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[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Adviser's Report
October 25, 1999
Dear Fellow Shareholder:
As your Funds' adviser, we are pleased to report the annual results for the n/i
numeric investors family of funds (the "Funds") for the fiscal year ended
August 31, 1999.
In addition to discussing our Funds' returns and recent market conditions, we
have chosen to begin this report with a special section describing how we at
Numeric Investors L.P.(R) ("Numeric") are attempting to better align the
relationship between the fund family and its shareholders. Related to this, you
will have already received a proxy asking you to vote on a proposed change to
the Investment Advisory Agreement. If this change is approved, the contractual
Investment Advisory Fee paid to Numeric will be lower than the current advisory
fee if we fail to beat each of our benchmarks by at least 3% per year, but will
be higher if we succeed. This shift to a "Fulcrum Fee" arrangement is one step
of several (described below) that we are undertaking to better align the
interests of our shareholders and the management of the n/i numeric investors
family of funds.
A MORE THOUGHTFUL RELATIONSHIP BETWEEN YOUR FUND AND ITS SHAREHOLDERS
Numeric has been giving careful thought to the relationship that should exist
between the n/i numeric investors family of funds and its shareholders. We have
decided to formalize this shareholder-friendly relationship with the expectation
that thoughtful investors will appreciate the advantages of such a relationship.
It is precisely these thoughtful investors who we hope will become loyal and
long-lasting shareholders of the Funds. For Numeric, this relationship is less
an initiative for change than an endorsement of our existing business practices,
but with a few enhancements added.
. First, we at Numeric believe that a mutual fund should consistently pursue
its stated investment objectives and remain true to its "style". Numeric's
quantitative processes lend themselves to such discipline because the
models and the investment process are consistent through time, because we
select stocks narrowly from the appropriate universe for each Fund, and
because we are always fully invested. This means that the Funds always will
provide exposure to the target market segment you are seeking. It also
means that your Fund's returns should not be compared to the return of the
S&P 500 Index, because that is not the market segment within which any of
the Funds invest.
. Second, Numeric believes that actively managed funds must do everything
within their power and authority to generate excess returns above the
average return of the universe in which you are investing. We are well
aware that passive or index-fund alternatives exist and that such
alternatives always have lower management fees and often generate returns
superior to many actively managed funds. Whereas Numeric is committed to
doing everything that we can to generate excess returns for our
shareholders, we want you to recognize that we cannot add value in all
markets and at all times. Thus, there will be periods of time when the
Funds fail to add value.
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. Third, Numeric must identify the appropriate benchmark index for each
strategy, and attempt to control portfolio risk relative to this benchmark.
Each Fund's benchmark is identified later in this report and you can see
how each Fund's portfolio structure hews closely to the benchmark's
structure. Again, this reemphasizes that the S&P 500 Index will not be the
appropriate comparison for your Fund's returns.
. Fourth, Numeric must focus its resources on the investment process through
quantitative research, disciplined portfolio management, and cost-effective
trading. Of the forty people employed at Numeric, twenty-two are directly
involved in the investment process.
. Fifth, Numeric intends to limit the assets under management in each Fund to
a level that permits us to trade the strategies without incurring such
large transaction costs that they consume the value of the investment
insight. A growing body of research indicates that successful mutual funds
often take on so many assets that they can no longer remain true to their
investment style, nor can they trade their positions cost effectively. The
result is their ability to add value is diminished or eliminated, precisely
because they have been so successful previously that they have attracted
more assets than they can manage. Numeric remains committed to closing your
Funds at modest asset levels to preserve our ability to add value for
shareholders.
. Sixth, we do not believe that the cost structure of the Funds should
contain any distribution fees or loads. Such fees or loads are permitted by
the SEC to help a fund grow its assets to a critical mass, but based on our
current asset- level objectives being so modest such fees seem
inappropriate. The n/i numeric investors family of funds offers only pure
no-load funds to its investors, thus assuring that shareholder returns are
not diminished for the cost of growing the Funds, especially given that
such growth is not in the shareholders long-term interest.
. Seventh, Numeric will actively discourage short-term investors from
investing in the Funds because their trading in and out of the Funds adds
to transaction costs and diminishing returns for all of us. In addition,
the Funds have such limited capacity that we do not want investors who are
not committed for the long term. Because the Funds have no loads and
provide disciplined exposures to certain market segments, the Funds may be
attractive as a short-term investment to the market-timer who believes that
a particular market segment is poised to outperform the broad market.
However, we endeavor to add value over the long- term by remaining true to
our quantitative investment process. This process does not pay off in all
markets but we believe that our objective of adding value over longer
market cycles is reasonable. We want to attract investors who will remain
with us through these cycles. Accordingly, effective December 1, 1999, we
are implementing a redemption fee of 1%, payable into the Fund (to you, the
remaining shareholder, and not to Numeric) for any shareholder who redeems
their investment in the Fund within six months of first investing.
. Eighth, Numeric has proposed a change in our advisory agreement whereby
Numeric's advisory fee will vary as a function of how much added value we
generate for our shareholders. If we fail to at least match the return of
the benchmark, our advisory fee will be 0.35% per year, or less than half
of its present level of 0.75% per year. If we match the return of the
benchmark or exceed it by up to 0.99%, our fee increases to 0.45%. Our fees
will increase by 0.10% for every 1% return we generate for our shareholders
above the return of the benchmark. This means that our advisory fee will be
equal to the current flat fee of 0.75% if the Funds beat the return of
their benchmarks by at least 3% but less than 4%. If we exceed the return
of a Fund's benchmark by 9% or more over any year, the advisory fee is
capped at a maximum of 1.35%. We have proposed such a performance-sharing
arrangement because we believe it aligns the interests of the shareholders
and our firm. The more dollars of excess return we can generate for our
shareholders, the more we are paid. And if we fail to generate positive
excess returns over a period (as we almost certainly will at times), then
our fees could possibly decline to the minimum level of 0.35%. In addition,
as discussed in the proxy statement, if the proposal is approved, Numeric
will undertake to limit other normal fund operating expenses (other than
the advisory fee) to no more than 0.50% per year. If necessary, Numeric
will waive our advisory fee and/or reimburse fund operating expenses to
ensure such expenses do not exceed the voluntary limitation. By now, you
should have received a proxy asking you to vote on this matter prior to a
special meeting of shareholders scheduled for November 22, 1999. We urge
you to return your proxy card promptly.
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FUNDS' RETURNS FOR THE FISCAL YEAR ENDED AUGUST 31, 1999
All four of the Funds that have been in existence for at least one year
generated strong positive absolute returns during the fiscal year ended August
31, 1999. These returns are displayed in Table 1 below. Detailed performance
data for each Fund can be found in the "Financial Highlights" and the line graph
sections of this report.
TABLE 1: 12-MONTH FUND RETURNS THROUGH AUGUST 31, 1999
Fund Return
------------------- --------
Micro Cap Fund +56.09%
Growth Fund +52.80%
Growth & Value Fund +41.61%
Larger Cap Value Fund +26.01%
Small Cap Value Fund +7.17%**
** Nine months from November 30, 1998 through August 31, 1999
The n/i numeric investors family of funds are managed to provide exposure to
distinct domains of the stock market, delineated by capitalization and growth /
value exposures. Each Fund buys stocks from within these domains and remains
near fully invested under normal market conditions in such stocks. Thus, the
Funds do not allow cash to build up to `time the market', and they contain
stocks that are consistent with each Fund's stated investment style.
For the most part, the domains of the Funds are distinct from the S&P 500 Index,
thus making the S&P 500 Index an inappropriate benchmark for the Funds. As of
August 31, 1999 the fifty largest companies in the S&P 500 comprised 57.4% of
the Index's capitalization weight. Thus more than half of the returns of the S&P
500 Index are now determined by the returns of fifty very large companies that
are predominantly "growth stocks". These very large growth stocks are not
appropriate investments for most of the Funds, so comparing the Funds' returns
to the S&P 500 Index is "comparing apples and oranges".
TABLE 2: 12-MONTH BENCHMARK RETURNS THROUGH AUGUST 31, 1999
Fund Benchmark Index Benchmark Return
---------------------- ------------------- ----------------
Micro Cap Fund Russell 2000 Growth +43.31%
Growth Fund Russell 2500 Growth +51.03%
Growth & Value Fund S&P MidCap 400 +41.58%
Larger Cap Value Fund Russell 1000 Value +30.08%
Small Cap Value Fund Russell 2000 Value + 1.65%**
** Nine months from November 30, 1998 through August 31, 1999
In lieu of the S&P 500 Index, we compare the performance of each of the Funds
with industry-standard benchmarks that we believe best represent the return of
each of our investable market domains. In this way, we can determine if we have
been successful in adding value within the domain in which we are investing. The
benchmark for each of the five Funds, and the 12-month return of each benchmark,
is shown in Table 2 above.
As active managers, it is our mission to strive to generate returns that are
above the returns available from the appropriate domain of the market. Of course
there can be no guarantee that we will be successful in our effort to `beat the
market' and there have been periods in the past when we have lagged these
benchmark indices. For the twelve months ended August 31, 1999, three of the
four Funds that had been in existence for a full year were able to generate
returns in excess of their respective benchmarks. In addition, the Small Cap
Value Fund beat its benchmark during the nine months since its inception. Table
3 compares the Funds' twelve-month returns with the returns of their benchmarks.
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TABLE 3: FUND VERSUS BENCHMARK RETURNS
TWELVE OR NINE MONTHS ENDED AUGUST 31, 1999
Fund Fund Return Benchmark Return Difference
--------------------- ----------- ---------------- ----------
Micro Cap Fund +56.09% +43.31% +12.78%
Growth Fund +52.80% +51.03% +1.77%
Growth & Value Fund +41.61% +41.58% +0.03%
Larger Cap Value Fund +26.01% +30.08% -4.07%
Small Cap Value Fund +7.17% ** +1.65%** +5.52%
** Nine-month returns ended August 31, 1999
FUNDS' RETURNS FOR THE SIX MONTHS ENDED AUGUST 31, 1999
The Funds' returns for the most recent six months compare especially favorably
with their benchmarks. We believe that the rebound in relative returns since
last February demonstrates the strength and durability of our systematic and
disciplined investment process.
TABLE 4: FUND VERSUS BENCHMARK RETURNS
SIX MONTHS ENDED AUGUST 31, 1999
Fund Fund Return Benchmark Return Difference
-------------------- ----------- ---------------- ----------
Micro Cap Fund +18.31% +10.85% +7.46%
Growth Fund +22.35% +17.16% +5.19%
Growth & Value Fund +14.82% +10.92% +3.90%
Larger Cap Value Fund +6.42% +6.16% +0.26%
Small Cap Value Fund +14.21% +8.73% +5.48%
FUNDS' RETURNS SINCE INCEPTION
Four of the five Funds have been in existence for more than a year and three of
these four have generated average annualized returns greater than their
benchmarks' annualized returns. We are proud of these returns but again caution
that past returns are not necessarily predictive of future results.
TABLE 5: AVERAGE ANNUALIZED RETURNS SINCE INCEPTION
Fund Benchmark Inception
Fund Return Return Difference Date
--------------------- --------- --------- ---------- ---------
Micro Cap Fund +21.97% +3.50% +18.47% 6/03/96
Growth Fund +12.66% +7.73% +4.93% 6/03/96
Growth & Value Fund +20.90% +17.96% +2.94% 6/03/96
Larger Cap Value Fund +7.79% +12.07% -4.28% 12/09/97
Small Cap Value Fund +7.17%** +1.65%** +5.52%** 11/30/98
** Nine-month rates of return and difference
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Because the Small Cap Value Fund has not been in existence for a full year yet,
it is inappropriate to compare annualized rates of return between the Fund and
its benchmark. For the first nine months of the Small Cap Value Fund's
existence, its return has exceeded the return of its benchmark by more than 5%.
THREE ORIGINAL n/i FUNDS RECEIVE MORNINGSTAR RATINGS*
The three original n/i funds that were launched on June 3, 1996 reached their
third anniversary this year. Morningstar, the mutual fund evaluation service,
follows these Funds. We were pleased that at September 30, 1999, Morningstar
awarded the Micro Cap Fund five stars (their highest ranking) within its peer
group category, while the Growth & Value Fund was awarded four stars within its
peer group category and the Growth Fund was awarded three stars within its peer
group category. Morningstar is placing increasing emphasis on ranking funds
within their appropriate peer groups so investors can better compare funds with
like investment objectives. (Morningstar, Inc. is an independent fund
performance monitor and its ratings may change monthly).
*The Morningstar Risk-Adjusted Rating brings both performance and risk together
into one evaluation. To determine a fund's star rating for a given period
(three, five, or 10 years), the fund's Morningstar Risk score is subtracted from
its Morningstar Return score. The resulting number is plotted along a bell curve
to determine the fund's rating for each time period. If the fund scores in the
top 10% of its investment category (small cap growth, mid cap blend, large cap
value, etc.), it receives 5 stars (Highest); if it falls in the next 22.5%, it
receives 4 stars (Above Average); a place in the middle 35% earns it 3 stars
(Neutral or Average); those in the next 22.5% receive 2 stars (Below Average);
and the bottom 10% get 1 star (Lowest). The Category (peer group) Rating does
not reflect any front-end or deferred loads. Other expenses are included. The
star ratings are recalculated monthly. Past performance is not predictive of
future performance.
MARKET AND ECONOMIC COMMENTARY
In our March 12, 1999 letter accompanying the Semi-Annual Report to
Shareholders, we commented that the recent market environment through February
1999 had been highly unusual because large-cap growth stocks had so thoroughly
dominated the market. This pattern had begun more than five years prior and
reached a crescendo through 1998 and into the first quarter of 1999. In our
prior report, we presented a chart similar to the one below that plotted returns
by capitalization in 1998 and the first two months of 1999 for the 3000 stocks
comprising the Russell 3000 Index.
A VERY NARROW MARKET IN 1998 & AGAIN IN EARLY 19999
CAP-WEIGHTED AVERAGE RETURNS OF EACH CAPITALIZATION STRATUM
[CHART]
1998 Jan & Feb 1999
---- --------------
Mega 50 40% 1.3%
Larger 150 24% 2.6%
Mid-Large 300 13.0% -3.4%
Mid-Cap 500 2.0% -5.9%
Smaller 2000 .003% -8.1%
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In the chart above, note that the largest 50 stocks (the "Mega 50") produced
more than a 40% return in 1998, whereas the smaller 2000 stocks (ranked 1001
through 3000 in capitalization) produced essentially no return at all. Extending
the time period through the difficult first two months of 1999, the chart shows
that the smaller 2500 companies in the Russell 3000 produced negative returns
over the fourteen months ending February 1999. This weak performance by smaller
and midcap stocks stands in stark contrast to the excellent returns of widely
followed large cap indices like the S&P 500, whose total return was almost 30%
over this period. Given that internet stocks were also superb performers over
this period and most internet stocks were found (at least initially) among the
smaller 2000 companies of the Russell 3000 Index, the weakness in smaller
companies would have been even more noticeable if the internet stocks had not
been present.
Much of the market's remarkable large cap bias in 1998 and early 1999 was
understandable, after the fact, given market and economic conditions. During
1998 and through March 1999, analysts lowered their earnings expectations for
smaller and midcap companies far more severely than they cut estimates for the
largest companies.
Compared to expectations at the beginning of 1998, actual earnings realized by
the end of 1998 were 31% more disappointing among the smallest 2000 stocks than
among the largest 50. Thus three-quarters of the 40% differential in 1998
returns between the largest 50 and the smaller 2000 stocks was economically
justified by the more severe earnings disappointments of smaller stocks. We
believe that the additional 10% spread in returns between the megacap 50 stocks
and the broad market in 1998 was caused by a flight to quality in response to
the scary market conditions during the summer and early fall of 1998. The
falling market and the near gridlock of the financial markets in the summer and
fall of 1998 caused investors to flee into the safest, most liquid (i.e.
largest) companies and the highest quality debt instruments.
Once the crisis had passed however, this quality premium should have dissipated,
thus allowing the smaller, slower growing stocks to partially catch up with the
largest, safest companies. The quality premium did not begin to dissipate as
soon as the crisis was over however. Instead, we believe momentum investors
chased the hot-performing internet stocks and jumped into S&P 500 Index funds
through the first quarter of 1999. We believe the shift of retail and
institutional assets into index funds caused buying pressure in the index
constituents and selling pressure elsewhere in the market as other portfolios
and mutual funds were liquidated.
Comparison of Forecast P/E Ratios
Russell Top 200 Index Vs Russell MidCap Index (Through August 1999)
[GRAPH]
Top 200 MidCap
Dec-78 8.1 6.8
Jan-79 8.1 6.9
Feb-79 8.1 7.1
Mar-79 8.1 7.2
Apr-79 7.9 7.2
May-79 7.8 7.1
Jun-79 7.6 7.1
Jul-79 7.7 7.2
Aug-79 7.7 7.3
Sep-79 7.8 7.4
Oct-79 7.7 7.4
Nov-79 7.7 7.3
Dec-79 7.6 7.3
Jan-80 7.4 6.9
Feb-80 7.2 6.6
Mar-80 7 6.2
Apr-80 7.1 6.6
May-80 7.3 7
Jun-80 7.4 7.4
Jul-80 7.6 7.6
Aug-80 7.8 7.8
Sep-80 8 8
Oct-80 8.3 8
Nov-80 8.5 8
Dec-80 8.8 8
Jan-81 8.5 8.1
Feb-81 8.2 8.3
Mar-81 7.9 8.4
Apr-81 7.9 8.4
May-81 7.8 8.4
Jun-81 7.8 8.4
Jul-81 7.3 7.8
Aug-81 6.9 7.3
Sep-81 6.4 6.7
Oct-81 6.6 7
Nov-81 6.9 7.2
Dec-81 7.1 7.5
Jan-82 6.9 7.2
Feb-82 6.7 6.9
Mar-82 6.5 6.6
Apr-82 6.6 6.7
May-82 6.8 6.7
Jun-82 6.9 6.8
Jul-82 7.1 7.1
Aug-82 7.3 7.4
Sep-82 7.5 7.7
Oct-82 8 8.3
Nov-82 8.6 9
Dec-82 9.1 9.6
Jan-83 9.2 9.8
Feb-83 9.3 9.9
Mar-83 9.4 10.1
Apr-83 9.8 10.6
May-83 10.2 11.2
Jun-83 10.6 11.7
Jul-83 10.3 11.4
Aug-83 10 11.2
Sep-83 9.7 10.9
Oct-83 9.7 10.8
Nov-83 9.6 10.6
Dec-83 9.6 10.5
Jan-84 9.3 10
Feb-84 8.9 9.5
Mar-84 8.6 9
Apr-84 8.5 8.9
May-84 8.4 8.9
Jun-84 8.3 8.8
Jul-84 8.3 8.9
Aug-84 8.4 8.9
Sep-84 8.4 9
Oct-84 8.5 9.1
Nov-84 8.7 9.3
Dec-84 8.8 9.4
Jan-85 9 9.5
Feb-85 9.1 9.6
Mar-85 9.3 9.7
Apr-85 9.6 10.1
May-85 10 10.6
Jun-85 10.3 11
Jul-85 10 10.7
Aug-85 9.8 10.3
Sep-85 9.5 10
Oct-85 10 10.6
Nov-85 10.5 11.2
Dec-85 11 11.8
Jan-86 11.4 12.2
Feb-86 11.7 12.6
Mar-86 12.1 13
Apr-86 12.5 13.3
May-86 12.8 13.6
Jun-86 13.2 13.9
Jul-86 12.7 13.4
Aug-86 12.2 13
Sep-86 11.7 12.5
Oct-86 12 12.6
Nov-86 12.3 12.6
Dec-86 12.6 12.7
Jan-87 13.3 13.1
Feb-87 13.8 14
Mar-87 14.2 14.2
Apr-87 13.9 13.6
May-87 13.5 13.5
Jun-87 14.8 13.7
Jul-87 14.6 13.8
Aug-87 15 14.3
Sep-87 14.6 14
Oct-87 11.6 10.4
Nov-87 10.7 9.8
Dec-87 11.4 10.7
Jan-88 11.1 10.2
Feb-88 11.5 10.9
Mar-88 11 10.9
Apr-88 11 10.8
May-88 10.6 10.5
Jun-88 11.2 11
Jul-88 10.7 10.3
Aug-88 10.1 9.9
Sep-88 10.6 10.2
Oct-88 10.8 10.3
Nov-88 10.5 9.9
Dec-88 10.7 10.3
Jan-89 10.8 10.3
Feb-89 10.4 10.2
Mar-89 10.6 10.4
Apr-89 11.1 10.9
May-89 11.5 11.4
Jun-89 11.3 11.4
Jul-89 12.1 11.7
Aug-89 12.2 12.1
Sep-89 12.3 12.1
Oct-89 12.3 11.8
Nov-89 12.6 12.1
Dec-89 13.1 12.4
Jan-90 11.6 10.8
Feb-90 11.9 11.1
Mar-90 12.2 11.5
Apr-90 12 11.2
May-90 13.1 12.3
Jun-90 13.1 12.1
Jul-90 12.4 11.2
Aug-90 11.4 10.1
Sep-90 11 9.6
Oct-90 11.2 9.5
Nov-90 12.1 10.7
Dec-90 12.5 11.3
Jan-91 12.6 11.5
Feb-91 13.8 12.8
Mar-91 14.3 13.4
Apr-91 14.6 13.6
May-91 15.2 14.4
Jun-91 15 13.7
Jul-91 14.6 13.5
Aug-91 15 14
Sep-91 14.9 14.1
Oct-91 15.3 14.5
Nov-91 14.9 14.1
Dec-91 16.6 15.7
Jan-92 15.4 14.5
Feb-92 15.7 15.1
Mar-92 15.4 14.6
Apr-92 15.8 14.7
May-92 15.1 14.8
Jun-92 15.5 14.8
Jul-92 15 14.3
Aug-92 14.7 14.1
Sep-92 14.9 14.4
Oct-92 15.1 14.9
Nov-92 15.9 15.6
Dec-92 16.2 16
Jan-93 15 15.2
Feb-93 15.2 15.3
Mar-93 15.7 15.7
Apr-93 15.5 15.4
May-93 15.5 15.8
Jun-93 15.6 15.9
Jul-93 14.7 15
Aug-93 15.2 15.7
Sep-93 15.2 15.7
Oct-93 15.5 15.7
Nov-93 15.3 15.3
Dec-93 15.4 15.8
Jan-94 14.8 15.3
Feb-94 14.4 15
Mar-94 13.7 14.3
Apr-94 13.8 14.5
May-94 14 14.4
Jun-94 13.6 14.2
Jul-94 13.2 13.6
Aug-94 13.5 14.3
Sep-94 13.2 14
Oct-94 13.3 14
Nov-94 12.8 13.2
Dec-94 12.9 13.3
Jan-95 12.5 12.5
Feb-95 12.9 13
Mar-95 13.2 13.3
Apr-95 13.4 13.4
May-95 13.7 13.6
Jun-95 13.8 14.3
Jul-95 13.6 14.1
Aug-95 13.6 14.1
Sep-95 14.3 14.4
Oct-95 14.3 14.1
Nov-95 14.9 14.8
Dec-95 15.1 15
Jan-96 15 14.5
Feb-96 15.1 14.9
Mar-96 15.3 15.2
Apr-96 15.6 15.8
May-96 15.6 16.1
Jun-96 16.2 16.2
Jul-96 14.6 14.4
Aug-96 14.8 15.1
Sep-96 15.7 16
Oct-96 16.1 16.1
Nov-96 17.2 16.9
Dec-96 16.9 16.8
Jan-97 17 16.4
Feb-97 16.9 16.3
Mar-97 16.4 15.5
Apr-97 17.4 15.8
May-97 17.9 16.9
Jun-97 19.1 17.5
Jul-97 19.4 17.9
Aug-97 18.4 17.4
Sep-97 19.1 18.2
Oct-97 18.9 17.6
Nov-97 19.8 18.1
Dec-97 20.3 18.5
Jan-98 19.3 17.3
Feb-98 21 18.7
Mar-98 22.4 19.8
Apr-98 22.8 20
May-98 22.5 19.3
Jun-98 23.7 20
Jul-98 22.7 18
Aug-98 19.4 15.1
Sep-98 20.9 16.4
Oct-98 22.9 17.9
Nov-98 24.7 19
Dec-98 26 20.3
Jan-99 25.8 19
Feb-99 24.7 18.6
Mar-99 25.6 19.1
Apr-99 26.3 20.6
May-99 25.1 20.7
Jun-99 27.7 21.1
Jul-99 25.3 19.2
Aug-99 25.1 18.9
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By the end of March 1999, the largest stocks in the market were selling at
historically high multiples of earnings. In addition, the valuation multiples of
the largest stocks were at record spreads above the valuation multiples of
smaller and midcap stocks. This can be seen in the chart above, which compares
the ratio of price to forecast earnings (the p/e ratio) of the Russell Top 200
Index (comprised of the 200 largest U.S. companies) with the p/e ratio of the
Russell Midcap Index. The Russell Midcap Index contains the next largest eight
hundred stocks in the U.S. Note how the two indices had similar p/e ratios for
most of their history, from the end of 1978 through 1996, indicating that the
largest stocks had never sold at premium multiples of earnings compared to
midcap stocks over that period. Since early 1997 however, the Top 200's p/e
ratio began to climb above the p/e ratio of the Midcap Index. The chart shows
that the average p/e ratio of the Russell Top 200 Index (25.1 times earnings)
was 33% higher than the average p/e ratio of the Russell Midcap Index (18.9) at
the end of August. The p/e ratio of the Russell Top 200 Index was at a 34%
premium above the p/e ratio of the Midcap Index at the end of March.
The market's preference for the largest growth stocks and internet stocks
continued into the middle of April, whereupon it reversed sharply. From mid-
April through the end of May, smaller cap and value stocks produced a potent
rally as larger cap and growth stocks languished. We perceive that this shift
occurred for three reasons. First, the powerful economic and market forces that
had favored larger, safer growth stocks had carried the relative valuation of
these glamour growth stocks to extraordinarily rich valuations compared to the
rest of the market. Second, the stimulus of better earnings reports across the
broad market indicated that the gloom that had prompted the prior flight to
quality had now dissipated, making the rich valuations of the largest, safest
companies appear excessive in a more benign economic environment. Third, with
smaller companies experiencing the same favorable earnings announcements as
their larger brethren, the returns of smaller companies were no longer
disadvantaged as their earnings forecasts were revised downward.
Returns Have Broadened Over the Past Six Months
Cap-weighted Average Returns of Each Capitalization Stratum
[CHART]
1998 Jan & Feb Mar & Aug
Mega 50 40% 1.3% 5.9%
Larger 150 24% 2.6% 4.6%
Mid-Large 300 13.0% -3.4% 10.6%
Mid-Cap 500 2.0% -5.9% 12.2%
Smaller 2000 .003% -8.1% 12.8%
In the chart above, we have added a third set of bars to the first chart on page
5. The third (green) set of bars plots the average return of each capitalization
range over the six months from March through August 1999. Note how the green
bars slope upward to the right, indicating that smaller stocks generated better
returns than larger over this most recent six-month period.
7
<PAGE>
A broadening market is helpful to your Fund's absolute and benchmark-relative
returns. For much of the last several years, investors have looked with envy at
the S&P 500 Index and the index funds that mimic it, because so much of the rest
of the market was unable to generate positive returns. Over the six months ended
August 1999, the S&P 500 Index was not the "fastest rabbit" in the market
because the largest 50 companies, which make up more than half of the
capitalization of the S&P 500 Index, produced lower returns than the broad
market. Small cap investors and managers who buy stocks on their investment
merits (rather than their capitalization weighting in the index) produced better
returns than the S&P 500 Index. Finally, active managers looked smart after
years of lagging the index.
SUCCESS OF THE NUMERIC STOCK SELECTION MODELS
A broader market also helps benchmark-relative returns because it spreads
returns more evenly throughout the market, allowing the stock selection models a
more level opportunity set from which to identify superior performing stocks.
Nonetheless, the twelve months ended August 31, 1999 proved to be a difficult
market environment for our stock selection models. The market's strong
preference for large cap growth stocks and stocks with positive price momentum
through mid-April 1999 gave our models below-average stock selection power
during the first seven months of our fiscal year. During the second half of the
fiscal year, the aforementioned shift in favor of value favored the Fair Value
model but impaired the Estrend(TM) model. Through the summer, as the Federal
Reserve began a tightening sequence, the Estrend(TM) model returned to power.
The uncertainty surrounding further Fed tightening continues to feed the manic
tendencies of the market, causing swings in market preferences from month to
month.
Other commentators have observed that the recent market has been one of the
narrowest, large cap market environments, with the most perverse returns to
undervalued (low p/e) stocks, since World War II. We concur that the recent
environment has been unusually difficult and believe that it is unlikely to
persist over the long term. Nonetheless, we are continuing our research to
improve our stock selection processes and are confident that this research will
continue to bear fruit with more powerful and consistent stock selection
techniques.
Y2K READINESS
Numeric has been working on this issue since December of 1997. We believe we
have prepared a solid contingency plan should anything occur for which we have
not already taken corrective steps.
Our Y2K plan has been a firm-wide effort with all department heads and senior
management actively involved in the process, from plan approval to plan
implementation. Our transfer agent, PFPC, informs us it has remediated, tested
and moved into its internal interface programs and has successfully completed
testing with its critical outside vendors. PFPC has developed and continues to
refine its contingency plans to address any unexpected problems that might
arise. Both PFPC and Numeric will have staff available during the critical
moments when computer systems are making the switch from 1999 to 2000.
8
<PAGE>
PORTFOLIO RETURNS
MICRO CAP FUND
The Micro Cap Fund returned 56.09% for the fiscal year ended August 31, 1999.
This robust return is gratifying on an absolute basis and compares very
favorable to the pre-established benchmark, the Russell 2000 Growth Index. The
benchmark is an unmanaged index of smaller capitalization growth stocks, which
returned 43.31% over the same period. Since the Fund's inception on June 3,
1996, the Fund has returned a compound average of 21.97% per year, far outpacing
the benchmark's annualized return of 3.50%.
Since technology stocks dominate the smaller cap growth stock universe, the
Fund's largest sector exposure, 35% is in the technology area. Consumer non-
cyclical stocks also show above average growth rates and as of August 31, 1999
account for almost 17% of the fund.
Economic Sector Diversification
n/i numeric investors Micro Cap Fund
[CHART]
Percent of Portfolio
Basic Industries (2%)
Consumer Cyclicals (16%)
Consumer Non-Cyclicals (16%)
Energy (3%)
Financial (7%)
Industrial (14%)
Technology (35%)
Utilities (2%)
Gas (5%)
Sector Deviation of n/i numeric investors Micro Cap Fund
Difference between Fund and Russell 2000 Growth Index
[CHART]
Basic Industries -0.53%
Consumer Cyclicals 1.31%
Consumer Non-Cyclicals -2.64%
Energy 0.78%
Financial -2.30%
Industrial 1.13%
Technology -0.02%
Utilities -2.43%
9
<PAGE>
GROWTH FUND
The Growth Fund returned 52.80% for the fiscal year ended August 31, 1999. This
return was very pleasing both on an absolute basis and when compared to its
benchmark, the Russell 2500 Growth Index (an unmanaged index of smaller and
medium capitalization growth stocks), which returned 51.03%. This positive
return further enhances the long-term relative performance of the Growth Fund.
Since inception on June 3, 1996, the Fund has returned an average of 12.66% per
year, compared with the Russell 2500 Growth Index annualized return of 7.73%
over the same period.
The portfolio continues to carry a substantial weighting in the growth-oriented
sectors of the economy, including the technology and consumer non-cyclical
areas. Our main stock selection model, Estrend(TM) has demonstrated very good
predictive power in these areas as positive earnings revisions tend to drive
stock prices. The sector distribution of the portfolio tracks the benchmark
fairly closely, with the largest deviation being the technology sector, which is
just 2.31% overweighted versus the benchmark.
Economic Sector Diversification
n/i numeric investors Growth Fund
[CHART]
Percent of Portfolio
Basic Industries (2%)
Consumer Cyclicals (16%)
Consumer Non-Cyclicals (18%)
Energy (3%)
Financial (5%)
Industrial (11%)
Technology (41%)
Utilities (3%)
Cash (1%)
Sector Deviation of n/i numeric investors Growth Fund
Difference between Fund and Russell 2000 Growth Index
[CHART]
Basic Industries 0.37%
Consumer Cyclicals 0.26%
Consumer Non-Cyclicals -1.28%
Energy 0.53%
Financial -1.16%
Industrial -0.05%
Technology 2.31%
Utilities -1.87%
10
<PAGE>
GROWTH & VALUE FUND
The Growth & Value Fund returned 41.61% for the fiscal year ended August 31,
1999. In addition to the strong absolute return, this Fund slightly outpaced its
benchmark, the S&P MidCap 400 Index (an unmanaged index of medium capitalization
stocks), which returned 41.58% over the same period. Longer term returns also
continue to look strong. Since inception on June 3, 1996, the Fund returned an
average of 20.90% per year, compared with the S&P MidCap 400 Index annualized
return of 17.96% over the same period.
The portfolio remained well diversified with technology representing the highest
exposure at 23.7%. As the Fund's name implies, the stock selection is almost
equally influenced by growth factors (the Estrend(TM) model) and value factors
(the Fair Value model). As the bottom graph shows, the Fund is focused on stock
selection and stays fairly close to the benchmark sector weights.
Economic Sector Diversification
n/i numeric investors Growth % Value
[CHART]
Percent of
Portfolio
Basic Industries (7%)
Consumer Cyclicals (13%)
Consumer Non-Cyclicals (15%)
Energy (7%)
Financial (13%)
Industrial (11%)
Technology (24%)
Utilities (8%)
Cash (2%)
Sector Deviation of n/i numeric investors Growth & Value Fund
Difference between Fund and S&P MidCap 400 Index
[CHART]
Basic Industries 1.97%
Consumer Cyclicals -0.86%
Consumer Non-Cyclicals -1.98%
Energy 0.98%
Financial 1.17%
Industrial 0.10%
Technology -1.02%
Utilities -2.16%
11
<PAGE>
LARGER CAP VALUE FUND
The Larger Cap Value Fund returned 26.01% for the fiscal year ended August 31,
1999. These returns are strong on an absolute basis, however lag the return of
the benchmark, the Russell 1000 Value Index, an unmanaged index of larger
capitalization stocks with value characteristics, which returned 30.08%. The
longer-term annualized return since the inception of the fund on December 9,
1997 is 7.79% per year, as value stocks performed poorly during most of 1998.
This since-inception return compares to an annualized return of 12.07% for the
benchmark.
Given the composition of the Russell 1000 Value Index, the portfolio has the
highest concentration in the financial, utility, consumer cyclical, and energy
sectors. These sectors are historically less expensive using traditional value
measures and our Fair Value model chooses the most attractive stocks while
keeping the portfolio weightings close to the benchmarks. As the bottom chart
shows, the Fund's deviations from the benchmark sectors are relatively small.
Economic Sector Diversification
n/i numeric investors Larger Cap Value Fund
[CHART]
Percent of
Portfolio
Basic Industries (7%)
Consumer Cyclicals (10%)
Consumer Non-Cyclicals (8%)
Energy (11%)
Financial (27%)
Industrial (10%)
Technology (7%)
Utilities (18%)
Cash (2%)
Sector Deviation of n/i numeric investors Larger Cap Value Fund
Difference between Fund and Russell 1000 Value Index
[CHART]
Basic Industries 0.61%
Consumer Cyclicals -1.76%
Consumer Non-Cyclicals -0.74%
Energy -0.22%
Financial -1.57%
Industrial 0.07%
Technology 2.03%
Utilities -1.81%
12
<PAGE>
SMALL CAP VALUE FUND
The Small Cap Value Fund, started on November 30, 1998, and returned 7.17%
through August 31, 1999. While these returns are solid on an absolute basis,
they are exceptionally strong when compared to the Russell 2000 Value Index, the
Fund's benchmark. This unmanaged index of smaller capitalization stocks with
value characteristics returned just 1.65% over the same period.
Given the sector weighting of the benchmark index and the value-based stock
selection criteria that drives this Fund, the largest sector weights are in
financials, consumer cyclicals and the industrial areas. There is only modest
exposure to the more growth-oriented technology and consumer non-cyclical areas.
As the bottom graph shows, the sector distribution is kept very tight to the
benchmark.
Economic Sector Diversification
n/i numeric investors Small Cap Value Fund
[CHART]
Percent of
Portfolio
Basic Industries (8%)
Consumer Cyclicals (15%)
Consumer Non-Cyclicals (9%)
Energy (5%)
Financial (25%)
Industrial (19%)
Technology (7%)
Utilities (8%)
Cash (4%)
Sector Deviation of n/i numeric investors Small Cap Value Fund
Difference between Fund and Russell 2000 Value Index
[CHART]
Basic Industries -0.98%
Consumer Cyclicals -0.93%
Consumer Non-Cyclicals -0.21%
Energy 0.19%
Financial -0.81%
Industrial 0.01%
Technology -1.13%
Utilities -0.54%
In closing, let me thank you again for your support and confidence as
demonstrated by your investment with the n/i numeric investors family of funds.
As I hope you can tell, we strive to provide truly shareholder-friendly
investment opportunities that reflect our common objectives.
Sincerely,
/S/ Langdon B. Wheeler
Langdon B. Wheeler, CFA
President
Numeric Investors L.P.(R)
13
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Micro Cap Fund(1)(2) vs. Russell 2000 Growth Index
[CHART]
Micro Cap Fund Russell 2000 Growth Index
-------------- -------------------------
6/3/96 10,000 10,000
8/31/96 9,725 8,816
11/30/96 11,392 9,117
2/28/97 11,426 8,952
5/31/97 12,194 9,459
8/31/97 15,405 10,589
11/30/97 15,547 10,491
2/28/98 16,354 11,272
5/31/98 16,189 10,958
8/31/98 12,210 7,804
11/30/98 16,225 9,745
2/28/99 16,109 10,089
5/31/99 17,559 11,373
8/31/99 19,058 11,168
- --------------------------------------------------------------------------------
Total Returns
One Year Ended Average
August 31, 1999 Annual(3)
--------------- ---------
Micro Cap Fund 56.90% 21.97%
Russell 2000 Growth Index 43.31% 3.50%
- --------------------------------------------------------------------------------
- ----------------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects all Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to voluntarily reimburse a portion of the Fund's operating expenses, as
necessary, to maintain the expense limitation as set forth in the notes to
the financial statements.Total returns shown include fee waivers and
expense reimbursements, if any; total returns would have been lower had
there been no assumption of fees and expenses in excess of expense
limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
1999.
14
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Growth Fund(1)(2) vs. Russell 2500 Growth Index
[CHART]
Growth Fund Russell 2500 Growth Index
----------- -------------------------
6/3/96 10,000 10,000
8/31/96 9,867 9,144
11/30/96 10,925 9,673
2/28/97 10,575 9,572
5/31/97 11,384 10,060
8/31/97 13,585 11,327
11/30/97 13,402 11,196
2/28/98 13,754 11,954
5/31/98 13,112 11,707
8/31/98 9,641 8,434
11/30/98 11,931 10,490
2/28/99 12,040 10,873
5/31/99 13,385 12,414
8/31/99 14,731 12,739
- --------------------------------------------------------------------------------
Total Returns
One Year Ended Average
August 31, 1999 Annual(3)
--------------- ---------
Growth Fund 52.80% 12.66%
Russell 2500 Growth Index 51.03% 7.73%
- --------------------------------------------------------------------------------
- ---------------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects all Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to voluntarily reimburse a portion of the Fund's operating expenses, as
necessary, to maintain the expense limitation as set forth in the notes to
the financial statements.Total returns shown include fee waivers and
expense reimbursements, if any; total returns would have been lower had
there been no assumption of fees and expenses in excess of expense
limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
1999.
15
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth & Value Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Growth & Value Fund(1)(2) vs. S&P MidCap 400 Index
[CHART]
Growth & Value Fund S&P MidCap 400 Index
------------------- --------------------
6/3/96 10,000 10,000
8/31/96 9,633 9,713
11/30/96 11,158 10,738
2/28/97 11,334 11,062
5/31/97 12,397 11,815
8/31/97 14,364 13,333
11/30/97 14,732 13,688
2/28/98 16,232 15,104
5/31/98 16,685 15,350
8/31/98 13,076 12,084
11/30/98 15,492 15,109
2/28/99 16,128 15,421
5/31/99 18,003 17,177
8/31/99 18,518 17,105
- --------------------------------------------------------------------------------
Total Returns
One Year Ended Average
August 31, 1999 Annual(3)
--------------- ---------
Growth & Value Fund 41.61% 20.90%
S&P MidCap 400 Index 41.58% 17.96%
- --------------------------------------------------------------------------------
- ---------------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects all Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to voluntarily reimburse a portion of the Fund's operating expenses, as
necessary, to maintain the expense limitation as set forth in the notes to
the financial statements.Total returns shown include fee waivers and
expense reimbursements, if any; total returns would have been lower had
there been no assumption of fees and expenses in excess of expense
limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
1999.
16
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Larger Cap Value Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Larger Cap Value Fund(1)(2) vs. Russell 1000 Value Index
[CHART]
Larger Cap Value Fund Russell 1000 Value Index
--------------------- ------------------------
12/09/97 10,000 10,000
2/28/98 10,917 10,537
5/31/98 11,433 11,090
8/31/98 9,033 9,392
11/30/98 10,714 11,199
2/28/99 10,697 11,508
5/31/99 11,838 12,702
8/31/99 11,383 12,217
- --------------------------------------------------------------------------------
Total Returns
One Year Ended Average
August 31, 1999 Annual(3)
--------------- ---------
Larger Cap Value Fund 26.01% 7.79%
Russell 1000 Value Index 30.08% 12.07%
- --------------------------------------------------------------------------------
- ---------------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects all Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived its advisory fee and agreed to voluntarily
reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements.Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period December 9, 1997 (commencement of operations) through August
31, 1999.
17
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Small Cap Value Fund(1)(2) vs. Russell 2000 Value Index
[CHART]
Small Cap Value Fund Russell 2000 Value Index
-------------------- ------------------------
11/30/98 10,000 10,000
12/31/98 10,308 10,314
1/31/99 10,000 10,080
2/28/99 9,383 9,391
3/31/99 9,250 9,384
4/30/99 10,383 10,240
5/31/99 10,867 10,555
6/30/99 11,292 10,937
7/31/99 11,242 10,678
8/31/99 10,717 10,165
- --------------------------------------------------------------------------------
Total Returns
For the Fiscal Period Ended
August 31, 1999(3)
------------------
Small Cap Value Fund 7.17%
Russell 2000 Value Index 1.65%
- --------------------------------------------------------------------------------
- ---------------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects all Fund expenses.Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to voluntarily reimburse a portion of the Fund's operating expenses, as
necessary, to maintain the expense limitation as set forth in the notes to
the financial statements.Total returns shown include fee waivers and
expense reimbursements, if any; total returns would have been lower had
there been no assumption of fees and expenses in excess of expense
limitations.
(3) For the period November 30, 1998 (commencement of operations) through
August 31, 1999.
18
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--95.4%
Advertising--0.6%
14,600 Modem Media.Poppe Tyson, Inc.*/** .................. $ 467,200
-----------
Aerospace--0.1%
5,900 BE Aerospace, Inc.* ................................ 102,144
-----------
Aluminum--0.5%
25,700 Commonwealth Industries, Inc. ...................... 369,438
-----------
Automobile Parts & Equipment--0.5%
9,700 American Axle & Manufacturing
Holdings, Inc.* .................................... 151,562
10,900 Dura Automotive Systems, Inc.* ..................... 282,037
-----------
433,599
-----------
Automobile Rentals--0.7%
28,000 Dollar Thrifty Automotive Group, Inc.* ............. 526,750
-----------
Automobile Sales & Servicing--0.6%
6,400 Group 1 Automotive, Inc.*/** ....................... 118,400
27,200 Sonic Automotive, Inc.* ............................ 328,100
-----------
446,500
-----------
Banks--1.1%
22,600 Flagstar Bancorp, Inc.** ........................... 446,350
17,700 Hamilton Bancorp Inc.* ............................. 431,437
-----------
877,787
-----------
Beverages--0.2%
2,700 Canandaigua Brands, Inc., Class A*/** .............. 156,262
-----------
Building Products--0.5%
11,500 Nortek, Inc.* ...................................... 409,687
-----------
Business Services--4.7%
34,200 4Front Technologies, Inc.* ......................... 416,812
20,000 Cognizant Technology Solutions Corp.*/** ........... 482,500
15,500 Diamond Technology Partners, Inc.*/** .............. 513,437
15,200 F.Y.I., Inc.*/** ................................... 496,850
3,200 InterCept Group, Inc. (The)* ....................... 75,200
14,400 Lason, Inc.* ....................................... 650,700
25,100 Quanta Services, Inc.* ............................. 563,181
64,100 TeleSpectrum Worldwide Inc.*/** .................... 396,619
-----------
3,595,299
-----------
Commercial Printing--1.2%
5,100 Consolidated Graphics, Inc.* ....................... 215,475
23,600 Mail-Well, Inc.*/** ................................ 336,300
24,900 Workflow Management, Inc.* ......................... 329,925
-----------
881,700
-----------
Computer Components--1.4%
19,300 Advanced Digital Information Corp.*/** ............. 622,425
31,400 InterVoice-Brite, Inc.* ............................ 431,750
-----------
1,054,175
-----------
Computer Networking Products--3.1%
3,300 Black Box Corp.* ................................... 151,387
7,300 Performance Technologies, Inc.*/** ................. 235,881
12,500 Proxim, Inc.* ...................................... 609,375
15,500 Visual Networks, Inc.*/** .......................... 643,250
17,900 Xircom, Inc.* ...................................... 712,644
-----------
2,352,537
-----------
Computer Peripherals Equipment--1.5%
9,100 Cybex Computer Products Corp.* ..................... 249,112
39,800 Equinox Systems, Inc.* ............................. 507,450
24,500 In Focus Systems, Inc.* ............................ 392,000
-----------
1,148,562
-----------
Computers, Software & Servicing--15.4%
19,300 Actuate Corp.* ..................................... 636,900
8,100 Advent Software, Inc.* ............................. 397,912
20,700 Analytical Surveys, Inc.*/** ...................... 415,294
15,600 Ardent Software, Inc.* ............................ 370,500
18,300 AVT Corp.*/** ..................................... 516,975
29,700 Best Software, Inc.*/** ........................... 490,050
22,000 BindView Development Corp.*/** .................... 470,250
21,500 Carreker-Antinori, Inc.* .......................... 137,062
28,900 Catapult Communications Corp.* .................... 444,337
12,500 Clarify, Inc.* .................................... 550,000
14,800 Concord Communications, Inc.* ..................... 546,212
23,200 Deltek Systems, Inc.*/** .......................... 350,900
14,100 Exchange Applications, Inc.* ...................... 421,237
6,900 Great Plains Software, Inc.* ...................... 321,281
13,400 Inter-Tel, Inc.* .................................. 286,425
8,200 Kronos, Inc.* ..................................... 411,281
21,500 MAPICS, Inc.* ..................................... 185,437
1,400 Micromuse Inc.*/** ................................ 79,975
23,900 NVIDIA Corp.*/** .................................. 672,187
38,600 Peerless Systems Corp.*/** ........................ 554,875
21,800 Pinnacle Systems, Inc.* ........................... 711,225
19,200 Progress Software Corp.* .......................... 588,000
25,800 Radiant Systems, Inc.* ............................ 507,937
20,400 THQ Inc.*/** ...................................... 645,150
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Computers, Software & Servicing--(continued)
4,700 Unigraphics Solutions Inc.* ...................... $ 159,506
8,100 Verity, Inc.* .................................... 394,875
24,600 Zomax Inc.* ...................................... 561,187
-----------
11,826,970
-----------
Construction--2.1%
16,400 Centex Construction Products, Inc. ............... 630,375
24,800 M.D.C. Holdings, Inc. ............................ 466,550
8,100 NVR, Inc.*/** .................................... 468,281
-----------
1,565,206
-----------
Consumer Services--0.3%
9,900 Coinstar, Inc.* .................................. 228,937
-----------
Containers- Metal & Glass--0.2%
5,600 U.S. Can Corp.* .................................. 135,800
-----------
Electrical Equipment--2.5%
12,200 Applied Science & Technology, Inc.* .............. 234,850
27,000 Artesyn Technologies, Inc.*/** ................... 592,312
5,200 C&D Technologies, Inc. ........................... 163,800
9,900 Cohu, Inc.* ...................................... 423,225
32,500 General Cable Corp. .............................. 471,250
-----------
1,885,437
-----------
Electrical Work--0.2%
9,700 Integrated Electrical Services, Inc.* ............ 147,925
-----------
Electronic Components & Accessories--1.6%
7,100 Amphenol Corp., Class A*/** ...................... 332,369
2,200 ANADIGICS, Inc.* ................................. 78,650
6,400 BMC Industries, Inc.* ............................ 78,800
12,600 Park Electrochemical Corp. ....................... 366,187
2,500 Power Intergrations, Inc.* ....................... 169,844
12,300 Stoneridge, Inc.*/** ............................. 221,400
-----------
1,247,250
-----------
Environmental Services--0.2%
5,600 Waste Connections, Inc.* ......................... 120,750
-----------
Financial Services--4.2%
21,300 Advanta Corp., Class A** ......................... 419,344
20,600 American Capital Strategies Ltd.** ............... 356,637
16,400 Creditrust Corp.*/** ............................. 426,400
35,300 Doral Financial Corp. ............................ 489,787
8,800 Financial Federal Corp.*/** ...................... 165,550
4,200 Metris Companies, Inc.** ......................... 115,762
42,300 MicroFinacial, Inc.* ............................. 452,081
16,400 NCO Group, Inc.*/** .............................. 746,200
-----------
3,171,761
-----------
Food & Agriculture--1.4%
25,200 Del Monte Foods Co.* ............................. 381,150
11,100 Michael Foods, Inc. .............................. 307,331
11,750 Pilgrim's Pride Corp., Class A ................... 95,469
23,500 Pilgrim's Pride Corp., Class B ................... 249,687
-----------
1,033,637
-----------
Footwear--0.5%
11,500 K-Swiss Inc., Class A** .......................... 360,812
-----------
Health Care--1.1%
27,000 RehabCare Group, Inc.* ........................... 565,313
13,900 United Payors & United Providers, Inc.* .......... 278,869
-----------
844,182
-----------
Hospitals--0.4%
41,500 LifePoint Hospitals, Inc.* ....................... 285,313
-----------
Industrial Machinery--1.8%
15,800 Astec Industries, Inc.* .......................... 535,225
33,300 JLG Industries, Inc. ............................. 591,075
10,200 Terex Corp.* ..................................... 274,125
-----------
1,400,425
-----------
Insurance - Financial Guarantee--0.4%
14,500 Enhance Financial Services Group Inc.* ........... 297,250
-----------
Insurance - Health & Life--0.3%
6,600 Delphi Financial Group, Inc., Class A* ........... 234,300
-----------
Insurance - Property & Casualty--1.1%
26,700 CNA Surety Corp. ................................. 345,431
41,200 Frontier Insurance Group, Inc.** ................. 499,550
-----------
844,981
-----------
Insurance - Title Insurance--0.4%
18,020 Fidelity National Financial, Inc. ................ 277,058
-----------
Laboratory Analytical Instruments--0.5%
25,600 Varian Inc.* ..................................... 406,400
-----------
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Leisure & Entertainment--1.9%
67,100 Acclaim Entertainment, Inc.*/** .................... $ 473,894
16,800 Argosy Gaming Co.*/** .............................. 227,850
19,000 Station Casinos, Inc.* ............................. 384,750
40,300 Take-Two Interactive Software, Inc.* ............... 366,478
-----------
1,452,972
-----------
Machinery--1.8%
7,900 Graco Inc. ......................................... 266,131
15,700 Helix Technology Corp. ............................. 443,525
6,100 Manitowoc Co., Inc. (The) .......................... 226,081
19,600 United Dominion Industries Ltd. .................... 458,150
-----------
1,393,887
-----------
Medical Instruments & Supplies--3.5%
17,700 ArthroCare Corp.* .................................. 633,881
8,000 CardioThoracic Systems, Inc.* ...................... 145,500
3,700 Gliatech Inc.* ..................................... 74,694
5,700 Mentor Corp. ....................................... 133,238
5,800 Molecular Devices Corporation*/** .................. 166,025
6,400 OEC Medical Systems, Inc.* ......................... 220,800
17,200 PolyMedica Corp.*/** ............................... 453,650
11,100 ResMed Inc.*/** .................................... 308,025
18,700 Wesley Jessen VisionCare, Inc.* .................... 573,856
-----------
2,709,669
-----------
Medical & Medical Services--0.6%
29,300 Province Healthcare Co.* ........................... 461,475
-----------
Motor Homes--0.8%
8,100 Monaco Coach Corp.* ................................ 234,900
15,700 National R.V. Holdings, Inc.* ...................... 378,763
-----------
613,663
-----------
Oil & Gas Field Exploration--2.0%
22,700 Basin Exploration, Inc.* ........................... 516,425
25,300 Forest Oil Corp.* .................................. 377,919
3,900 Houston Exploration Co. (The)* ..................... 82,875
37,700 Vintage Petroleum, Inc. ............................ 539,581
-----------
1,516,800
-----------
Oil Refining--0.8%
32,200 Tesoro Petroleum Corp.*/** ......................... 581,613
-----------
Paper & Allied Products--0.4%
22,300 Schweitzer-Mauduit International, Inc.* ............ 302,444
-----------
Pharmaceuticals--2.3%
7,800 Alpharma Inc., Class A** ........................... 264,225
7,500 Barr Laboratories, Inc.*/** ........................ 258,750
20,700 King Pharmaceuticals, Inc.*/** ..................... 716,738
25,900 Liposome Co., Inc. (The)* .......................... 510,716
-----------
1,750,429
-----------
Recreational--1.0%
11,100 Bally Total Fitness Holding Corp.*/** .............. 355,894
19,200 SCP Pool Corp.*/** ................................. 441,600
-----------
797,494
-----------
Residential Construction--0.6%
43,600 Standard Pacific Corp. ............................. 487,775
-----------
Restaurants--0.7%
7,900 CEC Entertainment Inc.* ............................ 220,213
13,800 RARE Hospitality International, Inc.* .............. 271,688
8,200 Taco Cabana, Inc., Class A* ........................ 75,850
-----------
567,751
-----------
Retail - Computer Equipment--0.5%
15,900 Electronics Boutique Holdings Corp.* ............... 357,750
-----------
Retail - Drug Stores--0.4%
9,400 Duane Reade Inc.*/** ............................... 296,100
-----------
Retail - Family Clothing Stores--0.3%
7,600 Factory 2-U Stores Inc.* ........................... 217,075
-----------
Retail - Jewelry Stores--0.5%
14,300 Whitehall Jewellers, Inc.* ......................... 402,188
-----------
Retail - Lumber & Other Building Materials
Dealers--0.6%
41,600 Building Materials Holding Corp.*/** ............... 462,800
-----------
Retail - Radio, TV & Consumer Electronics
Stores--0.6%
26,000 Ultimate Electronics, Inc.*/** ..................... 471,250
-----------
Retail - Shoe Stores--0.3%
7,800 Footstar, Inc.* .................................... 253,500
-----------
Retail - Specialty--2.6%
7,100 Cost Plus, Inc.* ................................... 315,950
15,900 CSK Auto Corp.*/** ................................. 377,625
20,600 Hot Topic, Inc.* ................................... 562,638
45,900 Musicland Stores Corp.* ............................ 390,150
25,500 Steven Madden Ltd.*/** ............................. 301,219
-----------
1,947,582
-----------
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Retail - Specialty Apparel--3.2%
8,800 Authentic Fitness Corp. ............................ $ 152,350
14,700 bebe stores, inc.*/**............................... 352,800
10,200 Brauns Fashion Corp.*............................... 153,000
40,100 Cato Corp. (The), Class A .......................... 538,844
19,800 Chico's Fas, Inc.*.................................. 439,313
9,500 Children's Place Retail Stores, Inc. (The)*......... 300,438
4,400 Kenneth Cole Productions, Inc., Class A*............ 150,425
16,600 Pacific Sunwear of California, Inc.*................ 385,950
-----------
2,473,120
-----------
Schools--0.9%
9,600 Bright Horizons Family Solutions, Inc.*/**.......... 170,400
26,500 Corinthian Colleges, Inc.*/**....................... 544,906
-----------
715,306
-----------
Security Services--0.2%
5,700 Wackenhut Corp. (The), Class A*/**.................. 137,869
-----------
Services - Computer Integrated Systems
Design--0.1%
2,100 MICROS Systems, Inc.* .............................. 70,875
-----------
Services - Employment Agencies--2.0%
7,600 AHL Services, Inc.*/**.............................. 221,350
16,900 Labor Ready, Inc.*/**............................... 271,456
12,300 On Assignment, Inc.*/**............................. 367,463
11,300 PROVANT, Inc.*...................................... 155,375
34,900 RCM Technologies, Inc.*............................. 486,419
-----------
1,502,063
-----------
Services - Healthcare Management--3.0%
6,800 Accredo Health, Inc.*............................... 235,875
57,000 AmeriPath, Inc.*.................................... 534,375
13,500 Dendrite International, Inc.*....................... 561,938
17,600 InfoCure Corp.*/**.................................. 338,800
19,500 Professional Detailing, Inc.*/**.................... 609,375
-----------
2,280,363
-----------
Storage Services--0.4%
16,900 Mobile Mini, Inc.*.................................. 308,425
-----------
Telecommunications--1.5%
8,000 Commonwealth Telephone
Enterprises, Inc.*.................................. 341,000
14,800 MasTec, Inc.*....................................... 413,475
37,400 TALK.com, Inc.*/**.................................. 385,688
-----------
1,140,163
-----------
Telecommunications Equipment--5.1%
14,000 Carrier Access Corp.*/**............................ 679,000
3,900 Harmonic Inc.*...................................... 491,400
20,600 Periphonics Corp.*/**............................... 556,200
12,200 Polycom, Inc.*...................................... 446,063
17,200 Powerwave Technologies, Inc.*/**.................... 729,925
20,600 Superior TeleCom Inc.**............................. 542,038
59,500 Westell Technologies, Inc., Class A*/**............. 449,969
-----------
3,894,595
-----------
Tobacco--0.2%
4,900 Universal Corp. .................................... 139,038
-----------
Toys--0.7%
17,500 JAKKS Pacific, Inc.*................................ 529,375
-----------
Transportation--0.7%
12,100 American Freightways Corp.*......................... 254,100
6,600 Landstar System, Inc.*.............................. 244,200
-----------
498,300
-----------
Utilities--0.2%
13,000 Group Maintenance America Corp.*.................... 160,063
-----------
Visioncare--1.0%
16,700 Laser Vision Centers, Inc.*......................... 399,756
54,500 LCA-Vision Inc.*.................................... 364,469
-----------
764,225
-----------
Water, Sewer, & Pipeline Services--0.5%
18,100 Insituform Technologies, Inc., Class A*/**.......... 375,575
-----------
Wholesale - Drug Distribution--1.7%
20,900 D&K Healthcare Resources, Inc.*..................... 475,475
19,300 Priority Healthcare Corp., Class B*/**.............. 542,813
7,300 Syncor International Corp.*......................... 262,800
-----------
1,281,088
Wholesale - Office & Business Equipment--0.5%
17,900 United Stationers Inc.*/**.......................... 404,988
-----------
Total Common Stocks
(Cost $69,612,218) ............................... 72,855,682
===========
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (concluded)
August 31, 1999
- --------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000'S) (NOTE 1)
- --------------------------------------------------------------------------------
SHORT-TERM INVESTMENT--5.5%
Repurchase Agreement--5.5%
Bear, Stearns & Co. Inc.
(Agreement dated 08/31/99 to be
repurchased at $4,171,724)
5.43%, 09/01/99
$4,171 (Cost $4,171,095) (Note 6)....................... $ 4,171,095
===========
Total Investments -- 100.9%
(Cost $73,783,313)............................... 77,026,777
-----------
Liabilities in Excess of
Other Assets -- (0.9%)........................... (677,952)
-----------
Net Assets -- 100.0%............................... $76,348,825
===========
- -----------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--99.3%
Advertising--0.3%
2,200 Modem Media.Poppe Tyson, Inc.*/** .............. $ 70,400
1,700 TMP Worldwide Inc.* ............................ 94,137
-----------
164,537
-----------
Aerospace--0.8%
12,100 BE Aerospace, Inc.* ............................ 209,481
7,100 Cordant Technologies, Inc. ..................... 293,762
-----------
503,243
-----------
Agriculture--0.2%
2,800 Agribrands International, Inc.* ................ 136,150
-----------
Airlines--1.0%
5,000 Alaska Air Group, Inc.* ........................ 216,250
20,900 America West Holdings Corp.,
Class B*/** .................................... 407,550
-----------
623,800
-----------
Apparel--1.5%
8,700 Jones Apparel Group, Inc.* ..................... 225,656
8,700 Tommy Hilfiger Corp.* .......................... 295,256
19,000 Warnaco Group, Inc. (The), Class A** ........... 418,000
-----------
938,912
-----------
Automobile Parts & Equipment--1.2%
2,700 Arvin Industries, Inc.* ........................ 96,525
21,200 Meritor Automotive, Inc. ....................... 462,425
8,600 Tower Automotive, Inc.*/** ..................... 172,000
-----------
730,950
-----------
Automobile Rentals--0.6%
18,300 Dollar Thrifty Automotive Group, Inc.* ......... 344,269
-----------
Automobile Sales & Servicing--0.1%
7,400 Sonic Automotive, Inc.* ........................ 89,262
-----------
Beverages--0.6%
6,800 Canandaigua Brands, Inc., Class A*/** .......... 393,550
-----------
Business Services--4.2%
3,000 Cognizant Technology Solutions Corp.* .......... 72,375
23,100 CSG Systems International, Inc.* ............... 521,194
4,600 Diamond Technology Partners Inc.*/** ........... 152,375
10,900 Lason, Inc.* ................................... 492,544
15,600 Navigant Consulting, Inc.*/** .................. 684,450
16,500 Quanta Services, Inc.* ......................... 370,219
13,400 Whittman-Hart, Inc.* ........................... 352,587
-----------
2,645,744
-----------
Chemicals-Specialty--1.2%
10,000 Cytec Industries Inc.* ......................... 233,125
25,600 W.R. Grace & Co.*/** ........................... 489,600
-----------
722,725
-----------
Commercial Printing--1.0%
4,500 Consolidated Graphics, Inc.* ................... 190,125
15,500 Mail-Well, Inc.*/** ............................ 220,875
4,800 Valassis Communications, Inc.* ................. 210,000
-----------
621,000
-----------
Computer & Office Equipment--0.1%
1,100 Lexmark International Group, Inc.,
Class A* ....................................... 86,625
-----------
Computer Components--0.5%
2,400 Advanced Digital Information Corp.* ............ 77,400
16,600 InterVoice-Brite, Inc.* ........................ 228,250
-----------
305,650
-----------
Computer Networking Products--5.1%
19,500 Adaptec, Inc.* ................................. 760,500
3,500 Black Box Corp.* ............................... 160,562
9,400 MMC Networks, Inc.* ............................ 290,225
3,900 Network Appliance, Inc.* ....................... 256,181
9,800 Proxim, Inc.* .................................. 477,750
14,200 Visual Networks, Inc.*/** ...................... 589,300
16,000 Xircom, Inc.* .................................. 637,000
-----------
3,171,518
-----------
Computer Peripheral Equipment--1.2%
2,500 Cybex Computer Products Corp.*/** .............. 68,437
7,700 In Focus Systems, Inc.* ........................ 123,200
6,800 SanDisk Corp.* ................................. 573,750
-----------
765,387
-----------
Computers, Software & Servicing--16.7%
4,600 Actuate Corp.* ................................. 151,800
3,450 Advent Software, Inc.* ......................... 169,481
6,000 Ardent Software, Inc.* ......................... 142,500
9,000 AVT Corp.* ..................................... 254,250
6,900 BEA Systems, Inc.*/** .......................... 166,462
1,300 Best Software, Inc.* ........................... 21,450
7,000 BindView Development Corp.*/** ................. 149,625
11,300 Catapult Communications Corp.* ................. 173,737
9,750 Citrix Systems, Inc.* .......................... 555,750
9,700 Clarify, Inc.* ................................. 426,800
10,100 Compuware Corp.*/** ............................ 304,894
10,700 Concord Communications, Inc.* .................. 394,897
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Computers, Software & Servicing--(continued)
7,500 Diebold, Inc. .................................... $ 199,687
1,900 Electronic Arts Inc.* ............................ 130,387
2,000 Exchange Applications, Inc.* ..................... 59,750
3,300 Extreme Networks, Inc.* .......................... 210,994
5,800 Great Plains Software, Inc.* ..................... 270,062
7,000 Inter-Tel, Inc.* ................................. 149,625
400 Intuit Inc.* ..................................... 35,825
1,300 Kronos, Inc.* .................................... 65,203
20,000 Legato Systems, Inc.* ............................ 861,250
12,800 Mercury Interactive Corp.* ....................... 611,200
1,200 Micromuse Inc.*/** ............................... 68,550
1,900 National Computer Systems, Inc. .................. 74,100
900 Network Solutions, Inc.*/** ...................... 51,862
13,800 NVIDIA Corp.*/** ................................. 388,125
13,700 Peregrine Systems, Inc.* ......................... 452,100
12,000 Pinnacle Systems, Inc.* .......................... 391,500
14,900 Progress Software Corp.* ......................... 456,312
1,400 Sanchez Computer Associates, Inc.* .............. 62,650
7,800 Siebel Systems, Inc.* ............................ 535,762
14,700 Sterling Software, Inc.* ......................... 295,837
13,050 THQ Inc.* ........................................ 412,706
2,500 TSI International Software Ltd.* ................. 47,500
5,900 Unisys Corp.* .................................... 253,700
1,500 VeriSign, Inc.*/** ............................... 162,469
6,300 VERITAS Software Corp.* .......................... 373,275
8,500 Verity, Inc.* .................................... 414,375
19,200 Zomax Inc* ....................................... 438,000
-----------
10,384,452
-----------
Construction--0.6%
7,800 Centex Construction Products, Inc. ............... 299,812
1,700 NVR, Inc.*/** .................................... 98,281
-----------
398,093
-----------
Crude Petroleum - Natural Gas--0.2%
2,600 Equitable Resources, Inc. ........................ 95,550
2,200 Triton Energy Ltd.* .............................. 26,675
-----------
122,225
-----------
Electrical Equipment--1.4%
3,500 AMETEK, Inc. ..................................... 72,844
12,700 Artesyn Technologies, Inc.*/** ................... 278,606
24,700 General Cable Corp. .............................. 358,150
2,600 Tecumseh Products Co., Class A*/** ............... 148,200
-----------
857,800
-----------
Electronic Components & Accessories--4.7%
4,000 ANADIGICS, Inc.* ................................. 143,000
3,700 Applied Micro Circuits Corp.*/** ................. 341,325
4,800 Conexant Systems, Inc.*/** ....................... 345,000
6,600 CTS Corp. ........................................ 314,325
4,500 Electronics for Imaging, Inc.* ................... 263,812
2,100 Methode Electronics, Inc., Class A ............... 37,800
800 Optical Coating Laboratory, Inc. ................. 61,400
1,500 Power Intergrations, Inc.* ....................... 101,906
15,400 RF Micro Devices, Inc.*/** ....................... 676,638
13,400 Sawtek Inc.* ..................................... 443,037
3,850 TranSwitch Corp.* ................................ 191,297
-----------
2,919,540
-----------
Financial Services--2.3%
1,400 Bank United Corp., Class A ....................... 48,037
4,600 Doral Financial Corp. ............................ 63,825
7,900 Edwards (A.G.), Inc. ............................. 198,487
16,400 Metris Companies, Inc.** ......................... 452,025
12,100 NCO Group, Inc.* ................................. 550,550
3,600 Profit Recovery Group International,
Inc. (The)* ...................................... 137,025
-----------
1,449,949
-----------
Food & Agriculture--2.6%
2,100 Corn Products International, Inc. ................ 68,381
7,900 Del Monte Foods Co.* ............................. 119,487
2,400 Earthgrains Co. (The) ............................ 57,900
20,200 Fleming Companies, Inc. .......................... 243,662
20,700 International Home Foods, Inc.* .................. 414,000
5,700 Interstate Bakeries Corp.** ...................... 136,444
1,800 Michael Foods, Inc. .............................. 49,837
6,400 Smithfield Foods, Inc.* .......................... 188,000
8,700 Suiza Foods Corp.** .............................. 277,312
3,000 Universal Foods Corp. ............................ 63,375
-----------
1,618,398
-----------
Footwear--0.4%
7,800 K-Swiss Inc., Class A** ........................ 244,725
-----------
Home Furnishings/Housewares--0.9%
23,000 Furniture Brands International, Inc.* .......... 461,437
6,500 Shaw Industries, Inc. .......................... 130,000
-----------
591,437
-----------
Hospitals--0.1%
10,000 LifePoint Hospitals, Inc.* ..................... 68,750
-----------
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Household Products--1.1%
15,400 Blyth Industries, Inc.*/** ......................... $ 436,012
9,000 Libbey Inc. ........................................ 275,625
-----------
711,637
-----------
Industrial Machinery--1.2%
4,100 Astec Industries, Inc.* ............................ 138,887
15,000 JLG Industries, Inc. ............................... 266,250
11,800 Terex Corp.* ....................................... 317,125
-----------
722,262
-----------
Insurance-Financial Guarantee--1.6%
4,600 Enhance Financial Services Group Inc.* ............. 94,300
4,600 MGIC Investment Corp. .............................. 199,813
6,750 PMI Group, Inc. (The)** ............................ 286,875
8,400 Radian Group Inc. .................................. 389,025
-----------
970,013
-----------
Insurance - Health & Life--1.6%
17,700 Conseco, Inc. ...................................... 424,800
4,800 Hartford Life, Inc., Class A ....................... 208,500
6,300 MONY Group Inc. (The)* ............................. 176,400
1,600 Nationwide Financial Services,
Inc., Class A .................................... 58,400
4,500 UICI* .............................................. 118,406
-----------
986,506
-----------
Insurance - Property & Casualty--0.5%
5,700 Fremont General Corp. .............................. 56,644
20,500 Frontier Insurance Group, Inc.** ................... 248,562
-----------
305,206
-----------
Laboratory Analytical Instruments--0.4%
17,600 Varian Inc.* ....................................... 279,400
-----------
Leisure & Entertainment--1.3%
33,100 Acclaim Entertainment, Inc.*/** .................... 233,769
11,600 Argosy Gaming Co.*/** .............................. 157,325
21,300 Station Casinos, Inc.* ............................. 431,325
-----------
822,419
-----------
Machinery--1.3%
2,800 Graco Inc. ......................................... 94,325
11,200 Helix Technology Corp. ............................. 316,400
6,750 Manitowoc Co., Inc. (The) .......................... 250,172
7,300 MotivePower Industries, Inc.*/** ................... 90,338
2,100 United Dominion Industries Ltd. .................... 49,088
-----------
800,323
-----------
Manufacturing--1.2%
14,900 Trinity Industries, Inc. ........................... 467,488
6,600 York International Corp. ........................... 271,425
-----------
738,913
-----------
Medical Instruments & Supplies--4.2%
8,300 ArthroCare Corp.* .................................. 297,244
4,200 Beckman Coulter, Inc.** ............................ 198,975
3,100 Gliatech Inc.* ..................................... 62,581
2,100 Mentor Corp. ....................................... 49,088
7,600 Patterson Dental Co.* .............................. 311,600
2,100 PolyCom, Inc..*/** ................................. 55,388
8,500 ResMed Inc.*/** .................................... 235,875
10,000 VISX, Inc.* ........................................ 905,000
4,600 Waters Corp.*/** ................................... 303,313
7,300 Wesley Jessen VisionCare, Inc.* .................... 224,019
-----------
2,643,083
-----------
Medical & Medical Services--1.5%
5,200 Lincare Holdings Inc.*/** .......................... 137,150
13,500 MedQuist Inc.* ..................................... 469,969
6,100 Province Healthcare Co.* ........................... 96,075
4,500 Shared Medical Systems Corp.** ..................... 252,844
-----------
956,038
-----------
Motor Homes--0.5%
8,200 Monaco Coach Corp.* ................................ 237,800
2,600 National R.V. Holdings, Inc.* ...................... 62,725
-----------
300,525
-----------
Newspaper Publishing & Printing--0.2%
2,300 Central Newspapers, Inc., Class A .................. 97,319
-----------
Office Furniture--0.3%
6,900 Miller (Herman), Inc.** ............................ 162,581
-----------
Oil & Gas Field Exploration--1.5%
2,900 Basin Exploration, Inc.* ........................... 65,975
3,500 Forest Oil Corp.* .................................. 52,281
3,700 Helmerich & Payne, Inc. ............................ 101,981
8,600 Noble Drilling Corp.* .............................. 211,775
23,300 Pioneer Natural Resources Co.*/** .................. 265,038
9,200 Santa Fe Snyder Corp.* ............................. 89,700
10,200 Vintage Petroleum, Inc. ............................ 145,988
-----------
932,738
-----------
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Oil & Gas Field Machinery & Equipment--0.2%
12,500 Varco International, Inc.* ........................ $ 154,688
-----------
Oil & Gas Field - Services--0.1%
7,300 Seitel, Inc.*/** .................................. 71,175
-----------
Oil Refining--0.7%
23,600 Tesoro Petroleum Corp.*/** ........................ 426,275
-----------
Pharmaceuticals--4.8%
8,700 Alpharma Inc., Class A** .......................... 294,713
1,600 Andrx Corp.*/** ................................... 115,000
9,000 Barr Laboratories, Inc.*/** ....................... 310,500
4,918 Bindley Western Industries, Inc. ................. 82,377
5,700 IDEC Pharmaceuticals Corp.* ....................... 724,256
8,700 Jones Pharma Inc.* ................................ 235,444
10,000 King Pharmaceuticals, Inc.*/** .................... 346,250
24,400 Liposome Co., Inc. (The)* ......................... 481,138
3,400 MedImmune, Inc.* .................................. 350,838
2,100 Roberts Pharmaceutical Corp.* ..................... 56,306
-----------
2,996,822
-----------
Plastics--0.8%
22,700 Tupperware Corp. ................................. 512,169
-----------
Real Estate--0.2%
8,300 Catellus Development Corp.* ....................... 113,606
-----------
Recreational--0.6%
10,800 Bally Total Fitness Holding Corp.*/** ............. 346,275
-----------
Residential Construction--1.1%
17,700 D.R. Horton, Inc. ................................ 257,756
11,400 Kaufman and Broad Home Corp.** .................... 232,987
2,900 Pulte Corp.* ...................................... 67,063
12,500 Standard Pacific Corp. ........................... 139,844
-----------
697,650
-----------
Restaurants--0.8%
10,850 CEC Entertainment Inc.* ............................. 302,444
5,700 Foodmaker, Inc.* .................................... 131,456
3,000 RARE Hospitality International, Inc.* ............... 59,063
-----------
492,963
-----------
Retail - Computer Equipment--0.2%
1,100 CDW Computer Centers, Inc.* ......................... 48,812
2,300 Insight Enterprises, Inc.*/** ....................... 69,575
-----------
118,387
-----------
Retail - Drug Stores--0.5%
9,700 Duane Reade Inc.*/** ................................ 305,550
-----------
Retail - Family Clothing Stores--0.1%
1,700 Factory 2-U Stores Inc.* ............................ 48,556
-----------
Retail - Jewelry Stores--0.3%
2,900 Claire's Stores, Inc. .............................. 54,556
2,600 Tiffany & Co. ...................................... 137,475
-----------
192,031
-----------
Retail - Shoe Stores--0.2%
3,000 Footstar, Inc.* ..................................... 97,500
-----------
Retail - Specialty--1.4%
1,800 Best Buy Co., Inc.* ................................. 126,450
6,900 Cost Plus, Inc.* .................................... 307,050
3,800 CSK Auto Corp.*/** .................................. 90,250
4,600 Hot Topic, Inc.* .................................... 125,638
28,100 Musicland Stores Corp.* ............................. 238,850
-----------
888,238
-----------
Retail - Specialty Apparel--4.0%
5,300 Abercrombie & Fitch Co., Class A* ................... 184,838
14,150 American Eagle Outfitters, Inc.* .................... 555,388
11,500 bebe stores, inc.* .................................. 276,000
3,000 Chico's Fas, Inc.* .................................. 66,563
13,800 Children's Place Retail Stores, Inc. (The)* ......... 436,425
12,400 Pacific Sunwear of California, Inc.* ................ 288,300
13,100 Ross Stores, Inc. .................................. 545,288
5,600 TJX Companies, Inc. (The) ........................... 161,700
-----------
2,514,502
-----------
Retail - Specialty Apparel - Shoes--0.0%
1,400 Genesco Inc.*/** .................................... 16,625
-----------
Schools--0.2%
6,700 DeVry, Inc.* ........................................ 139,863
-----------
Services - Computer Integrated Systems Design--0.1%
800 Comverse Technology, Inc.* .......................... 62,400
-----------
Services - Employment Agencies--0.3%
10,350 Labor Ready, Inc.*/** ............................... 166,247
-----------
Services - Health Care Management--1.4%
6,300 Dendrite International, Inc.* ....................... 262,238
14,600 InfoCure Corp.*/** .................................. 281,050
20,600 Orthodontic Centers of America, Inc.*/** ............ 334,750
-----------
878,038
-----------
Services - Home Health Care Services--0.2%
1,400 Express Scripts, Inc., Class A* ..................... 94,325
-----------
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (concluded)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Steel--0.3%
6,300 National Steel Corp., Class B .................. $ 51,188
8,700 Ryerson Tull, Inc.* ............................ 164,756
-----------
215,944
-----------
Telecommunications--0.8%
2,900 CapRock Communications Corp.*/** ............... 71,413
15,900 CellStar Corp.*/** ............................. 84,469
1,800 JDS Uniphase Corp.*/** ......................... 190,913
2,100 MasTec, Inc. * ................................. 58,669
11,100 TALK.com, Inc.*/** ............................. 114,469
-----------
519,933
-----------
Telecommunications Equipment--7.4%
11,700 Carrier Access Corp.*/** ....................... 567,450
3,300 CommScope, Inc.* ............................... 113,644
5,600 Harmonic Inc.* ................................. 705,600
10,300 Periphonics Corp.*/** .......................... 278,100
7,200 Plantronics, Inc.*/** .......................... 364,500
14,800 Polycom, Inc.* ................................. 541,125
13,500 Powerwave Technologies, Inc.* .................. 572,906
2,891 QUALCOMM Inc.* ................................. 555,614
7,900 Scientific-Atlanta, Inc. ....................... 404,875
12,100 Superior TeleCom Inc.** ........................ 318,381
2,600 Tellabs, Inc.* ................................. 154,863
7,700 Westell Technologies, Inc., Class A*/** ........ 58,231
-----------
4,635,289
-----------
Tobacco--0.1%
2,400 Universal Corp. ................................ 68,100
-----------
Toys--0.6%
11,900 JAKKS Pacific, Inc.* ........................... 359,975
-----------
Transportation--0.4%
2,300 American Freightways Corp.* .................... 48,300
3,800 USFreightways Corp. ............................ 184,300
-----------
232,600
-----------
Utilities--1.5%
7,800 Calpine Corp.* ................................. 706,875
12,800 Public Service Co. of New Mexico ............... 240,800
-----------
947,675
-----------
Visioncare--0.9%
14,400 Laser Vision Centers, Inc.* .................... 344,700
31,400 LCA-Vision Inc.* ............................... 209,988
-----------
554,688
-----------
Wholesale - Drug Distribution--0.8%
9,500 AmeriSource Health Corp., Class A* ............. 245,219
8,400 Priority Healthcare Corp., Class B* ............ 236,250
-----------
481,469
-----------
Wholesale - Office & Business
Equipment--0.4%
11,600 United Stationers Inc.*/** ..................... 262,450
-----------
Total Common Stocks
(Cost $57,784,506) ........................... 61,939,662
-----------
PRINCIPAL
AMOUNT (000'S)
- --------------
SHORT-TERM INVESTMENT--0.4%
Repurchase Agreement--0.4%
Bear, Stearns & Co. Inc.
(Agreement dated 08/31/99 to be
repurchased at $260,572)5.43%, 09/01/99
$261 (Cost $260,533) (Note 6) ..................... 260,533
-----------
Total Investments -- 99.7%
(Cost $58,045,039) ........................... 62,200,195
-----------
Other Assets in Excess
of Liabilities--0.3% ......................... 175,628
-----------
Net Assets--100.0% ............................. $62,375,823
===========
- ---------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth & Value Fund
Portfolio of Investments
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--98.1%
Aerospace--0.6%
7,350 Cordant Technologies, Inc. ..................... $ 304,106
-----------
Agricultural Services--0.6%
17,800 IMC Global Inc. ................................ 283,687
-----------
Airlines--1.2%
2,000 Alaska Air Group, Inc.* ........................ 86,500
7,500 UAL Corp.* ..................................... 486,094
-----------
572,594
-----------
Apparel--2.8%
14,500 Jones Apparel Group, Inc.* ..................... 376,094
13,400 Tommy Hilfiger Corp.* .......................... 454,762
25,100 Warnaco Group, Inc. (The), Class A** ........... 552,200
-----------
1,383,056
-----------
Automobile Manufacturing--0.1%
1,300 PACCAR Inc. .................................... 71,662
-----------
Automobile Parts & Equipment--2.8%
2,700 Borg-Warner Automotive, Inc.** ................. 127,912
26,200 Delphi Automotive Systems Corp. ................ 491,250
26,600 Meritor Automotive, Inc. ....................... 580,212
9,200 Tower Automotive, Inc.*/** ..................... 184,000
-----------
1,383,374
-----------
Banks--1.3%
20,600 AmSouth Bancorporation** ....................... 450,625
2,500 North Fork Bancorporation, Inc. ................ 45,312
4,200 SouthTrust Corp. ............................... 148,313
-----------
644,250
-----------
Brokerage--1.4%
4,500 Bear Stearns Companies Inc. (The) .............. 187,312
8,900 Lehman Brothers Holdings Inc. .................. 478,375
-----------
665,687
-----------
Building Supplies--4.2%
7,300 Armstrong World Industries, Inc. ............... 354,506
2,200 Carlisle Companies Inc. ........................ 88,000
23,000 Johns Manville Corp. ........................... 330,625
16,800 Lafarge Corp. .................................. 462,000
14,700 Louisiana-Pacific Corp. ........................ 271,950
3,300 Owens Corning .................................. 92,812
9,300 USG Corp. ...................................... 455,700
-----------
2,055,593
-----------
Business Services--3.1%
18,900 CSG Systems International, Inc.* ............... 426,431
14,100 Navigant Consulting, Inc.* ..................... 618,637
17,400 Whittman-Hart, Inc.* ........................... 457,838
-----------
1,502,906
-----------
Cable & Other Pay Television Services--0.5%
4,000 Adelphia Communications Corp. ..................
Class A* ..................................... 248,000
-----------
Chemicals - Diversified--2.0%
5,000 FMC Corp.* ..................................... 291,250
2,800 Hercules Inc. .................................. 91,175
29,100 Solutia Inc. ................................... 582,000
-----------
964,425
-----------
Chemicals - Specialty--1.5%
2,200 Cytec Industries Inc.* ......................... 51,287
17,700 Engelhard Corp. ................................ 352,894
17,700 W.R. Grace & Co.* .............................. 338,512
-----------
742,693
-----------
Commercial Printing--1.4%
7,200 R.R. Donnelley & Sons Co. ...................... 225,900
11,050 Valassis Communications, Inc.* ................. 483,437
-----------
709,337
-----------
Computer Networking Products--1.7%
13,200 Adaptec, Inc.* ................................. 514,800
9,900 MMC Networks, Inc.* ............................ 305,662
-----------
820,462
-----------
Computers, Software & Servicing--12.5%
14,500 Citrix Systems, Inc.* .......................... 826,500
8,300 Compuware Corp.* ............................... 250,556
20,500 Diebold, Inc. .................................. 545,812
1,800 Extreme Networks, Inc.* ........................ 115,087
15,500 Legato Systems, Inc.* .......................... 667,469
10,600 Mercury Interactive Corp.* ..................... 506,150
14,000 Peregrine Systems, Inc.* ....................... 462,000
5,100 Rational Software Corp.* ....................... 138,019
12,300 Siebel Systems, Inc.* .......................... 844,856
18,900 Sterling Software, Inc.* ....................... 380,362
9,600 Unisys Corp.* .................................. 412,800
16,900 VERITAS Software Corp.* ........................ 1,001,325
-----------
6,150,936
-----------
The accompanying notes are an integral part of the financial statements.
29
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth & Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Electric Utility--0.1%
800 GPU, Inc. ........................................ $ 27,300
-----------
Electronic Components--0.5%
7,000 Sawtek Inc.* ..................................... 231,437
-----------
Electronic Components & Accessories--1.8%
1,100 Applied Micro Circuits Corp.* .................... 101,475
6,700 CTS Corp. ........................................ 319,088
11,100 RF Micro Devices, Inc.* .......................... 487,706
-----------
908,269
-----------
Electronics--0.1%
700 Johnson Controls, Inc. ........................... 47,863
-----------
Entertainment--0.7%
4,800 Univision Communications Inc., Class A* .......... 354,000
-----------
Financial Services--2.3%
1,800 Ambac Financial Group, Inc. ...................... 95,063
20,400 Edwards (A.G.), Inc. ............................. 512,550
16,300 Metris Companies, Inc. ........................... 449,269
2,200 Profit Recovery Group International,
Inc. (The)* .................................... 83,738
-----------
1,140,620
-----------
Food & Agriculture--5.8%
20,500 ConAgra, Inc. .................................... 502,250
4,000 Corn Products International, Inc.* ............... 130,250
26,800 IBP, Inc. ........................................ 614,725
25,200 International Home Foods, Inc.* .................. 504,000
18,400 Interstate Bakeries Corp.** ...................... 440,450
9,300 Keebler Foods Co.*/** ............................ 277,256
12,200 Smithfield Foods, Inc.* .......................... 358,375
1,400 Suiza Foods Corp.* ............................... 44,625
-----------
2,871,931
-----------
Healthcare--0.5%
1,900 Lincare Holdings Inc.*/** ........................ 50,113
3,300 PacifiCare Health Systems, Inc. * ................ 198,000
-----------
248,113
-----------
Home Furnishings/Housewares--1.7%
20,100 Furniture Brands International, Inc.* ............ 403,256
3,100 Mohawk Industries, Inc.* ......................... 70,138
18,300 Shaw Industries, Inc. ............................ 366,000
-----------
839,394
-----------
Household Products--0.6%
10,100 Blyth Industries, Inc.* .......................... 285,956
-----------
Insurance - Financial Guarantee--2.5%
6,500 MGIC Investment Corp. ............................ 282,344
14,100 PMI Group, Inc. (The)** .......................... 599,250
7,400 Radian Group Inc. ................................ 342,713
-----------
1,224,307
-----------
Insurance - Health & Life--1.3%
17,300 Conseco, Inc. .................................... 415,200
2,200 MONY Group Inc. (The) ............................ 61,600
6,800 UICI* ............................................ 178,925
-----------
655,725
-----------
Leasing & Rental--0.1%
1,200 Hertz Corp. (The), Class A ....................... 48,375
-----------
Lumber & Wood Products--1.1%
20,400 Georgia-Pacific Corp. (Timber Group) ............. 490,875
1,200 Georgia-Pacific Group ............................ 49,650
-----------
540,525
-----------
Machinery--0.6%
13,500 McDermott International, Inc. .................... 304,594
-----------
Manufacturing--2.9%
7,600 American Standard Companies, Inc. ................ 311,600
1,900 Lancaster Colony Corp. ........................... 62,463
2,600 National Service Industries, Inc. ................ 83,200
1,200 Pentair, Inc. .................................... 54,600
1,900 Tenneco Inc. ..................................... 38,238
12,000 Trinity Industries, Inc. ......................... 376,500
11,600 York International Corp. ......................... 477,050
-----------
1,403,651
-----------
Medical Instruments & Supplies--3.3%
10,300 Beckman Coulter, Inc.** .......................... 487,963
5,900 DENTSPLY International Inc. ...................... 146,394
15,700 Mallinckrodt Inc. ................................ 503,381
9,300 Patterson Dental Co.* ............................ 381,300
1,600 Waters Corp.* .................................... 105,500
-----------
1,624,538
-----------
Medical & Medical Services--1.2%
14,600 MedQuist Inc.* ................................... 508,263
1,800 Shared Medical Systems Corp.** ................... 101,138
-----------
609,401
-----------
The accompanying notes are an integral part of the financial statements.
30
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth & Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Natural Gas Distribution--2.8%
24,200 KeySpan Corp. .................................. $ 713,900
8,100 MCN Energy Group Inc. .......................... 144,788
23,000 Sempra Energy .................................. 513,188
-----------
1,371,876
-----------
Office Furniture--0.5%
11,300 Miller (Herman), Inc. .......................... 266,256
-----------
Oil & Gas Field Exploration--6.5%
3,900 Amerada Hess Corp. ............................. 242,044
4,200 Apache Corp. ................................... 191,100
8,700 Helmerich & Payne, Inc. ........................ 239,794
2,700 Kerr-McGee Corp. ............................... 151,200
27,800 Noble Drilling Corp.* .......................... 684,575
28,000 Pioneer Natural Resources Co.* ................. 318,500
41,400 Santa Fe Snyder Corp.* ......................... 403,650
26,300 Union Pacific Resources Group Inc. ............. 471,756
16,100 USX-Marathon Group ............................. 501,113
-----------
3,203,732
-----------
Pharmaceuticals--1.3%
3,200 IDEC Pharmaceuticals Corp.* .................... 406,600
4,950 Jones Pharma Inc. .............................. 133,959
900 MedImmune, Inc.* ............................... 92,869
-----------
633,428
-----------
Photographic Equipment--1.0%
6,900 Eastman Kodak Co. .............................. 506,719
-----------
Plastics--1.0%
21,500 Tupperware Corp. ............................... 485,094
-----------
Residential Construction--0.2%
8,100 D.R. Horton, Inc. .............................. 117,956
-----------
Retail - Department Stores--0.5%
9,200 Dillard's, Inc., Class A ....................... 216,200
1,500 Federated Department Stores, Inc.* ............. 69,000
-----------
285,200
-----------
Retail - Electronics & Computer--0.7%
7,500 CDW Computer Centers, Inc.* .................... 332,812
-----------
Retail - Jewelry Stores--0.3%
7,700 Claire's Stores, Inc. .......................... 144,856
-----------
Retail - Office Supplies--0.1%
1,900 Staples, Inc.* ................................. 41,325
-----------
Retail - Specialty Apparel--3.8%
7,500 Abercrombie & Fitch Co., Class A* .............. 261,563
13,700 American Eagle Outfitters, Inc.* ............... 537,725
14,400 Ross Stores, Inc. .............................. 599,400
16,700 TJX Companies, Inc. (The) ...................... 482,213
-----------
1,880,901
-----------
Savings & Loan Associations--4.6%
14,500 Astoria Financial Corp. ........................ 476,688
29,793 Charter One Financial, Inc. .................... 697,342
31,800 Dime Bancorp, Inc. ............................. 584,325
24,100 Golden State Bancorp Inc.* ..................... 483,506
-----------
2,241,861
-----------
Schools--0.5%
11,400 DeVry, Inc.* ................................... 237,975
-----------
Services - Equipment Rental & Leasing--0.5%
10,700 United Rentals, Inc.*/** ....................... 261,481
-----------
Telecommunications--0.4%
1,100 JDS Uniphase Corp.* ............................ 116,669
1,300 RCN Corp. ...................................... 54,600
-----------
171,269
-----------
Telecommunications Equipment--2.9%
2,200 Plantronics, Inc.* ............................. 111,375
2,700 QUALCOMM Inc.* ................................. 518,906
5,900 Scientific- Atlanta, Inc. ...................... 302,375
8,000 Tellabs, Inc.* ................................. 476,500
-----------
1,409,156
-----------
Transportation--0.4%
4,000 USFreightways Corp. ............................ 194,000
-----------
Utilities--3.5%
13,300 Allegheny Energy, Inc. ......................... 448,875
600 Calpine Corp.* ................................. 54,375
5,600 IDACORP, Inc. .................................. 175,350
12,800 PECO Energy Co. ................................ 520,000
17,900 PP&L Resources, Inc. ........................... 501,200
-----------
1,699,800
-----------
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth & Value Fund
Portfolio of Investments (concluded)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Wholesale - Drug Distribution--0.7%
14,200 AmeriSource Health Corp., Class A* ................ $ 366,538
-----------
Wholesale - Groceries & General Line--1.1%
23,000 SUPERVALU INC. .................................... 517,500
-----------
Total Common Stocks
(Cost $48,527,225) .............................. 48,238,502
-----------
PRINCIPAL
AMOUNT (000'S)
- --------------
SHORT-TERM INVESTMENT--2.8%
Repurchase Agreement--2.8%
Bear, Stearns & Co. Inc.
(Agreement dated 8/31/99 to be
repurchased at $1,373,119)
5.43%, 09/01/99
$1,373 (Cost $1,372,912) (Note 6) ...................... 1,372,912
-----------
Total Investments -- 100.9%
(Cost $49,900,137) .............................. 49,611,414
-----------
Liabilities in Excess of
Other Assets -- (0.9%) .......................... (455,633)
-----------
Net Assets -- 100.0% .............................. $49,155,781
===========
- -------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Larger Cap Value Fund
Portfolio of Investments
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--98.1%
Aerospace--0.7%
400 B.F. Goodrich Co. (The), ....................... $ 14,775
1,100 Cordant Technologies, Inc. ..................... 45,512
-----------
60,287
-----------
Agricultural Services--0.6%
3,100 IMC Global Inc. ................................ 49,406
-----------
Airlines--1.6%
1,000 Alaska Air Group, Inc.* ........................ 43,250
1,400 UAL Corp.* ..................................... 90,737
-----------
133,987
-----------
Apparel--1.0%
1,200 Jones Apparel Group, Inc.* ..................... 31,125
2,500 Warnaco Group, Inc. (The), Class A ............. 55,000
-----------
86,125
-----------
Automobile Manufacturing--0.1%
200 PACCAR Inc. .................................... 11,025
-----------
Automobile Parts & Equipment--2.4%
400 Borg-Warner Automotive, Inc.** ................. 18,950
6,669 Delphi Automotive Systems Corp. ................ 125,044
1,800 Meritor Automotive, Inc. ....................... 39,262
800 Tower Automotive, Inc.* ........................ 16,000
-----------
199,256
-----------
Automobile Rentals--0.2%
500 Hertz Corp. (The), Class A ..................... 20,156
-----------
Banks--9.0%
5,900 AmSouth Bancorporation** ....................... 129,062
2,900 BB&T Corp. ..................................... 97,150
2,500 Comerica Inc. .................................. 130,156
700 Hudson United Bancorp .......................... 22,269
2,000 KeyCorp ........................................ 58,000
4,000 National City Corp. ............................ 110,500
1,400 North Fork Bancorporation, Inc. ................ 25,375
800 Old Kent Financial Corp. ....................... 31,600
900 Pacific Century Financial Corp. ................ 16,706
3,000 SouthTrust Corp. ............................... 105,937
400 UnionBanCal Corp. .............................. 15,350
-----------
742,105
-----------
Brokerage--3.4%
2,900 Bear Stearns Companies Inc. (The) .............. 120,712
2,300 Lehman Brothers Holdings Inc. .................. 123,625
400 Morgan Stanley, Dean Witter & Co. .............. 34,325
-----------
278,662
-----------
Building Supplies--3.6%
1,200 Armstrong World Industries, Inc. ............... 58,275
400 Carlisle Companies Inc. ........................ 16,000
1,600 Lafarge Corp. .................................. 44,000
3,500 Louisiana-Pacific Corp. ........................ 64,750
1,000 Owens Corning .................................. 28,125
300 Southdown, Inc. ................................ 15,150
1,400 USG Corp. ...................................... 68,600
-----------
294,900
-----------
Business Services--0.1%
200 American Management Systems, Inc.* ............. 5,725
-----------
Chemicals - Diversified--2.1%
1,000 FMC Corp.* ..................................... 58,250
1,200 Hercules Inc. .................................. 39,075
3,900 Solutia Inc. ................................... 78,000
-----------
175,325
-----------
Chemicals-Specialty--1.4%
700 Cytec Industries Inc.* ......................... 16,319
3,600 Engelhard Corp. ................................ 71,775
1,600 W.R. Grace & Co.* .............................. 30,600
-----------
118,694
-----------
Commercial Printing--1.5%
3,200 R.R. Donnelley & Sons Co. ...................... 100,400
500 Valassis Communications, Inc.* ................. 21,875
-----------
122,275
-----------
Computer & Office Equipment--0.1%
100 Lexmark International Group, Inc., Class A*..... 7,875
-----------
Computers, Software & Servicing--4.3%
1,300 Adaptec, Inc.* ................................. 50,700
2,300 Computer Associates International, Inc. ........ 129,950
2,600 Diebold, Inc. .................................. 69,225
100 International Business Machines Corp. (IBM)..... 12,456
2,900 Sterling Software, Inc.* ....................... 58,362
800 Unisys Corp.* .................................. 34,400
-----------
355,093
-----------
The accompanying notes are an integral part of the financial statements.
33
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Larger Cap Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Consumer Products--0.6%
900 Kimberly-Clark Corp. ........................... $ 51,244
-----------
Electric & Other Services--0.4%
1,300 LG&E Energy Corp. .............................. 29,900
-----------
Electric Utility--1.2%
3,000 GPU, Inc. ...................................... 102,375
-----------
Electronics--0.4%
500 Johnson Controls, Inc. ......................... 34,187
-----------
Energy--2.1%
900 DTE Energy Co. ................................. 35,494
4,300 Edison International ........................... 109,112
1,600 Questar Corp. .................................. 30,200
-----------
174,806
-----------
Financial Services--3.3%
2,250 Citigroup Inc. ................................. 99,984
1,800 Countrywide Credit Industries, Inc. ............ 57,825
2,800 Edwards (A.G.), Inc. ........................... 70,350
700 Heller Financial, Inc. ......................... 16,012
700 Household International, Inc. .................. 26,425
-----------
270,596
-----------
Food & Agriculture--3.9%
6,300 ConAgra, Inc. .................................. 154,350
600 Dean Foods Co. ................................. 24,150
2,300 IBP, Inc. ...................................... 52,756
1,300 International Home Foods, Inc.* ................ 26,000
1,500 Interstate Bakeries Corp.** .................... 35,906
500 Smithfield Foods, Inc.* ........................ 14,687
700 Universal Foods Corp. .......................... 14,787
-----------
322,636
-----------
Food Preparation--0.2%
400 H.J. Heinz Co. ................................. 18,675
-----------
Healthcare--0.4%
1,100 HEALTHSOUTH Corp.* ............................. 9,006
400 PacifiCare Health Systems, Inc.* ............... 24,000
-----------
33,006
-----------
Home Furnishings/Housewares--1.2%
1,300 Furniture Brands International, Inc.* .......... 26,081
800 Mohawk Industries, Inc.* ....................... 18,100
2,900 Shaw Industries, Inc. .......................... 58,000
-----------
102,181
-----------
Insurance - Financial Guarantee--5.0%
1,600 Ambac Financial Group, Inc. .................... 84,500
600 Financial Security Assurance Holdings Ltd. ..... 30,037
2,800 MGIC Investment Corp. .......................... 121,625
2,150 PMI Group, Inc. (The) .......................... 91,375
1,800 Radian Group Inc. .............................. 83,363
-----------
410,900
-----------
Insurance - Health & Life--1.6%
4,500 Conseco, Inc. .................................. 108,000
100 Equitable Companies Inc. (The) ................. 6,175
500 Nationwide Financial Services, Inc., Class A ... 18,250
-----------
132,425
-----------
Lumber & Wood Products--0.8%
700 Georgia Pacific Group .......................... 28,963
1,500 Georgia-Pacific Corp. (Timber Group) ........... 36,094
-----------
65,057
-----------
Machinery--0.7%
2,500 McDermott International, Inc. .................. 56,406
-----------
Manufacturing--2.8%
1,400 American Standard Companies, Inc. .............. 57,400
800 Crane Co. ...................................... 19,250
700 National Service Industries, Inc. .............. 22,400
200 Pentair, Inc. .................................. 9,100
300 Premark International, Inc. .................... 9,975
200 Snap-On, Inc. .................................. 6,763
1,200 Tenneco Inc. ................................... 24,150
800 Trinity Industries, Inc. ....................... 25,100
1,500 York International Corp. ....................... 61,688
-----------
235,826
-----------
Medical Instruments & Supplies--1.5%
500 Baxter International, Inc. ..................... 33,531
600 Beckman Coulter, Inc. .......................... 28,425
500 DENTSPLY International Inc. .................... 12,406
1,600 Mallinckrodt Inc. .............................. 51,300
-----------
125,662
-----------
Medical & Medical Services--0.6%
900 Shared Medical Systems Corp.** ................. 50,569
-----------
Metals & Mining--0.1%
200 Cyprus Amax Minerals Co. ....................... 3,388
-----------
The accompanying notes are an integral part of the financial statements.
34
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Larger Cap Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
- --------------------------------------------------------------------------------
Natural Gas Distribution--5.0%
2,900 El Paso Energy Corp. ........................... $ 106,031
4,200 KeySpan Corp. .................................. 123,900
2,000 MCN Energy Group Inc. .......................... 35,750
300 National Fuel Gas Co. .......................... 14,119
200 NICOR Inc. ..................................... 7,738
5,600 Sempra Energy .................................. 124,950
-----------
412,488
-----------
Newspaper Publishing & Printing--0.4%
700 Central Newspapers, Inc., Class A .............. 29,619
-----------
Office Furniture-0.1%
400 Miller (Herman). Inc. .......................... 9,425
-----------
Oil & Gas Field Exploration--8.9%
2,000 Amerada Hess Corp. ............................. 124,125
200 Apache Corp. ................................... 9,100
700 Helmerich & Payne, Inc. ........................ 19,294
2,300 Kerr-McGee Corp. ............................... 128,800
900 Murphy Oil Corp. ............................... 45,675
100 Noble Drilling Corp.* .......................... 2,463
5,200 Occidental Petroleum Corp. ..................... 112,775
1,800 Pioneer Natural Resources Co.*/** .............. 20,475
800 Santa Fe Snyder Corp.* ......................... 7,800
300 Transocean Offshore, Inc. ...................... 10,200
6,900 Union Pacific Resources Group Inc. ............. 123,769
4,200 USX-Marathon Group ............................. 130,725
-----------
735,201
-----------
Photographic Equipment--2.0%
2,300 Eastman Kodak Co. .............................. 168,906
-----------
Plastics--0.4%
1,300 Tupperware Corp. ............................... 29,331
-----------
Residential Construction--0.7%
2,200 D.R. Horton, Inc. .............................. 32,038
1,300 Kaufman and Broad Home Corp.** ................. 26,569
-----------
58,607
-----------
Restaurants--0.1%
200 Foodmaker, Inc. * .............................. 4,613
-----------
Retail - Department Stores--2.2%
2,200 Dillard's, Inc., Class A ....................... 51,700
300 Federated Department Stores, Inc.* ............. 13,800
3,500 Kmart Corp.* ................................... 43,969
1,000 May Department Stores Co. (The) ................ 39,063
800 Sears, Roebuck & Co. ........................... 30,000
-----------
178,532
-----------
Retail - Jewelry Stores--0.3%
1,300 Claire's Stores, Inc. .......................... 24,456
-----------
Retail - Specialty Apparel--1.7%
1,600 Ross Stores, Inc. .............................. 66,600
2,500 TJX Companies, Inc. (The) ...................... 72,188
-----------
138,788
-----------
Savings & Loan Associations--4.6%
1,400 Astoria Financial Corp. ........................ 46,025
4,012 Charter One Financial, Inc. .................... 93,906
5,200 Dime Bancorp, Inc. ............................. 95,550
4,700 Golden State Bancorp Inc.* ..................... 94,294
100 Golden West Financial Corp. .................... 9,081
1,325 Washington Mutual, Inc. ........................ 42,069
-----------
380,925
-----------
Services - Employment Agencies--0.1%
300 Interim Services Inc.* ......................... 5,531
-----------
Telecommunications--6.6%
4,400 Bell Atlantic Corp. ............................ 269,500
5,900 BellSouth Corp. ................................ 266,975
200 RCN Corp. ...................................... 8,400
-----------
544,875
-----------
Telecommunications Equipment--0.1%
200 Plantronics, Inc.* ............................. 10,125
-----------
Tobacco--0.1%
100 Universal Corp. ................................ 2,838
-----------
Transportation--0.3%
200 CNF Transportation Inc. ........................ 7,788
300 USFreightways Corp. ............................ 14,550
-----------
22,338
-----------
Utilities--4.1%
2,300 Allegheny Energy, Inc. ......................... 77,625
3,200 PECO Energy Co. ................................ 130,000
4,600 PP&L Resources, Inc. ........................... 128,800
-----------
336,425
-----------
The accompanying notes are an integral part of the financial statements.
35
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Larger Cap Value Fund
Portfolio of Investments (concluded)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Wholesale - Drug Distribution--0.2%
700 AmeriSource Health Corp., Class A* ............. $ 18,069
-----------
Wholesale - Groceries & General Line--1.3%
4,600 SUPERVALU INC. ................................. 103,500
-----------
Total Common Stocks
(Cost $8,437,016) ............................ 8,095,327
-----------
PRINCIPAL
AMOUNT (000'S)
- --------------
SHORT-TERM INVESTMENT--3.5%
Repurchase Agreement--3.5%
Bear, Stearns & Co. Inc.
(Agreement dated 08/31/99 to be
repurchased at $293,671)
5.430%, 09/01/99
$294 (Cost $293,627) (Note 6) ..................... 293,627
-----------
Total Investments -- 101.6%
(Cost $8,730,643) ............................ 8,388,954
-----------
Liabilities in Excess of
Other Assetsa -- (1.6%) ........................ (132,963)
-----------
Net Assets -- 100.0% ............................ $ 8,255,991
===========
- ---------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
36
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
COMMON STOCKS--95.7%
Advertising--0.6%
3,000 ADVO, Inc.* .................................... $ 58,875
400 True North Communications Inc. ................. 13,175
-----------
72,050
-----------
Aerospace--1.1%
4,100 BE Aerospace, Inc.* ............................ 70,981
1,300 Cordant Technologies, Inc. ..................... 53,787
-----------
124,768
-----------
Airlines--0.8%
200 Alaska Air Group, Inc.* ........................ 8,650
4,000 America West Holdings Corp., Class B* .......... 78,000
-----------
86,650
-----------
Aluminum--0.2%
1,400 Commonwealth Industries, Inc. .................. 20,125
-----------
Amusement & Recreational Services--0.1%
200 Polaris Industries Inc. ........................ 7,187
-----------
Apparel--2.7%
6,900 Kellwood Co. ................................... 164,737
1,000 Russell Corp. .................................. 16,750
6,000 Warnaco Group, Inc. (The), Class A ............. 132,000
-----------
313,487
-----------
Automobile Parts & Equipment--3.4%
3,100 American Axle & Manufacturing Holdings, Inc.* .. 48,437
3,000 Arvin Industries, Inc.* ........................ 107,250
2,200 Borg-Warner Automotive, Inc.** ................. 104,225
6,100 Meritor Automotive, Inc. ....................... 133,056
-----------
392,968
-----------
Automobile Rentals--0.1%
300 Avis Rent A Car, Inc.* ......................... 6,600
300 Dollar Thrifty Automotive Group, Inc.* ......... 5,644
-----------
12,244
-----------
Banks--6.7%
7,700 Bay View Capital Corp. ......................... 125,606
500 Centura Banks, Inc. ............................ 23,156
2,500 City National Corp. ............................ 82,969
10,800 Colonial BancGroup, Inc. (The) ................. 133,650
4,800 GBC Bancorp .................................... 94,200
4,300 Hudson United Bancorp .......................... 136,794
1,500 Oriental Financial Group Inc.*/** .............. 35,437
7,600 Pacific Century Financial Corp. ................ 141,075
-----------
772,887
-----------
Building Supplies--1.7%
3,500 Centex Construction Products, Inc. ............. 134,531
900 Hughes Supply, Inc. ............................ 20,925
1,500 Owens Corning .................................. 42,187
-----------
197,643
-----------
Chemicals - Specialty--1.8%
3,300 Cytec Industries Inc.* ......................... 76,931
1,500 Ferro Corp. .................................... 36,000
4,500 NL Industries, Inc.** .......................... 54,281
2,300 W.R. Grace & Co.* .............................. 43,987
-----------
211,199
-----------
Commercial Services--0.2%
1,000 Wallace Computer Services, Inc. ............... 21,375
-----------
Computer Components--0.2%
2,200 Equinox Systems Inc.* .......................... 28,050
-----------
Computers, Software & Servicing--2.4%
3,600 Analysts International Corp. ................... 48,150
3,000 Diebold, Inc. .................................. 79,875
4,800 InterVoice-Brite, Inc.* ........................ 66,000
400 Symantec Corp.* ................................ 12,000
2,200 THQ Inc.* ...................................... 69,575
-----------
275,600
-----------
Consumer Products--0.2%
1,300 Jostens, Inc. .................................. 26,162
-----------
Electric Services--1.1%
3,300 UniSource Energy Corp.*/ ** .................... 39,394
3,700 Western Resources, Inc.** ...................... 88,337
-----------
127,731
-----------
Electrical Equipment--4.1%
6,000 AMETEK, Inc. ................................... 124,875
4,200 C&D Technologies, Inc. ......................... 132,300
9,500 General Cable Corp. ............................ 137,750
2,100 Tektronix, Inc. ................................ 69,825
-----------
464,750
-----------
The accompanying notes are an integral part of the financial statements.
37
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Electronic Components & Accessories--1.3%
3,400 Park Electrochemical Corp. ..................... $ 98,812
3,100 Pioneer-Standard Electronics, Inc.** ........... 43,787
-----------
142,599
-----------
Energy--1.2%
7,500 Questar Corp. .................................. 141,562
-----------
Financial Services--5.8%
5,200 American Captial Strategies Ltd. ............... 90,525
10,000 Doral Financial Corp. .......................... 138,750
7,100 Federated Investors, Inc., Class B** ........... 130,462
2,500 Freedom Securities Corp. ....................... 35,156
6,100 Heller Financial, Inc. ......................... 139,537
500 John Nuveen Co. (The), Class A** ............... 19,531
4,900 Waddell & Reed Financial, Inc., Class A ........ 111,169
-----------
664,630
-----------
Food & Agriculture--4.2%
4,900 Interstate Bakeries Corp.** .................... 117,294
2,800 Michael Foods, Inc. ............................ 77,525
1,800 Pilgrim's Pride Corp., Class A * ............... 14,625
8,900 Pilgrim's Pride Corp., Class B ................. 94,562
1,000 Suiza Foods Corp.* ............................. 31,875
7,100 Universal Foods Corp. .......................... 149,987
-----------
485,868
-----------
Home Furnishings/Housewares--1.7%
1,000 Department 56, Inc.* ........................... 28,000
1,100 Furniture Brands International, Inc.* .......... 22,069
4,600 Libbey, Inc. ................................... 140,875
-----------
190,944
-----------
Hotels--0.5%
5,800 Prime Hospitality Corp.* ....................... 54,012
-----------
Industrial Machinery--0.6%
2,700 Terex Corp.* ................................... 72,562
-----------
Insurance - Financial Guarantee--2.6%
4,200 Enhance Financial Services Group Inc.* ......... 86,100
1,650 PMI Group, Inc. (The) .......................... 70,125
3,000 Radian Group Inc. .............................. 138,937
-----------
295,162
-----------
Insurance - Health & Life--2.5%
3,400 AmerUs Life Holdings, Inc., Class A ............ 82,025
1,700 Delphi Financial Group, Inc., Class A* ......... 60,350
5,500 Liberty Financial Companies, Inc.** ............ 141,625
-----------
284,000
-----------
Insurance - Property & Casualty--3.8%
3,300 Acceptance Insurance Co. Inc.* ................. 43,725
4,400 Everest Reinsurance Holdings, Inc. ............. 122,100
600 FPIC Insurance Group, Inc.* .................... 10,425
5,100 Fremont General Corp. .......................... 50,681
11,500 Frontier Insurance Group, Inc. ................. 139,437
3,600 Selective Insurance Group, Inc. ................ 64,125
-----------
430,493
-----------
Insurance - Title Insurance--0.4%
1,000 Chicago Title Corp. ............................ 45,312
-----------
Leisure & Entertainment--1.5%
7,800 Acclaim Entertainment, Inc.*/ ** ............... 55,088
600 Anchor Gaming* ................................. 29,156
4,800 International Game Technology* ................. 84,000
-----------
168,244
-----------
Machinery--3.3%
2,900 Applied Industrial Technologies, Inc. .......... 43,681
2,400 Graco Inc. ..................................... 80,850
1,900 McDermott International, Inc. .................. 42,869
1,500 Tecumseh Products Co., Class A ................. 85,500
5,400 United Dominion Industries Ltd. ................ 126,225
-----------
379,125
-----------
Manufacturing--3.4%
1,700 Crane Co.* ..................................... 40,906
3,300 Lancaster Colony Corp. ......................... 108,488
2,200 MascoTech, Inc.* ............................... 37,950
2,900 National Service Industries, Inc. .............. 92,800
3,500 Trinity Industries, Inc. ....................... 109,813
-----------
389,957
-----------
Medical Instruments & Supplies--1.7%
3,000 Beckman Coulter, Inc. .......................... 142,125
900 DENTSPLY International Inc. .................... 22,331
1,300 Maxxim Medical, Inc.* .......................... 32,013
-----------
196,469
-----------
Medical & Medical Services--0.8%
1,700 Shared Medical Systems Corp. ................... 95,519
-----------
The accompanying notes are an integral part of the financial statements.
38
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments (continued)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Metal Fabricating--0.8%
1,600 Precision Castparts Corp.* ..................... $ 56,800
1,400 Quanex Corp. ................................... 36,400
-----------
93,200
-----------
Metals & Mining--0.7%
2,800 ASARCO Inc. .................................... 58,450
1,400 Cyprus Amax Minerals Co. ....................... 23,713
-----------
82,163
-----------
Natural Gas Distribution--4.8%
5,600 Energen Corp. .................................. 105,700
2,400 Indiana Energy, Inc.* .......................... 50,850
4,900 MCN Energy Group Inc. .......................... 87,588
2,400 Midcoast Energy Resources, Inc.* ............... 42,300
200 National Fuel Gas Co. .......................... 9,413
3,500 NICOR Inc. ..................................... 135,406
3,900 NUI Corp.** .................................... 99,938
600 WICOR, Inc. .................................... 17,550
-----------
548,745
-----------
Office & Business Equipment--0.6%
3,300 United Stationers Inc.*/ ** .................... 74 ,663
-----------
Oil & Gas Field Exploration--2.8%
2,500 Houston Exploration Co. (The)* ................. 53,125
3,400 HS Resources, Inc.* ............................ 58,225
300 Louis Dreyfus Natural Gas Corp.* ............... 6,563
3,100 Offshore Logistics, Inc.* ...................... 36,231
6,800 Pioneer Natural Resources Co.* ................. 77,350
1,800 Pride International, Inc.*/ ** ................. 26,775
7,800 Trico Marine Services, Inc.* ................... 62,400
320,669
-----------
Oil & Gas Field - Services--0.2%
2,900 Seitel, Inc.*/ ** .............................. 28,275
-----------
Paints, Lacquers, Varnish, Enamel--0.4%
3,200 Lilly Industries, Inc., Class A ................ 50,800
-----------
Paper & Allied Products--0.8%
4,500 Buckeye Technologies Inc.* ..................... 71,438
1,800 Schweitzer-Mauduit International, Inc.* ........ 24,413
-----------
95,851
-----------
Recycling--0.4%
2,600 IMCO Recycling Inc. ............................ 40,788
-----------
Residential Construction--4.9%
1,900 Beazer Homes USA, Inc.*/ ** .................... 42,156
6,300 Del Webb Corp.* ................................ 137,025
9,300 D.R. Horton, Inc. .............................. 135,431
7,000 Kaufman and Broad Home Corp.** ................. 143,063
5,500 M.D.C. Holdings, Inc. .......................... 103,469
200 Ryland Group, Inc. (The)* ...................... 4,813
-----------
565,957
-----------
Restaurants--0.9%
6,100 Landry's Seafood Restaurants, Inc.* ............ 51,850
5,300 Ryan's Family Steak Houses, Inc.* .............. 51,344
-----------
103,194
-----------
Retail - Department Stores--0.1%
200 Ames Department Stores, Inc. * ................. 5,875
-----------
Retail - Jewelry Stores--0.5%
3,000 Claire's Stores, Inc. .......................... 56,438
-----------
Retail - Shoe Stores--0.3%
2,100 Brown Shoe Company, Inc. ....................... 36,488
-----------
Retail - Specialty--0.7%
5,500 Heilig-Meyers Co. .............................. 29,219
6,100 Musicland Stores Corp.* ........................ 51,850
-----------
81,069
-----------
Retail - Specialty Apparel--0.7%
6,200 Cato Corp. (The), Class A ...................... 83,313
-----------
Savings & Loan Associations--4.2%
3,000 Bank United Corp., Class A ..................... 102,938
1,000 Commercial Federal Corp. ....................... 23,250
2,500 Flagstar Bancorp, Inc. ......................... 49,375
1,200 Sovereign Bancorp, Inc. ........................ 12,037
5,770 Washington Federal, Inc. ....................... 137,759
5,800 Webster Financial Corp.** ...................... 156,238
-----------
481,597
-----------
Services - Employment Agencies--0.1%
1,800 Personnel Group of America, Inc.* .............. 15,075
-----------
Steel--2.0%
600 AK Steel Holding Corp.* ........................ 12,600
1,400 Carpenter Technology Corp. ..................... 32,025
15,300 National Steel Corp., Class B .................. 124,313
3,200 Oregon Steel Mills, Inc. ....................... 35,000
3,000 WHX Corp.* ..................................... 26,438
-----------
230,376
-----------
The accompanying notes are an integral part of the financial statements.
39
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments (concluded)
August 31, 1999
- --------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
- --------------------------------------------------------------------------------
Telecommunications Equipment--1.1%
4,950 Superior TeleCom Inc. .......................... $ 130,247
-----------
Tobacco--0.7%
2,800 Universal Corp. ................................ 79,450
-----------
Transportation--1.6%
4,000 Arkansas Best Corp.* ........................... 50,000
1,900 GATX Corp. ..................................... 63,413
4,500 Yellow Corp.* .................................. 71,438
-----------
184,851
-----------
Trucks - Rental Services--0.9%
10,400 Rollins Truck Leasing Corp. .................... 107,900
-----------
Utilities--2.8%
8,300 Public Service Co. of New Mexico ............... 156,144
6,400 RGS Energy Group Inc. .......................... 165,600
-----------
321,744
-----------
Total Common Stocks
(Cost $11,276,762) ........................... 11,010,062
-----------
SHORT-TERM INVESTMENT--4.2%
Repurchase Agreement--4.2%
Bear, Stearns & Co. Inc.
(Agreement dated 8/31/99 to be
repurchased at $479,917)
5.430%, 09/01/99
$480 (Cost $479,844) (Note 6)..................... 479,844
-----------
Total Investments -- 99.9%
(Cost $11,756,606)........................... 11,489,906
-----------
Other Assets in Excess
of Liabilities-- 0.1% ....................... 8,384
-----------
Net Assets-- 100.0% ........................... $11,498,290
===========
- ------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
40
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statement of Assets and Liabilities
August 31, 1999
<TABLE>
<CAPTION>
MICRO CAP GROWTH GROWTH & VALUE LARGER CAP VALUE SMALL CAP VALUE
FUND FUND FUND FUND FUND
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Assets
Investments, at value (cost - $73,783,313,
$58,045,039, $49,900,137, $8,730,643,
$11,756,606, respectively) ............. $ 77,026,777 $ 62,200,195 $ 49,611,414 $ 8,388,954 $ 11,489,906
Cash collateral received for securities
loaned (Note 5) ........................ 1,023,711 736,876 426,537 23,126 93,600
Receivable for investments sold ........... 3,142,372 1,303,880 1,116,472 184,009 227,359
Dividends and interest receivable ......... 37,673 21,368 49,890 12,235 20,315
Receivable for Fund shares sold ........... 3,982 -- 8,761 -- 39,740
Receivable from investment adviser ........ -- -- -- 4,329 574
Prepaid expenses .......................... 18,232 12,638 36,364 -- --
------------ ------------ ------------ ----------- ------------
Total assets ........................... 81,252,747 64,274,957 51,249,438 8,612,653 11,871,494
------------ ------------ ------------ ----------- ------------
Liabilities
Payable upon return of securities loaned
(Note 5) ............................... 1,023,711 736,876 426,537 23,126 93,600
Payable for investments purchased ......... 3,686,103 826,869 1,505,126 233,043 259,142
Payable for Fund shares redeemed .......... 104,535 244,421 126,378 53,605 --
Accrued expenses and other liabilities .... 89,573 90,968 35,616 46,888 20,462
------------ ------------ ------------ ----------- ------------
Total liabilities ...................... 4,903,922 1,899,134 2,093,657 356,662 373,204
------------ ------------ ------------ ----------- ------------
Net Assets
Capital stock, $0.001 par value ........... 4,235 4,190 2,911 622 894
Additional paid-in capital ................ 55,231,263 57,421,160 44,965,444 8,806,279 10,615,954
Undistributed net investment income ....... -- -- 82,539 88,088 87,010
Accumulated undistributed net realized
gain/(loss)from investments and
futures transactions, if any ........... 17,869,863 795,317 4,393,610 (297,309) 1,061,132
Net unrealized appreciation/(depreciation)
on investments and futures transactions,
if any ................................. 3,243,464 4,155,156 (288,723) (341,689) (266,700)
------------ ------------ ------------ ----------- ------------
Net assets applicable to shares outstanding $ 76,348,825 $ 62,375,823 $ 49,155,781 $ 8,255,991 $ 11,498,290
============ ============ ============ ============ ============
Shares outstanding ........................... 4,235,134 4,190,064 2,910,851 622,361 894,247
------------ ------------ ------------ ----------- ------------
Net asset value, offering and redemption
price per share ........................... $18.03 $14.89 $16.89 $13.27 $12.86
====== ====== ====== ====== ======
</TABLE>
The accompanying notes are an integral part of the financial statements.
41
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statement of Operations
For the Fiscal Year Ended August 31, 1999
<TABLE>
<CAPTION>
MICRO CAP GROWTH GROWTH & VALUE LARGER CAP VALUE SMALL CAP VALUE
FUND FUND FUND FUND FUND
-------------- ------------ -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C>
Investment Income
Dividends ............................. $ 191,246** $ 252,552** $ 1,011,182 $ 380,232 $ 135,420**
Interest .............................. 299,119 132,230 116,413 22,417 25,144
Securities lending .................... 54,124 38,739 27,945 2,920 1,939
------------ ------------ ------------ ------------ ------------
544,489 423,521 1,155,540 405,569 162,503
------------ ------------ ------------ ------------ ------------
Expenses
Advisory fees ......................... 756,094 573,423 660,704 150,844 55,690
Co-Administration fees ................ 176,422 133,818 156,173 85,055 60,024
Administrative services fees .......... 151,219 114,685 132,141 30,169 11,324
Transfer agent fees and expenses ...... 77,308 72,327 118,436 42,685 32,074
Printing .............................. 28,492 25,718 32,552 4,965 4,672
Custodian fees and expenses ........... 30,244 22,937 26,428 6,146 2,265
Audit and legal fees .................. 29,933 28,815 28,518 16,558 7,704
Federal and state registration fees ... 11,795 10,841 3,732 17,268 17,220
Other ................................. 13,559 10,957 8,624 7,431 4,800
------------ ------------ ------------ ----------- ------------
Total expenses before waivers and
reimbursements .................. 1,275,066 993,521 1,167,308 361,121 195,773
Less: waivers and reimbursements ... (266,942) (228,958) (286,369) (159,995) (120,280)
------------ ------------ ------------ ----------- ------------
Total expenses after waivers and
reimbursements .................. 1,008,124 764,563 880,939 201,126 75,493
------------ ------------ ------------ ----------- ------------
Net investment income/(loss) .......... (463,635) (341,042) 274,601 204,443 87,010
------------ ------------ ------------ ----------- ------------
Net realized and unrealized gain on
investments and futures transactions:
Net realized gain/(loss) from:
Investments ........................ 17,921,124 3,454,997 4,760,317 (167,333) 1,061,132
Futures transactions ............... 308,024 -- -- -- --
Net change in unrealized depreciation
on Investments ..................... 26,593,111 28,829,220 29,753,292 5,969,183 (266,700)
------------ ------------ ------------ ----------- ------------
Net realized and unrealized gain on
investments and futures
transactions ....................... 44,822,259 32,284,217 34,513,609 5,801,850 794,432
------------ ------------ ------------ ----------- ------------
Net increase in net assets resulting
from operations ....................... $ 44,358,624 $ 31,943,175 $ 34,788,210 $ 6,006,293 $ 881,442
============ ============ ============ ============ ============
</TABLE>
- ------------
* Commenced operations on November 30, 1998.
** Net of foreign withholding taxes of $1,008, $100 and $228, respectively.
The accompanying notes are an integral part of the financial statements.
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
MICRO CAP
FUND
---------------------------------
For the For the
Fiscal Fiscal
Year Ended Year Ended
August 31, 1999 August 31, 1998
--------------- ---------------
<S> <C> <C>
Increase/(decrease) in net assets resulting from operations
Net investment income/(loss) ............................................. $ (463,635) $ (572,389)
Net realized gain/(loss) from investments and futures transactions, if any 18,229,148 19,400,519
Net change in unrealized appreciation/(depreciation) on investments and
futures transactions, if any .......................................... 26,593,111 (44,713,083)
--------------- ---------------
Net increase/(decrease) in net assets resulting from operations .......... 44,358,624 (25,884,953)
--------------- ---------------
Dividends and distributions to shareholders from:
Net investment income .................................................... -- --
Net realized capital gains ............................................... (7,942,123) (19,435,152)
--------------- ---------------
Total dividends and distributions to shareholders ........................ (7,942,123) (19,435,152)
--------------- ---------------
Increase/(decrease) in net assets derived from
capital share transactions (Note 4) ....................................... (59,334,109) 2,467,039
--------------- ---------------
Total increase/(decrease) in net assets .................................. (22,917,608) (42,853,066)
Net assets
Beginning of period ...................................................... 99,266,433 142,119,499
--------------- ---------------
End of period ............................................................ $ 76,348,825 $ 99,266,433
=============== ===============
</TABLE>
- -----------
* Commencement of operations.
(a) Includes undistributed net investment income of $82,539.
(b) Includes undistributed net investment income of $305,148.
(c) Includes undistributed net investment income of $88,088.
(d) Includes undistributed net investment income of $137,375.
(e) Includes undistributed net investment income of $87,010.
The accompanying notes are an integral part of the financial statements.
44
<PAGE>
<TABLE>
<CAPTION>
GROWTH
FUND
---------------------------------
For the For the
Fiscal Fiscal
Year Ended Year Ended
August 31, 1999 August 31, 1998
--------------- ---------------
<S> <C> <C>
Increase/(decrease) in net assets resulting from operations
Net investment income/(loss) ............................................. $ (341,042) $ (605,792)
Net realized gain/(loss) from investments and futures transactions, if any 3,454,997 7,631,010
Net change in unrealized appreciation/(depreciation) on investments and
futures transactions, if any .......................................... 28,829,220 (39,943,640)
--------------- ---------------
Net increase/(decrease) in net assets resulting from operations .......... 31,943,175 (32,918,422)
--------------- ---------------
Dividends and distributions to shareholders from:
Net investment income .................................................... -- --
Net realized capital gains ............................................... (39,086) (19,099,345)
--------------- ---------------
Total dividends and distributions to shareholders ........................ (39,086) (19,099,345)
--------------- ---------------
Increase/(decrease) in net assets derived from
capital share transactions (Note 4) ....................................... (47,367,810) 12,133,413
--------------- ---------------
Total increase/(decrease) in net assets .................................. (15,463,721) (39,884,354)
Net assets
Beginning of period ...................................................... 77,839,544 117,723,898
--------------- ---------------
End of period ............................................................ $ 62,375,823 $ 77,839,544
=============== ===============
<CAPTION>
GROWTH & VALUE
FUND
--------------------------------------
For the For the
Fiscal Fiscal
Year Ended Year Ended
August 31, 1999 August 31, 1998
--------------- ---------------
<S> <C> <C>
Increase/(decrease) in net assets resulting from operations
Net investment income/(loss) ............................................. $ 274,601 $ 389,134
Net realized gain/(loss) from investments and futures transactions, if any 4,760,317 15,859,151
Net change in unrealized appreciation/(depreciation) on investments and
futures transactions, if any .......................................... 29,753,292 (33,971,552)
--------------- ---------------
Net increase/(decrease) in net assets resulting from operations .......... 34,788,210 (17,723,267)
--------------- ---------------
Dividends and distributions to shareholders from:
Net investment income .................................................... (497,210) (237,074)
Net realized capital gains ............................................... (10,970,699) (10,728,727)
--------------- ---------------
Total dividends and distributions to shareholders ........................ (11,467,909) (10,965,801)
--------------- ---------------
Increase/(decrease) in net assets derived from
capital share transactions (Note 4) ....................................... (84,340,716) 86,374,444
--------------- ---------------
Total increase/(decrease) in net assets .................................. (61,020,415) 57,685,376
Net assets
Beginning of period ...................................................... 110,176,196 52,490,820
--------------- ---------------
End of period ............................................................ $ 49,155,781(a) $ 110,176,196(b)
=============== ===============
<CAPTION>
LARGER CAP VALUE
FUND
----------------------------------
For the For the Period
Fiscal December 9, 1997*
Year Ended through
August 31, 1999 August 31, 1998
--------------- ---------------
<S> <C> <C>
Increase/(decrease) in net assets resulting from operations
Net investment income/(loss) ............................................. $ 204,443 $ 137,375
Net realized gain/(loss) from investments and futures transactions, if any (167,333) 412,725
Net change in unrealized appreciation/(depreciation) on investments and
futures transactions, if any .......................................... 5,969,183 (6,310,872)
--------------- ---------------
Net increase/(decrease) in net assets resulting from operations .......... 6,006,293 (5,760,772)
--------------- ---------------
Dividends and distributions to shareholders from:
Net investment income .................................................... (253,730) --
Net realized capital gains ............................................... (542,701) --
--------------- ---------------
Total dividends and distributions to shareholders ........................ (796,431) --
--------------- ---------------
Increase/(decrease) in net assets derived from
capital share transactions (Note 4) ....................................... (22,210,422) 31,017,323
--------------- ---------------
Total increase/(decrease) in net assets .................................. (17,000,560) 25,256,551
Net assets
Beginning of period ...................................................... 25,256,551 --
--------------- ---------------
End of period ............................................................ $ 8,255,991(c) $ 25,256,551(d)
============== ===============
<CAPTION>
SMALL CAP VALUE
FUND
-----------------
For the Period
November 30, 1998*
through
August 31, 1999
---------------
<S> <C>
Increase/(decrease) in net assets resulting from operations
Net investment income/(loss) ............................................. $ 87,010
Net realized gain/(loss) from investments and futures transactions, if any 1,061,132
Net change in unrealized appreciation/(depreciation) on investments and
futures transactions, if any .......................................... (266,700)
---------------
Net increase/(decrease) in net assets resulting from operations .......... 881,442
---------------
Dividends and distributions to shareholders from:
Net investment income .................................................... --
Net realized capital gains ............................................... --
---------------
Total dividends and distributions to shareholders ........................ --
---------------
Increase/(decrease) in net assets derived from
capital share transactions (Note 4) ....................................... 10,616,848
---------------
Total increase/(decrease) in net assets .................................. 11,498,290
Net assets
Beginning of period ...................................................... --
---------------
End of period ............................................................ $ 11,498,290(e)
===============
</TABLE>
* Commencement of operations.
(a) Includes undistributed net investment income of $82,539.
(b) Includes undistributed net investment income of $305,148.
(c) Includes undistributed net investment income of $88,088.
(d) Includes undistributed net investment income of $137,375.
(e) Includes undistributed net investment income of $87,010.
The accompanying notes are an integral part of the financial statements.
45
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Financial Highlights
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MICRO CAP FUND
------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended through
August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ............................. $ 12.52 $ 18.47 $ 11.67 $ 12.00
-------- ------- -------- -------
Net investment income/(loss) ..................................... (0.18) (0.07) (0.01) 0.01
Net realized and unrealized gain/(loss) on investments and
futures transactions, if any .................................. 6.72 (3.23) 6.82 (0.34)
-------- ------- -------- -------
Net increase/(decrease) in net assets resulting from operations .. 6.54 (3.30) 6.81 (0.33)
-------- ------- -------- -------
Dividends and distributions to shareholders from:
Net investment income ............................................ -- -- (0.01) --
Net realized capital gains ....................................... (1.03) (2.65) -- --
-------- ------- -------- -------
Total dividends and distributions to shareholders ................ (1.03) (2.65) (0.01) --
-------- ------- -------- -------
Net asset value, end of period ................................... $ 18.03 $ 12.52 $ 18.47 $ 11.67
======== ======= ======== =======
Total investment return(2) ....................................... 56.09% (20.74)% 58.41% (2.75)%
======== ======= ======== =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ........................ $ 76,349 $99,266 $142,119 $14,100
Ratio of expenses to average net assets(1) ....................... 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without waivers and
expense reimbursements ........................................ 1.26% 1.23% 1.45% 3.45%(3)
Ratio of net investment income/(loss) to average net assets(1) ... (0.46)% (0.41)% (0.06)% 0.73%(3)
Portfolio turnover rate .......................................... 316.02% 408.70% 233.49% 42.92%
</TABLE>
- ---------
* Commencement of operations.
(1) Reflects waivers and reimbursements.
(2) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
46
<PAGE>
<TABLE>
<CAPTION>
GROWTH FUND
------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended through
August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ............................. $ 9.75 $ 16.29 $ 11.84 $ 12.00
------- ------- -------- -------
Net investment income/(loss) ..................................... (0.18) (0.07) (0.04) 0.01
Net realized and unrealized gain/(loss) on investments and
futures transactions, if any .................................. 5.33 (3.98) 4.50 (0.17)
------- ------- -------- -------
Net increase/(decrease) in net assets resulting from operations .. 5.15 (4.05) 4.46 (0.16)
------- ------- -------- -------
Dividends and distributions to shareholders from:
Net investment income ............................................ -- -- (0.01) --
Net realized capital gains ....................................... (0.01) (2.49) -- --
------- ------- -------- -------
Total dividends and distributions to shareholders ................ (0.01) (2.49) (0.01) --
------- ------- -------- -------
Net asset value, end of period ................................... $ 14.89 $ 9.75 $ 16.29 $ 11.84
======= ======= ======== =======
Total investment return(2) ....................................... 52.80% (29.03)% 37.69% (1.33)%
======= ======= ======== =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ........................ $62,376 $77,840 $117,724 $26,756
Ratio of expenses to average net assets(1) ....................... 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without waivers and
expense reimbursements ........................................ 1.30% 1.24% 1.40% 2.62%(3)
Ratio of net investment income/(loss) to average net assets(1) ... (0.45)% (0.50)% (0.38)% 0.71%(3)
Portfolio turnover rate .......................................... 309.60% 338.40% 266.25% 19.21%
</TABLE>
- ---------
* Commencement of operations.
(1) Reflects waivers and reimbursements.
(2) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
47
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Financial Highlights (concluded)
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH & VALUE FUND
------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended through
August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period .......................... $ 13.30 $ 17.16 $ 11.56 $12.00
------- -------- ------- ------
Net investment income ......................................... 0.05 0.05 0.08 0.03
Net realized and unrealized gain/(loss) on investments and
futures transactions, if any ............................... 4.97 (1.24) 5.58 (0.47)
------- -------- ------- ------
Net increase/(decrease) in net assets resulting from
operations ................................................... 5.02 (1.19) 5.66 (0.44)
------- -------- ------- ------
Dividends and distributions to shareholders from:
Net investment income ......................................... (0.06) (0.06) (0.06) --
Net realized capital gains .................................... (1.37) (2.61) -- --
------- -------- ------- ------
Total dividends and distributions to shareholders ............. (1.43) (2.67) (0.06) --
------- -------- ------- ------
Net asset value, end of period ................................ $ 16.89 $ 13.30 $ 17.16 $11.56
======= ======== ======= ======
Total investment return(2) .................................... 41.61% (8.97)% 49.11% (3.67)%
======= ======== ======= ======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ..................... $49,156 $110,176 $52,491 $3,813
Ratio of expenses to average net assets(1) .................... 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without waivers and
expense reimbursements ..................................... 1.33% 1.26% 1.81% 8.98%(3)
Ratio of net investment income to average net assets(1) ....... 0.31% 0.36% 0.79% 1.89%(3)
Portfolio turnover rate ....................................... 384.71% 341.73% 263.83% 5.25%
</TABLE>
- -------
* Commencement of operations.
(1) Reflects waivers and reimbursements.
(2) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
48
<PAGE>
<TABLE>
<CAPTION>
LARGER CAP VALUE FUND SMALL CAP VALUE FUND
--------------------------------- --------------------
For the Period For the Period
For the Fiscal December 9, 1997* November 30, 1998*
Year Ended through through
August 31, 1999 August 31, 1998 August 31, 1999
--------------- --------------- ---------------
<S> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ............................. $ 10.84 $ 12.00 $ 12.00
------- ------- -------
Net investment income ............................................ 0.19 0.06 0.10
Net realized and unrealized gain/(loss) on investments and
futures transactions, if any .................................. 2.58 (1.22) 0.76
------- ------- -------
Net increase/(decrease) in net assets resulting from operations .. 2.77 (1.16) 0.86
------- ------- -------
Dividends and distributions to shareholders from:
Net investment income ............................................ (0.11) -- --
Net realized capital gains ....................................... (0.23) -- --
------- ------- -------
Total dividends and distributions to shareholders ................ (0.34) -- --
------- ------- -------
Net asset value, end of period ................................... $ 13.27 $ 10.84 $ 12.86
======= ======= =======
Total investment return(2) ....................................... 26.01% (9.67)% 7.17%
======= ======= =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ........................ $ 8,256 $25,257 $11,498
Ratio of expenses to average net assets(1) ....................... 1.00% 1.00%(3) 1.00%(3)
Ratio of expenses to average net assets without waivers and
expense reimbursements ........................................ 1.80% 2.20%(3) 2.59%(3)
Ratio of net investment income to average net assets(1) .......... 1.02% 1.26%(3) 1.15%(3)
Portfolio turnover rate .......................................... 304.89% 166.81% 212.55%
</TABLE>
- -------
* Commencement of operations.
(1) Reflects waivers and reimbursements.
(2) Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
49
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. ("RBB") was incorporated under the laws of the State of
Maryland on February 29, 1988, and is registered under the Investment Company
Act of 1940, as amended, (the "Investment Company Act") as an open-end
management investment company. RBB is a "series fund", which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the Investment Company Act, and for other purposes,
and a shareholder of one portfolio is not deemed to be a shareholder of any
other portfolio. Currently RBB has sixteen investment portfolios, including the
n/i numeric investors family of funds ("n/i numeric investors Family") which
consists of five diversified portfolios: n/i numeric investors Micro Cap Fund
("Micro Cap Fund"), n/i numeric investors Growth Fund ("Growth Fund"), n/i
numeric investors Growth & Value Fund ("Growth & Value Fund") and n/i numeric
investors Larger Cap Value Fund ("Larger Cap Value Fund"), and n/i numeric
investors Small Cap Value Fund ("Small Cap Value Fund") (each a "Fund",
collectively the "Funds").
RBB has authorized capital of thirty billion shares of common stock of which
20.03 billion are currently classified into ninety-seven classes. Each class
represents an interest in one of sixteen investment portfolios of RBB. The
classes have been grouped into sixteen separate "families", nine of which have
begun investment operations.
Portfolio Valuation -- The net asset value of each Fund is calculated as of the
close of regular trading on the NYSE on each business day. Each Fund's
securities are valued at the last reported sales price on the national
securities exchange or national securities market on which such shares are
primarily traded. If no sales are reported, as in the case of some securities
traded over-the-counter, portfolio securities are valued at the mean between the
last reported bid and asked prices. Securities for which market quotations are
not readily available are valued at fair market value as determined in good
faith by or under the direction of RBB's Board of Directors. With the approval
of RBB's Board of Directors, each Fund may use a pricing service, bank or
broker-dealer experienced in such matters to value its securities. The
preparation of financial statements requires the use of estimates by management.
Short-term obligations with maturities of 60 days or less are valued at
amortized cost which approximates market value. Expenses and fees, including
investment advisory and administration fees are accrued daily and taken into
account for the purpose of determining the net asset value of each Fund.
Repurchase Agreements -- Each Fund has agreed to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at
an agreed-upon time and price ("repurchase agreements"). The financial
institutions with whom each Fund enters into repurchase agreements are banks and
broker/dealers which Numeric Investors L.P.(R) (the Funds' "Adviser" or
"Numeric") considers creditworthy. The seller under a repurchase agreement will
be required to maintain the value of the securities as collateral, subject to
the agreement at not less than the repurchase price plus accrued interest.
Numeric marks to market daily the value of the collateral, and, if necessary,
requires the seller to maintain additional securities, to ensure that the value
is not less than the repurchase price. Default by or bankruptcy of the seller
would, however, expose each Fund to possible loss because of adverse market
action or delays in connection with the disposition of the underlying
securities.
50
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
Investment Transactions and Investment Income -- Transactions are accounted for
on the trade date. The cost of investments sold is determined by use of the
specific identification method for both financial reporting and income tax
purposes in determining realized gains and losses on investments. Interest
income is accrued as earned. Dividend income is recorded on the ex-dividend
date. Expenses not directly attributable to a specific Fund are allocated based
on relative net assets of each Fund.
Financial Futures Transactions -- Each Fund may invest in financial futures
contracts for hedging purposes, including conversion of cash to equity. When
entering into a futures contract, each Fund makes a deposit of an initial margin
with its custodian in a segregated account in the name of the futures broker.
Subsequent payments to or from the broker, called variation margin, are made on
a daily basis as the price of the underlying security or index fluctuates,
making the long and short positions in the futures contracts more or less
valuable. When the contracts are closed, a gain or loss is realized equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contracts.
The risks related to the use of futures contracts include: (i) the correlation
between movements in the market price of a Fund's investments (held or intended
for purchase) being hedged and in the price of the futures contract may be
imperfect; (ii) possible lack of a liquid secondary market for closing out
futures positions; (iii) the need for additional portfolio management skills and
techniques; and (iv) losses due to unanticipated market movements. Successful
use of futures by the Funds is subject to Numeric's ability to predict correctly
movements in the direction of the market.
The risk of loss in trading futures contracts in some strategies can be
substantial, due both to the low margin deposits required, and the extremely
high degree of leverage involved in futures pricing. As a result, a relatively
small price movement in a futures contract may result in immediate and
substantial loss or gain to the investor. Thus, a purchase or sale of a futures
contract may result in losses or gains in excess of the amount invested in the
contract. None of the funds had open futures transactions at August 31, 1999.
Use of Estimates -- The preparation of financial statements in conformity with
generally accepted accounting principals 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
reporting period. Actual results could differ from those estimates.
Dividends and Distributions -- Dividends from net investment income, if any,
will be declared and paid at least annually to shareholders. Distributions from
net realized capital gains, if any, will be distributed at least annually.
Income and capital gain distributions are determined in accordance with U.S.
federal income tax regulations which may differ from generally accepted
accounting principles. These differences include the treatment of non-taxable
dividends, expiring capital loss carryforwards, foreign currency gain/loss, and
losses deferred due to wash sales and excise tax regulations. Permanent book and
tax basis differences relating to shareholder distributions will result in
reclassifications within the composition of net assets.
51
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
On October 21, 1999, the Funds paid dividends and distributions to shareholders
of record on October 14, 1999 from the following sources:
<TABLE>
<CAPTION>
CAPITAL GAINS
-------------------------------------------------
NET INVESTMENT INCOME SHORT-TERM LONG-TERM
--------------------- --------------------- ---------------------
FUND PER SHARE AMOUNT PER SHARE AMOUNT PER SHARE AMOUNT
- ---- --------- ------ --------- ------ --------- ------
<S> <C> <C> <C> <C> <C> <C>
Micro Cap Fund ................. -- -- $4.0470 $17,071,667 $0.2846 $1,200,543
Growth Fund .................... -- -- 0.3646 1,484,633 -- --
Growth & Value Fund ............ $0.0298 $82,617 1.9668 5,452,700 -- --
Larger Cap Value Fund........... 0.1443 87,005 -- -- -- --
Small Cap Value Fund*........... 0.0979 86,933 1.3165 1,169,828 -- --
</TABLE>
U.S. Federal Tax Status -- No provision is made for U.S. federal 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. federal income and
substantially all excise taxes. For U.S. federal income tax purposes, realized
capital losses incurred after October 31, 1998, within the fiscal year
("post-October losses"), are deemed to arise on the first day of the following
fiscal year. The Funds did not incur any post-October losses except for the
Growth and the Growth & Value Funds, which incurred and elected to defer such
losses of $401,297 and $435,208, respectively. At August 31, 1999 the Larger Cap
Value Fund had a capital loss carryforward of $14,809 which expires in 2007.
2. Transactions with Affiliates and Related Parties
Numeric serves as each Fund's investment adviser. For its advisory services,
Numeric is entitled to receive 0.75% of each Fund's average daily net assets,
accrued daily and paid monthly.
The Adviser has voluntarily agreed to limit each Fund's total operating expenses
for the current and the following fiscal year to the extent that such expenses
exceed 1.00% of each Fund's average daily net assets. As necessary, this
limitation is effected in waivers of advisory fees and reimbursements of
expenses exceeding the advisory fee. For the fiscal year ended August 31, 1999
(unless otherwise indicated), investment advisory fees, waivers and
reimbursements of expenses were as follows:
<TABLE>
<CAPTION>
GROSS NET EXPENSE
FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT
- ---- ------------- ------- ------------- -------------
<S> <C> <C> <C> <C>
Micro Cap Fund .................... $ 756,094 $(125,805) $ 630,289 --
Growth Fund ....................... 573,423 (121,919) 451,504 --
Growth & Value Fund ............... 660,704 (171,847) 488,857 --
Larger Cap Value Fund.............. 150,844 (73,497) 77,347 $ 6,861
Small Cap Value Fund*.............. 55,690 (54,759) 931 14,836
</TABLE>
- ---------
*Commenced operations on November 30, 1998.
The Funds will not pay Numeric at a later time for any amounts it may waive or
any amounts which Numeric has assumed.
52
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
PFPC Inc. ("PFPC"), an indirect wholly-owned subsidiary of PNC Bank, National
Association, and Bear Stearns Funds Management Inc. ("BSFM"), a wholly-owned
subsidiary of The Bear Stearns Companies Inc., serve as co-administrators for
each Fund. For providing administrative services PFPC is entitled to receive a
monthly fee equal to an annual rate of 0.125% of each Fund's average daily net
assets subject to a minimum monthly fee of $6,250 per Fund. BSFM is entitled to
receive a monthly fee equal to an annual rate of 0.05% on the first $150 million
and 0.02% of each Fund's average daily net assets thereafter.
For the fiscal year ended August 31, 1999 (unless otherwise indicated), PFPC, at
its discretion, voluntarily agreed to waive a portion of its co-administration
fees for each Fund. During such period, PFPC's co-administration fees and
related waivers were as follows:
<TABLE>
<CAPTION>
PFPC GROSS PFPC PFPC Net
FUND CO-ADMINISTRATION FEES WAIVERS CO-ADMINISTRATION FEES
- ---- ---------------------- ------- ----------------------
<S> <C> <C> <C>
Micro Cap Fund ................ $126,016 $(10,081) $115,935
Growth Fund ................... 95,590 (7,646) 87,944
Growth & Value Fund ........... 112,126 (8,809) 103,317
Larger Cap Value Fund ......... 74,999 (37,501) 37,498
Small Cap Value Fund* ......... 56,249 (28,126) 28,123
</TABLE>
- ----------
* Commenced operations on November 30, 1998.
In addition, PFPC serves as each Fund's transfer and dividend disbursing agent.
PFPC, at its discretion, voluntarily agreed to waive a portion of its transfer
agency fees for Larger Cap Value Fund and Small Cap Value Fund. For the fiscal
year ended August 31, 1999 (unless otherwise indicated), transfer agency fees
and waivers were as follows:
<TABLE>
<CAPTION>
GROSS NET
TRANSFER AGENCY TRANSFER AGENCY
FUND FEES WAIVERS FEES
- ---- --------------- ------- ---------------
<S> <C> <C> <C>
Micro Cap Fund ................ $ 77,308 -- $ 77,308
Growth Fund ................... 72,327 -- 72,327
Growth & Value Fund ........... 118,436 -- 118,436
Larger Cap Value Fund ......... 42,685 $(18,001) 24,684
Small Cap Value Fund* ......... 32,074 (13,500) 18,574
</TABLE>
- -------
* Commenced operations on November 30, 1998.
Provident Distributors, Inc. ("PDI") provides certain administrative services to
each Fund. As compensation for such administrative services, PDI is entitled to
receive a monthly fee equal to an annual rate of 0.15% of each Fund's average
daily net assets.
53
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
For the fiscal year ended August 31, 1999 (unless otherwise indicated), PDI has,
at its discretion, voluntarily agreed to waive a portion of its administrative
services fees for each Fund. For the fiscal year ended August 31, 1999 (unless
otherwise indicated), administrative services fees and waivers were as follows:
GROSS
ADMINISTRATIVE NET ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
- ---- -------------- ------- ------------------
Micro Cap Fund ................ $ 151,219 $(131,056) $ 20,163
Growth Fund ................... 114,685 (99,393) 15,292
Growth & Value Fund ........... 132,141 (105,713) 26,428
Larger Cap Value Fund ......... 30,169 (24,135) 6,034
Small Cap Value Fund * ........ 11,324 (9,059) 2,265
- ---------
* Commenced operations on November 30, 1998.
These fees are computed daily and paid monthly.
3. Investment in Securities
For U.S. federal income tax purposes, the costs of securities owned at August
31, 1999 were $74,185,456, $58,333,024, $50,523,929, $9,012,037 and $11,865,285
for Micro Cap Fund, Growth Fund, Growth & Value Fund, Larger Cap Value Fund and
Small Cap Value Fund, respectively. Accordingly, the net unrealized
appreciation/(depreciation) of investments were as follows:
GROSS GROSS NET APPRECIATION/
FUND APPRECIATION DEPRECIATION (DEPRECIATION)
- ---- ------------ ------------ -----------------
Micro Cap Fund ............ $ 7,680,375 $(4,839,054) $ 2,841,321
Growth Fund ............... 7,709,658 (3,842,489) 3,867,169
Growth & Value Fund ....... 2,927,003 (3,839,518) (912,515)
Larger Cap Value Fund ..... 175,939 (799,022) (623,083)
Small Cap Value Fund ...... 338,369 (713,748) (375,379)
54
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
For the fiscal year ended August 31, 1999 (unless otherwise indicated),
aggregate purchases and sales of investment securities (excluding short-term
investments) were as follows:
FUND PURCHASES SALES
- ---- ------------ ------------
Micro Cap Fund ..................... $296,272,770 $355,363,898
Growth Fund ........................ 227,614,506 272,612,890
Growth & Value Fund ................ 296,300,949 388,419,889
Larger Cap Value Fund .............. 57,188,404 78,946,468
Small Cap Value Fund* .............. 32,027,390 21,811,953
- -------
* Commenced operations on November 30, 1998.
4. Capital Share Transactions
As of August 31, 1999 each Fund has 50,000,000 shares of $0.001 par value common
stock authorized.
Transactions in capital shares for the respective periods were as follows:
<TABLE>
<CAPTION>
MICRO CAP FUND
----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 1999 August 31, 1998
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sales ......................................... 381,712 $ 6,008,613 1,392,858 $ 25,611,592
Repurchases ................................... (4,714,604) (73,124,102) (2,358,739) (41,957,147)
Reinvestments ................................. 636,739 7,781,380 1,202,851 18,812,594
---------- ------------ ---------- ------------
Net increase/(decrease)........................ (3,696,153) $(59,334,109) 236,970 $ 2,467,039
========== ============ ========== ============
<CAPTION>
GROWTH FUND
----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 1999 August 31, 1998
-------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Sales ......................................... 779,158 $ 9,139,659 1,479,501 $ 22,184,785
Repurchases ................................... (4,573,587) (56,544,582) (2,118,359) (28,742,059)
Reinvestments ................................. 3,862 37,113 1,392,749 18,690,687
---------- ------------ ---------- ------------
Net increase/(decrease)........................ (3,790,567) $(47,367,810) 753,891 $ 12,133,413
========== ============ ========== ============
</TABLE>
55
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
<TABLE>
<CAPTION>
GROWTH & VALUE FUND
-----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 1999 August 31, 1998
--------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Sales ................................. 927,772 $ 13,811,036 6,593,529 $ 109,780,075
Repurchases ........................... (7,201,736) (109,304,768) (2,051,495) (33,888,666)
Reinvestments ......................... 897,920 11,153,016 685,614 10,483,035
---------- ------------- --------- -------------
Net increase/(decrease)................ (5,376,044) $ (84,340,716) 5,227,648 $ 86,374,444
========== ============= ========= =============
<CAPTION>
LARGER CAP VALUE FUND
-----------------------------------------------------------
For the For the Period
Fiscal Year Ended December 9, 1997* through
August 31, 1999 August 31, 1998
--------------------------- --------------------------
SHARES AMOUNT SHARES AMOUNT
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Sales ................................. 247,019 $ 3,045,277 2,499,708 $ 33,270,205
Repurchases ........................... (2,023,238) (26,042,313) (169,292) (2,252,882)
Reinvestments ......................... 68,164 786,614 -- --
---------- ------------- --------- -------------
Net increase/(decrease)................ (1,708,055) $(22,210,422) 2,330,416 $ 31,017,323
========== ============= ========= =============
</TABLE>
- ------
* Commencement of operations.
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
---------------------------
For the Period
November 30, 1998* through
August 31, 1999
---------------------------
SHARES AMOUNT
---------- -------------
<S> <C> <C>
Sales ................................. 1,000,505 $ 11,856,127
Repurchases ........................... (106,258) (1,239,279)
--------- ------------
Net increase .......................... 894,247 $ 10,616,848
========= ============
</TABLE>
- -------
* Commencement of operations.
On August 31, 1999 three shareholders held approximately 32% of the outstanding
shares of the Micro Cap Fund, four shareholders held approximately 61% of the
outstanding shares of the Growth Fund, two shareholders held approximately 19%
of the outstanding shares of the Larger Cap Value Fund, and two shareholders
held approximately 81% of the outstanding shares of the Small Cap Value Fund.
56
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
5. Securities Lending
Loans of securities are required at all times to be secured by collateral at
least equal to 102% of the market value of the securities on loan. However, in
the event of default or bankrupt by the other party to the agreement,
realization and/or retention of the collateral may be subject to legal
proceedings. The market value of securities on loan to brokers and the related
value of cash and securities collateral received at August 31, 1999, was as
follows:
MARKET
VALUE OF SECURITIES MARKET
FUND ON LOAN VALUE OF COLLATERAL
- ---- ------------------- -------------------
Micro Cap Fund ..................... $17,622,784 $17,980,888
Growth Fund ........................ 9,319,987 9,509,636
Growth & Value Fund ................ 2,303,874 2,355,098
Larger Cap Value Fund .............. 263,354 271,031
Small Cap Value Fund ............... 1,175,578 1,199,256
The cash collateral was invested into overnight repurchase agreements with Bear,
Stearns & Co. Inc. which, were in turn fully collateralized by various U.S.
Treasury Bills.
6. Collateral for Repurchase Agreements
Listed below is the collateral associated with the repurchase agreements with
Bear, Stearns & Co. Inc., outstanding at August 31, 1999:
MICRO CAP FUND
----------------------------------------
Principal
Amount Total Market
Issuer (000's) Maturity Value
- ------ ---------- -------- ------------
United States Treasury Bill ...... $ 3,335 11/18/99 $3,300,316
United States Treasury Bill ...... 965 11/04/99 956,913
----------
Total ................... $4,257,229
==========
GROWTH FUND
----------------------------------------
Principal
Amount Total Market
Issuer (000's) Maturity Value
- ------ ---------- -------- ------------
United States Treasury Bill ...... $ 270 11/04/99 $267,737
============
57
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Notes to Financial Statements (concluded)
GROWTH & VALUE FUND
----------------------------------------
Principal
Amount Total Market
Issuer (000's) Maturity Value
- ------ --------- -------- ------------
United States Treasury Bill ......... $ 1,415 11/04/99 $ 1,403,142
LARGER CAP VALUE FUND
----------------------------------------
Principal
Amount Total Market
Issuer (000's) Maturity Value
- ------ --------- -------- ------------
United States Treasury Bill ......... $ 305 11/04/99 $ 302,444
SMALL CAP VALUE FUND
----------------------------------------
Principal
Amount Total Market
Issuer (000's) Maturity Value
- ------ --------- -------- ------------
United States Treasury Bill ......... $ 495 11/04/99 $ 490,852
7. Reclassifications of Capital Accounts
In accordance with accounting pronouncements, the Funds have recorded
reclassifications in the capital accounts. These reclassifications have no
impact on the net asset value of the Funds and are designed generally to present
undistributed income and realized gains on a tax basis which is considered to be
more informative to the shareholder. As of August 31, 1999, the following Funds
recorded reclassifications that increase/(decrease) the accounts listed below:
ACCUMULATED
NET INVESTMENT REALIZED
FUND LOSS GAIN
- ---- -------------- -----------
Micro Cap Fund .............................. $ 463,635 $(463,635)
Growth Fund ................................. 341,042 (341,042)
58
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Report of Independent Accountants
To the Shareholders and Board of Directors of The RBB Fund, Inc.:
In our opinion, the accompanying statement of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of n/i numeric investors Micro Cap
Fund, n/i numeric investors Growth Fund, n/i numeric investors Growth & Value
Fund, n/i numeric investors Larger Cap Value Fund and n/i numeric investors
Small Cap Value Fund, separately managed portfolios of The RBB Fund, Inc. (the
"Fund"), at August 31, 1999, the results of their operations for the year (or
period) then ended, and the changes in their net assets and the financial
highlights for each of the periods presented, in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards, which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at August 31, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above.
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, Pennsylvania
October 15, 1999
59
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Growth & Value Fund
Larger Cap Value Fund
Small Cap Value Fund
Shareholder Tax Information -- (unaudited)
Each Fund is required by Subchapter M of the Internal Revenue Code of 1986, as
amended, to advise its shareholders within 60 days of each Fund's fiscal year
(August 31, 1999) as to the U.S. federal tax status of distributions received by
each Fund's shareholders in respect of such fiscal year. During the fiscal year
ended August 31, 1999, the following dividends and distributions per share were
paid by each of the Funds:
Ordinary Income (39.6%)
-------------------------------
Net Investment Short-Term
FUND Income Gains
- ---- -------------- ----------
n/i Micro Cap Fund ......................... -- $1.025
n/i Growth Fund ............................ -- 0.005
n/i Growth & Value ......................... $0.062 1.368
n/i Larger Cap Value ....................... 0.108 0.231
n/i Small Cap Value ........................ -- --
The percentage of total ordinary income dividends from the Micro Cap, Growth,
Growth & Value, and Larger Cap Value Funds qualifying for the corporate
dividends received deduction is 1.61%, 100%, 7.61%, and 43.65%, respectively.
These amounts were reported to shareholders as income in 1998. Because each
Fund's fiscal year is not the calendar year, another notification will be sent
with respect to calendar year 1999. The second notification, which will reflect
the amounts to be used by calendar year taxpayers on their U.S. federal income
tax returns, will be made in conjunction with Form 1099-DIV and will be mailed
in January 2000.
Foreign shareholders will generally be subject to U.S. withholding tax on the
amount of their dividend. They will generally not be entitled to a foreign tax
credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g. IRA's and Keoghs)
need not be reported as taxable income for U.S. federal income tax purposes.
However, some retirement trusts (e.g. corporate, Keogh and 403(b)(7) plans) may
need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the
tax consequences of their investment in the Funds.
60
<PAGE>
[LOGO OF NUMERIC INVESTORS]
One Memorial Drive
Cambridge, MA 02142
1-800-numeric [686-3742]
http://www.numeric.com
Investment Adviser
Numeric Investors L.P.(R)
One Memorial Drive
Cambridge, MA 02142
Co-Administrators
Bear Stearns Funds Management Inc.
575 Lexington Avenue
New York, NY 10022
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
Distributor
Provident Distributors,Inc.
Four Falls Corporate Center, 6th Floor
West Conshohocken, PA 19428
Custodian
Custodial Trust Company
101 Carnegie Center
Princeton, NJ 05840
Transfer Agent
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
Independent Accountants
PricewaterhouseCoopers LLP
2400 Eleven Penn Center
Philadelphia, PA 19103
Counsel
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103
This report is submitted for the general information of the shareholders of each
Fund.It is not authorized for the distribution to prospective investors in each
Fund unless it is preceded or accompanied by a current prospectus which includes
details regarding each Fund's objectives, policies and other information. Total
investment return is based on historical results and is not intended to indicate
future performance. The total investment return and principal value of an
investment in each Fund will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than original cost.
1
<PAGE>
[LOGO OF NUMERIC INVESTORS]
One Memorial Drive
Cambridge, MA 02142
1-800-numeric [686-3742]
http://www.numeric.com
[LOGO OF NUMERIC INVESTORS]
n/i numeric investors
Micro Cap Fund
n/i numeric investors
Growth Fund
n/i numeric investors
Growth & Value Fund
n/i numeric investors
Larger Cap Value Fund
n/i numeric investors
Small Cap Value Fund
Annual Report
August 31, 1999
1
