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[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Adviser's Report
October 16, 2000
Dear Fellow Shareholder:
As your Funds' adviser, Numeric Investors L.P.(R) is pleased to report the
annual results for the n/i numeric investors family of funds (the "Funds") for
the fiscal year ended August 31, 2000.
This year's annual review addresses four topics which we hope you will find both
interesting and timely:
First, we review the returns of our four funds for the most recent six months
and the full fiscal year, with special attention to the effect of the "New
Economy" bubble on the market and your fund's returns. The Funds' second half
returns were (with one exception) much better than their benchmark's returns.
Second, we identify the "other bubble" that we believe remains in the market and
creates both risk and opportunity for investors. We observe that all four of our
funds are positioned in an effort to reduce the impact of a potential deflation
of that bubble.
Third, we provide history and perspective on our Estrend(TM) model. Estrend(TM)
is one of our two principal stock selection models; the model's success is
important to our ability to add value for our clients.
Fourth, we discuss the implementation of performance fees that will occur next
year for three of our four funds. We explain why we believe in performance fees
and why we believe they are in your interest as well.
THE YEAR IN REVIEW
What a difference a day makes....
And what a greater difference six months can make!
The market of the last six months, ending August 31st, has been very different
than the market of the prior six months.
Our last semi-annual report covered the first half of our Funds' fiscal year,
from September 1, 1999 through February 29, 2000. That report began with a
discussion of New Economy versus Old Economy stocks. We observed that New
Economy stocks had been superb performers over the six-month period ended
February 2000. This was evident in the returns of two of our funds that invest
heavily in New Economy stocks. The n/i Micro Cap Fund returned +46.77% and the
n/i Growth Fund earned +60.15% over this six-month period. The market was very
narrow however, favoring stocks with high growth expectations and strong price
momentum. Old Economy stocks actually declined, as suggested by the -12.72%
return of our n/i Small Cap Value Fund over this period. In addition, our Funds
were not able to keep up with their benchmarks over the six
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months ended February 2000, because they were underexposed to the Internet and
biotech stocks that had performed so well. Within the Russell 2000 Index,
Internet stocks produced an average return of +174% while biotechs returned
+231%. Our models found these high-flying growth stocks to have neither
attractive valuations nor improving earnings expectations, so they were
underrepresented in the Funds.
In our last semi-annual report, we also opined that these New Economy stocks
(such as Internet and biotech) appeared to be overvalued as of the end of
February 2000. Whereas a few New Economy stocks might produce the brilliant
earnings growth necessary to justify their high valuations, it appeared to us
that the price level of such stocks as a group was too high, because it seemed
most companies could not possibly grow their earnings fast enough to justify
such lofty valuations. We expected Estrend(TM) to be an effective
stock-selection tool in the months ahead as the market corrected prices of those
companies with earnings disappointments.
The market environment of the second half of our fiscal year, from March 1
through August 31, 2000, provided a mirror image to that of the first half of
the year. Our two Funds with the greatest New Economy exposure (the n/i Micro
Cap and Growth Funds) were able to produce just slightly positive returns over
this second six-month period. These positive but paltry returns were
disappointing when compared to the returns of the prior six months, but were
much better than the returns of their applicable benchmarks, which were down
sharply over the most recent six months. The market turned against New Economy
stocks over the most recent six months, causing the smaller cap, growth
benchmarks to generate double-digit negative returns. Stocks in the most
prominent New Economy industry, the Internet, declined by an average of 54%
within the Russell 2000 Index. Furthermore and in contrast to the market's prior
disdain for Old Economy stocks, our best-performing Fund over the most recent
six months has been the n/i Small Cap Value Fund, which holds smaller, less
glamorous Old Economy stocks. This fund produced a six-month return of +30.54%
that was three times the positive return of its benchmark.
<TABLE>
<CAPTION>
Performance 1st half 2nd half Full Fiscal Year
8/31/99 to 2/29/00 2/29/00 to 8/31/00 a/o 8/31/00
------------------ ------------------ ----------------
<S> <C> <C> <C>
n/i Micro Cap Fund 46.77% 5.21% 54.42%
Russell 2000 Growth Index 66.04% -16.24% 39.08%
Relative -19.27% 21.45% 15.34%
n/i Growth Fund 60.15% 1.85% 63.11%
Russell 2500 Growth Index 75.38% -10.98% 56.13%
Relative -15.23% 12.83% 6.98%
n/i Mid Cap Fund 10.66% 17.12% 29.61%
S&P MidCap 400 Index 18.09% 18.34% 39.75%
Russell Midcap Index 17.77% 9.39% 28.83%
Relative to S&P MidCap 400 Index -7.43% -1.22% -10.14%
Relative to Russell Midcap Index -7.11% 7.73% 0.78%
n/i Small Cap Value Fund -12.72% 30.54% 13.94%
Russell 2000 Value Index 2.82% 10.57% 13.70%
Relative -15.54% 19.97% 0.24%
</TABLE>
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The table above shows that three of our four funds were much better than their
benchmarks over the last six months. Only our n/i Mid Cap Fund was unable to
beat the return of its benchmark. This Fund's poor relative performance during
the second half is surprising given that our three other funds performed so
well. We believe the answer to this puzzle lies in the lucky reconstitution of
the S&P MidCap 400 Index over the past several months. Standard & Poors has been
reassigning some of the best-performing, suddenly large-cap, technology stocks
from the S&P MidCap 400 Index to the S&P 500 Index because their capitalization
has become too large to be "midcap". No sooner had S&P made these changes,
however, that technology stocks began to underperform the market. As a result,
the return of the S&P MidCap 400 Index vastly overstates the return of the
average midcap stock. Over the last year, it appears to us that the return of
the average midcap stock is better represented by the Russell Midcap Index,
which is strictly based on capitalization and was not advantaged by a lucky
reconstitution. In the prior table, note how the n/i Mid Cap Fund was successful
in adding value relative to the Russell benchmark over the last six months.
The great relative success of three of our four funds during the second half of
the fiscal year was due to the powerful resurgence of our Estrend(TM) and Fair
Value models. The bubble in New Economy stocks popped in early March, as
momentum investors looking for greater fools discovered that they were the
greatest fools. The sudden resurgence of rational valuation measures made our
earnings-based quantitative stock selection models uncommonly powerful. In the
prior six months covering the first half of our fiscal year, price momentum
overwhelmed our Estrend(TM) and Fair Value models. During that period we found
that stocks went up only because they had been going up and not because they
represented good value or improving fundamentals. When the momentum-driven
market finally broke and rational measures reasserted themselves in early March,
our stock-selection process became very effective again.
AVOIDING THE OTHER BUBBLE IN THE MARKET
Whereas the New Economy bubble may have popped, we believe that another bubble
still exists in the market that has even more important implications for
investors. In our opinion, this bubble permeates the market more broadly and it
is the irrationality of institutional investors rather than the speculative
excesses of day traders that has created this bubble. It appears to us that this
second bubble is just beginning to deflate, so attempting to avoid it now can
still be helpful to future returns. All of our Funds are positioned in an effort
to reduce much of the risk of deflation of this second bubble.
In our opinion, the second bubble in the market is the extraordinary pricing
premium currently enjoyed by the largest stocks. According to the consulting
firm Russell/Mellon Analytical Services ("Russell/Mellon"), the largest fifty
stocks in the U.S. market had an average forecast price-earnings ratio of 31.8
times next year's earnings as of August 31st. That is 22% higher than the
average price-earnings ratio of the next largest 150 stocks and 47% higher than
the average price-earnings ratio of stocks ranked 201 to 500 in capitalization.
The next chart plots the average price-earnings ratio of these three
capitalization strata from December 1978 through August 2000. The chart reveals
that the current pricing premium for the largest stocks is historically
unprecedented and did not exist before 1998. Though not plotted on the chart,
the average price-earnings ratio of even smaller stocks was essentially the same
as that for stocks ranked 201 to 500 as of August 31st. Thus, today it is just
the largest 200 stocks where prices stand out as overvalued compared to the rest
of the market and the largest 50 stocks are especially expensive.
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[GRAPH]
PLOT POINTS TO COME
We believe that the current large-cap pricing premium has been caused by a wave
of indexing and index-centric ("enhanced-index") investing that has swept the
market over the past five years. This fad became especially pronounced recently
because the index had beaten most active managers for several years in a row
(until this year). This created a self-fulfilling prophecy driven by two stimuli
that continued to boost the performance of larger stocks over smaller. Neither
stimuli were related to the intrinsic merit of larger stocks, which appeared
richly priced compared to smaller throughout most of this period.
The first stimulus was the decision by both individual and institutional
investors to index more of their assets, following years of poor relative
performance by active managers. This created selling pressure in stocks not
included in the S&P 500 Index and buying pressure for the largest stocks within
the S&P 500 Index, which had to be bought to create the proper index exposure.
The second and subtler stimulus was the terrific pressure felt by active
managers to buy the largest stocks to make their portfolios more like the index.
Although their analyses usually found smaller stocks to offer better value, we
believe active managers felt great pressure to buy the largest stocks because
these stocks were outperforming and because such stocks comprise a huge share of
the benchmark. Russell/Mellon calculates that the largest 50 stocks in the S&P
500 Index comprised 61% of its capitalization as of August 31st. In our opinion,
the risk of not owning more than half of your benchmark is too great for most
active managers to bear, especially after several years of losing to the
benchmark because of the stronger performance of the largest stocks. Thus active
managers have felt terrific pressure to buy these largest stocks so as not to
risk being too different than their benchmark.
It appears that today too many institutional investors view risk as the
difference between their portfolio and the benchmark. This definition of risk
has been especially resonant recently because the market has been so narrow and
so favorable for the largest stocks. In our opinion, institutional investors
perceive risk as their career risk of being fired should they underperform their
benchmark. Thus they lose sight that the real risk to the owners of the capital
is the loss of money. Today, valuation measures suggest that the risk of loss is
much greater in the largest cap stocks. But it appears to us that institutional
investors buy these stocks because they are large and "safe", not because they
offer better return potential.
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Now there are signs that this perceived bubble in large-cap stocks is beginning
to deflate. The return of the large-cap S&P 500 Index for the year 2000 through
August 31st is just +4.0%, whereas the S&P MidCap Index has returned +22.7% and
the Russell Midcap Index has provided +13.9%. Underlying the differential in
returns of these indices has been the impact of stock price corrections of some
of America's premier companies. Some of the largest stocks in the U.S. market,
stocks that must be bought by investors who copy the index, have been hammered
this year. Consider the returns of these must-have stocks through August 31st:
Microsoft (-40%), Coca-Cola (-10%), Gillette (-27%), Verizon (-29%), Lucent
(-44%) and Walmart (-31%). These stocks should be bought for an index portfolio
because they are among the largest stocks in the U.S. market and they represent
the cream of American enterprise. Thus they appear "safe" to institutional
investors, but they have been lousy investments, because their prices were too
high.
Because there is an intrinsic validity to the long-term case for indexing and
because so many institutional investors are concerned about short-term relative
performance, we expect that it will take several years for the large-cap bubble
to deflate. As a result, we foresee several years of superior performance by
active managers who construct portfolios containing smaller stocks with more
attractive valuation ratios. We expect that only after several years of superior
performance by active managers will many investors allocate more of their assets
to active management and the large-cap bubble will be fully deflated.
We perceive that there are some terrific implications of this forecast over the
next several years and they all suggest that, in our opinion, an investor should
increase his exposure to smaller stocks. If the large-cap bubble were to deflate
by the largest 200 stocks dropping to the price-earnings ratio of the next
largest 300 stocks, then the S&P 500 Index as a whole would decline by 24%
relative to the average midcap stock. This is because the largest 200 stocks
comprise 86% capitalization of the S&P 500 Index. If the bubble were to contract
by the midcap stocks (capitalization rankings 201 - 1000 according to
Russell/Mellon) climbing to the average price-earnings multiple of the largest
50 stocks, then these 800 midcap stocks would outperform the S&P 500 Index by
about 37%. Even the second-tier, larger 150 stocks (those just below the largest
50) would outperform the S&P 500 Index by 10% if their price to earnings ratio
climbed to that of the largest 50. If there is a large-cap pricing bubble, as we
believe, and it deflates, as we expect, active managers could produce terrific
performance relative to the S&P 500 Index over the next several years.
We are optimistic that all four of our Funds could enjoy a substantial return
advantage relative to the S&P 500 Index if this bubble deflates, as we expect.
(Of course, there is no guarantee that we will be right in our forecast.) If one
accepts our premise, our funds could fare better because they have almost no
exposure to these most expensive, largest 50 stocks.
THE CONTINUING POWER OF EARNINGS ESTIMATE REVISIONS
I founded Numeric Investors in 1989 based upon my experience and knowledge of
stock selection techniques utilizing estimate revisions, going back to 1981. In
the mid-1980's, this was a novel technique even to sophisticated institutional
investors; only a few "quants" understood the potential of this analysis. Even
in 1990, when I presented a paper describing the technique to the Institute for
Quantitative Research in Finance, most quants were unaware of the importance of
measuring changes in expectations.
Use of estimate revisions (the Estrend(TM) model) attempts to capture trends in
earnings estimate revisions. The model exploits the fact that both estimates and
returns tend to under-react to news in the medium term. By forecasting the
stocks most likely to continue an earnings trend, we also forecast those that
will likely experience excess returns. The Estrend(TM) model is the primary
driver in the n/i Micro Cap and Growth Funds, receives approximately equal
weight in the n/i Mid Cap Fund and minimal weight in the n/i Small Cap Value
Fund.
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Today the technique is understood by most quantitative investors and applied by
many. Several data services collect earnings estimates from all of the brokerage
houses, measure their changes, and publish rankings of stocks with changing
estimates. The Wall Street Journal and other sources report yesterday's
"earnings surprises", between the forecast and actual quarterly earnings
announcements of companies that reported yesterday.
Market efficiency would suggest that the technique of estimate revisions should
no longer be effective with so many people pursuing it. Indeed the market's
reaction to new earnings information has shifted, so our Estrend(TM) model that
measures and exploits revisions has had to adapt. But we believe the technique
continues to be a powerful source of excess returns. And our recent work
developing new investment strategies for the European and Japanese markets (alas
just for institutional investors thus far) we believe has confirmed that
earnings revisions techniques are powerful in non-U.S. markets as well. In the
following paragraphs, we discuss how these techniques work and how we have
adapted the Estrend(TM) model to preserve its power in a market that is becoming
ever more efficient, especially as it relates to estimate revisions.
WHY DOES ESTREND(TM) WORK?
Estrend(TM) (our name for our earnings estimate revisions model) works because,
we believe in the long term, the value of a stock is determined by its forecast
earnings power, in the future. Said differently, prices are set by forecast
earnings. One company with ten times the forecast earnings per share of another
company should have a share price ten times greater, other things being equal.
Let's agree that other things are never equal but focus our discussion instead
on the impact of changing expectations. If two companies today are forecast to
have earnings of X and 2X, but through time the market discovers that the two
companies will produce earnings of X and 4X, then the price of the second
company, with 4X actual earnings, should double relative to its earlier price.
The company whose earnings remain X should remain constant. Again, we
acknowledge that the market is a noisy place and prices don't remain constant,
but the company whose earnings expectation have doubled should perform better
than the company whose earnings expectations have held constant. Indeed academic
research going back thirty years shows that differences in long-term stock
returns are determined more by differences in realized long-term earnings growth
than any other measure. Forget about New Economy and Old Economy. Just follow
the money!
The problem in following the money is that it requires an accurate forecast of
which companies will grow their earnings and which will not. And it's very
difficult to forecast the economy, the market, or a company's earnings with
certainty, accuracy and consistency. Security analysts are smart, dedicated, and
very well paid, but they are wrong all too often. One would need an army of
analysts to make accurate earnings forecasts covering a broad universe of
stocks, and the larger the army the greater the probability that some of your
analysts' forecasts would be inaccurate.
Instead of trying to forecast the earnings by diligently analyzing each company,
Numeric and many other quant shops utilize the earnings estimates prepared by
brokerage-house analysts. The precise accuracy of these forecasts is not
important because the Estrend(TM) model measures how the forecast has changed.
Our model identifies stocks that have recently experienced stronger earnings
revisions than other stocks within a sector or industry, in the belief that
stronger revisions are likely to continue for awhile.
The second reason that Estrend(TM) works is that earnings revisions form trends.
First, the economy shifts gradually and the fortunes of companies tend to evolve
slowly and with uncertainty. Analysts attempting to forecast a company's
earnings are watching both the company's market (which is influenced by the
economy) and the competitive position of the company's products within its
market. Then they must determine how these outside influences wash through the
company's income statement. In our experience, estimates tend to be changed
gradually, and more than once in the same direction, because the future emerges
gradually and because the linkages between a company's market and its profits
have many moving parts.
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In our opinion, the second reason estimate revisions form trends has to do with
human nature and the unique situation of security analysts. Analysts make
several, repetitive revisions in the same direction because it is human nature
to forecast the future as only a little different than today. If the average
person were asked to forecast the level of the Dow, the yen, inflation, or even
the weather, their thought process is to reference the current level and change
it somewhat depending on their view of trends. Thus, in our opinion, forecasts
tend not to incorporate sufficient change from the current levels, when compared
to the realized number. The unique situation of security analysts exacerbates
this all-too-human tendency to be conservative when making forecasts of change.
Because a security analysts' reputation is paramount for their career success,
they never want to be conspicuously wrong. Thus they never want to overestimate
a change and need to recant, nor do they want to stand out too far from their
peers. So it appears to us that they have an even greater-than-normal tendency
to be conservative in their revisions and to make frequent adjustments to their
estimates to gradually change their forecasts.
The tendency of estimates to be revised in small increments, in the same
direction, gives Estrend(TM) its ability to add value. Given our assessment that
prices move with revised earnings expectations and that estimates are revised in
trends, we believe it is possible to identify revisions trends early, invest
with the trends, and profit from the trends as they continue. In its early
configuration, the Estrend(TM) model measured changes in the average estimate,
changes in the highest and lowest estimates, and calculated a diffusion index
equal to the net percentage of estimates that were revised up versus down.
Summary data was collected on a company-wide level and was refreshed weekly.
Earnings surprises were analyzed to see if they would forecast how analysts'
estimates would be revised subsequently.
PROFITING FROM ESTIMATE REVISIONS IN AN INFORMATIONALLY MORE EFFICIENT MARKET
Given that the estimate revisions phenomenon is well understood by many
practitioners and many investment managers have their own estimate revisions
models, the techniques to profit from this inefficiency have necessarily become
faster, more refined, and more subtle. Today, Numeric separately downloads each
individual analyst's estimate, for every stock that we follow, every night.
During the trading day when revised estimates are published, we capture the
analyst's estimate intraday. By tracking individual estimates, we know which
estimates are most recent (and therefore usually more influential and made with
the advantage of the freshest information). We can take averages of these more
recent estimates to calculate a better-informed consensus forecast and to
cluster estimates around news events, to see who is responding and who is not.
And we believe we can respond more profitably to earnings surprise.
As recently as a few years ago, researchers believed that responding as soon as
possible to an earnings surprise could generate excess returns. Today many
investors are conscious of earnings surprises and respond to them immediately.
It appears to us that this causes an abrupt price response as everyone wants to
buy or sell. Our analysis of market response to surprises over the past seven
years suggests that this immediate price reaction often overshoots and then
falls back over the following month. It has been our experience that most of the
response to surprise occurs before the announcement, when investors using
earnings revisions anticipate the next surprise by investing with the most
recent revisions. Today we believe that the best way to use earnings surprise is
as a conditioning event, that is a signal that tells us to ignore analysts'
revisions before the event and incorporate only those following the event. We
have found that a good way to profit from earnings revisions is to trade ten
days after the earnings surprise, when analysts have all adjusted their
forecasts in light of the surprise and the stock's price has corrected any
overshoot from the announcement itself. It appears that most of the profit from
an estimate revisions signal occurs in the weeks leading up to the next
surprise, as investors position themselves to profit from the next post-surprise
run-up.
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By analyzing much more data much more rapidly, we believe Numeric has been able
to maintain its ability to add value with the estimate-revisions phenomenon. In
addition, we have adjusted our reaction to reflect the presence of other
investors trying to profit from the same inefficiency. Recall Maynard Keynes'
metaphor for the stock market, in which newspaper readers tried to guess which
beautiful girl the other readers would judge to be most beautiful. Absolute
beauty was less important than others' perception of beauty, and so it is with
stocks, said Lord Keynes. In our opinion, today's informed response to earnings
revisions requires that the investor respond not just to the surprise and the
earnings revisions, but also to the other investors who are themselves trying to
profit from the same stimuli.
Will the estimate revisions inefficiency permit us to continue to generate
excess returns with Estrend(TM)? Our answer is a guarded yes, at least for the
foreseeable future, provided that we can continue to innovate in our analysis
and implementation. We believe earnings will always set price (or the capital
markets will fail in their purpose) and earnings will always be difficult to
forecast. Thus forecasts will continue to change and prices will follow
earnings. The challenge to the continued use of this estimates revisions
inefficiency stems from its discovery and overuse by other investors. Provided
that we continue to correctly adjust our response to anticipate the response of
others, and restrict the amount of assets we manage to preserve our ability to
adjust positions rapidly, we are optimistic that Estrend(TM) can continue to
enhance returns.
THE COMING TRANSITION TO PERFORMANCE FEES AND WHAT IT MEANS TO YOU
Beginning January 1, 2001, three of our four mutual funds will be charged an
investment advisory fee that will vary depending on the investment success of
each mutual fund over the prior twelve months. You may recall that this change
from "Fixed Fees" to "Performance Fees" was approved by shareholders in 1999, to
take effect starting next year. Shareholders of three of the four funds approved
this change. The n/i Micro Cap Fund remains on a fixed investment advisory fee
because shareholders in this fund declined to vote in favor of the change.
We are writing about this topic again to clarify how this change will work and
(hopefully) to make you enthusiastic about this change. Performance fees are an
arcane topic. The range of possible outcomes resulting from the performance fee
structure is dwarfed by the volatility of the market and fluctuations in the
value added that we hope will be provided by our quantitative investment
process. Thus, we do not believe performance fees directly impact the success of
your investment in a large way.
Indirectly however, performance fees are an important component of your success
as an investor because they change the relationship between you and Numeric,
your Funds' investment adviser. Performance fees change how Numeric is paid and
therefore they influence how Numeric manages the Funds' investments. We believe
that performance fees are in the investor's interests because Numeric earns more
for generating higher investment returns rather than just for growing the assets
under its management. Numeric firmly believes that size is the enemy of the
investor because greater transaction costs are borne when portfolio size
increases. Numeric is committed to keeping the assets under management in our
strategies at small, manageable levels.
We thank you for your continued support and look forward to working with you in
the future.
Sincerely,
/s/ Langdon B. Wheeler
Langdon B. Wheeler, CFA
President
Numeric Investors L.P.(R)
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[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Micro Cap Fund(1)(2) vs. Russell 2000 Growth Index
[GRAPH]
Micro Cap Fund Russell 2000 Growth Index
6/3/96 10,000 10,000
8/31/96 9,725 8,816
11/30/96 11,392 9,117
2/28/97 11,426 8,952
5/31/97 12,194 9,459
8/31/97 15,405 10,589
11/30/97 15,547 10,491
2/28/98 16,354 11,272
5/31/98 16,189 10,958
8/31/98 12,210 7,804
11/30/98 16,225 9,745
2/28/99 16,109 10,089
5/31/99 17,559 11,373
8/31/99 19,058 11,168
11/30/99 20,975 12,909
2/29/00 27,971 18,544
5/31/00 24,620 13,612
8/31/00 29,429 15,532
Micro Cap Fund $ 29,429
Russell 2000 Growth Index $ 15,532
Total Returns
One Year Ended Average
August 31, 2000 Annual(3)
Micro Cap Fund 54.42% 28.92%
Russell 2000 Growth Index 39.08% 10.93%
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses. Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements. Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2000.
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[LOGO OF NUMERIC INVESTORS]
Growth Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Growth Fund(1)(2) vs. Russell 2500 Growth Index
[GRAPH]
Growth Fund Russell 2500 Growth Index
6/3/96 10,000 10,000
8/31/96 9,867 9,144
11/30/96 10,925 9,673
2/28/97 10,575 9,572
5/31/97 11,384 10,060
8/31/97 13,585 11,327
11/30/97 13,402 11,196
2/28/98 13,754 11,954
5/31/98 13,112 11,707
8/31/98 9,641 8,434
11/30/98 11,931 10,490
2/28/99 12,040 10,873
5/31/99 13,385 12,414
8/31/99 14,731 12,739
11/30/99 16,999 15,044
2/29/00 23,591 22,342
5/31/00 20,133 16,929
8/31/00 24,027 19,890
Growth Fund $ 24,027
Russell 2500 Growth Index $ 19,890
Total Returns
One Year Ended Average
August 31, 2000 Annual(3)
Growth Fund 63.11% 22.91%
Russell 2500 Growth Index 56.13% 17.58%
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses. Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements. Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2000.
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[LOGO OF NUMERIC INVESTORS]
Mid Cap Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Mid Cap Fund(1)(2) vs. S&P MidCap 400 Index
[GRAPH]
Mid Cap Fund S&P MidCap 400 Index
6/3/96 10,000 10,000
8/31/96 9,633 9,713
11/30/96 11,158 10,738
2/28/97 11,334 11,062
5/31/97 12,397 11,815
8/31/97 14,364 13,333
11/30/97 14,732 13,688
2/28/98 16,232 15,104
5/31/98 16,685 15,350
8/31/98 13,076 12,084
11/30/98 15,492 15,109
2/28/99 16,128 15,421
5/31/99 18,003 17,177
8/31/99 18,518 17,105
11/30/99 19,355 18,336
2/29/00 20,492 20,199
5/31/00 21,665 20,862
8/31/00 24,000 23,903
Mid Cap Fund $ 24,000
S&P MidCap 400 Index $ 23,903
Total Returns
One Year Ended Average
August 31, 2000 Annual(3)
--------------- ---------
Mid Cap Fund 29.61% 22.88%
S&P MidCap 400 Index 39.75% 22.78%
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses. Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements. Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period June 3, 1996 (commencement of operations) through August 31,
2000.
11
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Comparison of Change in Value of $10,000 Investment in
n/i numeric investors Small Cap Value Fund(1)(2) vs. Russell 2000 Value Index
[GRAPH]
Small Cap Value Fund Russell 2000 Value Index
11/30/98 10,000 10,000
12/31/98 10,308 10,314
1/31/99 10,000 10,080
2/28/99 9,383 9,391
3/31/99 9,250 9,384
4/30/99 10,383 10,240
5/31/99 10,867 10,555
6/30/99 11,292 10,937
7/31/99 11,242 10,678
8/31/99 10,717 10,287
9/30/99 10,192 10,082
10/31/99 10,139 9,880
11/30/99 10,044 9,931
12/31/99 10,243 10,236
1/31/00 9,515 9,968
2/29/00 9,354 10,577
3/31/00 10,451 10,627
4/30/00 10,640 10,690
5/31/00 10,773 10,526
6/30/00 10,811 10,833
7/31/00 11,293 11,194
8/31/00 12,210 12,217
Small Cap Value Fund $ 12,210
Russell 2000 Value Index $ 12,217
Total Returns
One Year Ended Average
August 31, 2000 Annual(3)
--------------- ---------
Small Cap Value Fund 13.94% 12.04%
Russell 2000 Value Index 13.70% 12.08%
----------
(1) The chart assumes a hypothetical $10,000 initial investment in the Fund and
reflects Fund expenses. Investors should note that the Fund is an
aggressively managed mutual fund while the index is unmanaged, does not
incur expenses and is not available for investment.
(2) Numeric Investors L.P.(R) waived a portion of its advisory fee and agreed
to reimburse a portion of the Fund's operating expenses, as necessary, to
maintain the expense limitation as set forth in the notes to the financial
statements. Total returns shown include fee waivers and expense
reimbursements, if any; total returns would have been lower had there been
no assumption of fees and expenses in excess of expense limitations.
(3) For the period November 30, 1998 (commencement of operations) through
August 31, 2000.
12
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Common Stocks--99.2%
Advertising--0.8%
15,500 ADVO, Inc.*.......................................... $ 634,531
16,400 Penton Media, Inc.................................... 513,525
------------
1,148,056
------------
Aerospace--0.6%
28,550 REMEC, Inc.*/**...................................... 813,675
------------
Amusement & Recreational Services--0.4%
21,600 Polaris Industries Inc............................... 737,100
------------
Automobile Parts & Equipment--0.8%
24,400 American Axle & Manufacturing Holdings,
Inc.*.............................................. 350,750
72,100 Sonic Automotive, Inc.*.............................. 761,556
------------
1,112,306
------------
Automobile Rentals--1.2%
46,500 Dollar Thrifty Automotive Group, Inc.*............... 1,052,062
16,500 Rent-A-Center, Inc.*/**.............................. 543,469
------------
1,595,531
------------
Banks--2.0%
35,300 East West Bancorp, Inc.**............................ 602,306
30,600 GBC Bancorp.......................................... 1,158,975
40,700 Hamilton Bancorp, Inc.*.............................. 605,412
12,600 Southwest Bancorporation of Texas,
Inc.*/**........................................... 366,187
------------
2,732,880
------------
Beverages--0.6%
15,000 Canandaigua Brands, Inc., Class A*................... 808,125
------------
Biotech--4.0%
6,600 Aurora Biosciences Corp.*............................ 451,275
4,600 Aviron*/**........................................... 207,000
14,700 Corixa Corp.*........................................ 752,456
9,500 CuraGen Corp.*/**.................................... 421,563
2,900 CV Therapeutics, Inc.*/**............................ 217,500
3,200 Digene Corp*......................................... 127,400
9,600 Diversa Corp.*/**.................................... 273,600
3,800 Enzo Biochem, Inc.*.................................. 228,000
11,300 Enzon, Inc.*......................................... 687,888
4,200 Inhale Therapeutic Systems, Inc.*/**................. 212,100
2,400 Invitrogen Corp.*/**................................. 151,500
16,700 Ligand Pharmaceuticals, Inc., Class B*............... 217,100
2,300 Myriad Genetics, Inc.*............................... 321,713
5,000 Neose Technologies, Inc.*............................ 205,000
3,200 Neurocrine Biosciences, Inc.*/**..................... 132,400
Biotech--(continued)
9,400 Pharmacopeia, Inc.*.................................. $ 394,213
19,400 Texas Biotechnology Corp.*........................... 341,925
------------
5,342,633
------------
Building Supplies--1.0%
47,200 Hughes Supply, Inc................................... 1,005,360
12,500 Trex Co., Inc.*/**................................... 387,500
------------
1,392,860
------------
Business Services--2.3%
22,000 Cognizant Technology Solutions Corp.*/**............. 940,500
3,500 Forrester Research, Inc.*............................ 213,937
24,700 F.Y.I., Inc.*........................................ 963,300
39,500 InterCept Group, Inc. (The)*......................... 918,375
------------
3,036,112
------------
Chemicals - Diversified--0.1%
2,500 Cabot Microelectronics Corp.*........................ 145,937
------------
Chemicals - Specialty--0.3%
9,300 TETRA Technologies, Inc.*............................ 126,713
38,200 W.R. Grace & Co.*.................................... 303,212
------------
429,925
------------
Commercial Services--1.2%
37,700 Actrade Financial Technologies, Ltd.*/**............. 1,295,937
2,500 Plexus Corp.*........................................ 386,875
------------
1,682,812
------------
Computer Components--0.1%
7,400 T/R Systems, Inc.*................................... 122,100
------------
Computer Data Security--0.5%
16,800 Rainbow Technologies, Inc.*.......................... 665,700
------------
Computer Networking Products--2.5%
65,900 Computer Network Technology Corp.*................... 1,318,000
22,700 JNI Corp.*/**........................................ 1,523,737
21,200 OTG Software, Inc.*/**............................... 474,350
------------
3,316,087
------------
Computer Services--1.9%
17,500 FactSet Research Systems Inc......................... 598,281
6,800 Pomeroy Computer Resources, Inc.*.................... 158,100
32,000 Tanning Technology Corp.*............................ 522,000
63,100 Zomax Inc.*/**....................................... 1,226,506
------------
2,504,887
------------
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Computer Software--7.5%
10,800 Apropos Technology, Inc.*............................ $ 137,700
13,500 Aspen Technology, Inc.*.............................. 620,156
14,200 BARRA, Inc.*......................................... 818,275
29,100 Broadbase Software, Inc.*............................ 609,281
34,900 Caminus Corp.*....................................... 588,937
31,500 Dendrite International, Inc.*........................ 836,719
12,900 Documentum, Inc.*/**................................. 923,156
7,700 DSET Corp.*.......................................... 208,381
12,800 Embarcadero Technologies, Inc*....................... 537,600
17,400 MapInfo Corp.*....................................... 722,100
28,400 McAfee.com Corp.*.................................... 747,275
4,200 NetIQ Corp.*......................................... 237,300
17,400 NetScout Systems, Inc.*.............................. 255,562
6,700 ONYX Software Corp.*................................. 152,006
36,700 Quintus Corp.*/**.................................... 479,394
13,900 Radiant Systems, Inc.*............................... 238,038
19,600 SERENA Software, Inc.*............................... 862,400
9,000 SilverStream Software, Inc.*......................... 312,750
17,900 Verity, Inc.*........................................ 818,925
------------
10,105,955
------------
Consumer Products--0.7%
23,800 Salton, Inc.*/**..................................... 895,475
------------
Electrical Equipment--0.9%
103,500 General Cable Corp................................... 866,813
11,400 SatCon Technology Corp.*............................. 394,725
------------
1,261,538
------------
Electronic Components & Accessories--7.1%
21,800 Advanced Energy Industries, Inc.*/**................. 1,245,325
3,200 Asyst Technologies, Inc.*............................ 83,800
12,300 C&D Technologies, Inc................................ 679,575
17,200 DSP Group, Inc.*..................................... 795,500
19,300 Electro Scientific Industries, Inc.*................. 794,919
3,400 Exar Corp.*.......................................... 410,125
49,900 General Semiconductor, Inc.*/**...................... 726,669
18,000 Helix Technology Corp................................ 681,750
4,200 inSilicon Corp.*..................................... 85,575
22,100 Integrated Measurement Systems, Inc.*................ 395,037
5,000 Jaco Electronics, Inc.*.............................. 91,328
22,200 Merix Corp.*......................................... 1,076,700
23,100 Park Electrochemical Corp............................ 928,331
9,000 Technitrol, Inc...................................... 1,147,500
25,600 TelCom Semiconductor, Inc.*.......................... 446,400
------------
9,588,534
------------
Electronics--0.5%
6,600 Applied Films Corp.*................................. $ 229,350
21,300 Audiovox Corp.*...................................... 386,062
------------
615,412
------------
Electronics - Instruments--2.5%
5,100 BEI Technologies, Inc................................ 291,656
31,600 FEI Co.*/**.......................................... 951,950
20,100 Measurement Specialties, Inc.*....................... 782,644
9,500 Photon Dynamics, Inc.*............................... 445,906
23,000 Trimble Navigation Ltd.*............................. 955,937
------------
3,428,093
------------
Environmental Services--1.2%
31,000 Tetra Tech, Inc.*/**................................. 840,875
35,300 Waste Connections, Inc.*............................. 820,725
------------
1,661,600
------------
Financial Services--2.8%
55,700 Doral Financial Corp................................. 828,537
8,000 Gabelli Asset Management Inc.*....................... 241,000
35,000 Heller Financial, Inc................................ 870,625
28,100 LaBranche & Co. Inc.*/**............................. 846,512
26,750 Metris Companies Inc................................. 961,328
------------
3,748,002
------------
Food & Agriculture--0.9%
31,500 Performance Food Group Co.*.......................... 1,169,438
------------
Generic Pharmaceuticals & Distribution--1.3%
14,300 Alpharma Inc., Class A**............................. 809,738
34,900 Bindley Western Industries, Inc.**................... 1,005,556
------------
1,815,294
------------
Health Care--1.4%
41,100 Advance Paradigm, Inc.*/**........................... 1,094,288
22,300 Orthodontic Centers of America, Inc.*/**............. 730,325
------------
1,824,613
------------
Hospitals--1.3%
19,200 LifePoint Hospitals, Inc.*........................... 578,400
30,400 RehabCare Group, Inc.*/**............................ 1,136,200
------------
1,714,600
------------
Internet Content--0.5%
12,800 Lante Corp.*......................................... 120,000
18,800 LookSmart, Ltd.*/**.................................. 314,900
27,000 Rare Medium Group, Inc.*............................. 270,000
------------
704,900
------------
The accompanying notes are an integral part of the financial statements.
14
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Internet Software--3.8%
23,400 AGENCY.COM Inc.*..................................... $ 560,137
4,200 Allaire Corp.*....................................... 142,537
4,100 AppNet, Inc.*........................................ 202,694
59,600 Centra Software, Inc.*/**............................ 547,575
25,600 Clarus Corp.*........................................ 1,548,800
9,200 Extensity, Inc.*..................................... 207,000
2,000 FirePond, Inc.*...................................... 41,750
6,400 Interwoven, Inc.*.................................... 614,400
3,200 IntraNet Solutions, Inc.*............................ 145,000
11,400 Keynote Systems, Inc.*............................... 344,850
15,100 WatchGuard Technologies, Inc.*....................... 741,787
------------
5,096,530
------------
Laboratory Analytical Instruments--1.7%
27,950 CyberOptics Corp.*................................... 810,550
25,000 Nanometrics Inc.*/**................................. 1,243,750
5,800 Varian Inc.*......................................... 282,750
------------
2,337,050
------------
Leisure & Entertainment--0.8%
6,200 Hotel Reservations Network, Inc.,
Class A*........................................... 218,163
50,900 Topps Co., Inc. (The)*............................... 400,838
24,700 WMS Industries, Inc.*................................ 395,200
------------
1,014,201
------------
Medical Instruments & Supplies--5.9%
41,300 ADAC Laboratories*................................... 924,088
8,000 ArthroCare Corp.*.................................... 356,000
23,300 Biosite Diagnostics, Inc.*/**........................ 1,620,806
22,100 Candela Corp.*/**.................................... 290,063
10,500 Edwards Lifesciences Corp.*.......................... 275,625
53,100 Endocare, Inc.*...................................... 932,569
38,000 ICU Medical, Inc.*................................... 890,625
6,800 INAMED Corp.*/**..................................... 222,275
35,100 Inverness Medical Technology, Inc.*/**............... 647,156
23,100 PolyMedica Corp.*/**................................. 820,050
20,400 SurModics, Inc.*..................................... 928,200
------------
7,907,457
------------
Multimedia/Publishing--0.3%
12,600 Martha Stewart Living Omnimedia, Inc.,
Class A*/**........................................ 425,250
------------
Office & Business Equipment--0.2%
8,200 United Stationers Inc.*/**........................... 265,988
------------
Oil & Gas Field Exploration--0.7%
11,000 Basin Exploration, Inc.*/**.......................... 220,000
10,800 Offshore Logistics, Inc.*............................ 187,650
18,400 Pennaco Energy, Inc.*................................ 289,800
8,200 Spinnaker Exploration Co.*........................... 298,275
------------
995,725
------------
Oil Equipment & Services--2.0%
45,300 Horizon Offshore, Inc.*.............................. 843,712
14,100 Lone Star Technologies, Inc.*........................ 708,525
27,200 Patterson Energy, Inc.*.............................. 853,400
12,500 Superior Energy Services, Inc.*...................... 137,500
7,600 Vintage Petroleum, Inc............................... 159,600
------------
2,702,737
------------
Optical Instruments & Lenses--1.1%
37,200 1-800 CONTACTS, INC.*/**............................. 1,494,975
------------
Pharmaceuticals--2.9%
29,200 Albany Molecular Research, Inc.*/**.................. 1,043,900
6,900 Dura Pharmaceuticals, Inc.*.......................... 190,181
18,100 GelTex Pharmaceuticals, Inc.*........................ 733,333
21,200 Noven Pharmaceuticals, Inc.*......................... 890,400
27,400 Syncor International Corp.*.......................... 1,096,000
------------
3,953,814
------------
Publishing--0.4%
17,600 Information Holdings Inc.*........................... 565,400
------------
Recreational--0.3%
11,500 SCP Pool Corp.*...................................... 337,094
------------
Residential Construction--0.9%
24,100 M.D.C. Holdings, Inc................................. 604,006
40,400 Standard Pacific Corp................................ 664,075
------------
1,268,081
------------
Restaurants--0.5%
15,400 Panera Bread Co., Class A*........................... 246,400
14,100 RARE Hospitality International, Inc.*................ 396,563
------------
642,963
------------
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Retail - Catalog & Mail Order Houses--0.8%
8,800 Coldwater Creek Inc.*................................ $ 281,600
38,100 Sharper Image Corp.*................................. 762,000
------------
1,043,600
------------
Retail - Computer Equipment--0.9%
18,475 PC Connection, Inc.*/**.............................. 1,196,256
------------
Retail - Family Clothing Stores--0.6%
22,100 Factory 2-U Stores Inc.*/**.......................... 763,831
------------
Retail - Specialty--1.7%
59,800 Haverty Furniture Co., Inc........................... 691,438
30,800 Hot Topic, Inc.*/**.................................. 872,025
8,500 Michaels Stores, Inc.*/**............................ 297,500
14,700 Musicland Stores Corp.*.............................. 104,738
7,400 Tweeter Home Entertainment Group,
Inc.*/**........................................... 265,938
------------
2,231,639
------------
Retail - Specialty Apparel--3.9%
37,000 Chico's FAS, Inc.*/**................................ 1,443,000
24,100 Children's Place Retail Stores,
Inc. (The)*/**..................................... 710,950
40,100 Christopher & Banks Corp.*/**........................ 1,423,550
13,700 Gadzooks, Inc.*...................................... 205,500
13,600 Guess, Inc........................................... 308,550
54,300 Wilsons, The Leather Experts, Inc.*.................. 1,106,363
------------
5,197,913
------------
Savings & Loan Associations--0.3%
11,400 Downey Financial Corp................................ 381,900
------------
Schools--1.9%
32,000 Career Education Corp.*.............................. 1,278,000
24,000 Corinthian Colleges, Inc.*........................... 1,296,000
------------
2,574,000
------------
Semiconductors--4.4%
5,800 Elantec Semiconductor, Inc*.......................... 513,300
59,300 ESS Technology, Inc.*................................ 1,026,631
36,200 Integrated Silicon Solution, Inc.*................... 1,063,375
15,900 Kulicke and Soffa Industries, Inc.*.................. 289,181
38,300 Mattson Technology, Inc.*/**......................... 837,813
26,500 Robotic Vision Systems, Inc.*........................ 336,219
3,000 Rudolph Technologies, Inc.*/**....................... 120,000
24,400 SIPEX Corp.*......................................... 1,050,725
11,400 Varian Semiconductor Equipment
Associates, Inc.*.................................. 651,225
------------
5,888,469
------------
Services - Employment Agencies--2.3%
7,700 Administaff, Inc.*/**................................ 627,550
27,500 Hall, Kinion & Associates, Inc.*/**.................. 907,500
14,900 Heidrick & Struggles International, Inc.*/**......... 866,063
33,400 HotJobs.com, Ltd.*................................... 636,688
------------
3,037,801
------------
Services - Health Care Management--1.0%
26,600 Professional Detailing, Inc.*/**..................... 1,280,125
------------
Telecommunications--1.7%
68,500 Boston Communications Group, Inc.*................... 984,688
13,000 Brooktrout Inc.*..................................... 442,000
10,100 Lightbridge, Inc.*................................... 176,750
26,800 RMH Teleservices, Inc.*/**........................... 643,200
------------
2,246,638
------------
Telecommunications Equipment--6.5%
7,950 Anaren Microwave, Inc.*.............................. 938,597
18,200 Carrier Access Corp.*/**............................. 871,325
58,800 Catapult Communications Corp.*....................... 1,058,400
60,400 Comtech Telecommunications Corp.*.................... 1,072,100
42,000 Corsair Communications, Inc.*........................ 462,000
39,500 EMS Technologies, Inc.*.............................. 678,906
17,100 Metro One Telecommunications, Inc.*.................. 230,850
13,200 Plantronics, Inc.*................................... 659,175
66,700 Somera Communications, Inc.*......................... 887,944
7,800 Tollgrade Communications, Inc.*...................... 867,263
2,400 Tut Systems, Inc.*................................... 241,500
48,600 Westell Technologies, Inc., Class A*/**.............. 777,600
------------
8,745,660
------------
Tobacco--0.3%
14,200 Universal Corp....................................... 367,425
------------
Toys--0.6%
42,700 JAKKS Pacific, Inc.*................................. 757,925
------------
Transportation--0.5%
41,500 American Freightways Corp.*.......................... 682,156
------------
Utilities--0.1%
14,000 El Paso Electric Co.*................................ 188,125
------------
Wholesale - Drug Distribution--1.3%
26,200 AmeriSource Health Corp., Class A*................... 910,450
15,000 Priority Healthcare Corp., Class B*.................. 866,250
------------
1,776,700
------------
Total Common Stocks
(Cost $109,943,600)................................ 133,487,608
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Portfolio of Investments (concluded)
August 31, 2000
--------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000's) (NOTE 1)
--------------------------------------------------------------------------------
Repurchase Agreement--0.1%
$ 50 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/00 to be
repurchased at $50,236)
6.62%, 09/01/00
(Cost $50,227) (Note 6)............................ $ 50,227
------------
Total Investments -- 99.3%
(Cost $109,993,827)................................ 133,537,835
------------
Other Assets in Excess of
Liabilities -- 0.7%................................ 995,224
------------
Net Assets -- 100.0%................................. $134,533,059
============
----------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Common Stocks--97.9%
Advertising--0.6%
7,800 ADVO, Inc.* .................................... $ 319,312
5,200 Penton Media, Inc. ............................. 162,825
----------
482,137
----------
Aerospace--0.8%
3,800 L-3 Communications Corp.* ...................... 224,675
14,500 REMEC, Inc.*/** ................................ 413,250
----------
637,925
----------
Amusement & Recreational Services--0.5%
12,200 Polaris Industries Inc. ........................ 416,325
----------
Automobile Rentals--0.7%
25,000 Dollar Thrifty Automotive Group, Inc.* ......... 565,625
----------
Beverages--0.8%
2,000 Canandaigua Brands, Inc., Class A* ............. 107,750
17,200 Pepsi Bottling Group, Inc. (The) ............... 546,100
----------
653,850
----------
Biotech--4.9%
3,800 Affymetrix, Inc.*/** ........................... 300,200
3,800 Alkermes, Inc.*/** ............................. 175,750
3,000 Aurora Biosciences Corp.* ...................... 205,125
4,100 Celgene Corp.* ................................. 303,400
3,600 Cephalon, Inc.*/** ............................. 181,125
3,600 COR Therapeutics, Inc.*/** ..................... 202,500
2,000 Corixa Corp.* .................................. 102,375
1,500 CuraGen Corp.*/** .............................. 66,562
5,700 Diversa Corp.*/** .............................. 162,450
1,100 Enzo Biochem, Inc.* ............................ 66,000
3,700 Enzon, Inc.* ................................... 225,237
400 Gilead Sciences, Inc.* ......................... 43,200
5,400 Icos Corp*/** .................................. 316,912
2,900 IMClone Systems* ............................... 279,488
2,900 Incyte Pharmaceuticals, Inc.* .................. 240,519
600 Invitrogen Corp.*/** ........................... 37,875
700 Myriad Genetics, Inc.* ......................... 97,913
3,600 PE Corp.- Celera Genomics Group* ............... 390,375
3,700 Pharmacopeia, Inc.* ............................ 155,169
3,400 Protein Design Labs, Inc. ...................... 258,400
3,700 Texas Biotechnology Corp.* ..................... 65,213
----------
3,875,788
----------
Building Supplies--0.8%
20,500 Hughes Supply, Inc. ............................ 436,650
6,700 Trex Co., Inc.* ................................ 207,700
----------
644,350
----------
Business Services--0.8%
4,900 Cognizant Technology Solutions Corp.* .......... 209,475
2,000 F.Y.I., Inc.* .................................. 78,000
16,200 InterCept Group, Inc. (The)* ................... 376,650
----------
664,125
----------
Chemicals - Specialty--0.8%
18,100 Engelhard Corp. ................................ 339,375
35,500 W.R. Grace & Co.* .............................. 281,781
----------
621,156
----------
Computer Data Security--0.2%
1,500 Rainbow Technologies, Inc.* .................... 59,437
1,600 SonicWALL, Inc.* ............................... 121,800
----------
181,237
----------
Computer Graphics--0.4%
4,600 NVIDIA Corp.* .................................. 365,125
----------
Computer Networking Products--3.7%
2,000 Brocade Communications Systems, Inc.* .......... 451,625
24,900 Computer Network Technology Corp.* ............. 498,000
3,800 Emulex Corp.*/** ............................... 397,812
2,700 Foundry Networks, Inc.* ........................ 251,269
7,500 JNI Corp.*/** .................................. 503,437
6,600 Network Appliance, Inc.* ....................... 772,200
2,000 Turnstone Systems, Inc.*/** .................... 117,750
----------
2,992,093
----------
Computer Services--1.0%
5,300 FactSet Research Systems Inc. .................. 181,194
31,900 Zomax Inc.* .................................... 620,056
----------
801,250
----------
Computer Software--5.7%
1,900 Aspen Technology, Inc.* ........................ 87,281
2,600 BARRA, Inc.* ................................... 149,825
8,300 BEA Systems, Inc.* ............................. 564,919
9,200 Broadbase Software, Inc.* ...................... 192,625
18,500 Dendrite International, Inc.* .................. 491,406
4,200 Documentum, Inc.*/** ........................... 300,562
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES [NOTE 1]
--------------------------------------------------------------------------------
Computer Software--(continued)
3,700 Embarcadero Technologies, Inc* ................. $ 155,400
6,100 McAfee.com Corp.* .............................. 160,506
3,400 Metasolv Software, Inc.* ....................... 138,975
1,000 Micromuse Inc.* ................................ 151,875
1,100 Nuance Communications, Inc.* ................... 144,787
6,200 Quest Software, Inc.*/** ....................... 320,075
10,100 Quintus Corp.*/** .............................. 131,931
6,400 Radiant Systems, Inc.* ......................... 109,600
2,000 Rational Software Corp.* ....................... 257,375
14,100 SERENA Software, Inc.* ......................... 620,400
11,400 Verity, Inc.* .................................. 521,550
----------
4,499,092
----------
Consumer Products--0.7%
13,900 Salton, Inc.*/** ............................... 522,987
3,300 Yankee Candle Co.*/** .......................... 64,969
----------
587,956
----------
Electrical Equipment--0.7%
50,000 General Cable Corp. ............................ 418,750
4,200 SatCon Technology Corp.* ....................... 145,425
----------
564,175
----------
Electronic Components & Accessories--9.1%
10,600 Advanced Energy Industries, Inc.* .............. 605,525
4,700 Amphenol Corp., Class A* ....................... 300,800
3,400 Applied Micro Circuits Corp.* .................. 689,987
16,700 Asyst Technologies, Inc.* ...................... 437,331
1,300 Avnet, Inc. .................................... 77,837
18,200 AVX Corp.** .................................... 544,862
6,000 C&D Technologies, Inc. ......................... 331,500
6,900 DSP Group, Inc.* ............................... 319,125
7,400 Electro Scientific Industries, Inc.* ........... 304,787
500 Exar Corp.* .................................... 60,313
6,300 Helix Technology Corp. ......................... 238,612
20,700 KEMET Corp.* ................................... 621,000
5,250 Merix Corp.* ................................... 254,625
4,150 Power-One, Inc.* ............................... 657,516
7,200 Sawtek Inc.* ................................... 363,150
5,800 Technitrol, Inc. ............................... 739,500
16,250 Vishay Intertechnology, Inc.* .................. 655,078
----------
7,201,548
----------
Electronics - Instruments--1.3%
2,100 BEI Technologies, Inc. ......................... 120,094
9,900 FEI Co.* ....................................... 298,237
1,600 Photon Dynamics, Inc.* ......................... 75,100
12,800 Trimble Navigation Ltd.* ....................... 532,000
----------
1,025,431
----------
Environmental Services--1.1%
19,000 Tetra Tech, Inc.* .............................. 515,375
16,700 Waste Connections, Inc.* ....................... 388,275
----------
903,650
----------
Financial Services--2.0%
19,400 Doral Financial Corp. .......................... 288,575
21,100 Heller Financial, Inc. ......................... 524,862
21,150 Metris Companies Inc. .......................... 760,078
----------
1,573,515
----------
Food & Agriculture--1.3%
6,180 ConAgra, Inc. .................................. 113,171
15,500 Dean Foods Co. ................................. 484,375
5,300 Smithfield Foods, Inc.* ........................ 140,781
5,300 Suiza Foods Corp.* ............................. 265,000
----------
1,003,327
----------
Generic Pharmaceuticals & Distribution--1.2%
7,400 Alpharma Inc., Class A** ....................... 419,025
18,204 Bindley Western Industries, Inc.** ............. 524,503
----------
943,528
----------
Health Care--2.9%
18,900 Advance Paradigm, Inc.* ........................ 503,213
2,200 Express Scripts, Inc., Class A* ................ 156,613
21,000 Orthodontic Centers of America, Inc.*/** ....... 687,750
14,500 Oxford Health Plans, Inc.* ..................... 442,250
10,200 PacifiCare Health Systems, Inc.* ............... 550,162
----------
2,339,988
----------
Hospitals--1.4%
10,400 HCA -The Healthcare Corp. ...................... 358,800
2,500 LifePoint Hospitals, Inc.* ..................... 75,312
11,800 RehabCare Group, Inc.* ......................... 441,025
3,900 Universal Health Services, Inc., Class B* ...... 275,925
----------
1,151,062
----------
Insurance - Financial Guarantee--1.4%
6,600 MGIC Investment Corp. .......................... 388,162
7,250 PMI Group, Inc. (The) .......................... 449,500
4,000 Radian Group Inc. .............................. 248,500
----------
1,086,162
----------
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Insurance - Health & Life--0.3%
6,100 Nationwide Financial Services,
Inc., Class A ................................ $ 243,237
----------
Internet Content--0.1%
4,500 Rare Medium Group, Inc.* ....................... 45,000
----------
Internet Software--2.3%
2,500 AGENCY.COM Inc.* ............................... 59,844
2,200 Allaire Corp.* ................................. 74,662
1,200 Alteon Websystems, Inc.* ....................... 177,600
800 CacheFlow Inc.* ................................ 87,500
10,400 Clarus Corp.* .................................. 629,200
4,000 Extensity, Inc.* ............................... 90,000
2,200 Interwoven, Inc.* .............................. 211,200
4,600 Keynote Systems, Inc.* ......................... 139,150
800 Software.com, Inc.* ............................ 116,450
5,700 WatchGuard Technologies, Inc.* ................. 280,012
----------
1,865,618
----------
Laboratory Analytical Instruments--1.2%
12,400 CyberOptics Corp.* ............................. 359,600
10,200 Nanometrics Inc.*/** ........................... 507,450
1,700 Varian Inc.* ................................... 82,875
----------
949,925
----------
Leisure & Entertainment--1.0%
6,600 Macrovision Corp.* ............................. 703,725
14,300 Topps Co., Inc. (The)* ......................... 112,612
----------
816,337
----------
Medical Instruments & Supplies--4.6%
20,200 ADAC Laboratories* ............................. 451,975
1,900 ArthroCare Corp.* .............................. 84,550
1,000 Beckman Coulter, Inc. .......................... 76,125
11,700 Biosite Diagnostics, Inc.*/** .................. 813,881
9,600 DENTSPLY International Inc. .................... 320,400
2,400 Edwards Lifesciences Corp.* .................... 63,000
8,100 Mallinckrodt Inc. .............................. 365,006
15,200 PolyMedica Corp.*/** ........................... 539,600
4,500 Quest Diagnostics Inc.* ........................ 556,875
3,700 Techne Corp.* .................................. 353,350
----------
3,624,762
----------
Multimedia/Publishing--0.2%
4,200 Martha Stewart Living Omnimedia,
Inc., Class A*/** ............................ 141,750
----------
Office & Business Equipment--0.4%
9,400 United Stationers Inc.*/** ..................... 304,913
----------
Oil & Gas Field Exploration--0.4%
7,500 Basin Exploration, Inc.* ....................... 150,000
2,500 Spinnaker Exploration Co.* ..................... 90,938
1,300 St. Mary Land & Exploration Co. ................ 53,788
----------
294,726
----------
Oil Equipment & Services--2.5%
8,300 ENSCO International, Inc. ...................... 330,963
17,200 Helmerich & Payne, Inc. ........................ 635,325
1,700 Noble Drilling Corp.* .......................... 82,450
14,800 Patterson Energy, Inc.* ........................ 464,350
5,700 Smith International, Inc.*/** .................. 453,150
----------
1,966,238
----------
Oil Refining--0.2%
6,500 Ultramar Diamond Shamrock Corp. ................ 152,344
----------
Optical Instruments & Lenses--0.6%
12,200 1-800 CONTACTS, INC.*/** ....................... 490,288
----------
Pharmaceuticals--6.1%
5,900 Abgenix, Inc.* ................................. 443,514
15,400 Albany Molecular Research, Inc.*/** ............ 550,550
8,200 Andrx Corp.*/** ................................ 713,400
2,900 Dura Pharmaceuticals, Inc.* .................... 79,931
10,600 GelTex Pharmaceuticals, Inc.* .................. 429,466
6,500 IVAX Corp.* .................................... 225,063
11,650 Jones Pharma Inc. .............................. 416,488
16,200 King Pharmaceuticals, Inc.* .................... 520,425
7,500 Noven Pharmaceuticals, Inc* .................... 315,000
14,500 Syncor International Corp.* .................... 580,000
6,600 Vertex Pharmaceuticals* ........................ 561,000
----------
4,834,837
----------
Recreational--0.1%
2,600 SCP Pool Corp.* ................................ 76,213
----------
Residential Construction--0.5%
10,300 D.R. Horton, Inc. .............................. 202,138
12,400 Standard Pacific Corp. ......................... 203,825
----------
405,963
----------
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
[LOGO OF NUMERIC INVESTORS]
GROWTH FUND
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Restaurants--0.1%
3,300 RARE Hospitality International, Inc.* .......... $ 92,813
----------
Retail - Catalog & Mail Order Houses--0.6%
22,200 Sharper Image Corp.* ........................... 444,000
----------
Retail - Computer Equipment--1.1%
12,950 PC Connection, Inc.* ........................... 838,513
----------
Retail - Family Clothing Stores--0.4%
9,500 Factory 2-U Stores Inc.*/** .................... 328,344
----------
Retail - Specialty--1.1%
17,600 Hot Topic, Inc.*/** ............................ 498,300
3,400 Michaels Stores, Inc.*/** ...................... 119,000
4,300 Tweeter Home Entertainment
Group, Inc.*/** .............................. 154,531
2,500 Ultimate Electronics, Inc.* .................... 87,656
----------
859,487
----------
Retail - Specialty Apparel--2.5%
22,700 Chico's FAS, Inc.*/** .......................... 885,300
8,200 Children's Place Retail Stores,
Inc. (The)*/** ............................... 241,900
19,350 Christopher & Banks Corp* ...................... 686,925
8,900 Guess, Inc.* ................................... 201,919
----------
2,016,044
----------
Savings & Loan Associations--0.6%
8,900 Astoria Financial Corp. ........................ 312,613
4,000 Downey Financial Corp. ......................... 134,000
----------
446,613
----------
Schools--0.5%
10,800 Career Education Corp.* ........................ 431,325
----------
Semiconductors--8.3%
2,900 Alpha Industries, Inc.* ........................ 146,269
600 Cree, Inc.* .................................... 82,650
8,400 Cypress Semiconductor Corp.* ................... 415,275
2,200 Elantec Semiconductor, Inc.* ................... 194,700
27,500 ESS Technology, Inc.* .......................... 476,094
13,000 Fairchild Semiconductor ........................
Corp., Class A*/** 516,750
9,700 Integrated Device Technology, Inc.* ............ 851,175
14,200 Integrated Silicon Solution, Inc.* ............. 417,125
1,600 International Rectifier Corp.* ................. 100,700
10,100 Kulicke and Soffa Industries, Inc.* ............ 183,694
6,000 Lattice Semiconductor Corp.* ................... 467,250
12,300 Mattson Technology, Inc.*/** ................... 269,063
Semiconductors--(continued)
3,900 Novellus Systems, Inc.* ........................ 240,094
1,200 PMC-Sierra, Inc.* .............................. 283,200
3,300 QLogic Corp.* .................................. 374,550
1,900 SDL, Inc.* ..................................... 754,894
7,300 SIPEX Corp.* ................................... 314,356
2,400 TranSwitch Corp.* .............................. 144,450
4,000 Varian Semiconductor Equipment
Associates, Inc.* ............................ 228,500
1,700 Virata Corp.* .................................. 116,875
----------
6,577,664
----------
Services - Employment Agencies--1.7%
3,800 Administaff, Inc.*/** .......................... 309,700
17,200 Hall, Kinion & Associates, Inc.* ............... 567,600
6,600 Heidrick & Struggles International,
Inc.*/** ..................................... 383,625
3,600 HotJobs.com, Ltd.* ............................. 68,625
----------
1,329,550
----------
Telecommunications--0.7%
17,900 Boston Communications Group, Inc.* ............. 257,313
9,600 Lightbridge, Inc.* ............................. 168,000
1,400 Wireless Facilities, Inc.*/** .................. 105,000
----------
530,313
----------
Telecommunications Equipment--10.2%
6,700 ADC Telecommunications, Inc.* .................. 274,281
700 Anaren Microwave, Inc.* ........................ 82,644
9,900 Carrier Access Corp.*/** ....................... 473,963
3,200 CIENA Corp.* ................................... 709,400
24,200 Corsair Communications, Inc.* .................. 266,200
5,400 Digital Lightwave, Inc.* ....................... 473,850
7,500 Ditech Communications Corp.* ................... 442,500
9,600 Dmc Stratex Networks Inc* ...................... 245,400
15,990 Finisar Corp.*/** .............................. 741,536
3,900 GlobeSpan, Inc.*/** ............................ 469,706
3,716 JDS Uniphase Corp.* ............................ 462,584
1,800 Natural Microsystems Corp.*/** ................. 134,213
3,900 Plantronics, Inc.* ............................. 194,756
4,500 Polycom, Inc.* ................................. 505,687
5,700 Powerwave Technologies, Inc.* .................. 274,313
13,250 Quanta Services, Inc.* ......................... 619,437
4,600 Scientific-Atlanta, Inc. ....................... 358,513
27,600 Somera Communications, Inc.* ................... 367,425
3,900 Tollgrade Communications, Inc.* ................ 433,631
14,400 UTStarcom, Inc.* ............................... 343,800
15,800 Westell Technologies, Inc., Class A*/** ........ 252,800
----------
8,126,639
----------
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Growth Fund
Portfolio of Investments (concluded)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Tobacco--0.2%
5,800 Universal Corp. ................................ $ 150,075
----------
Toys--0.3%
14,000 JAKKS Pacific, Inc.* ........................... 248,500
----------
Transportation--0.3%
12,700 American Freightways Corp.* .................... 208,756
----------
Utilities--2.9%
9,000 Calpine Corp.* ................................. 891,000
30,200 El Paso Electric Co.* .......................... 405,813
11,600 Energen Corp. .................................. 300,875
8,200 Minnesota Power, Inc. .......................... 181,938
2,500 National Fuel Gas Co. .......................... 131,094
1,800 ONEOK, Inc ..................................... 57,488
15,700 Public Service Co. of New Mexico ............... 335,588
----------
2,303,796
----------
Wholesale - Drug Distribution--1.0%
8,100 AmeriSource Health Corp., Class A* ............. 281,475
9,043 Priority Healthcare Corp., Class B* ............ 522,233
----------
803,708
----------
Wholesale - Groceries & General Line--0.1%
5,600 SUPERVALU INC. ................................. 83,650
----------
Total Common Stocks
(Cost $61,919,134) ........................... 77,812,361
----------
--------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000's) (NOTE 1)
--------------------------------------------------------------------------------
Repurchase Agreement--1.5%
$ 1,244 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/00 to be
repurchased at $1,244,113)
6.62%, 09/01/00
(Cost $1,243,884) (Note 6) ................... $ 1,243,884
-----------
Total Investments--99.4%
(Cost $63,163,018) ........................... 79,056,245
-----------
Other Assets in Excess of
Liabilities--0.6% ............................ 464,087
-----------
Net Assets--100.0% ............................. $79,520,332
===========
---------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Mid Cap Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Common Stocks--98.3%
Aerospace--1.8%
10,600 B.F. Goodrich Co. (The)................................ $ 432,612
3,500 Boeing Co. (The)....................................... 187,687
1,400 General Dynamics Corp.................................. 88,112
1,700 United Technologies Corp............................... 106,144
----------
814,555
----------
Airlines--2.4%
12,700 AMR Corp.*............................................. 416,719
9,300 Atlas Air, Inc.*....................................... 402,225
5,300 Delta Air Lines, Inc................................... 262,350
----------
1,081,294
----------
Automobile Parts & Equipment--0.7%
4,900 ArvinMeritor, Inc...................................... 80,850
13,800 Delphi Automotive Systems Corp......................... 226,837
----------
307,687
----------
Automobile Rentals--0.1%
1,900 Hertz Corp. (The), Class A............................. 58,187
----------
Banks--0.4%
1,300 Comerica Inc........................................... 73,206
3,800 TCF Financial Corp..................................... 124,688
----------
197,894
----------
Beverages--0.9%
12,500 Pepsi Bottling Group, Inc. (The)....................... 396,875
----------
Broadcasting--1.5%
15,600 Univision Communications Inc., Class A*................ 688,350
----------
Brokerage--1.4%
3,800 Bear Stearns Companies Inc. (The)...................... 254,837
4,900 Investment Technology Group, Inc.*..................... 235,200
800 Lehman Brothers Holdings Inc........................... 116,000
----------
606,037
----------
Building Supplies--0.6%
8,100 Lafarge Corp........................................... 197,437
1,500 Lowe's Companies, Inc.................................. 67,219
----------
264,656
----------
Business Services--2.2%
4,100 Eaton Vance Corp....................................... 198,594
7,350 Quanta Services, Inc.*................................. 343,612
6,800 SEI Investments Co..................................... 431,800
----------
974,006
----------
Chemicals - Diversified--1.0%
12,600 Air Products and Chemicals, Inc........................ 457,537
----------
Chemicals - Specialty--1.0%
23,500 Engelhard Corp......................................... 440,625
----------
Computer Components--0.9%
11,400 Silicon Storage Technology, Inc.*...................... 374,062
----------
Computer Data Security--0.3%
2,000 SonicWALL, Inc.*....................................... 152,250
----------
Computer Graphics--0.4%
2,000 NVIDIA Corp*........................................... 158,750
----------
Computer Networking Products--2.3%
400 Brocade Communications Systems, Inc.*.................. 90,325
2,600 Emulex Corp.*/**....................................... 272,188
2,600 Foundry Networks, Inc.*................................ 241,962
400 Juniper Networks, Inc.*................................ 85,500
1,100 Network Appliance, Inc.*............................... 128,700
3,800 Turnstone Systems, Inc.*............................... 223,725
----------
1,042,400
----------
Computer Software--5.0%
3,600 BEA Systems, Inc.*..................................... 245,025
2,600 Mercury Interactive Corp.*............................. 317,687
6,300 Metasolv Software, Inc.*............................... 257,512
900 Micromuse Inc.*........................................ 136,688
14,300 Network Associates, Inc.*.............................. 370,012
4,800 Quest Software, Inc.*/**............................... 247,800
3,700 Rational Software Corp.*............................... 476,144
2,300 SERENA Software, Inc.*................................. 101,200
1,100 Symantec Corp.*........................................ 53,694
----------
2,205,762
----------
Construction--0.2%
1,900 Dycom Industries, Inc.*................................ 100,700
----------
Consumer Products--0.3%
4,200 Fortune Brands, Inc.................................... 107,100
----------
Electronic Components & Accessories--7.5%
5,000 Advanced Energy Industries, Inc.*...................... 285,625
800 Applied Micro Circuits Corp.*.......................... 162,350
14,000 Arrow Electronics, Inc.*............................... 509,250
1,000 Avnet, Inc............................................. 59,875
9,400 AVX Corp.**............................................ 281,412
13,700 KEMET Corp.*........................................... 411,000
2,750 Power-One, Inc.*....................................... 435,703
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Mid Cap Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
SHARES (NOTE 1)
--------------------------------------------------------------------------------
Electronic Components & Accessories--(continued)
6,200 Sawtek Inc.*........................................... $ 312,712
1,500 Technitrol, Inc........................................ 191,250
16,650 Vishay Intertechnology, Inc.*.......................... 671,203
----------
3,320,380
----------
Energy--1.2%
24,500 Questar Corp........................................... 531,344
----------
Financial Services--1.9%
4,400 AXA Financial, Inc..................................... 227,700
2,200 Edwards (A.G.), Inc.................................... 114,400
13,950 Metris Companies Inc................................... 501,328
----------
843,428
----------
Food & Agriculture--2.1%
5,000 Albertson's, Inc....................................... 107,500
21,000 ConAgra, Inc........................................... 384,562
15,900 Smithfield Foods, Inc.*................................ 422,344
----------
914,406
----------
Generic Pharmaceuticals & Distribution--0.7%
5,600 Alpharma Inc., Class A**............................... 317,100
----------
Health Care--3.8%
4,900 Express Scripts, Inc., Class A*........................ 348,819
7,400 Oxford Health Plans, Inc.*............................. 225,700
6,100 PacifiCare Health Systems, Inc.*....................... 329,019
3,900 UnitedHealth Group Inc.**.............................. 368,550
4,800 Wellpoint Health Networks Inc.*........................ ----------
1,686,388
----------
Hospitals--1.7%
12,700 HCA -The Healthcare Corp............................... 438,150
10,200 Tenet Healthcare Corp.*................................ 316,200
----------
754,350
----------
Insurance--2.2%
5,600 Loews Corp............................................. 453,250
21,400 Old Republic International Corp........................ 512,262
----------
965,512
----------
Insurance - Financial Guarantee--2.9%
2,600 Ambac Financial Group, Inc............................. 168,025
6,500 MGIC Investment Corp................................... 382,281
4,900 PMI Group, Inc. (The).................................. 303,800
6,800 Radian Group Inc....................................... 422,450
----------
1,276,556
----------
Insurance - Health & Life--0.2%
3,900 Torchmark Corp......................................... 109,444
----------
Internet Software--0.5%
2,800 BroadVision, Inc.*..................................... 96,600
1,400 TIBCO Software Inc.*/**................................ 142,712
----------
239,312
----------
Laboratory Analytical Instruments--0.0%
200 Varian Inc.*........................................... 9,750
----------
Leisure & Entertainment--1.0%
23,300 Brunswick Corp......................................... 436,875
----------
Manufacturing--1.2%
8,900 Cooper Industries, Inc.*............................... 314,281
1,800 Parker-Hannifin Corp................................... 62,662
2,700 Textron, Inc........................................... 151,369
----------
528,312
----------
Manufacturing Heavy Equipment--1.0%
12,700 ITT Industries, Inc.*.................................. 427,037
----------
Medical Instruments & Supplies--4.5%
4,700 Beckman Coulter, Inc................................... 357,787
15,300 DENTSPLY International Inc............................. 510,637
6,200 MiniMed, Inc.*......................................... 445,141
5,700 Quest Diagnostics Inc.*................................ 705,375
----------
2,018,940
----------
Office Furniture--0.2%
2,500 HON INDUSTRIES Inc..................................... 67,344
----------
Oil Equipment & Services--6.9%
1,700 Conoco Inc., Class B................................... 44,413
1,100 Cooper Cameron Corp.*.................................. 85,594
3,200 ENSCO International Inc................................ 127,600
2,800 Hanover Compressor Co.*/**............................. 88,900
15,300 Helmerich & Payne, Inc................................. 565,144
11,600 Marine Drilling Companies, Inc*........................ 315,375
1,000 Murphy Oil Corp........................................ 66,750
7,000 Nabors Industries, Inc.*............................... 332,938
16,000 Noble Drilling Corp.*.................................. 776,000
7,300 Occidental Petroleum Corp.............................. 157,863
14,600 USX-Marathon Group..................................... 400,588
4,000 Vintage Petroleum, Inc................................. 84,000
----------
3,045,165
----------
Oil Refining--1.1%
20,900 Ultramar Diamond Shamrock Corp......................... 489,844
----------
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Mid Cap Fund
Portfolio of Investments (continued)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Pharmaceuticals--1.8%
1,600 Allergan, Inc. ....................................... $ 117,000
1,000 Andrx Corp.*/** ...................................... 87,000
1,800 Forest Laboratories, Inc.* ........................... 176,175
6,100 IVAX Corp.* .......................................... 211,213
5,700 Jones Pharma Inc. .................................... 203,775
----------
795,163
----------
Publishing--0.5%
700 Dow Jones & Co., Inc. ................................ 43,794
1,900 Knight-Ridder, Inc.** ................................ 103,787
1,600 New York Times Co. (The), Class A .................... 62,700
----------
210,281
----------
Radio--1.1%
2,100 Hispanic Broadcasting Corp.* ......................... 53,944
16,400 Westwood One, Inc.* .................................. 456,125
----------
510,069
----------
Restaurants--0.6%
15,200 Darden Restaurants, Inc. ............................. 268,850
----------
Retail - Department Stores--1.4% .....................
5,900 BJ's Wholesale Club, Inc.* ........................... 199,863
13,600 Sears, Roebuck & Co. ................................. 424,150
----------
624,013
----------
Retail - Discount Stores--1.3%
14,400 Dollar Tree Stores, Inc.* ............................ 584,100
----------
Retail - Jewelry Stores--0.2%
2,100 Zale Corp.* .......................................... 77,569
----------
Retail - Specialty--0.9%
3,600 Bed Bath & Beyond, Inc.* ............................. 63,225
8,300 Michaels Stores, Inc.*/** ............................ 290,500
1,800 Williams-Sonoma, Inc.* ............................... 64,688
----------
418,413
----------
Retail - Specialty Apparel--0.2%
3,800 Limited, Inc. (The) .................................. 76,000
----------
Savings & Loan Associations--2.5% ....................
2,000 Astoria Financial Corp. .............................. 70,250
5,500 Golden State Bancorp Inc. ............................ 110,688
17,600 GreenPoint Financial Corp. ........................... 459,800
13,800 Washington Mutual, Inc. .............................. 483,000
----------
1,123,738
----------
Semiconductors--4.3%
2,800 Altera Corp.* ........................................ $ 181,475
700 Analog Devices, Inc.* ................................ 70,350
10,600 Cypress Semiconductor Corp.* ......................... 524,038
700 Elantec Semiconductor, Inc* .......................... 61,950
9,600 Fairchild Semiconductor Corp.,
Class A*/** ........................................ 381,600
2,600 Integrated Device Technology, Inc.* .................. 228,150
3,700 Lattice Semiconductor Corp.* ......................... 288,138
3,100 Varian Semiconductor Equipment
Associates, Inc.* .................................. 177,088
----------
1,912,789
----------
Services - Employment Agencies--1.5%
2,200 Manpower, Inc. ....................................... 79,613
18,800 Robert Half International Inc.* ...................... 598,075
----------
677,688
----------
Services - Management Consulting--0.2%
3,100 TeleTech Holdings, Inc.* ............................. 101,138
----------
Steel--0.2%
5,900 USX-U.S. Steel Group** ............................... 102,513
----------
Telecommunications Equipment--5.7%
1,900 ADTRAN, Inc.* ........................................ 101,769
1,500 CIENA Corp.* ......................................... 332,531
3,400 Digital Lightwave, Inc* .............................. 298,350
5,100 Ditech Communications Corp.* ......................... 300,900
7,800 Finisar Corp.*/** .................................... 361,725
3,700 Focal Communications Corp.* .......................... 114,469
2,865 GlobeSpan, Inc.*/** .................................. 345,053
500 New Focus, Inc.* ..................................... 69,031
1,200 Polycom, Inc.* ....................................... 134,850
1,300 Tollgrade Communications, Inc.* ...................... 144,544
13,200 UTStarcom, Inc.* ..................................... 315,150
----------
2,518,372
----------
Tobacco--0.4%
5,500 Philip Morris Companies, Inc. ........................ 162,937
----------
Utilities--9.4%
2,200 Calpine Corp.* ....................................... 217,800
6,600 El Paso Energy Corp. ................................. 384,450
5,700 Energy East Corp. .................................... 129,319
8,800 Entergy Corp. ........................................ 267,850
9,500 FirstEnergy Corp. .................................... 235,125
3,200 FPL Group, Inc. ...................................... 170,800
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Mid Cap Fund
Portfolio of Investments (concluded)
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Utilities--(continued)
19,200 KeySpan Corp. ....................................... $ 661,200
17,900 MDU Resources Group Inc. ............................ 447,500
2,800 NICOR Inc. .......................................... 103,250
14,100 PPL Corp. ........................................... 472,350
3,700 Public Service Enterprise Group Inc. ................ 134,125
22,700 Sempra Energy ....................................... 442,650
14,100 TXU Corp. ........................................... 492,619
-----------
4,159,038
-----------
Wholesale - Distribution--0.7%
6,300 Tech Data Corp.* .................................... 325,238
-----------
Wholesale - Groceries & General Line--1.4%
13,800 Kroger Co. (The)* ................................... 313,087
1,700 Safeway Inc.* ....................................... 83,831
14,500 SUPERVALU INC. ...................................... 216,594
-----------
613,512
-----------
Total Common Stocks
(Cost $40,411,047) ................................ 43,671,635
-----------
--------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000's) (NOTE 1)
--------------------------------------------------------------------------------
Repurchase Agreement--0.7%
$ 327 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/00 to be
repurchased at $326,665)
6.62%, 09/01/00
(Cost $326,605) (Note 6) .......................... $ 326,605
-----------
Total Investments-- 99.0%
(Cost $40,737,652) ................................ 43,998,240
-----------
Other Assets in Excess of
Liabilities-- 1.0% ................................ 431,923
-----------
Net Assets-- 100.0% ................................. $44,430,163
===========
------------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Common Stocks--95.5%
Advertising--0.3%
1,100 ADVO, Inc.*....................................... $ 45,031
----------
Aerospace--1.1%
1,100 Alliant Techsystems Inc.*......................... 84,769
7,000 GenCorp, Inc...................................... 51,187
300 Litton Industries, Inc.*.......................... 16,594
----------
152,550
----------
Amusement & Recreational Services--1.2%
4,800 Polaris Industries Inc............................ 163,800
----------
Apparel--0.3%
1,600 Kellwood Co....................................... 25,600
1,000 Tommy Hilfiger Corp.*............................. 10,875
----------
36,475
----------
Automobile Parts & Equipment--1.3%
1,300 American Axle & Manufacturing
Holdings, Inc.*................................. 18,687
1,900 ArvinMeritor, Inc................................. 31,350
400 BorgWarner, Inc................................... 13,750
4,600 Dura Automotive Systems, Inc.*.................... 49,450
2,700 Lear Corp.*....................................... 58,219
----------
171,456
----------
Automobile Rentals--1.3%
1,100 Avis Group Holdings, Inc.*........................ 33,825
3,900 Dollar Thrifty Automotive Group, Inc.*............ 88,237
1,700 Hertz Corp. (The), Class A........................ 52,062
----------
174,124
----------
Banks--9.0%
3,400 BancWest Corp..................................... 60,137
6,000 Banknorth Group, Inc.............................. 98,250
3,100 Bank United Corp., Class A........................ 139,500
2,800 GBC Bancorp....................................... 106,050
2,700 Hamilton Bancorp, Inc.*........................... 40,162
13,100 Hibernia Corp., Class A........................... 164,569
7,120 Hudson United Bancorp............................. 179,335
3,500 Imperial Bancorp*/**.............................. 76,125
5,600 National Commerce Bancorp......................... 108,150
4,000 TCF Financial Corp................................ 131,250
3,400 Westamerica Bancorp............................... 103,062
----------
1,206,590
----------
Beverages--0.4%
1,100 Canandaigua Brands, Inc., Class A *............... 59,262
----------
Brokerage--0.3%
1,600 Tucker Anthony Sutro Corp.**...................... 37,700
----------
Building Supplies--2.3%
4,200 Butler Manufacturing Co........................... 93,187
7,000 Hughes Supply, Inc................................ 149,100
1,700 Lafarge Corp...................................... 41,437
600 USG Corp.......................................... 19,312
----------
303,036
----------
Business Services--0.6%
1,800 Eaton Vance Corp.................................. 87,187
----------
Chemicals - Diversified--2.0%
8,500 Olin Corp......................................... 140,250
4,500 Solutia Inc....................................... 67,781
4,700 Wellman, Inc...................................... 56,694
----------
264,725
----------
Chemicals - Specialty--1.2%
800 Cytec Industries Inc.*............................ 26,700
4,000 Engelhard Corp.................................... 75,000
7,600 W.R. Grace & Co.*................................. 60,325
----------
162,025
----------
Computer Networking Products--0.7%
500 Black Box Corp.*.................................. 29,750
5,200 Quantum Corp-DLT & Storage*....................... 70,525
----------
100,275
----------
Computer Services--0.3%
2,000 Pomeroy Computer Resources, Inc.*................. 46,500
----------
Consumer Products--0.5%
3,900 Polaroid Corp..................................... 66,300
----------
Electrical Equipment--2.7%
5,800 AMETEK, Inc.**.................................... 123,975
18,200 General Cable Corp................................ 152,425
2,500 Hubbell, Inc., Class B............................ 64,687
3,000 SLI, Inc.......................................... 28,875
----------
369,962
----------
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Electronic Components & Accessories--3.1%
1,800 CTS Corp.......................................... $ 92,362
5,400 General Semiconductor, Inc.*/**................... 78,638
2,400 Jaco Electronics, Inc.*........................... 43,837
3,200 Park Electrochemical Corp......................... 128,600
2,400 Pioneer-Standard Electronics, Inc.**.............. 32,850
300 Technitrol, Inc................................... 38,250
----------
414,537
----------
Energy--0.9%
5,700 Questar Corp...................................... 123,619
----------
Engines--0.9%
2,800 Briggs & Stratton Corp............................ 121,100
----------
Financial Services--5.1%
2,200 Advanta Corp., Class A **......................... 28,600
2,600 Deluxe Corp....................................... 57,200
8,400 Doral Financial Corp.............................. 124,950
2,400 Federated Investors, Inc., Class B................ 56,250
6,400 Heller Financial, Inc............................. 159,200
3,100 John Nuveen Co.(The), Class A **.................. 140,662
2,300 LaBranche & Co., Inc.*............................ 69,287
1,400 Southwest Securities Group, Inc.**................ 46,462
----------
682,611
----------
Food & Agriculture--3.5%
3,100 Dean Foods Co..................................... 96,875
3,800 Dole Food Co., Inc................................ 53,675
5,800 International Multifoods Corp..................... 94,612
4,700 Interstate Bakeries Corp.......................... 84,306
5,900 Michael Foods, Inc................................ 140,125
----------
469,593
----------
Footwear--0.9%
1,700 Footstar, Inc.*................................... 50,575
5,500 Steven Madden, Ltd.*/**........................... 67,719
----------
118,294
----------
Generic Pharmaceuticals & Distribution--0.3%
1,400 Bindley Western Industries, Inc.**................ 40,338
----------
Health Care--0.7%
1,800 Foundation Health Systems, Inc.*.................. 31,612
1,200 PacifiCare Health Systems, Inc.*.................. 64,725
----------
96,337
----------
Household Products--0.8%
3,200 Libbey Inc........................................ 105,000
----------
Industrial Machinery--0.5%
3,700 Terex Corp.*...................................... 67,756
----------
Insurance--1.1%
6,300 Old Republic International Corp................... 150,806
----------
Insurance - Financial Guarantee--1.8%
1,550 PMI Group, Inc. (The)............................. 96,100
2,300 Radian Group Inc.................................. 142,887
----------
238,987
----------
Insurance - Health & Life--1.5%
1,500 AmerUs Life Holdings, Inc., Class A **............ 37,031
4,200 Nationwide Financial Services, Inc.,
Class A......................................... 167,475
----------
204,506
----------
Insurance - Property & Casualty--1.9%
4,100 Commerce Group, Inc. (The)........................ 106,600
3,800 FPIC Insurance Group, Inc.*/**.................... 57,712
3,800 LandAmerica Financial Group, Inc.**............... 96,662
----------
260,974
----------
Leisure & Entertainment--1.9%
500 Anchor Gaming *................................... 36,625
8,200 Brunswick Corp.................................... 153,750
4,400 Isle of Capri Casinos, Inc.*...................... 68,750
----------
259,125
----------
Machinery--4.7%
7,200 Flowserve Corp.................................... 133,200
4,400 Graco Inc......................................... 155,925
9,400 JLG Industries, Inc............................... 108,687
10,700 Milacron Inc..................................... 165,181
1,900 United Dominion Industries Ltd.**................. 30,519
700 Zebra Technologies Corp., Class A*................ 37,800
----------
631,312
----------
Manufacturing--1.4%
400 Coorstek, Inc.*................................... 18,750
1,100 Harsco Corp....................................... 30,594
3,000 Pentair, Inc.**................................... 97,500
1,300 Teleflex, Inc..................................... 46,313
----------
193,157
----------
The accompanying notes are an integral part of the financial statement.
28
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Medical Instruments & Supplies--2.2%
1,700 Beckman Coulter, Inc.............................. $ 129,413
1,500 DENTSPLY International Inc....................... 50,063
3,100 Invacare Corp..................................... 83,506
600 Mallinckrodt Inc.................................. 27,038
----------
290,020
----------
Metal Fabricating--0.4%
2,700 Quanex Corp.**.................................... 50,456
----------
Office & Business Equipment--0.6%
2,700 United Stationers Inc.*/**........................ 87,581
----------
Oil & Gas Field Exploration--1.7%
3,700 Comstock Resources, Inc.*/**...................... 36,769
1,400 Houston Exploration Co.(The) */**................. 36,225
1,000 HS Resources, Inc.*............................... 31,688
1,100 Offshore Logistics, Inc.*......................... 19,113
1,400 St. Mary Land & Exploration Co.................... 57,925
3,200 Trico Marine Services, Inc.*...................... 46,400
----------
228,120
----------
Oil Refining--0.4%
2,300 Ultramar Diamond Shamrock Corp.................... 53,906
----------
Paper & Allied Products--0.4%
3,800 Schweitzer-Mauduit International, Inc............. 55,100
----------
Residential Construction--8.0%
8,600 Del Webb Corp.*................................... 192,425
10,000 D.R. Horton, Inc.................................. 196,250
6,900 Kaufman and Broad Home Corp....................... 171,206
5,700 M.D.C. Holdings, Inc.............................. 142,856
1,400 Pulte Corp........................................ 46,113
5,600 Ryland Group, Inc. (The)**........................ 137,550
11,400 Standard Pacific Corp............................. 187,388
----------
1,073,788
----------
Restaurants--0.8%
4,800 Landry's Seafood Restaurants, Inc................. 37,800
3,000 Ryan's Family Steak Houses, Inc.*................. 24,375
2,300 Wendy's International, Inc.**..................... 43,413
----------
105,588
Retail - Specialty--1.5%
7,900 Blockbuster Inc., Class A......................... 74,063
9,500 Haverty Furniture Co., Inc........................ 109,844
2,100 Musicland Stores Corp.*........................... 14,963
----------
198,870
----------
Retail - Specialty Apparel--1.3%
2,300 Fossil, Inc.*..................................... 40,106
1,500 Payless ShoeSource, Inc.*......................... 80,063
2,800 Wilsons, The Leather Experts, Inc.*............... 57,050
----------
177,219
----------
Savings & Loan Associations--4.5%
4,700 Astoria Financial Corp............................ 165,088
5,000 Dime Bancorp, Inc................................. 91,875
5,500 Downey Financial Corp............................. 184,250
2,400 Golden State Bancorp Inc.......................... 48,300
1,100 GreenPoint Financial Corp......................... 28,738
7,400 Sovereign Bancorp, Inc............................ 62,900
1,200 Webster Financial Corp.**......................... 29,588
----------
610,739
----------
Semiconductors--1.0%
4,400 ESS Technology, Inc.*............................. 76,175
4,200 Semitool, Inc.*................................... 52,763
----------
128,938
----------
Steel--1.6%
14,100 AK Steel Holding Corp............................. 153,338
3,800 USX-U.S. Steel Group **........................... 66,025
----------
219,363
----------
Tobacco--1.3%
6,700 Universal Corp.................................... 173,363
----------
Transportation--2.6%
3,500 American Freightways Corp *....................... 57,531
5,000 Arkansas Best Corp.*.............................. 75,313
2,500 CNF Transportation Inc............................ 61,250
2,000 GATX Corp......................................... 81,375
4,900 Yellow Corp.*..................................... 74,725
----------
350,194
----------
Trucks - Rental Services--0.7%
5,200 Ryder System, Inc.**.............................. 99,775
----------
The accompanying notes are an integral part of the financial statements.
29
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Small Cap Value Fund
Portfolio of Investments
August 31, 2000
--------------------------------------------------------------------------------
VALUE
Shares (NOTE 1)
--------------------------------------------------------------------------------
Utilities--9.1%
3,800 ALLETE............................................ $ 84,313
1,900 Atmos Energy Corp................................. 39,425
9,400 Conectiv.......................................... 166,850
4,800 Energen Corp...................................... 124,500
3,300 Energy East Corp.................................. 74,869
3,800 MDU Resources Group, Inc.......................... 95,000
2,000 NICOR Inc......................................... 73,750
3,100 NUI Corp.......................................... 93,194
5,000 ONEOK, Inc........................................ 159,688
8,600 Public Service Co. of New Mexico.................. 183,825
1,700 RGS Energy Group Inc.**........................... 42,288
3,200 UtiliCorp United, Inc............................. 76,200
500 Western Resources, Inc............................ 10,000
----------
1,223,902
----------
Wholesale - Drug Distribution--0.9%
1,700 AmeriSource Health Corp., Class A *............... 59,075
6,300 Bergen Brunswig Corp., Class A *.................. 59,063
----------
118,138
----------
Total Common Stocks
(Cost $11,499,783).............................. 12,870,110
----------
--------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (000'S) (NOTE 1)
--------------------------------------------------------------------------------
Repurchase Agreement--3.2%
$ 438 Bear, Stearns & Co. Inc.
(Agreement dated 08/31/00 to be
repurchased at $437,843)
6.62%, 09/01/00
(Cost $437,762) (Note 6)........................ $ 437,762
-----------
Total Investments--98.7%
(Cost $11,937,545).............................. 13,307,872
-----------
Other Assets in Excess of
Liabilities--1.3%............................... 172,895
-----------
Net Assets--100.0%................................ $13,480,767
===========
--------------
* Non-income producing.
** Security or a portion thereof is out on loan.
The accompanying notes are an integral part of the financial statements.
30
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statements of Assets and Liabilities
August 31, 2000
<TABLE>
<CAPTION>
MICRO CAP GROWTH MID CAP SMALL CAP
FUND FUND FUND VALUE FUND
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
Assets
Investments, at value (Cost - $109,993,827,
$63,163,018, $40,737,652, $11,937,545,
respectively) .................................... $133,537,835 $79,056,245 $43,998,240 $13,307,872
Cash collateral received for securities loaned
(Note 5) ......................................... 2,187,324 1,238,230 365,475 69,769
Receivable for investments sold ..................... 1,787,365 965,330 2,377,618 377,613
Dividends and interest receivable ................... 35,272 26,705 55,416 29,545
Receivable for Fund shares sold ..................... -- 5,000 42,049 --
Receivable from investment adviser .................. -- -- -- 3,972
Prepaid expenses .................................... 9,514 -- 31,771 --
------------ ----------- ----------- -----------
Total assets ..................................... 137,557,310 81,291,510 46,870,569 13,788,771
------------ ----------- ----------- -----------
Liabilities
Payable upon return of securities loaned (Note 5) ... 2,187,324 1,238,230 365,475 69,769
Payable for investments purchased ................... 749,533 450,507 2,023,839 226,920
Payable for Fund shares redeemed .................... -- 33,628 19,928 --
Accrued expenses and other liabilities .............. 87,394 48,813 31,164 11,315
------------ ----------- ----------- -----------
Total liabilities ................................ 3,024,251 1,771,178 2,440,406 308,004
------------ ----------- ----------- -----------
Net Assets
Capital stock, $0.001 par value ..................... 6,409 3,356 2,311 1,045
Additional paid-in capital .......................... 82,325,565 42,013,035 34,482,417 12,263,068
Undistributed net investment income ................. -- -- 174,907 149,898
Accumulated net realized gain/(loss) from
investments and futures transactions, if any ..... 28,657,077 21,610,714 6,509,940 (303,571)
Net unrealized appreciation on investments .......... 23,544,008 15,893,227 3,260,588 1,370,327
------------ ----------- ----------- -----------
Net assets applicable to shares outstanding ......... $134,533,059 $79,520,332 $44,430,163 $13,480,767
============ =========== =========== ===========
Shares outstanding ..................................... 6,408,939 3,356,493 2,311,295 1,044,582
------------ ----------- ----------- -----------
Net asset value, offering and redemption price
per share ........................................... $20.99 $23.69 $19.22 $12.91
============ =========== =========== ===========
</TABLE>
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statements of Operations
For the Fiscal Year Ended August 31, 2000
<TABLE>
<CAPTION>
MICRO CAP GROWTH MID CAP SMALL CAP VALUE
FUND FUND FUND FUND
----------- ---------- ---------- ---------------
<S> <C> <C> <C> <C>
Investment Income
Dividends* ..................................... $ 201,012 $ 165,493 $ 523,854 $ 231,947
Interest ....................................... 238,548 93,174 77,969 3,004
Securities lending (Note 5) .................... 66,366 33,847 12,311 25,727
----------- ----------- ----------- ----------
505,926 292,514 614,134 260,678
----------- ----------- ----------- ----------
Expenses
Advisory fees .................................. 851,528 533,915 329,362 83,085
Co-Administration fees ......................... 198,721 124,697 96,956 80,538
Administrative services fees ................... 170,306 106,842 65,872 16,617
Transfer agent fees and expenses ............... 54,006 44,987 88,252 39,144
Printing ....................................... 62,003 36,606 64,996 5,017
Custodian fees and expenses .................... 41,561 23,869 14,674 4,457
Audit and legal fees ........................... 40,272 23,407 14,354 6,484
Federal and state registration fees ............ 20,755 22,791 17,174 9,340
Director's fees and expenses ................... 5,629 3,505 2,653 77
Other .......................................... 9,729 16,113 11,038 14,568
----------- ----------- ----------- ----------
Total expenses before waivers and
reimbursements, if any ................... 1,454,510 936,732 705,331 259,327
Less: waivers and reimbursements, if any .... (319,139) (224,451) (266,182) (148,547)
----------- ----------- ----------- ----------
Total expenses after waivers and
reimbursements, if any ................... 1,135,371 712,281 439,149 110,780
----------- ----------- ----------- ----------
Net Investment Income/(Loss) ................... (629,445) (419,767) 174,985 149,898
----------- ----------- ----------- ----------
Net realized and unrealized gain on investments
and futures transactions:
Net realized gain/(loss) from:
Investments ................................. 29,756,011 22,719,797 7,569,030 (194,892)
Futures transactions ........................ (67,142) -- -- --
Net change in unrealized appreciation/
(depreciation) on investments ............... 20,300,544 11,738,071 3,549,311 1,637,027
----------- ----------- ----------- ----------
Net realized and unrealized gain on investments
and futures transactions, if any ............ 49,989,413 34,457,868 11,118,341 1,442,135
----------- ----------- ----------- ----------
Net increase in net assets resulting
from operations ................................ $49,359,968 $34,038,101 $11,293,326 $1,592,033
=========== =========== =========== ==========
</TABLE>
------------------
* Net of foreign withholding taxes of $2,319, $312 and $561 for the Micro Cap
Fund, Growth Fund and Small Cap Value Fund, respectively.
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
MICRO CAP GROWTH
FUND FUND
--------------------------------- ---------------------------------
For the For the For the For the
Fiscal Fiscal Fiscal Fiscal
Year Ended Year Ended Year Ended Year Ended
August 31, 2000 August 31, 1999 August 31, 2000 August 31, 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase in net assets resulting from operations:
Net investment income/(loss) ..................... $ (629,445) $ (463,635) $ (419,767) $ (341,042)
Net realized gain/(loss) from investments
and futures transactions, if any .............. 29,688,869 18,229,148 22,719,797 3,454,997
Net change in unrealized appreciation/
(depreciation) on investments ................. 20,300,544 26,593,111 11,738,071 28,829,220
------------ ------------ ------------ ------------
Net increase in net assets resulting from
operations .................................... 49,359,968 44,358,624 34,038,101 31,943,175
------------ ------------ ------------ ------------
Dividends and distributions to shareholders from:
Net investment income ............................ -- -- -- --
Net realized capital gains ....................... (18,272,210) (7,942,123) (1,484,633) (39,086)
------------ ------------ ------------ ------------
Total dividends and distributions to
shareholders ................................... (18,272,210) (7,942,123) (1,484,633) (39,086)
------------ ------------ ------------ ------------
Increase/(decrease) in net assets derived
from capital share transactions (Note 4) ......... 27,096,476 (59,334,109) (15,408,959) (47,367,810)
------------ ------------ ------------ ------------
Total increase/(decrease) in net assets .......... 58,184,234 (22,917,608) 17,144,509 (15,463,721)
Net assets
Beginning of period .............................. 76,348,825 99,266,433 62,375,823 77,839,544
------------ ------------ ------------ ------------
End of period+ ................................... $134,533,059 $ 76,348,825 $ 79,520,332 $ 62,375,823
============ ============ ============ ============
</TABLE>
-----------
* Commencement of operations.
+ Includes undistributed net investment income of $174,907 and $149,898 for the
Mid Cap Fund and Small Cap Value Fund, respectively, for the fiscal year ended
August 31, 2000. At August 31, 1999, the Mid Cap Fund and Small Cap Value Fund
had undistributed net investment income of $82,539 and $87,010, respectively.
The accompanying notes are an integral part of the financial statements.
34
<PAGE>
<TABLE>
<CAPTION>
MID CAP SMALL CAP VALUE
FUND FUND
--------------------------------- ------------------------------------
For the For the For the For the Period
Fiscal Fiscal Fiscal November 30, 1998*
Year Ended Year Ended Year Ended through
August 31, 2000 August 31, 1999 August 31, 2000 August 31, 1999
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
Increase in net assets resulting from operations:
Net investment income/(loss) ........................ $ 174,985 $ 274,601 $ 149,898 $ 87,010
Net realized gain/(loss) from investments
and futures transactions, if any ................. 7,569,030 4,760,317 (194,892) 1,061,132
Net change in unrealized appreciation/
(depreciation) on investments .................... 3,549,311 29,753,292 1,637,027 (266,700)
------------ ------------ ----------- -----------
Net increase in net assets resulting from
operations ....................................... 11,293,326 34,788,210 1,592,033 881,442
------------ ------------ ----------- -----------
Dividends and distributions to shareholders from:
Net investment income ............................... (82,617) (497,210) (87,010) --
Net realized capital gains .......................... (5,452,700) (10,970,699) (1,169,811) --
------------ ------------ ----------- -----------
Total dividends and distributions to shareholders ... (5,535,317) (11,467,909) (1,256,821) --
------------ ------------ ----------- -----------
Increase/(decrease) in net assets derived
from capital share transactions (Note 4) ............ (10,483,627) (84,340,716) 1,647,265 10,616,848
------------ ------------ ----------- -----------
Total increase/(decrease) in net assets ............. (4,725,618) (61,020,415) 1,982,477 11,498,290
Net assets
Beginning of period ................................. 49,155,781 110,176,196 11,498,290 --
------------ ------------ ----------- -----------
End of period+ ...................................... $ 44,430,163 $ 49,155,781 $13,480,767 $11,498,290
============ ============ =========== ===========
</TABLE>
35
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Financial Highlights
--------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MICRO CAP FUND
-------------------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended Year Ended through
August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ............... $ 18.03 $ 12.52 $ 18.47 $ 11.67 $ 12.00
-------- -------- ------- -------- -------
Net investment income/(loss) ....................... (0.10) (0.18) (0.07) (0.01) 0.01
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any .... 7.39 6.72 (3.23) 6.82 (0.34)
-------- -------- ------- -------- -------
Net increase/(decrease) in net assets
resulting from operations ....................... 7.29 6.54 (3.30) 6.81 (0.33)
-------- -------- ------- -------- -------
Dividends and distributions to shareholders from:
Net investment income .............................. -- -- -- (0.01) --
Net realized capital gains ......................... (4.33) (1.03) (2.65) -- --
-------- -------- ------- -------- -------
Total dividends and distributions to shareholders .. (4.33) (1.03) (2.65) (0.01) --
-------- -------- ------- -------- -------
Net asset value, end of period ..................... $ 20.99 $ 18.03 $ 12.52 $ 18.47 $ 11.67
======== ======== ======= ======== =======
Total investment return/1/ ......................... 54.42% 56.09% (20.74)% 58.41% (2.75)%
======== ======== ======= ======== =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) .......... $134,533 $ 76,349 $99,266 $142,119 $14,100
Ratio of expenses to average net assets/2/ ......... 1.00% 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ...... 1.28% 1.26% 1.23% 1.45% 3.45%(3)
Ratio of net investment income/(loss) to
average net assets/2/ ........................... (0.55)% (0.46)% (0.41)% (0.06)% 0.73%(3)
Portfolio turnover rate ............................ 297.08% 316.02% 408.70% 233.49% 42.92%
</TABLE>
-------------
* Commencement of operations.
/1/ Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
/2/ Reflects waivers and expense reimbursements, if any.
/3/ Annualized.
The accompanying notes are an integral part of the financial statements.
36
<PAGE>
<TABLE>
<CAPTION>
GROWTH FUND
-------------------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended Year Ended through
August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period .............. $ 14.89 $ 9.75 $ 16.29 $ 11.84 $ 12.00
------- ------- ------- -------- -------
Net investment income/(loss) ...................... (0.12) (0.18) (0.07) (0.04) 0.01
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any ... 9.29 5.33 (3.98) 4.50 (0.17)
------- ------- ------- -------- -------
Net increase/(decrease) in net assets
resulting from operations ...................... 9.17 5.15 (4.05) 4.46 (0.16)
------- ------- ------- -------- -------
Dividends and distributions to shareholders from:
Net investment income ............................. -- -- -- (0.01) --
Net realized capital gains ........................ (0.37) (0.01) (2.49) -- --
------- ------- ------- -------- -------
Total dividends and distributions to
shareholders .................................... (0.37) (0.01) (2.49) (0.01) --
------- ------- ------- -------- -------
Net asset value, end of period .................... $ 23.69 $ 14.89 $ 9.75 $ 16.29 $ 11.84
======= ======= ======= ======== =======
Total investment return/1/ ........................ 63.11% 52.80% (29.03)% 37.69% (1.33)%
======= ======= ======= ======== =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ......... $79,520 $62,376 $77,840 $117,724 $26,756
Ratio of expenses to average net assets/2/ ........ 1.00% 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ..... 1.32% 1.30% 1.24% 1.40% 2.62%(3)
Ratio of net investment income/(loss) to
average net assets/2/ .......................... (0.59)% (0.45)% (0.50)% (0.38)% 0.71%(3)
Portfolio turnover rate ........................... 228.69% 309.60% 338.40% 266.25% 19.21%
</TABLE>
-------------
* Commencement of operations.
/1/ Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
/2/ Reflects waivers and expense reimbursements, if any.
/3/ Annualized.
The accompanying notes are an integral part of the financial statements.
37
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Financial Highlights (concluded)
--------------------------------------------------------------------------------
Contained below is per share operating performance data for each share
outstanding, total investment return, ratios to average net assets and other
supplemental data for the respective periods. This information has been derived
from information provided in the financial statements.
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MID CAP FUND
----------------------------------------------------------------------------------
For the Period
For the Fiscal For the Fiscal For the Fiscal For the Fiscal June 3, 1996*
Year Ended Year Ended Year Ended Year Ended through
August 31, 2000 August 31, 1999 August 31, 1998 August 31, 1997 August 31, 1996
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ............ $ 16.89 $ 13.30 $ 17.16 $ 11.56 $12.00
------- ------- -------- ------- ------
Net investment income ........................... 0.08 0.05 0.05 0.08 0.03
Net realized and unrealized gain/(loss) on
investments and futures transactions,
if any ....................................... 4.25 4.97 (1.24) 5.58 (0.47)
------- ------- -------- ------- ------
Net increase/(decrease) in net assets resulting
from operations .............................. 4.33 5.02 (1.19) 5.66 (0.44)
------- ------- -------- ------- ------
Dividends and distributions to shareholders from:
Net investment income ........................... (0.03) (0.06) (0.06) (0.06) --
Net realized capital gains ...................... (1.97) (1.37) (2.61) -- --
------- ------- -------- ------- ------
Total dividends and distributions to
shareholders .................................. (2.00) (1.43) (2.67) (0.06) --
------- ------- -------- ------- ------
Net asset value, end of period .................. $ 19.22 $ 16.89 $ 13.30 $ 17.16 $11.56
======= ======= ======== ======= ======
Total investment return/1/ ...................... 29.61% 41.61% (8.97)% 49.11% (3.67)%
======= ======= ======== ======= ======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ....... $44,430 $49,156 $110,176 $52,491 $3,813
Ratio of expenses to average net assets/2/ ...... 1.00% 1.00% 1.00% 1.00% 1.00%(3)
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ... 1.61% 1.33% 1.26% 1.81% 8.98%(3)
Ratio of net investment income to average
net assets/2/ ................................ 0.40% 0.31% 0.36% 0.79% 1.89%(3)
Portfolio turnover rate ......................... 378.17% 384.71% 341.73% 263.83% 5.25%
</TABLE>
------------
* Commencement of operations.
/1/ Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(2) Reflects waivers and expense reimbursements, if any.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
38
<PAGE>
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
------------------------------------
For the Period
For the Fiscal November 30, 1998*
Year Ended through
August 31, 2000 August 31, 1999
--------------- ------------------
<S> <C> <C>
Per Share Operating Performance
Net asset value, beginning of period ...................... $ 12.86 $ 12.00
------- -------
Net investment income ..................................... 0.15 0.10
Net realized and unrealized gain/(loss) on
investments and futures transactions, if any ........... 1.32 0.76
------- -------
Net increase/(decrease) in net assets resulting
from operations ........................................ 1.47 0.86
------- -------
Dividends and distributions to shareholders from:
Net investment income ..................................... (0.10) --
Net realized capital gains ................................ (1.32) --
------- -------
Total dividends and distributions to shareholders ......... (1.42) --
------- -------
Net asset value, end of period ............................ $ 12.91 $ 12.86
======= =======
Total investment return/1/ ................................ 13.94% 7.17%
======= =======
Ratios/Supplemental Data
Net assets, end of period (000's omitted) ................. $13,481 $11,498
Ratio of expenses to average net assets/2/ ................ 1.00% 1.00%(3)
Ratio of expenses to average net assets without
waivers and expense reimbursements, if any ............. 2.34% 2.59%(3)
Ratio of net investment income to average
net assets/2/ .......................................... 1.35% 1.15%(3)
Portfolio turnover rate ................................... 256.28% 212.55%
</TABLE>
------------
* Commencement of operations.
/1/ Total investment return is calculated assuming a purchase of shares on the
first day and a sale of shares on the last day of each period reported and
includes reinvestments of dividends and distributions, if any. Total
investment returns are not annualized.
(2) Reflects waivers and expense reimbursements, if any.
(3) Annualized.
The accompanying notes are an integral part of the financial statements.
39
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements
1. Organization and Significant Accounting Policies
The RBB Fund, Inc. ("RBB") was incorporated under the laws of the State of
Maryland on February 29, 1988, and is registered under the Investment Company
Act of 1940, as amended, (the "Investment Company Act") as an open-end
management investment company. RBB is a "series fund," which is a mutual fund
divided into separate portfolios. Each portfolio is treated as a separate entity
for certain matters under the Investment Company Act, and for other purposes,
and a shareholder of one portfolio is not deemed to be a shareholder of any
other portfolio. Currently RBB has fourteen investment portfolios, including the
n/i numeric investors family of funds ("n/i numeric investors Family") which
consists of four diversified portfolios: n/i numeric investors Micro Cap Fund
("Micro Cap Fund"), n/i numeric investors Growth Fund ("Growth Fund"), n/i
numeric investors Mid Cap Fund ("Mid Cap Fund") (formerly known as n/i numeric
investors Growth & Value Fund) and n/i numeric investors Small Cap Value Fund
("Small Cap Value Fund") (each a "Fund", collectively the "Funds").
At a Special Meeting of Shareholders held on May 15, 2000, the shareholders of
the n/i numeric investors Larger Cap Value Fund (the "Larger Cap Value Fund"), a
series of RBB, approved the liquidation and termination of the Larger Cap Value
Fund pursuant to a Plan of Liquidation and Termination. As a result, the Larger
Cap Value Fund was liquidated and its assets distributed to shareholders on May
25, 2000.
RBB has authorized capital of thirty billion shares of common stock of which
19.88 billion are currently classified into ninety-seven classes. Each class
represents an interest in one of fourteen investment portfolios of RBB. The
classes have been grouped into fourteen separate "families," nine of which have
begun investment operations.
Portfolio Valuation -- The net asset value of each Fund is calculated as of the
close of regular trading on the NYSE on each business day. Each Fund's
securities are valued at the last reported sales price on the national
securities exchange or national securities market on which such shares are
primarily traded. If no sales are reported, and in the case of some securities
traded over-the-counter, portfolio securities are valued at the mean between the
last reported bid and asked prices. Securities for which market quotations are
not readily available are valued at fair market value as determined in good
faith by or under the direction of RBB's Board of Directors. With the approval
of RBB's Board of Directors, each Fund may use a pricing service, bank or
broker-dealer experienced in such matters to value its securities. Short-term
obligations with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
Repurchase Agreements -- Each Fund has agreed to purchase securities from
financial institutions subject to the seller's agreement to repurchase them at
an agreed-upon time and price ("repurchase agreements"). The financial
institutions with whom each Fund enters into repurchase agreements are banks and
broker/dealers, which Numeric Investors L.P.(R) (the Funds' "Adviser" or
"Numeric") considers creditworthy. The seller under a repurchase agreement will
be required to maintain the value of the securities as collateral, subject to
the agreement at not less than the repurchase price plus accrued interest.
Numeric marks to market daily the value of the collateral, and, if necessary,
requires the seller to maintain additional securities, so that the value of the
collateral is not less than the repurchase price. Default by or bankruptcy of
the seller would, however, expose each Fund to possible loss because of adverse
market action or delays in connection with the disposition of the underlying
securities.
40
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
Investment Transactions and Investment Income -- Transactions are accounted for
on the trade date. The cost of investments sold is determined by use of the
specific identification method for both financial reporting and income tax
purposes in determining realized gains and losses on investments. Interest
income is recorded on the accrual basis. Dividend income is recorded on the
ex-dividend date. Expenses not directly attributable to a specific Fund are
allocated based on relative net assets of each Fund.
Financial Futures Transactions -- Each Fund may invest in financial futures
contracts for hedging purposes, including conversion of cash to equity. When
entering into a futures contract, each Fund makes a deposit of an initial margin
with its custodian in a segregated account in the name of the futures' broker.
Subsequent payments to or from the broker, called variation margin, are made on
a daily basis as the price of the underlying security or index fluctuates,
making the long and short positions in the futures contracts more or less
valuable. When the contracts are closed, a gain or loss is realized equal to the
difference between the proceeds from (or cost of) the closing transaction and
the Fund's basis in the contracts.
The risks related to the use of futures contracts include: (i) the correlation
between movements in the market price of a Fund's investments (held or intended
for purchase) being hedged and in the price of the futures contract may be
imperfect; (ii) possible lack of a liquid secondary market for closing out
futures positions; (iii) the need for additional portfolio management skills and
techniques; and (iv) losses due to unanticipated market movements. Successful
use of futures by the Funds is subject to Numeric's ability to predict correctly
movements in the direction of the market.
The risk of loss in trading futures contracts in some strategies can be
substantial, due both to the low margin deposits required, and the extremely
high degree of leverage involved in futures pricing. As a result, a relatively
small price movement in a futures contract may result in immediate and
substantial loss or gain to the investor. Thus, a purchase or sale of a futures
contract may result in losses or gains in excess of the amount invested in the
contract. None of the Funds had open futures contracts at August 31, 2000.
Use of Estimates -- The preparation of financial statements in conformity with
accounting principles generally accepted in the United States of America,
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the period. Actual results could differ from those
estimates.
Dividends and Distributions -- Dividends from net investment income and
distributions from net realized capital gains, if any will be declared and paid
at least annually to shareholders. Income and capital gain distributions are
determined in accordance with U.S. federal income tax regulations, which may
differ from accounting principles generally accepted in the United States of
America. These differences can include the treatment of non-taxable dividends,
expiring capital loss carryforwards, foreign currency gain/loss, and losses
deferred due to wash sales and excise tax regulations. Permanent book and tax
basis differences relating to shareholder distributions will result in
reclassifications within the composition of net assets.
41
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
On October 26, 2000, the Funds paid dividends and distributions to shareholders
of record on October 19, 2000 from the following sources:
<TABLE>
<CAPTION>
CAPITAL GAINS
----------------------------------------------------
NET INVESTMENT INCOME SHORT-TERM LONG-TERM
----------------------- ----------------------- -----------------------
FUND PER SHARE AMOUNT PER SHARE AMOUNT PER SHARE AMOUNT
---- --------- ------ --------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Micro Cap Fund..................... -- -- $4.4044 $28,101,243 $0.2093 $1,335,390
Growth Fund........................ -- -- 6.0988 20,443,284 0.4220 1,414,551
Mid Cap Fund....................... $0.0762 $174,969 3.0558 7,016,674 -- --
Small Cap Value Fund............... 0.1428 149,957 -- -- -- --
</TABLE>
U.S. Federal Tax Status -- No provision is made for U.S. federal income taxes as
it is each Fund's intention to continue to qualify for and elect the tax
treatment applicable to regulated investment companies under Subchapter M of the
Internal Revenue Code of 1986, as amended, and make the requisite distributions
to its shareholders which will be sufficient to relieve it from U.S. federal
income and all excise taxes. The Funds did not incur any post-October losses
except for the Mid Cap and the Small Cap Value Funds, which incurred and elected
to defer such losses of $231,497 and $63,917, respectively.
At August 31, 2000, the Small Cap Value Fund had a capital loss carryforward of
$197,384 which expires in 2008.
2. Transactions with Affiliates and Related Parties
Numeric serves as each Fund's investment adviser. For its advisory services,
Numeric is entitled to receive 0.75% of each Fund's average daily net assets,
computed daily and payable monthly.
The Adviser has voluntarily agreed to limit each Fund's total operating expenses
until December 31, 2000 to the extent that such expenses exceed 1.00% of each
Fund's average daily net assets. As necessary, this limitation is effected in
waivers of advisory fees and reimbursements of expenses exceeding the advisory
fee. For the fiscal year ended August 31, 2000, investment advisory fees,
waivers and reimbursements of expenses were as follows:
<TABLE>
<CAPTION>
TOTAL NET EXPENSE
FUND ADVISORY FEES WAIVERS ADVISORY FEES REIMBURSEMENT
---- ------------- --------- ------------- -------------
<S> <C> <C> <C> <C>
Micro Cap Fund................................................... $851,528 $(160,187) $691,341 --
Growth Fund...................................................... 533,915 (125,333) 408,582 --
Mid Cap Fund..................................................... 329,362 (213,484) 115,878 --
Small Cap Value Fund............................................. 83,085 (75,193) 7,892 $4,558
</TABLE>
The Funds will not pay Numeric at a later time for any amounts it may waive or
any amounts, which Numeric has assumed.
Effective January 1, 2001, Numeric is entitled to a performance-based fee for
the Growth, Mid Cap and Small Cap Value Funds (advisory fees and expense
limitations for the Micro Cap Fund will remain unchanged) calculated at the end
of each month using a basic fee of 0.85% of average daily net assets and a
performance fee adjustment based on the Fund's
42
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
performance during the last rolling 12-month period. The current fee of 0.75%
would only increase if performance exceeds the predefined benchmark by 4.00% or
more in a given 12-month period and would be less than the current fee if
performance does not exceed the predefined benchmark by 3.00% in a given
12-month period. From January 1, 2001 through December 31, 2001 Numeric has
agreed to waive its advisory fee and/or reimburse expenses (other than brokerage
commissions, extraordinary items, interest and taxes) in an aggregate amount
equal to the amount by which the Growth, Mid Cap and/or Small Cap Value Funds'
total operating expenses (other than investment advisory fees, brokerage
commissions, extraordinary items, interest and taxes) exceeds a total operating
expense ratio (other than investment advisory fees, brokerage commissions,
extraordinary items, interest and taxes) of 0.50% of such Fund's average daily
net assets.
PFPC Worldwide Inc. ("PFPC"), an indirect majority-owned subsidiary of The PNC
Financial Services Group, and Bear Stearns Funds Management Inc. ("BSFM"), a
wholly-owned subsidiary of The Bear Stearns Companies Inc., serve as
co-administrators for each Fund. For providing administrative services PFPC is
entitled to receive a monthly fee equal to an annual rate of 0.125% of each
Fund's average daily net assets subject to a minimum monthly fee of $6,250 per
Fund. BSFM is entitled to receive a monthly fee equal to an annual rate of 0.05%
on the first $150 million and 0.02% of each Fund's average daily net assets
thereafter.
For the fiscal year ended August 31, 2000, PFPC, at its discretion, voluntarily
agreed to waive a portion of its co-administration fees. During such period,
PFPC's co-administration fees and related waivers were as follows:
<TABLE>
<CAPTION>
TOTAL PFPC PFPC NET PFPC
FUND CO-ADMINISTRATION FEES WAIVERS CO-ADMINISTRATION FEES
---- ---------------------- -------- ----------------------
<S> <C> <C> <C>
Micro Cap Fund.................................................. $141,953 $(11,354) $130,599
Growth Fund..................................................... 89,083 (6,521) 82,562
Mid Cap Fund.................................................... 74,999 -- 74,999
Small Cap Value Fund............................................ 74,999 (37,501) 37,498
</TABLE>
In addition, PFPC serves as each Fund's transfer and dividend disbursing agent.
PFPC, at its discretion, voluntarily agreed to waive a portion of its transfer
agency fees for the Small Cap Value Fund. For the fiscal year ended August 31,
2000, transfer agency fees and waivers were as follows:
<TABLE>
<CAPTION>
TOTAL NET
TRANSFER AGENCY TRANSFER AGENCY
FUND FEES WAIVERS FEES
---- --------------- ------- ---------------
<S> <C> <C> <C>
Micro Cap Fund................................................... $54,006 -- $54,006
Growth Fund...................................................... 44,987 -- 44,987
Mid Cap Fund..................................................... 88,252 -- 88,252
Small Cap Value Fund............................................. 39,144 $(18,001) 21,143
</TABLE>
Provident Distributors, Inc. ("PDI") provides certain administrative services to
each Fund. As compensation for such administrative services, PDI is entitled to
receive a monthly fee equal to an annual rate of 0.15% of each Fund's average
daily net assets.
43
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
PDI has, at its discretion, voluntarily agreed to waive a portion of its
administrative service fees for each Fund. For the fiscal year ended August 31,
2000, administrative services fees and waivers were as follows:
<TABLE>
<CAPTION>
TOTAL
ADMINISTRATIVE NET ADMINISTRATIVE
FUND SERVICES FEES WAIVERS SERVICES FEES
---- -------------- --------- ------------------
<S> <C> <C> <C>
Micro Cap Fund................................................... $170,306 $(147,598) $22,708
Growth Fund...................................................... 106,842 (92,597) 14,245
Mid Cap Fund..................................................... 65,872 (52,698) 13,174
Small Cap Value Fund............................................. 16,617 (13,294) 3,323
</TABLE>
These fees are accrued daily and paid monthly.
3. Investment in Securities
For U.S. federal income tax purposes, the costs of securities owned at August
31, 2000 were $110,772,753, $63,409,942, $41,012,834, and $11,979,815 for Micro
Cap Fund, Growth Fund, Mid Cap Fund, and Small Cap Value Fund, respectively.
Accordingly, the net unrealized appreciation of investments are as follows:
<TABLE>
<CAPTION>
GROSS GROSS
FUND APPRECIATION DEPRECIATION NET APPRECIATION
---- ------------ ------------ ----------------
<S> <C> <C> <C>
Micro Cap Fund................................................ $28,326,970 $(5,561,888) $22,765,082
Growth Fund................................................... 18,637,577 (2,991,274) 15,646,303
Mid Cap Fund.................................................. 4,436,201 (1,450,795) 2,985,406
Small Cap Value Fund.......................................... 1,556,287 (228,230) 1,328,057
</TABLE>
For the fiscal year ended August 31, 2000, aggregate purchases and sales of
investment securities (excluding short-term investments) were as follows:
<TABLE>
<CAPTION>
FUND PURCHASES SALES
---- ------------ ------------
<S> <C> <C>
Micro Cap Fund................................................................... $335,270,530 $324,364,985
Growth Fund...................................................................... 158,081,265 176,654,699
Mid Cap Fund..................................................................... 161,234,370 176,919,577
Small Cap Value Fund............................................................. 27,864,153 27,438,976
</TABLE>
44
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
4. Capital Share Transactions
As of August 31, 2000 each Fund has 50,000,000 shares of $0.001 par value
capital stock authorized.
Transactions in capital shares for the respective periods were as follows:
<TABLE>
<CAPTION>
MICRO CAP FUND
----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 2000 August 31, 1999
-------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
Sales......................................................... 2,541,464 $ 38,709,186 381,712 $ 6,008,613
Repurchases................................................... (1,712,324) (29,456,421) (4,714,604) (73,124,102)
Reinvestments................................................. 1,344,665 17,843,711 636,739 7,781,380
----------- ------------ ----------- ------------
Net increase/(decrease)....................................... 2,173,805 $ 27,096,476 (3,696,153) $(59,334,109)
=========== ============ =========== ============
<CAPTION>
GROWTH FUND
----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 2000 August 31, 1999
-------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
Sales......................................................... 720,389 $ 12,798,921 779,158 $ 9,139,659
Repurchases................................................... (1,655,639) (29,678,147) (4,573,587) (56,544,582)
Reinvestments................................................. 101,679 1,470,267 3,862 37,113
----------- ------------ ----------- ------------
Net decrease.................................................. (833,571) $(15,408,959) (3,790,567) $(47,367,810)
=========== ============ =========== ============
<CAPTION>
MID CAP FUND
----------------------------------------------------------
For the For the
Fiscal Year Ended Fiscal Year Ended
August 31, 2000 August 31, 1999
-------------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- -------------
Sales......................................................... 640,434 $ 10,359,270 927,772 $ 13,811,036
Repurchases................................................... (1,613,711) (26,213,267) (7,201,736) (109,304,768)
Reinvestments................................................. 373,721 5,370,370 897,920 $ 11,153,016
----------- ------------ ----------- -------------
Net decrease.................................................. (599,556) $(10,483,627) (5,376,044) $ (84,340,716)
=========== ============ =========== =============
</TABLE>
45
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (continued)
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
-------------------------------------------------------
For the Period
For the November 30, 1998*
Fiscal Year Ended through
August 31, 2000 August 31, 1999
---------------------- ------------------------
SHARES AMOUNT SHARES AMOUNT
-------- ----------- --------- -----------
<S> <C> <C> <C> <C>
Sales............................................................ 132,220 $ 1,506,811 1,000,505 $11,856,127
Repurchases...................................................... (101,298) (1,110,995) (106,258) (1,239,279)
Reinvestments.................................................... 119,413 1,251,449 -- --
-------- ----------- --------- -----------
Net increase..................................................... 150,335 $ 1,647,265 894,247 $10,616,848
======== =========== ========= ===========
</TABLE>
-----------
* Commencement of operations.
5. Securities Lending
Loans of securities are required at all times to be secured by collateral equal
to at least 100% of the market value of the securities on loan. However, in the
event of default or bankruptcy by the other party to the agreement, realization
and/or retention of the collateral may be subject to legal proceedings. In the
event that the borrower fails to return securities, and collateral being
maintained by the lender is insufficient to cover the value of loaned
securities, the borrower is obligated to pay the amount of the shortfall (and
interest thereon) to the Funds. However, there can be no assurance the Funds can
recover this amount. The value of securities on loan to brokers and the related
collateral received at August 31, 2000, were as follows:
<TABLE>
<CAPTION>
Value of
Fund Securities on Loan Value of collateral
---- ------------------ -------------------
<S> <C> <C>
Micro Cap Fund.................................................... $23,602,950 $24,031,174
Growth Fund....................................................... 9,446,840 9,705,145
Mid Cap Fund...................................................... 1,517,667 1,540,850
Small Cap Value Fund.............................................. 702,094 715,616
</TABLE>
Any cash collateral received is reinvested into repurchase agreements, which in
turn are collateralized by various U.S. Treasury securities.
46
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Notes to Financial Statements (concluded)
6. Collateral for Repurchase Agreements
Listed below is the collateral associated with the repurchase agreements with
Bear, Stearns & Co. Inc., outstanding at August 31, 2000:
<TABLE>
<CAPTION>
MICRO CAP FUND
--------------------------------------------------------
Principal Amount Total
Issuer (000's) Yield Maturity Market Value
----- ---------------- ------- -------- ------------
<S> <C> <C> <C> <C>
United States Treasury Bill .................................. $ 55 5.92% 11/02/00 $ 54,409
============
<CAPTION>
GROWTH FUND
--------------------------------------------------------
Principal Amount Total
Issuer (000's) Yield Maturity Market Value
----- ---------------- ------- -------- ------------
United States Treasury Strip, Principal Only ................. $5,730 6.62% 02/15/27 $1,269,539
============
<CAPTION>
MID CAP FUND
--------------------------------------------------------
Principal Amount Total
Issuer (000's) Yield Maturity Market Value
----- ---------------- ------- -------- ------------
United States Treasury Strip, Principal Only ................. $1,505 6.62% 02/15/27 $ 333,448
============
<CAPTION>
SMALL CAP VALUE FUND
--------------------------------------------------------
Principal Amount Total
Issuer (000's) Yield Maturity Market Value
----- ---------------- ------- -------- ------------
United States Treasury Strip, Principal Only ................. $2,020 6.62% 02/15/27 $ 447,551
============
</TABLE>
7. Reclassifications of Capital Accounts
In accordance with accounting pronouncements, the Funds have recorded
reclassifications in the capital accounts. These reclassifications have no
impact on the net asset value of the Funds and are designed generally to present
undistributed income and net realized gains on a tax basis which is considered
to be more informative to the shareholder. As of August 31, 2000, the following
Funds recorded reclassifications that increase/(decrease) the accounts listed
below:
<TABLE>
<CAPTION>
NET INVESTMENT ACCUMULATED NET REALIZED
Fund LOSS GAINS FROM INVESTMENTS
---- -------------- ------------------------
<S> <C> <C>
Micro Cap Fund ..................................................... $629,445 $(629,445)
Growth Fund ........................................................ 419,767 (419,767)
</TABLE>
47
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Report of Independent Accountants
To the Shareholders and Board of Directors of The RBB Fund, Inc.:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of n/i numeric investors Micro Cap
Fund, n/i numeric investors Growth Fund, n/i numeric investors Mid Cap Fund and
n/i numeric investors Small Cap Value Fund, separately managed portfolios of The
RBB Fund, Inc. (the "Fund") at August 31, 2000, the results of each of their
operations for the year then ended, and the changes in each of their net assets
and the financial highlights for each of the periods presented, in conformity
with accounting principles generally accepted in the United States of America.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Fund's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States of America,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at August 31, 2000 by correspondence with the
custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Two Commerce Square
Philadelphia, Pennsylvania
October 20, 2000
48
<PAGE>
[LOGO OF NUMERIC INVESTORS]
Micro Cap Fund
Growth Fund
Mid Cap Fund
Small Cap Value Fund
Shareholder Tax Information -- (unaudited)
Each Fund is required by Subchapter M of the Internal Revenue Code of 1986, as
amended, to advise its shareholders within 60 days of each Fund's fiscal year
(August 31, 2000) as to the U.S. federal tax status of distributions received by
each Fund's shareholders in respect of such fiscal year. During the fiscal year
ended August 31, 2000, the following dividends and distributions per share were
paid by each of the Funds:
<TABLE>
<CAPTION>
Ordinary Income (39.6%)
---------------------------
Net Investment Short-Term Long-Term
FUND Income Gains Gains (20%)
---- -------------- ---------- ----------
<S> <C> <C> <C>
Micro Cap Fund........................................................... -- $4.0470 $0.2846
Growth Fund.............................................................. -- 0.3646 --
Mid Cap Fund............................................................. $0.0298 1.9668 --
Small Cap Value Fund..................................................... 0.0979 1.3165 --
</TABLE>
The percentage of total ordinary income dividends from the Micro Cap, Growth,
Mid Cap and Small Cap Value Funds qualifying for the corporate dividends
received deduction is 1.73%, 100.00%, 3.71% and 28.08% respectively.
These amounts were reported to shareholders as income in 1999. Because each
Fund's fiscal year is not the calendar year, another notification will be sent
with respect to calendar year 2000. The second notification, which will reflect
the amount, if any to be used by calendar year taxpayers on their U.S. federal
income tax returns, will be made in conjunction with Form 1099-DIV and will be
mailed in January 2001.
Foreign shareholders will generally be subject to U.S. withholding tax on the
amount of their dividend. They will generally not be entitled to a foreign tax
credit or deduction for the withholding taxes paid by the Funds, if any.
In general, dividends received by tax-exempt recipients (e.g. IRA's and Keoghs)
need not be reported as taxable income for U.S. federal income tax purposes.
However, some retirement trusts (e.g. corporate, Keogh and 403(b)(7) plans) may
need this information for their annual information reporting.
Shareholders are advised to consult their own tax advisers with respect to the
tax consequences of their investment in the Funds.
49
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK.]
<PAGE>
[LOGO OF NUMERIC INVESTORS]
One Memorial Drive
Cambridge, MA 02142
1-800-numeric [686-3742]
http://www.numeric.com
Investment Adviser
Numeric Investors L.P.(R)
One Memorial Drive
Cambridge, MA 02142
Co-Administrators
Bear Stearns Funds Management Inc.
575 Lexington Avenue
New York, NY 10022
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
Distributor
Provident Distributors, Inc.
320 Horizons Drive
King of Prussia, PA 19406
Custodian
Custodial Trust Company
101 Carnegie Center
Princeton, NJ 05840
Transfer Agent
PFPC Inc.
Bellevue Corporate Center
400 Bellevue Parkway
Wilmington, DE 19809
Independent Accountants
PricewaterhouseCoopers LLP
Two Commerce Square, Suite 1700
2001 Market Street
Philadelphia, PA 19103
Counsel
Drinker Biddle & Reath LLP
One Logan Square
18th and Cherry Streets
Philadelphia, PA 19103
This report is submitted for the general information of the shareholders of each
Fund.It is not authorized for the distribution to prospective investors in each
Fund unless it is preceded or accompanied by a current prospectus which includes
details regarding each Fund's objectives, policies and other information. Total
investment return is based on historical results and is not intended to indicate
future performance. The total investment return and principal value of an
investment in each Fund will fluctuate, so that an investor's shares, when
redeemed, may be worth more or less than original cost.
<PAGE>
[LOGO OF NUMERIC INVESTORS] ---------------------
One Memorial Drive FIRST CLASS MAIL
Cambridge, MA 02142 U.S. POSTAGE PAID
LANCASTER, PA
1-800-numeric [686-3742] PERMIT NO. 1793
http://www.numeric.com ---------------------
[LOGO OF NUMERIC INVESTORS]
n/i numeric investors
Micro Cap Fund
n/i numeric investors
Growth Fund
n/i numeric investors
Mid Cap Fund
n/i numeric investors
Small Cap Value Fund
Annual Report
August 31, 2000
