[Boston Partners Asset Management, L.P. Logo omitted]
- --------------------------------------------------------------------------------
BOSTON PARTNERS
FAMILY OF FUNDS
LARGE CAP
VALUE FUND
MIDCAP
VALUE FUND
SMALL CAP
VALUE FUND II
MARKET NEUTRAL FUND
BOND FUND
Semi-Annual Report
February 29, 2000
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
PORTFOLIO MANAGER'S LETTER
March 15, 2000
Dear Shareholder:
The decade of the 1990's will be remembered as one of the most successful
ten year periods in stock market history. New records were set, historical
precedence was broken, and we believe the future looks very bright, if not a
little volatile. Many investors think we are in an era when double-digit returns
are the norm and triple digit returns are possible on individual stocks. They
believe the "old" rules no longer apply and a long-term approach toward
investing is out-of-date.
Although the rules may seem to be constantly changing, we would argue that
they are not all obsolete. In fact, we believe the most important rules still do
apply. We believe investment experience does matter, earnings are important to a
company's long term viability and a long term approach is essential to
consistent returns. As investors with both professional and personal interests
in the markets, we enjoyed the 1990's. Yes, our value style was out of favor in
the closing years, but for the most part, in our opinion, we have put together a
very strong track record. Additionally, given the momentum that we experienced
in the closing months of 1999 and early 2000, we believe that some of the old
rules may reassert themselves. We are firm believers that it is NOT going to be
different this time.
Please take a moment to read the investment discussion of each of the
Boston Partners Funds. We hope each discussion will provide the market details
as well as why we are confident Boston Partners Funds and our value investment
process will impress again.
BOSTON PARTNERS LARGE CAP VALUE FUND
The fourth quarter of 1999 and the first two months of 2000 were
representative of the recent period that feasted on technology and ignored most
everything else. For the period the S&P 500 returned over 4%, primarily on the
strength of Cisco Systems, Oracle Corp., Intel, Sun Microsystems and other
mega-cap technology names. In fact, 13 of the top 20 contributors to returns
this period were technology stocks. Their average return for the period was
146%.
As such, we believe the theme that emerged in the last six months was not
growth vs. value, but technology versus the rest of the market. In order to keep
pace with the broad market this recent period, investors had to be heavily
weighted in technology. With the technology sector selling at a lofty 54 times
last year's earnings, we believe even some growth investors suffered from
acrophobia. It is interesting to note that the returns of the two large
capitalization Russell style indices were about the same for 1999, exclusive of
technology. Add back technology, and the growth index won by nearly 25
percentage points.
We believe performance for the Boston Partners Large Cap Value Fund this
six month period through February 29, 2000 was strong, relative to the Russell
1000 Value index, but lagging the technology laden S&P 500. We attribute our
returns this period to good stock selection. A number of companies that we have
owned for awhile started to rebound as investors once again rewarded those
companies with positive earnings fundamentals. We realize that most of the
stocks in our Large Cap Value Fund are not as sexy as those leading the market.
However, we believe these "old-fashioned" companies seem to be where investors
are beginning to seek refuge. We had been expecting this resurgence and believe
it will continue.
<PAGE>
Notable contributors in the "Large Cap" portfolio were traditional value
sectors such as Basic Industries and Utilities. In Basics, it was paper
companies and aluminum companies that added to performance, while in Utilities,
it was primarily the telecommunications companies. Common to both sectors was
industry consolidation, a theme that has been rewarded when improving a
company's competitive positioning and ultimately its earnings. Technology was
also a very strong sector. The leaders in the market in general were the high
priced technology stocks such as Microsoft and Cisco Systems. However, staying
true to our value style we were successful with lower priced (low P/E, P/B)
companies like National Semiconductor and Hitachi. By way of comparison, the
average weighted P/E of our technology sector is approximately 27x versus 42x
for the S&P's technology sector.
Throughout 1999 and into the year 2000, Boston Partners has maintained a
commitment to building a portfolio of stocks that represents attractive
valuation characteristics. The current portfolio continues to sell at a
significant discount on a price to earnings and price to book basis versus both
the S&P 500 and the Russell 1000 Value. What we believe has prevented the
portfolio from keeping pace with the broader market is the continued strength in
all issues related to the dot-com mania. As market breadth increases, based
primarily on the positive earnings of cyclical stocks, we believe the value
style of investing, and the Boston Partners portfolio, should benefit. With the
Federal Reserve raising rates, we expect that the tech sector will eventually
come back to earth.
BOSTON PARTNERS MID CAP VALUE FUND
The month of February marked the fourth straight month of extremely strong
returns for mid cap investing. Unfortunately, it also marks the fourth straight
month of a very narrow market in which growth, specifically technology and
biotechnology sectors posted exceptionally high returns. On the whole, small
stocks beat large stocks and growth outperformed value for the month.
INDEX FEBRUARY 3 MONTH 6 MONTH
- ------ ---------- --------- ---------
Russell 2500 14.44% 23.94% 31.81%
Russell 2500 Value 1.73% 0.82% (0.72)%
Russell 2500 Growth 25.65% 48.52% 75.38%
Russell Mid Cap 7.69% 13.28% 17.76%
Russell Mid Cap Value (4.18)% (7.50)% (11.24)%
Russell Mid Cap Growth 21.02% 41.95% 67.32%
Looking deeper into the numbers, you will find in the Russell 2500 Value
index only 718 out of 1582 securities in the index had a positive return for the
month of February. The median stock in the index returned -1.32%. The top stock,
P/E Corporation - Celera Genomics, with a market capitalization of $12.7
billion, which comprises 1.32% of the index, returned 143% for the month.
Certainly, the value index is benefiting from growth-orientated technology and
biotechnology names that happen to be in the index. This imbalance will not be
corrected until Russell rebalances the index this summer.
Investors are currently chasing stocks that have the highest earnings
multiples, if they have earnings at all. If you purchased the most expensive
quintile of stocks in the Russell 2500 Value index at the beginning of the year,
your two-month return would have been 32.26%! Purchasing more rationally priced
stocks would have yielded a negative return, as shown in the table below. In
eight out of thirteen sectors, owning the highest priced sectors produced the
greatest return, while the lower you move down the valuation scale the worse the
performance fared. For those investors who have not strayed from their value
disciplines it has been a frustrating market.
2
<PAGE>
PERFORMANCE ATTRIBUTION BY P/E RATIO
OF THE RUSSELL 2500 VALUE
JANUARY 1, 2000 - FEBRUARY 29, 2000
--------------------------------------------------------
P/E (FROM HIGHEST
TO LOWEST) WEIGHTING RETURN CONTRIBUTION EXPENSIVE
----------------- --------- ------ ------------ ---------
Quintile 1: >32.6x
and higher 18.25% 32.26% 5.40% Most Expensive
Quintile 2:
13.1 - 32.5x 20.10% 1.10% 0.22%
Quintile 3:
10.1 - 13.1x 18.64% (9.86)% (1.91)%
Quintile 4:
7.7 - 10.1x 17.29% (13.31)% (2.43)%
Quintile 5:
1.9 - 7.7x 14.96% (22.48)% (3.78)% Least Expensive
*N/A 10.76% (0.80)% (0.08)%
Total Return 100.00% (2.51)% (2.51)%
- ------------
*N/A represents companies which IBES has stopped reporting on, foreign companies
or companies that are no longer traded.
We believe the markets are eschewing traditional investment principles in
favor of speculative stories, creating a bifurcated market. There now exists a
small set of extremely expensive stocks, which are driving index returns. We
view the valuations of these stocks as unsustainably high. On the other hand,
many mid cap companies with excellent growth and return characteristics are
trading at extremely inexpensive valuations. These companies are taking
advantage of their low stock prices by buying back stock, in some cases taking
themselves private.
We believe this unique market cannot last indefinitely. Mid cap value
stocks are posting extremely strong operating results, merger and acquisition
activity is on the rise, and companies are seeking creative ways to increase
shareholder value. WE BELIEVE TODAY'S VALUATION DISPARITY CREATES ONE OF THE
MOST COMPELLING CASES FOR ADDING TO OR CREATING A NEW VALUE POSITION.
BOSTON PARTNERS SMALL CAP VALUE FUND II
(formerly the Boston Partners Micro Cap Value Fund)
Boston Partners has attempted to better position the Fund in the small cap
value equity marketplace by increasing its market capitalization range to $1
billion from $500 million and changing its benchmark to the Russell 2000 Value
Index. The name of the Fund changed to the Small Cap Value Fund II to reflect
its new market capitalization range and benchmark.
While year to date performance for the Boston Partners Small Cap Value Fund
II remains positive, the frustration in the marketplace as a value investor
continues. The themes discussed above hold true for the small cap value sector
of the marketplace. Growth stocks continue to outperform value stocks for the
six month period as well as year to date, largely driven by the technology and
healthcare sectors. We continue to believe that the technology sector is
significantly overvalued, and that expectations for earnings growth within this
sector are excessive. Even within the value indexes, the more expensive stocks
are outperforming, while more traditional value stocks based on lower price to
earnings and price to book ratios, have given up ground.
Strong stock selection in the Consumer Services sector added to performance
over the past six months as our retailers benefited from improving comparative
store sales and increased earnings over the holiday season.
The finance sector continues to disappoint in the small cap value area. Our
portfolio has increased its finance weighting as the Boston Partners Small Cap
Value Fund II has found candidates with strong balance sheets and a catalyst for
change that we believe will improve the value of these banks, brokers and
insurers over the next 6 to 12 months. These catalysts include accelerating
stock buybacks by larger companies, increased merger and acquisition activity,
and leveraged buyout activity.
3
<PAGE>
Our goal with the Boston Partners Small Cap Value Fund II is to create a
portfolio of undervalued stocks that we believe will move from being
"undervalued" to "properly valued" over the next 6-12 months. The portfolio will
attempt to consistently have price to earnings and price to book ratios that are
at a discount to the Fund's index, and at no time hold high price to earnings
growth stocks. We expect to be rewarded handsomely when the market returns to
some normalcy.
BOSTON PARTNERS MARKET NEUTRAL FUND
The market environment of the past six months of Technology stocks
outperforming everything else has been well documented above. Like all of Boston
Partners' portfolios, the Market Neutral Fund is based on a value philosophy and
process. Our losses over the past six months reflect the divergence between
growth and value in the market that we believe has reached astronomical levels.
In general, we have purchased value stocks and sold short growth stocks. This
process, while fundamentally solid, has proven futile.
The following chart reflects the divergence between growth and value that
has accelerated over the past six months.
SIX MONTH PERFORMANCE ENDING 2/29/00 SPREAD
------------------------------------ ------
Russell 1000 Value (8.88)%
Russell 1000 Growth 22.35% 31.23%
Russell 2000 Value 2.82%
Russell 2000 Growth 66.04% 63.22%
Our Market Neutral Fund invests long in stocks that we believe are
undervalued with sound business fundamentals and positive business momentum. We
will sell short stocks that we believe are overvalued with deteriorating
business fundamentals and declining business trends. In the last six months
technology stocks (more specifically internet stocks) that were overvalued and
had weak balance sheets or earnings, continued to perform well. Our lack of
exposure to this sector on the long side as well as our exposure on the short
side of the Market Neutral Fund was a major reason for our underperformance.
While we do not know when this phenomena will change, we do recognize, as most
intelligent investors have, that these companies' prices cannot continue to
grow. At some point in time, we expect fundamentals will become important again.
This is when we believe the Boston Partners Market Neutral Fund will excel.
The short holdings in the Boston Partners Market Neutral Fund have added
basis points to the Fund. During the most recent period we have found an
abundance of stocks whose market values were expensive, with financial
statements that were unimpressive, and whose trends towards improvements in
their business were negative. Within the last month we took advantage of the
collapse of some biotech names, and as the market unwinds we expect to find more
opportunities on the short side of this portfolio.
BOSTON PARTNERS BOND FUND
The Boston Partners Bond Fund returned 1.36% for the past six months. Our
objective of remaining duration and yield curve neutral (+/-5% at all times),
and using corporates and mortgages to "outyield the Lehman Aggregate", has been
in place since the inception of the Fund, and has proven quite frustrating of
late. Spread product has lagged Treasuries as a flight to quality has increased
the yield premium on corporates and mortgages.
Bond prices diverged during the recent period. Treasury bond prices rose,
despite three recent Federal Reserve rate hikes, and due to the Treasury's
initial and pending buyback program. In contrast, corporate and mortgage prices
fell as investors shifted into Treasuries. These sectors were also indirectly
hurt by Treasury department comments casting doubt on the government's implicit
guarantee for GSE (government sponsored entity) debt such as Federal National
Mortgage Association (FNMA) and Federal Home Loan Mortgage Corporation (FHLMC)
debt. Since these debt issues were just heralded as the next lowest-risk
benchmark, the markets gyrated on uncertainty about their ultimate credit
quality. Spurred by strong Treasury prices, the broad Lehman Aggregate index
returned 1.92% for the past 6 months.
4
<PAGE>
The Treasury buybacks come from budget surpluses and higher tax receipts
boosted by the economic expansion and capital gains. And the economy continues
to steam ahead. Coupled with tight labor markets, the current high growth rates
portend further rate hikes in the months ahead. While rate hikes have pushed the
Federal Funds up to 6%, the buyback program has pulled longer maturity rates
lower -- inverting the Treasury yield curve. The two-, five-, ten-, and
thirty-year Treasury yields are 6.48%, 6.32%, 6.02%, and 5.84%, respectively.
With few signs of a slower growth, we expect the inversion of the Treasury
yield curve to continue. This implies further volatility in the spread sectors,
because it prolongs the period of tighter monetary policy. Facing bullish equity
valuations, low savings rates, and increased leverage, the markets will likely
face bouts of anxiety over how this business cycle will eventually end.
Treasury rates fell much further than corporate or mortgage rates,
resulting in wider yield spreads. Some corporate spreads are now wider than
levels reached during the 1998 liquidity crisis. Swap, credit, and mortgage
spreads widened commensurately, reflecting a general flight to quality and the
withdrawal of liquidity from spread sectors that has prevailed since 1998. An
additional concern is event risk involving corporate issuers with lagging stock
prices. As a result, corporate and mortgage performance lagged during the
quarter.
The corporate and mortgage sectors remain fundamentally attractive. At
February 29, 2000 the yields for mortgages, corporates, governments, and the
Lehman Aggregate index were 7.78%, 7.85%, 6.66%, and 7.31%, respectively. The
yield advantage of mortgages and corporates is significant, and all the rates
offer attractive potential returns relative to recent inflation.
With this in mind, though, we are altering the risk profile of portfolios
to accommodate changes in our outlook. We have purchased TIPS (Treasury
Inflation Protected Securities) to create shelter from further Federal Reserve
rate hikes in the short end of portfolios. We are transferring corporate
exposure from long maturities into short and intermediate maturities. This will
help insulate the portfolio from further spread widening if the Treasury yield
curve inverts further. Finally, we continue to emphasize GNMA passthroughs in
our mortgage segment, because in contrast to FNMA or FHLMC passthroughs they
benefit from an unqualified government guarantee.
Our procedures include careful attention to yield curve exposure relative
to benchmarks, sector weightings, and diversification. With minimal interest
rate and yield curve exposure relative to the benchmark, the portfolio is
significantly overweighted in the higher yielding mortgage and corporate
sectors.
Yield and the reinvestment of coupon income drive fixed income returns in
the long run. Therefore, we remain committed to maintaining a yield advantage
and tight risk controls as we believe it is the most consistent way to add value
over time.
5
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
LARGE CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
COMMON STOCK--97.7%
AEROSPACE/DEFENSE--4.4%
Boeing Co. (The) .............. 8,000 $ 295,000
Honeywell International, Inc. . 12,100 582,312
Litton Industries, Inc.* ...... 12,680 379,607
Northrop Grumman Corp. ........ 13,700 622,494
-----------
1,879,413
-----------
BANKS & SAVINGS & LOANS--4.2%
Bank One Corp. ................ 15,700 405,256
Chase Manhattan Corp. (The) ... 4,600 366,275
FleetBoston Financial Corp. ... 19,000 517,750
PNC Bank Corp. ................ 5,300 205,044
Toronto-Dominion Bank (The) ... 12,700 322,262
-----------
1,816,587
-----------
CHEMICALS--1.1%
Rohm and Haas Co. ............. 11,800 476,425
-----------
COMPUTERS, SOFTWARE & SERVICES--8.9%
Compaq Computer Corp. ......... 8,000 199,000
Computer Associates
International, Inc. ......... 16,000 1,029,000
Electronic Data Systems Corp. . 8,400 543,900
Hewlett-Packard Co. ........... 4,500 605,250
International Business
Machines Corp. .............. 4,800 489,600
NCR Corp.* .................... 6,500 246,594
Seagate Technology, Inc.* ..... 13,200 658,350
Sterling Software, Inc.* ...... 1,500 53,812
-----------
3,825,506
-----------
CONSTRUCTION & BUILDING MATERIALS--0.7%
Ingersoll-Rand Co. ............ 8,200 314,162
-----------
DIVERSIFIED--2.9%
Illinois Tool Works, Inc. ..... 15,000 775,312
Minnesota Mining and
Manufacturing Co. ........... 5,600 493,500
-----------
1,268,812
-----------
NUMBER
OF SHARES VALUE
--------- -----
ELECTRIC UTILITIES--2.6%
Niagara Mohawk Holdings, Inc.* 22,500 $ 264,375
PECO Energy Co. ............... 16,000 597,000
Unicom Corp. .................. 6,900 260,906
-----------
1,122,281
-----------
ENTERTAINMENT--3.1%
MediaOne Group, Inc.* ......... 14,100 1,106,850
Park Place Entertainment Corp.* 20,200 228,512
-----------
1,335,362
-----------
FINANCIAL SERVICES--9.0%
Citigroup, Inc. ............... 21,400 1,106,112
Countrywide Credit Industries,
Inc. ........................ 17,200 428,925
Fannie Mae .................... 16,300 863,900
Freddie Mac ................... 30,800 1,285,900
SLM Holding Corp. ............. 6,600 206,662
-----------
3,891,499
-----------
FOOD & BEVERAGE--1.8%
Nabisco Holdings Corp., Class A 14,100 412,425
Quaker Oats Co. (The) ......... 6,900 372,169
-----------
784,594
-----------
INSURANCE--7.9%
Ace Ltd. ...................... 59,495 1,063,473
Allmerica Financial Corp. ..... 10,380 433,365
American International Group,
Inc. ........................ 4,375 386,914
CIGNA Corp. ................... 15,300 1,129,331
Marsh & McLennan
Companies, Inc. ............. 2,900 224,388
St. Paul Companies, Inc. (The) 7,400 165,575
-----------
3,403,046
-----------
MACHINERY & ENGINEERING--1.0%
Deere & Co. ................... 12,600 450,450
-----------
MEDICAL SUPPLIES--4.3%
Bausch & Lomb, Inc. ........... 1,400 73,850
Baxter International, Inc. .... 18,500 1,008,250
Kimberly-Clark Corp. .......... 15,000 775,312
-----------
1,857,412
-----------
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
LARGE CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
METALS & MINING--1.2%
Alcan Aluminium Ltd. .......... 16,100 $ 531,300
-----------
OIL & GAS EXPLORATION--4.9%
Burlington Resources, Inc. .... 25,300 698,913
Diamond Offshore Drilling, Inc. 7,800 247,650
El Paso Energy Corp. .......... 11,100 411,394
Kerr-McGee Corp. .............. 8,109 362,878
Noble Drilling Corp.* ......... 10,900 392,400
-----------
2,113,235
-----------
OIL SERVICES--9.7%
Baker Hughes, Inc. ............ 17,200 445,050
Conoco, Inc., Class B ......... 56,563 1,113,584
Halliburton Co. ............... 14,300 546,081
Occidental Petroleum Corp. .... 34,400 552,550
Tosco Corp. ................... 33,505 896,259
Total Fina SA ................. 5,700 382,613
USX-Marathon Group ............ 11,100 240,038
-----------
4,176,175
-----------
PAPER & FORESTRY PRODUCTS--2.4%
Abitibi-Consolidated, Inc. .... 17,200 152,650
Temple-Inland, Inc. ........... 7,100 362,988
Weyerhaeuser Co. .............. 9,700 497,731
-----------
1,013,369
-----------
PHARMACEUTICALS--2.1%
American Home Products Corp. .. 16,500 717,750
Aventis SA .................... 3,600 187,200
-----------
904,950
-----------
PUBLISHING & INFORMATION SERVICES--2.0%
Harcourt General, Inc. ........ 19,200 661,200
Tribune Co. ................... 5,300 206,369
-----------
867,569
-----------
NUMBER
OF SHARES VALUE
--------- -----
REAL ESTATE--2.5%
Avalonbay Communities, Inc. ... 5,400 $ 182,250
Equity Office Properties Trust 11,600 277,675
Equity Residential Properties
Trust ....................... 5,500 219,656
Mack-Cali Realty Corp. ........ 4,800 114,000
MeriStar Hospitality Corp. .... 5,330 84,947
Prentiss Properties Trust ..... 4,840 99,523
RFS Hotel Investors, Inc. ..... 7,340 77,988
-----------
1,056,039
-----------
RETAIL TRADE--3.7%
Circuit City Group ............ 5,900 238,213
CVS Corp. ..................... 12,900 451,500
Federated Department
Stores, Inc.* ............... 4,600 168,763
Office Depot, Inc.* ........... 46,650 568,547
Toys "R" Us, Inc.* ............ 12,600 155,925
-----------
1,582,948
-----------
TELECOMMUNICATIONS & EQUIPMENT--14.2%
3Com Corp.* ................... 10,900 1,068,200
Bell Atlantic Corp. ........... 16,300 797,681
BellSouth Corp. ............... 22,500 916,875
GTE Corp. ..................... 14,700 867,300
Nippon Telegraph &
Telephone Corp. (NTT) ....... 8,700 591,600
SBC Communications, Inc. ...... 29,675 1,127,650
Sprint Corp. .................. 12,600 768,600
-----------
6,137,906
-----------
TEXTILES & APPAREL--0.8%
Liz Claiborne, Inc. ........... 9,300 348,169
-----------
TOBACCO--2.3%
Loews Corp. ................... 9,050 402,725
UST, Inc. ..................... 31,300 604,481
-----------
1,007,206
-----------
TOTAL COMMON STOCK
(Cost $47,161,863) ........ 42,164,415
-----------
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
LARGE CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR
(000) VALUE
----- -----
SHORT-TERM INVESTMENTS--1.8%
Rodney Square Cash Reserve
5.570% 03/01/00 ............. $762 $ 761,763
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $761,763) ........... 761,763
-----------
TOTAL INVESTMENTS--99.5%
(Cost $47,923,626) ............ 42,926,178
-----------
OTHER ASSETS IN EXCESS
OF LIABILITIES--0.5% .......... 210,771
-----------
NET ASSETS--100.0% ............... $43,136,949
===========
- -------------
*Non-income producing.
The accompanying notes are an integral part of the financial statements.
8
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
COMMON STOCK--98.3%
AEROSPACE/DEFENSE--3.8%
B.F. Goodrich Co. ........... 37,800 $ 904,837
Litton Industries, Inc.* .... 77,956 2,333,808
Northrop Grumman Corp. ...... 44,600 2,026,512
------------
5,265,157
------------
BANKS & SAVINGS & LOANS--4.1%
Astoria Financial Corp. ..... 78,010 1,857,613
Dime Bancorp., Inc. ......... 110,400 1,345,500
Hibernia Corp. .............. 107,200 971,500
Imperial Bancorp.* .......... 36,180 931,635
UnionBanCal Corp. ........... 19,700 632,862
------------
5,739,110
------------
BUSINESS & PUBLIC SERVICES--1.7%
Robert Half International, Inc. 55,700 2,353,325
------------
COMMUNICATIONS & MEDIA--1.6%
Chris-Craft Industries, Inc.* 26,200 1,724,288
Meredith Corp. .............. 17,000 486,625
------------
2,210,913
------------
COMPUTERS, SOFTWARE & SERVICES--12.1%
Adaptec, Inc. ............... 16,400 672,400
Autodesk, Inc. .............. 85,700 3,829,719
NCR Corp.* .................. 79,300 3,008,444
Network Associates, Inc.* ... 54,400 1,655,800
Sterling Commerce, Inc.* .... 26,700 1,169,794
Sterling Software, Inc. ..... 79,200 2,841,300
SunGard Data Systems, Inc.* . 93,600 2,808,000
Synopsys, Inc.* ............. 18,700 746,831
------------
16,732,288
------------
CONSTRUCTION & BUILDING MATERIALS--4.8%
D.R. Horton, Inc. ........... 41,400 465,750
Lafarge Corp. ............... 49,300 970,594
Martin Marietta Materials, Inc. 37,700 1,338,350
Southdown, Inc. ............. 78,700 3,905,487
------------
6,680,181
------------
NUMBER
OF SHARES VALUE
--------- -----
ELECTRIC UTILITIES--4.4%
Citizens Utilities Co., Class B 67,500 $ 1,029,375
GPU, Inc. ................... 82,600 2,054,675
Niagara Mohawk Holdings, Inc. 258,900 3,042,075
------------
6,126,125
------------
ELECTRONIC COMPONENTS & INSTRUMENTS--0.7%
Cypress Semiconductor Corp.* 22,600 1,031,125
------------
ENERGY--8.1%
Columbia Energy Group ....... 37,500 2,212,500
DQE, Inc. ................... 38,900 1,808,850
Dynegy, Inc. ................ 52,026 2,438,719
Energy East Corp. ........... 64,400 1,352,400
Millipore Corp. ............. 23,500 1,255,781
NiSource, Inc. .............. 54,900 710,269
Sempra Energy ............... 81,900 1,474,200
------------
11,252,719
------------
FINANCIAL SERVICES--2.8%
Dun & Bradstreet Corp. ...... 50,800 1,330,325
H&R Block, Inc. ............. 56,700 2,487,712
------------
3,818,037
------------
FOOD & BEVERAGE--3.4%
International Home Foods, Inc.* 60,400 1,023,025
Keebler Foods Co.* .......... 144,500 3,666,687
------------
4,689,712
------------
HEALTHCARE--1.3%
Health Management Associates,
Inc., Class A* ............ 72,400 778,300
Wellpoint Health Networks,
Inc.* ..................... 15,400 1,039,500
------------
1,817,800
------------
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
INSURANCE--10.6%
Ace Ltd. .................... 172,500 $ 3,083,437
Allmerica Financial Corp. ... 92,900 3,878,575
Everest Reinsurance Holdings,
Inc. ...................... 76,092 1,869,010
Jefferson-Pilot Corp. ....... 9,400 489,388
Nationwide Financial Services,
Inc., Class A ............. 28,600 659,588
Protective Life Corp. ....... 64,000 1,408,000
ReliaStar Financial Corp. ... 120,400 3,363,675
------------
14,751,673
------------
MEDICAL SUPPLIES--3.8%
Bausch & Lomb, Inc. ......... 23,700 1,250,175
C.R. Bard, Inc. ............. 75,600 2,986,200
Sybron International Corp.* . 38,100 1,066,800
------------
5,303,175
------------
MULTI-INDUSTRY--5.3%
Dexter Corp. ................ 24,000 1,107,000
Pall Corp. .................. 22,400 442,400
Viad Corp. .................. 249,530 5,848,359
------------
7,397,759
------------
OIL & GAS EXPLORATION--8.2%
Amerada Hess Corp. .......... 50,300 2,543,294
Apache Corp. ................ 50,900 1,857,850
Devon Energy Corp. .......... 39,800 1,482,550
Diamond Offshore Drilling, Inc. 61,600 1,955,800
R & B Falcon Corp.* ......... 131,900 2,036,206
Union Pacific Resources
Group, Inc. ............... 159,800 1,428,213
------------
11,303,913
------------
PAPER & FORESTRY PRODUCTS--3.2%
Abitibi-Consolidated, Inc. .. 88,800 788,100
Bowater, Inc. ............... 60,400 2,970,925
Mead Corp. .................. 21,700 649,644
------------
4,408,669
------------
NUMBER
OF SHARES VALUE
--------- -----
PHARMACEUTICALS--2.7%
Alza Corp.* ................. 19,400 $ 711,738
BioChem Pharma, Inc.* ....... 25,900 684,731
Mylan Laboratories, Inc. .... 58,800 1,352,400
Watson Pharmaceuticals, Inc.* 23,700 948,000
------------
3,696,869
------------
PUBLISHING & INFORMATION SERVICES--3.8%
Harcourt General, Inc. ...... 66,600 2,293,538
Reader's Digest Association,
Inc., Class A ............. 88,000 3,025,000
------------
5,318,538
------------
RETAIL TRADE--1.8%
Office Depot, Inc.* ......... 148,800 1,813,500
ShopKo Stores, Inc. ......... 39,594 658,250
------------
2,471,750
------------
SHIPBUILDING--2.9%
Newport News Shipbuilding, Inc. 144,200 4,082,663
------------
TELECOMMUNICATIONS--1.1%
Harris Corp. ................ 45,900 1,463,062
------------
TEXTILES & APPAREL--1.7%
Liz Claiborne, Inc. ......... 64,100 2,399,744
------------
TOYS--0.7%
Hasbro, Inc. ................ 59,800 941,850
------------
WHOLESALE-WAREHOUSE--3.7%
BJ's Wholesale Club, Inc.* .. 141,022 4,371,682
Supervalu, Inc. ............. 44,700 768,281
------------
5,139,963
------------
TOTAL COMMON STOCK
(Cost $151,358,557) 136,396,120
------------
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MID CAP VALUE FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR VALUE
(000)
----- -----
SHORT-TERM INVESTMENTS--2.3%
Rodney Square Cash Reserve
5.570% 03/01/00 ........... $3,136 $ 3,135,916
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $3,135,916) ....... 3,135,916
------------
TOTAL INVESTMENTS--100.6%
(Cost $154,494,473) ......... 139,532,036
------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.6%) ........ (814,709)
------------
NET ASSETS--100.0% ............. $138,717,327
============
- -----------
*Non-income producing.
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
SMALL CAP VALUE FUND II
"FORMERLY THE MICRO CAP VALUE FUND"
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
COMMON STOCK--99.1%
AGRICULTURE--1.1%
Agribrands International, Inc.* 500 $ 18,281
----------
AIR TRANSPORT--0.8%
Midwest Express Holdings, Inc.* 500 12,906
----------
AUTOMOTIVE--2.4%
Dollar Thrifty Automotive Group,
Inc.* ..................... 700 9,187
Monaco Coach Corp.* ......... 500 9,000
National R.V. Holdings, Inc.* 600 7,800
Sonic Automotive, Inc.* ..... 1,400 11,987
----------
37,974
----------
BANKS & SAVINGS & LOANS--4.3%
Bank United Corp., Class A .. 500 13,094
IndyMac Mortgage Holdings, Inc.* 1,500 19,031
ITLA Capital Corp.* ......... 1,100 12,581
Local Financial Corp.* ...... 600 4,800
Ocwen Financial Corp.* ...... 1,500 8,906
SGV Bancorp., Inc.* ......... 500 11,156
----------
69,568
----------
BUSINESS & PUBLIC SERVICES--9.9%
Brady Corp. ................. 300 8,137
Hall Kinion & Associates, Inc.* 500 9,000
ITT Educational Services, Inc.* 800 9,600
National Processing Inc.* ... 4,000 35,250
RemedyTemp, Inc.* ........... 600 13,350
Right Management Consultants,
Inc.* ..................... 2,400 26,400
Staff Leasing, Inc.* ........ 2,100 12,075
StaffMark, Inc.* ............ 2,600 29,250
Wackenhut Corrections Corp.* 1,600 15,700
----------
158,762
----------
COMPUTERS, SOFTWARE & SERVICES--2.6%
Maxtor Corp.* ............... 2,200 17,600
Quantum Corp.-Hard Disk Drive* 3,000 23,625
----------
41,225
----------
NUMBER
OF SHARES VALUE
--------- -----
CONSTRUCTION & BUILDING MATERIALS--3.2%
Dal-Tile International, Inc.* 1,800 $ 12,600
Encompass Services Corp.* ... 2,875 20,664
Granite Construction, Inc. .. 400 9,975
Material Sciences Corp.* .... 600 8,662
----------
51,901
----------
CONSUMER PRODUCTS & SERVICES--3.5%
Carey Intrnational, Inc.* ... 700 11,725
Gibson Greetings, Inc. ...... 1,300 10,481
Pittston Brink's Group ...... 700 12,512
Veterinary Centers of America,
Inc.* ..................... 1,900 21,019
----------
55,737
----------
ELECTRIC UTILITIES--1.6%
CMP Group, Inc. ............. 300 8,475
El Paso Electric Co. ........ 1,800 17,212
----------
25,687
----------
ELECTRONIC COMPONENTS & INSTRUMENTS--1.5%
Analogic Corp ............... 300 14,550
PSC, Inc.* .................. 1,800 9,000
----------
23,550
----------
FINANCIAL SERVICES--6.3%
American Captial Strategies Ltd. 700 16,800
BNC Mortgage, Inc.* ......... 1,800 16,425
Brookline Bancorp., Inc. .... 600 5,662
Dain Rauscher Corp. ......... 400 22,550
FBR Asset Investment Corp. .. 1,400 14,000
Federal Agricultural Mortgage
Corp.* ................... 600 10,087
John Nuveen Co. (The), Class A 300 10,350
MCM Capital Group, Inc.* .... 2,200 5,156
----------
101,030
----------
FOOD & BEVERAGE--3.9%
M & F Worldwide Corp.* ...... 2,900 14,138
Nature's Sunshine Products, Inc. 1,500 15,750
Rexall Sundown, Inc.* ....... 2,200 33,000
----------
62,888
----------
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
SMALL CAP VALUE FUND II
"FORMERLY THE MICRO CAP VALUE FUND"
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
HEALTHCARE--3.4%
Mid Atlantic Medical Services, Inc.* 800 $ 6,550
Osteotech, Inc.* ............ 800 12,850
ProVantage Health Services, Inc.* 5,000 35,938
----------
55,338
----------
INDUSTRIAL GOODS & MATERIALS--1.5%
Quixote Corp. ............... 1,800 24,300
----------
INSURANCE--16.2%
Annuity and Life Re
(Holdings) Ltd. ........... 1,800 40,725
CNA Surety Corp. ............ 2,900 32,988
E. W. Blanch Holdings, Inc. . 400 18,800
Insurance Auto Auctions, Inc.* 3,800 59,850
IPC Holdings Ltd. ........... 700 8,225
Liberty Financial Companies, Inc. 1,000 19,312
MIIX Group, Inc. (The) ...... 1,000 11,625
Mutual Risk Management Ltd. . 1,500 20,625
NYMAGIC, Inc. ............... 600 8,625
PXRE Group Ltd. ............. 1,000 14,063
RenaissanceRe Holdings Ltd. . 200 7,575
Risk Capital Holdings, Inc.* 500 7,625
Terra Nova Holdings Ltd., Class A 500 10,813
----------
260,851
----------
MACHINERY & ENGINEERING--0.7%
Manitowoc Co., Inc. ......... 400 10,775
----------
MANUFACTURING--4.8%
CLARCOR, Inc. ............... 600 11,663
Griffon Corp.* .............. 1,500 12,563
Lindsay Manufacturing Co. ... 400 6,725
SpeedFam-IPEC, Inc.* ........ 900 25,931
SPS Technologies, Inc.* ..... 300 9,806
Toro Co. .................... 300 9,938
----------
76,626
----------
MEDICAL SUPPLIES--2.2%
ICU Medical, Inc.* .......... 1,400 21,700
Perrigo Co.* ................ 1,900 13,953
----------
35,653
----------
NUMBER
OF SHARES VALUE
--------- -----
OIL & GAS EXPLORATION--2.6%
Pennaco Energy, Inc.* ....... 1,400 $ 12,950
Swift Energy Co.* ........... 2,400 28,350
----------
41,300
----------
OIL SERVICES--2.8%
Atlas Pipeline Partners, L.P.* 700 8,138
Evergreen Resources, Inc.* .. 1,300 28,925
Tesoro Petroleum Corp.* ..... 800 7,400
----------
44,463
----------
PHARMACEUTICALS--1.0%
North American Vaccine, Inc.* 3,000 16,688
----------
PUBLISHING & INFORMATION SERVICES--1.2%
R.H. Donnelley Corp.* ....... 1,100 18,562
----------
REAL ESTATE--8.6%
Brookdale Living Communities,
Inc.* ..................... 1,200 16,050
Capital Automotive REIT ..... 1,200 15,000
Commercial Net Lease Realty . 1,100 11,206
Imperial Credit Commercial
Mortgage Investment Corp. . 3,500 40,031
Redwood Trust, Inc. ......... 1,900 22,919
Trammell Crow Co.* .......... 2,300 27,600
Ventas, Inc.* ............... 1,700 5,738
----------
138,544
----------
RETAIL TRADE--3.3%
Rex Stores Corp.* ........... 2,000 34,375
Ross Stores, Inc. ........... 1,300 18,850
----------
53,225
----------
RETAIL-SPECIALTY APPAREL STORES--3.5%
Finish Line, Inc., Class A
(The)* .................... 2,500 15,000
Wilsons, The Leather Experts,
Inc.* ..................... 1,600 40,800
----------
55,800
----------
TELECOMMUNICATIONS--0.6%
Pacific Gateway Exchange, Inc. 500 10,125
----------
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
SMALL CAP VALUE FUND II
"FORMERLY THE MICRO CAP VALUE FUND"
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
TEXTILES & APPAREL--2.8%
Maxwell Shoe Co., Inc., Class A* 1,000 $ 8,375
Nautica Enterprises, Inc.* .. 3,400 35,913
----------
44,288
----------
TOBACCO--0.7%
Universal Corp. ............. 700 11,463
----------
TRANSPORTATION--2.1%
American Freightways Corp.* . 500 5,438
Arkansas Best Corp.* ........ 800 7,550
Fritz Companies, Inc.* ...... 1,700 14,238
Knightsbridge Tankers Ltd. .. 400 6,025
----------
33,251
----------
TOTAL COMMON STOCK
(Cost $1,619,263) ....... 1,590,761
----------
PAR
(000) VALUE
----- -----
SHORT-TERM INVESTMENTS--3.0%
Rodney Square Cash Reserve
5.570% 03/01/00 ........... $47 $ 47,203
----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $47,203) .......... 47,203
----------
TOTAL INVESTMENTS--102.1%
(Cost $1,666,466) ........... 1,637,964
----------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(2.1%) ........ (33,009)
----------
NET ASSETS--100.0% ............. $1,604,955
==========
- ------------
*Non-income producing.
REIT - Real Estate Investment Trust
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
LONG POSITIONS--97.9%
COMMON STOCK--97.5%
AEROSPACE/DEFENSE--1.4%
B.F. Goodrich Co. (The) ...... 400 $ 9,575
Teledyne Technologies, Inc.* . 500 4,344
----------
13,919
----------
AUTOMOTIVE PARTS & EQUIPMENT--1.0%
IMPCO Technologies, Inc.* .... 200 10,238
----------
BROADCASTING & PUBLISHING--1.4%
NTN Communications, Inc.* .... 1,200 4,725
Young Broadcasting, Inc., Class A* 400 9,650
----------
14,375
----------
BUSINESS & PUBLIC SERVICES--5.2%
Covance, Inc.* ............... 800 11,400
Hall, Kinion & Associates, Inc.* 300 5,400
Interep National Radio Sales, Inc.* 700 7,000
Snyder Communications, Inc. .. 400 9,700
Strategic Distribution, Inc.* 5,300 9,275
Ventiv Health, Inc.* ......... 1,200 9,600
----------
52,375
----------
CHEMICALS--4.4%
Arch Chemicals, Inc. ......... 800 15,250
Cytec Industries, Inc.* ...... 400 9,700
Eastman Chemical Co. ......... 200 7,188
Methanex Corp.* .............. 3,900 9,019
Wellman, Inc. ................ 200 3,725
----------
44,882
----------
COMPUTERS, SOFTWARE & SERVICES--25.6%
ACT Networks, Inc.* .......... 1,900 26,600
AHT Corp.* ................... 3,200 13,100
Alphanet Solutions, Inc. ..... 2,200 18,975
Catapult Communications Corp.* 1,200 15,600
Eagle Point Software Corp.* .. 1,500 9,375
GTECH Holdings Corp.* ........ 600 12,000
Informix Corp.* .............. 500 8,000
Maxtor Corp.* ................ 2,100 16,800
Mechanical Dynamics, Inc.* ... 1,800 9,900
Network Associates, Inc.* .... 600 18,263
NUMBER
OF SHARES VALUE
--------- -----
COMPUTERS, SOFTWARE & SERVICES--(CONTINUED)
SBE, Inc.* ................... 1,200 $ 19,650
SPR, Inc.* ................... 1,200 8,475
SS&C Technologies, Inc.* ..... 2,000 11,250
Sterling Software, Inc.* ..... 600 21,525
SunGard Data Systems, Inc.* .. 600 18,000
Systemax, Inc.* .............. 1,500 14,813
T/R Systems, Inc.* ........... 600 12,975
Technical Communications Corp.* 800 4,650
----------
259,951
----------
CONSULTING SERVICES--0.6%
Gartner Group, Inc. .......... 400 5,725
----------
CONSUMER PRODUCTS & SERVICES--0.9%
Stewart Enterprises, Inc. .... 2,000 8,500
----------
DISTRIBUTION--0.8%
Savoir Technology Group, Inc.* 1,100 8,250
----------
DIVERSIFIED--2.6%
Ogden Corp. .................. 2,300 26,163
----------
ELECTRIC UTILITIES--6.2%
Avista Corp. ................. 300 9,019
Carolina Power & Light Co. ... 750 22,313
CMS Energy Corp. ............. 400 6,700
Conectiv, Inc. ............... 600 8,550
NiSource, Inc. ............... 1,300 16,819
----------
63,401
----------
ELECTRONIC COMPONENTS & INSTRUMENTS--6.3%
Integrated Silicon Solution, Inc.* 300 8,344
Micro Linear Corp.* .......... 700 5,250
PSC, Inc.* ................... 1,300 6,500
TII Industries, Inc.* ........ 3,100 8,138
Tower Semiconductor Ltd.* .... 1,100 29,563
UCAR International, Inc.* .... 400 6,100
----------
63,895
----------
ENERGY--1.2%
Catalytica, Inc.* ............ 800 10,300
High Plains Corp.* ........... 1,000 2,219
----------
12,519
----------
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
ENERGY EQUIPMENT & SERVICES--0.9%
Rentech, Inc.* ............... 5,300 $ 9,275
----------
ENGINEERING & CONSTRUCTION--2.4%
EMCOR Group, Inc.* ........... 700 15,750
Exponent, Inc.* .............. 1,000 8,063
----------
23,813
----------
FINANCIAL SERVICES--1.3%
Deluxe Corp. ................. 400 9,375
Freddie Mac .................. 100 4,175
----------
13,550
----------
HEALTHCARE--6.2%
America Service Group, Inc.* . 700 9,450
PMR Corp. .................... 2,400 9,000
Triad Hospital, Inc.* ........ 1,600 25,600
Trigon Healthcare, Inc.* ..... 300 9,581
U.S. Physical Therapy, Inc.* . 1,000 9,500
----------
63,131
----------
INSURANCE--1.7%
ACE Ltd. ..................... 700 12,513
Chicago Title Corp. .......... 100 4,650
----------
17,163
----------
MACHINERY & ENGINEERING--0.4%
Allied Products Corp. ........ 1,300 4,306
----------
MEDICAL EQUIPMENT--1.1%
EndoSonics Corp.* ............ 2,000 11,500
----------
MEDICAL SUPPLIES--0.8%
C.R. Bard, Inc. .............. 200 7,900
----------
OIL & GAS EXPLORATION--4.9%
Abraxas Petroleum Corp.* ..... 1,900 2,613
Canadian 88 Energy Corp.* .... 900 1,013
Diamond Offshore Drilling, Inc. 300 9,525
Forest Oil Corp.* ............ 1,500 12,281
Ocean Energy, Inc.* .......... 900 9,619
Pennaco Energy, Inc.* ........ 500 4,625
Swift Energy Co.* ............ 900 10,631
----------
50,307
----------
NUMBER
OF SHARES VALUE
--------- -----
OIL SERVICES--2.1%
Mitcham Industries, Inc.* .... 1,300 $ 5,688
R & B Falcon Corp.* .......... 1,000 15,438
----------
21,126
----------
PACKAGING & CONTAINERS--0.3%
Pactiv Corp.* ................ 400 3,325
----------
PHARMACEUTICALS--5.7%
ALZA Corp.* .................. 200 7,338
Aronex Pharmaceuticals, Inc.* 3,100 9,688
Caremark Rx, Inc.* ........... 2,300 10,350
Discovery Laboratories, Inc.* 1,200 10,050
North American Vaccine, Inc.* 1,900 10,569
UroCor, Inc.* ................ 2,100 10,369
----------
58,364
----------
PUBLISHING & INFORMATION SERVICES--2.4%
IDG Books Worldwide, Inc.* ... 700 9,625
R.H. Donnelley Corp.* ........ 900 15,188
----------
24,813
----------
RETAIL TRADE--1.3%
Movie Gallery, Inc.* ......... 3,600 13,275
----------
TELECOMMUNICATIONS & EQUIPMENT--8.4%
Bogen Communications
International, Inc.* ....... 1,600 19,200
Corsair Communications, Inc.* 700 19,950
EMS Technologies, Inc.* ...... 800 9,600
Harris Corp. ................. 300 9,563
MasTec, Inc.* ................ 300 17,277
----------
85,590
----------
TOTAL COMMON STOCK
(Cost $904,005) .......... 991,631
----------
PAR
(000)
-----
SHORT-TERM INVESTMENTS--0.4%
Rodney Square Cash Reserve
5.570% 03/01/00 ............ $ 4 4,357
----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $4,357) ............ 4,357
----------
TOTAL LONG POSITIONS--97.9%
(Cost $908,362) .......... 995,988
----------
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
SECURITIES SOLD SHORT--(79.4)%
AEROSPACE/DEFENSE--(1.4)%
HEICO Corp. .................. (500) $ (7,281)
SPACEHAB, Inc.* .............. (700) (3,194)
Titan Corp. (The)* ........... (100) (3,750)
----------
(14,225)
----------
AUTOMOTIVE--(0.6)%
A.S.V., Inc.* ................ (500) (6,531)
----------
AUTOMOTIVE PARTS & EQUIPMENT--(0.3)%
Collins & Aikman Corp. ....... (600) (3,038)
----------
BANKS & SAVINGS & LOANS--(3.8)%
Commerce Bancorp., Inc. ...... (105) (3,531)
CVB Financial Corp. .......... (125) (1,766)
Fifth Third Bancorp. ......... (200) (10,413)
Provident Financial Group, Inc. (300) (8,438)
Queens County Bancorp., Inc. . (300) (5,700)
Sky Financial Group, Inc. .... (200) (3,063)
Zions Bancorp. ............... (100) (5,306)
----------
(38,217)
----------
BROADCASTING & PUBLISHING--(0.8)%
On Command Corp.* ............ (200) (3,400)
Source Media, Inc.* .......... (300) (4,463)
----------
(7,863)
----------
BUSINESS & PUBLIC SERVICES--(6.8)%
Administaff, Inc.* ........... (200) (8,250)
Central Parking Corp. ........ (400) (5,925)
HeadHunter.NET, Inc.* ........ (700) (11,025)
HotJobs.com, Ltd.* ........... (500) (12,563)
iVillage, Inc.* .............. (100) (1,875)
Labor Ready, Inc.* ........... (500) (4,156)
Leapnet, Inc.* ............... (1,000) (7,125)
Leisureplanet Holdings, Inc.* (300) (3,375)
Modis Professional Services, Inc.* (200) (3,150)
Primark Corp.* ............... (100) (2,206)
ProBusiness Services, Inc.* .. (200) (5,425)
Source Information
Management Co. (The)* ...... (200) (4,138)
----------
(69,213)
----------
NUMBER
OF SHARES VALUE
--------- -----
CHEMICALS--(3.2)%
Eco Soil Systems, Inc.* ...... (1,000) $ (4,000)
Georgia Gulf Corp. ........... (400) (9,100)
Nova Chemicals Corp. ......... (300) (4,800)
OM Group, Inc. ............... (200) (7,450)
Praxair, Inc. ................ (100) (3,375)
U.S. Plastic Lumber Corp.* ... (500) (4,000)
----------
(32,725)
----------
COMMUNICATIONS & MEDIA--(1.1)%
Lumenon Innovative Lightwave
Technology, Inc.* .......... (100) (3,513)
YouthStream Media Networks, Inc.* (400) (7,650)
----------
(11,163)
----------
COMPUTERS, SOFTWARE & SERVICES--(9.3)%
CGI Group, Inc., Class A * ... (400) (6,850)
CheckFree Holdings Corp.* .... (50) (4,397)
ConSyGen, Inc.* .............. (200) (370)
Dell Computer Corp.* ......... (200) (8,163)
Dendrite International, Inc.* (200) (4,925)
eFax.com* .................... (600) (3,975)
Gateway, Inc.* ............... (100) (6,875)
IBS Interactive, Inc.* ....... (300) (3,825)
InterWorld Corp.* ............ (100) (5,425)
Juno Online Services, Inc.* .. (200) (4,625)
Mail.com, Inc.* .............. (300) (4,500)
Red Hat, Inc.* ............... (100) (6,069)
SVI Holdings, Inc.* .......... (500) (5,344)
Transactions Systems Architects,
Inc., Class A* ............. (200) (9,025)
Vitech America, Inc.* ........ (100) (631)
Xeikon NV* ................... (800) (16,900)
ZeroPlus.com, Inc.* .......... (300) (2,925)
----------
(94,824)
----------
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
CONSUMER PRODUCTS & SERVICES--(3.9)%
Ask Jeeves, Inc.* ............ (100) $ (8,044)
Autobytel.com, Inc.* ......... (300) (3,206)
Autoweb.com, Inc.* ........... (400) (2,400)
Coinstar, Inc.* .............. (300) (4,200)
Ionics, Inc.* ................ (300) (8,550)
MemberWorks, Inc.* ........... (50) (4,044)
Peapod, Inc.* ................ (500) (4,156)
Student Advantage, Inc.* ..... (300) (4,650)
----------
(39,250)
----------
DISTRIBUTION--(0.8)%
En Pointe Technologies, Inc.* (100) (4,400)
Miami Computer Supply Corp.* . (100) (3,275)
----------
(7,675)
----------
DIVERSIFIED--(0.9)%
Roper Industries, Inc. ....... (200) (5,450)
Triarc Companies, Inc.* ...... (200) (3,788)
----------
(9,238)
----------
ELECTRIC UTILITIES--(0.8)%
American Electric Power Co., Inc. (300) (8,438)
----------
ELECTRONIC COMPONENTS & INSTRUMENTS--(0.3)%
FLIR Systems, Inc.* .......... (200) (3,175)
----------
ELECTRONICS--(1.1)%
Molex, Inc. .................. (200) (11,175)
----------
FINANCIAL SERVICES--(2.6)%
Allied Capital Corp. ......... (200) (3,475)
American Business Financial
Services, Inc. ............. (500) (10,188)
E-LOAN, Inc.* ................ (400) (3,575)
LendingTree, Inc.* ........... (200) (2,350)
Onlinetradinginc.com* ........ (300) (2,550)
Siebert Financial Corp. ...... (300) (4,613)
----------
(26,751)
----------
NUMBER
OF SHARES VALUE
--------- -----
FOOD & BEVERAGE--(2.8)%
American Italian Pasta Co.,
Class A* ................... (200) $ (4,563)
Beringer Wine Estates Holdings,
Inc., Class B* ............. (300) (10,819)
Delicious Brands, Inc.* ...... (100) (81)
Gum Tech International, Inc.* (200) (4,413)
PepsiCo, Inc. ................ (100) (3,225)
Spigadoro, Inc.* ............. (600) (1,500)
Whole Foods Market, Inc.* .... (100) (3,797)
----------
(28,398)
----------
GAMBLING--(0.0%)
CCA Companies, Inc.* ......... (600) (206)
----------
HAZARDOUS WASTE DISPOSAL--(0.9)%
Stericycle, Inc.* ............ (500) (9,234)
----------
HEALTH & PERSONAL CARE--(0.5)%
American Retirement Corp.* ... (400) (3,300)
LabOne, Inc. ................. (24) (171)
Manor Care, Inc.* ............ (200) (1,738)
----------
(5,209)
----------
MACHINERY & ENGINEERING--(0.8)%
Alamo Group, Inc. ............ (400) (4,800)
Regal-Beloit Corp. ........... (200) (3,563)
----------
(8,363)
----------
MANUFACTURING--(1.8)%
American Woodmark Corp. ...... (400) (6,600)
Falcon Products, Inc. ........ (400) (4,500)
Polymer Group, Inc. .......... (500) (7,469)
----------
(18,569)
----------
MEDICAL EQUIPMENT--(1.0)%
CryoLife, Inc.* .............. (200) (3,975)
Photogen Technologies, Inc.* . (200) (3,350)
Schick Technologies, Inc.* ... (300) (675)
Sunrise Technologies
International, Inc.* ....... (300) (2,475)
----------
(10,475)
----------
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
MEDICAL SUPPLIES--(0.3)%
Keravision, Inc.* ............ (400) $ (3,025)
----------
METALS & MINING--(1.2)%
Commercial Metals Co. ........ (300) (8,288)
Zemex Corp.* ................. (400) (3,675)
----------
(11,963)
----------
OIL SERVICES--(0.0)%
Eagle Geophysical, Inc.* ..... (25) (1)
----------
PAPER & FORESTRY PRODUCTS--(2.2)%
Champion International Corp. . (150) (7,763)
Kafus Industries Ltd.* ....... (900) (6,300)
Westvaco Corp. ............... (300) (8,269)
----------
(22,332)
----------
PHARMACEUTICALS--(2.0)%
BioMarin Pharmaceutical, Inc.* (100) (3,125)
Ergo Science Corp.* .......... (1,000) (2,438)
Hollis-Eden Pharmaceuticals,
Inc.* ...................... (200) (3,825)
Isis Pharmaceuticals, Inc.* .. (400) (5,650)
Shaman Pharmaceuticals, Inc.* (1) (1)
SmithKline Beecham PLC ADR ... (100) (5,619)
----------
(20,658)
----------
REAL ESTATE--(0.3)%
HomeStore.com, Inc.* ......... (50) (3,416)
----------
RECREATION--(1.2)%
Bally Total Fitness Holding Corp.* (300) (8,063)
Premier Parks, Inc.* ......... (200) (4,050)
----------
(12,113)
----------
RESTAURANTS, HOTELS & CASINOS--(6.1)%
Ark Restaurants Corp.* ....... (400) (2,975)
Buca, Inc.* .................. (500) (7,063)
CBRL Group, Inc. ............. (300) (2,775)
Cheesecake Factory, Inc. (The)* (200) (5,950)
Four Seasons Hotels, Inc. .... (100) (4,875)
Frisch's Restaurants, Inc. ... (300) (2,925)
Garden Fresh Restaurant Corp.* (200) (2,275)
NUMBER
OF SHARES VALUE
--------- -----
RESTAURANTS, HOTELS & CASINOS--(CONTINUED)
Landry's Seafood
Restaurants, Inc.* ......... (600) $ (4,238)
O'Charley's, Inc.* ........... (300) (3,375)
P.F. Chang's China Bistro, Inc.* (500) (15,031)
Planet Hollywood
International, Inc.* ....... (700) (51)
Steakhouse Partners, Inc.* ... (700) (3,938)
Uno Restaurant Corp.* ........ (330) (3,341)
Vail Resorts, Inc.* .......... (200) (3,200)
----------
(62,012)
----------
RETAIL TRADE--(15.6)%
1-800 CONTACTS, Inc.* ........ (400) (11,250)
1-800-FLOWERS.COM, Inc.* ..... (300) (2,756)
99 Cents Only Stores* ........ (333) (8,354)
Autozone, Inc.* .............. (200) (4,913)
Bed Bath & Beyond, Inc.* ..... (200) (5,675)
Bradlees, Inc.* .............. (400) (2,900)
BUY.COM* ..................... (500) (7,000)
CDnow, Inc.* ................. (500) (4,000)
Cost-U-Less, Inc.* ........... (500) (1,719)
CSK Auto Corp.* .............. (300) (3,450)
Dollar Tree Stores, Inc.* .... (200) (7,763)
Duane Reade, Inc.* ........... (300) (7,181)
Fred's, Inc. ................. (300) (4,462)
Guitar Center, Inc.* ......... (500) (4,625)
Fatbrain.Com, Inc.* .......... (300) (5,325)
Kenneth Cole Productions, Inc.* (100) (5,100)
Kohl's Corp.* ................ (200) (15,162)
LaCrosse Footwear, Inc. ...... (600) (2,400)
Lillian Vernon Corp. ......... (200) (2,050)
Men's Wearhouse, Inc. (The)* . (350) (8,127)
Pacific Sunwear of California,
Inc.* ...................... (200) (5,087)
Party City Corp.* ............ (1,700) (4,210)
Regis Corp. .................. (200) (3,100)
Rent-Way, Inc.* .............. (500) (8,500)
Ritchie Bros. Auctioneers, Inc.* (100) (2,806)
Steven Madden Ltd.* .......... (300) (4,050)
Tweeter Home Entertainment
Group, Inc.* ............... (200) (6,125)
Webvan Group, Inc.* .......... (600) (6,825)
Wild Oats Markets, Inc.* ..... (200) (3,750)
----------
(158,665)
----------
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
MARKET NEUTRAL FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
STEEL--(1.1)%
Reliance Steel & Aluminum Corp. (200) $ (3,875)
Steel Technologies, Inc. ..... (400) (3,750)
Valmont Industries, Inc. ..... (200) (3,025)
----------
(10,650)
----------
TELECOMMUNICATIONS--(0.2)%
Shared Technologies Cellular, Inc.* (300) (2,025)
----------
TELECOMMUNICATIONS & EQUIPMENT--(1.5)%
Coyote Network Systems, Inc.* (600) (4,687)
Vari-L Co., Inc.* ............ (400) (10,775)
----------
(15,462)
----------
TEXTILES & APPAREL--(1.2)%
Cintas Corp. ................. (100) (3,994)
Gildan Activewear, Inc., Class A* (100) (3,150)
Polo Ralph Lauren Corp.* ..... (300) (5,025)
----------
(12,169)
----------
NUMBER
OF SHARES VALUE
--------- -----
TOBACCO--(0.6)%
Brooke Group Ltd. ............ (300) $ (3,975)
General Cigar Holdings, Inc.* (100) (1,481)
----------
(5,456)
----------
TRANSPORTATION--(0.4)%
Allied Holdings, Inc.* ....... (500) (4,020)
----------
TOTAL SECURITIES SOLD SHORT
(Proceeds $883,518) ...... (807,922)
----------
TOTAL INVESTMENTS--18.5%
(Cost $24,844) ............... 188,066
----------
OTHER ASSETS IN EXCESS
OF LIABILITIES--81.5% ........ 829,607
----------
NET ASSETS--100.0% .............. $1,017,673
==========
- ----------
*Non-income producing.
ADR - American Depository Receipt.
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
BOND FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000 (UNAUDITED)
NUMBER
OF SHARES VALUE
--------- -----
PREFERRED STOCK--5.4%
INDUSTRIAL GOODS & MATERIALS--0.9%
Amcor Ltd.
7.250% 11/19/06 ............ 2,500 $ 95,625
-----------
REAL ESTATE--4.5%
Crescent Real Estate
6.750% 12/31/49 ............ 10,100 141,400
Equity Office Properties Trust
Series B
5.250% 12/31/49 ............ 2,900 107,300
Equity Residential Properties
Series G
7.250% 12/31/49 ............ 5,500 106,562
Reckson Associates Realty
Series A
7.625% 12/31/49 ............ 7,000 129,937
-----------
485,199
-----------
TOTAL PREFERRED STOCK
(Cost $801,878) .......... 580,824
-----------
PAR
(000)
-----
CORPORATE BONDS--41.8%
AEROSPACE & DEFENSE--0.9%
Raytheon Co.
Notes (Baa2, BBB-)
5.950% 03/15/01 ............ $ 45 44,269
United Tech Corp. Debentures
(A2, A+)
7.500% 09/15/29 ............ 50 49,187
-----------
93,456
-----------
AUTOMOTIVE--0.2%
Ford Motor Co. Debentures (A1, A+)
6.375% 02/01/29 ............ 25 20,719
-----------
BANKS & SAVINGS & LOANS--9.3%
BankBoston NA Subordinated Notes (A2, A)
7.375% 09/15/06 ............ 120 117,900
BB&T Corp. Subordinated
Notes (A3, BBB+)
7.250% 06/15/07 ............ 150 146,250
PAR
(000) VALUE
----- -----
BANKS & SAVINGS & LOANS--(CONTINUED)
Capital One Bank Senior
Notes (Baa2, BBB-)
6.150% 06/01/01 ............ $ 20 $ 19,675
Imperial Bank Series BKNT
Subordinated Notes (Ba2, BBB-)
8.500% 04/01/09 ............ 50 45,875
Korea Development Bank
Notes (Baa2, BBB)
7.900% 02/01/02 ............ 100 99,875
Old Kent Bank Subordinated
Notes (N/A, A-)
6.625% 11/15/05 ............ 110 104,087
Riggs Capital Trust Series A Company
Guarantee Notes (Baa3, BB)
8.625% 12/31/26 ............ 90 78,412
Riggs National Corp. Subordinated
Debentures (Ba1, BB+)
9.650% 06/15/09 ............ 120 117,244
Sovereign Bancorp. Series MTN
Subordinated Notes (BB-, BBB-)
8.000% 03/15/03 ............ 100 94,000
Sovereign Capital Trust I Company
Guarantee Notes (B1, B)
9.000% 04/01/27 ............ 100 85,385
Zions Institutional Capital Trust
Series A Company Guarantee
Notes (A2, BBB-)
8.536% 12/15/26 ............ 100 96,000
-----------
1,004,703
-----------
CANADIAN GOVERNMENT BONDS--0.5%
Hydro-Quebec Local Government
Guarantee Notes (A2, A+)
8.625% 06/15/29 ............ 50 54,437
-----------
CHEMICALS--0.7%
Lyondell Chemical Co. Series A Secured
(Ba3, BB)
9.625% 05/01/07 ............ 50 48,375
Union Carbide Corp. Notes (Baa2, BBB)
6.250% 06/15/03 ............ 25 23,875
-----------
72,250
-----------
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR
(000) VALUE
----- -----
ELECTRIC UTILITIES--1.3%
CMS Energy Corp. Senior
Notes (Ba3, BB)
8.125% 05/15/02 ............ $ 25 $ 24,750
Consumers Energy Co. First Mortgage
(Baa3, BBB+)
6.375% 09/15/03 ............ 100 94,750
Texas-New Mexico Power Senior
Notes (Baa3, BBB)
6.250% 01/15/09 ............ 25 21,375
----------
140,875
----------
ENERGY--3.3%
Conoco, Inc. Senior Notes (A3, A-)
6.950% 04/15/29 ............ 20 18,200
Louis Dreyfus Natural Gas Senior
Subordinated Notes (Ba3, BB+)
9.250% 06/15/04 ............ 100 99,875
Tosco Corp. First Mortgage Notes
(Baa1, BBB)
9.625% 03/15/02 ............ 125 128,906
8.250% 05/15/03 ............ 25 25,188
Union Oil Co. of California Company
Guarantee Notes (Baa1, BBB+)
7.500% 02/15/29 ............ 40 37,700
Union Oil Co. of California
Notes (Baa1, BBB+)
6.500% 05/01/08 ............ 30 27,638
Union Texas Petroleum Senior
Notes (A2, A)
8.375% 03/15/05 ............ 20 20,550
----------
358,057
----------
FINANCIAL SERVICES--5.7%
AON Capital Trust A Company Guarantee
Notes (A3, A)
8.205% 01/01/27 ............ 50 47,984
Arcadia Financial Ltd. Senior
Notes (B3, B-)
11.500% 03/15/07 ........... 25 26,062
Citigroup Capital III Company Guarantee
Notes (Aa3, A+)
7.625% 12/01/36 ............ 100 94,375
PAR
(000) VALUE
----- -----
FINANCIAL SERVICES--(CONTINUED)
Equitable Companies, Inc. Debentures
(A2, A+)
7.000% 04/01/28 ............... $ 25 $ 22,469
Equitable Companies, Inc. Senior
Notes (A2, A+)
9.000% 12/15/04 ............ 80 84,200
Ford Motor Credit Corp.
Notes (A1, A+)
6.700% 07/16/04 ............ 100 97,000
Ford Motor Credit Corp. Senior
Unsubordinated Notes (A1, A+)
7.200% 06/15/07 ............ 65 63,619
Olympic Financial Ltd. Senior
Notes (B3, B-)
11.500% 03/15/07 ........... 50 52,500
Security Capital U.S. Realty Bonds
Series 144A (Baa3, BBB-)
2.000% 05/22/03 ............ 170 126,225
----------
614,434
----------
GAS UTILITIES--1.3%
KN Capital Trust III Company Guarantee
Notes (Baa3, BB)
7.630% 04/15/28 ............ 75 68,063
KN Energy, Inc. Senior
Notes (Baa2, BBB-)
6.450% 11/30/01 ............ 75 73,687
----------
141,750
----------
HEALTH CARE--2.5%
Tenet Healthcare Corp. Senior
Notes (Ba1, BB+)
8.625% 12/01/03 ............ 175 169,969
Total Renal Care Holdings
(B1, B-)
5.625% 07/15/06 ............ 165 98,690
----------
268,659
----------
INDUSTRIAL GOODS & MATERIALS--3.7%
Browning-Ferris Industries, Inc. Senior
Notes (Ba3, BB-)
6.375% 01/15/08 ............ 100 78,500
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR
(000) VALUE
----- -----
INDUSTRIAL GOODS & MATERIALS--(CONTINUED)
Unisys Corp. Senior
Notes (Ba1, BB+)
11.750% 10/15/04 ............... $200 $ 218,000
USG Corp. Series B Senior
Notes (Baa2, BBB+)
9.250% 09/15/01 ............ 105 107,100
-----------
403,600
-----------
OFFICE EQUIPMENT & SUPPLIES--1.1%
Office Depot Inc. (Baa2, BBB-)
4.310%* 11/01/08 ........... 180 124,425
-----------
RADIO & TELEVISION MEDIA--2.2%
Chancellor Media Corp. Series B
Company Guarantee Notes (B1, B)
8.750% 06/15/07 ............ 25 25,063
CSC Holdings, Inc. Senior
Subordinate Debentures (Ba3, BB-)
9.875% 02/15/13 ............ 10 10,425
CSC Holdings, Inc. Senior
Notes (Ba1, BB+)
7.875% 12/15/07 ............ 50 48,875
Jones Intercable, Inc. Senior
Notes (Baa3, BBB-)
9.625% 03/15/02 ............ 100 104,000
News America Holdings Debentures
(Baa3, BBB-)
8.875% 04/26/23 ............ 45 47,756
-----------
236,119
-----------
RETAIL TRADE--0.9%
Federated Department Stores, Inc.
Senior Notes (Baa1, BBB+)
8.125% 10/15/02 ............ 25 25,313
Federated Department Stores, Inc.
Debentures (Baa1, BBB+)
7.000% 02/15/28 ............ 30 26,663
Safeway, Inc. Notes (Baa2, BBB)
6.050% 11/15/03 ............ 50 47,687
-----------
99,663
-----------
PAR
(000) VALUE
----- -----
SOVEREIGN GOVENMENT BONDS--3.9%
Argentina (Republic Of) Series C Bonds
(BBB, BBB+) 9.330%* 10/15/01 $ 50 $ 43,125
Brazil (Republic Of) Bonds (B2, B+)
11.625% 04/15/04 ........... 65 64,025
Panama (Republic Of) Series 144A
Notes (Ba1, BB+)
7.875% 02/13/02 ............ 300 294,000
United Mexican States Bonds (Ba1, BB)
8.625% 03/12/08 ............ 25 24,656
-----------
425,806
-----------
TELECOMMUNICATIONS--3.2%
CCPR Services, Inc. Company Gurantee
Notes (B2, B)
10.000% 02/01/07 ........... 35 37,363
Global Crossing Holdings Ltd.
Company Guarantee Notes (Ba2, BB)
9.625% 05/15/08 ............ 50 48,750
LCI International, Inc. Senior
Notes (Ba1, BB+)
7.250% 06/15/07 ............ 80 76,800
MCI Worldcom, Inc. Senior
Notes (A3, A-)
6.125% 08/15/01 ............ 25 24,688
6.950% 08/15/06 ............ 50 48,500
MetroNet Communications Corp. Senior
Discount Notes (Baa3, BBB)
8.754%* 06/15/08 ........... 45 35,550
US Cellular Corp. Notes (Baa2, BBB)
7.250% 08/15/07 ............ 75 72,469
-----------
344,120
-----------
TRANSPORTATION--1.1%
CSX Corp. Notes (Baa2, BBB)
6.250% 10/15/08 ............ 50 45,188
Union Pacific Co. Debentures (Baa3, BBB-)
9.625% 12/15/02 ............ 25 26,188
Union Pacific Co. Notes (Baa3, BBB-)
7.375% 05/15/01 ............ 50 49,938
-----------
121,314
-----------
TOTAL CORPORATE BONDS
(Cost $4,837,407) ........ 4,524,387
-----------
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR
(000) VALUE
----- -----
AGENCY OBLIGATIONS--41.0%
AGENCY DEBENTURES--1.0%
FHLMC (Aaa, N/A)
5.750% 04/15/08 ............ $ 25 $ 22,740
FNMA (Aaa, N/A)
6.250% 05/15/29 ............ 95 84,906
-----------
107,646
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--8.9%
FNMA 190945
6.000% 05/01/24 ............ 352 319,402
FNMA 281054
6.500% 04/01/24 ............ 340 318,083
FNMA 251967
6.500% 09/01/28 ............ 77 72,127
FNMA 252212
6.500% 01/01/29 ............ 117 109,664
FNMA 487809
7.000% 04/01/29 ............ 69 66,648
FNMA 252925
7.500% 11/01/29 ............ 74 72,740
-----------
958,664
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--31.1%
GNMA 354662
6.500% 09/15/08 ............ 82 78,984
GNMA 780303
6.500% 02/15/09 ............ 227 218,279
GNMA 433435
6.500% 02/15/12 ............ 277 265,842
GNMA 407234
6.500% 01/15/13 ............ 82 78,424
GNMA 457737
6.500% 03/15/13 ............ 96 91,758
GNMA 469128
6.500% 02/15/28 ............ 387 360,999
GNMA 447928
6.500% 05/15/28 ............ 35 32,717
GNMA 473797
6.500% 06/15/28 ............ 28 26,524
GNMA 468090
6.500% 07/15/28 ............ 34 31,281
GNMA 482119
6.500% 08/15/28 ............ 93 86,412
PAR
(000) VALUE
----- -----
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--(CONTINUED)
GNMA 376528
7.000% 05/15/09 ............ $177 $ 173,474
GNMA 454925
7.000% 12/15/12 ............ 208 204,113
GNMA 780921
7.000% 11/15/13 ............ 128 126,132
GNMA 366816
7.000% 06/15/24 ............ 97 92,794
GNMA 452645
7.000% 11/15/27 ............ 47 45,223
GNMA 450446
7.000% 12/15/27 ............ 48 46,061
GNMA 372475
7.000% 01/15/28 ............ 317 303,731
GNMA 469129
7.000% 02/15/28 ............ 70 66,827
GNMA 461450
7.000% 04/15/28 ............ 61 58,128
GNMA 471949
7.000% 06/15/28 ............ 262 250,973
GNMA 780859
7.500% 09/15/13 ............ 21 20,835
GNMA 780498
7.500% 01/15/27 ............ 80 78,962
GNMA 449474
7.500% 09/15/27 ............ 66 64,442
GNMA 453892
7.500% 11/15/27 ............ 235 230,789
GNMA 780687
8.000% 12/15/12 ............ 239 243,536
GNMA 442120
8.000% 11/15/26 ............ 93 92,960
-----------
3,370,200
-----------
TOTAL AGENCY OBLIGATIONS
(Cost $4,657,156) ........ 4,436,510
-----------
ASSET BACKED SECURITIES--1.0%
Illinois Power Special Purpose Trust
Series 1998-1 Class A6 (Aaa, AAA)
5.540% 06/25/09 ............ 50 45,170
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
BOND FUND
PORTFOLIO OF INVESTMENTS (CONCLUDED)
FEBRUARY 29, 2000 (UNAUDITED)
PAR
(000) VALUE
----- -----
ASSET BACKED SECURITIES--(CONTINUED)
MBNA Master Credit Card Trust
Series 1995-C Class A (Aaa, AAA)
6.450% 02/15/08 ............ $ 60 $ 57,864
-----------
TOTAL ASSET BACKED SECURITIES
(Cost $111,282) .......... 103,034
-----------
U.S. TREASURY OBLIGATIONS--9.9%
U.S. TREASURY BONDS--6.8%
U.S. Treasury Bonds
7.250% 05/15/16 ............ 290 311,857
7.125% 02/15/23 ............ 390 423,267
-----------
735,124
-----------
U.S. TREASURY STRIP--1.1%
U.S. Treasury Strip
6.280%* 11/15/21 ........... 455 118,881
-----------
U.S. TREASURY INFLATIONARY NOTE--2.0%
U.S. Treasury Inflationary Note
3.625% 01/15/08 ............ 215 213,932
-----------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,136,481) ........ 1,067,937
-----------
PAR
(000) VALUE
----- -----
SHORT-TERM INVESTMENTS--0.2%
Rodney Square Cash Reserve
5.570% 03/01/00 ............ $ 26 $ 25,637
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $25,637) ........... 25,637
-----------
TOTAL INVESTMENTS--99.2%
(Cost $11,569,841) ........... 10,738,329
-----------
OTHER ASSETS IN EXCESS
OF LIABILITIES--0.8% ......... 85,385
-----------
NET ASSETS--100.0% .............. $10,823,714
===========
- --------------------------------------------------------------------------------
*The rate shown represents yield to maturity on zero coupon bonds.
BKNT - Bank Note.
FHLMC - Federal Home Loan Mortgage Corporation.
FNMA - Federal National Mortgage Association.
MTN - Medium Term Note
The Moody's Investor Service, Inc. and Standard and Poor's Ratings Group's
ratings indicated are the most recent ratings available at February 29, 2000.
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
STATEMENT OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAP MARKET
LARGE CAP MID CAP VALUE NEUTRAL
VALUE FUND VALUE FUND FUND II* FUND BOND FUND
----------- ------------ ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (cost -- $47,923,626,
$154,494,473, $1,666,466, $908,362, and
$11,569,841, respectively) .............. $42,926,178 $139,532,036 $1,637,964 $ 995,988 $10,738,329
Receivable from Investment Advisor ........ -- -- 35,680 24,997 38,492
Deposits with brokers and custodian bank for
securities sold short ..................... -- -- -- 842,353 --
Receivable for investments sold ........... 666,627 2,327,074 24,162 72,518 --
Receivable for Fund shares sold ........... 25,000 -- -- -- --
Dividends and interest receivable ......... 63,603 117,517 649 2,302 135,773
----------- ------------ ---------- ---------- -----------
Total assets ............................ 43,681,408 141,976,627 1,698,455 1,938,158 10,912,594
----------- ------------ ---------- ---------- -----------
LIABILITIES
Payable for investments purchased ......... 494,938 3,158,200 38,495 65,758 --
Securities Sold-Short (proceeds $883,518) . -- -- -- 807,922 --
Payable for Fund share redeemed ........... 5,308 -- -- -- --
Accrued expenses and other liabilities .... 44,213 101,100 55,005 46,647 88,880
Payable for dividends on securities sold-short -- -- -- 158 --
----------- ------------ ---------- ---------- -----------
Total liabilities ....................... 544,459 3,259,300 93,500 920,485 88,880
----------- ------------ ---------- ---------- -----------
NET ASSETS
Capital stock, $0.001 par value ........... 4,147 14,627 184 127 1,173
Additional paid in capital ................ 48,133,086 166,120,218 1,795,423 1,242,995 11,917,029
Undistributed net investment income/(loss) 199,651 144,122 (6,992) (544) 7,599
Accumulated net realized loss from
investments ............................. (202,487) (12,599,203) (155,158) (388,127) (270,575)
Net unrealized appreciation/(depreciation) on
investments ............................. (4,997,448) (14,962,437) (28,502) 163,222 (831,512)
----------- ------------ ---------- ---------- -----------
Net assets .............................. $43,136,949 $138,717,327 $1,604,955 $1,017,673 $10,823,714
=========== ============ ========== ========== ===========
INSTITUTIONAL CLASS
Net assets ................................ $41,936,206 $136,897,811 $1,325,529 $ 818,319 $10,663,597
----------- ------------ ---------- ---------- -----------
Shares outstanding ........................ 4,033,198 14,434,477 152,207 102,152 1,156,352
----------- ------------ ---------- ---------- -----------
Net asset value, offering and redemption
price per share ......................... $10.40 $9.48 $8.71 $8.01 $9.22
=========== ============ ========== ========== ===========
INVESTOR CLASS
Net assets ................................ $ 1,200,743 $ 1,819,516 $ 279,426 $ 199,354 $ 160,117
----------- ------------ ---------- ---------- -----------
Shares outstanding ........................ 113,564 193,439 32,129 24,861 17,250
----------- ------------ ---------- ---------- -----------
Net asset value, offering and redemption
price per share ......................... $10.57 $9.41 $8.70 $8.02 $9.28
=========== ============ ========== ========== ===========
<FN>
- ------------
*Formerly known as Micro Cap Value Fund.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL CAP MARKET
LARGE CAP MID CAP VALUE NEUTRAL
VALUE FUND VALUE FUND FUND II* FUND BOND FUND
----------- ------------ ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends ................................. $ 432,357 $ 881,085 $ 8,962 $ 7,356 $ 28,519
Interest .................................. 27,161 102,240 865 14,854 402,991
----------- ------------ ----------- --------- ---------
459,518 983,325 9,827 22,210 431,510
----------- ------------ ----------- --------- ---------
EXPENSES
Advisory fees ............................. 193,384 631,989 9,622 10,356 23,692
Administration fees ....................... 37,500 98,748 37,500 37,500 37,500
Administrative services fees .............. 37,910 117,406 1,023 690 8,795
Transfer agent fees and expenses .......... 37,911 37,132 37,456 36,364 37,878
Custodian fees and expenses ............... 14,592 21,565 8,796 16,089 7,855
Printing. ................................. 14,676 20,917 24,000 9,708 17,640
Federal and state registration fees ....... 13,650 14,152 14,152 9,220 21,190
Audit and legal fees ...................... 5,603 12,240 3,182 4,377 3,227
Distribution fees ......................... 1,968 2,891 336 259 227
Directors. ................................ 1,982 4,027 144 88 142
Insurance. ................................ 209 273 273 209 375
Dividend expense. ......................... -- -- -- 1,453 --
Other ..................................... 2,207 924 923 1,083 4,452
----------- ------------ ----------- --------- ---------
Total expenses before waivers and
reimbursements. ....................... 361,592 962,264 137,407 127,396 162,973
Less: waivers and reimbursements ........ (101,931) (169,604) (125,166) (112,562) (127,225)
----------- ------------ ----------- --------- ---------
Total expenses after waivers and
reimbursements. ....................... 259,661 792,660 12,241 14,834 35,748
----------- ------------ ----------- --------- ---------
Net investment income/(loss) .............. 199,857 190,665 (2,414) 7,376 395,762
----------- ------------ ----------- --------- ---------
NET REALIZED AND UNREALIZED GAIN/(LOSS)
ON INVESTMENTS
Net realized gain/(loss) from investments . 290,200 (11,571,851) 36,110 (285,112) (130,531)
Net change in unrealized appreciation/
(depreciation) on investments ........... (5,082,759) (16,147,325) (27,792) 116,266 (94,846)
----------- ------------ ----------- --------- ---------
Net realized and unrealized gain/(loss)
from investments ........................ (4,792,559) (27,719,176) 8,318 (168,846) (225,377)
----------- ------------ ----------- --------- ---------
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ........................... $(4,592,702) $(27,528,511) $ 5,904 $(161,470) $ 170,385
=========== ============ =========== ========= =========
<FN>
- --------------
*Formerly known as Micro Cap Value Fund.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND MID CAP VALUE FUND
----------------------------------- -----------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE
ENDED YEAR ENDED ENDED YEAR ENDED
FEBRUARY 29, 2000 AUGUST 31, 1999 FEBRUARY 29, 2000 AUGUST 31, 1999
----------------- --------------- ----------------- ---------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income ..................... $ 199,857 $ 439,153 $ 190,665 $ 219,893
Net realized gain/(loss) from investments . 290,200 1,980,807 (11,571,851) 2,802,409
Net change in unrealized appreciation/
(depreciation) on investments ........... (5,082,759) 11,653,735 (16,147,325) 17,233,562
------------ ------------ ------------ ------------
Net increase/(decrease) in net assets resulting
from operations ......................... (4,592,702) 14,073,695 (27,528,511) 20,255,864
------------ ------------ ------------ ------------
LESS DIVIDEND AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional shares (437,974) (274,092) (221,577) (90,185)
Net investment income Investor shares ..... (1,520) (20,133) -- --
Net realized capital gains Institutional shares (2,897,846) (727,345) (2,085,782) (2,283)
Net realized capital gains Investor shares (92,350) (64,741) (30,829) (40)
------------ ------------ ------------ ------------
Total dividends and distributions to shareholders (3,429,690) (1,086,311) (2,338,188) (92,508)
------------ ------------ ------------ ------------
INCREASE/(DECREASE) IN NET ASSETS DERIVED FROM
CAPITAL SHARE TRANSACTIONS ................ (3,589,718) (15,111,801) (7,401,645) 86,425,931
------------ ------------ ------------ ------------
Total increase/(decrease) in net assets ... (11,612,110) (2,124,417) (37,268,344) 106,589,287
NET ASSETS
Beginning of period ....................... 54,749,059 56,873,476 175,985,671 69,396,384
------------ ------------ ------------ ------------
End of period ............................. $ 43,136,949 $ 54,749,059 $138,717,327 $175,985,671
============ ============ ============ ============
</TABLE>
The accompanying notes are an integral part of the financial statements.
28
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND II* MARKET NEUTRAL FUND
----------------------------------- -----------------------------------
FOR THE FOR THE
SIX MONTHS FOR THE SIX MONTHS FOR THE PERIOD
ENDED YEAR ENDED ENDED NOVEMBER 17, 1998**
THOUGH
FEBRUARY 29, 2000 AUGUST 31, 1999 FEBRUARY 29, 2000 AUGUST 31, 1999
----------------- --------------- ----------------- ---------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) .............. $ (2,414) $ (3,105) $ 7,376 $ 9,566
Net realized gain/(loss) from investments . 36,110 (158,505) (285,112) (103,015)
Net change in unrealized appreciation/
(depreciation) on investments ........... (27,792) 352,523 116,266 46,956
---------- ---------- ---------- ----------
Net increase/(decrease) in net assets
resulting from operations ............... 5,904 190,913 (161,470) (46,493)
---------- ---------- ---------- ----------
LESS DIVIDEND AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional
shares .................................. (539) -- (14,358) --
Net investment income Investor shares ..... -- -- (3,128) --
Net realized capital gains Institutional
shares .................................. -- -- -- --
Net realized capital gains Investor
shares .................................. -- -- -- --
---------- ---------- ---------- ----------
Total dividends and distributions to
shareholders ............................ (539) -- (17,486) --
---------- ---------- ---------- ----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS ........... (1,940) 162,189 25,122 1,218,000
---------- ---------- ---------- ----------
Total increase/(decrease) in net assets ... 3,425 353,102 (153,834) 1,171,507
NET ASSETS
Beginning of period ....................... 1,601,530 1,248,428 1,171,507 --
---------- ---------- ---------- ----------
End of period ............................. $1,604,955 $1,601,530 $1,017,673 $1,171,507
========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
BOND FUND
-----------------------------------
FOR THE FOR THE
SIX MONTHS YEAR
ENDED ENDED
FEBRUARY 29, 2000 AUGUST 31, 1999
----------------- ---------------
(UNAUDITED)
<S> <C> <C>
INCREASE/(DECREASE) IN NET ASSETS
FROM OPERATIONS
Net investment income/(loss) ..............$ 395,762 $ 873,298
Net realized gain/(loss) from investments . (130,531) (113,950)
Net change in unrealized appreciation/
(depreciation) on investments ........... (94,846) (663,010)
----------- -----------
Net increase/(decrease) in net assets
resulting from operations ............... 170,385 96,338
----------- -----------
LESS DIVIDEND AND DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income Institutional
shares .................................. (391,745) (860,406)
Net investment income Investor shares ..... (5,832) (10,855)
Net realized capital gains Institutional
shares .................................. -- (149,870)
Net realized capital gains Investor
shares .................................. -- (2,120)
----------- -----------
Total dividends and distributions to
shareholders ............................ (397,577) (1,023,251)
----------- -----------
INCREASE/(DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL SHARE TRANSACTIONS ........... (1,178,504) (2,550,896)
----------- -----------
Total increase/(decrease) in net assets ... (1,405,696) (3,477,809)
NET ASSETS
Beginning of period ....................... 12,229,410 15,707,219
----------- -----------
End of period .............................$10,823,714 $12,229,410
=========== ===========
<FN>
- ------------
* Formerly known as Micro Cap Value Fund.
** Commencement of operations.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
30-31
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
----------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR YEAR JANUARY 2, 1997*
FEBRUARY 29, 2000 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997
-------------- ---------------- --------------- ----------------
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CLASS CLASS CLASS CLASS
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period ................ $ 12.24 $ 10.58 $ 12.46 $ 10.00
------- ------- ------- -------
Net investment income/(loss)(1) ..................... 0.05 0.05 0.12 0.05
Net realized and unrealized gain/(loss) on
investments(2) ................................... (1.08) 1.76 (1.31) 2.41
------- ------- ------- -------
Net increase/(decrease) in net assets resulting from
operations ....................................... (1.03) 1.81 (1.19) 2.46
------- ------- ------- -------
Dividends to shareholders from:
Net investment income ............................... (0.11) (0.04) (0.08) --
Net realized capital gains .......................... (0.70) (0.11) (0.61) --
------- ------- ------- -------
Total dividends and distributions to shareholders ... (0.81) (0.15) (0.69) --
------- ------- ------- -------
Net asset value, end of period ...................... $ 10.40 $ 12.24 $ 10.58 $ 12.46
======= ======= ======= =======
Total investment return(3) .......................... (9.15%) 17.12% (10.23%) 24.60%
======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $41,936 $53,112 $50,724 $24,603
Ratio of expenses to average net assets(1) .......... 1.00%(4) 1.00% 1.00% 1.00%(4)
Ratio of expenses to average net assets without
waivers and expense reimbursements ............... 1.40%(4) 1.30% 1.49% 2.64%(4)
Ratio of net investment income to average
net assets(1) .................................... 0.78%(4) 0.61% 0.87% 1.19%(4)
Portfolio turnover rate ............................. 62.05% 156.16% 111.68% 67.16%
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
----------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR YEAR JANUARY 16, 1997*
FEBRUARY 29, 2000 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997
-------------- ---------------- --------------- ----------------
INVESTOR INVESTOR INVESTOR INVESTOR
CLASS CLASS CLASS CLASS
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE** $ 12.36 $ 10.70 $ 12.45 $ 10.20
Net asset value, beginning of period ................ ------- ------- ------- -------
0.04 0.15 0.06 0.02
Net investment income/(loss)(1) .....................
Net realized and unrealized gain/(loss) on (1.12) 1.65 (1.27) 2.23
investments(2) ................................... ------- ------- ------- -------
Net increase/(decrease) in net assets resulting from (1.08) 1.80 (1.21) 2.25
operations ....................................... ------- ------- ------- -------
Dividends to shareholders from: (0.01) (0.03) (0.06) --
Net investment income ............................... (0.70) (0.11) (0.48) --
Net realized capital gains .......................... ------- ------- ------- -------
(0.71) (0.14) (0.54) --
Total dividends and distributions to shareholders ... ------- ------- ------- -------
$ 10.57 $ 12.36 $ 10.70 $ 12.45
Net asset value, end of period ...................... ======= ======= ======= =======
(9.34%) 16.86% (10.28%) 22.06%
Total investment return(3) .......................... ======= ======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ........... $ 1,201 $ 1,637 $ 6,150 $ 683
Ratio of expenses to average net assets(1) .......... 1.22%(4) 1.25% 1.19% 1.11%(4)
Ratio of expenses to average net assets without
waivers and expense reimbursements ............... 1.54%(4) 1.55% 1.74% 3.05%(4)
Ratio of net investment income to average
net assets(1) .................................... 0.56%(4) 0.36% 0.68% 0.91%(4)
Portfolio turnover rate ............................. 62.05% 156.16% 111.68% 67.16
<FN>
- ------------
* Commencement of operations.
** Calculated based on shares outstanding on the first and last day of the
respective periods, except for dividends and distributions, if any, which
are based on actual shares outstanding on the dates of distributions.
(1) Reflects waivers and reimbursements.
(2) The amount shown for a share outstanding throughout the period is not in
accord with the change in the aggregate gains and losses in investments
during the period because of the timing of sales and repurchases of Fund
shares in relation to fluctuating net asset value during the period.
(3) Total return is not annualized.
(4) Annualized.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
32-33
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP VALUE FUND
----------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR YEAR JUNE 2, 1997*
FEBRUARY 29, 2000 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997
-------------- ---------------- --------------- ----------------
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CLASS CLASS CLASS CLASS
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period ........... $ 11.47 $ 9.48 $ 11.01 $ 10.00
-------- -------- ------- -------
Net investment income/(loss)(1) ................ 0.01 0.02 0.01 0.01
Net realized and unrealized gain/(loss) on
investments(2) .............................. (1.84) 1.98 (1.39) 1.00
-------- -------- ------- -------
Net increase/(decrease) in net assets resulting
from operations ............................. (1.83) 2.00 (1.38) 1.01
-------- -------- ------- -------
Dividends to shareholders from:
Net investment income .......................... (0.02) (0.01) (0.01) --
Net realized capital gains ..................... (0.14) -- (0.14) --
-------- -------- ------- -------
Total dividends and distributions to shareholders (0.16) (0.01) (0.15) --
-------- -------- ------- -------
Net asset value, end of period ................. $ 9.48 $ 11.47 $ 9.48 $ 11.01
======== ======== ======= =======
Total investment return(3) ..................... (16.09%) 21.08% (12.73%) 10.10%
======== ======== ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ...... $136,898 $173,224 $67,568 $3,750
Ratio of expenses to average net assets(1) ..... 1.00%(4) 1.00% 1.00% 1.00%(4)
Ratio of expenses to average net assets without
waivers and expense reimbursements .......... 1.22%(4) 1.25% 1.57% 12.37%(4)
Ratio of net investment income to average
net assets(1) ............................... 0.24%(4) 0.17% 0.13% 1.08%(4)
Portfolio turnover rate ........................ 100.88% 200.09% 167.86% 21.80%
</TABLE>
<TABLE>
<CAPTION>
MID CAP VALUE FUND
----------------------------------------------------------------------
FOR THE FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR YEAR JANUARY 16, 1997*
FEBRUARY 29, 2000 ENDED ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998 AUGUST 31, 1997
-------------- ---------------- --------------- ----------------
INVESTOR INVESTOR INVESTOR INVESTOR
CLASS CLASS CLASS CLASS
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period ........... $11.38 $ 9.42 $11.01 $10.00
------ ------ ------ ------
Net investment income/(loss)(1) ................ -- (0.01) 0.01 0.01
Net realized and unrealized gain/(loss) on
investments(2) .............................. (1.83) 1.97 (1.38) 1.00
------ ------ ------ ------
Net increase/(decrease) in net assets resulting
from operations ............................. (1.83) 1.96 (1.37) 1.01
------ ------ ------ ------
Dividends to shareholders from:
Net investment income .......................... -- -- (0.01) --
Net realized capital gains ..................... (0.14) -- (0.21) --
------ ------ ------ ------
Total dividends and distributions to shareholders (0.14) -- (0.22) --
------ ------ ------ ------
Net asset value, end of period ................. $ 9.41 $11.38 $ 9.42 $11.01
====== ====== ====== ======
Total investment return(3) ..................... (16.16%) 20.81% (12.77%) 10.10%
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA
$1,820 $2,762 $1,828 $ 598
Net assets, end of period (000's omitted) ...... 1.22%(4) 1.25% 1.15% 1.10%(4)
Ratio of expenses to average net assets(1) .....
Ratio of expenses to average net assets without 1.36%(4) 1.50% 1.82% 12.62%(4)
waivers and expense reimbursements ..........
Ratio of net investment income to average 0.03%(4) 0.01% (0.02%) 0.61%(4)
net assets(1) ............................... 100.88% 200.09% 167.86% 21.80%
Portfolio turnover rate ........................
<FN>
- ----------
* Commencement of operations.
** Calculated based on shares outstanding on the first and last day of the
respective periods, except for dividends and distributions, if any, which
are based on actual shares outstanding on the dates of distributions.
(1) Reflects waivers and reimbursements.
(2) The amount shown for a share outstanding throughout the period is not in
accord with the change in the aggregate gains and losses in investments
during the period because of the timing of sales and repurchases of Fund
shares in relation to fluctuating net asset value during the period.
(3) Total return is not annualized.
(4) Annualized.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
34-35
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND II*
--------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR JULY 1, 1998**
FEBRUARY 29, 2000 ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998
------------- ------------- -------------
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CLASS CLASS CLASS
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE***
Net asset value, beginning of period ..... $ 8.67 $ 7.62 $10.00
------ ------ ------
Net investment income/(loss)(1) .......... (0.01) (0.01) (0.01)
Net realized and unrealized gain/(loss)
on investments(2) ...................... 0.05 1.06 (2.37)
------ ------ ------
Net increase/(decrease) in net
assets resulting from operations ....... 0.04 1.05 (2.38)
------ ------ ------
Dividends to shareholders from:
Net investment income .................... -- -- --
Net realized capital gains ............... -- -- --
------ ------ ------
Total dividends and distributions
to shareholders ........................ -- -- --
------ ------ ------
Net asset value, end of period ........... $ 8.71 $ 8.67 $ 7.62
====== ====== ======
Total investment return(3) (5) ........... 0.53% 13.78% (23.80%)
====== ====== ======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted) ........................ $1,326 $1,309 $1,120
Ratio of expenses to average
net assets(1) .......................... 1.55%(4) 1.55% 1.55%(4)
Ratio of expenses to average net
assets without waivers and
expense reimbursements ................. 17.82%(4) 17.84% 17.63%(4)
Ratio of net investment income to
average net assets(1) .................. (0.27%)(4) (0.17%) (0.34%)(4)
Portfolio turnover rate .................. 88.82% 87.48% 11.97%
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND II*
--------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR JULY 1, 1998**
FEBRUARY 29, 2000 ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998
------------- ------------- -------------
INVESTOR INVESTOR INVESTOR
CLASS CLASS CLASS
------------- ------------- -------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE*** $ 8.65 $ 7.63 $10.00
Net asset value, beginning of period ..... ------ ------ ------
(0.03) (0.02) (0.01)
Net investment income/(loss)(1) ..........
Net realized and unrealized gain/(loss) 0.08 1.04 (2.36)
on investments(2) ...................... ------ ------ ------
Net increase/(decrease) in net 0.05 1.02 (2.37)
assets resulting from operations ....... ------ ------ ------
Dividends to shareholders from: -- -- --
Net investment income .................... -- -- --
Net realized capital gains ............... ------ ------ ------
Total dividends and distributions -- -- --
to shareholders ........................ ------ ------ ------
$ 8.70 $ 8.65 $ 7.63
Net asset value, end of period ........... ====== ====== ======
0.51% 13.37% (23.70%)
Total investment return(3) (5) ........... ====== ====== ======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period $ 279 $ 293 $ 129
(000's omitted) ........................
Ratio of expenses to average 1.77%(4) 1.80% 1.80%(4)
net assets(1) ..........................
Ratio of expenses to average net
assets without waivers and 17.96%(4) 18.09% 18.61%(4)
expense reimbursements .................
Ratio of net investment income to (0.49%)(4) (0.42%) (0.66%)(4)
average net assets(1) .................. 88.82% 87.48% 11.97%
Portfolio turnover rate ..................
</TABLE>
<TABLE>
<CAPTION>
MARKET NEUTRAL FUND
-----------------------------------------------------------------------------
FOR THE FOR THE PERIOD FOR THE FOR THE PERIOD
SIX MONTHS ENDED NOVEMBER 17, 1998* SIX MONTHS ENDED NOVEMBER 17, 1998**
FEBRUARY 29, 2000 THROUGH FEBRUARY 29, 2000 THROUGH
(UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999
--------------- ------------------ --------------- ------------------
INSTITUTIONAL INSTITUTIONAL INVESTOR INVESTOR
CLASS CLASS CLASS CLASS
--------------- ------------------ --------------- ------------------
<S> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE***
Net asset value, beginning
of period .......................... $ 9.46 $10.00 $ 9.43 $10.00
------ ------ ------ ------
Net investment income/(loss)(1) ...... 0.06 0.12 0.02 0.06
Net realized and unrealized
gain/(loss) on investments(2) ...... (1.37) (0.66) (1.30) (0.63)
------ ------ ------ ------
Net increase/(decrease) in net
assets resulting from operations ... (1.31) (0.54) (1.28) (0.57)
------ ------ ------ ------
Dividends to shareholders from:
Net investment income ................ (0.14) -- (0.13) --
Net realized capital gains ........... -- -- -- --
------ ------ ------ ------
Total dividends and distributions
to shareholders .................... (0.14) -- (0.13) --
------ ------ ------ ------
Net asset value, end of period ....... $ 8.01 $ 9.46 $ 8.02 $ 9.43
====== ====== ====== ======
Total investment return(3) (5) ....... (13.71%) (5.40%) (13.98%) (5.70%)
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period
(000's omitted) .................... $ 818 $ 941 $ 199 $ 231
Ratio of expenses to average
net assets(1) ...................... 2.50%(4) 2.50%(4)(6) 2.72%(4) 2.75%(4)(6)
Ratio of expenses to average
net assets without waivers
and expense reimbursements ......... 23.91%(4)(6) 26.36%(4)(6) 24.05%(4) 26.61%(4)(6)
Ratio of net investment income
to average net assets(1) ........... 1.72%(4) 1.57%(4) 1.51%(4) 1.32%(4)
Portfolio turnover rate .............. 193.64% 218.41% 193.64% 218.41%
<FN>
- ---------------
* Formerly known as Micro Cap Value Fund.
** Commencement of operations.
*** Calculated based on shares outstanding on the first and last day of the
respective periods, except for dividends and distributions, if any, which
are based on actual shares outstanding on the dates of distributions.
(1) Reflects waivers and reimbursements.
(2) The amount shown for a share outstanding throughout the period is not in
accord with the change in the aggregate gains and losses in investments
during the period because of the timing of sales and repurchases of Fund
shares in relation to fluctuating net asset value during the period.
(3) Total return is not annualized.
(4) Annualized.
(5) Redemption fee of 1.00% is not reflected in total return calculations.
(6) Without the voluntary waiver of advisory and administration fees, the ratios
of expenses to average net assets for the Institutional Class would have
been 23.91% (excluding dividend expense) and 24.18% (including dividend
expense) annualized for the six months ended February 29, 2000, and 26.36%
(excluding dividend expense) and 26.77% (including dividend expense)
annualized for the period ended August 31, 1999. Without the voluntary
waiver of advisory and administration fees, the ratios of expenses to
average net assets for the Investor Class would have been 24.06% (excluding
dividend expense) and 24.34% (including dividend expense) annualized for the
six months ended February 29, 2000, and 26.61% (excluding dividend expense)
and 27.02% (including dividend expense) annualized for the period ended
August 31, 1999.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
36-37
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
Contained below is per share operating performance data for each class of shares
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
BOND FUND
----------------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR DECEMBER 30, 1997*
FEBRUARY 29, 2000 ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998
---------------- --------------- -------------------
INSTITUTIONAL INSTITUTIONAL INSTITUTIONAL
CLASS CLASS CLASS
---------------- --------------- -------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period .......................... $ 9.41 $ 10.08 $ 10.00
------- ------- -------
Net investment income/(loss)(1) ............................... 0.32 0.96 0.78
Net realized and unrealized gain/(loss) on investments(2) ..... (0.19) (0.90) (0.31)
------- ------- -------
Net increase/(decrease) in net assets resulting from operations 0.13 0.06 0.47
------- ------- -------
Dividends to shareholders from:
Net investment income ......................................... (0.32) (0.62) (0.39)
Net realized capital gains .................................... -- (0.11) --
------- ------- -------
Total dividends and distributions to shareholders ............. (0.32) (0.73) (0.39)
------- ------- -------
Net asset value, end of period ................................ $ 9.22 $ 9.41 $ 10.08
======= ======= =======
Total investment return(3) (5) ................................ 1.36% 0.42% 4.79%
======= ======= =======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ..................... $10,664 $12,041 $15,509
Ratio of expenses to average net assets(1) .................... 0.60%(4) 0.60% 0.60%(4)
Ratio of expenses to average net assets without waivers and
expense reimbursements ..................................... 2.75%(4) 2.22% 2.82%(4)
Ratio of net investment income to average net assets(1) ....... 6.69%(4) 6.22% 6.06%(4)
Portfolio turnover rate ....................................... 18.12% 57.60% 45.27%
</TABLE>
<TABLE>
<CAPTION>
BOND FUND
----------------------------------------------------------
FOR THE FOR THE FOR THE PERIOD
SIX MONTHS ENDED YEAR DECEMBER 30, 1997*
FEBRUARY 29, 2000 ENDED THROUGH
(UNAUDITED) AUGUST 31, 1999 AUGUST 31, 1998
---------------- --------------- -------------------
INVESTOR INVESTOR INVESTOR
CLASS CLASS CLASS
---------------- --------------- -------------------
<S> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE**
Net asset value, beginning of period .......................... $ 9.47 $10.10 $10.00
------ ------ ------
Net investment income/(loss)(1) ............................... 0.32 0.93 0.62
Net realized and unrealized gain/(loss) on investments(2) ..... (0.20) (0.90) (0.16)
------ ------ ------
Net increase/(decrease) in net assets resulting from operations 0.12 0.03 0.46
------ ------ ------
Dividends to shareholders from:
Net investment income ......................................... (0.31) (0.55) (0.36)
Net realized capital gains .................................... -- (0.11) --
------ ------ ------
Total dividends and distributions to shareholders ............. (0.31) (0.66) (0.36)
------ ------ ------
Net asset value, end of period ................................ $ 9.28 $ 9.47 $10.10
====== ====== ======
Total investment return(3) (5) ................................ 1.24% 0.17% 4.63%
====== ====== ======
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000's omitted) ..................... $ 160 $ 188 $ 198
Ratio of expenses to average net assets(1) .................... 0.82%(4) 0.85% 0.85%(4)
Ratio of expenses to average net assets without waivers and
expense reimbursements ..................................... 2.89%(4) 2.47% 2.72%(4)
Ratio of net investment income to average net assets(1) ....... 6.47%(4) 5.97% 5.83%(4)
Portfolio turnover rate ....................................... 18.12% 57.60% 45.27%
<FN>
- --------------
* Commencement of operations.
** Calculated based on shares outstanding on the first and last day of the
respective periods, except for dividends and distributions, if any, which
are based on actual shares outstanding on the dates of distributions.
(1) Reflects waivers and reimbursements.
(2) The amount shown for a share outstanding throughout the period is not in
accord with the change in the aggregate gains and losses in investments
during the period because of the timing of sales and repurchases of Fund
shares in relation to fluctuating net asset value during the period.
(3) Total return is not annualized.
(4) Annualized.
(5) Redemption fee of 1.00% is not reflected in total return calculations.
</FN>
</TABLE>
The accompanying notes are an integral part of the financial statements.
38-39
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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. The 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 seventeen investment portfolios, including Boston
Partners Large Cap Value Fund ("Large Cap Fund"), Boston Partners Mid Cap Value
Fund ("Mid Cap Fund"), Boston Partners Small Cap Value Fund II ("Small Cap Fund
II"), Boston Partners Market Neutral Fund ("Market Neutral Fund") and Boston
Partners Bond Fund ("Bond Fund") (each a "Fund", collectively the "Funds"). The
Large Cap Fund, the Mid Cap Fund, the Small Cap Fund II, the Market Neutral Fund
and the Bond Fund each offer two classes of shares, Institutional Class and
Investor Class.
RBB has authorized capital of thirty billion shares of common stock of
which 20.03 billion are currently classified into ninety-nine classes. Each
class represents an interest in one of seventeen investment portfolios of RBB.
The classes have been grouped into fifteen separate "families," ten of which
have begun investment operations, The Boston Partners Family of Funds includes
the Large Cap Fund, which commenced investment operations on January 2, 1997,
the Mid Cap Fund, which commenced operations on June 2, 1997, the Small Cap Fund
II (formerly the Micro Cap Value Fund), which commenced investment operations on
July 1, 1998, the Market Neutral Fund, which commenced investment operations on
November 17, 1998 and the Bond Fund, which commenced investment operations on
December 30, 1997.
PORTFOLIO VALUATION -- The net asset value of the Fund is determined as of
4:00 p.m. eastern time 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. Short-term obligations with
maturities of 60 days or less are valued at amortized cost that approximates
market value. Expenses and fees, including investment advisory and
administration fees are accrued daily and taken into account for the purpose of
determining the net asset value of the Funds.
USE OF ESTIMATES -- The preparation of financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent assets and liabilities at the date of
the financial statements and the reported amounts of revenues and expenses
during the period.
Actual results could differ from those estimates.
40
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
REPURCHASE AGREEMENTS -- The Funds have 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 the Funds enter into repurchase agreements are banks and
broker/dealers that Boston Partners Asset Management, L.P. (the Funds'
investment adviser or "Boston Partners") 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. Boston Partners 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 the Funds
to possible loss because of adverse market action or delays in connection with
the disposition of the underlying securities.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME -- Transactions are accounted
for on the trade date. The cost of investments sold is determined by use of the
specific identification method for both financial reporting and income tax
purposes in determining realized gains and losses on investments. Interest
income is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date. The Funds' investment income, expenses (other than class
specific distribution fees) and unrealized and realized gains and losses are
allocated daily to each class of shares based upon the relative proportion of
net assets of each class at the beginning of the day (after adjusting for
current capital share activity of the respective classes).
DIVIDENDS AND DISTRIBUTIONS -- Dividends from net investment income, if
any, are declared and paid at least annually to shareholders. Dividends from net
investment income of the Bond Fund are declared and paid monthly. Distributions
from net realized capital gains, if any, are 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,
partnerships, 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 to paid in capital.
U.S. FEDERAL TAX STATUS -- No provision is made for U.S. federal income
taxes as it is the Funds' 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.
SHORT SALES -- When the Adviser anticipates that a security is overvalued,
it may sell the security short by borrowing the same security from a broker or
other institution and selling the security. A Fund will incur a loss as a result
of a short sale if the price of the borrowed security increases between the date
of the short sale and the date on which the Fund replaces such security. A Fund
will realize a gain if there is a decline in price of the security between those
dates which decline exceeds the costs of the borrowing the security and other
transaction costs. There can be no assurance that a Fund will be able to close
out a short position at any particular time or at an acceptable price. Although
a Fund's gain is limited to the amount at which it sold a security short, its
potential loss is limited only by the maximum attainable price of the security
less the price at which the security was sold. Until a Fund replaces a borrowed
security, it will maintain at all times cash, U.S. Government securities, or
other liquid securities in an amount which, when added to any amount deposited
with a broker as collateral will at least equal the current market value of the
security sold short. Depending on arrangements made with brokers, a Fund may not
receive any payments (including interest) on collateral deposited with them. The
Funds will not make a short sale if, after giving effect to such sale, the
market value of all securities sold short exceeds 100% of the value of a Fund's
net assets.
41
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
Boston Partners Asset Management, L.P. serves as the Funds' investment
adviser. For its advisory services, Boston Partners is entitled to receive 0.75%
of the Large Cap Fund's average daily net assets, 0.80% of the Mid Cap Fund's
average daily net assets, 1.25% of the Small Cap Fund II's average daily net
assets, 2.25% of the Market Neutral Fund's average daily net assets and 0.40% of
the Bond Fund's average daily net assets, each computed daily and payable
quarterly.
The adviser has agreed to limit the Large Cap Fund and the Mid Cap
Fund's total operating expenses for the current and the following fiscal year to
the extent that such expenses exceeded 1.00% and 1.22% of the Large Cap Fund and
the Mid Cap Funds' average daily net assets for the Institutional and Investor
Classes, respectively. The adviser has agreed to limit the Small Cap Fund II's
total operating expenses for the current and the following fiscal year to the
extent that such expenses exceed 1.55% and 1.77% of the Small Cap Fund II's
average daily net assets for the Institutional and Investor Classes,
respectively. The adviser has agreed to limit the Market Neutral Fund's total
operating expenses for the current and the following fiscal year to the extent
that such expenses exceed 2.50% and 2.72% of the Market Neutral Fund's average
daily net assets for the Institutional and Investor Classes, respectively. The
adviser has agreed to limit the Bond Fund's total operating expenses for the
current and the following fiscal year to the extent that such expenses exceeded
0.60% and 0.82% of the Bond Fund's average daily net assets for the
Institutional and Investor Classes, respectively. This limitation is effected in
waivers of advisory fees and reimbursements of expenses exceeding the advisory
fee as necessary. For the six months ended February 29, 2000, investment
advisory fees, waivers and reimbursements of expenses were as follows:
GROSS NET EXPENSE FUND
FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT
- ---- ------------ --------- ------------- -------------
Large Cap Fund $193,384 $(71,603) $121,781 --
Mid Cap Fund 631,989 (75,680) 556,309 --
Small Cap Fund II 9,622 (9,622) -- $(77,975)
Market Neutral Fund 10,356 (10,356) -- (64,803)
Bond Fund 23,692 (23,692) -- (71,998)
The Funds will not pay Boston Partners at a later time for any amounts they
may waive or any amounts which Boston Partners has assumed.
PFPC, Inc. ("PFPC"), a wholly-owned subsidiary of PFPC Worldwide Inc., an
indirect majority-owned subsidiary of The PNC Financial Services Group, Inc.,
serves as administrator for the Funds. For providing administrative services,
PFPC is entitled to receive a monthly fee equal to an annual rate of 0.125% of
the Funds' average daily net assets.
For the six months ended February 29, 2000, PFPC, at their discretion,
voluntarily agreed to waive a portion of their administration fees for the
Funds. For the six months ended February 29, 2000, PFPC's administration fees
and related waivers were as follows:
PFPC GROSS NET PFPC
FUND ADMINISTRATION FEES WAIVERS ADMINISTRATION FEES
- ---- ------------------- --------- -------------------
Large Cap Fund $37,500 -- $37,500
Mid Cap Fund 98,748 -- 98,748
Small Cap Fund II 37,500 $(18,751) 18,749
Market Neutral Fund 37,500 (18,751) 18,749
Bond Fund 37,500 (12,500) 25,000
42
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
In addition, PFPC serves as the Funds' transfer and dividend disbursing
agent. PFPC, at their discretion, voluntarily agreed to waive a portion of their
transfer agency fees for the Funds. For the six months ended February 29, 2000,
transfer agency fees and waivers were as follows:
GROSS TRANSFER NET TRANSFER
FUND AGENCY FEES WAIVERS AGENCY FEES
- ---- --------------- --------- ------------
Large Cap Fund $37,911 -- $37,911
Mid Cap Fund 37,132 -- 37,132
Small Cap Fund II 37,456 $(18,000) 19,456
Market Neutral Fund 36,364 (18,000) 18,364
Bond Fund 37,878 (12,000) 25,878
Provident Distributors, Inc. ("PDI"), provides certain administrative
services to the Institutional Class of the Funds. As compensation for such
administrative services, PDI is entitled to receive a monthly fee calculated at
the annual rate of 0.15% of the average daily net assets of each Fund's
Institutional Class Shares. PDI is currently waiving fees in excess of 0.03% of
the average daily net assets of each Fund's Institutional Class Shares.
Additionally, PDI receives a fee at an annual rate of 0.25% of the average daily
net assets of each Fund's Investor Class Shares pursuant to a distribution plan
adopted by each Fund pursuant to Rule 12b-1 under the 1940 Act.
For the six months ended February 29, 2000, administrative services fees
and waivers were as follows:
GROSS ADMINISTRATIVE NET ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
- ---- -------------------- --------- ------------------
Large Cap Fund $37,910 $(30,328) $7,582
Mid Cap Fund 117,406 (93,924) 23,482
Small Cap Fund II 1,023 (818) 205
Market Neutral Fund 690 (552) 138
Bond Fund 8,795 (7,035) 1,760
PFPC Trust Co., a wholly owned subsidiary of PFPC Worldwide Inc., an
indirect majority owned subsidiary of The PNC Financial Services Group, Inc.,
provides certain custodial services to the Funds. As compensation for such
custodial services, PNC is entitled to receive a monthly fee equal to an annual
rate of 0.015% of the Funds' average daily gross assets.
For the six months ended February 29, 2000, PFPC Trust Co. has, at its
discretion, voluntarily agreed to waive a portion of its custodial fees for the
Funds. For the six months ended February 29, 2000, custodial fees and waivers
were as follows:
GROSS CUSTODIAL NET CUSTODIAL
FUND FEES WAIVERS FEES
- ---- --------------- ------- -------------
Large Cap Fund $14,592 -- $14,592
Mid Cap Fund 21,565 -- 21,565
Small Cap Fund II 8,796 -- 8,796
Market Neutral Fund 16,089 $(100) 15,989
Bond Fund 7,855 -- 7,855
43
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. INVESTMENT IN SECURITIES
For U.S. federal income tax purposes, the costs of securities owned at
February 29, 2000, were $48,309,519, $155,586,311, $166,466, $910,424 and
$811,569,841, respectively, for the Large Cap Fund, the Mid Cap Fund, the Small
Cap Fund II, the Market Neutral Fund and the Bond Fund. Accordingly, the net
unrealized appreciation/(depreciation) of investments are as follows:
NET APPRECIATION/
FUND APPRECIATION DEPRECIATION (DEPRECIATION)
- ---- ------------ ------------ -----------------
Large Cap Fund $2,041,400 $(7,424,741) $(5,383,341)
Mid Cap Fund 6,128,451 (22,182,725) (16,054,274)
Small Cap Fund II 154,277 (182,779) (28,502)
Market Neutral Fund 233,068 (71,907) 161,161
Bond Fund 6,660 (838,172) (832,512)
For the six months ended February 29, 2000, aggregate purchases and sales
of investment securities (excluding short-term investments) were as follows:
INVESTMENT SECURITIES
-------------------------------
FUND PURCHASES SALES
- ---- ------------ ------------
Large Cap Fund $ 30,861,896 $ 36,050,687
Mid Cap Fund 164,692,646 157,005,048
Small Cap Fund II 1,354,851 1,417,691
Market Neutral Fund 1,962,155 2,281,865
Bond Fund 2,124,414 2,998,426
- ------------
* The Market Neutral Fund had purchases of $1,700,443 to cover short sales and
received proceeds of $1,289,520 from sales of short securities.
4. CAPITAL SHARE TRANSACTIONS
As of February 29, 2000, each class of each Fund has 100,000,000 shares of
$0.001 par value common stock authorized. Transactions in capital shares
for the respective periods were as follows:
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS FOR THE SIX MONTHS
ENDED ENDED
FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED
(UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999
----------------------- ------------------------- ------------------- ----------------------
INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS
----------------------- ------------------------- ------------------- ----------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
-------- ------------ ---------- ------------ ------- --------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales ............ 357,154 $ 4,229,009 2,350,373 $ 25,419,814 32,459 $ 385,448 252,467 $ 3,057,026
Repurchases ...... (951,939) (10,930,917) (2,888,244) (35,624,409) (59,330) (702,551) (701,743) (9,049,056)
Reinvestments .... 287,323 3,335,821 82,453 1,000,152 7,915 93,472 6,901 84,672
-------- ------------ ---------- ------------ ------- --------- -------- -----------
Net Increase/
(Decrease) .. (307,462) $ (3,366,087) (455,418) $ (9,204,443) (18,956) $(223,631) (442,375) $(5,907,358)
======== ============ ========== ============ ======= ========= ======== ===========
</TABLE>
44
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
MID CAP VALUE FUND
--------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS FOR THE SIX MONTHS
ENDED ENDED
FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED
(UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999
------------------------- ----------------------- ------------------- ----------------------
INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS
------------------------- ----------------------- ------------------- ----------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
-------- ------------ --------- ------------ ------- --------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales ............ 558,736 $ 5,655,342 9,955,056 $107,297,978 16,997 $ 178,494 127,161 $1,348,569
Repurchases ...... (1,415,187) (14,497,458) (1,987,489) (21,447,511) (69,361) (722,275) (78,465) (846,633)
Reinvestments .... 190,810 1,953,896 6,849 73,489 2,982 30,356 3 39
-------- ------------ --------- ------------ ------- --------- ------- ----------
Net Increase/
(Decrease) .. (665,641) $ (6,888,220) 7,974,416 $ 85,923,956 (49,382) $(513,425) 48,699 $ 501,975
======== ============ ========= ============ ======= ========= ======= ==========
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND II
------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS FOR THE SIX MONTHS
ENDED ENDED
FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED
(UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999
-------------------- ------------------- ------------------- --------------------
INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS
-------------------- ------------------- ------------------- --------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
------ ------- ------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales ............ 2,338 $20,600 4,159 $32,821 4,766 $ 40,105 18,820 $143,500
Repurchases ...... (1,184) (10,004) (20) (157) (6,496) (53,180) (1,818) (13,975)
Reinvestments .... 65 539 -- -- -- -- -- --
----- ------- ----- ------- ------ -------- ------ --------
Net Increase/
(Decrease) .. 1,219 $11,135 4,139 $32,664 (1,730) $(13,075) 17,002 $129,525
===== ======= ===== ======= ====== ======== ====== ========
</TABLE>
<TABLE>
<CAPTION>
MARKET NEUTRAL FUND
--------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE PERIOD FOR THE SIX MONTHS ENDED FOR THE PERIOD
FEBRUARY 29, 2000 NOVEMBER 17, 1998* FEBRUARY 29, 2000 NOVEMBER 17, 1998*
(UNAUDITED) THROUGH AUGUST 31, 1999 (UNAUDITED) THROUGH AUGUST 31, 1999
---------------------- ----------------------- ---------------------- -----------------------
INSTITUTIONAL CLASS INSTITUTIONAL CLASS INSTITUTIONAL CLASS INSTITUTIONAL CLASS
---------------------- ----------------------- ---------------------- -----------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
------ ------- ------ ----- ------ ----- ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales ............ 866 $ 7,000 99,500 $995,000 -- $ -- 24,477 $223,000
Repurchases ...... -- -- -- -- (5) (40) -- --
Reinvestments .... 1,786 14,358 -- -- 389 3,804 -- --
----- ------- ------ -------- --- ------ ------ --------
Net Increase/
(Decrease) .. 2,652 $21,358 99,500 $995,000 384 $3,764 24,477 $223,000
===== ======= ====== ======== === ====== ====== ========
</TABLE>
45
<PAGE>
BOSTON PARTNERS FAMILY OF FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
<TABLE>
<CAPTION>
BOND FUND
--------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED FOR THE SIX MONTHS ENDED
FEBRUARY 29, 2000 FOR THE YEAR ENDED FEBRUARY 29, 2000 FOR THE YEAR ENDED
(UNAUDITED) AUGUST 31, 1999 (UNAUDITED) AUGUST 31, 1999
----------------------- ---------------------- -------------------- -------------------
INSTITUTIONAL CLASS INSTITUTIONAL CLASS INVESTOR CLASS INVESTOR CLASS
----------------------- ---------------------- -------------------- -------------------
SHARES VALUE SHARES VALUE SHARES VALUE SHARES VALUE
-------- ----------- -------- ----------- ------ -------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Sales ............ 4,163 $39,500 278,829 $2,750,309 -- -- -- --
Repurchases ...... (169,928) (1,585,157) (639,817) (6,314,310) (3,273) $(30,335) (988) $(9,812)
Reinvestments .... 42,096 391,655 102,359 1,010,290 623 5,833 1,275 12,627
-------- ----------- -------- ----------- ------ -------- ----- -------
Net Increase/
(Decrease) .. (123,669) $(1,154,002) (258,629) $(2,553,711) (2,650) $(24,502) 287 $2,815
======== =========== ======== =========== ====== ======== ===== =======
<FN>
- -------------
* Commencement of operations
</FN>
</TABLE>
There is a 1.00% redemption fee on shares redeemed which have been held 365
days or less on the Small Cap Fund II. For the period September 1, 1999 through
February 29, 2000 these fees amounted to $49. The redemption fees are collected
and retained by the Fund for the benefit of the remaining shareholders.
On February 29, 2000 four shareholders held approximately 61% of the
outstanding shares of the Large Cap Fund Institutional Class, one shareholder
held approximately 56% of the outstanding shares of the Large Cap Investor
Class, two shareholders held approximately 61% of the outstanding shares of the
Mid Cap Fund Investor Class, three shareholders held approximately 93% of the
outstanding shares of the Bond Fund Institutional Class, one shareholder held
approximately 97% of the Bond Fund Investor Class, one shareholder held
approximately 65% of the outstanding shares of the Small Cap Fund II
Institutional Class, three shareholders held approximately 91% of the
outstanding shares of the Small Cap Fund II Investor Class, one shareholder held
approximately 99% of the outstanding shares of the Market Neutral Fund
Institutional Class and one shareholder held approximately 90% of the
outstanding shares of the Market Neutral Fund Investor Class.
5. CAPITAL LOSS CARRYOVER
At August 31, 1999, Capital loss carryovers were available to offset future
realized gains as follows: $85,089 in the Market Neutral Fund which expires in
2007 and $107,087 in the Small Cap Fund II, $32,463 which expires in 2006 and
$74,624 which expires in 2007.
46
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
<PAGE>
INVESTMENT ADVISER
Boston Partners Asset Management, L.P.
28 State Street
Boston, MA 02109
ADMINISTRATOR/TRANSFER AGENT
PFPC Inc.
400 Bellevue Parkway
Wilmington, DE 19809
DISTRIBUTOR
Provident Distributors, Inc.
3200 Horizon Dr.
King of Prussia, PA 19046
CUSTODIAN
PFPC Trust Company
8800 Tinicum Blvd.
Suite 200
Philadelphia, PA 19153
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 19103-6996
The financial information included herein is taken from the records of each Fund
without examination by independent accountants who do not express an opinion
thereon.
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 the
Funds unless it is preceded or accompanied by a current prospectus which
includes details regarding the Fund's objectives, policies and other
information. Total investment return is based on historical results and is not
intended to indicate future performance. The investment return and principal
value of an investment in the Funds will fluctuate, so that an investor's
shares, when redeemed, may be worth more or less than original cost.
