGUST 31, 2010 --------------- Distributions paid from: Ordinary income ................................ $145,047 Long-term capital gains ........................ -- Return of Capital .............................. 32,914 -------- $177,961 ========
Dividends paid from short-term capital gains are treated as ordinary income dividends for federal income tax purposes. For federal income tax purposes, capital loss carryforwards are available to offset future capital gains. As of August 31, 2010, the Fund had a capital loss carryforward of $21,028,861 that will expire as follows: August 31, 2018 ............................. $ 6,562,067 August 31, 2017 ............................. $14,466,794
Under federal tax law, foreign currency and capital losses realized after October 31 may be deferred and treated as having arisen on the first day of the following fiscal year. For the year ended August 31, 2010, the Fund deferred post-October capital losses of $13,480,599. 6. INDUSTRY CONCENTRATION RISK Since the Fund's investments are concentrated in the banking industry, as well as certain single large portfolio holdings, they are subject to risks in addition to those that apply to the general equity market. Events may occur that significantly affect the entire banking industry or single security; therefore, the Fund's share value may at times increase or decrease at a faster rate than the share value of a mutual fund with investments in many industries or smaller concentrations in single issuers. 7. NEW ACCOUNTING PRONOUNCEMENT In January 2010, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") No. 2010-06, "Improving Disclosures about Fair Value Measurements." ASU No. 2010-06 amends FASB Accounting Standards Codification Topic 820, Fair Value Measurements and Disclosures, to require additional disclosures regarding fair value measurements. Certain disclosures required by ASU No. 2010-06 are effective for interim and annual reporting periods beginning after December 15, 2009, and other required disclosures are effective for fiscal years beginning after December 15, 2010, and for interim periods within those fiscal years. Management has evaluated the impact and has incorporated the appropriate disclosures required by ASU No. 2010-06 in its financial statement disclosures. 15 SENBANC FUND NOTES TO FINANCIAL STATEMENTS (CONCLUDED) FEBRUARY 28, 2011 (UNAUDITED) 8. SUBSEQUENT EVENT Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were the following subsequent events: On April 12, 2011, the Board of Directors of the Company (the "Board") approved a plan of liquidation and termination ("Plan") providing for the liquidation of the Fund. Effective immediately, new account requests, exchanges into the Fund and purchase orders for Fund shares will no longer be permissible (other than those purchase orders received through dividend reinvestment). On or about July 29, 2011 (the "Liquidation Date"), the Fund will redeem all investors' shares at net asset value, and the Fund will terminate. Prior to the Liquidation Date, the Fund may begin liquidating securities and the Fund may invest all or part of the proceeds from the liquidation of portfolio securities in cash equivalent instruments or hold the proceeds in cash. As disclosed in the Prospectus, the Fund is permitted to depart from its stated investment objective and policies and to hold up to 100% of assets, as a temporary defensive measure, in cash or debt or money market instruments. During this time, the Fund may not achieve its investment objective. Until the Liquidation Date, shareholders may redeem their shares in the manner set forth in the Fund's current prospectus. The redemption of your shares will generally be considered a taxable event. 16 SENBANC FUND OTHER INFORMATION FEBRUARY 28, 2011 (UNAUDITED) PROXY VOTING A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request by calling Senbanc Fund at (800) 444-1854, at www.hilliard.com and on the SEC's website at http://www.sec.gov. QUARTERLY PORTFOLIO SCHEDULES The Fund files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year on Form N-Q. The Fund's Forms N-Q are available on the SEC's website at http://www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the SEC's Public Reference Room may be obtained by calling (202) 551-8090. CHANGE IN INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP ("D&T") was replaced as the independent registered public accounting firm to the Fund effective upon the completion of services related to the audit for the Fund's 2010 fiscal year. The Company's Audit Committee participated in, and approved, the decision to change auditors. D&T's reports on the Fund's financial statements for the fiscal years ended August 31, 2010 and August 31, 2009 contained no adverse opinion or disclaimer of opinion nor were they qualified or modified as to uncertainty, audit scope or accounting principles. During the Fund's fiscal years ended August 31, 2010 and August 31, 2009 and through November 11, 2010, (i) there were no disagreements with D&T on any matter of accounting principles or practices, financial statement disclosure or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of D&T, would have caused it to make reference to the subject matter of the disagreements in connection with its reports on the Fund's financial statements for such years, and (ii) there were no "reportable events" of the kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended. On November 11, 2010, the Company by action of its Board of Directors upon the recommendation of the Company's Audit Committee engaged PricewaterhouseCoopers LLP ("PwC") as the independent registered public accounting firm to audit the Fund's financial statements for the fiscal year ending August 31, 2011. During the Fund's fiscal years ended August 31, 2010 and August 31, 2009 and through November 11, 2010, neither the Company, its portfolios nor anyone on their behalf has consulted PwC on items which (i) concerned the application of accounting principles to a specified transaction, either completed or proposed, or the type of audit opinion that might be rendered on the Fund's financial statements or (ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv) of Item 304 of Regulation S-K) or reportable events (as described in paragraph (a)(1)(v) of said Item 304). PwC also serves as independent registered public accounting firm for certain of the Company's other portfolios. 17 [THIS PAGE INTENTIONALLY LEFT BLANK] [THIS PAGE INTENTIONALLY LEFT BLANK] INVESTMENT ADVISER Hilliard Lyons Research Advisors 500 West Jefferson Street Louisville, KY 40202 ADMINISTRATOR BNY Mellon Investment Servicing (US) Inc. 301 Bellevue Parkway Wilmington, DE 19809 TRANSFER AGENT BNY Mellon Investment Servicing (US) Inc. 4400 Computer Drive Westborough, MA 01581 UNDERWRITER BNY Mellon Distributors Inc. 760 Moore Road King of Prussia, PA 19406 CUSTODIAN PFPC Trust Company 301 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM PricewaterhouseCoopers LLP Two Commerce Square, Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 LEGAL COUNSEL Drinker Biddle & Reath LLP One Logan Square, Ste. 2000 Philadelphia, PA 19103-6996 (HILLIARD LYONS LOGO) SENBANC FUND SENBANC OF THE RBB FUND, INC. SEMI-ANNUAL REPORT FEBRUARY 28, 2011 (UNAUDITED) This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund. Shares of Senbanc Fund are distributed by BNY Mellon Distributors Inc., 760 Moore Road, King of Prussia, PA 19406. ITEM 2. CODE OF ETHICS. Not applicable. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Not applicable. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. Not applicable. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable. ITEM 6. INVESTMENTS. (a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form. (b) Not applicable. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. Not applicable. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item. ITEM 11. CONTROLS AND PROCEDURES. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the "1940 Act") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 12. EXHIBITS. (a)(1) Not applicable. (a)(2) Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. (a)(3) Not applicable. (b) Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) THE RBB FUND, INC. By (Signature and Title)* /s/ Salvatore Faia ------------------------------------------ Salvatore Faia, President (principal executive officer) Date April 21, 2011 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Salvatore Faia ------------------------------------------ Salvatore Faia, President (principal executive officer) Date April 21, 2011 By (Signature and Title)* /s/ Joel Weiss ------------------------------------------ Joel Weiss, Treasurer (principal financial officer) Date April 21, 2011 * Print the name and title of each signing officer under his or her signature. EX-99.CERT 2 y89713exv99wcert.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 21, 2011 /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 21, 2011 /s/ Joel Weiss ---------------------------------------- Joel Weiss, Treasurer (principal financial officer) EX-99.906CERT 3 y89713exv99w906cert.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, 2011 (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 21, 2011 /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, 2011 (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 21, 2011 /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.