December 31, 2020 (Unaudited)

Bridgeway Funds Standardized Returns as of December 31, 2020* (Unaudited)

US Stock Market Since 7/1926 (Annualized), as of 9/30/2020

Source: Bridgeway, Ken French data library, total US stocks formed into 25 portfolios based on size exposure, defined by market capitalization, and value exposure, defined by price-to-book ratios.

On the other hand, for the last 10 years, the benefit was only 0.90% annualized for the additional small value exposure, even after including a 13.51% advantage in the last year. 

US Small Value Stocks, Annualized Returns as of 9/30/20  

Source: Ken French data library and Bridgeway calculations.

These results illustrate another important point: One of These (Portfolios) Is Not Like the Others. The variation of returns reminds us that the level of capitalization and value exposure truly matters, even among different small-cap value strategies.

When a segment of the market does well, investors should expect the portfolio with the most exposure to the factors explaining the segment’s outperformance to have the highest return. And when a segment of the market does poorly, investors should expect that the same portfolio with the most exposure to the factors will underperform.

Performance across small-cap value portfolios can diverge significantly, particularly when the asset class is either doing significantly better or worse than the overall US market. This has definitely been the case over the last decade. Divergence is usually driven by meaningful differences in size of companies held, valuation of companies held, measures of value used, and differences in allocations across sectors like REITs and utilities. These performance differences rarely indicate that a portfolio is not efficiently delivering the expected returns. Instead, performance differences arise because of differences in portfolio design. A portfolio focused on the stocks with smaller size and deeper value will indeed not look like other small-cap value portfolios lacking that depth of exposure.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

December 31, 2020

So, as we sit in one of those periods that has not been like the others, what can small-cap value investors do? We at Bridgeway focus on the intersection of what matters and what we can control. We have discovered the power in the paradox that often the best thing for investors to do is “very little.”

As leaders in relational investing, we suggest being guided by principles and staying invested in your outcome. Diversification is a crucial concept for all investors, and for Bridgeway it includes not just the way we invest but also how we run our firm and the people we hire. We do not make dramatic changes to our portfolios because we are in a pandemic, recession, bear market, or other challenging time—and we think all investors should avoid the temptation. These moves are potentially costly in terms of trading needed to implement those changes and the substantial risks of not getting that timing call exactly right.

The Bridgeway Difference Makes our Firm One of the “Best Places to Work in Money Management”

In December 2020, Bridgeway was again named one of the Best Places to Work in Money Management by Pensions & Investments, an international publication that covers the money management industry. It’s the sixth time that we’ve received this recognition since 2014.

We’re especially proud of this achievement because it shows how deeply everyone at Bridgeway has embraced our mission to bridge the gap between results for investors and returns for humanity. Our diverse team is made up of individuals with unique skills and experience. But they all share a passion for applying the science of statistics to investment management, along with a determination to serve as stewards of our organization, our clients’ resources, and the community at large.

By creating this unique culture, we know that we’ll never lose sight of our Firm’s purpose: to help our clients prosper, create positive impact in the world, and change the investment industry for the better.

The Value in What We Don’t Do

By Tammira Philippe, CFA, President and CEO

Sometimes, it’s what we don’t do that makes all the difference. In 2005, brand new to Bridgeway and investing, I led the Bridgeway team in deciding NOT to launch a new small-cap value strategy. The research and evidence for this particular investment strategy had always been compelling, but that was not enough. Relational investing has to be grounded in strong relationships—in the data and with our clients, colleagues, and community. We asked ourselves, could we identify and serve the investors that this particular strategy could help the most? Certainly, I don’t want to overstate my role at the time. I didn’t know a lot about investing yet, but I did know how to ask for help and tap into the wisdom of the team, consistent with our principles of “state where you stand” and “stay curious.” Through dialogue and analysis with the team, and aligned with our principle of intentionality in all that we do, we decided to hold off on launching the new strategy until we had more evidence and confidence that we could identify and develop strong relationships with our target client base—a specialized group of financial advisors.

Fast forward five years to 2010. I received an email from some professionals in the advisor community we wanted to serve, who asked, “Have you ever considered launching this type of small-value strategy?” It seemed too good to be true! We said yes and inquired more about their needs, adhering to our principle of investing in your outcome. That was the beginning of an incredible journey and partnership, with Bridgeway launching and currently managing two small-cap value strategies dedicated to the needs of this specialized group of advisors and institutions.

Through the process and collaboration, we learned that our principles had played a key role in the relationship. Specifically, in 2000, Bridgeway had closed a strategy to new investment after an extraordinary 1999 led to dramatic inflows in 2000. While we definitely needed and appreciated the new assets, it seemed most plausible that many investors were chasing hot returns from 1999 and would be disappointed in the long term. So we closed the strategy temporarily, in line with our principles of “showing intentionality in all that we do,” “stating where you stand,” and “investing in your outcome.” Our principle that power is in the paradox became evident only years later in this case. None of us would have predicted that closing one strategy to new investors in 2000 would turn out to be a key element of building trust and credibility with investors to help us launch two new strategies ten years later in 2010 and 2011.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

December 31, 2020

On days when I struggle to say no and am disappointed to make the tough choices to prioritize, I try to remember this story, and the fact that sometimes, it’s what we don’t do that makes all the difference.

This is just one of many examples that support our belief that principles are the foundation of prosperity. We see the world differently at Bridgeway. We are leaders in relational investing, which bridges the gap between investment results and returns for humanity by taking an innovative approach to asset management. As a Bridgeway Funds shareholder, thank you for joining us on this mission.

Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited)

December 31, 2020

Dear Fellow Aggressive Investors 1 Fund Shareholder,

For the quarter ended December 31, 2020, our Fund returned +18.41%, outperforming our primary market benchmark, the S&P 500 Index (+12.15%) and our peer benchmark, the Lipper Capital Appreciation Funds Index (+15.70%), but trailing the Russell 2000 Index (+31.37%). It was a good quarter.

For the calendar year, our Fund returned +14.35%, underperforming our primary market benchmark, the S&P 500 Index (+18.40%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+27.38%), and the Russell 2000 Index (+19.96%).

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in the category of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

Growth of a $10,000 Investment 

from Inception August 5, 1994 to December 31, 2020

Detailed Explanation of Quarterly Performance

All three of the Fund’s model categories, Company Financial Health, Value Metrics, and Price Momentum, outperformed the benchmark during the quarter and added to relative results. The Fund’s tilt toward deeper value stocks also helped relative results during a period in which value stocks outperformed growth stocks. Likewise, the Fund’s overweighting in the benchmark’s smaller stocks improved relative returns, due to smaller stocks substantially outperforming larger stocks during the quarter. By design, the Fund invests in higher beta and higher volatility stocks, and this positioning contributed to relative performance.

From a sector perspective, the Fund’s allocation effect was positive, with overweightings in the Financials and Energy sectors contributing the most to relative performance. The Fund’s stock selection effect also was positive, primarily driven by holdings in the Information Technology, Communication Services, and Consumer Discretionary sectors.

Detailed Explanation of Calendar Year Performance

The Fund’s value metrics models substantially underperformed the benchmark, detracting from relative results. However, the Fund’s company financial health and price momentum models outperformed the benchmark, offsetting some of this negative impact. Several of the Fund’s main design features faced headwinds during the 12-month period. Overweightings in higher beta stocks detracted from relative performance. In addition, the Fund’s tilts toward smaller and deeper value stocks hurt relative results, as the fourth-quarter rebound for these stocks was not enough to overcome their underperformance from earlier in the year.

From a sector perspective, the Fund’s allocation effect was negative, primarily driven by overweightings in the Real Estate, Industrials, and Financials sectors. The Fund’s stock selection effect also was negative. Holdings in the Communication Services, Consumer Staples, Information Technology, and Industrials sectors detracted the most from relative performance.

Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

Top Ten Holdings as of December 31, 2020

 

  

Rank	Description	Industry	% of Net Assets
1	Apple, Inc.	Information Technology	2.0%
2	Amazon.com, Inc.	Consumer Discretionary	2.0%
3	Cadence Design Systems, Inc.	Information Technology	2.0%
4	Netflix, Inc.	Communication Services	1.9%
5	Microsoft Corp.	Information Technology	1.9%
6	Coupa Software, Inc.	Information Technology	1.8%
7	Ameriprise Financial, Inc.	Financials	1.8%
8	Tesla, Inc.	Consumer Discretionary	1.7%
9	Fiat Chrysler Automobiles NV	Consumer Discretionary	1.6%
10	Bank of America Corp.	Financials	1.5%
	Total		18.2%

 

Industry Sector Representation as of December 31, 2020 

 

 

	% of Net Assets			% of S&P 500 Index			Difference
Communication Services	11.1	%		10.8	%		0.3	%
Consumer Discretionary	16.6	%		12.7	%		3.9	%
Consumer Staples	3.3	%		6.5	%		-3.2	%
Energy	3.6	%		2.3	%		1.3	%
Financials	16.3	%		10.4	%		5.9	%
Health Care	13.9	%		13.5	%		0.4	%
Industrials	6.5	%		8.4	%		-1.9	%
Information Technology	24.9	%		27.6	%		-2.7	%
Materials	0.6	%		2.6	%		-2.0	%
Real Estate	3.0	%		2.4	%		0.6	%
Utilities	0.0	%		2.8	%		-2.8	%
Cash & Other Assets	0.2	%		0.0	%		0.2	%
Total	100.0	%		100.0	%

 

Disclaimer

 

  

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which

 

 

8	Semi-Annual Report | December 31, 2020 (Unaudited)

  

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Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. 

 

Conclusion

 

 

Thank you for your continued investment in Aggressive Investors 1 Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

 

bridgewayfunds.com

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Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS (Unaudited)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
COMMON STOCKS - 99.79%
Communication Services - 11.12%
Altice USA, Inc., Class A*			56,000			$	2,120,720
Discovery, Inc., Class A*+			63,700				1,916,733
DISH Network Corp., Class A*			52,000				1,681,680
Fox Corp., Class A			60,700				1,767,584
Netflix, Inc.*			6,000				3,244,380
Pinterest, Inc., Class A*			33,500				2,207,650
Roku, Inc.*			7,000				2,324,140
Sirius XM Holdings, Inc.+			244,300				1,556,191
Zynga, Inc., Class A*			220,000				2,171,400
							18,990,478
Consumer Discretionary - 16.56%
Amazon.com, Inc.*			1,040				3,387,207
Chegg, Inc.*+			22,500				2,032,425
Dollar General Corp.			6,800				1,430,040
Domino’s Pizza, Inc.			3,400				1,303,764
eBay, Inc.			27,900				1,401,975
Etsy, Inc.*			11,300				2,010,383
Fiat Chrysler Automobiles NV*			155,000				2,803,950
Gentex Corp.			37,000				1,255,410
Lennar Corp., Class A			18,500				1,410,255
Lowe’s Cos., Inc.			10,000				1,605,100
Mohawk Industries, Inc.*			15,100				2,128,345
PulteGroup, Inc.			37,300				1,608,376
Tesla, Inc.*			4,000				2,822,680
Tractor Supply Co.			11,000				1,546,380
Whirlpool Corp.			8,500				1,534,165
							28,280,455
Consumer Staples - 3.27%
Boston Beer Co., Inc. (The), Class A*			1,800				1,789,722
Hormel Foods Corp.			35,000				1,631,350
Kroger Co. (The)			68,000				2,159,680
							5,580,752
Energy - 3.58%
Canadian Natural Resources, Ltd.			40,000				962,000
ConocoPhillips			37,000				1,479,630
Imperial Oil, Ltd.+			124,000				2,359,720
Suncor Energy, Inc.			78,000				1,308,840
							6,110,190
Financials - 16.31%
Ally Financial, Inc.			53,500				1,907,810
Ameriprise Financial, Inc.			15,500				3,012,115

Industry Company		Shares				Value
Financials (continued)
Bank of America Corp.			84,600			$	2,564,226
Charles Schwab Corp. (The)			46,803				2,482,431
Huntington Bancshares, Inc.			135,600				1,712,628
M&T Bank Corp.			11,000				1,400,300
MarketAxess Holdings, Inc.			3,000				1,711,680
MetLife, Inc.			34,000				1,596,300
Morgan Stanley			30,000				2,055,900
MSCI, Inc.			3,800				1,696,814
Prudential Financial, Inc.			22,000				1,717,540
RenaissanceRe Holdings, Ltd.			10,000				1,658,200
Synchrony Financial			72,200				2,506,062
UBS Group AG+			130,000				1,836,900
							27,858,906
Health Care - 13.94%
10X Genomics, Inc., Class A*			15,300				2,166,480
Amneal Pharmaceuticals, Inc.*+			145,000				662,650
Biogen, Inc.*			5,900				1,444,674
Bristol-Myers Squibb Co.			25,000				1,550,750
DaVita, Inc.*			19,300				2,265,820
IDEXX Laboratories, Inc.*			4,000				1,999,480
Regeneron Pharmaceuticals, Inc.*			2,500				1,207,775
Repligen Corp.*			10,700				2,050,441
Seagen, Inc.*			8,200				1,436,148
Select Medical Holdings Corp.*			68,000				1,880,880
Teladoc Health, Inc.*			7,300				1,459,708
Universal Health Services, Inc., Class B			13,300				1,828,750
Vertex Pharmaceuticals, Inc.*			10,000				2,363,400
Zoetis, Inc.			9,000				1,489,500
							23,806,456
Industrials - 6.48%
Delta Air Lines, Inc.			44,200				1,777,282
Evoqua Water Technologies Corp.*			30,900				833,682
Fastenal Co.			47,000				2,295,010
Masonite International Corp.*			21,000				2,065,140
Rollins, Inc.			62,850				2,455,550

 

 

10	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Industrials (continued)
United Parcel Service, Inc., Class B			9,800			$	1,650,320
							11,076,984
Information Technology - 24.93%
Adobe, Inc.*			3,300				1,650,396
Advanced Micro Devices, Inc.*			19,000				1,742,490
Apple, Inc.			26,000				3,449,940
Cadence Design Systems, Inc.*			24,800				3,383,464
Coupa Software, Inc.*			9,000				3,050,190
Five9, Inc.*			14,600				2,546,240
Fortinet, Inc.*			13,500				2,005,155
Genpact, Ltd.			39,200				1,621,312
Globant SA*			8,700				1,893,207
HP, Inc.			86,700				2,131,953
HubSpot, Inc.*			5,100				2,021,844
Microsoft Corp.			14,500				3,225,090
NortonLifeLock, Inc.			78,000				1,620,840
NVIDIA Corp.			4,000				2,088,800
Oracle Corp.			23,500				1,520,215
QUALCOMM, Inc.			11,800				1,797,612
Seagate Technology PLC			26,400				1,641,024
Taiwan Semiconductor Manufacturing Co., Ltd., ADR			19,000				2,071,760
Ultra Clean Holdings, Inc.*			33,000				1,027,950
Zendesk, Inc.*			14,600				2,089,552
							42,579,034
Materials - 0.64%
CF Industries Holdings, Inc.			28,300				1,095,493
Real Estate - 2.96%
American Homes 4 Rent, Class A			60,000				1,800,000
Crown Castle International  Corp.			8,300				1,321,277
Realty, Income Corp.			31,200				1,939,704
							5,060,981
TOTAL COMMON STOCKS - 99.79%							170,439,729
(Cost $138,282,041)

		Rate^				Shares				Value
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 2.12%
Fidelity Investments Money Market Government Portfolio Class I**			0.01%				3,612,911			$	3,612,911
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.12%											3,612,911
(Cost $3,612,911)
TOTAL INVESTMENTS - 101.91%										$	174,052,640
(Cost $141,894,952)
Liabilities in Excess of Other Assets - (1.91%)											(3,266,016	)
NET ASSETS - 100.00%										$	170,786,624

 

*

Non-income producing security.

**

This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

^

Rate disclosed as of December 31, 2020.

+

This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $7,703,138 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.

 

ADR - American Depositary Receipt

PLC - Public Limited Company

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

 

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks (a)		$	170,439,729			$	–			$	–			$	170,439,729
Investments Purchased With Cash Proceeds From Securities Lending			–				3,612,911				–				3,612,911
TOTAL		$	170,439,729			$	3,612,911			$	–			$	174,052,640

 

(a)

- Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

 

See Notes to Financial Statements.

 

 

bridgewayfunds.com

11

 

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Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited)

 

 

December 31, 2020

 

Dear Fellow Ultra-Small Company Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +34.59%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+38.01%). However, the Fund outperformed our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+33.11%), as well as the Russell 2000 Index (+31.37%) and the Russell Microcap Index (+31.39%). Results in this quarter were good on an absolute basis, but mixed on a relative basis.

 

For the calendar year, our Fund returned +31.31%, underperforming the CRSP Cap-Based Portfolio 10 Index (+34.53%), but outperforming the Lipper Micro-Cap Stock Funds Index (+27.05%), the Russell 2000 Index (+19.96%), and the Russell Microcap Index (+20.96%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

 

				Annualized
							Since
							Inception
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	(8/5/94)
Ultra-Small Company Fund	34.59%	44.47%	31.31%	7.52%	7.09%	5.77%	12.80%
CRSP Cap-Based Portfolio 10 Index	38.01%	42.88%	34.53%	14.46%	10.83%	9.09%	12.20%
Russell 2000 Index	31.37%	37.85%	19.96%	13.26%	11.20%	8.91%	9.68%
Russell Microcap Index	31.39%	36.24%	20.96%	11.89%	10.55%	7.34%	N/A
Lipper Micro-Cap Stock Funds Index	33.11%	42.34%	27.05%	12.95%	10.84%	8.08%	N/A

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 769 of the smallest publicly traded US stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market (with dividends reinvested). The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

 

12	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

Growth of a $10,000 Investment

from Inception August 5, 1994 to December 31, 2020

 

 

 

 

*

The Lipper Micro-Cap Stock Funds Index began on 12/31/1995, and the line graph for the Index begins at the same value as the Fund on that date.

**

The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date.

 

Detailed Explanation of Quarterly Performance

 

All three of the Fund’s model categories, Company Financial Health, Value Metrics, and Price Momentum, lagged the benchmark during the quarter and detracted from relative performance. However, the Fund’s tilt toward deeper value stocks across multiple valuation metrics improved relative results.

 

During the quarter, the Fund held approximately 29% of its assets, on average, in stocks that were outside of the CRSP 10 index, including stocks that had appreciated into larger CRSP deciles. These larger holdings generally underperformed the benchmark, detracting from relative results.

 

From a sector perspective, the Fund’s allocation effect was modestly negative, largely driven by an underweighting in the Energy sector. The Fund’s stock selection effect also was negative. Holdings in the Consumer Discretionary, Financials, and Materials sectors detracted the most from relative performance.

 

 

bridgewayfunds.com

13

 

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Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.

 

CRSP Decile1	Quarter	6 Months	1 Year	Annualized
				5 Years	10 Years	94 Years
1 (ultra-large)	12.07%	24.04%	24.00%	16.82%	14.60%	9.66%
2	18.19%	26.51%	21.46%	15.27%	13.73%	10.72%
3	22.59%	34.12%	23.56%	15.52%	13.06%	11.17%
4	25.37%	32.73%	18.11%	13.32%	12.33%	10.98%
5	31.15%	36.98%	25.22%	12.80%	11.20%	11.43%
6	36.86%	41.80%	31.88%	14.98%	12.42%	11.48%
7	33.87%	42.18%	29.06%	17.57%	13.75%	11.81%
8	37.38%	37.60%	15.88%	11.55%	10.16%	11.42%
9	37.86%	47.38%	34.68%	17.37%	12.38%	11.66%
10 (ultra-small)	38.01%	42.88%	34.53%	14.46%	10.83%	13.29%

 

1

Performance figures are as of the period ended December 31, 2020. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

 

Detailed Explanation of Calendar Year Performance

 

 

The Fund’s value metrics and price momentum models underperformed the benchmark during the year, detracting from relative results. However, the Fund’s company financial health models outperformed the benchmark and offset some of this negative impact. The Fund’s tilt toward deeper value stocks across multiple valuation metrics hurt relative results.

 

During the year, the Fund held approximately 29% of its assets, on average, in stocks that were outside of the CRSP 10 index, including stocks that had appreciated into larger CRSP deciles. The Fund’s non-CRSP 10 holdings generally outperformed the benchmark, improving relative results.

 

From a sector perspective, the Fund’s allocation effect was positive. An underweighting in the Energy sector and an over-weighting in the Information Technology sector contributed the most to relative results. However, the Fund’s stock selection effect was negative, largely due to poor performance from holdings in the Consumer Discretionary and Information Technology sectors.

 

Top Ten Holdings as of December 31, 2020

 

 

			% of Net
Rank	Description	Industry	Assets
1	Broadwind, Inc.	Industrials	2.9%
2	Consumer Portfolio Services, Inc.	Financials	2.2%
3	Elevate Credit, Inc.	Financials	2.1%
4	cbdMD, Inc.	Health Care	2.1%
5	Big 5 Sporting Goods Corp.	Consumer Discretionary	2.0%
6	Orion Energy Systems, Inc.	Industrials	2.0%
7	Neuronetics, Inc.	Health Care	2.0%
8	LSI Industries, Inc.	Industrials	1.9%
9	Lazydays Holdings, Inc.	Consumer Discretionary	1.9%
10	Manning & Napier, Inc.	Financials	1.9%
	Total		21.0%

 

 

14	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

Industry Sector Representation as of December 31, 2020

 

  

			% of CRSP 10
	% of Net Assets		Index		Difference
Communication Services	5.0%		5.8%		-0.8%
Consumer Discretionary	13.8%		11.7%		2.1%
Consumer Staples	1.4%		1.5%		-0.1%
Energy	6.7%		11.4%		-4.7%
Financials	20.1%		21.4%		-1.3%
Health Care	21.9%		23.7%		-1.8%
Industrials	14.2%		10.6%		3.6%
Information Technology	11.3%		9.1%		2.2%
Materials	3.9%		3.7%		0.2%
Real Estate	0.0%		0.9%		-0.9%
Utilities	0.0%		0.2%		-0.2%
Cash & Other Assets	1.7%		0.0%		1.7%
Total	100.0%		100.0%

 

Disclaimer

 

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.

 

Conclusion

 

 

Ultra-Small Company Fund remains closed to new investors. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

 

bridgewayfunds.com

15

 

---

 

 

Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS (Unaudited)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
COMMON STOCKS - 98.27%
Communication Services - 4.97%
Alaska Communications Systems Group, Inc.			294,800			$	1,087,812
Cinedigm Corp., Class A*+			137,000				88,338
Creative Realities, Inc.*			275,500				355,395
Cumulus Media, Inc., Class A*+			157,900				1,376,888
DHI Group, Inc.*			85,400				189,588
Entravision Communications Corp., Class A			101,100				278,025
Gogo, Inc.*+			31,200				300,456
Salem Media Group, Inc.+			128,000				133,120
Townsquare Media, Inc., Class A			18,400				122,544
							3,932,166
Consumer Discretionary - 13.75%
AMCON Distributing Co.+			2,100				249,795
Bassett Furniture Industries, Inc.			40,600				815,248
Big 5 Sporting Goods Corp.+			157,600				1,609,096
Build-A-Bear Workshop, Inc.*			22,600				96,502
Charles & Colvard, Ltd.*			298,600				367,278
Comstock Holding Cos., Inc.*+			22,200				70,374
Conn’s, Inc.*			89,800				1,049,762
Container Store Group, Inc. (The)*			43,200				412,128
Crown Crafts, Inc.			34,900				249,535
Dixie Group, Inc. (The)*			40,300				102,765
Educational Development Corp.			72,100				1,107,456
Hamilton Beach Brands Holding Co., Class A			1,400				24,514
Hovnanian Enterprises, Inc., Class A*+			33,600				1,104,096
Lakeland Industries, Inc.*+			41,200				1,122,700
Lazydays Holdings, Inc.*+			92,400				1,501,500
Lincoln Educational Services Corp.*+			74,464				484,016
Live Ventures, Inc.*			7,302				90,326
Rocky Brands, Inc.			1,100				30,877
Strattec Security Corp.			4,700				231,992
Vince Holding Corp.*+			26,200				166,632
							10,886,592
Consumer Staples - 1.38%
Farmer Bros. Co.*			36,600				170,922

Industry Company		Shares				Value
Consumer Staples (continued)
Lifeway Foods, Inc.*			41,700			$	225,597
Mannatech, Inc.			13,809				256,848
Natural Alternatives International, Inc.*			21,500				224,030
Ocean Bio-Chem, Inc.+			12,798				170,981
Summer Infant, Inc.*+			3,000				46,050
							1,094,428
Energy - 6.67%
Aemetis, Inc.*+			145,000				361,050
Amplify Energy Corp.			160,000				209,600
Centrus Energy Corp., Class A*+			34,000				786,420
Dawson Geophysical Co.*			40,000				84,800
ENGlobal Corp.*+			78,700				251,840
Exterran Corp.*			54,600				241,332
Goodrich Petroleum Corp.*			14,200				143,278
Gran Tierra Energy, Inc.*			337,000				122,601
Mammoth Energy Services, Inc.*			110,000				489,500
MIND Technology, Inc.*			22,400				50,176
PrimeEnergy Resources Corp.*			400				17,268
QEP Resources, Inc.			280,000				669,200
SilverBow Resources, Inc.*+			145,951				775,000
Smart Sand, Inc.*			294,437				506,432
Southwestern Energy Co.*			1				3
Superior Drilling Products, Inc.*			122,800				74,257
TETRA Technologies, Inc.*			245,000				211,067
Uranium Energy Corp.*			14,000				24,640
VAALCO Energy, Inc.*			150,700				266,739
							5,285,203
Financials - 20.13%
A-Mark Precious Metals, Inc.			39,500				1,013,175
AmeriServ Financial, Inc.			11,600				36,308
Ashford, Inc.*+			12,300				105,534
Atlanticus Holdings Corp.*			34,000				837,420
Bank7 Corp.			3,500				49,700
C&F Financial Corp.			1,952				72,439
Capitala Finance Corp.*+			61,583				881,869
Carver Bancorp, Inc.*+			146,500				950,785
CF Bankshares, Inc.+			4,800				82,704
Chemung Financial Corp.			2,500				84,875
Citizens Community Bancorp, Inc.			3,300				35,937
Cohen & Co., Inc.*+			25,100				410,008

 

 

16	Semi-Annual Report | December 31, 2020 (Unaudited)

 

---

 

 

Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Community West Bancshares			5,000			$	45,400
Consumer Portfolio Services, Inc.*			408,100				1,730,344
Eagle Bancorp Montana, Inc.			4,300				91,246
Elevate Credit, Inc.*			418,700				1,670,613
FG Financial Group, Inc.*			7,800				32,916
First Guaranty Bancshares, Inc.			2,100				37,317
First United Corp.			3,600				55,800
FlexShopper, Inc.*			44,300				113,851
GAMCO Investors, Inc., Class A			4,200				74,508
Impac Mortgage Holdings, Inc.*			77,881				236,758
Investcorp Credit Management BDC, Inc.			106,200				505,512
Kingstone Cos., Inc.			16,200				107,730
Manning & Napier, Inc.			233,800				1,465,926
Marlin Business Services Corp.			61,543				753,286
Monroe Capital Corp.+			55,100				442,453
National Holdings Corp.*			80,400				243,612
Northeast Bank			19,700				443,644
Ocwen Financial Corp.*			42,600				1,231,566
OP Bancorp			12,000				92,400
Portman Ridge Finance Corp.+			21,600				41,256
Pzena Investment  Management, Inc., Class A			59,100				431,430
Randolph Bancorp, Inc.*			3,600				79,416
Regional Management  Corp.			6,900				206,034
Richmond Mutual  BanCorp, Inc.			2,800				38,248
Riverview Bancorp, Inc.			13,700				72,062
SB Financial Group, Inc.			6,122				111,910
Security National Financial  Corp., Class A*			122,677				1,024,353
							15,940,345
Health Care - 21.91%
Alimera Sciences, Inc.*			18,300				77,226
American Shared Hospital  Services*+			125,200				277,944
Ampio Pharmaceuticals, Inc.*+			415,000				659,850
Apyx Medical Corp.*			19,900				143,280
Assertio Holdings, Inc.*			160,000				57,216
Bioanalytical Systems, Inc.*			67,510				830,373

Industry Company		Shares				Value
Health Care (continued)
Castlight Health, Inc., Class B*			325,552			$	423,218
cbdMD, Inc.*+			561,400				1,656,130
Conformis, Inc.*			145,000				95,700
Cumberland  Pharmaceuticals, Inc.*			16,400				48,216
CynergisTek, Inc.*			86,700				125,715
Digirad Corp.*+			168,800				605,992
Electromed, Inc.*			113,838				1,116,751
Enzo Biochem, Inc.*+			108,600				273,672
Exagen, Inc.*+			14,700				194,040
EyePoint Pharmaceuticals, Inc.*+			13,000				85,540
Five Star Senior Living, Inc.*			27,500				189,750
Harrow Health, Inc.*			23,700				162,582
Harvard Bioscience, Inc.*			211,500				907,335
Infinity Pharmaceuticals, Inc.*			70,300				149,036
InfuSystem Holdings, Inc.*			76,898				1,444,144
IntriCon Corp.*			40,900				740,290
IRIDEX Corp.*			20,900				52,459
Kewaunee Scientific Corp.*			16,100				203,021
Lineage Cell Therapeutics, Inc.*+			166,300				292,688
Matinas BioPharma Holdings, Inc.*+			375,000				510,000
Milestone Scientific, Inc.*+			263,300				558,196
Minerva Neurosciences, Inc.*			89,000				208,260
MTBC, Inc.*+			149,400				1,355,058
Navidea Biopharmaceuticals, Inc.*			39,940				85,871
Neuronetics, Inc.*+			142,100				1,578,731
Palatin Technologies, Inc.*			250,000				168,950
Pro-Dex, Inc.*			1,700				52,649
Protalix BioTherapeutics, Inc.*+			67,000				243,210
Retractable Technologies, Inc.*+			91,800				985,932
Rockwell Medical, Inc.*			111,500				112,615
Sesen Bio, Inc.*			296,500				400,275
Sierra Oncology, Inc.*+			4,700				75,341
Sonoma Pharmaceuticals, Inc.*+			15,900				115,434
SunLink Health Systems, Inc.*			4,700				5,969
Timber Pharmaceuticals, Inc.*+			107,800				80,095
							17,348,754

 

 

bridgewayfunds.com

17

 

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Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Industrials - 14.17%
Acme United Corp.			22,800			$	686,964
Air Industries Group*			113,200				139,236
ARC Document Solutions, Inc.			389,600				576,608
Avalon Holdings Corp., Class A*+			14,700				38,220
BG Staffing, Inc.			14,700				198,303
Broadwind, Inc.*			289,100				2,292,563
Chicago Rivet & Machine  Co.			1,900				43,434
DIRTT Environmental  Solutions*			86,500				213,655
DLH Holdings Corp.*			16,100				150,052
Fuel Tech, Inc.*+			80,000				310,400
GEE Group, Inc.*			56,500				56,246
Hill International, Inc.*			102,800				197,376
Houston Wire & Cable Co.*			16,500				46,035
Hudson Global, Inc.*			2,019				21,200
Hudson Technologies, Inc.*			179,200				195,328
Huttig Building Products, Inc.*+			66,300				243,321
LS Starrett Co. (The), Class A*			32,300				136,629
LSI Industries, Inc.			177,500				1,519,400
Mastech Digital, Inc.*			29,100				462,690
Mayville Engineering Co., Inc.*			3,700				49,654
Navios Maritime Holdings, Inc.*			21,300				47,925
Orion Energy Systems, Inc.*			162,200				1,600,914
Orion Group Holdings, Inc.*			110,100				546,096
Performant Financial Corp.*			50,000				44,050
Perma-Pipe International Holdings, Inc.*			4,500				27,270
Quad/Graphics, Inc.			99,675				380,758
Quest Resource Holding Corp.*			22,000				50,380
RCM Technologies, Inc.*			52,000				107,640
Team, Inc.*			53,100				578,790
Tel-Instrument Electronics Corp.*+			11,400				37,620
Transcat, Inc.*			1,046				36,275
Virco Mfg. Corp.*			17,600				44,528
Volt Information Sciences, Inc.*			77,700				137,529
							11,217,089
Information Technology - 11.31%
AstroNova, Inc.			16,800				178,920

Industry Company		Shares				Value
Information Technology (continued)
Aviat Networks, Inc.*			40,713			$	1,390,349
Blonder Tongue Laboratories, Inc.*+			290,100				385,833
Communications Systems, Inc.			105,900				483,963
Computer Task Group, Inc.*			7,700				47,124
CounterPath Corp.*			94,000				320,540
CPS Technologies Corp.*			76,900				213,782
Daktronics, Inc.			34,400				160,992
Information Services Group, Inc.*			89,400				293,232
inTEST Corp.*			213,400				1,384,945
Intevac, Inc.*			57,600				415,296
MicroVision, Inc.*+			68,900				370,682
NetSol Technologies, Inc.*			9,700				36,860
One Stop Systems, Inc.*+			29,000				116,000
PRGX Global, Inc.*			39,600				302,148
RF Industries, Ltd.			59,296				291,143
Schmitt Industries, Inc.*+			70,802				378,083
SecureWorks Corp., Class A*			27,600				392,472
Synacor, Inc.*			164,600				223,856
Taitron Components, Inc., Class A			68,500				221,940
TESSCO Technologies, Inc.			45,130				281,611
TransAct Technologies, Inc.			43,500				308,850
Universal Security  Instruments, Inc.*+			110,500				553,605
WidePoint Corp.*			19,810				200,279
							8,952,505
Materials - 3.94%
AgroFresh Solutions, Inc.*			35,100				79,677
Ampco-Pittsburgh Corp.*			33,600				184,128
Core Molding  Technologies, Inc.*			23,200				326,656
Flexible Solutions International, Inc.*			37,600				93,624
Friedman Industries, Inc.			71,800				492,548
Gulf Resources, Inc.*			107,360				440,176
Olympic Steel, Inc.			95,000				1,266,350
Ramaco Resources, Inc.*			20,700				59,616
TimkenSteel Corp.*			38,800				181,196
							3,123,971

 

18	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company						Shares				Value
Common Stocks (continued)
Real Estate - 0.04%
Indus Realty Trust, Inc.							500			$	31,250
TOTAL COMMON STOCKS - 98.27%											77,812,303
(Cost $58,865,443)
		Rate^				Shares				Value
MONEY MARKET FUND - 1.73%
Fidelity Investments Money Market Government Portfolio Class I			0.01%				1,372,449				1,372,449
TOTAL MONEY MARKET FUND - 1.73%											1,372,449
(Cost $1,372,449)
INVESTMENTS PURCHASED WITH CASH PROCEEDS
FROM SECURITIES LENDING - 11.91%
Fidelity Investments Money Market Government Portfolio Class I**			0.01%				9,432,121				9,432,121
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 11.91%											9,432,121
(Cost $9,432,121)
TOTAL INVESTMENTS - 111.91%										$	88,616,873
(Cost $69,670,013)
Liabilities in Excess of Other Assets - (11.91%)											(9,431,135	)
NET ASSETS - 100.00%										$	79,185,738

 

*

Non-income producing security.

**

This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

^

Rate disclosed as of December 31, 2020.

+

This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $12,718,830 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.

 

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

 

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted  Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks (a)		$	77,812,303			$	–			$	–			$	77,812,303
Money Market Fund			–				1,372,449				–				1,372,449
Investments Purchased With Cash Proceeds From Securities Lending			–				9,432,121				–				9,432,121
TOTAL		$	77,812,303			$	10,804,570			$	–			$	88,616,873

 

(a)

- Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

 

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

Investment in Securities (Value)
		Common Stocks
Balance as of 06/30/2020		$	11,264
Purchases/Issuances			–
Sales/Expirations			(10,462	)
Return of Capital			–
Realized Gain/(Loss)			(115,097	)
Change in unrealized Appreciation/(Depreciation)			114,295
Transfers in			–
Transfers out			–
Balance as of 12/31/2020		$	–
Net change in unrealized Appreciation/(Depreciation) from investments held as of 12/31/2020		$	–

 

See Notes to Financial Statements.

 

 

bridgewayfunds.com

19

 

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Ultra-Small Company Market Fund
MANAGER’S COMMENTARY (Unaudited)

 

 

December 31, 2020 

Dear Fellow Ultra-Small Company Market Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +37.09%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+38.01%). However, our Fund outperformed our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+33.11%), as well as the Russell 2000 Index (+31.37%) and the Russell Microcap Index (+31.39%). Results in this quarter were good on an absolute basis, but mixed on a relative basis.

 

For the calendar year, our Fund returned +25.53%, trailing the CRSP Cap-Based Portfolio 10 Index (+34.53%), and the Lipper Micro-Cap Stock Funds Index (+27.05%), and outperformed the Russell 2000 Index (+19.96%), and the Russell Microcap Index (+20.96%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

  

				Annualized
							Since
							Inception
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	(7/31/97)
Ultra-Small Company Market Fund	37.09%	46.45%	25.53%	10.39%	10.11%	6.66%	10.30%
CRSP Cap-Based Portfolio 10 Index	38.01%	42.88%	34.53%	14.46%	10.83%	9.09%	11.20%
Russell 2000 Index	31.37%	37.85%	19.96%	13.26%	11.20%	8.91%	8.32%
Russell Microcap Index	31.39%	36.24%	20.96%	11.89%	10.55%	7.34%	N/A
Lipper Micro-Cap Stock Funds Index	33.11%	42.34%	27.05%	12.95%	10.84%	8.08%	8.53%

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 769 of the smallest publicly traded US stocks with dividends reinvested, as reported by the Center for Research on Security Prices. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Lipper Micro- Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

 

20	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Market Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

Growth of a $10,000 Investment 

from Inception July 31, 1997 to December 31, 2020

 

 

 

*

The Russell Microcap Index began on 6/30/2000, and the line graph for the Index begins at the same value as the Fund on that date.

 

Detailed Explanation of Quarterly Performance

 

 

The Fund’s sidestepping strategies, which eliminate exposure to stocks with high probability of steep price decline, major financial distress or bankruptcy, hurt performance against the benchmark. During the quarter, the Fund held about 12% of its assets, on average, in stocks outside of CRSP 10. Overall, the Fund’s holdings outside of CRSP 10 contributed positively to relative performance.

 

From a sector perspective, the Fund’s stock selection effect was negative, with holdings in the Health Care and Industrials sectors detracting the most from relative returns.

 

The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.

 

CRSP Decile1	Quarter	6 Months	1 Year	Annualized
				5 Years	10 Years	94 Years
1 (ultra-large)	12.07%	24.04%	24.00%	16.82%	14.60%	9.66%
2	18.19%	26.51%	21.46%	15.27%	13.73%	10.72%
3	22.59%	34.12%	23.56%	15.52%	13.06%	11.17%
4	25.37%	32.73%	18.11%	13.32%	12.33%	10.98%
5	31.15%	36.98%	25.22%	12.80%	11.20%	11.43%
6	36.86%	41.80%	31.88%	14.98%	12.42%	11.48%
7	33.87%	42.18%	29.06%	17.57%	13.75%	11.81%
8	37.38%	37.60%	15.88%	11.55%	10.16%	11.42%
9	37.86%	47.38%	34.68%	17.37%	12.38%	11.66%
10 (ultra-small)	38.01%	42.88%	34.53%	14.46%	10.83%	13.29%

 

1

Performance figures are as of the period ended December 31, 2020. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

 

 

bridgewayfunds.com

21

 

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Ultra-Small Company Market Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

Detailed Explanation of Calendar Year Performance

 

 

During the year, the Fund held about 16% of its assets, on average, in stocks outside of CRSP 10. These larger stocks lagged the benchmark and detracted from relative performance. The Fund’s sidestepping strategies, which eliminate exposure to stocks with high probability of steep price decline, major financial distress or bankruptcy, also hurt performance against the benchmark.

 

From a sector perspective, the Fund’s stock selection effect was significantly negative. Holdings in the Energy, Health Care, Information Technology, and Industrials sectors detracted the most from relative results.

 

Top Ten Holdings as of December 31, 2020

 

 

			% of Net
Rank	Description	Industry	Assets
1	Five Prime Therapeutics, Inc.	Health Care	0.9%
2	Intrepid Potash, Inc.	Materials	0.7%
3	Emerald Holding, Inc.	Communication Services	0.7%
4	Aclaris Therapeutics, Inc.	Health Care	0.7%
5	Lexicon Pharmaceuticals, Inc.	Health Care	0.6%
6	PlayAGS, Inc.	Consumer Discretionary	0.6%
7	StoneMor, Inc.	Consumer Discretionary	0.5%
8	Oil States International, Inc.	Energy	0.5%
9	Contura Energy, Inc.	Materials	0.5%
10	Solid Biosciences, Inc.	Health Care	0.5%
	Total		6.2%

 

Industry Sector Representation as of December 31, 2020

 

 

			% of CRSP 10
	% of Net Assets		Index		Difference
Communication Services	5.2%		5.8%		-0.6%
Consumer Discretionary	13.0%		11.7%		1.3%
Consumer Staples	0.9%		1.5%		-0.6%
Energy	10.5%		11.4%		-0.9%
Financials	20.8%		21.4%		-0.6%
Health Care	22.4%		23.7%		-1.3%
Industrials	10.9%		10.6%		0.3%
Information Technology	10.3%		9.1%		1.2%
Materials	4.5%		3.7%		0.8%
Real Estate	0.4%		0.9%		-0.5%
Utilities	0.2%		0.2%		0.0%
Cash & Other Assets	0.9%		0.0%		0.9%
Total	100.0%		100.0%

 

Disclaimer

 

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

 

22	Semi-Annual Report | December 31, 2020 (Unaudited)

 

---

 

 

Ultra-Small Company Market Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

 

The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.

 

Conclusion

 

  

Thank you for your continued investment in Ultra-Small Company Market Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

 

bridgewayfunds.com

23

 

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Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

COMMON STOCKS - 99.18%
Communication Services - 5.23%
A.H. Belo Corp., Class A			125,883			$	190,084
Alaska Communications Systems Group, Inc.			164,700				607,743
Ballantyne Strong, Inc.*			100,000				201,350
Beasley Broadcast Group, Inc., Class A			24,625				36,691
Chicken Soup For The Soul Entertainment, Inc.*			15,000				299,850
Cinedigm Corp., Class A*			350,000				225,680
comScore, Inc.*			224,100				558,009
Cumulus Media, Inc., Class A*			80,500				701,960
DHI Group, Inc.*			178,000				395,160
Emerald Holding, Inc.			240,000				1,300,800
Entravision Communications Corp., Class A			244,900				673,475
Fluent, Inc.*			72,000				382,320
Gaia, Inc.*+			48,400				478,192
IDT Corp., Class B*			58,700				725,532
Lee Enterprises, Inc.*			186,000				234,360
Marchex, Inc., Class B*			136,900				268,324
Marcus Corp. (The)+			25,000				337,000
NII Holdings, Inc., Escrow*∆			287,700				604,170
Saga Communications, Inc., Class A			11,516				276,614
Salem Media Group, Inc.+			94,000				97,760
Spok Holdings, Inc.			60,000				667,800
Townsquare Media, Inc., Class A			44,500				296,370
Travelzoo*+			62,400				589,056
Zedge, Inc., Class B*			19,919				120,311
							10,268,611
Consumer Discretionary - 12.96%
AMCON Distributing Co.			3,900				463,905
Ark Restaurants Corp.			17,900				347,081
Barnes & Noble Education, Inc.*			216,000				1,004,400
Bassett Furniture Industries, Inc.			36,244				727,780
BBQ Holdings, Inc.*			29,838				143,819
Big 5 Sporting Goods Corp.+			96,400				984,244
Blue Apron Holdings, Inc., Class A*+			17,000				95,030
Bowl America, Inc., Class A+			13,000				122,525
Build-A-Bear Workshop, Inc.*			50,500				215,635

Consumer Discretionary (continued)
Canterbury Park Holding Corp.			11,689			$	139,099
Carrols Restaurant Group, Inc.*			63,100				396,268
Chico's FAS, Inc.			225,000				357,750
Container Store Group, Inc. (The)*			45,000				429,300
Culp, Inc.			24,000				380,880
Delta Apparel, Inc.*			22,188				445,313
Dixie Group, Inc. (The)*			50,300				128,265
Dover Motorsports, Inc.			48,396				109,859
Drive Shack, Inc.*+			235,000				559,300
Educational Development Corp.			31,400				482,304
Emerson Radio Corp.*			102,100				102,611
Envela Corp.*+			112,400				584,480
Express, Inc.*+			260,000				236,600
Flanigan's Enterprises, Inc.*			1,000				19,759
Flexsteel Industries, Inc.			20,900				730,873
Greenlane Holdings, Inc., Class A*+			40,000				158,400
Hamilton Beach Brands Holding Co., Class A			18,000				315,180
Horizon Global Corp.*+			94,200				809,178
Hovnanian Enterprises, Inc., Class A*			22,000				722,920
Iconix Brand Group, Inc.*			56,200				70,812
J Alexander's Holdings, Inc.*			54,600				398,034
J. Jill, Inc.*+			34,000				126,820
JAKKS Pacific, Inc.*			11,870				59,113
Kirkland's, Inc.*+			42,717				763,780
Kura Sushi USA, Inc., Class A*+			10,500				204,750
Lakeland Industries, Inc.*+			17,357				472,978
Leaf Group, Ltd.*			110,000				511,500
Lincoln Educational Services Corp.*			120,905				785,882
Luby's, Inc.*+			71,600				203,344
New Home Co., Inc. (The)*			68,400				320,796
Party City Holdco, Inc.*+			75,500				464,325
PlayAGS, Inc.*			164,000				1,180,800
Potbelly Corp.*+			90,000				396,000
Red Lion Hotels Corp.*+			97,500				337,350
Red Robin Gourmet Burgers, Inc.*+			15,000				288,450
Rocky Brands, Inc.			25,500				715,785
StoneMor, Inc.*			408,100				1,073,303
Strattec Security Corp.			17,200				848,992
Superior Industries International, Inc.*			102,500				419,225
Sypris Solutions, Inc.*			84,404				128,294

 

 

24	Semi-Annual Report | December 31, 2020 (Unaudited)

 

---

 

 

Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Consumer Discretionary (continued)
Tandy Leather Factory, Inc.*			51,558			$	164,986
Tilly's, Inc., Class A			89,100				727,056
TravelCenters of America, Inc.*			10,000				326,000
Unique Fabricating, Inc.*			45,000				247,468
Universal Technical Institute, Inc.*			53,200				343,672
Vince Holding Corp.*+			41,700				265,212
VOXX International Corp.*			75,600				964,656
Weyco Group, Inc.			21,200				335,808
Xcel Brands, Inc.*			51,000				61,710
ZAGG, Inc.*			100,600				419,502
Zovio, Inc.*			127,200				602,928
							25,442,089
Consumer Staples - 0.85%
Bridgford Foods Corp.*+			1,300				23,686
Farmer Bros. Co.*			79,500				371,265
Lifeway Foods, Inc.*			52,652				284,848
Mannatech, Inc.			13,600				252,960
Natural Alternatives International, Inc.*			40,310				420,030
Rocky Mountain Chocolate Factory, Inc.			21,500				87,075
United-Guardian, Inc.			16,000				228,480
							1,668,344
Energy - 10.51%
Adams Resources & Energy, Inc.			25,500				614,550
Aemetis, Inc.*			80,000				199,200
Altus Midstream Co., Class A*+			12,500				593,250
Amplify Energy Corp.			195,000				255,450
Aspen Aerogels, Inc.*			50,700				846,183
Barnwell Industries, Inc.*+			60,000				76,200
Battalion Oil Corp.*			36,500				302,950
Bristow Group, Inc.*			22,783				599,649
Centrus Energy Corp., Class A*+			34,000				786,420
CONSOL Energy, Inc.*			81,500				587,615
Dawson Geophysical Co.*			139,345				295,411
Earthstone Energy, Inc., Class A*			133,600				712,088
Enservco Corp.*+			22,000				41,140
Evolution Petroleum Corp.			128,300				365,655
Exterran Corp.*			108,200				478,244
Forum Energy Technologies, Inc.*+			16,900				201,110
Geospace Technologies Corp.*			53,563				458,499

Energy (continued)
Goodrich Petroleum Corp.*			50,000			$	504,500
Gran Tierra Energy, Inc.*			1,300,000				472,940
Gulf Island Fabrication, Inc.*			67,300				205,938
HighPoint Resources Corp.*+			29,900				273,884
Houston American Energy Corp.*+			28,000				49,000
Independence Contract Drilling, Inc.*+			31,500				92,610
ION Geophysical Corp.*+			75,000				182,250
KLX Energy Services Holdings, Inc.*+			53,516				345,713
Laredo Petroleum, Inc.*			15,500				305,350
Mammoth Energy Services, Inc.*			200,000				890,000
Mexco Energy Corp.*+			8,000				48,240
MIND Technology, Inc.*			89,515				200,514
NACCO Industries, Inc., Class A			15,570				409,491
Natural Gas Services Group, Inc.*			58,076				550,560
NCS Multistage Holdings, Inc.*+			11,750				264,492
New Concept Energy, Inc.*+			8,400				16,280
Newpark Resources, Inc.*			328,700				631,104
Nine Energy Service, Inc.*+			130,000				353,600
Nuverra Environmental Solutions, Inc.*+			4,689				9,988
Oil States International, Inc.*			210,000				1,054,200
Overseas Shipholding Group, Inc., Class A*			283,500				606,690
PEDEVCO Corp.*+			205,000				309,550
Penn Virginia Corp.*+			60,000				609,000
PHX Minerals, Inc.			72,900				167,670
Ranger Energy Services, Inc.*+			24,700				89,908
RigNet, Inc.*			50,000				294,500
Ring Energy, Inc.*			254,000				167,615
SandRidge Energy, Inc.*+			242,000				750,200
SEACOR Marine Holdings, Inc.*			105,000				284,550
SilverBow Resources, Inc.*+			81,900				434,889
Smart Sand, Inc.*			133,200				229,104
Southwestern Energy Co.*+			173,609				517,355
Sundance Energy, Inc.*+			46,600				81,084
Superior Drilling Products, Inc.*			166,100				100,441
Tengasco, Inc.*			25,000				31,000

 

bridgewayfunds.com

25

 

---

 

 

Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Energy (continued)
TETRA Technologies, Inc.*			435,000			$	374,753
Uranium Energy Corp.*			470,000				827,200
VAALCO Energy, Inc.*			267,100				472,767
							20,622,544
Financials - 20.80%
1st Constitution Bancorp			40,905				649,162
A-Mark Precious Metals, Inc.			13,782				353,508
American River Bankshares			31,000				407,650
AmeriServ Financial, Inc.			52,571				164,547
Arlington Asset Investment Corp., Class A			113,069				427,401
Ashford, Inc.*+			7,200				61,776
Atlantic American Corp.*			74,856				155,700
Atlanticus Holdings Corp.*			11,512				283,541
Auburn National BanCorp, Inc.			4,974				207,366
Bank of Commerce Holdings			59,500				589,050
Bank of Princeton (The)*			23,566				551,680
Bank7 Corp.			47,910				680,322
BankFinancial Corp.			65,600				575,968
Bankwell Financial Group, Inc.			8,000				156,400
BayCom Corp.*			41,000				621,970
BCB Bancorp, Inc.			33,600				371,952
Blue Ridge Bankshares, Inc.+			10,000				178,100
C&F Financial Corp.			14,390				534,013
California BanCorp*			35,200				547,712
Capital Bancorp, Inc.*			46,517				647,982
CB Financial Services, Inc.			18,600				372,186
Chemung Financial Corp.			14,998				509,182
Citizens Community Bancorp, Inc.			48,600				529,254
Citizens Holding Co.+			20,670				433,036
Codorus Valley Bancorp, Inc.			27,437				465,331
Cohen & Co., Inc.*			5,000				81,675
Colony Bankcorp, Inc.			40,868				598,716
Community West Bancshares			37,157				337,386
Conifer Holdings, Inc.*+			43,000				141,470
Consumer Portfolio Services, Inc.*			67,900				287,896
County Bancorp, Inc.			11,050				243,984
Eagle Bancorp Montana, Inc.			27,521				583,996
Elevate Credit, Inc.*			100,100				399,399

Financials (continued)
ESSA Bancorp, Inc.			27,443			$	411,645
Evans Bancorp, Inc.			16,201				446,175
FedNat Holding Co.			76,000				449,920
FG Financial Group, Inc.*			18,400				77,648
First Bank			87,600				821,688
First Business Financial Services, Inc.			14,108				259,728
First Financial Northwest, Inc.			44,770				510,378
First Guaranty Bancshares, Inc.			6,500				115,505
First Internet Bancorp			33,516				963,250
First Northwest Bancorp			38,500				600,600
First United Corp.			30,592				474,176
First Western Financial, Inc.*			33,651				658,550
GAMCO Investors, Inc., Class A			25,500				452,370
Guaranty Federal Bancshares, Inc.			15,856				271,613
Hallmark Financial Services, Inc.*+			120,100				427,556
Hawthorn Bancshares, Inc.			28,653				627,501
HMN Financial, Inc.*			23,000				395,600
Impac Mortgage Holdings, Inc.*			81,600				248,064
Investar Holding Corp.			43,000				711,220
JMP Group, LLC			51,851				199,626
Lake Shore Bancorp, Inc.			22,150				287,950
Landmark Bancorp, Inc.			16,729				382,258
Level One Bancorp, Inc.			25,000				505,750
Magyar Bancorp, Inc.*			10,300				99,292
Malvern Bancorp, Inc.*+			34,800				539,400
Manning & Napier, Inc.			50,000				313,500
Marlin Business Services Corp.			32,800				401,472
Medallion Financial Corp.*			86,744				425,046
Meridian Corp.			24,000				499,200
Mid Penn Bancorp, Inc.			3,000				65,700
Monroe Capital Corp.			15,800				126,874
National Security Group, Inc. (The)+			2,700				29,025
Northeast Bank			38,700				871,524
Northrim BanCorp, Inc.			14,750				500,762
Norwood Financial Corp.			9,512				248,929
Ocwen Financial Corp.*			23,334				674,586
Ohio Valley Banc Corp.			13,000				306,800
OP Bancorp			73,851				568,653
Pacific Mercantile Bancorp*			116,319				597,880
Patriot National Bancorp, Inc.			16,500				155,760

 

26	Semi-Annual Report | December 31, 2020 (Unaudited)

 

---

 

 

Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Financials (continued)
PCB Bancorp			44,700			$	451,917
PDL Community Bancorp*			1,106				11,624
Penns Woods Bancorp, Inc.			15,766				410,074
Peoples Bancorp of North Carolina, Inc.			22,830				525,547
Protective Insurance Corp., Class B			28,000				383,880
Provident Financial Holdings, Inc.			30,617				480,993
Prudential Bancorp, Inc.			24,534				339,796
Pzena Investment Management, Inc., Class A			57,100				416,830
Randolph Bancorp, Inc.*			15,000				330,900
Republic First Bancorp, Inc.*			129,600				369,360
Riverview Bancorp, Inc.			96,226				506,149
Riverview Financial Corp.+			34,800				318,420
Safeguard Scientifics, Inc.*			70,000				446,600
Security National Financial Corp., Class A*			62,939				525,541
Select Bancorp, Inc.*			62,000				587,140
Shore Bancshares, Inc.			48,200				703,720
Silvercrest Asset Management Group, Inc., Class A			41,502				576,463
Summit State Bank			17,200				227,900
Timberland Bancorp, Inc.			26,500				642,890
Union Bankshares, Inc.			21,897				562,972
United Bancshares, Inc.			15,200				371,792
United Security Bancshares			39,900				281,295
Unity Bancorp, Inc.			16,500				289,575
Velocity Financial, Inc.*+			36,221				225,657
Western New England Bancorp, Inc.			77,644				534,967
Westwood Holdings Group, Inc.			30,000				435,000
							40,829,487
Health Care - 22.44%
AcelRx Pharmaceuticals, Inc.*			258,150				320,106
Aclaris Therapeutics, Inc.*+			200,000				1,294,000
Acorda Therapeutics, Inc.*			120,000				82,812
Actinium Pharmaceuticals, Inc.*+			56,666				441,995
Adamas Pharmaceuticals, Inc.*			105,000				454,650
Adicet Bio, Inc.*+			19,999				280,986
Advaxis, Inc.*			205,600				71,693

Health Care (continued)
AgeX Therapeutics, Inc.*+			165,000			$	250,800
AIM ImmunoTech, Inc.*+			100,000				179,000
Alimera Sciences, Inc.*			10,000				42,200
Allena Pharmaceuticals, Inc.*+			128,600				164,608
Altimmune, Inc.*+			21,100				238,008
Ampio Pharmaceuticals, Inc.*+			578,000				919,020
Apollo Endosurgery, Inc.*			78,200				265,880
Applied Genetic Technologies Corp.*			91,600				374,644
Aptinyx, Inc.*			140,000				484,400
Aquestive Therapeutics, Inc.*+			121,500				650,025
Aravive, Inc.*+			49,026				276,507
Assertio Holdings, Inc.*			332,000				118,723
Axcella Health, Inc.*			32,567				169,023
Calyxt, Inc.*+			165,000				696,300
Capital Senior Living Corp.*+			5,555				68,549
Castlight Health, Inc., Class B*			449,900				584,870
cbdMD, Inc.*+			215,000				634,250
Chimerix, Inc.*			202,400				977,592
China Pharma Holdings, Inc.*			195,000				86,931
Cidara Therapeutics, Inc.*+			238,860				477,720
Clearside Biomedical, Inc.*+			134,000				367,160
Cogent Biosciences, Inc.*+			35,000				393,050
Conformis, Inc.*+			273,706				180,646
CorMedix, Inc.*			83,800				622,634
Corvus Pharmaceuticals, Inc.*+			110,100				391,956
Cumberland Pharmaceuticals, Inc.*			103,387				303,958
Curis, Inc.*+			110,000				900,900
Cyclerion Therapeutics, Inc.*			61,600				188,496
CynergisTek, Inc.*			70,000				101,500
Daxor Corp.*+			9,400				117,500
Digirad Corp.*+			31,890				114,485
ElectroCore, Inc.*			130,000				202,800
Electromed, Inc.*			40,500				397,305
Eloxx Pharmaceuticals, Inc.*+			139,000				553,220
Entasis Therapeutics Holdings, Inc.*+			110,000				271,700
Enzo Biochem, Inc.*			167,700				422,604
Equillium, Inc.*			85,000				454,750
Evolus, Inc.*+			105,000				352,800
Exagen, Inc.*			49,400				652,080

 

bridgewayfunds.com

27

 

---

 

 

Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Health Care (continued)
EyePoint Pharmaceuticals, Inc.*+			32,520			$	213,982
Five Prime Therapeutics, Inc.*			104,600				1,779,246
Forte Biosciences, Inc.*+			5,433				197,816
Genesis Healthcare, Inc.*			399,300				193,541
GlycoMimetics, Inc.*			169,800				638,448
Great Elm Group, Inc.*			78,493				215,071
Gritstone Oncology, Inc.*			150,000				591,000
Harrow Health, Inc.*			90,500				620,830
Harvard Bioscience, Inc.*			144,017				617,833
Infinity Pharmaceuticals, Inc.*			240,000				508,800
InspireMD, Inc.*			25,000				8,522
IntriCon Corp.*			45,900				830,790
IRIDEX Corp.*			100,400				252,004
IsoRay, Inc.*			184,000				82,800
Kewaunee Scientific Corp.*			7,700				97,097
Leap Therapeutics, Inc.*+			197,500				444,375
Lexicon Pharmaceuticals, Inc.*+			355,300				1,215,126
Lineage Cell Therapeutics, Inc.*+			453,161				797,563
LogicBio Therapeutics, Inc.*			72,900				556,227
Lumos Pharma, Inc.*+			16,644				594,357
Lyra Therapeutics, Inc.*			40,000				456,000
Marker Therapeutics, Inc.*+			155,416				225,353
Matinas BioPharma Holdings, Inc.*+			570,600				776,016
Merrimack Pharmaceuticals, Inc.*+			55,000				378,950
Milestone Scientific, Inc.*+			204,500				433,540
Minerva Neurosciences, Inc.*+			130,000				304,200
MTBC, Inc.*+			50,000				453,500
Mustang Bio, Inc.*+			160,000				605,600
Myomo, Inc.*+			24,000				161,520
NanoViricides, Inc.*+			34,439				98,840
Navidea Biopharmaceuticals, Inc.*			70,000				150,500
Neos Therapeutics, Inc.*			185,000				115,569
Neuronetics, Inc.*+			66,200				735,482
NovaBay Pharmaceuticals, Inc.*			25,000				17,425
Novan, Inc.*			350,000				284,550
Obalon Therapeutics, Inc.*+			33,000				49,500
Oncocyte Corp.*			200,000				478,000
Oragenics, Inc.*			140,000				62,860
Otonomy, Inc.*			84,800				548,656
Palatin Technologies, Inc.*			771,000				521,042

Health Care (continued)
PhaseBio Pharmaceuticals, Inc.*+			97,000			$	325,920
Protalix BioTherapeutics, Inc.*+			133,100				483,153
RA Medical Systems, Inc.*			5,580				41,459
Retractable Technologies, Inc.*+			44,000				472,560
Rockwell Medical, Inc.*			258,290				260,873
Satsuma Pharmaceuticals, Inc.*			25,000				115,250
Savara, Inc.*			166,100				191,015
SCYNEXIS, Inc.*+			17,500				133,875
Senseonics Holdings, Inc.*			763,000				665,183
Sesen Bio, Inc.*			430,000				580,500
Sientra, Inc.*			127,894				497,508
Sierra Oncology, Inc.*			40,440				648,253
Solid Biosciences, Inc.*+			134,376				1,018,570
Surgalign Holdings, Inc.*			223,000				488,370
Synlogic, Inc.*+			160,000				345,600
Synthetic Biologics, Inc.*			74,300				28,457
T2 Biosystems, Inc.*+			250,000				310,000
Timber Pharmaceuticals, Inc.*+			44,100				32,766
Tonix Pharmaceuticals Holding Corp.*			200,000				135,000
TransEnterix, Inc.*+			205,895				128,684
Trevi Therapeutics, Inc.*+			85,000				205,700
UNITY Biotechnology, Inc.*+			30,450				159,558
Venus Concept, Inc.*			102,491				177,309
VolitionRX, Ltd.*+			120,000				466,800
Xeris Pharmaceuticals, Inc.*+			119,000				585,480
Xtant Medical Holdings, Inc.*+			100,000				119,610
Yumanity Therapeutics, Inc.*+			7,975				135,575
Zynerba Pharmaceuticals, Inc.*+			113,500				374,550
							44,034,945
Industrials - 10.89%
Acacia Research Corp.*			178,000				701,320
Acme United Corp.			11,535				347,549
AeroCentury Corp.*+			10,900				117,175
Air Industries Group*			205,000				252,150
AMREP Corp.*			28,900				246,806
ARC Document Solutions, Inc.			173,219				256,364
Armstrong Flooring, Inc.*			143,100				546,642
Atlas Technical Consultants, Inc.*			45,300				318,459

 

 

28	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Industrials (continued)
Avalon Holdings Corp., Class A*			3,900			$	10,140
Babcock & Wilcox Enterprises, Inc.*			242,100				849,771
BG Staffing, Inc.			39,700				535,553
Charah Solutions, Inc.*+			120,000				344,400
Chicago Rivet & Machine Co.			8,000				182,880
Commercial Vehicle Group, Inc.*			56,400				487,860
CompX International, Inc.			11,200				159,376
CPI Aerostructures, Inc.*			39,700				152,091
DIRTT Environmental Solutions*			330,000				815,100
Eastern Co. (The)			21,200				510,920
Espey Mfg. & Electronics Corp.+			10,700				202,390
ExOne Co. (The)*			37,300				353,977
FreightCar America, Inc.*			50,000				120,500
Fuel Tech, Inc.*			50,000				194,000
GEE Group, Inc.*+			77,600				77,251
Gencor Industries, Inc.*			35,000				430,500
GP Strategies Corp.*			71,700				850,362
Graham Corp.			18,900				286,902
HC2 Holdings, Inc.*+			163,000				531,380
Hill International, Inc.*			190,451				365,666
Houston Wire & Cable Co.*			107,100				298,809
Hudson Global, Inc.*			10,942				114,891
India Globalization Capital, Inc.*+			164,000				255,840
Innovative Solutions & Support, Inc.			80,400				524,208
L B Foster Co., Class A*			26,700				401,835
LSI Industries, Inc.			48,000				410,880
Mayville Engineering Co., Inc.*			40,000				536,800
Mesa Air Group, Inc.*			110,000				735,900
Mistras Group, Inc.*			122,500				950,600
Orion Group Holdings, Inc.*			110,000				545,600
P&F Industries, Inc., Class A			10,500				63,525
PAM Transportation Services, Inc.*			2,000				98,000
Patriot Transportation Holding, Inc.			19,871				174,467
Performant Financial Corp.*			285,300				251,349
Perma-Pipe International Holdings, Inc.*			46,600				282,396
PICO Holdings, Inc.*			60,000				561,000
Quad/Graphics, Inc.			116,169				443,766

Industrials (continued)
RCM Technologies, Inc.*			23,642			$	48,939
RR Donnelley & Sons Co.			275,000				621,500
Servotronics, Inc.*+			15,653				132,894
SIFCO Industries, Inc.*			16,024				134,602
Team, Inc.*			57,600				627,840
Titan International, Inc.			199,600				970,056
Twin Disc, Inc.*			43,100				338,335
Ultralife Corp.*			52,400				339,028
USA Truck, Inc.*			40,300				359,879
Virco Mfg. Corp.*			25,800				65,274
Volt Information Sciences, Inc.*			122,400				216,648
Willis Lease Finance Corp.*			10,100				307,646
YRC Worldwide, Inc.*+			70,000				310,100
							21,370,091
Information Technology - 10.31%
ADDvantage Technologies Group, Inc.*+			75,000				224,250
ALJ Regional Holdings, Inc.*			225,000				247,500
Amtech Systems, Inc.*			46,500				296,670
AstroNova, Inc.			30,000				319,500
Aviat Networks, Inc.*			18,386				627,882
Aware, Inc.*			59,579				208,526
Bel Fuse, Inc., Class B			30,400				456,912
BK Technologies Corp.			153,744				465,844
Blonder Tongue Laboratories, Inc.*			20,000				26,600
Communications Systems, Inc.			26,200				119,734
Computer Task Group, Inc.*			62,100				380,052
CSP, Inc.			34,700				268,231
Daktronics, Inc.			30,000				140,400
Eastman Kodak Co.*+			43,900				357,346
eMagin Corp.*+			235,000				387,750
EMCORE Corp.*			108,127				589,292
Everspin Technologies, Inc.*+			66,000				303,600
Frequency Electronics, Inc.*			20,000				216,200
GSI Technology, Inc.*			51,417				380,486
IEC Electronics Corp.*			41,650				564,357
Information Services Group, Inc.*			150,000				492,000
Innodata, Inc.*			85,955				455,562
Intellicheck, Inc.*+			80,200				914,681
inTEST Corp.*			30,600				198,591
Intevac, Inc.*			78,000				562,380

 

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29

 

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Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Information Technology (continued)
Inuvo, Inc.*			306,000			$	138,587
Issuer Direct Corp.*+			11,500				201,365
Kaleyra, Inc.*+			55,000				542,300
Key Tronic Corp.*			37,100				255,990
KVH Industries, Inc.*			55,774				633,035
LGL Group, Inc. (The)*+			29,200				366,168
Marin Software, Inc.*			30,000				60,600
Network-1 Technologies, Inc.+			115,000				424,350
Oblong, Inc.*+			14,600				75,044
Optical Cable Corp.*			20,100				53,868
PCTEL, Inc.			70,200				461,214
Pixelworks, Inc.*			129,400				364,908
Powerfleet, Inc.*			98,000				728,140
PRGX Global, Inc.*			85,000				648,550
QAD, Inc., Class B			6,250				303,125
Quantum Corp.*			120,200				735,624
RealNetworks, Inc.*			170,000				265,200
RF Industries, Ltd.			32,600				160,066
Richardson Electronics, Ltd.			91,011				428,662
SeaChange International, Inc.*			125,000				175,000
ServiceSource International, Inc.*			359,917				633,454
SMTC Corp.*+			102,434				508,073
Sonim Technologies, Inc.*			150,000				108,600
Steel Connect, Inc.*			180,800				142,290
Synacor, Inc.*			155,900				212,024
Synchronoss Technologies, Inc.*			147,500				693,250
TESSCO Technologies, Inc.			20,000				124,800
TransAct Technologies, Inc.			30,000				213,000
Trio-Tech International*			26,800				106,168
Veritone, Inc.*			15,300				435,285
Wayside Technology Group, Inc.			18,498				353,312
WidePoint Corp.*+			26,500				267,915
Wireless Telecom Group, Inc.*			113,100				200,187
							20,224,500
Materials - 4.54%
Advanced Emissions Solutions, Inc.			56,500				310,750
AgroFresh Solutions, Inc.*			206,300				468,301
Ampco-Pittsburgh Corp.*			40,000				219,200
Comstock Mining, Inc.*			129,000				134,160
Contura Energy, Inc.*			90,600				1,030,122

Materials (continued)
Core Molding
Technologies, Inc.*			28,700			$	404,096
Flexible Solutions International, Inc.*			45,707				113,810
Flotek Industries, Inc.*			167,300				353,003
Friedman Industries, Inc.			54,000				370,440
Golden Minerals Co.*+			450,000				342,000
Gulf Resources, Inc.*			56,960				233,536
Intrepid Potash, Inc.*+			55,000				1,328,250
IT Tech Packaging, Inc.*			147,000				81,806
LSB Industries, Inc.*			149,000				505,110
Northern Technologies International Corp.			27,900				294,624
Olympic Steel, Inc.			38,200				509,206
Paramount Gold Nevada Corp.*+			105,000				122,850
Ramaco Resources, Inc.*			148,200				426,816
Rayonier Advanced Materials, Inc.*			39,406				256,927
Solitario Zinc Corp.*			205,000				115,271
Synalloy Corp.*			21,500				167,700
TimkenSteel Corp.*			81,587				381,011
Trecora Resources*			69,041				482,597
United States Antimony Corp.*			8,500				4,437
Universal Stainless & Alloy Products, Inc.*			34,558				258,494
							8,914,517
Real Estate - 0.41%
American Realty Investors, Inc.*+			13,597				148,207
Stratus Properties, Inc.*			21,150				539,325
Trinity Place Holdings, Inc.*			91,100				113,875
							801,407
Utilities - 0.24%
Spark Energy, Inc., Class A+			48,400				463,188
TOTAL COMMON STOCKS - 99.18% 194,639,723
(Cost $143,370,408)
EXCHANGE TRADED FUND - 0.39%
iShares Micro-Cap ETF+			6,525				774,191
TOTAL EXCHANGE TRADED FUND - 0.39%							774,191
(Cost $163,006)

 

30	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

RIGHTS - 0.00%
Cogent Biosciences, Inc., CVR*∆			160,000			$	–
Elanco Animal Health, Inc., CVR*∆			46,983				–
OncoMed Pharmaceuticals, Inc, CVR*∆			125,000				–
Proteostasis Therapeutics, Inc., CVR*∆			159,500				–
TOTAL RIGHTS - 0.00%							–
(Cost $32,820)
WARRANTS - 0.01%
LGL Group, Inc. (The), expiring 11/16/25*			29,200				18,072
SAExploration Series A, expiring 07/27/21*∆			848				–
SAExploration Series B, expiring 07/27/21*∆			848				–
TOTAL WARRANTS - 0.01%							18,072
(Cost $14,873)

		Rate^				Shares				Value
MONEY MARKET FUND - 0.60%
Fidelity Investments Money Market Government Portfolio Class I			0.01	%			1,170,317				1,170,317
TOTAL MONEY MARKET FUND - 0.60%											1,170,317
(Cost $1,170,317)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 9.48%
Fidelity Investments Money Market Government Portfolio Class I**			0.01	%							18,609,643
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 9.48%											18,609,643
(Cost $18,609,643)
TOTAL INVESTMENTS - 109.66%										$	215,211,946
(Cost $163,361,067)
Liabilities in Excess of Other Assets - (9.66%)											(18,956,471	)
NET ASSETS - 100.00%										$	196,255,475

*

Non-income producing security.

**

This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

^

Rate disclosed as of December 31, 2020.

∆

Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy.

+

This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $23,298,452 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.

 

CVR - Contingent Value Right

LLC - Limited Liability Company

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

 

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices			Level 2 Significant Observable Inputs			Level 3 Significant Unobservable Inputs			Total
Common Stocks		$9,664,441			$–			$604,170			$10,268,611
Other Industries (a)		184,371,112			–			–			184,371,112
Total Common Stocks		194,035,553			–			604,170			194,639,723
Exchange Traded Fund		774,191			–			–			774,191
Rights		–			–			0			0
Warrants		18,072			–			0			18,072
Money Market Fund		–			1,170,317			–			1,170,317
Investments Purchased With Cash Proceeds From Securities Lending		–			18,609,643			–			18,609,643
TOTAL		$194,827,816			$19,779,960			$604,170			$215,211,946

(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

 

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31

 

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Ultra-Small Company Market Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

 

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
		Investment in Securities (Value)
		Common Stocks				Rights				Warrants				Total
Balance as of 06/30/2020		$	683,707			$	0			$	0			$	683,707
Purchases/Issuances			–				–				–				–
Sales/Expirations			(69,149	)			–				–				(69,149	)
Return of Capital			–				–				–				–
Realized Gain/ (Loss)			(520,235	)			(750	)			–				(520,985	)
Change in unrealized Appreciation/ (Depreciation)			509,847				750				–				510,597
Transfers in			–				–				–				–
Transfers out			–				–				–				–
Balance as of 12/31/2020		$	604,170			$	0			$	0			$	604,170
Net change in unrealized Appreciation/ (Depreciation) from investments held as of 12/31/2020		$	(20,139	)		$	–			$	–			$	(20,139	)
See Notes to Financial Statements.

 

32	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Growth Fund
MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020
Dear Fellow Small-Cap Growth Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +29.39%, modestly underperforming our primary market benchmark, the Russell 2000 Growth Index (+29.61%), but outperforming our peer benchmark, the Lipper Small-Cap Growth Funds Index (+24.32%). It was a strong quarter on an absolute basis, and a mixed one on a relative basis.

 

For the calendar year, our Fund returned +13.38%, lagging both the Russell 2000 Growth Index (+34.63%) and the Lipper Small-Cap Growth Funds Index (+37.36%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

 

				Annualized
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	Since Inception (10/31/03)
Small-Cap Growth Fund	29.39%	38.55%	13.38%	9.98%	11.38%	6.02%	7.12%
Russell 2000 Growth Index	29.61%	38.88%	34.63%	16.36%	13.48%	10.69%	10.63%
Lipper Small-Cap Growth Funds Index	24.32%	34.84%	37.36%	18.41%	13.89%	10.47%	10.25%

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The Russell 2000 Growth Index is an unmanaged index that consists of stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Small-Cap Growth Funds Index is an index of small-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

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33

 

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Small-Cap Growth Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Growth of a $10,000 Investment
from Inception October 31, 2003 to December 31, 2020

 

 

 

Detailed Explanation of Quarterly Performance

 

The Fund’s diversifying value metrics and price momentum models lagged the benchmark during the quarter, detracting from relative results. This negative impact was partly offset by the Fund’s primary company financial health models, which out-performed the benchmark. The Fund’s greater-than-benchmark exposure to core stocks (as measured by multiple valuation metrics) detracted from relative results. However, the Fund’s tilt toward smaller stocks in the small-cap growth universe added to relative performance.

 

From a sector perspective, the Fund’s allocation effect was negative. Underweightings in the Information Technology and Health Care sectors and an overweighting in the Materials sector detracted the most from relative results. However, the Fund’s stock selection effect was positive, largely driven by holdings in the Financials and Information Technology sectors.

 

Detailed Explanation of Calendar Year Performance

 

All three of the Fund’s model categories, Company Financial Health, Value Metrics, and Price Momentum, underperformed the benchmark during the year and hurt relative returns. The Fund’s greater-than-benchmark exposure to core stocks (as measured by multiple valuation metrics) also detracted from relative performance. In contrast, the Fund’s tilt toward smaller stocks in the small-cap growth universe helped offset some of these negative impacts.

 

From a sector perspective, the Fund’s allocation effect, excluding cash, was positive. Underweightings in the Industrials and Communication Services sectors added the most to relative results. However, the Fund’s stock selection effect was significantly negative, with holdings in the Health Care and Industrials sectors weighing most heavily on relative performance.

 

34	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Growth Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Top Ten Holdings as of December 31, 2020

 

 

Rank	Description	Industry	% of Net Assets
1	Calix, Inc.	Information Technology	1.7%
2	Innospec, Inc.	Materials	1.7%
3	Surgery Partners, Inc.	Health Care	1.6%
4	NuVasive, Inc.	Health Care	1.6%
5	Pitney Bowes, Inc.	Industrials	1.6%
6	Amneal Pharmaceuticals, Inc.	Health Care	1.6%
7	John B. Sanfilippo & Son, Inc.	Consumer Staples	1.6%
8	Ensign Group, Inc. (The)	Health Care	1.6%
9	Sportsman's Warehouse Holdings, Inc.	Consumer Discretionary	1.6%
10	Primoris Services Corp.	Industrials	1.6%
	Total		16.2%

Industry Sector Representation as of December 31, 2020

 

		% of Net Assets			% of Russell 2000 Growth Index			Difference
Communication Services		0.0	%		2.3	%		-2.3	%
Consumer Discretionary		16.3	%		13.3	%		3.0	%
Consumer Staples		2.2	%		2.9	%		-0.7	%
Energy		0.0	%		0.2	%		-0.2	%
Financials		3.8	%		4.1	%		-0.3	%
Health Care		33.1	%		34.6	%		-1.6	%
Industrials		16.8	%		13.8	%		3.0	%
Information Technology		17.6	%		21.2	%		-3.6	%
Materials		4.7	%		2.5	%		2.2	%
Real Estate		3.9	%		3.5	%		0.4	%
Utilities		1.5	%		1.6	%		-0.1	%
Cash & Other Assets		0.1	%		0.0	%		0.1	%
Total		100.0	%		100.0	%

 

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which

 

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35

 

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Small-Cap Growth Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

 

Conclusion

 

Thank you for your continued investment in Small-Cap Growth Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

36	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

COMMON STOCKS - 99.89%
Consumer Discretionary - 16.33%
1-800-Flowers.com, Inc., Class A*+			3,400			$	88,400
Asbury Automotive Group, Inc.*+			1,800				262,332
Boot Barn Holdings, Inc.*+			2,400				104,064
Camping World Holdings, Inc., Class A+			14,800				385,540
Crocs, Inc.*			6,000				375,960
Deckers Outdoor Corp.*			600				172,068
Installed Building Products, Inc.*			700				71,351
iRobot Corp.*+			2,600				208,754
LCI Industries			2,900				376,072
Malibu Boats, Inc., Class A*			3,600				224,784
Meritage Homes Corp.*			800				66,256
OneWater Marine, Inc., Class A*			3,600				104,724
Purple Innovation, Inc.*+			9,000				296,460
Rent-A-Center, Inc.			3,900				149,331
RH*+			900				402,768
Skyline Champion Corp.*			2,400				74,256
Sportsman’s Warehouse Holdings, Inc.*			25,300				444,015
Strategic Education, Inc.			4,200				400,386
TopBuild Corp.*			2,000				368,160
							4,575,681
Consumer Staples - 2.20%
B&G Foods, Inc.+			3,100				85,963
Central Garden & Pet Co., Class A*			2,200				79,926
John B. Sanfilippo & Son, Inc.			5,700				449,502
							615,391
Financials - 3.75%
Curo Group Holdings Corp.			29,900				428,467
Houlihan Lokey, Inc.			1,100				73,953
PennyMac Financial Services, Inc.			1,400				91,868
PJT Partners, Inc., Class A			5,300				398,825
Siebert Financial Corp.*+			13,900				58,380
							1,051,493
Health Care - 33.14%
AMN Healthcare Services, Inc.*			5,200				354,900

Health Care (continued)
Amneal Pharmaceuticals, Inc.*+			98,600			$	450,602
Atrion Corp.			400				256,896
Avid Bioservices, Inc.*			14,900				171,946
Blueprint Medicines Corp.*			3,400				381,310
Catalyst Pharmaceuticals, Inc.*			89,500				298,930
CONMED Corp.			3,700				414,400
Corcept Therapeutics, Inc.*			15,800				413,328
Cutera, Inc.*			14,200				342,362
Ensign Group, Inc. (The)			6,100				444,812
iCAD, Inc.*+			24,600				324,720
InfuSystem Holdings, Inc.*			7,000				131,460
Innoviva, Inc.*			33,400				413,826
iRadimed Corp.*			7,300				166,440
Joint Corp. (The)*			14,600				383,396
LeMaitre Vascular, Inc.			1,900				76,950
Luminex Corp.*			17,200				397,664
Medpace Holdings, Inc.*			3,000				417,600
Millendo Therapeutics, Inc.*			164,300				351,602
Neuronetics, Inc.*+			32,700				363,297
NuVasive, Inc.*			8,100				456,273
Ontrak, Inc.*+			4,600				284,234
Prestige Consumer Healthcare, Inc.*			7,400				258,038
Radius Health, Inc.*			23,100				412,566
Select Medical Holdings Corp.*			15,400				425,964
Simulations Plus, Inc.+			3,600				258,912
Surgery Partners, Inc.*			15,800				458,358
Zynex, Inc.*+			13,000				174,980
							9,285,766
Industrials - 16.75%
Air Transport Services Group, Inc.*			13,000				407,420
Ameresco, Inc., Class A*			2,000				104,480
Atkore International Group, Inc.*			9,500				390,545
Atlas Air Worldwide Holdings, Inc.*			7,800				425,412
Avis Budget Group, Inc.*			6,900				257,370
Cornerstone Building Brands, Inc.*			43,000				399,040
Daseke, Inc.*			64,500				374,745
Evoqua Water Technologies Corp.*			3,000				80,940
HC2 Holdings, Inc.*			127,700				416,302
Masonite International Corp.*			700				68,838
Meritor, Inc.*			6,200				173,042

 

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Small-Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Rate^

Shares

Value

Common Stocks (continued)
Industrials (continued)
Pitney Bowes, Inc.			74,000			$	455,840
Primoris Services Corp.			15,900				438,999
Shyft Group, Inc. (The)			12,000				340,560
Tetra Tech, Inc.			3,100				358,918
							4,692,451
Information Technology - 17.56%
Calix, Inc.*			15,800				470,208
Cardtronics PLC, Class A*			8,000				282,400
Diebold Nixdorf, Inc.*			38,100				406,146
Evo Payments, Inc., Class A*			10,500				283,605
ExlService Holdings, Inc.*			2,000				170,260
FormFactor, Inc.*			7,300				314,046
Inseego Corp.*+			23,900				369,733
MAXIMUS, Inc.			3,700				270,803
OSI Systems, Inc.*			900				83,898
Plantronics, Inc.+			10,000				270,300
Power Integrations, Inc.			5,200				425,672
Rimini Street, Inc.*			24,500				108,535
Super Micro Computer, Inc.*			7,500				237,450
TTEC Holdings, Inc.			5,800				422,994
Ultra Clean Holdings, Inc.*			13,200				411,180
Varonis Systems, Inc.*			2,400				392,664
							4,919,894
Materials - 4.73%
Forterra, Inc.*			24,700				424,716
Innospec, Inc.			5,100				462,723
Louisiana-Pacific Corp.			11,800				438,606
							1,326,045
Real Estate - 3.92%
Easterly Government
Properties, Inc.			9,600				217,440
National Storage Affiliates Trust			11,300				407,139
Redfin Corp.*			5,100				350,013
Terreno Realty Corp.			2,100				122,871
							1,097,463
Utilities - 1.51%
York Water Co. (The)			9,100				424,060
TOTAL COMMON STOCKS - 99.89%							27,988,244

MONEY MARKET FUND - 0.18%
Fidelity Investments Money Market Government Portfolio Class I			0.01	%			51,618			$	51,618
TOTAL MONEY MARKET FUND - 0.18%											51,618
(Cost $51,618)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.86%
Fidelity Investments Money Market Government Portfolio Class I**			0.01	%			800,131				800,131
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.86%											800,131
(Cost $800,131)
TOTAL INVESTMENTS - 102.93%										$	28,839,993
(Cost $21,779,722)
Liabilities in Excess of Other Assets - (2.93%)											(821,581	)
NET ASSETS - 100.00%										$	28,018,412

*

Non-income producing security.

**

This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

^

Rate disclosed as of December 31, 2020.

+

This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $3,291,170 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.

 

PLC - Public Limited Company

 

38	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Growth Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

Valuation Inputs

Investment in Securities (Value)

Level 1 Quoted Prices

Level 2 Significant Observable Inputs

Level 3 Significant Unobservable Inputs

Total

Common Stocks (a)

$27,988,244

$–

$–

$27,988,244

Money Market Fund

–

51,618

–

51,618

Investments Purchased With Cash Proceeds From Securities Lending

–

800,131

–

800,131

TOTAL

$27,988,244

$851,749

$–

$28,839,993

	(a)	- Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
See Notes to Financial Statements.

 

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39

 

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Small-Cap Value Fund
MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020

 

Dear Fellow Small-Cap Value Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +32.79%, underperforming our primary market benchmark, the Russell 2000 Value Index (+33.36%), but leading our peer benchmark, the Lipper Small-Cap Value Funds Index (+29.55%). It was a good quarter on an absolute basis and a mixed one on a relative basis.

 

For the calendar year, our Fund returned +12.04%, outperforming both the Russell 2000 Value Index (+4.63%) and the Lipper Small-Cap Value Funds Index (+1.81%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

				Annualized
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	Since Inception (10/31/03)
Small-Cap Value Fund	32.79%	44.93%	12.04%	8.75%	9.02%	5.72%	7.20%
Russell 2000 Value Index	33.36%	36.77%	4.63%	9.65%	8.66%	6.92%	8.01%
Lipper Small-Cap Value Funds Index	29.55%	34.03%	1.81%	7.76%	7.54%	6.57%	7.82%

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values with dividends reinvested. The Lipper Small-Cap Value Funds Index is an index of small-company, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

40	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Value Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

Growth of a $10,000 Investment
from Inception October 31, 2003 to December 31, 2020

 

 

 

Detailed Explanation of Quarterly Performance

 

The Fund’s value metrics and company financial health models modestly underperformed the benchmark and detracted from relative results. This negative impact was partly offset by outperformance from Fund’s price momentum model. The Fund’s tilt toward deeper value stocks (across multiple valuation metrics) and smaller stocks in the small-cap value universe added to relative performance.

 

From a sector perspective, the Fund’s allocation effect excluding cash was positive. An underweighting in the Utilities sector and an overweighting in the Energy sector added the most to relative results. However, the Fund’s stock selection effect was negative, largely driven by poor performance from holdings in the Communication Services, Information Technology, and Real Estate sectors.

 

Detailed Explanation of Calendar Year Performance

 

The Fund’s core value metrics models and diversifying price momentum model strongly outperformed the benchmark and added significantly to relative results. Underperformance by the Fund’s diversifying company financial health models offset some of that positive impact. The Fund’s tilt toward deeper value stocks across multiple valuation metrics had a mixed impact on relative performance, while a tilt toward smaller stocks in the small-cap value universe detracted from relative results.

 

From a sector perspective, the Fund’s allocation effect excluding cash was negative. An underweighting in the Consumer Staples sector and an overweighting in the Real Estate sector detracted the most from relative results. However, the Fund’s stock selection effect was significantly positive, primarily due to strong performance from holdings in the Financials, Con-sumer Discretionary, and Consumer Staples sectors.

 

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41

 

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Small-Cap Value Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Top Ten Holdings as of December 31, 2020

 

 

Rank	Description	Industry	% of Net Assets
1	GameStop Corp., Class A	Consumer Discretionary	2.0%
2	Antero Resources Corp.	Energy	1.9%
3	Mistras Group, Inc.	Industrials	1.7%
4	Primoris Services Corp.	Industrials	1.6%
5	CONSOL Energy, Inc.	Energy	1.6%
6	Darling Ingredients, Inc.	Consumer Staples	1.6%
7	Ryerson Holding Corp.	Materials	1.5%
8	LeMaitre Vascular, Inc.	Health Care	1.5%
9	Artisan Partners Asset Management, Inc., Class A	Financials	1.5%
10	CASI Pharmaceuticals, Inc.	Health Care	1.5%
	Total		16.4%

 

Industry Sector Representation as of December 31, 2020

 

 

		% of Net Assets			% of Russell 2000 Value Index			Difference
Communication Services		0.2	%		2.4	%		-2.2	%
Consumer Discretionary		15.8	%		12.8	%		3.0	%
Consumer Staples		3.6	%		3.5	%		0.1	%
Energy		8.7	%		4.2	%		4.5	%
Financials		24.6	%		27.6	%		-3.0	%
Health Care		9.1	%		6.4	%		2.7	%
Industrials		14.2	%		16.8	%		-2.7	%
Information Technology		9.1	%		6.4	%		2.7	%
Materials		5.7	%		6.3	%		-0.6	%
Real Estate		7.6	%		9.1	%		-1.5	%
Utilities		1.3	%		4.5	%		-3.2	%
Cash & Other Assets		0.1	%		0.0	%		0.1	%
Total		100.0	%		100.0	%

 

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which

 

42	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Value Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

 

Conclusion

 

Thank you for your continued investment in Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

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43

 

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Small-Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

COMMON STOCKS - 99.93%
Communication Services - 0.18%
Consolidated Communications Holdings, Inc.*			14,800			$	72,372
Consumer Discretionary - 15.82%
Adient PLC*			11,400				396,378
Chico’s FAS, Inc.			128,300				203,997
Everi Holdings, Inc.*			33,200				458,492
GameStop Corp., Class A*+			42,500				800,700
Hibbett Sports, Inc.*			10,100				466,418
Lithia Motors, Inc., Class A			800				234,136
Meritage Homes Corp.*			2,500				207,050
Michaels Cos., Inc. (The)*+			42,500				552,925
ODP Corp. (The)+			15,430				452,099
Scientific Games Corp.*			13,300				551,817
Shoe Carnival, Inc.+			13,100				513,258
Sleep Number Corp.*			6,700				548,462
Tenneco, Inc., Class A*			51,900				550,140
Tupperware Brands Corp.*			15,800				511,762
							6,447,634
Consumer Staples - 3.62%
Darling Ingredients, Inc.*			11,300				651,784
Ingles Markets, Inc., Class A			4,100				174,906
SpartanNash Co.			7,600				132,316
United Natural Foods, Inc.*+			26,100				416,817
Weis Markets, Inc.+			2,100				100,401
							1,476,224
Energy - 8.74%
Antero Resources Corp.*+			142,700				777,715
Comstock Resources, Inc.*			20,700				90,459
CONSOL Energy, Inc.*			91,600				660,436
CVR Energy, Inc.			6,500				96,850
Dorian LPG, Ltd.*			29,800				363,262
Nabors Industries, Ltd.+			4,200				244,566
Peabody Energy Corp.*			181,300				436,933
Solaris Oilfield Infrastructure, Inc., Class A			14,400				117,216
Whiting Petroleum Corp.*			8,700				217,500
World Fuel Services Corp.			17,900				557,764
							3,562,701

Financials - 24.62%
Amalgamated Bank, Class A			13,400			$	184,116
A-Mark Precious Metals, Inc.			3,700				94,905
Artisan Partners Asset Management, Inc., Class A			12,100				609,114
Axos Financial, Inc.*			15,900				596,727
Berkshire Hills Bancorp, Inc.			31,300				535,856
Cadence BanCorp			9,900				162,558
Chemung Financial Corp.			1,600				54,320
Enova International, Inc.*			5,700				141,189
Enstar Group, Ltd.*			2,100				430,269
Essent Group, Ltd.			10,900				470,880
Federated Hermes, Inc.			8,500				245,565
First BanCorp Puerto Rico			46,800				431,496
GAMCO Investors, Inc., Class A			8,700				154,338
Green Dot Corp., Class A*			9,100				507,780
HarborOne Bancorp, Inc.			49,900				541,914
LCNB Corp.			9,500				139,555
National Bank Holdings Corp., Class A			16,700				547,092
National General Holdings Corp.			14,400				492,192
National Western Life Group, Inc., Class A			1,900				392,236
Nelnet, Inc., Class A			2,600				185,224
NMI Holdings, Inc., Class A*			11,300				255,945
Piper Sandler Cos.			5,700				575,130
Provident Bancorp, Inc.			19,000				228,000
Selective Insurance Group, Inc.			6,200				415,276
Stewart Information Services Corp.			10,000				483,600
Stifel Financial Corp.			10,800				544,968
Waddell & Reed Financial, Inc., Class A			8,700				221,589
Walker & Dunlop, Inc.			2,600				239,252
Waterstone Financial, Inc.			8,300				156,206
							10,037,292
Health Care - 9.14%
Avid Bioservices, Inc.*			19,000				219,260
CASI Pharmaceuticals, Inc.*			205,200				605,340
Community Health Systems, Inc.*			51,500				382,645
HealthStream, Inc.*			14,700				321,048
Lannett Co., Inc.*+			29,700				193,644

 

44	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Small-Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Health Care (continued)
LeMaitre Vascular, Inc.			15,300			$	619,650
Milestone Scientific, Inc.*			99,800				211,576
National HealthCare Corp.			1,300				86,333
Owens & Minor, Inc.			18,800				508,540
Phibro Animal Health Corp., Class A			12,500				242,750
TherapeuticsMD, Inc.*+			275,500				333,355
							3,724,141
Industrials - 14.18%
ABM Industries, Inc.			12,300				465,432
Arcosa, Inc.			3,800				208,734
Atlas Air Worldwide Holdings, Inc.*			5,000				272,700
Builders FirstSource, Inc.*			12,900				526,449
GMS, Inc.*			3,900				118,872
Hub Group, Inc., Class A*			2,600				148,200
L B Foster Co., Class A*			22,800				343,140
Mistras Group, Inc.*			88,300				685,208
Pitney Bowes, Inc.			45,900				282,744
Primoris Services Corp.			24,200				668,162
Quad/Graphics, Inc.			145,900				557,338
SkyWest, Inc.			3,500				141,085
Triton International, Ltd./Bermuda			2,800				135,828
US Xpress Enterprises, Inc., Class A*			84,300				576,612
Veritiv Corp.*			25,900				538,461
Willis Lease Finance Corp.*			3,700				112,702
							5,781,667
Information Technology - 9.13%
Amkor Technology, Inc.			36,100				544,388
Axcelis Technologies, Inc.*			7,400				215,488
Cardtronics PLC, Class A*			2,700				95,310
Cohu, Inc.			15,600				595,608
Conduent, Inc.*			29,200				140,160
Diebold Nixdorf, Inc.*			13,000				138,580
MoneyGram International, Inc.*			23,600				128,974
PC Connection, Inc.			6,200				293,198
Sanmina Corp.*			14,800				471,972
Sykes Enterprises, Inc.*			13,500				508,545
Synaptics, Inc.*+			6,100				588,040
							3,720,263
Materials - 5.66%
Commercial Metals Co.			21,500				441,610
Innospec, Inc.			4,800				435,504

Materials (continued)
Olympic Steel, Inc.			8,000			$	106,640
Rayonier Advanced Materials, Inc.*			23,500				153,220
Ryerson Holding Corp.*			45,800				624,712
SunCoke Energy, Inc.			32,100				139,635
Verso Corp., Class A			33,600				403,872
							2,305,193
Real Estate - 7.57%
Gladstone Commercial Corp.			18,200				327,600
Gladstone Land Corp.			14,700				215,208
Monmouth Real Estate Investment Corp.			29,700				514,404
Newmark Group, Inc., Class A			8,800				64,152
Physicians Realty Trust+			12,200				217,160
QTS Realty Trust, Inc., Class A+			4,100				253,708
Realogy Holdings Corp.*			41,100				539,232
Retail Opportunity Investments Corp.			14,100				188,799
STAG Industrial, Inc.			11,800				369,576
Terreno Realty Corp.			6,800				397,868
							3,087,707
Utilities - 1.27%
Atlantic Power Corp.*			245,900				516,390
TOTAL COMMON STOCKS - 99.93%							40,731,584
(Cost $32,781,091)

 

		Rate^				Shares				Value
MONEY MARKET FUND - 0.14%
Fidelity Investments Money Market Government Portfolio Class I			0.01	%			56,369				56,369
TOTAL MONEY MARKET FUND - 0.14%											56,369
(Cost $56,369)

 

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45

 

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Small-Cap Value Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

Showing percentage of net assets as of December 31, 2020

 

Rate^

Shares

Value

INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.46%
Fidelity Investments Money Market Government Portfolio Class I**			0.01	%			1,411,967			$	1,411,967
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 3.46%											1,411,967
(Cost $1,411,967)
TOTAL INVESTMENTS - 103.53%										$	42,199,920
(Cost $34,249,427)
Liabilities in Excess of Other Assets - (3.53%)											(1,437,355	)
NET ASSETS - 100.00%										$	40,762,565

	*	Non-income producing security.
	**	This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.
	^	Rate disclosed as of December 31, 2020.
	+	This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $4,545,495 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.
PLC - Public Limited Company
Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks (a)		$	40,731,584			$	–			$	–			$	40,731,584
Money Market Fund			–				56,369				–				56,369
Investments Purchased With Cash Proceeds From Securities Lending			–				1,411,967				–				1,411,967
TOTAL		$	40,731,584			$	1,468,336			$	–			$	42,199,920
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
See Notes to Financial Statements.

 

46	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Blue Chip Fund
MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020
Dear Fellow Blue Chip Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +12.75%, outperforming our primary market benchmark, the S&P 500 Index (+12.15%), our peer benchmark, the Lipper Large-Cap Core Funds Index (+12.12%), and the Russell Top 50 Mega Cap Index (+10.42%). It was a good quarter.

 

For the calendar year, our Fund returned +13.51%, trailing the S&P 500 Index (+18.40%), the Lipper Large-Cap Core Funds Index (+16.10%), and the Russell Top 50 Mega Cap Index (+26.80%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

				Annualized
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	Since Inception (7/31/97)
Blue Chip Fund	12.75%	21.40%	13.51%	14.46%	13.35%	9.69%	8.11%
S&P 500 Index	12.15%	22.16%	18.40%	15.22%	13.88%	9.88%	8.04%
Russell Top 50 Mega Cap Index	10.42%	23.43%	26.80%	17.26%	14.94%	10.31%	7.60%
Lipper Large-Cap Core Funds Index	12.12%	21.70%	16.10%	14.04%	12.49%	8.85%	7.11%

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell Top 50 Mega Cap Index measures the performance of the largest companies in the Russell 3000 Index. It includes 50 of the largest securities, based on a combination of their market cap and current index membership, and represents approximately 40% of the total market capitalization of the Russell 3000 Index. The Lipper Large-Cap Core Funds Index reflects the aggregate record of domestic large-cap core mutual funds as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

Effective July 31, 2019, the Fund’s principal strategies were significantly revised.

 

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47

 

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Blue Chip Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

Growth of a $10,000 Investment
from Inception July 31, 1997 to December 31, 2020

 

 

 

Detailed Explanation of Quarterly Performance

 

An overweighting in value stocks improved relative returns for the quarter. While the Fund’s design doesn’t focus on value or growth, our quarterly rebalancing process increased the portfolio’s exposure to value stocks that outperformed growth stocks during the quarter. In contrast, the Fund’s mega-cap design detracted from relative performance, because the portfolio was concentrated in larger stocks during a quarter in which the smaller stocks in the large-cap universe outperformed.

 

From a sector perspective, the Fund’s allocation effect was positive, largely driven by overweightings in the Energy and Financials sectors and an underweighting in the Health Care sector. However, the Fund’s stock selection effect was negative. Holdings in the Consumer Discretionary and Health Care sectors detracted the most from relative performance.

 

Detailed Explanation of Calendar Year Performance

 

An overweighting in value stocks detracted from relative results. While the Fund’s design doesn’t focus on value or growth, the quarterly rebalancing process increased the portfolio’s exposure to value stocks during a year in which value under-performed growth overall. The Fund’s roughly equal weight design also detracted from relative performance. Maintaining a roughly equal weight portfolio resulted in overweightings in smaller stocks in the mega-cap space that underperformed during most of the year.

 

From a sector perspective, the Fund’s allocation effect was positive. Underweightings in the Real Estate and Utilities sectors and an overweighting in the Communication Services sector contributed the most to relative performance. However, the Fund’s stock selection effect was negative, largely driven by poor performance from holdings in the Information Technology, Financials, Industrials, and Health Care sectors.

 

48	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Blue Chip Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.

The table is intended to provide a frame of reference for size.

 

				Annualized
CRSP Decile1	Quarter	6 Months	1 Year	5 Years	10 Years	94 Years
1 (ultra-large)	12.07%	24.04%	24.00%	16.82%	14.60%	9.66%
2	18.19%	26.51%	21.46%	15.27%	13.73%	10.72%
3	22.59%	34.12%	23.56%	15.52%	13.06%	11.17%
4	25.37%	32.73%	18.11%	13.32%	12.33%	10.98%
5	31.15%	36.98%	25.22%	12.80%	11.20%	11.43%
6	36.86%	41.80%	31.88%	14.98%	12.42%	11.48%
7	33.87%	42.18%	29.06%	17.57%	13.75%	11.81%
8	37.38%	37.60%	15.88%	11.55%	10.16%	11.42%
9	37.86%	47.38%	34.68%	17.37%	12.38%	11.66%
10 (ultra-small)	38.01%	42.88%	34.53%	14.46%	10.83%	13.29%

1

Performance figures are as of the period ended December 31, 2020. The CRSP Cap-Based Portfolio Indexes are unmanaged indexes of publicly traded US stocks with dividends reinvested, grouped by market capitalization, as reported by the Center for Research in Security Prices. Past performance is no guarantee of future results.

 

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Blue Chip Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Contribution to Returns for Blue Chip Fund stocks for the calendar year December 31, 2020:

 

Rank Company		Industry	% Contribution to Return
1	Amazon.com, Inc.	Consumer Discretionary	3.0%
2	QUALCOMM, Inc.	Information Technology	2.8%
3	Apple, Inc.	Information Technology	2.8%
4	Microsoft Corp.	Information Technology	1.8%
5	Facebook, Inc., Class A	Communication Services	1.5%
6	United Parcel Service, Inc., Class B	Industrials	1.4%
7	Walt Disney Co. (The)	Communication Services	0.7%
8	Oracle Corp.	Information Technology	0.7%
9	Walmart, Inc.	Consumer Staples	0.6%
10	Home Depot, Inc. (The)	Consumer Discretionary	0.6%
10	Visa, Inc., Class A	Information Technology	0.6%
11	Alphabet, Inc., Class A	Communication Services	0.6%
12	Alphabet, Inc., Class C	Communication Services	0.6%
13	Procter & Gamble Co. (The)	Consumer Staples	0.5%
14	Carrier Global Corp.	Industrials	0.5%
15	UnitedHealth Group, Inc.	Health Care	0.5%
16	Comcast Corp., Class A	Communication Services	0.4%
17	Otis Worldwide Corp.	Industrials	0.3%
18	Johnson & Johnson	Health Care	0.2%
19	McDonald’s Corp.	Consumer Discretionary	0.2%
20	PepsiCo, Inc.	Consumer Staples	0.2%
21	Pfizer, Inc.	Health Care	0.2%
22	Cisco Systems, Inc.	Information Technology	0.1%
23	Viatris, Inc.	Health Care	0.0%
23	3M Co.	Industrials	0.0%
24	Berkshire Hathaway, Inc., Class B	Financials	0.0%
25	Verizon Communications, Inc.	Communication Services	0.0%
26	International Business Machines Corp.	Information Technology	-0.1%
27	Coca-Cola Co. (The)	Consumer Staples	-0.2%
28	Merck & Co., Inc.	Health Care	-0.2%
29	Intel Corp.	Information Technology	-0.3%
30	Citigroup, Inc.	Financials	-0.3%
31	Chevron Corp.	Energy	-0.4%
32	JPMorgan Chase & Co.	Financials	-0.5%
33	Exxon Mobil Corp.	Energy	-0.8%
34	Raytheon Technologies Corp.	Industrials	-0.8%
35	AT&T, Inc.	Communication Services	-0.9%
36	Boeing Co. (The)	Industrials	-1.0%
37	Bank of America Corp.	Financials	-1.0%
38	Wells Fargo & Co.	Financials	-1.4%

 

50	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Blue Chip Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Industry Sector Representation as of December 31, 2020

 

 

		% of Net Assets			% of S&P 500 Index			Difference
Communication Services		17.2	%		10.8	%		6.4	%
Consumer Discretionary		8.6	%		12.7	%		-4.1	%
Consumer Staples		10.6	%		6.5	%		4.1	%
Energy		4.5	%		2.3	%		2.2	%
Financials		13.3	%		10.4	%		2.9	%
Health Care		9.5	%		13.5	%		-4.0	%
Industrials		11.4	%		8.4	%		3.0	%
Information Technology		25.1	%		27.6	%		-2.5	%
Materials		0.0	%		2.6	%		-2.6	%
Real Estate		0.0	%		2.4	%		-2.4	%
Utilities		0.0	%		2.8	%		-2.8	%
Liabilities in Excess of Other Assets		-0.2	%		0.0	%		-0.2	%
Total		100.0	%		100.0	%

 

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

The Fund is subject to significant market risk (volatility) and is not an appropriate investment for short-term investors.

 

Conclusion

 

Thank you for your continued investment in Blue Chip Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

bridgewayfunds.com

51

 

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Blue Chip Fund
SCHEDULE OF INVESTMENTS (Unaudited)

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

COMMON STOCKS - 100.25%
Communication Services - 17.17%
Alphabet, Inc., Class A*			5,180			$	9,078,675
Alphabet, Inc., Class C*			5,159				9,037,949
AT&T, Inc.			365,555				10,513,362
Comcast Corp., Class A			203,800				10,679,120
Facebook, Inc., Class A*			64,000				17,482,240
Verizon Communications, Inc.			178,389				10,480,354
Walt Disney Co. (The)*			58,750				10,644,325
							77,916,025
Consumer Discretionary - 8.59%
Amazon.com, Inc.*			5,450				17,750,269
Home Depot, Inc. (The)			39,700				10,545,114
McDonald’s Corp.			49,700				10,664,626
							38,960,009
Consumer Staples - 10.64%
Coca-Cola Co. (The)			193,614				10,617,792
PepsiCo, Inc.			70,675				10,481,102
Procter & Gamble Co. (The)			119,906				16,683,721
Walmart, Inc.			72,869				10,504,066
							48,286,681
Energy - 4.50%
Chevron Corp.			121,345				10,247,585
Exxon Mobil Corp.			246,887				10,176,682
							20,424,267
Financials - 13.33%
Bank of America Corp.			348,608				10,566,309
Berkshire Hathaway, Inc., Class B*			46,100				10,689,207
Citigroup, Inc.			172,200				10,617,852
JPMorgan Chase & Co.			141,195				17,941,649
Wells Fargo & Co.			353,619				10,672,221
							60,487,238
Health Care - 9.49%
Johnson & Johnson			68,412				10,766,681
Merck & Co., Inc.			128,235				10,489,623
Pfizer, Inc.			284,974				10,489,893
UnitedHealth Group, Inc.			30,500				10,695,740
Viatris, Inc.*			33,584				629,364
							43,071,301

Industrials - 11.43%
3M Co.			59,700			$	10,434,963
Boeing Co. (The)			48,500				10,381,910
Carrier Global Corp.			81,010				3,055,697
Otis Worldwide Corp.			39,205				2,648,298
Raytheon Technologies Corp.			149,910				10,720,064
United Parcel Service, Inc., Class B			86,863				14,627,729
							51,868,661
Information Technology - 25.10%
Apple, Inc.			135,500				17,979,495
Cisco Systems, Inc.			227,808				10,194,408
Intel Corp.			209,793				10,451,887
International Business Machines Corp.			83,867				10,557,178
Microsoft Corp.			80,245				17,848,093
Oracle Corp.			161,263				10,432,103
QUALCOMM, Inc.			119,400				18,189,396
Visa, Inc., Class A			83,350				18,231,146
							113,883,706
TOTAL COMMON STOCKS - 100.25%							454,897,888
(Cost $197,653,357)

		Rate^				Shares				Value
MONEY MARKET FUND - 0.00%
Fidelity Investments Money Market Government Portfolio Class I			0.01	%			948				948
TOTAL MONEY MARKET FUND - 0.00%											948
(Cost $948)
TOTAL INVESTMENTS - 100.25%										$	454,898,836
(Cost $197,654,305)
Liabilities in Excess of Other Assets - (0.25%)											(1,124,279	)
NET ASSETS - 100.00%										$	453,774,557

*

Non-income producing security.

^

Rate disclosed as of December 31, 2020.

 

52	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Blue Chip Fund
SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):
		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks (a)		$	454,897,888			$	–			$	–			$	454,897,888
Money Market Fund			–				948				–				948
TOTAL		$	454,897,888			$	948			$	–			$	454,898,836
(a) - Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.
See Notes to Financial Statements.

  

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Managed Volatility Fund
MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020

Dear Fellow Managed Volatility Fund Shareholder,

 

For the quarter ended December 31, 2020, our Fund returned +5.94%, underperforming our primary market benchmark, the S&P 500 Index (+12.15%) and our peer benchmark, the Lipper Balanced Funds Index (+9.58%). However, the Fund performed in line with its design during the quarter.

 

For the calendar year, our Fund returned +10.55%, underperforming the S&P 500 Index (+18.40%) and the Lipper Balanced Funds Index (+13.57%).

 

The table below presents our December quarter, six-month, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

 

Standardized Returns as of December 31, 2020

 

				Annualized
	Quarter	6 Months	1 Year	5 Years	10 Years	15 Years	Since Inception (6/30/01)
Managed Volatility Fund	5.94%	9.20%	10.55%	5.64%	5.17%	3.99%	4.36%
S&P 500 Index	12.15%	22.16%	18.40%	15.22%	13.88%	9.88%	8.05%
Lipper Balanced Funds Index	9.58%	16.37%	13.57%	9.60%	8.28%	6.81%	6.22%

 

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

 

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Lipper Balanced Funds Index is an index of balanced funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

54	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Managed Volatility Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

 

Growth of a $10,000 Investment
from Inception June 30, 2001 to December 31, 2020

 

 

 

Detailed Explanation of Quarterly Performance

 

For the quarter, the Managed Volatility Fund met its design objective by capturing 49% of the S&P 500 Index’s return. The Fund had an annualized standard deviation of 6.38% during the quarter, which was 61% lower than the S&P 500’s annualized standard deviation of 16.19% during the same period.

 

The portfolio’s equities component made the largest positive contribution to performance, returning roughly 5.7%. The portfolio’s options component also added to performance, returning about 0.4%. In contrast, the portfolio’s futures component detracted from performance, contributing roughly -0.3% to the Fund’s return. This performance was in line with expectations during a rising equity market. Returns for the portfolio’s fixed income component were essentially flat for the quarter.

 

Detailed Explanation of Calendar Year Performance

 

For the year, the Managed Volatility Fund met its design objective by capturing 57% of the S&P 500 Index’s return. The Fund had an annualized standard deviation of 12.65% during the year, which was 64% lower than the S&P 500’s annualized standard deviation of 34.91% during the same period.

 

The portfolio’s equities and options components added to performance, contributing roughly 10.3% and 1.4% to the Fund’s return, respectively. The portfolio’s futures component detracted from performance, returning roughly -2.5%, but this performance was in line with expectations during a rising equity market. The performance of the portfolio’s fixed income component was flat during the year.

 

The Fund continues to perform as designed, particularly over longer time horizons. For the past 15 years and since inception, the Fund has captured roughly 40% and 54%, respectively, of the S&P 500’s return. The Fund’s annualized standard deviation has been about 56% lower than the index’s for the last 15 years and since inception.

 

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Managed Volatility Fund
MANAGER’S COMMENTARY (Unaudited)  (continued)

 

Top Ten Holdings as of December 31, 2020

 

 

Rank	Description	Industry	% of Net Assets
1	Apple, Inc.	Information Technology	3.1%
2	Amazon.com, Inc.	Consumer Discretionary	3.0%
3	Microsoft Corp.	Information Technology	2.1%
4	Alphabet, Inc., Class A	Communication Services	1.4%
5	Alphabet, Inc., Class C	Communication Services	1.4%
6	Walmart, Inc.	Consumer Staples	1.3%
7	Adobe, Inc.	Information Technology	1.2%
8	QUALCOMM, Inc.	Information Technology	1.1%
9	UnitedHealth Group, Inc.	Health Care	1.1%
10	Lowe’s Cos., Inc.	Consumer Discretionary	1.0%
	Total		16.7%

 

Industry Sector Representation as of December 31, 2020

 

 

Asset Type	% of Net Assets
Common Stock	54.1%
Communication Services	5.7%
Consumer Discretionary	6.0%
Consumer Staples	5.4%
Energy	1.0%
Financials	5.6%
Health Care	7.7%
Industrials	4.0%
Information Technology	14.7%
Materials	1.2%
Real Estate	0.9%
Utilities	1.9%
U.S. Government Obligations	34.2%
Call Options Written	-1.3%
Put Options Written	-1.2%
Money Market Fund	7.8%
Cash & Other Assets	6.4%
Total	100%

 

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

 

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large

 

56	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Managed Volatility Fund

MANAGER’S COMMENTARY (Unaudited) (continued) 

 

 

companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. The Fund uses an option writing strategy in which the Fund may sell covered calls or secured put options. Options are subject to special risks and may not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potential normally associated with stocks. Finally, the Fund’s fixed-income holdings are subject to three types of risk. Interest rate risk is the chance that bond prices overall will decline as interest rates rise. Credit risk is the chance that a bond issuer will fail to pay interest and principal. Prepayment risk is the chance that a mortgage-backed bond issuer will repay a higher yielding bond, resulting in a lower paying yield.

 

Conclusion

 

 

Thank you for your continued investment in Managed Volatility Fund. We encourage your feedback; your reactions and concerns are important to us.

 

Sincerely,

 

The Investment Management Team

 

 

bridgewayfunds.com

57

 

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

COMMON STOCKS - 54.08%
Communication Services - 5.73%
Alphabet, Inc., Class A*			260			$	455,686
Alphabet, Inc., Class C*			260				455,489
AT&T, Inc.#			3,140				90,306
CenturyLink, Inc.			1,200				11,700
Comcast Corp., Class A#			600				31,440
Discovery, Inc., Class C*			1,014				26,557
DISH Network Corp., Class A*#			5,000				161,700
Facebook, Inc., Class A*#			1,100				300,476
Fox Corp., Class A#			266				7,746
Omnicom Group, Inc.#			600				37,422
Verizon Communications, Inc.#			900				52,875
Walt Disney Co. (The)*#			1,165				211,075
							1,842,472
Consumer Discretionary - 5.99%
Amazon.com, Inc.*#			300				977,079
AutoZone, Inc.*			100				118,544
Carnival Corp.			300				6,498
Dollar General Corp.			300				63,090
eBay, Inc.#			500				25,125
Ford Motor Co.			2,900				25,491
Hasbro, Inc.			300				28,062
Lowe's Cos., Inc.#			2,000				321,020
McDonald's Corp.			300				64,374
NIKE, Inc., Class B#			600				84,882
Ross Stores, Inc.			500				61,405
Starbucks Corp.			400				42,792
Target Corp.			300				52,959
Wynn Resorts, Ltd.			200				22,566
Yum! Brands, Inc.			300				32,568
							1,926,455
Consumer Staples - 5.38%
Archer-Daniels-Midland Co.			400				20,164
Campbell Soup Co.#			1,300				62,855
Clorox Co. (The)#			1,400				282,688
Coca-Cola Co. (The)			900				49,356
Colgate-Palmolive Co.#			400				34,204
Constellation Brands, Inc., Class A#			500				109,525
Costco Wholesale Corp.#			600				226,068
General Mills, Inc.#			800				47,040
J M Smucker Co. (The)			400				46,240
Kimberly-Clark Corp.#			600				80,898
Kroger Co. (The)#			800				25,408
Mondelez International,
Inc., Class A#			1,200				70,164

Consumer Staples (continued)
PepsiCo, Inc.#			900			$	133,470
Procter & Gamble Co. (The)			800				111,312
Walmart, Inc.#			3,000				432,450
							1,731,842
Energy - 1.05%
Chevron Corp.#			678				57,257
ConocoPhillips			887				35,471
EOG Resources, Inc.			500				24,935
Exxon Mobil Corp.			1,900				78,318
Kinder Morgan, Inc.			500				6,835
Marathon Petroleum Corp.#			1,700				70,312
Phillips 66			593				41,474
Valero Energy Corp.			400				22,628
							337,230
Financials - 5.61%
Aflac, Inc.#			500				22,235
Allstate Corp. (The)#			800				87,944
American Express Co.			300				36,273
Aon PLC, Class A			300				63,381
Bank of America Corp.#			700				21,217
Berkshire Hathaway, Inc., Class B*#			700				162,309
BlackRock, Inc.			300				216,462
Capital One Financial Corp.			200				19,770
Charles Schwab Corp. (The)			800				42,432
Chubb, Ltd.			461				70,957
Citigroup, Inc.#			810				49,945
Comerica, Inc.			300				16,758
Goldman Sachs Group, Inc. (The)#			200				52,742
Huntington Bancshares, Inc.			3,200				40,416
JPMorgan Chase & Co.#			1,000				127,070
KeyCorp.			3,300				54,153
Marsh & McLennan Cos., Inc.			400				46,800
MetLife, Inc.#			1,000				46,950
Morgan Stanley#			800				54,824
PNC Financial Services Group, Inc. (The)			500				74,500
Progressive Corp. (The)#			1,220				120,633
S&P Global, Inc.			500				164,365
T Rowe Price Group, Inc.			200				30,278
Truist Financial Corp.			300				14,379
U.S. Bancorp#			1,900				88,521

 

58	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Industry Company

Shares

Value

Common Stocks (continued)
Financials (continued)
Wells Fargo & Co.#			2,671			$	80,611
							1,805,925
Health Care - 7.74%
Abbott Laboratories*#			1,000				109,490
AbbVie, Inc.#			1,859				199,192
Amgen, Inc.#			500				114,960
Anthem, Inc.			300				96,327
Baxter International, Inc.#			300				24,072
Becton Dickinson & Co.			273				68,310
Biogen, Inc.*#			800				195,888
Bristol-Myers Squibb Co.#			1,579				97,945
Cigna Corp.			299				62,246
CVS Health Corp.			400				27,320
Danaher Corp.			200				44,428
DaVita, Inc.*#			700				82,180
DexCom, Inc.*#			800				295,776
Gilead Sciences, Inc.			400				23,304
Johnson & Johnson#			500				78,690
Medtronic PLC			400				46,856
Merck & Co., Inc.#			1,700				139,060
Pfizer, Inc.#			1,700				62,577
Regeneron Pharmaceuticals, Inc.*#			200				96,622
Stryker Corp.			160				39,206
Thermo Fisher Scientific, Inc.#			500				232,890
UnitedHealth Group, Inc.#			1,000				350,680
Viatris, Inc.*			210				3,936
							2,491,955
Industrials - 3.97%
3M Co.#			500				87,395
American Airlines Group, Inc.#			500				7,885
Boeing Co. (The)			300				64,218
Carrier Global Corp.			540				20,369
Emerson Electric Co.			400				32,148
FedEx Corp.#			600				155,772
Honeywell International, Inc.#			600				127,620
Ingersoll Rand, Inc.*			176				8,019
Johnson Controls International PLC			454				21,152
L3Harris Technologies, Inc.			200				37,804
Lockheed Martin Corp.			270				95,845
Northrop Grumman Corp.#			700				213,304
Otis Worldwide Corp.			270				18,238

Industrials (continued)
Raytheon Technologies Corp.#			1,240			$	88,672
Republic Services, Inc.			300				28,890
Southwest Airlines Co.#			1,400				65,254
Spirit AeroSystems Holdings, Inc., Class A#			1,000				39,090
Trane Technologies PLC			200				29,032
Union Pacific Corp.			300				62,466
United Parcel Service, Inc., Class B			100				16,840
Waste Management, Inc.#			500				58,965
							1,278,978
Information Technology - 14.67%
Adobe, Inc.*#			800				400,096
Akamai Technologies, Inc.*#			1,500				157,485
Apple, Inc.#			7,400				981,906
Applied Materials, Inc.#			1,100				94,930
Cisco Systems, Inc.#			3,000				134,250
Citrix Systems, Inc.			500				65,050
Cognizant Technology Solutions Corp., Class A#			700				57,365
DXC Technology Co.			171				4,403
Hewlett Packard Enterprise Co.			4,200				49,770
HP, Inc.			2,000				49,180
Intel Corp.#			2,700				134,514
International Business Machines Corp.#			400				50,352
Intuit, Inc.			400				151,940
Juniper Networks, Inc.			2,700				60,777
Mastercard, Inc., Class A#			800				285,552
Micron Technology, Inc.*#			2,600				195,468
Microsoft Corp.#			3,100				689,502
NetApp, Inc.			400				26,496
NortonLifeLock, Inc.			1,100				22,858
Oracle Corp.#			860				55,634
PayPal Holdings, Inc.*#			1,100				257,620
QUALCOMM, Inc.#			2,400				365,616
salesforce.com, Inc.*#			700				155,771
Texas Instruments, Inc.			470				77,141
Visa, Inc., Class A#			900				196,857
							4,720,533
Materials - 1.23%
Corteva, Inc.			1,033				39,998
Dow, Inc.			533				29,581
DuPont de Nemours, Inc.#			933				66,346

 

 

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Industry Company

Shares

Value

Due Date

Discount Rate or Coupon Rate

Principal Amount

Value

Common Stocks (continued)
Materials (continued)
Ecolab, Inc.			500			$	108,180
Linde PLC			300				79,053
Sherwin-Williams Co. (The)			100				73,491
							396,649
Real Estate - 0.86%
American Tower Corp.			300				67,338
Crown Castle International Corp.#			500				79,595
Equinix, Inc.			100				71,418
Public Storage			100				23,093
Simon Property Group, Inc.			400				34,112
							275,556
Utilities - 1.85%
AES Corp. (The)			100				2,350
American Electric Power Co., Inc.			800				66,616
Dominion Energy, Inc.			420				31,584
Duke Energy Corp.			783				71,691
NextEra Energy, Inc.#			2,400				185,160
NRG Energy, Inc.#			3,000				112,650
Public Service Enterprise Group, Inc.			900				52,470
Sempra Energy			500				63,705
Vistra Corp.#			500				9,830
							596,056
TOTAL COMMON STOCKS - 54.08%							17,403,651
(Cost $8,845,630)
RIGHTS - 0.00%
Bristol-Myers Squibb Co., CVR*			800				552
TOTAL RIGHTS - 0.00%							552
(Cost $1,840)

U.S. GOVERNMENT OBLIGATIONS - 34.18%
U.S. Treasury Bills - 34.18%
01/07/2021			0.000	%(a)		$	2,000,000			$	1,999,995
01/21/2021			0.000	%(a)			1,000,000				999,979
02/25/2021			0.000	%(a)			4,000,000				3,999,610
03/25/2021			0.000	%(a)			4,000,000				3,999,333
TOTAL U.S. GOVERNMENT OBLIGATIONS - 34.18%											10,998,917
(Cost $10,998,563)

 

		Rate^				Shares				Value
MONEY MARKET FUND - 7.87%
Fidelity Investments Money
Market Government
Portfolio Class I			0.01	%			2,531,321				2,531,321
TOTAL MONEY MARKET FUND - 7.87%											2,531,321
(Cost $2,531,321)
TOTAL INVESTMENTS BEFORE
OPTIONS WRITTEN - 96.13%											30,934,441
(Cost $22,377,354)
WRITTEN OPTIONS - (2.50%)
TOTAL WRITTEN OPTIONS - (2.50%)										$	(803,395	)
(Premiums Received $(873,563))
TOTAL INVESTMENTS - 93.63%										$	30,131,046
(Cost $21,503,791)
Other Assets in Excess of Liabilities - 6.37%											2,050,473
NET ASSETS - 100.00%										$	32,181,519

 

*

Non-income producing security.

#

Security subject to call or put option written by the Fund.

(a)

Rate represents the effective yield at purchase.

^

Rate disclosed as of December 31, 2020.

 

CVR - Contingent Value

Right PLC - Public Limited Company

 

 

 

60	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Managed Volatility Fund

 SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Description		Number of Contracts				Notional Amount				Exercise Price				Expiration Date		Value
EXCHANGE TRADED PUT OPTIONS WRITTEN - (1.17%)
Adobe, Inc.			6			$	(300,072	)		$	500.00			02/19/21		$	(13,410	)
Advanced Micro Devices, Inc.			35				(320,985	)			82.50			03/19/21			(15,750	)
Amazon.com, Inc.			1				(325,693	)			3200.00			03/19/21			(18,405	)
AmerisourceBergen Corp.			31				(303,056	)			100.00			02/19/21			(18,600	)
AptarGroup, Inc.			15				(205,335	)			125.00			02/19/21			(4,500	)
Baxter International, Inc.			40				(320,960	)			80.00			02/19/21			(12,400	)
Best Buy Co., Inc.			30				(299,370	)			115.00			03/19/21			(50,670	)
Colgate-Palmolive Co.			10				(85,510	)			80.00			02/19/21			(1,250	)
Colgate-Palmolive Co.			5				(42,755	)			77.50			01/15/21			(90	)
Costco Wholesale Corp.			9				(339,102	)			330.00			01/15/21			(207	)
Crown Castle International Corp.			20				(318,380	)			165.00			01/15/21			(14,400	)
DaVita, Inc.			10				(117,400	)			87.50			01/15/21			(100	)
Fox Corp., Class A			29				(84,448	)			27.00			01/15/21			(725	)
General Motors Co.			50				(208,200	)			40.00			03/19/21			(11,850	)
Globant SA			16				(348,176	)			185.00			02/19/21			(11,040	)
Globant SA			3				(65,283	)			190.00			02/19/21			(2,310	)
Goldman Sachs Group, Inc. (The)			14				(369,194	)			240.00			03/19/21			(9,240	)
IDEXX Laboratories, Inc.			2				(99,974	)			470.00			02/19/21			(3,220	)
Kroger Co. (The)			45				(142,920	)			33.00			01/15/21			(6,300	)
Lam Research Corp.			8				(377,816	)			425.00			03/19/21			(14,080	)
Lennar Corp., Class A			40				(304,920	)			80.00			02/19/21			(27,200	)
Logitech International SA			15				(145,785	)			90.00			03/19/21			(5,790	)
Mondelez International, Inc., Class A			15				(87,705	)			57.50			03/19/21			(3,150	)
Monster Beverage Corp.			20				(184,960	)			85.00			03/19/21			(4,500	)
NVIDIA Corp.			6				(313,320	)			520.00			03/19/21			(23,850	)
Oracle Corp.			50				(323,450	)			60.00			03/19/21			(7,600	)
PerkinElmer, Inc.			23				(330,050	)			140.00			03/19/21			(16,560	)
PulteGroup, Inc.			50				(215,600	)			40.00			01/15/21			(2,000	)
salesforce.com, Inc.			12				(267,036	)			260.00			02/19/21			(47,460	)
ServiceNow, Inc.			5				(275,215	)			540.00			02/19/21			(13,705	)
Thermo Fisher Scientific, Inc.			4				(186,312	)			430.00			03/19/21			(4,868	)
Thermo Fisher Scientific, Inc.			4				(186,312	)			450.00			03/19/21			(7,240	)
Toronto-Dominion Bank (The)			10				(56,420	)			45.00			01/15/21			(150	)
Verizon Communications, Inc.			55				(323,125	)			57.50			01/15/21			(2,860	)
Wells Fargo & Co.			80				(241,440	)			22.50			01/15/21			(80	)
Zendesk, Inc.			10				(143,120	)			105.00			01/15/21			(350	)
Zscaler, Inc.			5				(99,855	)			150.00			02/19/21			(1,210	)
Total Exchange Traded Put Options Written (Premiums Received $(535,441))																$	(377,120	)

 

 

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited)  (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Description		Number of Contracts				Notional Amount				Exercise Price				Expiration Date		Value
EXCHANGE TRADED CALL OPTIONS WRITTEN - (1.33%)
3M Co.			2			$	(34,958	)		$	170.00			02/19/21		$	(1,756	)
Abbott Laboratories			3				(32,847	)			115.00			02/19/21			(570	)
AbbVie, Inc.			5				(53,575	)			100.00			03/19/21			(4,550	)
Adobe, Inc.			3				(150,036	)			515.00			01/15/21			(1,530	)
Aflac, Inc.			5				(22,235	)			40.00			02/19/21			(2,550	)
Akamai Technologies, Inc.			15				(157,485	)			105.00			02/19/21			(7,200	)
Allstate Corp. (The)			5				(54,965	)			95.00			01/15/21			(7,650	)
American Airlines Group, Inc.			5				(7,885	)			13.00			02/19/21			(1,650	)
Amgen, Inc.			2				(45,984	)			245.00			01/15/21			(174	)
Apple, Inc.			24				(318,456	)			120.00			03/19/21			(40,200	)
Applied Materials, Inc.			4				(34,520	)			65.00			01/15/21			(8,720	)
AT&T, Inc.			5				(14,380	)			29.00			01/15/21			(150	)
Bank of America Corp.			3				(9,093	)			30.00			03/19/21			(561	)
Berkshire Hathaway, Inc., Class B			3				(69,561	)			230.00			03/19/21			(3,075	)
Biogen, Inc.			4				(97,944	)			285.00			03/19/21			(7,800	)
Biogen, Inc.			2				(48,972	)			295.00			01/15/21			(760	)
Bristol-Myers Squibb Co.			5				(31,015	)			62.50			01/15/21			(540	)
Campbell Soup Co.			4				(19,340	)			50.00			02/19/21			(300	)
Chevron Corp.			2				(16,890	)			95.00			03/19/21			(396	)
Cisco Systems, Inc.			10				(44,750	)			42.00			03/19/21			(3,550	)
Citigroup, Inc.			3				(18,498	)			60.00			03/19/21			(1,437	)
Clorox Co. (The)			14				(282,688	)			220.00			02/19/21			(2,268	)
Cognizant Technology Solutions Corp., Class A			3				(24,585	)			75.00			01/15/21			(2,100	)
Comcast Corp., Class A			2				(10,480	)			50.00			03/19/21			(780	)
Constellation Brands, Inc., Class A			2				(43,810	)			190.00			01/15/21			(6,028	)
Costco Wholesale Corp.			2				(75,356	)			370.00			03/19/21			(3,824	)
Crown Castle International Corp.			2				(31,838	)			170.00			01/15/21			(40	)
DaVita, Inc.			3				(35,220	)			90.00			01/15/21			(8,460	)
DexCom, Inc.			8				(295,776	)			350.00			03/19/21			(34,000	)
DISH Network Corp., Class A			50				(161,700	)			30.00			03/19/21			(23,250	)
DuPont de Nemours, Inc.			3				(21,333	)			60.00			01/15/21			(3,660	)
eBay, Inc.			2				(10,050	)			60.00			02/19/21			(94	)
Facebook, Inc., Class A			4				(109,264	)			275.00			03/19/21			(7,400	)
FedEx Corp.			3				(77,886	)			280.00			01/15/21			(336	)
General Mills, Inc.			3				(17,640	)			65.00			01/15/21			(6	)
Honeywell International, Inc.			3				(63,810	)			210.00			03/19/21			(3,630	)
Intel Corp.			8				(39,856	)			55.00			02/19/21			(864	)
International Business Machines Corp.			2				(25,176	)			130.00			03/19/21			(790	)
Johnson & Johnson			2				(31,476	)			150.00			03/19/21			(2,240	)
JPMorgan Chase & Co.			4				(50,828	)			125.00			03/19/21			(3,096	)
Kimberly-Clark Corp.			3				(40,449	)			155.00			01/15/21			(15	)
Kroger Co. (The)			3				(9,528	)			35.00			01/15/21			(6	)
Lowe's Cos., Inc.			20				(321,020	)			155.00			03/19/21			(22,860	)
Marathon Petroleum Corp.			5				(20,680	)			32.50			01/15/21			(4,650	)
Mastercard, Inc., Class A			3				(107,082	)			340.00			03/19/21			(9,030	)
Merck & Co., Inc.			5				(40,900	)			82.50			01/15/21			(660	)
MetLife, Inc.			10				(46,950	)			40.00			03/19/21			(7,600	)

 

 

62	Semi-Annual Report | December 31, 2020 (Unaudited)

  

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

Showing percentage of net assets as of December 31, 2020

 

Description		Number of Contracts				Notional Amount				Exercise Price				Expiration Date		Value
Exchange Traded Call Options Written (continued)
Micron Technology, Inc.			12			$	(90,216	)		$	55.00			01/15/21		$	(24,420	)
Microsoft Corp.			10				(222,420	)			225.00			02/19/21			(8,250	)
Mondelez International, Inc., Class A			4				(23,388	)			60.00			03/19/21			(600	)
Morgan Stanley			4				(27,412	)			55.00			03/19/21			(5,700	)
NextEra Energy, Inc.			8				(61,720	)			75.00			03/19/21			(3,840	)
NIKE, Inc., Class B			3				(42,441	)			130.00			01/15/21			(3,465	)
Northrop Grumman Corp.			3				(91,416	)			315.00			02/19/21			(1,920	)
NRG Energy, Inc.			30				(112,650	)			30.00			01/15/21			(23,100	)
Omnicom Group, Inc.			3				(18,711	)			65.00			04/16/21			(831	)
Oracle Corp.			3				(19,407	)			65.00			03/19/21			(870	)
PayPal Holdings, Inc.			4				(93,680	)			210.00			03/19/21			(12,192	)
PepsiCo, Inc.			3				(44,490	)			145.00			03/19/21			(2,160	)
Pfizer, Inc.			5				(18,405	)			40.00			03/19/21			(420	)
Progressive Corp. (The)			3				(29,664	)			95.00			02/19/21			(1,290	)
QUALCOMM, Inc.			8				(121,872	)			130.00			03/19/21			(20,360	)
Raytheon Technologies Corp.			4				(28,604	)			70.00			02/19/21			(1,700	)
Regeneron Pharmaceuticals, Inc.			2				(96,622	)			560.00			01/15/21			(360	)
salesforce.com, Inc.			3				(66,759	)			260.00			03/19/21			(1,230	)
Southwest Airlines Co.			4				(18,644	)			50.00			03/19/21			(936	)
Spirit AeroSystems Holdings, Inc., Class A			10				(39,090	)			20.00			02/19/21			(19,400	)
Thermo Fisher Scientific, Inc.			2				(93,156	)			480.00			03/19/21			(3,496	)
U.S. Bancorp			6				(27,954	)			40.00			03/19/21			(4,500	)
UnitedHealth Group, Inc.			3				(105,204	)			350.00			03/19/21			(5,772	)
Verizon Communications, Inc.			3				(17,625	)			62.50			01/15/21			(12	)
Visa, Inc., Class A			3				(65,619	)			210.00			03/19/21			(4,797	)
Vistra Corp.			5				(9,830	)			20.00			01/15/21			(200	)
Walmart, Inc.			24				(345,960	)			140.00			01/15/21			(12,120	)
Walmart, Inc.			3				(43,245	)			150.00			03/19/21			(1,275	)
Walt Disney Co. (The)			3				(54,354	)			130.00			03/19/21			(15,693	)
Waste Management, Inc.			2				(23,586	)			120.00			01/15/21			(200	)
Wells Fargo & Co.			8				(24,144	)			27.50			01/15/21			(2,360	)
Total Exchange Traded Call Options Written (Premiums Received $(338,122))																$	(426,275	)

 

 

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Managed Volatility Fund

SCHEDULE OF INVESTMENTS (Unaudited) (continued)

 

 

 

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):
Assets Table
Valuation Inputs
Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common
Stocks (a)		$	17,403,651			$	–			$	–			$	17,403,651
Rights			552				–				–				552
U.S.
Government
Obligations			–				10,998,917				–				10,998,917
Money Market
Fund			–				2,531,321				–				2,531,321
TOTAL		$	17,404,203			$	13,530,238			$	–			$	30,934,441

 

Liabilities Table
Valuation Inputs
Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Options
Written		$	(603,280	)		$	(200,115	)		$	–			$	(803,395	)
TOTAL		$	(603,280	)		$	(200,115	)		$	–			$	(803,395	)

 

(a)

- Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

 

See Notes to Financial Statements.

 

 

 

64	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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STATEMENTS OF ASSETS AND LIABILITIES

 

December 31, 2020 (Unaudited)

 

ASSETS		Aggressive Investors 1				Ultra-Small Company
Investments at value		$	174,052,640			$	88,616,873
Receivables:
Portfolio securities sold			820,991				19,828
Fund shares sold			1,369				213
Dividends and interest			119,468				77,101
Receivable from investment adviser			–				–
Deposits with brokers for future contracts			–				–
Prepaid expenses			21,270				10,690
Total assets			175,015,738				88,724,705
LIABILITIES
Payables:
Portfolio securities purchased			–				–
Fund shares redeemed			41,177				–
Due to custodian			193,017				–
Loan payable			269,000				–
Payable upon return of securities loaned			3,612,911				9,432,121
Accrued Liabilities:
Investment adviser fees			11,588				59,400
Administration fees			1,161				493
Directors’ fees			1,795				481
Other			98,465				46,472
Put options written at value			–				–
Call options written at value			–				–
Total liabilities			4,229,114				9,538,967
NET ASSETS		$	170,786,624			$	79,185,738
NET ASSETS REPRESENT
Paid-in capital.		$	153,316,192			$	66,972,624
Distributable earnings			17,470,432				12,213,114
NET ASSETS		$	170,786,624			$	79,185,738
Shares of common stock outstanding of $.001 par value(a)			2,393,809				2,484,702
Net asset value, offering price and redemption price per share.		$	71.35			$	31.87
Total investments at cost.		$	141,894,952			$	69,670,013
Premiums received on put options written		$	–			$	–
Premiums received on call options written		$	–			$	–

 

(a) See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund.

(b) Redemption of shares held less than six months may be charged a 2% redemption fee. See Note 8. See Notes to Financial Statements.

 

See Notes to Financial Statements. 

 

66	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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Ultra-Small Company Market					Small-Cap Growth				Small-Cap Value				Blue Chip				Managed Volatility
	$	215,211,946			$	28,839,993			$	42,199,920			$	454,898,836			$	30,934,441
		872,737				–				–				3,391,641				–
		20,061				–				20				135,300				–
		165,070				13,739				20,716				197,342				11,533
		–				–				–				16,328				–
		–				–				–				–				2,075,231
		18,778				13,281				15,338				51,164				11,353
		216,288,592				28,867,013				42,235,994				458,690,611				33,032,558
		1,088,790				–				–				2,644,262				–
		146,276				604				1,590				1,309,971				10
		2,688				–				–				–				–
		–				–				–				773,000				–
		18,609,643				800,131				1,411,967				–				–
		76,943				4,926				12,818				–				9,015
		1,265				189				269				3,367				240
		3,074				686				699				7,915				279
		104,438				42,065				46,086				177,539				38,100
		–				–				–				–				377,120
		–				–				–				–				426,275
		20,033,117				848,601				1,473,429				4,916,054				851,039
	$	196,255,475			$	28,018,412			$	40,762,565			$	453,774,557			$	32,181,519
	$	139,816,652			$	25,054,604			$	39,753,966			$	192,640,767			$	23,743,881
		56,438,823				2,963,808				1,008,599				261,133,790				8,437,638
	$	196,255,475			$	28,018,412			$	40,762,565			$	453,774,557			$	32,181,519
		13,931,119				975,980				1,717,245				32,973,071				1,984,346
	$	14.09	(b)		$	28.71			$	23.74			$	13.76			$	16.22
	$	163,361,067			$	21,779,722			$	34,249,427			$	197,654,305			$	22,377,354
	$	–			$	–			$	–			$	–			$	535,441
	$	–			$	–			$	–			$	–			$	338,122

   

 

 

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STATEMENTS OF OPERATIONS

 

Six Months Ended December 31, 2020 (Unaudited)

 

			Aggressive Investors 1				Ultra-Small Company
INVESTMENT INCOME
Dividends		$	1,133,724			$	414,872
Less: foreign taxes withheld			(22,043	)			–
Interest			53				40
Securities lending			9,347				339,151
Total Investment Income			1,121,081				754,063
EXPENSES
Investment advisory fees - Base fees			700,804				292,594
Investment advisory fees - Performance adjustment			(702,977	)			–
Administration fees			6,812				2,836
Accounting fees			32,151				27,103
Transfer agent fees			71,504				32,885
Audit fees			9,730				6,705
Legal fees			18,025				7,064
Custody fees			2,937				4,125
Blue sky fees			12,118				5,825
Directors’ and officers’ fees			11,036				4,269
Shareholder servicing fees			37,374				7,191
Reports to shareholders			16,604				10,192
Miscellaneous expenses			18,365				8,418
Total Expenses			234,483				409,207
Less investment advisory fees waived and other expenses reimbursed			–				–
Net Expenses			234,483				409,207
NET INVESTMENT INCOME			886,598				344,856
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized Gain (Loss) on:
Investments			6,509,518				(177,901	)
Written options			–				–
Futures contracts			–				–
Net Realized Gain (Loss)			6,509,518				(177,901	)
Change in Unrealized Appreciation (Depreciation) on:
Investments			30,407,372				24,558,815
Written options			–				–
Net Change in Unrealized Appreciation (Depreciation)			30,407,372				24,558,815
Net Realized and Unrealized Gain on Investments			36,916,890				24,380,914
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS		$	37,803,488			$	24,725,770

 

See Notes to Financial Statements.

 

 

68	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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	Ultra-Small Company Market				Small-Cap Growth				Small-Cap Value				Blue Chip				Managed Volatility
	$	990,377			$	121,329			$	287,928			$	5,440,879			$	142,940
		–				–				(627	)			–				0
		52				9				23				10				5,927
		695,879				56,952				93,892				–				–
		1,686,308				178,290				381,216				5,440,889				148,867
		416,238				74,206				102,846				190,653				93,042
		–				(10,166	)			(6,996	)			–				–
		7,266				1,081				1,495				20,944				1,359
		36,484				23,571				24,321				51,965				26,204
		55,022				29,714				33,470				47,921				19,642
		11,191				5,848				6,050				18,602				8,067
		21,392				3,619				4,635				57,870				3,352
		9,426				1,614				1,952				4,291				1,914
		12,652				12,442				12,508				19,539				12,264
		12,663				2,112				2,663				36,986				2,164
		56,718				6,159				9,045				60,479				9,998
		18,431				9,347				10,019				59,726				8,957
		25,189				5,323				6,256				59,009				4,291
		682,672				164,870				208,264				627,985				191,254
		(58,331	)			(48,602	)			(47,175	)			(270,542	)			(46,082	)
		624,341				116,268				161,089				357,443				145,172
		1,061,967				62,022				220,127				5,083,446				3,695
		5,657,693				1,000,115				125,149				51,778,755				526,974
		–				–				–				–				454,470
		–				–				–				–				(757,903	)
		5,657,693				1,000,115				125,149				51,778,755				223,541
		58,278,267				7,059,058				12,524,112				31,444,755				2,371,927
		–				–				–				–				118,268
		58,278,267				7,059,058				12,524,112				31,444,755				2,490,195
		63,935,960				8,059,173				12,649,261				83,223,510				2,713,736
	$	64,997,927			$	8,121,195			$	12,869,388			$	88,306,956			$	2,717,431

 

 

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STATEMENTS OF CHANGES IN NET ASSETS

 

 

		Aggressive Investors 1								Ultra-Small Company
		Six Months Ended December 31, 2020				Year Ended June 30, 2020				Six Months Ended December 31, 2020				Year Ended June 30, 2020
		(Unaudited)								(Unaudited)
OPERATIONS
Net investment income (loss)		$	886,598			$	1,660,943			$	344,856			$	(54,440	)
Net realized gain (loss) on investments			6,509,518				(8,521,044	)			(177,901	)			(6,373,492	)
Net change in unrealized appreciation (depreciation) on investments			30,407,372				(6,969,652	)			24,558,815				796,445
Net increase (decrease) in net assets resulting from operations			37,803,488				(13,829,753	)			24,725,770				(5,631,487	)
DISTRIBUTIONS:
From net investment income and net realized gains			(1,732,414	)			(2,253,130	)			–				(780,772	)
Net decrease in net assets from distributions			(1,732,414	)			(2,253,130	)			–				(780,772	)
SHARE TRANSACTIONS:
Proceeds from sale of shares			570,064				3,719,722				967,011				849,248
Reinvestment of distributions			1,638,001				2,129,245				–				717,092
Cost of shares redeemed			(10,220,291	)			(28,404,888	)			(4,018,385	)			(11,648,151	)
Redemption fees			–				–				–				–
Net decrease in net assets resulting from share transactions			(8,012,226	)			(22,555,921	)			(3,051,374	)			(10,081,811	)
Net increase (decrease) in net assets			28,058,848				(38,638,804	)			21,674,396				(16,494,070	)
NET ASSETS:
Beginning of period			142,727,776				181,366,580				57,511,342				74,005,412
End of period		$	170,786,624			$	142,727,776			$	79,185,738			$	57,511,342
SHARES ISSUED & REDEEMED
Issued			8,952				62,834				37,334				37,716
Distributions reinvested			23,370				33,964				–				30,206
Redeemed			(160,868	)			(499,246	)			(159,239	)			(523,857	)
Net decrease			(128,546	)			(402,448	)			(121,905	)			(455,935	)
Outstanding at beginning of period			2,522,355				2,924,803				2,606,607				3,062,542
Outstanding at end of period			2,393,809				2,522,355				2,484,702				2,606,607

 

See Notes to Financial Statements.

 

70	Semi-Annual Report |

 

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Ultra-Small Company Market								Small-Cap Growth								Small-Cap Value
Six Months Ended December 31, 2020				Year Ended June 30, 2020				Six Months Ended December 31, 2020				Year Ended June 30, 2020				Six Months Ended December 31, 2020				Year Ended June 30, 2020
(Unaudited)								(Unaudited)								(Unaudited)
$	1,061,967			$	2,383,677			$	62,022			$	(1,031	)		$	220,127			$	408,780
	5,657,693				6,060,316				1,000,115				(3,365,549	)			125,149				(3,833,907	)
	58,278,267				(31,075,170	)			7,059,058				(2,340,625	)			12,524,112				(2,753,107	)
	64,997,927				(22,631,177	)			8,121,195				(5,707,205	)			12,869,388				(6,178,234	)
	(6,648,679	)			(2,859,334	)			(64,311	)			(948	)			(341,446	)			(1,172,540	)
	(6,648,679	)			(2,859,334	)			(64,311	)			(948	)			(341,446	)			(1,172,540	)
	6,113,977				21,194,644				282,712				693,366				994,169				1,623,820
	6,293,685				2,712,320				57,810				882				323,105				1,120,299
	(24,574,256	)			(84,776,967	)			(3,154,311	)			(14,296,024	)			(3,133,723	)			(14,994,132	)
	18,923				43,193				–				–				98				–
	(12,147,671	)			(60,826,810	)			(2,813,789	)			(13,601,776	)			(1,816,351	)			(12,250,013	)
	46,201,577				(86,317,321	)			5,243,095				(19,309,929	)			10,711,591				(19,600,787	)
	150,053,898				236,371,219				22,775,317				42,085,246				30,050,974				49,651,761
$	196,255,475			$	150,053,898			$	28,018,412			$	22,775,317			$	40,762,565			$	30,050,974
	491,339				2,168,366				11,130				32,165				50,149				92,441
	455,404				240,241				2,055				35				13,808				52,522
	(2,087,723	)			(8,173,523	)			(133,576	)			(668,843	)			(165,761	)			(778,674	)
	(1,140,980	)			(5,764,916	)			(120,391	)			(636,643	)			(101,804	)			(633,711	)
	15,072,099				20,837,015				1,096,371				1,733,014				1,819,049				2,452,760
	13,931,119				15,072,099				975,980				1,096,371				1,717,245				1,819,049

 

 

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STATEMENTS OF CHANGES IN NET ASSETS (continued)

 

 

		Blue Chip								Managed Volatility
		Six Months Ended December 31, 2020				Year Ended June 30, 2020				Six Months Ended December 31, 2020				Year Ended June 30, 2020
		(Unaudited)								(Unaudited)
OPERATIONS
Net investment income		$	5,083,446			$	11,693,674			$	3,695			$	230,830
Net realized gain on investments			51,778,755				41,982,231				223,541				1,377,027
Net change in unrealized appreciation (depreciation) on investments			31,444,755				(36,814,622	)			2,490,195				(350,798	)
Net increase in net assets resulting from operations			88,306,956				16,861,283				2,717,431				1,257,059
DISTRIBUTIONS:
From net investment income and net realized gains			(91,120,854	)			(56,389,851	)			(1,473,611	)			(311,246	)
Net decrease in net assets from distributions			(91,120,854	)			(56,389,851	)			(1,473,611	)			(311,246	)
SHARE TRANSACTIONS:
Proceeds from sale of shares			33,939,947				87,807,618				3,159,495				2,755,337
Reinvestment of distributions			83,723,692				51,355,855				1,374,622				289,211
Cost of shares redeemed			(138,475,261	)			(127,263,400	)			(2,979,350	)			(5,264,419	)
Net increase (decrease) in net assets resulting from share transactions			(20,811,622	)			11,900,073				1,554,767				(2,219,871	)
Net increase (decrease) in net assets			(23,625,520	)			(27,628,495	)			2,798,587				(1,274,058	)
NET ASSETS:
Beginning of period			477,400,077				505,028,572				29,382,932				30,656,990
End of period		$	453,774,557			$	477,400,077			$	32,181,519			$	29,382,932
SHARES ISSUED & REDEEMED
Issued			2,145,465				6,093,425				194,558				181,398
Distributions reinvested			6,142,604				3,477,038				85,433				18,866
Redeemed			(9,501,253	)			(9,086,282	)			(184,567	)			(348,707	)
Net increase (decrease)			(1,213,184	)			484,181				95,424				(148,443	)
Outstanding at beginning of period			34,186,255				33,702,074				1,888,922				2,037,365
Outstanding at end of period			32,973,071				34,186,255				1,984,346				1,888,922

 

See Notes to Financial Statements.

 

72	Semi-Annual Report |

 

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

AGGRESSIVE INVESTORS 1

 

				Year Ended June 30
		For the Six Months Ended 12/31/20 (Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$56.59		$62.01		$74.05		$66.37		$54.75		$59.15
Income from Investment Operations:
Net Investment Income (Loss)(a)		0.36		0.61		0.98		0.23		(0.14)		0.31
Net Realized and Unrealized Gain (Loss)		15.12		(5.21)		(6.93)		7.45		12.12		(4.69)
Total from Investment Operations		15.48		(4.60)		(5.95)		7.68		11.98		(4.38)
Less Distributions to Shareholders from:
Net Investment Income		(0.72)		(0.82)		(1.21)		–		(0.36)		(0.02)
Net Realized Gain		–		–		(4.88)		–		–		–
Total Distributions		(0.72)		(0.82)		(6.09)		–		(0.36)		(0.02)
Net Asset Value, End of Period		$71.35		$56.59		$62.01		$74.05		$66.37		$54.75
Total Return		27.38%(b)		(7.53%)		(6.67%)		11.57%		21.90%		(7.40%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$170,787		$142,728		$181,367		$227,562		$224,073		$207,229
Expenses Before Waivers and Reimbursements 0.30%(c)(d)				0.28%(d)		0.35%(d)		0.96%		1.66%		0.63%(d)
Expenses After Waivers and Reimbursements		0.30%(c)		0.28%		0.35%		0.96%		1.66%		0.63%
Net Investment Income (Loss) After Waivers and Reimbursements		1.14%(c)		1.04%		1.52%		0.31%		(0.23%)		0.58%
Portfolio Turnover Rate		34%(b)		125%		102%		105%		153%		124%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Not annualized.

(c)

Annualized for periods less than one year.

(d)

For the periods ended December 31, 2020, June 30, 2020, June 30, 2019 and June 30, 2016 the expense ratios were significantly lower than in other periods, due to a negative performance adjustment to the investment advisory fee. Please refer to Note 3 of the Notes to Financial Statements for further information. The rate shown may not be indicative of the rate going forward.

 

See Notes to Financial Statements.

 

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

ULTRA-SMALL COMPANY

 

 

				Year Ended June 30
		For the Six Months Ended 12/31/20 (Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$22.06		$24.16		$32.13		$30.04		$25.99		$30.37
Income from Investment Operations:
Net Investment Income (Loss)(a		0.14		(0.02)		0.28		(0.04)		0.32		0.28
Net Realized and Unrealized Gain (Loss)		9.67		(1.80)		(5.14)		2.73		4.06		(4.39)
Total from Investment Operations		9.81		(1.82)		(4.86)		2.69		4.38		(4.11)
Less Distributions to Shareholders from:
Net Investment Income		–		(0.28)		(0.01)		(0.41)		(0.33)		(0.27)
Net Realized Gain		–		–		(3.10)		(0.19)		–		–
Total Distributions		–		(0.28)		(3.11)		(0.60)		(0.33)		(0.27)
Net Asset Value, End of Period		$31.87		$22.06		$24.16		$32.13		$30.04		$25.99
Total Return		44.47%(b)		(7.63%)		(14.48%)		9.13%		16.88%		(13.53%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$79,186		$57,511		$74,005		$96,754		$100,984		$101,451
Expenses Before Waivers and Reimbursements		1.26%(c)		1.32%		1.21%		1.18%		1.18%		1.17%
Expenses After Waivers and Reimbursements		1.26%(c)		1.32%		1.21%		1.18%		1.18%		1.17%
Net Investment Income (Loss) After Waivers and Reimbursements		1.06%(c)		(0.09%)		1.00%		(0.14%)		1.14%		1.05%
Portfolio Turnover Rate		44%(b)		104%		93%		89%		113%		101%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Not annualized.

(c)

Annualized for periods less than one year.

 

See Notes to Financial Statements.

 

74	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

ULTRA-SMALL COMPANY MARKET

 

				Year Ended June 30
		For the Six Months Ended 12/31/20 (Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$9.96		$11.34		$15.81		$14.93		$12.77		$16.18
Income from Investment Operations:
Net Investment Income(a)		0.07		0.13		0.11		0.08		0.17		0.12
Net Realized and Unrealized Gain (Loss)		4.55		(1.36)		(2.93)		2.76		3.18		(1.87)
Total from Investment Operations		4.62		(1.23)		(2.82)		2.84		3.35		(1.75)
Less Distributions to Shareholders from:
Net Investment Income		(0.14)		(0.15)		(0.08)		(0.02)		(0.15)		(0.13)
Net Realized Gain		(0.35)		–		(1.57)		(1.94)		(1.04)		(1.53)
Total Distributions		(0.49)		(0.15)		(1.65)		(1.96)		(1.19)		(1.66)
Paid-in Capital from Redemption Fees(a)		0.00(b)		0.00(b)		0.00(b)		0.00(b)		0.00(b)		0.00(b)
Net Asset Value, End of Period		$14.09		$9.96		$11.34		$15.81		$14.93		$12.77
Total Return(c)		46.45%(d)		10.99%		(16.98%)		20.86%		26.61%		10.83%
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$196,255		$150,054		$236,371		$378,144		$352,190		$331,535
Expenses Before Waivers and Reimbursements		0.82%(e)		0.82%		0.77%		0.75%		0.76%		0.75%
Expenses After Waivers and Reimbursements		0.75%(e)		0.75%		0.75%		0.75%		0.75%		0.75%
Net Investment Income After Waivers and Reimbursements		1.28%(e)		1.27%		0.84%		0.52%		1.21%		0.91%
Portfolio Turnover Rate		26%(d)		51%		38%		35%		31%		41%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Amount represents less than $0.005.

(c)

Total return would have been lower had various fees not been waived during the period.

(d)

Not annualized.

(e)

Annualized for periods less than one year.

 

See Notes to Financial Statements.

 

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

SMALL-CAP GROWTH

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$20.77		$24.28		$30.32		$24.92		$20.33		$21.17
Income from Investment Operations:
Net Investment Income (Loss)(a)		0.06		0.00(b)		(0.03)		0.09		0.06		0.07
Net Realized and Unrealized Gain (Loss)		7.95		(3.51)		(3.43)		5.36		4.60		(0.91)
Total from Investment Operations		8.01		(3.51)		(3.46)		5.45		4.66		(0.84)
Less Distributions to Shareholders from:
Net Investment Income		(0.07)		–		(0.10)		(0.05)		(0.07)		–
Net Realized Gain		–		(0.00)(b)		(2.48)		–		–		–
Total Distributions		(0.07)		–		(2.58)		(0.05)		(0.07)		–
Net Asset Value, End of Period		$28.71		$20.77		$24.28		$30.32		$24.92		$20.33
Total Return(c)		38.55%(d)		(14.46%)		(10.81%)		21.91%		22.97%		(3.97%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$28,018		$22,775		$42,085		$55,472		$46,544		$36,394
Expenses Before Waivers and
Reimbursements		1.33%(e)		1.22%		1.11%		1.08%		1.16%		1.20%
Expenses After Waivers and
Reimbursements		0.94%(e)		0.94%		0.94%		0.94%		0.94%		0.94%
Net Investment Income (Loss) After
Waivers and Reimbursements		0.50%(e)		0.00%		(0.10%)		0.35%		0.24%		0.36%
Portfolio Turnover Rate		59%(d)		115%		102%		122%		136%		137%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Amount represents less than $0.005.

(c)

Total return would have been lower had various fees not been waived during the period.

(d)

Not annualized.

(e)

Annualized for periods less than one year.

 

See Notes to Financial Statements

 

76	Semi-Annual Report | December 31, 2020 (Unaudited)

  

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

SMALL-CAP VALUE

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$16.52		$20.24		$29.60		$24.82		$20.87		$22.40
Income from Investment Operations:
Net Investment Income(a)		0.13		0.19		0.47		0.20		0.22		0.29
Net Realized and Unrealized Gain (Loss)		7.29		(3.40)		(5.72)		4.81		3.97		(1.43)
Total from Investment Operations		7.42		(3.21)		(5.25)		5.01		4.19		(1.14)
Less Distributions to Shareholders from:
Net Investment Income		(0.20)		(0.51)		(0.74)		(0.23)		(0.24)		(0.39)
Net Realized Gain		–		–		(3.37)		–		–		–
Total Distributions		(0.20)		(0.51)		(4.11)		(0.23)		(0.24)		(0.39)
Paid-in Capital from Redemption Fees(a)		0.00(b)		–		–		–		–		–
Net Asset Value, End of Period		$23.74		$16.52		$20.24		$29.60		$24.82		$20.87
Total Return(c)		44.93%(d)		(16.43%)		(17.12%)		20.32%		20.08%		(5.02%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$40,763		$30,051		$49,652		$69,317		$61,981		$58,741
Expenses Before Waivers and Reimbursements		1.22%(e)		1.12%		1.00%		0.94%		0.98%		1.03%
Expenses After Waivers and Reimbursements		0.94%(e)		0.94%		0.94%		0.94%		0.94%		0.94%
Net Investment Income After Waivers and Reimbursements		1.28%(e)		1.01%		1.97%		0.74%		0.95%		1.41%
Portfolio Turnover Rate		45%(d)		87%		84%		78%		77%		62%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Amount represents less than $0.005.

(c)

Total return would have been lower had various fees not been waived during the period.

(d)

Not annualized.

(e)

Annualized for periods less than one year.

 

See Notes to Financial Statements.

 

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

  

BLUE CHIP

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$13.96		$14.99		$14.62		$13.71		$12.28		$11.81
Income from Investment Operations:
Net Investment Income(a)		0.16		0.33		0.34		0.31		0.30		0.28
Net Realized and Unrealized Gain		2.80		0.28		1.75		1.33		1.44		0.49
Total from Investment Operations		2.96		0.61		2.09		1.64		1.74		0.77
Less Distributions to Shareholders from:
Net Investment Income		(0.35)		(0.32)		(0.31)		(0.31)		(0.31)		(0.30)
Net Realized Gain		(2.81)		(1.32)		(1.41)		(0.42)		–		–
Total Distributions		(3.16)		(1.64)		(1.72)		(0.73)		(0.31)		(0.30)
Net Asset Value, End of Period		$13.76		$13.96		$14.99		$14.62		$13.71		$12.28
Total Return(b)		21.40%(c)		3.49%		16.26%		11.98%		14.33%		6.60%
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$453,775		$477,400		$505,029		$567,513		$550,902		$571,644
Expenses Before Waivers and Reimbursements		0.26%(d)		0.27%		0.25%		0.22%		0.25%		0.25%
Expenses After Waivers and Reimbursements		0.15%(d)		0.15%		0.15%		0.15%		0.15%		0.15%
Net Investment Income After Waivers and Reimbursements		2.13%(d)		2.28%		2.28%		2.17%		2.30%		2.42%
Portfolio Turnover Rate		3%(c)		15%		20%		14%		17%		23%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Total return would have been lower had various fees not been waived during the period.

(c)

Not annualized.

(d)

Annualized for periods less than one year.

 

See Notes to Financial Statements

 

78	Semi-Annual Report | December 31, 2020 (Unaudited)

   

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FINANCIAL HIGHLIGHTS

 

(for a share outstanding throughout each period indicated)

 

MANAGED VOLATILITY

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$15.56		$15.05		$15.75		$14.79		$14.20		$14.05
Income from Investment Operations:
Net Investment Income(a)		0.00(b)		0.12		0.16		0.10		0.06		0.04
Net Realized and Unrealized Gain		1.43		0.55		0.06		0.95		0.59		0.11
Total from Investment Operations		1.43		0.67		0.22		1.05		0.65		0.15
Less Distributions to Shareholders from:
Net Investment Income		–		(0.16)		(0.31)		(0.09)		(0.06)		0.00(b)
Net Realized Gain		(0.77)		–		(0.61)		–		–		–
Total Distributions		(0.77)		(0.16)		(0.92)		(0.09)		(0.06)		–(b)
Net Asset Value, End of Period		$16.22		$15.56		$15.05		$15.75		$14.79		$14.20
Total Return(c)		9.20%(d)		4.45%		1.74%		7.11%		4.59%		1.10%
Ratios and Supplemental Data:
Net Assets, End of Period (in 000's)		$32,182		$29,383		$30,657		$32,816		$36,523		$57,586
Expenses Before Waivers and Reimbursements		1.22%(e)		1.27%		1.24%		1.20%		1.12%		1.06%
Expenses After Waivers and Reimbursements		0.94%(e)		0.94%		0.94%		0.94%		0.94%		0.94%
Net Investment Income After Waivers and Reimbursements		0.02%(e)		0.77%		1.06%		0.64%		0.42%		0.31%
Portfolio Turnover Rate		10%(d)		68%		69%		50%		50%		54%

 

(a)

Per share amounts calculated based on the average daily shares outstanding during the period.

(b)

Amount represents less than $0.005.

(c)

Total return would have been lower had various fees not been waived during the period.

(d)

Not annualized.

(e)

Annualized for periods less than one year.

 

See Notes to Financial Statements.

 

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NOTES TO FINANCIAL STATEMENTS

 

December 31, 2020 (Unaudited)

 

1.  Organization

 

Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

 

Bridgeway is organized as a series fund, with nine investment funds as of December 31, 2020. The Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Growth, Small-Cap Value, Blue Chip and Managed Volatility Funds are presented in this report (each is referred to as a “Fund” and collectively, the “Funds”). The Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are included in a separate report.

 

Bridgeway is authorized to issue 1,915,000,000 shares of common stock at $0.001 per share. As of December 31, 2020, 100,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares have been classified into the Blue Chip Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Small-Cap Value, Omni Tax-Managed Small-Cap Value, Small-Cap Growth, and Small-Cap Value Funds. 50,000,000 shares have been classified into the Managed Volatility Fund.

 

The Ultra-Small Company Fund is open to existing investors (direct only).

 

All of the Funds are no-load, diversified funds.

 

The Aggressive Investors 1 Fund seeks to exceed the stock market total return (primarily through capital appreciation) at a level of total risk roughly equal to that of the stock market over longer periods of time (three year intervals or more).

 

The Ultra-Small Company, Ultra-Small Company Market, Small-Cap Growth and Small-Cap Value Funds seek to provide a long-term total return on capital, primarily through capital appreciation.

 

The Blue Chip Fund seeks to provide long-term total return on capital, primarily through capital appreciation, but also some income.

 

The Managed Volatility Fund seeks to provide a high current return with short-term risk less than or equal to 40% of the stock market.

 

Bridgeway Capital Management, LLC (the “Adviser”) is the investment adviser for all of the Funds.

 

2.  Significant Accounting Policies:

 

Following is a summary of significant accounting policies that are followed in the preparation of the financial statements of the Funds. They are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

 

Securities, Options, Futures and Other Investments Valuation Other than options, securities for which market quotations are readily available are valued at the last sale price on the national exchange on which such securities are primarily traded. In the case of securities reported on the National Association of Securities Dealers Automated Quotation (“NASDAQ”) system, the securities are valued based on the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their primary exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions.

 

Fixed income securities are valued on the basis of current market quotations provided by a pricing service. Options are valued at the close if there is trading volume, and if there is no trading volume, the options are valued at the bid on long positions and the ask on the short positions.

 

 

80	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.

 

Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.

 

When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued at fair value as determined in good faith by or under the direction of the Board of Directors. The valuation assigned to a fair valued security for purposes of calculating the Funds’ NAVs may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.

 

The inputs and valuation techniques used to determine the value of a Fund’s investments are summarized into three levels as described in the hierarchy below:

 

●   Level 1 — quoted prices in active markets for identical assets

 

Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.

 

●   Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

 

Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs, are classified as Level 2 prices. These generally include certain US Government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

 

The Fidelity Investments Money Market Government Portfolio - Class I, which is held by each Fund, invests primarily in securities that are valued at amortized cost. Therefore, this investment is classified as a Level 2 investment.

 

●   Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

 

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the results of the Funds’ operations.

 

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Funds’ investments as of December 31, 2020 is included with each Fund’s Schedule of Investments.

 

Details regarding material transfers into, and material transfers out of, Level 3, if any, can be found at the end of each Schedule of Investments for Funds that held Level 3 securities.

 

Securities Lending Upon lending its securities to third parties, each participating Fund receives compensation in the form of fees. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. The

 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

remaining contractual maturity of all securities lending transactions is overnight and continuous. Each Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, a Fund does not have the right to sell or re-pledge collateral received in the form of securities unless the borrower goes into default. The risks to a Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due, resulting in a loss. Under the terms of the Securities Lending Agreement, the Funds are indemnified for such losses by the securities lending agent.

 

While securities are on loan, the Fund continues to receive dividends on the securities loaned and recognizes any unrealized gain or loss in the fair value of the securities loaned.

 

Securities lending transactions are entered into by a Fund under a Securities Lending Agreement which provides the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral or to offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a counterparty’s bankruptcy or insolvency.

 

The market value of securities on loan, all of which are classified as common stocks in the Funds’ Schedules of Investments, and the value of the related collateral are shown in the Statements of Assets and Liabilities as a component of Investments at value. During the period ended December 31, 2020 the Blue Chip and Managed Volatility Funds did not have any securities lending transactions.

 

The following table is a summary of the Funds’ payable upon return of securities loaned and related cash collateral, which are subject to a netting agreement as of December 31, 2020:

 

				Gross Amount Not Offset
				in the Statement of Assets
		Gross		and Liabilities
		Amounts	Net Amounts of
	Gross	Offset in the	Assets Presented
	Amounts of	Statement of	in the Statement
	Recognized	Assets and	of Assets and	Financial	Collateral
Fund	Assets	Liabilities	Liabilities	Instruments	Received	Net Amount
Aggressive Investors 1
Securities lending	$3,612,911	–	$3,612,911	–	$3,612,911	–
Ultra-Small Company
Securities lending	$9,432,121	–	$9,432,121	–	$9,432,121	–
Ultra-Small Company Market
Securities lending	$18,609,643	–	$18,609,643	–	$18,609,643	–
Small-Cap Growth
Securities lending	$800,131	–	$800,131	–	$800,131	–
Small-Cap Value
Securities lending	$1,411,967	–	$1,411,967	–	$1,411,967	–

 

 

82	Semi-Annual Report | December 31, 2020 (Unaudited)

   

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

  

The following table summarizes the securities received as non-cash collateral and cash collateral for securities lending:

 

	Non-Cash Collateral						Market
			Maturity				Value of
		Coupon	Date	Market	Cash	Total	Securities
Fund	Collateral Type	Range	Range	Value	Collateral	Collateral	on Loan
Aggressive Investors 1
Securities lending	U.S.Gov’t	0.00%-	01/15/21-
	Obligations	8.13%	08/15/50	$4,261,796	$3,612,911	$7,874,707	$7,703,138
Ultra-Small Company
Securities lending	U.S.Gov’t	0.00%-	01/28/21-
	Obligations	3.88%	08/15/48	$3,677,976	$9,432,121	$13,110,097	$12,718,830
Ultra-Small Company Market
Securities lending	U.S.Gov’t	0.00%-	01/15/21-
	Obligations	8.13%	11/15/50	$5,923,776	$18,609,643	$24,533,419	$23,298,452
Small-Cap Growth
Securities lending	U.S.Gov’t	0.00%-	01/15/21-
	Obligations	8.13%	11/15/50	$2,623,469	$800,131	$3,423,600	$3,291,170
Small-Cap Value
Securities lending	U.S.Gov’t	0.00%-	01/15/21-
	Obligations	8.13%	11/15/50	$3,219,577	$1,411,967	$4,631,544	$4,545,495

 

It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. As of December 31, 2020, the collateral consisted of an institutional government money market fund and US Government Obligations.

 

Use of Estimates in Financial Statements In preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities on the date of the financial statements and the disclosure of contingent assets and liabilities on the date of the financial statements, as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

 

Concentrations of Credit Risk The Funds maintain cash and securities in its custody account, maintained by a high-credit, quality financial institution. Cash balances may, at times, exceed the FDIC insurance limit. Cash balances are generally invested in a short-term investment vehicle, which minimizes the risk of cash balances exceeding the FDIC insurance limit.

 

Sector Concentration Risk Companies with similar characteristics may be grouped together in broad categories called sectors. Although the Fund seeks investments across a number of sectors, from time to time, based on economic conditions, the Fund may have significant positions in particular sectors. A certain sector may underperform other sectors or the market as a whole. As more assets are held in a specific sector, a Fund’s performance will be more susceptible to any economic, business or other developments which generally affect that sector.

 

Risks and Uncertainties The Funds provide for various investment options, including stocks, bonds and call and put options. Such investments are exposed to risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.

 

The global pandemic outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19 has resulted in substantial market volatility and global business disruption, affecting the global economy and the financial health of individual companies in significant and unforeseen ways. COVID-19 has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in health-care service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures,

 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

   

cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. Instability in the United States, European and other credit markets has made it more difficult for borrowers to obtain financing or refinancing on attractive terms or at all. In particular, because of the current conditions in the credit markets, borrowers may be subject to increased interest expenses for borrowed money and tightening underwriting standards. In addition, stock prices as well as yield could be negatively impacted to the extent that issuers of equity securities cancel or announce the suspension of dividends or share buybacks. The COVID-19 pandemic could continue to inhibit global, national and local economic activity, and constrain access to capital and other sources of funding. Various recent government interventions have been aimed at curtailing the distress to financial markets caused by the COVID-19 outbreak. There can be no guarantee that these or other economic stimulus plans (within the United States or other affected countries throughout the world) will be sufficient or will have their intended effect. In addition, an unexpected or quick reversal of such policies could increase market volatility, which could adversely affect a Fund’s investments. The duration and future impact of COVID-19 are currently unknown, which may exacerbate the other risks that apply to a Fund and could negatively affect Fund performance and the value of your investment in a Fund.

 

Security Transactions, Investment Income and Expenses Security transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date. Particularly as related to the Managed Volatility Fund, discounts and premiums are accreted/amortized using the effective interest method.

 

Fund expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Funds’ total net assets or other appropriate basis.

 

Distributions to Shareholders The Funds pay dividends from net investment income and distribute realized capital gains annually, usually in December.

 

Derivatives The Funds’ use of derivatives for the period ended December 31, 2020 was limited to futures contracts, purchased options, and written options. The following is a summary of how these derivatives are treated in the financial statements and their impact on the Funds, categorized by primary underlying risk.

 

			Location on
			Statement of
Primary Underlying	Derivative	Derivative	Assets and
Risk/Fund	Assets	Liabilities	Liabilities
Equity Risk
Managed Volatility:
Written Put Options	–	$377,120	Put options written at value
Written Call Options	–	426,275	Call options written at value

 

	Amount of	Amount of
Primary Underlying	Realized Gain	Unrealized Gain	Location of Gain (Loss)
Risk/Fund	(Loss) on Derivatives	(Loss) on Derivatives	in the Statement of Operations
Equity Risk
Managed Volatility:
Written Options	$454,470		Realized Gain (Loss) on Written Options
			Change in Unrealized Appreciation
		$118,268	(Depreciation) on Written Options
Futures Contracts	$(757,903)	–	Realized Gain (Loss) on Futures Contracts

 

The derivative instruments outstanding as of December 31, 2020, as disclosed in the Notes to the Financial Statements, and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period, as disclosed in the Statements of Operations, serve as indicators of the volume of derivatives activity for the Funds.

 

 

84	Semi-Annual Report | December 31, 2020 (Unaudited)

   

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

  

Futures Contracts The Funds may purchase or sell financial futures contracts to hedge cash positions, manage market risk, and to dampen volatility in line with investment objectives. A futures contract is an agreement between two parties to buy or sell a financial instrument at a set price on a future date. Upon entering into such a contract, a Fund is required to pledge to the broker an amount of cash or US Government securities equal to the minimum “initial margin” requirements of the exchange on which the futures contract is traded. The contract amount reflects the extent of a Fund’s exposure in these financial instruments. A Fund’s participation in the futures markets involves certain risks, including imperfect correlation between movements in the price of futures contracts and movements in the price of the securities hedged or used for cover. Pursuant to a contract, such Fund agrees to receive from, or pay to, the broker an amount of cash equal to the fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized appreciation or depreciation. When a contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. With futures, there is minimal counter-party risk to the Funds, since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. As of December 31, 2020, the Funds had no open futures contracts.

 

Options The Aggressive Investors 1 Fund may buy and sell calls and puts to increase or decrease the Fund’s exposure to stock market risk or for purposes of diversification of risk. The Managed Volatility Fund may buy and sell calls and puts to reduce the Fund’s volatility and provide some cash flow. An option is a contract conveying a right to buy or sell a financial instrument at a specified price during a stipulated period. The premium paid by a Fund for the purchase of a call or a put option is included in such Fund’s Schedule of Investments as an investment and subsequently marked-to-market to reflect the current market value of the option. When a Fund writes a call or a put option, an amount equal to the premium received by such Fund is included in its Statement of Assets and Liabilities as a liability and is subsequently marked-to-market to reflect the current market value of the option written. If an option that a Fund has written either expires on its stipulated expiration date, or if such Fund enters into a closing purchase transaction, that Fund realizes a gain (or a loss if the cost of a closing purchase transaction exceeds the premium received when the option was written) without regard to any unrealized gain or loss on the underlying security, and the liability related to such options is extinguished. If a call option that a Fund has written is assigned, such Fund realizes a gain or loss from the sale of the underlying security, and the proceeds from such sale are increased by the premium originally received. If a put option that a Fund has written is assigned, the amount of the premium originally received reduces the cost of the security that such Fund purchased upon exercise of the option. Buying calls increases a Fund’s exposure to the underlying security to the extent of any premium paid. Buying puts on a stock market index tends to limit a Fund’s exposure to a stock market decline. All options purchased by the Funds were listed on exchanges and considered liquid positions with readily available market quotes.

 

Covered Call Options and Secured Puts The Aggressive Investors 1 and Managed Volatility Funds may write call options on a covered basis; that is, a Fund will own the underlying security, or a Fund may write secured puts. The principal reason for writing covered calls and secured puts on a security is to attempt to realize income through the receipt of premiums. The option writer has, in return for the premium, given up the opportunity for profit from a substantial price increase in the underlying security so long as the obligation as a writer continues, but has retained the risk of loss should the price of the security decline. All options were listed on exchanges and considered liquid positions with readily available market quotes.

 

Outstanding written options as of December 31, 2020 for the Managed Volatility Fund are included in the Schedule of Investments. The Aggressive Investors 1 Fund had no transactions in written options during the period ended December 31, 2020.

 

Indemnification Under the Company’s organizational documents, the Funds’ officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

3.  Advisory Fees, Other Related Party Transactions and Contingencies:

 

The Funds have entered into management agreements with the Adviser. As compensation for the advisory services rendered, facilities furnished, and expenses borne by the Adviser, the Funds pay the Adviser a fee pursuant to each Fund’s management agreement, as described below.

 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

Aggressive Investors 1 Fund, Small-Cap Growth Fund and Small-Cap Value Fund each have management fees that are comprised of a base fee, which is applied to the Fund’s average annual net assets, and a performance adjustment, which adjusts the fee upward or downward depending on a Fund’s performance relative to the applicable market index over a rolling five-year performance period, and is applied to the Fund’s average daily net assets over this performance period.

 

Because the performance adjustment is based on a Fund’s performance relative to the applicable market index, and not the Fund’s absolute performance, the performance adjustment could increase the Adviser’s fee even if the Fund’s shares lose value over the performance period, provided that the Fund outperformed its market index, or could decrease the Adviser’s fee even if the Fund’s shares increase in value during the performance period, provided that the Fund underperformed its market index. Also, depending on a Fund’s performance relative to the applicable market index over the rolling five-year performance period, the performance adjustment could increase the Adviser’s fee even if the Fund has experienced underperformance relative to its market index in the short-term, or could decrease the Adviser’s fee even if the Fund has experienced outperformance relative to its market index in the short-term. However, no performance fee adjustment will be applied to the Adviser’s fee if the cumulative difference between a Fund’s performance and that of the applicable market index is less than or equal to 2% over the rolling five-year performance period.

 

Additionally, because the base fee is applied to average annual net assets, and the performance adjustment is calculated over a rolling five-year performance period, it is possible that if a Fund underperforms the applicable market index significantly over the performance period, and the Fund’s assets have declined significantly over that performance period, the negative performance adjustment may exceed the base fee. In this event, the Adviser would make a payment to the Fund.

 

Aggressive Investors 1: A total advisory fee is paid by the Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million, 0.85% of the next $500 million and 0.80% of any excess over $1 billion.

 

The Performance Adjustment equals 4.67% times the difference in cumulative total return between the Fund and the Standard and Poor’s 500 Composite Stock Price Index with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.70% to a maximum of +0.70%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund performance and the Index performance is less than or equal to 2%.

 

Ultra-Small Company: The Fund pays advisory fees based on the following annual rates: 0.90% of the first $250 million of the Fund’s average daily net assets, 0.875% of the next $250 million and 0.85% of any excess over $500 million. The management fees are computed daily and are payable monthly. However, during any period when the Fund’s net assets range from $27,500,000 to $55,000,000, the advisory fee will be determined as if the Fund had $55,000,000 under management. This is limited to a maximum annualized expense ratio of 1.49% of average net assets.

 

Ultra-Small Company Market: The Fund’s advisory fee is a flat 0.50% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

 

Small-Cap Growth and Small-Cap Value: A total advisory fee is paid by each Fund to the Adviser that is comprised of a Base Fee and a Performance Adjustment. The Base Fee equals the Base Fee Rate times the average daily net assets of the Fund. The Base Fee Rate is based on the annual rate of 0.60% of the value of each Fund’s average daily net assets.

 

The Performance Adjustment equals 0.33% times the difference in cumulative total return between the Fund and the Russell 2000 Growth Index for Small-Cap Growth Fund and the Russell 2000 Value Index for Small-Cap Value Fund, with dividends reinvested (hereinafter “Index”) over a rolling five-year performance period. The Performance Adjustment Rate varies from a minimum of -0.05% to a maximum of +0.05%. However, the Performance Adjustment Rate is zero if the difference between the cumulative Fund’s performance and the Index performance is less than or equal to 2%.

 

Blue Chip: The Fund’s advisory fee is a flat 0.08% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

 

 

86	Semi-Annual Report | December 31, 2020 (Unaudited)

   

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

Managed Volatility: The Fund’s advisory fee is a flat 0.60% of the value of the Fund’s average daily net assets, computed daily and payable monthly.

 

Expense limitations: The Adviser has agreed to reimburse the Funds for operating expenses and management fees above the expense limitations shown in the table below, which are shown as a ratio of net expenses to average net assets, for each Fund, for the period ended December 31, 2020. Any material change to the expense limitation would require a vote by share-holders of the applicable Fund.

 

		Total Waivers and
		Reimbursements
	Expense	for Period Ended
Bridgeway Fund	Limitation	12/31/20
Aggressive Investors 1	1.75%	$–
Ultra-Small Company	1.85%	–
Ultra-Small Company Market	0.75%	58,331
Small-Cap Growth	0.94%	48,602
Small-Cap Value	0.94%	47,175
Blue Chip	0.15%	270,542
Managed Volatility	0.94%	46,082

 

Other Related Party Transactions: The Funds will engage in inter-portfolio trades when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. Inter-portfolio purchases and sales during the period ended December 31, 2020 were as follows:

 

Bridgeway Fund		Inter-Portfolio Purchases	Inter-Portfolio Sales
Aggressive Investors 1	$	–	$  933,510
Ultra-Small Company		3,616,716	5,499,434
Ultra-Small Company Market		5,478,380	4,178,633
Small-Cap Growth		114,932	224,272
Small-Cap Value		1,172,575	2,100,716

 

The Adviser entered into an Administrative Services Agreement with Bridgeway, pursuant to which the Adviser provides various administrative services to the Funds, including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds;(iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an aggregate annual fee of $209,000, payable in equal monthly installments. For the allocation of this expense to each of the Funds, please see the Statements of Operations.

 

Board of Directors Compensation Independent Directors are paid an annual retainer of $20,000, with an additional retainer of $5,000 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. The retainer is paid in quarterly installments. In addition, Independent Directors are paid $12,000 per meeting for meeting fees. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.

 

Independent Directors are reimbursed for any expenses incurred in attending meetings and conferences, as well as expenses for subscriptions or printed materials. The amount of directors’ fees attributable to each Fund is disclosed in the Statements of Operations.

 

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

  

One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Under the 1940 Act definitions, he is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery is borne by the Adviser rather than the Funds.

 

4.  Distribution Agreement:

 

Foreside Fund Services, LLC acts as distributor of the Funds’ shares, pursuant to a Distribution Agreement dated May 31, 2017. The Adviser pays all costs and expenses associated with distribution of the Funds’ shares, pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.

 

5.  Purchases and Sales of Investment Securities:

 

Purchases and sales of investments, other than short-term securities, for each Fund for the period ended December 31, 2020 were as follows:

 

	Purchases		Sales
Bridgeway Fund	U.S. Government	Other	U.S. Government	Other
Aggressive Investors 1	$—	$51,652,548	$—	$60,699,879
Ultra-Small Company	–	28,242,589	–	32,241,234
Ultra-Small Company Market	–	42,839,014	–	59,987,779
Small-Cap Growth	–	14,348,302	–	17,055,365
Small-Cap Value	–	15,067,467	–	17,054,259
Blue Chip	–	14,179,240	–	119,829,961
Managed Volatility	–	1,652,765	–	4,792,226

 

6.  Federal Income Taxes

 

It is the Funds’ policy to continue to comply with the provisions of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), applicable to regulated investment companies, and to distribute income to the extent necessary so that the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.

 

Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/depreciation and the cost of investment securities for tax purposes, including short-term securities as of December 31, 2020, were as follows:

 

		Aggressive				Ultra-Small				Ultra-Small
		Investors 1				Company				Company Market
Gross appreciation (excess of value over tax cost)		$	35,699,658			$	25,069,748			$	63,777,125
Gross depreciation (excess of tax cost over value)			(3,541,970	)			(6,235,933	)			(11,926,272	)
Net unrealized appreciation		$	32,157,688			$	18,833,815			$	51,850,853
Cost of investments for income tax purposes		$	141,894,952			$	69,783,058			$	163,361,093
							Small-Cap				Small-Cap
							Growth				Value
Gross appreciation (excess of value over tax cost)						$	7,389,157			$	9,948,293
Gross depreciation (excess of tax cost over value)							(328,886	)			(1,997,800	)
Net unrealized appreciation						$	7,060,271			$	7,950,493
Cost of investments for income tax purposes						$	21,779,722			$	34,249,427

 

 

88	Semi-Annual Report | December 31, 2020 (Unaudited)

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

  

						Managed
		Blue Chip				Volatility
Gross appreciation (excess of value over tax cost)		$	257,255,140			$	8,897,419
Gross depreciation (excess of tax cost over value)			(2,864,517	)			(348,408	)
Net unrealized appreciation		$	254,390,623			$	8,549,011
Cost of investments for income tax purposes		$	200,508,213			$	22,385,430

 

The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale and straddle loss deferrals and basis adjustments on investments in business development companies, partnerships and passive foreign investment companies (PFICs).

 

Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.

 

The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2020 and June 30, 2019 respectively, are as follows:

 

			Aggressive Investors 1								Ultra-Small Company
			Year				Year				Year				Year
			Ended				Ended				Ended				Ended
			June 30, 2020				June 30, 2019				June 30, 2020				June 30, 2019
Distributions paid from:
Ordinary Income		$	2,253,130			$	3,559,542			$	780,772			$	31,355
Long-Term Capital Gain			–				14,282,874				–				8,945,451
Total		$	2,253,130			$	17,842,416			$	780,772			$	8,976,806
			Ultra-Small Company Market								Small-Cap Growth
			Year				Year				Year				Year
			Ended				Ended				Ended				Ended
			June 30, 2020				June 30, 2019				June 30, 2020				June 30, 2019
Distributions paid from:
Ordinary Income		$	2,859,334			$	1,740,331			$	–			$	173,020
Long-Term Capital Gain			–				36,117,247				948				4,355,880
Total		$	2,859,334			$	37,857,578			$	948			$	4,528,900
			Small-Cap Value								Blue Chip
			Year				Year				Year				Year
			Ended				Ended				Ended				Ended
			June 30, 2020				June 30, 2019				June 30, 2020				June 30, 2019
Distributions paid from:
Ordinary Income		$	1,172,540			$	1,650,853			$	11,094,115			$	11,830,171
Long-Term Capital Gain			–				7,514,056				45,295,736				52,980,363
Total		$	1,172,540			$	9,164,909			$	56,389,851			$	64,810,534

  

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

		Managed Volatility
			Year				Year
			Ended				Ended
			June 30, 2020				June 30, 2019
Distributions paid from:
Ordinary Income		$	230,830			$	630,480
Long-Term Capital Gain			80,416				1,265,342
Total		$	311,246			$	1,895,822

 

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after June 30, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses.

 

As of June 30, 2020, the following Funds had capital loss carryovers available to offset future realized capital gains which are not subject to expiration:

 

		Short-term				Long-Term				Total
Aggressive Investors 1		$	16,695,479			$	–			$	16,695,479
Ultra-Small Company			5,241,121				1,481,388				6,722,509
Small-Cap Growth			2,952,754				–				2,952,754
Small-Cap Value			2,823,550				–				2,823,550

 

Components of Accumulated Earnings As of June 30, 2020, the components of accumulated earnings on a tax basis were:

 

		Aggressive				Ultra-Small				Ultra-Small
		Investors 1				Company				Company Market
Accumulated Net Investment Income		$	–			$	(904	)		$	1,880,559
Capital Loss Carryovers			(16,695,479	)			(6,722,509	)			–
Accumulated Net Realized Gain on Investments			–				–				2,672,503
Qualified Late Year Deferred Losses*			(3,655,479	)			(53,561	)			–
Net Unrealized Appreciation (Depreciation) of Investments			1,750,316				(5,735,682	)			(6,463,487	)
Total		$	(18,600,642	)		$	(12,512,656	)		$	(1,910,425	)
							Small-Cap				Small-Cap
							Growth				Value
Accumulated Net Investment Income						$	(2,985	)		$	–
Capital Loss Carryovers							(2,952,754	)			(2,823,550	)
Accumulated Net Realized Gain (Loss) on Investments							–				–
Qualified Late Year Deferred Losses*							(2,097,774	)			(4,122,175	)
Net Unrealized Depreciation of Investments							(39,563	)			(4,573,618	)
Total						$	(5,093,076	)		$	(11,519,343	)

 

 

90	Semi-Annual Report | December 31, 2020 (Unaudited)

  

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

						Managed
		Blue Chip				Volatility
Accumulated Net Investment Income		$	4,838,410			$	–
Capital Loss Carryovers			–				–
Accumulated Net Realized Gain (Loss) on Investments			36,531,894				1,088,507
Qualified Late Year Deferred Losses*			–				–
Net Unrealized Appreciation of Investments			222,577,384				6,105,311
Total		$	263,947,688			$	7,193,818

 

*

Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2021. The Ultra-Small Company has elected to defer qualified ordinary late year losses of ($53,561). The Aggressive Investors 1, Ultra-Small Company Market, Small-Cap Growth Fund, Small-Cap Value, Blue Chip and Managed Volatility Funds have no deferred qualified ordinary late-year losses. The Aggressive Investors 1, Small-Cap Growth and Small-Cap Value Funds have elected to defer late-year short term capital gains (losses) of $(7,994,195), $(2,554,903) and $(1,512,407). The Ultra-Small Company, Ultra-Small Company Market, Blue Chip and Managed Volatility Funds have no deferred late-year short term capital gains/(losses). The Aggressive Investors 1, Small-Cap Growth and Small-Cap Value Funds have elected to defer late-year long term capital gains/(losses) of $4,338,716, $457,129 and $(2,609,768). The Ultra-Small Company, Ultra-Small Company Market, Blue Chip Funds and Managed Volatility have no deferred late-year long term capital losses.

 

For the fiscal year June 30, 2020, the Funds recorded the following reclassifications to the accounts listed below:

 

						Increase (Decrease)
		Aggressive				Ultra-Small				Ultra-Small
		Investors 1				Company				Company Market
Paid-In Capital		$	(592,187	)		$	–			$	1,026,511
Accumulated Deficit			592,187				–				(1,026,511	)
							Increase (Decrease)
							Small-Cap				Small-Cap
							Growth				Value
Paid-In Capital						$	(40,964	)		$	(763,760	)
Accumulated Deficit							40,964				763,760
							Increase (Decrease)
											Managed
							Blue Chip				Volatility
Paid-In Capital						$	3,539,222			$	–
Accumulated Earnings							(3,539,222	)			–

 

The difference between book and tax components of net assets and the resulting reclassifications were primarily a result of the differing book/tax treatment of the deduction of equalization debits for tax purposes, excess distributions, the write-off of unused net operating loss, and redesignation of dividends paid and investments in PFICs.

 

Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Fund’s tax positions and has concluded that no provision for income tax is required in the individual Fund’s financial statements. The Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

  

 

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NOTES TO FINANCIAL STATEMENTS (continued)

 

December 31, 2020 (Unaudited)

 

7.  Line of Credit

 

Bridgeway established a line of credit agreement (“Facility”) with The Bank of New York Mellon, effective November 5, 2010. The Facility is for temporary or emergency purposes, such as to provide liquidity for shareholder redemptions, and is cancellable by either party. Unless cancelled earlier, the Facility shall be held available until September 10, 2021. Advances under the Facility are limited to $15,000,000 in total for all Funds, and advances to each Fund shall not exceed certain limits set forth in the credit agreement, including, but not limited to, the maximum amount a Fund is permitted to borrow under the 1940 Act.

 

The Funds incur a commitment fee of 0.10% per annum on the unused portion of the Facility and interest expense to the extent of amounts borrowed under the Facility. Interest is based on the “Overnight Rate” plus 1.25%. The Overnight Rate means the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-Month Eurodollar Rate. The facility fees are payable quarterly in arrears and are allocated to all participating Funds. Interest expense is charged directly to a Fund based upon actual amounts borrowed by such Fund.

 

For the period ended December 31, 2020, borrowings by the Funds under this line of credit were as follows:

 

									Maximum
	Weighted		Weighted		Number		Interest		Amount
	Average		Average		of Days		Expense		Borrowed During
Bridgeway Fund	Interest Rate		Loan Balance		Outstanding		Incurred1		the Period
Aggressive Investors 1	1.41%		$492,529		17		$327		$1,440,000
Ultra-Small Company	1.40%		272,333		3		32		314,000
Ultra-Small Company Market	1.40%		636,552		58		1,438		1,781,000
Small-Cap Growth	1.41%		113,117		60		267		564,000
Small-Cap Value	1.43%		62,556		9		22		438,000
Blue Chip	1.40%		717,000		161		4,494		10,432,000
1Interest expense is included on the Statements of Operations in Miscellaneous expenses.

 

On December 31, 2020, Aggressive Investors and Blue Chip had loans outstanding in the amounts of $269,000 and $773,000, respectively, exclusive of interest payable on the loans.

 

8.  Redemption Fees

 

 

In Ultra-Small Company Market Fund, a 2% redemption fee may be charged on shares held less than six months. The fee is charged for the benefit of the remaining shareholders and will be paid to the Fund to help offset transaction costs. The fee is accounted for as an addition to paid-in capital.

 

9.  Subsequent Events

 

 

Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

 

92	Semi-Annual Report | December 31, 2020 (Unaudited)

   

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OTHER INFORMATION

 

December 31, 2020 (Unaudited)

  

1.  Proxy Voting

 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and a summary of proxies voted by the Funds for the period ended June 30, 2020 are available without charge, upon request, by contacting Bridgeway Funds at 800-661-3550 and on the SEC’s website at http://www.sec.gov.

 

2.  Fund Holdings

 

The complete schedules of the Funds’ holdings for the second and fourth quarters of each fiscal year are contained in the Funds’ Semi-Annual and Annual Shareholder Reports, respectively.

 

The Bridgeway Funds file complete schedules of the Funds’ holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to Form N-PORT within 60 days after the end of the period. Copies of the Funds’ Form N-PORT exhibit are available without charge, upon request, by contacting Bridgeway Funds at 800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy the Funds’ Form N-PORT exhibit at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 800-SEC-0330.

  

 

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DISCLOSURE OF FUND EXPENSES

 

December 31, 2020 (Unaudited)

    

As a shareholder of a Fund, you will incur no transaction costs from such Fund, including sales charges (loads) on purchases, on reinvested dividends or on other distributions. There are no exchange fees. Shareholders are subject to redemption fees on the Ultra-Small Company Market Fund under certain circumstances. However, as a shareholder of a Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on July 1, 2020 and held until December 31, 2020.

 

Actual Expenses. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

 

Hypothetical Example for Comparison Purposes. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.

 

				Expenses Paid
	Beginning Account	Ending Account	Expense	During Period*
	Value at 7/1/20	Value at 12/31/20	Ratio	7/1/20 - 12/31/20
Bridgeway Aggressive Investors 1 Fund
Actual Fund Return	$1,000.00	$1,273.81	0.30%	$1.72
Hypothetical Fund Return	$1,000.00	$1,023.69	0.30%	$1.53
Bridgeway Ultra-Small Company Fund
Actual Fund Return	$1,000.00	$1,444.70	1.26%	$7.76
Hypothetical Fund Return	$1,000.00	$1,018.85	1.26%	$6.41
Bridgeway Ultra-Small Company Market Fund
Actual Fund Return	$1,000.00	$1,464.53	0.75%	$4.66
Hypothetical Fund Return	$1,000.00	$1,021.42	0.75%	$3.82
Bridgeway Small-Cap Growth Fund
Actual Fund Return	$1,000.00	$1,385.49	0.94%	$5.65
Hypothetical Fund Return	$1,000.00	$1,020.47	0.94%	$4.79
Bridgeway Small-Cap Value Fund
Actual Fund Return	$1,000.00	$1,449.33	0.94%	$5.80
Hypothetical Fund Return	$1,000.00	$1,020.47	0.94%	$4.79
Bridgeway Blue Chip Fund
Actual Fund Return	$1,000.00	$1,213.95	0.15%	$0.84
Hypothetical Fund Return	$1,000.00	$1,024.45	0.15%	$0.77

 

 

94	Semi-Annual Report | December 31, 2020 (Unaudited)

    

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DISCLOSURE OF FUND EXPENSES (continued)

 

December 31, 2020 (Unaudited)

 

				Expenses Paid
	Beginning Account	Ending Account	Expense	During Period*
	Value at 7/1/20	Value at 12/31/20	Ratio	7/1/20 - 12/31/20
Bridgeway Managed Volatility Fund
Actual Fund Return	$1,000.00	$1,092.03	0.94%	$4.96
Hypothetical Fund Return	$1,000.00	$1,020.47	0.94%	$4.79

 

*

Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent six-month period (184) divided by the number of days in the fiscal year (365).

  

 

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BRIDGEWAY FUNDS, INC.

 

BNY Mellon Investment Servicing (US) Inc.

P.O. Box 9860

Providence, RI 02940-8060

 

CUSTODIAN

 

The Bank of New York Mellon

One Wall Street

New York, NY 10286

 

DISTRIBUTOR

 

Foreside Fund Services, LLC

Three Canal Plaza, Suite 100

Portland, ME 04101

 

	You can review and copy information about our Funds (including the SAIs) at the SEC’s Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 800-SEC-0330. Reports and other information about the Funds are also available on the SEC’s website at ww.sec.gov. You can receive copies of this information, for a fee, by writing the Public Reference Section, Securities and Exchange Commission, Washington, D.C. 20549-1520 or by sending an electronic request to the following email address: publicinfo@ sec.gov.

 

 

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A no-load mutual fund family

 

Semi-Annual Report   December 31, 2020 (Unaudited)

 

OMNI SMALL-CAP VALUE		BOSVX
OMNI TAX-MANAGED SMALL-CAP VALUE		BOTSX

 

 

bridgewayfunds.com

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TABLE OF CONTENTS

 

Letter from the Investment Management Team			1
OMNI SMALL-CAP VALUE FUND
Manager’s Commentary			3
Schedule of Investments			7
OMNI TAX-MANAGED SMALL-CAP VALUE FUND
Manager’s Commentary			17
Schedule of Investments			21
STATEMENTS OF ASSETS AND LIABILITIES			32
STATEMENTS OF OPERATIONS			33
STATEMENTS OF CHANGES IN NET ASSETS			34
FINANCIAL HIGHLIGHTS			35
Notes to Financial Statements			37
Other Information			45
Disclosure of Fund Expenses			46

 

 

 

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December 31, 2020 (Unaudited)

 

Bridgeway Funds Standardized Returns as of December 31, 2020 (Unaudited)

 

 

						Annualized
																Gross		Net
Fund1		Quarter		Six Months		1 Year		5 Years		10 Years		Inception to   Date		Inception Date		Expense   Ratio2		Expense   Ratio2
Omni Small-Cap Value		34.05%		39.44%		0.83%		6.29%		N/A		9.13%		8/31/2011		0.72%		0.60%
Omni Tax-Managed Small-Cap Value		34.38%		38.94%		-1.86%		5.98%		7.19%		7.19%		12/31/2010		0.75%		0.61%

 

1

Some of the Fund’s fees were waived or expenses reimbursed; otherwise, returns would have been lower. The Adviser is contractually obligated to waive fees and/or pay expenses. Any material change to this Fund policy would require a vote by shareholders.

 

2

Expense ratios are as stated in the current prospectus. Please see financial highlights for expense ratios as of December 31, 2020.

Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than original cost. To obtain performance current to the most recent month-end, please visit our website at bridgeway.com or call 1-800-661-3550. Total return figures include the reinvestment of dividends and capital gains. Periods of less than one year are not annualized.

This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 1-800-661-3550 or visit the Funds’ website at bridgeway.com. Funds are available for purchase by residents of the United States, Puerto Rico, US Virgin Islands and Guam only.

The views expressed here are exclusively those of Fund management. These views, including those relating to the market, sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature.

 

i		bridgeway.com  |  December 31, 2020 (Unaudited)

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM
December 31, 2020 (Unaudited)

 

Dear Fellow Shareholders,

At Bridgeway, we have a shared passion for applying logic, data, and evidence to develop investment solutions. Our Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds are constructed based on fundamental academic research that relies on market efficiency to better capture risk premiums. We manage these Funds to provide broad diversification within the small-cap value universe and to keep transaction fees and expenses low. Bridgeway offers the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds through a select group of advisers. We are committed to advisers and their clients who take a long-term perspective and whose investment goals fit our unique expertise: delivering investment solutions that are statistically driven and grounded in academic theory.

Thank you for your investment in Bridgeway’s Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds.

Sincerely,

Your Investment Management Team

 

John Montgomery		Christine L. Wang		Michael Whipple
Elena Khoziaeva

 

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LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

December 31, 2020 (Unaudited)

 

Market Review

 

Performance across domestic equity markets was positive for the December 2020 quarter. Broad market returns for the quarter rose +14.68%, as represented by the Russell 3000 Index.

For the calendar year ended December 31, 2020, broad market stocks advanced +20.89%, as represented by the Russell 3000 Index. Growth stocks outperformed value stocks in all size categories by a wide margin. Larger stocks tended to outperform their smaller peers except in the value style category, where small-cap value stocks outperformed large-cap value stocks. As a result, large-cap growth stocks, as represented by the Russell 1000 Growth Index, had the best 12-month performance, returning +38.49%. Large-cap value stocks, as represented by the Russell 1000 Value Index, had the year’s worst performance, returning +2.80%.

The following table presents returns for broad market, small-cap, mid-cap, and large-cap stocks, as represented by various style-based Russell Indexes. Size (market capitalization) and style (value/growth) are among the key factors that drive differences in returns among U.S. stock returns.

Russell Style-Based Indexes Ranked by Performance for the Quarter and Calendar Year Ended December 31, 2020

 

		Quarter		Calendar Year
Best Performing		+33.36% Russell 2000® Value Index		+38.49% Russell 1000® Growth Index
		+29.61% Russell 2000® Growth Index		+38.26% Russell 3000® Growth Index
		+20.43% Russell Midcap® Value Index		+35.59% Russell Midcap® Growth Index
		+19.02% Russell Midcap® Growth Index		+34.63% Russell 2000® Growth Index
		+17.21% Russell 3000® Value Index		+4.96% Russell Midcap® Value Index
		+16.25% Russell 1000® Value Index		+4.63% Russell 2000® Value Index
		+12.41% Russell 3000® Growth Index		+2.87% Russell 3000® Value Index
Worst Performing		+11.39% Russell 1000® Growth Index		+2.80% Russell 1000® Value Index

The Bridgeway Omni Funds in this semi-annual report are asset class exposure strategies that seek broad diversification and strive for risk premium exposure with low tracking error. These Funds were designed to capture the size and style benefits within the small-cap value asset class.

 

2		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020

Dear Fellow Omni Small-Cap Value Fund Shareholder,

For the quarter ended December 31, 2020, our Fund returned +34.05%, outperforming our primary market benchmark, the Russell 2000 Value Index (+33.36%). It was a good quarter.

For the calendar year, our Fund returned +0.83%, underperforming the Russell 2000 Value Index (+4.63%).

The table below presents our December quarter, six-month, one-year, five-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of December 31, 2020

								Annualized
		Quarter		6 Months		1 Year		5 Years		Since Inception   (8/31/11)
Omni Small-Cap Value Fund		34.05%		39.44%		0.83%		6.29%		9.13%
Russell 2000 Value Index		33.36%		36.77%		4.63%		9.65%		10.35%

Performance figures quoted in the table above and the graph on the next page represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph on the next page do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to book ratios and lower forecasted growth values with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

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Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Growth of a $10,000 Investment

from Inception August 31, 2011 to December 31, 2020

 

 

 

Detailed Explanation of Quarterly Performance

 

The Omni Small-Cap Value Fund is designed to capture the returns of the small-cap value asset class through broad diversification of small company and value stocks. This approach is sometimes referred to as “passive, asset class investing.” As of December 31, 2020, we held 639 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.

The Fund benefited from its primary design features during the quarter. A tilt toward smaller stocks in the small-cap value universe improved relative returns, as smaller stocks outperformed their larger counterparts during the quarter. The Fund’s tilt toward deeper value stocks across multiple valuation metrics also helped relative performance.

By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. The lack of exposure to both these types of stocks added to relative results.

Detailed Explanation of Calendar Year Performance

 

The Fund’s tilt toward deeper value stocks across multiple valuation metrics detracted from relative performance. However, a tilt toward smaller stocks in the small-cap value universe contributed modestly to relative results during the 12 months under review, despite several quarters when smaller stocks lagged their larger counterparts.

By design, the Fund does not hold Real Estate Investment Trusts (REITs) and Utilities stocks. The lack of exposure to both these types of stocks added to relative results.

 

4		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Top Ten Holdings as of December 31, 2020

Rank		Description		Industry		% of Net Assets
1		Adient PLC		Consumer Discretionary		0.8%
2		Allegiant Travel Co.		Industrials		0.7%
3		Mr Cooper Group, Inc.		Financials		0.7%
4		Renewable Energy Group, Inc.		Energy		0.7%
5		Walker & Dunlop, Inc.		Financials		0.7%
6		Asbury Automotive Group, Inc.		Consumer Discretionary		0.7%
7		Independent Bank Group, Inc.		Financials		0.7%
8		WESCO International, Inc.		Industrials		0.7%
9		Group 1 Automotive, Inc.		Consumer Discretionary		0.6%
10		Maxar Technologies, Inc.		Industrials		0.6%
		Total				6.9%

Industry Sector Representation as of December 31, 2020

		% of Net Assets										% of Russell 2000   Value Index										Difference
Communication Services				2.2%										2.4%										-0.2%
Consumer Discretionary				16.1%										12.8%										3.3%
Consumer Staples				3.8%										3.6%										0.3%
Energy				10.4%										4.2%										6.2%
Financials				31.9%										27.6%										4.3%
Health Care				2.6%										6.4%										-3.8%
Industrials				18.2%										16.8%										1.4%
Information Technology				5.5%										6.4%										-0.9%
Materials				8.1%										6.2%										1.9%
Real Estate				1.2%										9.1%										-7.9%
Utilities				0.0%										4.5%										-4.5%
Total				100.0%										100.0%

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

 

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Omni Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Conclusion

 

Thank you for your continued investment in Omni Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

 

6		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
COMMON STOCKS - 99.99%
Communication Services - 2.19%
A.H. Belo Corp., Class A			65,500			$	98,905
Alaska Communications Systems Group, Inc.			377,100				1,391,499
ATN International, Inc.			28,500				1,190,160
Beasley Broadcast Group, Inc., Class A			163,600				243,764
Consolidated Communications Holdings, Inc.*+			274,000				1,339,860
Cumulus Media, Inc., Class A*			60,200				524,944
DHI Group, Inc.*			185,000				410,700
Emerald Holding, Inc.			196,200				1,063,404
Emmis Communications Corp., Class A*+			102,700				186,914
Entercom Communications Corp., Class A			371,245				916,975
Entravision Communications Corp., Class A			260,800				717,200
EW Scripps Co. (The), Class A			58,966				901,590
Fluent, Inc.*			187,900				997,749
Gray Television, Inc.*			248,400				4,443,876
Lions Gate Entertainment Corp., Class B*			100,000				1,038,000
Marcus Corp. (The)			82,250				1,108,730
Mediaco Holding, Inc., Class A*+			12,992				33,779
Meredith Corp.+			130,000				2,496,000
Saga Communications, Inc., Class A			21,761				522,700
Scholastic Corp.			103,990				2,599,750
Townsquare Media, Inc., Class A			144,900				965,034
Urban One, Inc.*			151,800				177,606
							23,369,139
Consumer Discretionary - 16.12%
Abercrombie & Fitch Co., Class A+			167,500				3,410,300
Adient PLC*			235,000				8,170,950
Adtalem Global Education, Inc.*			117,500				3,989,125
AMCON Distributing Co.+			1,350				160,583
American Axle & Manufacturing Holdings, Inc.*			172,200				1,436,148
American Outdoor Brands, Inc.*			46,081				784,759
American Public Education, Inc.*			72,600				2,212,848

 

Industry Company		Shares				Value
Consumer Discretionary (continued)
Ark Restaurants Corp.			12,600			$	244,314
Asbury Automotive Group, Inc.*			50,000				7,287,000
Barnes & Noble Education, Inc.*			141,884				659,761
Bassett Furniture Industries, Inc.			21,900				439,752
Beazer Homes USA, Inc.*			183,500				2,780,025
Bed Bath & Beyond, Inc.+			368,000				6,535,680
Big 5 Sporting Goods Corp.+			113,700				1,160,877
Big Lots, Inc.+			110,000				4,722,300
Biglari Holdings, Inc., Class B*			6,200				689,440
BJ’s Restaurants, Inc.			50,000				1,924,500
Bluegreen Vacations Corp.+			105,000				833,700
Bluegreen Vacations Holding Corp.			55,208				746,964
Build-A-Bear Workshop, Inc.*			29,500				125,965
Caleres, Inc.			78,500				1,228,525
Carrols Restaurant Group, Inc.*			205,000				1,287,400
Cato Corp. (The), Class A			72,000				690,480
Century Casinos, Inc.*			81,600				521,424
Century Communities, Inc.*			95,200				4,167,856
Chico’s FAS, Inc.			200,000				318,000
China Automotive Systems, Inc.*+			95,650				596,856
China XD Plastics Co., Ltd.*			100,000				99,000
Chuy’s Holdings, Inc.*			23,000				609,270
Citi Trends, Inc.			50,840				2,525,731
Conn’s, Inc.*			81,900				957,411
Container Store Group, Inc. (The)*			155,450				1,482,993
Cooper Tire & Rubber Co.			148,250				6,004,125
Crown Crafts, Inc.			21,050				150,508
Culp, Inc.+			30,000				476,100
Dana, Inc.			60,000				1,171,200
Del Taco Restaurants, Inc.*			113,300				1,026,498
Delta Apparel, Inc.*			29,900				600,093
Dillard’s, Inc., Class A+			65,000				4,098,250
Dixie Group, Inc. (The)*			34,800				88,740
Dover Motorsports, Inc.			39,500				89,665
Ethan Allen Interiors, Inc.			75,500				1,525,855
Express, Inc.*+			181,000				164,710
Fiesta Restaurant Group, Inc.*			87,500				997,500
Flanigan’s Enterprises, Inc.*			2,500				49,398
Fossil Group, Inc.*			46,000				398,820

 

 

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Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Consumer Discretionary (continued)
Full House Resorts, Inc.*			121,000			$	475,530
GameStop Corp., Class A*+			50,000				942,000
Genesco, Inc.*			45,000				1,354,050
G-III Apparel Group, Ltd.*			148,000				3,513,520
Golden Entertainment, Inc.*			94,500				1,879,605
Good Times Restaurants, Inc.*			106,000				302,100
Group 1 Automotive, Inc.+			51,900				6,806,166
Guess?, Inc.+			50,000				1,131,000
Haverty Furniture Cos., Inc.			64,400				1,781,948
Hibbett Sports, Inc.*			76,900				3,551,242
Hooker Furniture Corp.			26,000				838,500
Houghton Mifflin Harcourt Co.*			278,600				927,738
J Alexander’s Holdings, Inc.*			45,150				329,144
Lands’ End, Inc.*+			92,600				1,997,382
Lazydays Holdings, Inc.*+			30,000				487,500
Lifetime Brands, Inc.			77,650				1,180,280
Live Ventures, Inc.*			3,200				39,584
M/I Homes, Inc.*			90,000				3,986,100
MarineMax, Inc.*			87,000				3,047,610
Modine Manufacturing Co.*			162,800				2,044,768
Motorcar Parts of America, Inc.*			65,000				1,275,300
Movado Group, Inc.			75,000				1,246,500
New Home Co., Inc. (The)*			57,900				271,551
ODP Corp. (The)			172,000				5,039,600
Perdoceo Education Corp.*			126,000				1,591,380
Playa Hotels & Resorts NV*			361,404				2,150,354
Red Robin Gourmet Burgers, Inc.*+			47,300				909,579
Rocky Brands, Inc.			34,300				962,801
Select Interior Concepts, Inc., Class A*			75,800				541,970
Shoe Carnival, Inc.			49,100				1,923,738
Signet Jewelers, Ltd.+			174,400				4,755,888
Smith & Wesson Brands, Inc.+			184,327				3,271,804
Sonic Automotive, Inc., Class A+			136,100				5,249,377
Sportsman’s Warehouse Holdings, Inc.*			100,000				1,755,000
Strattec Security Corp.			18,800				927,968
Stride, Inc.*			114,917				2,439,688
Superior Group of Cos., Inc.			74,200				1,724,408
Tandy Leather Factory, Inc.*+			22,700				72,640
Tenneco, Inc., Class A*			237,000				2,512,200

 

Industry Company		Shares				Value
Consumer Discretionary (continued)
Tilly’s, Inc., Class A			88,300			$	720,528
TravelCenters of America, Inc.*			61,340				1,999,684
TRI Pointe Group, Inc.*+			266,000				4,588,500
Unifi, Inc.*			64,273				1,140,203
Unique Fabricating, Inc.*			35,000				192,475
Vista Outdoor, Inc.*			183,287				4,354,899
VOXX International Corp.*			82,100				1,047,596
Weyco Group, Inc.			23,000				364,320
ZAGG, Inc.*			25,000				104,250
Zumiez, Inc.*			79,800				2,935,044
							172,326,411
Consumer Staples - 3.82%
Alico, Inc.			32,861				1,019,348
Andersons, Inc. (The)			111,900				2,742,669
B&G Foods, Inc.+			185,000				5,130,050
Central Garden & Pet Co.*			10,000				386,100
Central Garden & Pet Co., Class A*			67,400				2,448,642
Coffee Holding Co., Inc.*			23,000				88,320
Edgewell Personal Care Co.			97,300				3,364,634
Fresh Del Monte Produce, Inc.+			157,700				3,795,839
Ingles Markets, Inc., Class A			86,900				3,707,154
Lifeway Foods, Inc.*			5,000				27,050
Mannatech, Inc.			8,400				156,240
Natural Alternatives International, Inc.*			18,100				188,602
Natural Grocers by Vitamin Cottage, Inc.			36,100				496,014
Oil-Dri Corp. of America			2,000				68,160
Rite Aid Corp.*			225,500				3,569,665
Seneca Foods Corp., Class A*			40,100				1,599,990
SpartanNash Co.			120,946				2,105,670
United Natural Foods, Inc.*+			221,000				3,529,370
Village Super Market, Inc., Class A+			74,009				1,632,639
Weis Markets, Inc.			100,325				4,796,538
							40,852,694
Energy - 10.42%
Adams Resources & Energy, Inc.			23,100				556,710
Amplify Energy Corp.			69,400				90,914
Antero Resources Corp.*+			1,020,000				5,559,000
Arch Resources, Inc.			48,500				2,122,845

 

 

8		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Energy (continued)
Archrock, Inc.			404,000			$	3,498,640
Ardmore Shipping Corp.			123,988				405,441
Berry Corp.			248,271				913,637
Bonanza Creek Energy, Inc.*			70,000				1,353,100
Bristow Group, Inc.*			48,266				1,270,361
Comstock Resources, Inc.*			781,900				3,416,903
CONSOL Energy, Inc.*			83,600				602,756
Dawson Geophysical Co.*			113,600				240,832
DHT Holdings, Inc.			617,322				3,228,594
Diamond S Shipping, Inc.*+			114,000				759,240
Dorian LPG, Ltd.*			161,300				1,966,247
Earthstone Energy, Inc., Class A*			194,000				1,034,020
Epsilon Energy, Ltd.*+			90,000				333,900
Exterran Corp.*			97,200				429,624
Frontline, Ltd.+			778,200				4,840,404
Golar LNG, Ltd.*			220,000				2,120,800
Goodrich Petroleum Corp.*			37,300				376,357
Gran Tierra Energy, Inc.*			244,400				88,913
Green Plains, Inc.*+			140,200				1,846,434
Helix Energy Solutions Group, Inc.*			460,500				1,934,100
International Seaways, Inc.			85,000				1,388,050
Kosmos Energy, Ltd.			650,000				1,527,500
Liberty Oilfield Services, Inc., Class A			248,700				2,564,097
Mammoth Energy Services, Inc.*			121,400				540,230
Matador Resources Co.*+			400,000				4,824,000
Matrix Service Co.*			75,500				832,010
Murphy Oil Corp.+			300,000				3,630,000
Nabors Industries, Ltd.+			21,000				1,222,830
NACCO Industries, Inc., Class A			20,445				537,703
National Energy Services Reunited Corp.*+			328,700				3,263,991
Natural Gas Services Group, Inc.*+			48,800				462,624
Navigator Holdings, Ltd.*			245,000				2,682,750
Navios Maritime Acquisition Corp.			74,700				230,823
Newpark Resources, Inc.*			306,500				588,480
NexTier Oilfield Solutions, Inc.*			200,000				688,000
Nine Energy Service, Inc.*+			55,000				149,600
Nordic American Tankers, Ltd.+			621,700				1,834,015
Northern Oil and Gas, Inc.*+			127,070				1,113,133

 

Industry Company		Shares				Value
Energy (continued)
Oceaneering International, Inc.*			295,000			$	2,345,250
Oil States International, Inc.*			179,100				899,082
Overseas Shipholding Group, Inc., Class A*			593,300				1,269,662
Par Pacific Holdings, Inc.*			159,100				2,224,218
Patterson-UTI Energy, Inc.			564,000				2,966,640
PBF Energy, Inc., Class A+			50,000				355,000
Penn Virginia Corp.*+			43,500				441,525
PrimeEnergy Resources Corp.*			1,000				43,170
Profire Energy, Inc.*			84,700				72,207
ProPetro Holding Corp.*			242,500				1,792,075
Ranger Energy Services, Inc.*			38,400				139,776
Renewable Energy Group, Inc.*			106,885				7,569,596
RPC, Inc.*			555,000				1,748,250
SandRidge Energy, Inc.*			70,100				217,310
Scorpio Tankers, Inc.+			161,467				1,806,816
Select Energy Services, Inc., Class A*			327,500				1,342,750
SFL Corp., Ltd.			424,400				2,665,232
SilverBow Resources, Inc.*+			15,000				79,650
Smart Sand, Inc.*			132,000				227,040
Solaris Oilfield Infrastructure, Inc., Class A+			107,900				878,306
Southwestern Energy Co.*+			2,004,123				5,972,287
Talos Energy, Inc.*+			183,400				1,511,216
Teekay Corp.*+			440,000				946,000
Teekay Tankers, Ltd., Class A*+			148,937				1,639,796
TETRA Technologies, Inc.*			369,600				318,410
US Silica Holdings, Inc.+			235,000				1,649,700
VAALCO Energy, Inc.*			400,000				708,000
World Fuel Services Corp.			80,500				2,508,380
							111,406,952
Financials - 31.96%
1st Constitution Bancorp			33,000				523,710
1st Source Corp.			75,000				3,022,500
ACNB Corp.			5,000				125,000
Allegiance Bancshares, Inc.			60,000				2,047,800
Amalgamated Bank, Class A			59,000				810,660

 

 

bridgewayfunds.com		9

---

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
A-Mark Precious Metals, Inc.			5,000			$	128,250
Amerant Bancorp, Inc.*			149,394				2,270,789
American National Bankshares, Inc.			25,000				655,250
American River Bankshares			21,300				280,095
AmeriServ Financial, Inc.			138,000				431,940
Ames National Corp.			1,008				24,212
Argo Group International Holdings, Ltd.			80,984				3,539,001
Atlantic Capital Bancshares, Inc.*			65,500				1,042,760
Axos Financial, Inc.*			179,710				6,744,516
Banc of California, Inc.			137,500				2,022,625
Banco Latinoamericano de Comercio Exterior SA, Class E			87,200				1,380,376
Bancorp 34, Inc.+			15,400				174,790
Bank of Commerce Holdings			93,041				921,106
Bank of NT Butterfield & Son, Ltd. (The)			153,500				4,783,060
Bank of Princeton (The)*			19,480				456,027
Bank7 Corp.			51,500				731,300
BankFinancial Corp.			59,912				526,027
Bar Harbor Bankshares			55,966				1,264,272
BCB Bancorp, Inc.			85,400				945,378
Berkshire Hills Bancorp, Inc.			117,301				2,008,193
Boston Private Financial Holdings, Inc.			195,700				1,653,665
Bridge Bancorp, Inc.			54,000				1,305,720
Brookline Bancorp, Inc.			250,000				3,010,000
Bryn Mawr Bank Corp.			57,800				1,768,391
Business First Bancshares, Inc.			65,000				1,323,400
Byline Bancorp, Inc.			125,000				1,931,250
C&F Financial Corp.			6,900				256,059
Cadence BanCorp			260,000				4,269,200
Cambridge Bancorp			552				38,502
Carter Bankshares, Inc.			18,000				192,960
CB Financial Services, Inc.			15,300				306,153
CBTX, Inc.			12,125				309,309
Central Pacific Financial Corp.			20,000				380,200
Central Valley Community Bancorp			80,000				1,191,200
Century Bancorp, Inc., Class A			5,000				386,800
Chemung Financial Corp.			19,500				662,025

 

Industry Company		Shares				Value
Financials (continued)
Citizens Community Bancorp, Inc.			28,000			$	304,920
Citizens, Inc.*+			106,040				607,609
Civista Bancshares, Inc.			57,523				1,008,378
CNB Financial Corp.			61,400				1,307,206
Codorus Valley Bancorp, Inc.			16,122				273,429
Colony Bankcorp, Inc.			1,500				21,975
Community Bankers Trust Corp.			63,800				430,650
Community Financial Corp. (The)			12,500				331,000
Community Trust Bancorp, Inc.			55,000				2,037,750
Community West Bancshares			42,000				381,360
ConnectOne Bancorp, Inc.			118,400				2,343,136
Consumer Portfolio Services, Inc.*			146,650				621,796
Cortland Bancorp			10,000				186,100
County Bancorp, Inc.			50,237				1,109,233
Cowen, Inc., Class A+			134,100				3,485,259
Curo Group Holdings Corp.			45,600				653,448
Customers Bancorp, Inc.*			91,600				1,665,288
Dime Community Bancshares, Inc.			119,007				1,876,740
Donegal Group, Inc., Class A			139,000				1,955,730
Donnelley Financial Solutions, Inc.*			54,100				918,077
Eagle Bancorp Montana, Inc.			13,800				292,836
Eagle Bancorp, Inc.			82,070				3,389,491
Elevate Credit, Inc.*			163,500				652,365
Emclaire Financial Corp.+			1,200				37,428
Employers Holdings, Inc.			105,900				3,408,921
Encore Capital Group, Inc.*+			112,500				4,381,875
Enova International, Inc.*			132,307				3,277,244
Enterprise Bancorp, Inc.			46,475				1,187,436
Enterprise Financial Services Corp.			81,100				2,834,445
Equity Bancshares, Inc., Class A*			37,100				800,989
Esquire Financial Holdings, Inc.*			22,000				422,180
ESSA Bancorp, Inc.			55,200				828,000
Evans Bancorp, Inc.			20,501				564,598
EZCORP, Inc., Class A*+			149,169				714,520
Farmers National Banc Corp.			54,550				723,879

 

 

10		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
FBL Financial Group, Inc., Class A			70,806			$	3,718,023
FedNat Holding Co.			72,600				429,792
FG Financial Group, Inc.*			16,800				70,896
Financial Institutions, Inc.			62,000				1,395,000
First BanCorp Puerto Rico			476,500				4,393,330
First Bancorp/Southern Pines NC			70,200				2,374,866
First Bancshares, Inc. (The)			49,200				1,519,296
First Bank			55,000				515,900
First Busey Corp.			123,500				2,661,425
First Business Financial Services, Inc.			51,400				946,274
First Capital, Inc.+			35				2,120
First Choice Bancorp			38,000				702,620
First Commonwealth Financial Corp.			273,800				2,995,372
First Community Bankshares, Inc.			4,579				98,815
First Financial Corp.			43,862				1,704,039
First Financial Northwest, Inc.			42,882				488,855
First Guaranty Bancshares, Inc.			26,974				479,328
First Merchants Corp.			128,100				4,792,221
First Mid Bancshares, Inc.			51,500				1,733,490
First Midwest Bancorp, Inc.			266,400				4,241,088
First National Corp.+			18,000				304,200
First Northwest Bancorp			2,000				31,200
First of Long Island Corp. (The)			20,600				367,710
First United Corp.			21,876				339,078
First US Bancshares, Inc.			6,468				57,048
Flushing Financial Corp.			88,297				1,469,262
FNCB Bancorp, Inc.			6,000				38,400
Franklin Financial Services Corp.			6,100				164,883
FVCBankcorp, Inc.*			2,000				29,400
Genworth Financial, Inc., Class A*			1,300,000				4,914,000
Global Indemnity Group, LLC, Class A			57,600				1,646,784
Great Southern Bancorp, Inc.			10,000				489,000
Great Western Bancorp, Inc.			123,000				2,570,700
Hallmark Financial Services, Inc.*			45,000				160,200
Hanmi Financial Corp.			93,000				1,054,620
Hawthorn Bancshares, Inc.			25,252				553,019

 

Industry Company		Shares				Value
Financials (continued)
Heartland Financial USA, Inc.			93,600			$	3,778,632
Hennessy Advisors, Inc.+			7,000				59,710
Heritage Commerce Corp.			12,900				114,423
Heritage Financial Corp.			88,400				2,067,676
Heritage Insurance Holdings, Inc.			89,600				907,648
HMN Financial, Inc.*			23,800				409,360
Home Bancorp, Inc.			52,213				1,461,442
HomeStreet, Inc.			64,500				2,176,875
Hope Bancorp, Inc.			310,800				3,390,828
Horace Mann Educators Corp.			107,000				4,498,280
Horizon Bancorp, Inc.			133,367				2,115,201
Howard Bancorp, Inc.*			71,000				838,510
Independent Bank Corp.			47,500				877,325
Independent Bank Group, Inc.			114,000				7,127,280
Investar Holding Corp.			40,000				661,600
James River Group Holdings, Ltd.			107,100				5,263,965
Kingstone Cos., Inc.			45,300				301,245
Lakeland Bancorp, Inc.			165,850				2,106,295
Landmark Bancorp, Inc.			15,297				349,536
LCNB Corp.			45,500				668,395
Limestone Bancorp, Inc.*			23,450				294,532
Luther Burbank Corp.			253,197				2,481,331
Mackinac Financial Corp.			48,500				618,860
Malvern Bancorp, Inc.*+			4,900				75,950
Manning & Napier, Inc.			323,975				2,031,323
Marlin Business Services Corp.			37,280				456,307
Meridian Bancorp, Inc.			40,000				596,400
Meridian Corp.			30,000				624,000
Meta Financial Group, Inc.			93,931				3,434,117
Metrocity Bankshares, Inc.			9,291				133,976
Metropolitan Bank Holding Corp.*			31,400				1,138,878
Middlefield Banc Corp.+			34,000				765,000
Midland States Bancorp, Inc.			46,991				839,729
MidWestOne Financial Group, Inc.			41,460				1,015,770
MMA Capital Holdings, Inc.*			7,800				191,880
Mr Cooper Group, Inc.*			252,466				7,834,020
MVB Financial Corp.			32,600				739,368
National Holdings Corp.*			2,000				6,060
National Western Life Group, Inc., Class A			11,314				2,335,662
Navient Corp.			430,000				4,222,600
Nicholas Financial, Inc.*			43,400				363,692

 

 

bridgewayfunds.com		11

---

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
NMI Holdings, Inc., Class A*			185,000			$	4,190,250
Northeast Bank			37,500				844,500
Northfield Bancorp, Inc.			55,000				678,150
Northrim BanCorp, Inc.			20,445				694,108
Oak Valley Bancorp+			2,000				33,240
OceanFirst Financial Corp.			149,123				2,778,161
Ocwen Financial Corp.*			25,001				722,779
OFG Bancorp			177,900				3,298,266
Old Point Financial Corp.			1,000				18,960
Old Second Bancorp, Inc.			85,550				864,055
OP Bancorp			91,900				707,630
Oportun Financial Corp.*			78,000				1,510,860
Oppenheimer Holdings, Inc., Class A			54,493				1,712,715
Orrstown Financial Services, Inc.			25,600				423,680
Ottawa Bancorp, Inc.+			1,000				14,570
Pacific Mercantile Bancorp*			47,086				242,022
Pacific Premier Bancorp,
Inc.			215,900				6,764,147
Parke Bancorp, Inc.			55,099				859,544
Pathfinder Bancorp, Inc.			3,000				34,440
Patriot National Bancorp, Inc.+			13,000				122,720
PCB Bancorp			93,600				946,296
Peapack-Gladstone
Financial Corp.			54,894				1,249,387
Penns Woods Bancorp, Inc.			3,034				78,914
Peoples Bancorp of North Carolina, Inc.			24,017				552,871
Peoples Bancorp, Inc.			74,600				2,020,914
Peoples Financial Services Corp.			22,900				841,804
Piper Sandler Cos.			35,500				3,581,950
Plumas Bancorp			2,000				47,000
Preferred Bank/Los Angeles CA			36,600				1,847,202
Premier Financial Bancorp, Inc.			52,650				699,719
ProAssurance Corp.			140,000				2,490,600
ProSight Global, Inc.*			3,500				44,905
Protective Insurance Corp., Class B			73,900				1,013,169
Provident Bancorp, Inc.			54,600				655,200
Provident Financial Holdings, Inc.			51,000				801,210
Provident Financial Services, Inc.			187,731				3,371,649
Prudential Bancorp, Inc.			4,600				63,710

 

Industry Company		Shares				Value
Financials (continued)
QCR Holdings, Inc.			63,500			$	2,513,965
RBB Bancorp			95,883				1,474,681
Regional Management Corp.			68,000				2,030,480
Renasant Corp.			145,780				4,909,870
Republic Bancorp, Inc., Class A			74,642				2,692,337
Riverview Bancorp, Inc.			119,500				628,570
Salisbury Bancorp, Inc.			2,183				81,360
Sandy Spring Bancorp, Inc.			111,900				3,602,061
SB Financial Group, Inc.			33,800				617,864
Security National Financial Corp., Class A*			96,201				803,278
Select Bancorp, Inc.*			54,591				516,977
Severn Bancorp, Inc.			35,000				249,900
Shore Bancshares, Inc.			67,012				978,375
Sierra Bancorp			53,000				1,267,760
SmartFinancial, Inc.			53,000				961,420
Sound Financial Bancorp, Inc.+			1,000				31,750
Southern Missouri
Bancorp, Inc.			11,000				334,840
Southern National
Bancorp of Virginia, Inc.			79,858				967,080
Spirit of Texas Bancshares, Inc.			65,000				1,092,000
Standard AVB Financial Corp.			25,900				844,081
Sterling Bancorp, Inc.			24,000				108,960
Stewart Information
Services Corp.			81,714				3,951,689
StoneX Group, Inc.*			81,014				4,690,711
Summit Financial Group, Inc.			35,515				784,171
Summit State Bank			30,000				397,500
SuRo Capital Corp.+			86,900				1,137,521
SWK Holdings Corp.*			4,500				64,755
TCG BDC, Inc.			50,000				513,000
Territorial Bancorp, Inc.			30,000				720,900
Third Point Reinsurance, Ltd.*			324,600				3,090,192
Timberland Bancorp, Inc.			25,500				618,630
Tiptree, Inc.			185,200				929,704
TriCo Bancshares			88,000				3,104,640
TriState Capital Holdings, Inc.*			109,900				1,912,260
United Bancshares, Inc.			1,000				24,460
United Fire Group, Inc.			78,800				1,977,880
United Insurance Holdings Corp.			72,200				412,984
Unity Bancorp, Inc.			63,867				1,120,866

 

 

12		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Universal Insurance Holdings, Inc.			86,316			$	1,304,235
Univest Financial Corp.			84,979				1,748,868
Veritex Holdings, Inc.			139,230				3,572,642
Waddell & Reed Financial, Inc., Class A			193,800				4,936,086
Walker & Dunlop, Inc.			81,475				7,497,330
Watford Holdings, Ltd.*			9,108				315,137
Western New England Bancorp, Inc.			145,000				999,050
World Acceptance Corp.*+			26,100				2,667,942
							341,727,756
Health Care - 2.56%
Brookdale Senior Living, Inc.*			585,700				2,594,651
CynergisTek, Inc.*			60,000				87,000
Five Star Senior Living, Inc.*			68,400				471,960
FONAR Corp.*			45,500				789,880
Kewaunee Scientific Corp.*			3,000				37,830
Lannett Co., Inc.*+			118,000				769,360
Lexicon Pharmaceuticals, Inc.*+			255,000				872,100
Magellan Health, Inc.*			69,500				5,757,380
National HealthCare Corp.			18,500				1,228,585
Opiant Pharmaceuticals, Inc.*			400				3,232
Owens & Minor, Inc.			208,500				5,639,925
Surgery Partners, Inc.*			152,241				4,416,511
Tivity Health, Inc.*			155,000				3,036,450
Triple-S Management Corp., Class B*			78,550				1,677,043
							27,381,907
Industrials - 18.16%
AAR Corp.			75,000				2,716,500
Acacia Research Corp.*			196,000				772,240
ACCO Brands Corp.			375,300				3,171,285
Acme United Corp.			15,000				451,950
Aegion Corp.*			113,000				2,145,870
AeroCentury Corp.*			4,300				46,225
Air T, Inc.*			4,200				104,580
Allegiant Travel Co.			41,500				7,853,460
ARC Document Solutions, Inc.			50,000				74,000
ArcBest Corp.			84,500				3,605,615
Art’s-Way Manufacturing Co., Inc.*			15,000				42,750
Atlas Air Worldwide Holdings, Inc.*			95,700				5,219,478

 

Industry Company		Shares				Value
Industrials (continued)
Avis Budget Group, Inc.*			109,500			$	4,084,350
BG Staffing, Inc.			18,000				242,820
BrightView Holdings, Inc.*			257,800				3,897,936
Caesarstone, Ltd.			130,600				1,683,434
CAI International, Inc.			89,600				2,799,104
Chicago Rivet & Machine Co.			1,000				22,860
CIRCOR International, Inc.*			75,000				2,883,000
Commercial Vehicle Group, Inc.*			144,100				1,246,465
CompX International, Inc.			1,000				14,230
Concrete Pumping Holdings, Inc.*			130,000				497,900
Cornerstone Building Brands, Inc.*			378,100				3,508,768
Costamare, Inc.			517,200				4,282,416
Covenant Logistics Group, Inc.*			51,100				756,791
DLH Holdings Corp.*			83,500				778,220
DXP Enterprises, Inc.*			54,000				1,200,420
Eagle Bulk Shipping, Inc.*+			32,142				610,698
Eastern Co. (The)			19,601				472,384
Echo Global Logistics, Inc.*			104,000				2,789,280
EnPro Industries, Inc.			61,800				4,667,136
Fortress Transportation and Infrastructure Investors, LLC+			235,000				5,513,100
Foundation Building Materials, Inc.*			129,700				2,491,537
Genco Shipping & Trading, Ltd.			180,900				1,331,424
General Finance Corp.*			115,764				985,152
GMS, Inc.*			118,200				3,602,736
GP Strategies Corp.*			60,000				711,600
Greenbrier Cos., Inc. (The)			116,700				4,245,546
H&E Equipment Services, Inc.			63,000				1,878,030
Hawaiian Holdings, Inc.+			98,300				1,739,910
HC2 Holdings, Inc.*+			335,127				1,092,513
Heidrick & Struggles International, Inc.			70,000				2,056,600
Herc Holdings, Inc.*			82,300				5,465,543
Hyster-Yale Materials Handling, Inc.			34,600				2,060,430
Interface, Inc.			153,500				1,611,750
Kelly Services, Inc., Class A			99,300				2,042,601
Knoll, Inc.			185,000				2,715,800
L B Foster Co., Class A*			35,700				537,285
Limbach Holdings, Inc.*			32,800				404,424

 

 

bridgewayfunds.com		13

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Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Industrials (continued)
LS Starrett Co. (The), Class A*			15,000				$          63,450
LSI Industries, Inc.			104,900				897,944
Lydall, Inc.*			59,500				1,786,785
Manitowoc Co., Inc. (The)*			100,000				1,331,000
Matthews International Corp., Class A			100,000				2,940,000
Maxar Technologies, Inc.			176,000				6,791,840
Mesa Air Group, Inc.*+			107,900				721,851
Miller Industries, Inc.			34,400				1,307,888
Mistras Group, Inc.*			78,500				609,160
MRC Global, Inc.*			137,500				911,625
MYR Group, Inc.*			54,120				3,252,612
Navios Maritime Holdings, Inc.*			43,102				96,979
NL Industries, Inc.			30,500				145,790
NN, Inc.*			133,000				873,810
Northwest Pipe Co.*			50,000				1,415,000
NOW, Inc.*			276,566				1,985,744
Orion Group Holdings, Inc.*			173,222				859,181
P&F Industries, Inc., Class A			696				4,211
PAM Transportation Services, Inc.*			28,805				1,411,445
Pangaea Logistics Solutions, Ltd.			111,200				308,024
Park-Ohio Holdings Corp.			40,515				1,251,913
Patriot Transportation Holding, Inc.			7,500				65,850
Perma-Pipe International Holdings, Inc.*			20,000				121,200
Powell Industries, Inc.			25,000				737,250
Preformed Line Products Co.			16,375				1,120,705
Primoris Services Corp.			150,200				4,147,022
Quad/Graphics, Inc.			34,000				129,880
Quanex Building Products Corp.			75,000				1,662,750
REV Group, Inc.			348,000				3,065,880
Rush Enterprises, Inc., Class A			137,900				5,711,818
Rush Enterprises, Inc., Class B			69,410				2,629,945
Safe Bulkers, Inc.*			312,100				405,730
Scorpio Bulkers, Inc.+			24,350				412,246
SEACOR Holdings, Inc.*			61,400				2,545,030
Steelcase, Inc., Class A			350,000				4,742,500
Sterling Construction Co., Inc.*			100,000				1,861,000
Team, Inc.*			83,600				911,240
Terex Corp.			61,000				2,128,290

 

Industry Company		Shares				Value
Industrials (continued)
Textainer Group Holdings, Ltd.*			205,400				$      3,939,572
Titan Machinery, Inc.*			95,100				1,859,205
TrueBlue, Inc.*			126,650				2,367,088
Tutor Perini Corp.*			181,870				2,355,217
Ultralife Corp.*			22,400				144,928
Universal Logistics Holdings, Inc.			69,400				1,428,946
US Xpress Enterprises, Inc., Class A*			195,000				1,333,800
USA Truck, Inc.*			10,000				89,300
Veritiv Corp.*			53,500				1,112,265
Viad Corp.			59,000				2,134,030
VSE Corp.			37,600				1,447,224
Wabash National Corp.			173,900				2,996,297
WESCO International, Inc.*			90,000				7,065,000
Willis Lease Finance Corp.*			48,400				1,474,264
							194,239,870
Information Technology - 5.50%
Alpha & Omega Semiconductor, Ltd.*			114,544				2,707,820
Avaya Holdings Corp.*			250,500				4,797,075
Aviat Networks, Inc.*			20,200				689,830
Bel Fuse, Inc., Class B			24,500				368,235
Benchmark Electronics, Inc.			151,000				4,078,510
Communications Systems, Inc.			20,000				91,400
Computer Task Group, Inc.*			50,000				306,000
Comtech Telecommunications     Corp.			111,015				2,296,900
CSP, Inc.			5,150				39,809
Eastman Kodak Co.*+			163,181				1,328,293
GTT Communications, Inc.*+			140,000				499,800
Information Services Group, Inc.*			140,300				460,184
Innodata, Inc.*			18,000				95,400
Kimball Electronics, Inc.*			112,600				1,800,474
MTS Systems Corp.			21,408				1,245,089
NeoPhotonics Corp.*			160,000				1,454,400
NETGEAR, Inc.*			40,000				1,625,200
NetScout Systems, Inc.*			94,500				2,591,190
NetSol Technologies, Inc.*			39,800				151,240
Photronics, Inc.*			271,050				3,024,918
Ribbon Communications, Inc.*			240,100				1,575,056

 

 

14		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Information Technology (continued)
Sanmina Corp.*			135,100			$	4,308,339
ScanSource, Inc.*			82,100				2,165,798
StarTek, Inc.*			232,000				1,744,640
Super Micro Computer, Inc.*			175,425				5,553,956
Support.com, Inc.*			75,000				165,000
Synacor, Inc.*+			182,000				247,520
Taitron Components, Inc., Class A			10,000				32,400
Trio-Tech International*			21,800				86,361
TSR, Inc.*+			1,000				6,820
TTM Technologies, Inc.*			370,153				5,106,261
Ultra Clean Holdings, Inc.*			93,700				2,918,755
VirnetX Holding Corp.+			215,000				1,083,600
Wayside Technology Group, Inc.			16,400				313,240
Xperi Holding Corp.			183,500				3,835,150
							58,794,663
Materials - 8.10%
Advanced Emissions Solutions, Inc.			84,575				465,162
AdvanSix, Inc.*			70,000				1,399,300
AgroFresh Solutions, Inc.*			236,100				535,947
Ampco-Pittsburgh Corp.*			60,000				328,800
Boise Cascade Co.			78,500				3,752,300
Caledonia Mining Corp. PLC			9,200				146,096
Carpenter Technology Corp.			120,000				3,494,400
Century Aluminum Co.*+			300,000				3,309,000
Clearwater Paper Corp.*+			57,000				2,151,750
Contura Energy, Inc.*			71,800				816,366
Core Molding Technologies, Inc.*			30,000				422,400
Domtar Corp.+			157,000				4,969,050
Friedman Industries, Inc.			52,100				357,406
FutureFuel Corp.			102,800				1,305,560
Glatfelter Corp.			147,400				2,414,412
Haynes International, Inc.			40,410				963,374
Intrepid Potash, Inc.*			48,356				1,167,797
Kaiser Aluminum Corp.			38,600				3,817,540
Koppers Holdings, Inc.*			40,000				1,246,400
Kraton Corp.*			117,150				3,255,599
Mercer International, Inc.+			226,150				2,318,038
Minerals Technologies, Inc.			100,900				6,267,908
Olympic Steel, Inc.			37,000				493,210
PQ Group Holdings, Inc.			376,850				5,373,881
Ramaco Resources, Inc.*+			70,700				203,616
Rayonier Advanced Materials, Inc.*			224,500				1,463,740

 

Industry Company		Shares				Value
Materials (continued)
Resolute Forest Products, Inc.*			251,500			$	1,644,810
Ryerson Holding Corp.*			115,000				1,568,600
Schnitzer Steel Industries, Inc., Class A			110,800				3,535,628
SunCoke Energy, Inc.			84,700				368,445
TimkenSteel Corp.*			122,500				572,075
Trecora Resources*			84,200				588,558
Tredegar Corp.			106,700				1,781,890
Trinseo SA			100,000				5,121,000
Tronox Holdings PLC, Class A			362,185				5,295,145
United States Steel Corp.+			395,000				6,624,150
Universal Stainless & Alloy Products, Inc.*			22,450				167,926
US Concrete, Inc.*			60,000				2,398,200
Verso Corp., Class A			101,800				1,223,636
Warrior Met Coal, Inc.			152,992				3,261,789
							86,590,904
Real Estate - 1.16%
Altisource Portfolio Solutions SA*			48,861				629,330
BBX Capital, Inc.*+			55,208				314,133
CTO Realty Growth, Inc.			19,036				802,558
Newmark Group, Inc., Class A			721,000				5,256,090
Realogy Holdings Corp.*			415,600				5,452,672
							12,454,783
TOTAL COMMON STOCKS - 99.99%							1,069,145,079
(Cost $855,803,398)
PREFERRED STOCK - 0.00%
Air T Funding, 8.00%***+			221				5,635
TOTAL PREFERRED STOCK - 0.00%							5,635
(Cost $4,597)
RIGHTS - 0.01%
Newstar Financial, Inc., CVR*D			120,000				—
Pan American Silver Corp.,CVR*			150,000				123,750
TOTAL RIGHTS - 0.01%							123,750
(Cost $44,719)

 

 

bridgewayfunds.com		15

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Omni Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
WARRANTS - 0.00%
Air T Funding, expiring 06/07/20*			11,644				$        2,655
Eagle Bulk Shipping, Inc., expiring 10/15/21*			3,317				141
TOTAL WARRANTS - 0.00%							2,796
(Cost $106,727)

 

		Rate^				Shares				Value
MONEY MARKET FUND - 0.26%
Fidelity Investments Money Market Government Portfolio Class I 0.01%							2,759,478				2,759,478
TOTAL MONEY MARKET FUND - 0.26%											2,759,478
(Cost $2,759,478)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.83%
Fidelity Investments Money Market Government Portfolio Class I** 0.01%							30,305,157				30,305,157
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.83%											30,305,157
(Cost $30,305,157)
TOTAL INVESTMENTS - 103.09%										$	1,102,341,895
(Cost $889,024,076)
Liabilities in Excess of Other Assets - (3.09%)											(33,041,941	)
NET ASSETS - 100.00%										$	1,069,299,954

 

*	Non-income producing security.

**	This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

***	Security is perpetual and has no stated maturity date.

^	Rate disclosed as of December 31, 2020.

D	Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy.

+

This security or a portion of the security is out on loan at December 31, 2020. Total loaned securities had a value of $81,551,891, which included loaned securities with a value of $90,214 that have been sold and are pending settlement as of December 31, 2020. The total market value of loaned securities excluding these pending sales is $81,461,677. See Note 2 for disclosure of cash and non-cash collateral.

CVR - Contingent Value Right

LLC - Limited Liability Company

PLC - Public Limited Company

 

    

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

 

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks
Financials			$341,495,918				$231,838				$–				$341,727,756
Other Industries (a)			727,417,323				–				–				727,417,323
Total Common Stocks			1,068,913,241				231,838				–				1,069,145,079
Preferred Stock			5,635				–				–				5,635
Rights			123,750				–				0				123,750
Warrants			2,796				–				–				2,796
Money Market Fund			–				2,759,478				–				2,759,478
Investments Purchased     With Cash     Proceeds     From     Securities     Lending			–				30,305,157				–				30,305,157
TOTAL			$1,069,045,422				$33,296,473				$0				$1,102,341,895

 

(a)  -

Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

Investment in Securities (Value)
		Rights
Balance as of 06/30/2020			$   6,000
Purchases			–
Sales			–
Return of Capital			–
Realized Gain/(Loss)			–
Change in unrealized Appreciation/(Depreciation)			(6,000	)
Transfers in			–
Transfers out			–
Balance as of 12/31/2020			$          0
Net change in unrealized Appreciation/(Depreciation) from investments held as of 12/31/2020			$  (6,000	)

See Notes to Financial Statements.

 

 

16		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited)

 

December 31, 2020

Dear Fellow Omni Tax-Managed Small-Cap Value Fund Shareholder,

For the quarter ended December 31, 2020, our Fund returned +34.38%, outperforming our primary market benchmark, the Russell 2000 Value Index (+33.36%). It was a good quarter.

For the calendar year, our Fund returned -1.86%, underperforming the Russell 2000 Value Index (+4.63%).

The table below presents our December quarter, six-month, one-year, five-year, 10-year and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of December 31, 2020

 

								Annualized
												Since   Inception
		Quarter		6 Months		1 Year		5 Years		10 Years		(12/31/10)
Omni Tax-Managed Small-Cap Value Fund		34.38%		38.94%		-1.86%		5.98%		7.19%		7.19%
Russell 2000 Value Index		33.36%		36.77%		4.63%		9.65%		8.66%		8.66%

Performance figures quoted in the table above and the graph on the next page represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above and the graph on the next page do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The Russell 2000 Value Index is an unmanaged index that consists of stocks in the Russell 2000 Index with lower price-to book ratios and lower forecasted growth values with dividends reinvested. It is not possible to invest directly in an index. Periods longer than one year are annualized.

 

bridgewayfunds.com		17

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Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Growth of a $10,000 Investment

from Inception December 31, 2010 to December 31, 2020

 

 

Detailed Explanation of Quarterly Performance

 

The Omni Tax-Managed Small-Cap Value Fund is designed to capture the returns of the small-cap value asset class through broad diversification of small company and value stocks. We also seek to minimize the distribution of capital gains within the constraints of the investment objective. This approach is sometimes referred to as “passive, asset class investing.” As of December 31, 2020, we held 668 such stocks in a market-cap weighted style. We make no attempt to track any particular index in either performance or statistics.

The Fund’s tilt toward smaller stocks in the small-cap value universe was a leading contributor to relative returns, as smaller stocks outperformed their larger counterparts during the quarter. The Fund’s tilt toward deeper value stocks across multiple valuation metrics also improved relative performance.

By design, the Fund does not hold Real Estate Investment Trusts (REITs) or Utilities stocks. The lack of exposure to REITs and Utilities stocks benefited relative results.

Detailed Explanation of Calendar Year Performance

 

The Fund’s tilt toward deeper value stocks across multiple valuation metrics hurt relative results during the year. A tilt toward smaller stocks in the small-cap value universe modestly helped relative results over the 12-month period, despite segments of the year when smaller stocks significantly lagged their larger counterparts.

By design, the Fund does not hold Real Estate Investment Trusts (REITs) and Utilities stocks. The lack of exposure to both these types of stocks added to relative results.

 

18		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Top Ten Holdings as of December 31, 2020

 

Rank		Description		Industry		% of Net Assets
1		Mr Cooper Group, Inc.		Financials		0.9%
2		WESCO International, Inc.		Industrials		0.8%
3		Adient PLC		Consumer Discretionary		0.8%
4		Renewable Energy Group, Inc.		Energy		0.8%
5		Walker & Dunlop, Inc.		Financials		0.8%
6		Independent Bank Group, Inc.		Financials		0.8%
7		Allegiant Travel Co.		Industrials		0.7%
8		Asbury Automotive Group, Inc.		Consumer Discretionary		0.7%
9		Avis Budget Group, Inc.		Industrials		0.7%
10		Maxar Technologies, Inc.		Industrials		0.6%
		Total				7.6%

Industry Sector Representation as of December 31, 2020

 

 

		% of Net Assets										% of Russell 2000 Value Index										Difference
Communication Services				2.6	%									2.4	%									0.2	%
Consumer Discretionary				15.9	%									12.8	%									3.1	%
Consumer Staples				3.7	%									3.6	%									0.2	%
Energy				10.7	%									4.2	%									6.5	%
Financials				31.0	%									27.6	%									3.4	%
Health Care				2.8	%									6.4	%									-3.6	%
Industrials				18.3	%									16.8	%									1.5	%
Information Technology				5.4	%									6.4	%									-1.0	%
Materials				7.9	%									6.2	%									1.7	%
Real Estate				1.4	%									9.1	%									-7.7	%
Utilities				0.0	%									4.5	%									-4.5	%
Cash & Other Assets				0.3	%									0.0	%									0.3	%
Total				100.0	%									100.0	%

Disclaimer

 

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, December 31, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

 

bridgewayfunds.com		19

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Omni Tax-Managed Small-Cap Value Fund MANAGER’S COMMENTARY (Unaudited) (continued)

 

Conclusion

 

Thank you for your continued investment in Omni Tax-Managed Small-Cap Value Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

 

20		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
COMMON STOCKS - 99.69%
Communication Services - 2.62%
A.H. Belo Corp., Class A			51,457			$	77,700
Alaska Communications Systems Group, Inc.			189,187				698,100
ATN International, Inc.			17,000				709,920
Beasley Broadcast Group, Inc., Class A			65,000				96,850
Cars.com, Inc.*			55,000				621,500
Consolidated Communications Holdings, Inc.*+			140,000				684,600
Cumulus Media, Inc., Class A*			28,100				245,032
DHI Group, Inc.*			98,500				218,670
Emerald Holding, Inc.			79,300				429,806
Emmis Communications Corp., Class A*			57,200				104,104
Entercom Communications Corp., Class A			193,680				478,389
Entravision Communications Corp., Class A			162,300				446,325
EW Scripps Co. (The), Class A			97,100				1,484,659
Fluent, Inc.*			94,200				500,202
Gannett Co., Inc.*			85,163				286,148
Gray Television, Inc.*			188,000				3,363,320
Lions Gate Entertainment Corp., Class A*			115,000				1,307,550
Lions Gate Entertainment Corp., Class B*			100,000				1,038,000
Marcus Corp. (The)			47,054				634,288
Meredith Corp.+			67,000				1,286,400
Saga Communications, Inc., Class A			13,100				314,662
Scholastic Corp.			43,450				1,086,250
Townsquare Media, Inc., Class A			40,700				271,062
Urban One, Inc.*			105,000				122,850
							16,506,387
Consumer Discretionary - 15.84%
Abercrombie & Fitch Co., Class A+			120,600				2,455,416
Adient PLC*			145,000				5,041,650
Adtalem Global Education, Inc.*			59,800				2,030,210
AMCON Distributing Co.			1,350				160,582
American Axle & Manufacturing Holdings, Inc.*			134,150				1,118,811
American Outdoor Brands, Inc.*			16,000				272,480

 

Industry Company		Shares				Value
Consumer Discretionary (continued)
American Public Education, Inc.*			22,700			$	691,896
Ark Restaurants Corp.			8,500				164,815
Asbury Automotive Group, Inc.*			31,000				4,517,940
Barnes & Noble Education, Inc.*			74,900				348,285
Bassett Furniture Industries, Inc.			15,859				318,449
Beazer Homes USA, Inc.*			56,500				855,975
Bed Bath & Beyond, Inc.+			197,500				3,507,600
Big 5 Sporting Goods Corp.+			45,000				459,450
Big Lots, Inc.+			60,300				2,588,679
Biglari Holdings, Inc., Class B*			6,700				745,040
BJ’s Restaurants, Inc.			28,000				1,077,720
Bluegreen Vacations Corp.			92,800				736,832
Bluegreen Vacations Holding Corp.			38,604				522,312
Build-A-Bear Workshop, Inc.*			40,000				170,800
Caleres, Inc.			63,900				1,000,035
Carrols Restaurant Group, Inc.*			98,000				615,440
Cato Corp. (The), Class A			38,000				364,420
Century Casinos, Inc.*			52,700				336,753
Century Communities, Inc.*			75,000				3,283,500
Chico’s FAS, Inc.			195,200				310,368
China Automotive Systems, Inc.*+			45,550				284,232
China XD Plastics Co., Ltd.*			108,400				107,316
Chuy’s Holdings, Inc.*			25,000				662,250
Citi Trends, Inc.			31,020				1,541,074
Conn’s, Inc.*			42,600				497,994
Container Store Group, Inc. (The)*			98,550				940,167
Cooper Tire & Rubber Co.			75,050				3,039,525
Crown Crafts, Inc.			30,050				214,857
Culp, Inc.			10,000				158,700
Del Taco Restaurants, Inc.*			60,600				549,036
Delta Apparel, Inc.*			23,700				475,659
Dillard’s, Inc., Class A+			33,900				2,137,395
Dixie Group, Inc. (The)*			23,400				59,670
Dover Motorsports, Inc.			60,000				136,200
Escalade, Inc.			10,000				211,700
Ethan Allen Interiors, Inc.			58,600				1,184,306
Express, Inc.*+			160,000				145,600
Fiesta Restaurant Group, Inc.*			45,500				518,700
Flanigan’s Enterprises, Inc.*			2,500				49,398

 

 

bridgewayfunds.com		21

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Consumer Discretionary (continued)
Flexsteel Industries, Inc.			8,500			$	297,245
Fossil Group, Inc.*			50,000				433,500
Full House Resorts, Inc.*			70,000				275,100
GameStop Corp., Class A*+			25,000				471,000
Genesco, Inc.*			26,500				797,385
G-III Apparel Group, Ltd.*			72,600				1,723,524
Golden Entertainment, Inc.*			47,000				934,830
Good Times Restaurants, Inc.*			4,300				12,255
Group 1 Automotive, Inc.+			28,250				3,704,705
Guess?, Inc.+			103,000				2,329,860
Haverty Furniture Cos., Inc.			34,659				959,015
Hibbett Sports, Inc.*			41,500				1,916,470
Hooker Furniture Corp.			15,900				512,775
Houghton Mifflin Harcourt Co.*			123,000				409,590
J Alexander’s Holdings, Inc.*			15,250				111,173
Lands’ End, Inc.*+			34,900				752,793
Lazydays Holdings, Inc.*+			21,608				351,130
Lifetime Brands, Inc.			57,449				873,225
Live Ventures, Inc.*			3,200				39,584
M/I Homes, Inc.*			53,000				2,347,370
MarineMax, Inc.*			44,900				1,572,847
Meritage Homes Corp.*			3,900				322,998
Modine Manufacturing Co.*			81,900				1,028,664
Motorcar Parts of America, Inc.*			35,000				686,700
Movado Group, Inc.			24,100				400,542
New Home Co., Inc. (The)*			20,000				93,800
ODP Corp. (The)			85,390				2,501,927
Perdoceo Education Corp.*			85,200				1,076,076
Playa Hotels & Resorts NV*			215,300				1,281,035
Red Robin Gourmet Burgers, Inc.*+			20,000				384,600
Rocky Brands, Inc.			18,850				529,120
Select Interior Concepts, Inc., Class A*			65,000				464,750
Shoe Carnival, Inc.+			30,600				1,198,908
Signet Jewelers, Ltd.+			98,700				2,691,549
Smith & Wesson Brands, Inc.+			64,000				1,136,000
Sonic Automotive, Inc., Class A+			71,000				2,738,470
Sportsman’s Warehouse Holdings, Inc.*			44,400				779,220
Strattec Security Corp.			17,300				853,928
Stride, Inc.*			55,850				1,185,695
Superior Group of Cos., Inc.			38,500				894,740

 

Industry Company		Shares				Value
Consumer Discretionary (continued)
Tandy Leather Factory, Inc.*			14,700			$	47,040
Tenneco, Inc., Class A*			138,700				1,470,220
Tilly’s, Inc., Class A			36,900				301,104
TravelCenters of America, Inc.*			40,730				1,327,798
TRI Pointe Group, Inc.*+			160,000				2,760,000
Unifi, Inc.*			45,000				798,300
Unique Fabricating, Inc.*			29,500				162,229
Universal Technical Institute, Inc.*			13,100				84,626
Vince Holding Corp.*+			15,000				95,400
Vista Outdoor, Inc.*			106,000				2,518,560
VOXX International Corp.*			52,164				665,613
Weyco Group, Inc.			17,500				277,200
ZAGG, Inc.*			30,000				125,100
Zumiez, Inc.*			37,800				1,390,284
							99,706,809
Consumer Staples - 3.73%
Alico, Inc.			13,100				406,362
Andersons, Inc. (The)			75,116				1,841,093
B&G Foods, Inc.+			74,600				2,068,658
Central Garden & Pet Co.*			7,000				270,270
Central Garden & Pet Co., Class A*			61,200				2,223,396
Coffee Holding Co., Inc.*			10,000				38,400
Edgewell Personal Care Co.			85,000				2,939,300
Fresh Del Monte Produce, Inc.+			83,000				1,997,810
Ingles Markets, Inc., Class A			35,750				1,525,095
Lifeway Foods, Inc.*			2,000				10,820
Natural Alternatives International, Inc.*			16,800				175,056
Natural Grocers by Vitamin Cottage, Inc.			36,100				496,014
Oil-Dri Corp. of America			1,000				34,080
Rite Aid Corp.*+			147,500				2,334,925
S&W Seed Co.*			10,000				29,300
Seneca Foods Corp., Class A*			25,450				1,015,455
SpartanNash Co.			63,982				1,113,927
United Natural Foods, Inc.*			117,000				1,868,490
Village Super Market, Inc., Class A			39,400				869,164
Weis Markets, Inc.			46,100				2,204,041
							23,461,656

 

 

22		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Energy - 10.66%
Adams Resources & Energy, Inc.			10,600			$	255,460
Amplify Energy Corp.			141,000				184,710
Antero Resources Corp.*+			585,000				3,188,250
Arch Resources, Inc.			24,300				1,063,611
Archrock, Inc.			206,700				1,790,022
Ardmore Shipping Corp.			78,700				257,349
Berry Corp.			115,571				425,301
Bonanza Creek Energy, Inc.*			59,300				1,146,269
Bristow Group, Inc.*			14,200				373,744
Comstock Resources, Inc.*			418,200				1,827,534
CONSOL Energy, Inc.*			40,500				292,005
Contango Oil & Gas Co.*+			70,000				160,300
Dawson Geophysical Co.*			52,000				110,240
DHT Holdings, Inc.			329,700				1,724,331
Diamond S Shipping, Inc.*+			105,000				699,300
Dorian LPG, Ltd.*			149,029				1,816,663
Earthstone Energy, Inc., Class A*			147,055				783,803
Epsilon Energy, Ltd.*+			60,000				222,600
Exterran Corp.*			34,000				150,280
Frontline, Ltd.+			420,000				2,612,400
Golar LNG, Ltd.*+			176,390				1,700,400
Goodrich Petroleum Corp.*			22,000				221,980
Green Plains, Inc.*+			71,450				940,996
Helix Energy Solutions Group, Inc.*			240,500				1,010,100
International Seaways, Inc.			55,000				898,150
Kosmos Energy, Ltd.			460,151				1,081,355
Liberty Oilfield Services, Inc., Class A+			195,000				2,010,450
Matador Resources Co.*			181,377				2,187,407
Matrix Service Co.*			52,800				581,856
Murphy Oil Corp.+			230,000				2,783,000
Nabors Industries, Ltd.+			4,000				232,920
NACCO Industries, Inc., Class A			16,450				432,635
National Energy Services Reunited Corp.*+			185,200				1,839,036
Natural Gas Services Group, Inc.*+			30,152				285,841
Navigator Holdings, Ltd.*			104,100				1,139,895
Navios Maritime Acquisition Corp.+			42,500				131,325
Newpark Resources, Inc.*			150,200				288,384
NexTier Oilfield Solutions, Inc.*			239,574				824,135
Nine Energy Service, Inc.*			37,700				102,544
Nordic American Tankers, Ltd.+			333,800				984,710

 

Industry Company		Shares				Value
Energy (continued)
Northern Oil and Gas, Inc.*+			52,630			$	461,039
Oceaneering International, Inc.*			130,600				1,038,270
Oil States International, Inc.*			98,400				493,968
Overseas Shipholding Group, Inc., Class A*			215,916				462,060
Par Pacific Holdings, Inc.*			92,000				1,286,160
Patterson-UTI Energy, Inc.			265,000				1,393,900
PBF Energy, Inc., Class A+			167,000				1,185,700
PDC Energy, Inc.*			71,200				1,461,736
Penn Virginia Corp.*			26,000				263,900
PrimeEnergy Resources Corp.*			2,000				86,340
Profire Energy, Inc.*			100,000				85,250
ProPetro Holding Corp.*			139,810				1,033,196
Ranger Energy Services, Inc.*			23,500				85,540
Renewable Energy Group, Inc.*			69,219				4,902,090
REX American Resources Corp.*			7,850				576,739
RPC, Inc.*			232,000				730,800
Scorpio Tankers, Inc.+			98,690				1,104,341
Select Energy Services, Inc., Class A*			149,000				610,900
SFL Corp., Ltd.+			173,500				1,089,580
Smart Sand, Inc.*			75,000				129,000
Solaris Oilfield Infrastructure, Inc., Class A			120,300				979,242
Southwestern Energy Co.*+			1,125,018				3,352,554
Talos Energy, Inc.*			72,100				594,104
Teekay Corp.*+			170,000				365,500
Teekay Tankers, Ltd., Class A*+			59,500				655,095
TETRA Technologies, Inc.*			275,000				236,912
US Silica Holdings, Inc.+			129,500				909,090
VAALCO Energy, Inc.*			134,900				238,773
World Fuel Services Corp.			81,256				2,531,937
							67,105,007
Financials - 31.03%
1st Constitution Bancorp			12,250				194,408
1st Source Corp.			40,500				1,632,150
ACNB Corp.			6,600				165,000
Allegiance Bancshares, Inc.			31,131				1,062,501

 

 

bridgewayfunds.com		23

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Amalgamated Bank, Class A			46,800			$	643,032
A-Mark Precious Metals, Inc.			11,500				294,975
Amerant Bancorp, Inc.*			85,000				1,292,000
American National Bankshares, Inc.			13,500				353,835
American River Bankshares			16,244				213,609
AmeriServ Financial, Inc.			66,000				206,580
Ames National Corp.			5,000				120,100
Argo Group International Holdings, Ltd.			39,094				1,708,408
Associated Capital Group, Inc., Class A			19,500				684,840
Atlantic Capital Bancshares, Inc.*			36,133				575,237
Axos Financial, Inc.*			94,000				3,527,820
Banc of California, Inc.			53,500				786,985
Banco Latinoamericano de Comercio Exterior SA, Class E			79,688				1,261,461
Bancorp 34, Inc.			9,300				105,555
Bank of Commerce Holdings			54,800				542,520
Bank of NT Butterfield & Son, Ltd. (The)			82,500				2,570,700
Bank of Princeton (The)*			12,500				292,625
Bank7 Corp.			23,100				328,020
BankFinancial Corp.			29,000				254,620
Banner Corp.			10,000				465,900
Bar Harbor Bankshares			30,541				689,921
BCB Bancorp, Inc.			25,900				286,713
Berkshire Hills Bancorp, Inc.			68,810				1,178,027
Boston Private Financial Holdings, Inc.			105,800				894,010
Bridge Bancorp, Inc.			30,000				725,400
Brookline Bancorp, Inc.			108,500				1,306,340
Bryn Mawr Bank Corp.			30,000				917,850
Business First Bancshares, Inc.			30,000				610,800
Byline Bancorp, Inc.			61,000				942,450
C&F Financial Corp.			7,400				274,614
Cadence BanCorp			183,000				3,004,860
Cambridge Bancorp			580				40,455
Capital City Bank Group, Inc.			18,750				460,875
Carter Bankshares, Inc.			42,000				450,240
CB Financial Services, Inc.			13,500				270,135
CBTX, Inc.			1,100				28,061

 

Industry Company		Shares				Value
Financials (continued)
Central Pacific Financial Corp.			30,000			$	570,300
Central Valley Community Bancorp			26,900				400,541
Century Bancorp, Inc., Class A			4,000				309,440
Chemung Financial Corp.			11,593				393,582
Citizens Community Bancorp, Inc.			27,000				294,030
Citizens Holding Co.			3,400				71,230
Citizens, Inc.*+			64,500				369,585
Civista Bancshares, Inc.			19,821				347,462
CNB Financial Corp.			14,500				308,705
Codorus Valley Bancorp, Inc.			22,971				389,588
Cohen & Co., Inc.*			4,500				73,508
Colony Bankcorp, Inc.			1,500				21,975
Community Bankers Trust Corp.			25,000				168,750
Community Financial Corp. (The)			5,840				154,643
Community Trust Bancorp, Inc.			26,400				978,120
Community West Bancshares			11,000				99,880
ConnectOne Bancorp, Inc.			40,500				801,495
Consumer Portfolio Services, Inc.*			57,000				241,680
Cortland Bancorp			10,000				186,100
County Bancorp, Inc.			15,700				346,656
Cowen, Inc., Class A			55,800				1,450,242
CrossFirst Bankshares, Inc.*			20,000				215,000
Curo Group Holdings Corp.			25,000				358,250
Customers Bancorp, Inc.*			49,000				890,820
Dime Community Bancshares, Inc.			40,000				630,800
Donegal Group, Inc., Class A			60,100				845,607
Donnelley Financial Solutions, Inc.*			48,900				829,833
Eagle Bancorp Montana, Inc.			11,900				252,518
Eagle Bancorp, Inc.			37,500				1,548,750
Elevate Credit, Inc.*			82,600				329,574
Emclaire Financial Corp.+			700				21,833
Employers Holdings, Inc.			60,300				1,941,057
Encore Capital Group, Inc.*+			60,100				2,340,895
Enova International, Inc.*			69,900				1,731,423
Enterprise Bancorp, Inc.			14,275				364,726

 

 

24		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Enterprise Financial Services Corp.			40,500			$	1,415,475
Equity Bancshares, Inc., Class A*			32,800				708,152
Esquire Financial Holdings, Inc.*			11,500				220,685
ESSA Bancorp, Inc.			22,300				334,500
Evans Bancorp, Inc.			9,000				247,860
EZCORP, Inc., Class A*+			112,200				537,438
Farmers National Banc Corp.			45,000				597,150
Fauquier Bankshares, Inc.			2,500				43,450
FBL Financial Group, Inc., Class A			44,766				2,350,663
FedNat Holding Co.			37,700				223,184
FG Financial Group, Inc.*			10,000				42,200
Financial Institutions, Inc.			46,300				1,041,750
First BanCorp Puerto Rico			267,000				2,461,740
First Bancorp/Southern Pines NC			1,000				33,830
First Bancshares, Inc. (The)			17,100				528,048
First Bank			21,622				202,814
First Busey Corp.			66,500				1,433,075
First Business Financial Services, Inc.			13,900				255,899
First Choice Bancorp			31,707				586,262
First Commonwealth Financial Corp.			145,000				1,586,300
First Community Bankshares, Inc.			22,000				474,760
First Financial Corp.			17,495				679,681
First Financial Northwest, Inc.			20,700				235,980
First Guaranty Bancshares, Inc.			10,175				180,810
First Internet Bancorp			13,800				396,612
First Merchants Corp.			67,900				2,540,139
First Mid Bancshares, Inc.			22,000				740,520
First Midwest Bancorp, Inc.			145,000				2,308,400
First National Corp.+			9,500				160,550
First of Long Island Corp. (The)			31,000				553,350
First United Corp.			10,825				167,788
First US Bancshares, Inc.			5,000				44,100
Flushing Financial Corp.			46,641				776,106
FNCB Bancorp, Inc.			10,000				64,000
Franklin Financial Services Corp.			6,000				162,180
FS Bancorp, Inc.			3,150				172,620

 

Industry Company		Shares				Value
Financials (continued)
Genworth Financial, Inc., Class A*			750,000			$	2,835,000
Global Indemnity Group, LLC, Class A			26,843				767,441
Great Elm Capital Corp.+			51,848				186,653
Great Southern Bancorp, Inc.			22,300				1,090,470
Great Western Bancorp, Inc.			85,804				1,793,304
Guaranty Federal Bancshares, Inc.			500				8,565
Hallmark Financial Services, Inc.*			27,000				96,120
Hanmi Financial Corp.			54,000				612,360
Hawthorn Bancshares, Inc.			13,498				295,606
Heartland Financial USA, Inc.			68,350				2,759,290
Hennessy Advisors, Inc.+			6,000				51,180
Heritage Commerce Corp.			75,000				665,250
Heritage Financial Corp.			53,600				1,253,704
Heritage Insurance Holdings, Inc.			39,600				401,148
HMN Financial, Inc.*			2,000				34,400
Home Bancorp, Inc.			21,097				590,505
HomeStreet, Inc.			46,500				1,569,375
Hope Bancorp, Inc.			161,500				1,761,965
Horace Mann Educators Corp.			61,550				2,587,562
Horizon Bancorp, Inc.			87,542				1,388,416
Howard Bancorp, Inc.*			50,800				599,948
Impac Mortgage Holdings, Inc.*			3,000				9,120
Independent Bank Corp.			25,500				470,985
Independent Bank Group, Inc.			76,100				4,757,772
Investar Holding Corp.			16,000				264,640
James River Group Holdings, Ltd.			59,200				2,909,680
Kingstone Cos., Inc.			24,000				159,600
Lakeland Bancorp, Inc.			79,740				1,012,698
Landmark Bancorp, Inc.			2,678				61,192
LCNB Corp.			25,200				370,188
Limestone Bancorp, Inc.*			11,000				138,160
Luther Burbank Corp.			98,900				969,220
Mackinac Financial Corp.			28,400				362,384
MainStreet Bancshares, Inc.*			3,060				51,745
Malvern Bancorp, Inc.*+			8,700				134,850
Manning & Napier, Inc.			116,000				727,320
Marlin Business Services Corp.			21,875				267,750
Mercantile Bank Corp.			3,000				81,510

 

 

bridgewayfunds.com		25

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Merchants Bancorp			1,900			$	52,497
Meridian Bancorp, Inc.			10,000				149,100
Meridian Corp.			18,000				374,400
Meta Financial Group, Inc.			66,434				2,428,827
Metrocity Bankshares, Inc.			19,409				279,878
Metropolitan Bank Holding Corp.*			16,700				605,709
Middlefield Banc Corp.			13,300				299,250
Midland States Bancorp, Inc.			37,117				663,281
MidWestOne Financial Group, Inc.			24,100				590,450
MMA Capital Holdings, Inc.*			5,000				123,000
Mr Cooper Group, Inc.*			174,703				5,421,034
MVB Financial Corp.			17,600				399,168
National Western Life
Group, Inc., Class A			6,150				1,269,606
Navient Corp.			237,000				2,327,340
NI Holdings, Inc.*			2,000				32,840
Nicholas Financial, Inc.*			19,400				162,572
NMI Holdings, Inc., Class A*			105,000				2,378,250
Northeast Bank			22,300				502,196
Northfield Bancorp, Inc.			75,000				924,750
Northrim BanCorp, Inc.			9,573				325,003
Oak Valley Bancorp			1,000				16,620
OceanFirst Financial Corp.			100,996				1,881,555
Ocwen Financial Corp.*			20,320				587,451
OFG Bancorp			91,000				1,687,140
Old Point Financial Corp.			5,100				96,696
Old Second Bancorp, Inc.			41,500				419,150
OP Bancorp			28,000				215,600
Oportun Financial Corp.*			42,000				813,540
Oppenheimer Holdings, Inc., Class A			29,319				921,496
Orrstown Financial Services, Inc.			13,500				223,425
Pacific Mercantile Bancorp*			55,300				284,242
Pacific Premier Bancorp, Inc.			124,800				3,909,984
Parke Bancorp, Inc.			32,059				500,120
PCB Bancorp			36,300				366,993
Peapack-Gladstone Financial Corp.			22,968				522,752
Penns Woods Bancorp, Inc.			1,500				39,015
Peoples Bancorp of North Carolina, Inc.			12,880				296,498
Peoples Bancorp, Inc.			38,350				1,038,902

 

Industry Company		Shares				Value
Financials (continued)
Peoples Financial Services Corp.			9,700			$	356,572
Piper Sandler Cos.			16,100				1,624,490
Plumas Bancorp			2,000				47,000
Preferred Bank/Los Angeles CA			19,400				979,118
Premier Financial Bancorp, Inc.			49,240				654,400
ProAssurance Corp.			79,000				1,405,410
ProSight Global, Inc.*			58,410				749,400
Protective Insurance Corp., Class B			35,100				481,221
Provident Bancorp, Inc.			28,000				336,000
Provident Financial Holdings, Inc.			44,710				702,394
Provident Financial Services, Inc.			112,625				2,022,745
Prudential Bancorp, Inc.			2,457				34,029
QCR Holdings, Inc.			27,600				1,092,684
RBB Bancorp			39,500				607,510
Regional Management Corp.			29,100				868,926
Renasant Corp.			90,000				3,031,200
Republic Bancorp, Inc., Class A			31,200				1,125,384
Riverview Bancorp, Inc.			62,478				328,634
Salisbury Bancorp, Inc.			1,683				62,725
Sandy Spring Bancorp, Inc.			51,300				1,651,347
SB Financial Group, Inc.			25,218				460,985
Security National Financial Corp., Class A*			17,033				142,226
Select Bancorp, Inc.*			33,500				317,245
Severn Bancorp, Inc.+			30,000				214,200
Shore Bancshares, Inc.			17,800				259,880
Sierra Bancorp			27,000				645,840
SmartFinancial, Inc.			20,500				371,870
Sound Financial Bancorp, Inc.+			2,000				63,500
Southern Missouri Bancorp, Inc.			14,300				435,292
Southern National Bancorp of Virginia, Inc.			41,900				507,409
Spirit of Texas Bancshares, Inc.			21,000				352,800
Standard AVB Financial Corp.			18,000				586,620
Sterling Bancorp, Inc.			81,000				367,740
Stewart Information Services Corp.			44,900				2,171,364
StoneX Group, Inc.*			41,200				2,385,480

 

 

26		Semi-Annual Report  |  December 31, 2020 (Unaudited)

---

Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Financials (continued)
Summit Financial Group, Inc.			19,100			$	421,728
Summit State Bank			16,250				215,313
SuRo Capital Corp.+			32,700				428,043
SWK Holdings Corp.*			1,000				14,390
Territorial Bancorp, Inc.			15,000				360,450
Third Point Reinsurance, Ltd.*			158,200				1,506,064
Timberland Bancorp, Inc.			7,125				172,853
Tiptree, Inc.			81,700				410,134
TriCo Bancshares			47,000				1,658,160
TriState Capital Holdings, Inc.*			45,000				783,000
Triumph Bancorp, Inc.*			25,000				1,213,750
United Bancorp, Inc.+			1,000				13,180
United Fire Group, Inc.			44,500				1,116,950
United Insurance Holdings Corp.			54,700				312,884
Unity Bancorp, Inc.			28,700				503,685
Universal Insurance Holdings, Inc.			48,895				738,803
Univest Financial Corp.			47,000				967,260
Veritex Holdings, Inc.			93,000				2,386,380
Waddell & Reed Financial, Inc., Class A			144,200				3,672,774
Walker & Dunlop, Inc.			52,275				4,810,346
Watford Holdings, Ltd.*			40,000				1,384,000
Western New England Bancorp, Inc.			51,465				354,594
World Acceptance Corp.*+			10,900				1,114,198
							195,380,286
Health Care - 2.80%
Brookdale Senior Living, Inc.*			305,500				1,353,365
CynergisTek, Inc.*			40,000				58,000
Five Star Senior Living, Inc.*			38,500				265,650
FONAR Corp.*			12,500				217,000
Kewaunee Scientific Corp.*			2,500				31,525
Lannett Co., Inc.*+			61,400				400,328
Lexicon Pharmaceuticals, Inc.*+			143,392				490,401
Magellan Health, Inc.*			41,700				3,454,428
MEDNAX, Inc.*			32,500				797,550
National HealthCare Corp.			24,500				1,627,045
Opiant Pharmaceuticals, Inc.*+			10,000				80,800
Owens & Minor, Inc.			110,000				2,975,500
Surgery Partners, Inc.*			115,000				3,336,150
Tivity Health, Inc.*			80,000				1,567,200

 

Industry Company		Shares				Value
Health Care (continued)
Triple-S Management Corp., Class B*			44,967			$	960,045
							17,614,987
Industrials - 18.33%
AAR Corp.			60,500				2,191,310
Acacia Research Corp.*			104,500				411,730
ACCO Brands Corp.			178,800				1,510,860
Acme United Corp.			9,300				280,209
Aegion Corp.*			47,000				892,530
AeroCentury Corp.*			4,300				46,225
Air T, Inc.*			4,050				100,845
Allegiant Travel Co.			24,500				4,636,380
Apogee Enterprises, Inc.			25,000				792,000
ARC Document Solutions, Inc.			156,700				231,916
ArcBest Corp.			45,400				1,937,218
Art’s-Way Manufacturing Co., Inc.*			15,000				42,750
Atlas Air Worldwide Holdings, Inc.*			49,400				2,694,276
Avis Budget Group, Inc.*			113,000				4,214,900
BG Staffing, Inc.			9,600				129,504
BMC Stock Holdings, Inc.*			50,200				2,694,736
BrightView Holdings, Inc.*			141,000				2,131,920
Caesarstone, Ltd.			71,400				920,346
CAI International, Inc.			44,500				1,390,180
Chicago Rivet & Machine Co.			1,000				22,860
CIRCOR International, Inc.*			30,000				1,153,200
Civeo Corp.*			9,000				125,100
Commercial Vehicle Group, Inc.*			53,600				463,640
CompX International, Inc.			1,500				21,345
Concrete Pumping Holdings, Inc.*			66,000				252,780
Cornerstone Building Brands, Inc.*			269,500				2,500,960
Costamare, Inc.			287,600				2,381,328
Covenant Logistics Group, Inc.*			24,250				359,142
DLH Holdings Corp.*			52,500				489,300
DXP Enterprises, Inc.*			25,000				555,750
Eagle Bulk Shipping, Inc.*+			16,242				308,598
Eastern Co. (The)			12,404				298,936
Echo Global Logistics, Inc.*			39,000				1,045,980
EnPro Industries, Inc.			30,600				2,310,912

 

 

bridgewayfunds.com		27

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Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Industrials (continued)
Fortress Transportation and Infrastructure Investors, LLC			137,000			$	3,214,020
Foundation Building Materials, Inc.*			77,300				1,484,933
Genco Shipping & Trading, Ltd.			97,300				716,128
General Finance Corp.*			50,000				425,500
GMS, Inc.*			74,000				2,255,520
GP Strategies Corp.*			37,500				444,750
Greenbrier Cos., Inc. (The)			62,400				2,270,112
H&E Equipment Services, Inc.			42,000				1,252,020
Hawaiian Holdings, Inc.+			53,600				948,720
HC2 Holdings, Inc.*			205,775				670,827
Heidrick & Struggles International, Inc.			35,000				1,028,300
Herc Holdings, Inc.*			44,000				2,922,040
Hudson Technologies, Inc.*			45,000				49,050
Hyster-Yale Materials Handling, Inc.			30,000				1,786,500
Interface, Inc.			103,500				1,086,750
Kelly Services, Inc., Class A			66,400				1,365,848
Knoll, Inc.			99,000				1,453,320
L B Foster Co., Class A*			29,600				445,480
Limbach Holdings, Inc.*			7,000				86,310
LS Starrett Co. (The), Class A*			9,400				39,762
LSI Industries, Inc.			50,000				428,000
Lydall, Inc.*			30,000				900,900
Manitowoc Co., Inc. (The)*			54,300				722,733
Matthews International Corp., Class A			39,700				1,167,180
Maxar Technologies, Inc.			104,500				4,032,655
Mesa Air Group, Inc.*			92,500				618,825
Miller Industries, Inc.			18,700				710,974
Mistras Group, Inc.*			59,800				464,048
Morgan Group Holding Co.*+			558				3,906
MRC Global, Inc.*			103,900				688,857
MYR Group, Inc.*			30,700				1,845,070
Navios Maritime Holdings, Inc.*			40,000				90,000
NL Industries, Inc.			84,100				401,998
NN, Inc.*			72,000				473,040
Northwest Pipe Co.*			30,500				863,150
NOW, Inc.*			167,700				1,204,086
Orion Group Holdings, Inc.*			65,422				324,493
P&F Industries, Inc., Class A			492				2,977

 

Industry Company		Shares				Value
Industrials (continued)
PAM Transportation Services, Inc.*			10,000			$	490,000
Pangaea Logistics Solutions, Ltd.			82,300				227,971
Park-Ohio Holdings Corp.			26,500				818,850
Patriot Transportation Holding, Inc.			7,500				65,850
Perma-Pipe International Holdings, Inc.*			15,000				90,900
Powell Industries, Inc.			20,000				589,800
Preformed Line Products Co.			4,600				314,824
Primoris Services Corp.			88,500				2,443,485
Quad/Graphics, Inc.			70,300				268,546
Quanex Building Products Corp.			42,000				931,140
Resources Connection, Inc.			20,000				251,400
REV Group, Inc.			127,500				1,123,275
Rush Enterprises, Inc., Class A			64,050				2,652,951
Rush Enterprises, Inc., Class B			19,050				721,805
Safe Bulkers, Inc.*			225,200				292,760
Scorpio Bulkers, Inc.+			20,020				338,939
SEACOR Holdings, Inc.*			36,200				1,500,490
Servotronics, Inc.*			1,000				8,490
Steelcase, Inc., Class A			190,000				2,574,500
Sterling Construction Co., Inc.*			64,800				1,205,928
Team, Inc.*			51,000				555,900
Terex Corp.			80,000				2,791,200
Textainer Group Holdings, Ltd.*			125,400				2,405,172
Titan International, Inc.			25,500				123,930
Titan Machinery, Inc.*			32,000				625,600
TrueBlue, Inc.*			85,250				1,593,323
Tutor Perini Corp.*			97,200				1,258,740
Universal Logistics Holdings, Inc.			40,100				825,659
US Xpress Enterprises, Inc., Class A*			80,000				547,200
USA Truck, Inc.*			26,800				239,324
Veritiv Corp.*			28,900				600,831
Viad Corp.			24,500				886,165
VSE Corp.			11,560				444,944
Wabash National Corp.			85,500				1,473,165
WESCO International, Inc.*			66,000				5,181,000

 

 

28		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Industrials (continued)
Willis Lease Finance Corp.*			17,634			$	537,132
							115,429,637
Information Technology - 5.34%
Alpha & Omega Semiconductor, Ltd.*			36,905				872,434
Amtech Systems, Inc.*			38,300				244,354
Avaya Holdings Corp.*			145,300				2,782,495
Aviat Networks, Inc.*			13,800				471,270
Bel Fuse, Inc., Class B			8,413				126,447
Benchmark Electronics, Inc.			70,100				1,893,401
BK Technologies Corp.			6,973				21,128
Communications Systems, Inc.			15,000				68,550
Computer Task Group, Inc.*			25,000				153,000
Comtech Telecommunications Corp.			55,985				1,158,330
CSP, Inc.			5,150				39,810
Daktronics, Inc.			20,000				93,600
Eastman Kodak Co.*+			55,000				447,700
GTT Communications, Inc.*+			75,000				267,750
Information Services Group, Inc.*			63,600				208,608
Innodata, Inc.*			43,000				227,900
Key Tronic Corp.*			10,300				71,070
Kimball Electronics, Inc.*			51,100				817,089
NeoPhotonics Corp.*			71,000				645,390
NETGEAR, Inc.*			15,000				609,450
NetScout Systems, Inc.*			111,500				3,057,330
NetSol Technologies, Inc.*			33,700				128,060
Photronics, Inc.*			118,670				1,324,357
Ribbon Communications, Inc.*			230,800				1,514,048
Sanmina Corp.*			80,400				2,563,956
ScanSource, Inc.*			62,900				1,659,302
StarTek, Inc.*			124,500				936,240
Super Micro Computer, Inc.*			93,000				2,944,380
Support.com, Inc.*			45,000				99,000
Synacor, Inc.*			85,400				116,144
Synaptics, Inc.*+			2,800				269,920
Trio-Tech International*			13,000				51,499
TSR, Inc.*+			1,385				9,446
TTM Technologies, Inc.*			194,902				2,688,673
Ultra Clean Holdings, Inc.*			50,800				1,582,420
VirnetX Holding Corp.+			175,000				882,000

 

Industry Company		Shares				Value
Information Technology (continued)
Wayside Technology Group, Inc.			15,700			$	299,870
Xperi Holding Corp.			108,000				2,257,200
							33,603,621
Materials - 7.93%
Advanced Emissions Solutions, Inc.			52,500				288,750
AdvanSix, Inc.*			55,400				1,107,446
AgroFresh Solutions, Inc.*			126,100				286,247
Ampco-Pittsburgh Corp.*			33,000				180,840
Boise Cascade Co.			76,900				3,675,820
Caledonia Mining Corp. PLC			7,000				111,160
Carpenter Technology Corp.			68,000				1,980,160
Century Aluminum Co.*			150,000				1,654,500
Clearwater Paper Corp.*+			33,000				1,245,750
Contura Energy, Inc.*			22,169				252,062
Core Molding Technologies, Inc.*			17,000				239,360
Domtar Corp.			88,800				2,810,520
Friedman Industries, Inc.			32,900				225,694
FutureFuel Corp.			62,000				787,400
Glatfelter Corp.			82,000				1,343,160
Haynes International, Inc.			20,000				476,800
Intrepid Potash, Inc.*			20,500				495,075
Kaiser Aluminum Corp.			23,900				2,363,710
Koppers Holdings, Inc.*			51,000				1,589,160
Kraton Corp.*			59,277				1,647,308
Mercer International, Inc.			104,950				1,075,737
Minerals Technologies, Inc.			44,500				2,764,340
Olympic Steel, Inc.			18,500				246,605
PQ Group Holdings, Inc.			205,850				2,935,421
Ramaco Resources, Inc.*			69,900				201,312
Rayonier Advanced Materials, Inc.*			110,000				717,200
Resolute Forest Products, Inc.*			128,000				837,120
Ryerson Holding Corp.*			105,700				1,441,748
Schnitzer Steel Industries, Inc., Class A			57,300				1,828,443
SunCoke Energy, Inc.			214,600				933,510
Synalloy Corp.*			5,473				42,689
TimkenSteel Corp.*			49,500				231,165
Trecora Resources*			45,002				314,564
Tredegar Corp.			47,600				794,920
Trinseo SA			42,000				2,150,820
Tronox Holdings PLC, Class A			235,000				3,435,700

 

 

bridgewayfunds.com		29

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Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Industry Company		Shares				Value
Common Stocks (continued)
Materials (continued)
United States Steel Corp.+			200,000			$	3,354,000
Universal Stainless & Alloy Products, Inc.*			15,250				114,070
US Concrete, Inc.*			19,700				787,409
Verso Corp., Class A			74,001				889,492
Warrior Met Coal, Inc.			96,000				2,046,720
							49,903,907
Real Estate - 1.41%
Altisource Portfolio Solutions SA*			24,000				309,120
BBX Capital, Inc.*			38,604				219,657
CTO Realty Growth, Inc.			9,889				416,920
Forestar Group, Inc.*			1				20
Newmark Group, Inc., Class A			447,000				3,258,630
RE/MAX Holdings, Inc., Class A			28,000				1,017,240
Realogy Holdings Corp.*			227,818				2,988,972
RMR Group, Inc. (The), Class A			18,000				695,160
							8,905,719
TOTAL COMMON STOCKS - 99.69%							627,618,016
(Cost $479,162,237)
PREFERRED STOCK - 0.00%
Air T Funding, 8.00%***+			529				13,490
TOTAL PREFERRED STOCK - 0.00%							13,490
(Cost $11,003)
RIGHTS - 0.00%
Newstar Financial, Inc., CVR*D			105,100				—
TOTAL RIGHTS - 0.00%							—
(Cost $8,951)
WARRANTS - 0.00%
Air T Funding, expiring 06/07/20*			27,864				6,353
Eagle Bulk Shipping, Inc., expiring 10/15/21*			8,501				361
TOTAL WARRANTS - 0.00%							6,714
(Cost $73,557)

 

		Rate^				Shares				Value
MONEY MARKET FUND - 0.34%
Fidelity Investments Money Market Government Portfolio Class I			0.01	%			2,127,734			$	2,127,734
TOTAL MONEY MARKET FUND - 0.34%											2,127,734
(Cost $2,127,734)
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.13%
Fidelity Investments Money Market Government Portfolio Class I**			0.01	%							13,410,549
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 2.13%											13,410,549
(Cost $13,410,549)
TOTAL INVESTMENTS - 102.16%										$	643,176,503
(Cost $494,794,031)
Liabilities in Excess of Other Assets - (2.16%)											(13,604,154	)
NET ASSETS - 100.00%										$	629,572,349

 

*	Non-income producing security.

**	This security represents the investment of the cash collateral received in connection with securities out on loan as of December 31, 2020.

***	Security is perpetual and has no stated maturity date.

^	Rate disclosed as of December 31, 2020.

D	Security was fair valued using significant unobservable inputs. As such, the security is classified as Level 3 in the fair value hierarchy.

+	This security or a portion of the security is out on loan as of December 31, 2020. Total loaned securities had a value of $42,619,031 as of December 31, 2020. See Note 2 for disclosure of cash and non-cash collateral.

CVR - Contingent Value Right

LLC - Limited Liability Company

PLC - Public Limited Company

 

 

30		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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Omni Tax-Managed Small-Cap Value Fund SCHEDULE OF INVESTMENTS (Unaudited) (continued)
Showing percentage of net assets as of December 31, 2020

 

Summary of inputs used to value the Fund’s investments as of 12/31/2020 (See Note 2 in Notes to Financial Statements):

 

		Valuation Inputs
		Investment in Securities (Value)
		Level 1 Quoted Prices				Level 2 Significant Observable Inputs				Level 3 Significant Unobservable Inputs				Total
Common Stocks Industrials			$115,425,731				$3,906				$–				$115,429,637
Financials			195,230,631				149,655				–				195,380,286
Other Industries (a)			316,808,093				–				–				316,808,093
Total Common Stocks			627,464,455				153,561				–				627,618,016
Preferred Stock			13,490				–				–				13,490
Rights			–				–				0				0
Warrants			6,714				–				–				6,714
Money Market Fund			–				2,127,734				–				2,127,734
Investments Purchased With Cash Proceeds From Securities Lending			–				13,410,549				–				13,410,549
TOTAL			$627,484,659				$15,691,844				$0				$643,176,503

 

(a)	- Please refer to the Schedule of Investments for the industry classifications of these portfolio holdings.

Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:

 

Investment in Securities (Value)
		Rights
Balance as of 06/30/2020		$	5,255
Purchases			–
Sales			–
Return of Capital			–
Realized Gain/(Loss)			–
Change in unrealized Appreciation/(Depreciation)			(5,255	)
Transfers in			–
Transfers out			–
Balance as of 12/31/2020		$	0
Net change in unrealized Appreciation/(Depreciation) from investments held as of 12/31/2020		$	(5,255	)

See Notes to Financial Statements.

 

 

 

bridgewayfunds.com		31

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STATEMENTS OF ASSETS AND LIABILITIES

December 31, 2020 (Unaudited)

 

ASSETS		Omni Small-Cap Value										Omni Tax- Managed Small-Cap Value
Investments at value			$	1,102,341,895									$	643,176,503
Receivables:
Portfolio securities sold				2,232,363										494,119
Fund shares sold				2,034,489										2,543,376
Dividends and interest				755,447										381,413
Prepaid expenses				127,562										81,090
Total assets				1,107,491,756										646,676,501
LIABILITIES
Payables:
Portfolio securities purchased				1,310,998										1,968,992
Fund shares redeemed				5,987,440										1,351,055
Due to custodian				21,902										57,739
Payable upon return of securities loaned				30,305,157										13,410,549
Accrued Liabilities:
Investment advisory fees				275,537										160,670
Administration fees				7,322										3,967
Directors’ fees				8,207										8,274
Other				275,239										142,906
Total liabilities				38,191,802										17,104,152
NET ASSETS			$	1,069,299,954									$	629,572,349
NET ASSETS REPRESENT
Paid-in capital			$	929,127,187									$	551,239,947
Distributable earnings				140,172,767										78,332,402
NET ASSETS			$	1,069,299,954									$	629,572,349
Shares of common stock outstanding of $.001 par value*				67,856,292										41,981,129
Net asset value, offering price and redemption price per share			$	15.76									$	15.00
Total investments at cost			$	889,024,076									$	494,794,031

* See Note 1 - Organization in the Notes to Financial Statements for shares authorized for each Fund.

See Notes to Financial Statements.

 

32		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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STATEMENTS OF OPERATIONS

Six Months Ended December 31, 2020 (Unaudited)

 

		Omni Small-Cap Value										Omni Tax- Managed Small-Cap Value
INVESTMENT INCOME
Dividends			$	10,314,201									$	5,652,414
Less: foreign taxes withheld				(26,731	)									(12,828	)
Interest				156										243
Securities lending				1,133,329										386,195
Total Investment Income				11,420,955										6,026,024
EXPENSES
Investment advisory fees				2,364,254										1,282,340
Administration fees				41,247										22,317
Accounting fees				88,451										60,663
Transfer agent fees				6,510										6,059
Professional fees				134,106										84,219
Custody fees				12,100										13,531
Blue sky fees				50,309										45,867
Directors’ and officers’ fees				63,806										37,356
Shareholder servicing fees				350,610										153,759
Reports to shareholders				29,365										20,187
Miscellaneous expenses				102,607										61,698
Total Expenses				3,243,365										1,787,996
Less investment advisory fees waived				(1,020,989	)									(582,588	)
Net Expenses				2,222,376										1,205,408
NET INVESTMENT INCOME				9,198,579										4,820,616
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Realized Loss on:
Investments				(9,627,638	)									(9,939,975	)
Change in Unrealized Appreciation (Depreciation) on:
Investments				325,090,326										180,576,325
Net Realized and Unrealized Gain on Investments				315,462,688										170,636,350
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS			$	324,661,267									$	175,456,966

 

 

 

See Notes to Financial Statements.
bridgewayfunds.com		33

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STATEMENTS OF CHANGES IN NET ASSETS

December 31, 2020

 

										Omni Tax-Managed Small-Cap
		Omni Small-Cap Value								Value
		Six Months Ended December 31, 2020				Year Ended June 30, 2020				Six Months Ended December 31, 2020				Year Ended June 30, 2020
		(Unaudited)								(Unaudited)
OPERATIONS
Net investment income			$    9,198,579				$    13,237,408				$    4,820,616				$    7,733,855
Net realized loss on investments			(9,627,638	)			(72,576,094	)			(9,939,975	)			(64,789,627	)
Net change in unrealized appreciation (depreciation) on investments			325,090,326				(156,921,036	)			180,576,325				(86,311,728	)
Net increase (decrease) in net assets resulting from operations			324,661,267				(216,259,722	)			175,456,966				(143,367,500	)
DISTRIBUTIONS:
From net investment income and net realized gains			(13,173,150	)			(10,234,482	)			(7,115,050	)			(3,169,046	)
Net decrease in net assets from distributions			(13,173,150	)			(10,234,482	)			(7,115,050	)			(3,169,046	)
SHARE TRANSACTIONS:
Proceeds from sale of shares			104,415,403				656,241,925				91,152,080				589,876,334
Reinvestment of distributions			13,158,550				10,232,320				7,079,248				3,155,635
Cost of shares redeemed			(188,241,777	)			(600,515,726	)			(64,515,654	)			(627,348,686	)
Net increase (decrease) in net assets resulting from share transactions			(70,667,824	)			65,958,519				33,715,674				(34,316,717	)
Net increase (decrease) in net assets			240,820,293				(160,535,685	)			202,057,590				(180,853,263	)
NET ASSETS:
Beginning of period			828,479,661				989,015,346				427,514,759				608,368,022
End of period			$    1,069,299,954				$    828,479,661				$    629,572,349				$    427,514,759
SHARES ISSUED & REDEEMED
Issued			8,092,587				58,034,527				7,434,473				54,155,404
Distributions reinvested			838,658				651,325				475,117				205,713
Redeemed			(13,468,613	)			(52,375,628	)			(5,085,370	)			(57,357,136	)
Net increase (decrease) in shares			(4,537,368	)			6,310,224				2,824,220				(2,996,019	)
Outstanding at beginning of period			72,393,660				66,083,436				39,156,909				42,152,928
Outstanding at end of period			67,856,292				72,393,660				41,981,129				39,156,909

 

 

See Notes to Financial Statements.

 

34		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period indicated)

 

OMNI SMALL-CAP VALUE

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$11.44		$14.97		$19.83		$18.14		$14.66		$15.49
Income from Investment Operations:
Net Investment Income(a)		0.13		0.19		0.20		0.17		0.17		0.17
Net Realized and Unrealized Gain (Loss) .		4.38		(3.56)		(3.61)		2.77		3.48		(0.86)
Total from Investment Operations		4.51		(3.37)		(3.41)		2.94		3.65		(0.69)
Less Distributions to Shareholders from:
Net Investment Income		(0.19)		(0.08)		(0.17)		(0.16)		(0.17)		(0.14)
Net Realized Gain		–		(0.08)		(1.28)		(1.09)		–		–
Total Distributions		(0.19)		(0.16)		(1.45)		(1.25)		(0.17)		(0.14)
Net Asset Value, End of Period		$15.76		$11.44		$14.97		$19.83		$18.14		$14.66
Total Return(b)		39.44%(c)		(22.82%)		(16.82%)		16.75%		24.83%		(4.42%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000’s)		$1,069,300		$828,480		$989,015		$913,198		$710,357		$558,286
Expenses Before Waivers and Reimbursements		0.69%(d)		0.72%		0.70%		0.70%		0.71%		0.71%
Expenses After Waivers and Reimbursements		0.47%(d)		0.54%		0.60%		0.60%		0.60%		0.60%
Net Investment Income After Waivers and Reimbursements		1.95%(d)		1.46%		1.21%		0.88%		1.00%		1.17%
Portfolio Turnover Rate		14%(c)		43%		29%		24%		23%		24%

 

(a)	Per share amounts calculated based on the average daily shares outstanding during the period.

(b)	Total return would have been lower had various fees not been waived during the period.

(c)	Not annualized.

(d)	Annualized for periods less than one year.

 

 

See Notes to Financial Statements.

 

bridgewayfunds.com		35

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FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period indicated)

 

OMNI TAX-MANAGED SMALL-CAP VALUE

 

		For the
		Six Months
		Ended		Year Ended June 30
		12/31/20
		(Unaudited)		2020		2019		2018		2017		2016
Net Asset Value, Beginning of Period		$10.92		$14.43		$19.10		$17.39		$14.04		$14.65
Income from Investment Operations:
Net Investment Income(a)		0.12		0.19		0.20		0.16		0.17		0.16
Net Realized and Unrealized Gain (Loss) .		4.13		(3.63)		(3.42)		2.61		3.32		(0.66)
Total from Investment Operations		4.25		(3.44)		(3.22)		2.77		3.49		(0.50)
Less Distributions to Shareholders from:
Net Investment Income		(0.17)		(0.07)		(0.20)		(0.23)		(0.14)		(0.11)
Net Realized Gain		–		–		(1.25)		(0.83)		–		–
Total Distributions		(0.17)		(0.07)		(1.45)		(1.06)		(0.14)		(0.11)
Net Asset Value, End of Period		$15.00		$10.92		$14.43		$19.10		$17.39		$14.04
Total Return(b)		38.94%(c)		(23.98%)		(16.49%)		16.48%		24.83%		(3.42%)
Ratios and Supplemental Data:
Net Assets, End of Period (in 000’s)		$629,572		$427,515		$608,368		$805,188		$643,215		$505,995
Expenses Before Waivers and Reimbursements		0.70%(d)		0.74%(e)		0.72%		0.70%		0.71%		0.72%
Expenses After Waivers and Reimbursements		0.47%(d)		0.55%(e)		0.60%		0.60%		0.60%		0.60%
Net Investment Income After Waivers and Reimbursements		1.88%(d)		1.40%		1.18%		0.89%		1.04%		1.20%
Portfolio Turnover Rate		12%(c)		63%		42%		27%		23%		29%

 

(a)	Per share amounts calculated based on the average daily shares outstanding during the period.

(b)	Total return would have been lower had various fees not been waived during the period.

(c)	Not annualized.

(d)	Annualized for periods less than one year.

(e)	Includes interest expense of 0.01%.

 

 

See Notes to Financial Statements.

 

36		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS
December 31, 2020 (Unaudited)

 

1. Organization

 

Bridgeway Funds, Inc. (“Bridgeway” or the “Company”) was organized as a Maryland corporation on October 19, 1993, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.

Bridgeway is organized as a series fund, with 9 investment funds as of December 31, 2020 (each is referred to as a “Bridgeway Fund” and collectively, the “Bridgeway Funds”). The Aggressive Investors 1, Ultra-Small Company, Ultra-Small Company Market, Small-Cap Growth, Small-Cap Value, Blue Chip (formerly, Blue Chip 35 Index) and Managed Volatility Funds are presented in a separate report. The Omni Small-Cap Value Fund and the Omni Tax-Managed Small-Cap Value Fund (each a “Fund” and together, the “Funds”) are presented in this report.

Bridgeway is authorized to issue 1,915,000,000 shares of common stock at $0.001 per share. As of December 31, 2020, 100,000,000 shares have been classified into the Aggressive Investors 1 Fund. 130,000,000 shares have been classified into the Blue Chip Fund. 15,000,000 shares have been classified into the Ultra-Small Company Fund. 100,000,000 shares each have been classified into the Ultra-Small Company Market, Omni Small-Cap Value, Omni Tax-Managed Small-Cap Value, Small-Cap Growth, and Small-Cap Value Funds. 50,000,000 shares have been classified into the Managed Volatility Fund.

All of the Funds are no-load, diversified funds.

The Funds seek to provide long-term total return on capital, primarily through capital appreciation.

Bridgeway Capital Management, LLC (the “Adviser”) is the investment adviser for all of the Funds.

2. Significant Accounting Policies:

 

Following is a summary of significant accounting policies that are followed in the preparation of the financial statements of the Funds. They are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is considered an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.

Securities and Other Investments Valuation Securities for which market quotations are readily available are valued at the last sale price on the national exchange on which such securities are primarily traded. In the case of securities reported on the National Association of Securities Dealers Automated Quotation (“NASDAQ”) system, the securities are valued based on the NASDAQ Official Closing Price (“NOCP”). In the absence of recorded sales on their home exchange, or NOCP, in the case of NASDAQ traded securities, the security will be valued as follows: bid prices for long positions and ask prices for short positions.

Investments in open-end registered investment companies and closed-end registered investment companies that do not trade on an exchange are valued at the end of day net asset value (“NAV”) per share.

Investments in closed-end registered investment companies that trade on an exchange are valued at the last sales price as of the close of the customary trading session on the exchange where the security is principally traded.

When market quotations are not readily available or when events occur that make established valuation methods unreliable, securities of the Funds may be valued at fair value as determined in good faith by or under the direction of the Board of Directors. The valuation assigned to a fair valued security for purposes of calculating the Funds’ NAVs may differ from the security’s most recent closing market price and from the prices used by other mutual funds to calculate their NAVs.

The inputs and valuation techniques used to determine the value of a Fund’s investments are summarized into three levels as described in the hierarchy below:

 

•

Level 1 — quoted prices in active markets for identical assets

 

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.

 

•

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs, are classified as Level 2 prices. These generally include certain US Government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. As investments whose values are classified as Level 2 prices include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.

The Fidelity Investments Money Market Government Portfolio - Class I, which is held by the Fund, invests primarily in securities that are valued at amortized cost. Therefore, this investment is classified as a Level 2 investment.

 

•

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for similar securities or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the results of the Funds’ operations.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. A summary of the inputs used to value the Funds’ investments as of December 31, 2020 is included with each Fund’s Schedule of Investments.

Details regarding material transfers into, and material transfers out of, Level 3, if any, can be found at the end of each Schedule of Investments for Funds that held Level 3 securities.

Securities Lending Upon lending its securities to third parties, each participating Fund receives compensation in the form of fees. The loans are secured by collateral at least equal to the fair value of the securities loaned plus accrued interest. The remaining contractual maturity of all securities lending transactions is overnight and continuous. Each Fund has the right under the lending agreement to recover the securities from the borrower on demand. Additionally, a Fund does not have the right to sell or re-pledge collateral received in the form of securities unless the borrower goes into default. The risks to a Fund of securities lending are that the borrower may not provide additional collateral when required or return the securities when due, resulting in a loss. Under the terms of the Securities Lending Agreement, the Funds are indemnified for such losses by the securities lending agent.

While securities are on loan, the Fund continues to receive dividends on the securities loaned and recognizes any unrealized gain or loss in the fair value of the securities loaned.

Securities lending transactions are entered into by a Fund under a Securities Lending Agreement which provides the right, in the event of default (including bankruptcy or insolvency) for the non-defaulting party to liquidate the collateral or to offset the market value of the collateral received against the market value of the securities loaned. The value of the collateral is typically greater than that of the market value of the securities loaned, leaving the lender with a net amount payable to the defaulting

 

38		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a counterparty’s bankruptcy or insolvency.

The market value of securities on loan, all of which are classified as common stocks in the Funds’ Schedules of Investments, and the value of the related collateral are shown in the Statements of Assets and Liabilities as a component of Investments at value.

The following table is a summary of the Funds’ payable upon return of securities loaned and related cash collateral, which are subject to a netting agreement as of December 31, 2020:

 

Gross Amount Not Offset in the Statement of  Assets and Liabilities

Fund

Gross Amounts of Recognized Assets1

Gross Amounts Offset in the Statement of Assets and Liabilities

Net Amounts of Assets Presented in the Statement of Assets and Liabilities

Financial Instruments

Collateral Received

Net Amount

Omni Small-Cap Value

Securities lending

$30,305,157

–

$30,305,157

–

$30,305,157

–

Omni Tax-Managed Small-Cap Value

Securities lending

$13,410,549

–

$13,410,549

–

$13,410,549

–

 

1	Securities loaned with a value of $90,214 in Omni Small-Cap Value have been sold and are pending settlement on December 31, 2020.

The following table summarizes the securities received as non-cash collateral and cash collateral for securities lending:

 

		Non-Cash Collateral
Fund		Collateral Type				Coupon Range				Maturity Date Range				Market Value				Cash Collateral				Total Collateral				Market Value of Securities on Loan
Omni Small-Cap Value
Securities lending			U.S.Gov’t Obligations				0.00 8.13	%-  %			01/15/21- 11/15/50				$54,262,747				$30,305,157				$84,567,904				$81,551,891
Omni Tax-Managed Small- Cap Value
Securities lending			U.S.Gov’t Obligations				0.00 8.13	%-  %			01/15/21- 11/15/50				$30,618,243				$13,410,549				$44,028,792				$42,619,031

It is each Fund’s policy to obtain additional collateral from, or return excess collateral to, the borrower by the end of the next business day following the valuation date of the securities loaned. Therefore, the value of the collateral held may be temporarily less than that required under the lending contract. As of December 31, 2020, the collateral consisted of an institutional government money market fund and US Government Obligations.

Use of Estimates in Financial Statements In preparing financial statements in conformity with GAAP, management makes estimates and assumptions that affect the reported amounts of assets and liabilities on the date of the financial statements and the disclosure of contingent assets and liabilities on the date of the financial statements, as well as the reported amounts of revenue and expenses during the reporting period. Actual results could differ from those estimates.

 

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

Concentrations of Credit Risk  The Funds maintain cash and securities in its custody account maintained by a high-credit, quality financial institution. Cash balances may, at times, exceed the FDIC insurance limit. Cash balances are generally invested in a short-term investment vehicle, which minimizes the risk of cash balances exceeding the FDIC insurance limit.

Sector Concentration Risk  Companies with similar characteristics may be grouped together in broad categories called sectors. Although the Fund seeks investments across a number of sectors, from time to time, based on economic conditions, the Fund may have significant positions in particular sectors. A certain sector may underperform other sectors or the market as a whole. As more assets are held in a specific sector, a Fund’s performance will be more susceptible to any economic, business or other developments which generally affect that sector.

Risks and Uncertainties  The Funds provide for various investment options, including stocks. Such investments are exposed to risks, such as interest rate, market and credit risks. Due to the risks involved, it is at least reasonably possible that changes in risks in the near term would materially affect shareholders’ account values and the amounts reported in the financial statements.

The global pandemic outbreak of an infectious respiratory illness caused by a novel coronavirus known as COVID-19 has resulted in substantial market volatility and global business disruption, affecting the global economy and the financial health of individual companies in significant and unforeseen ways. COVID-19 has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures, cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. Instability in the United States, European and other credit markets has made it more difficult for borrowers to obtain financing or refinancing on attractive terms or at all. In particular, because of the current conditions in the credit markets, borrowers may be subject to increased interest expenses for borrowed money and tightening underwriting standards. In addition, stock prices as well as yield could be negatively impacted to the extent that issuers of equity securities cancel or announce the suspension of dividends or share buybacks. The COVID-19 pandemic could continue to inhibit global, national and local economic activity, and constrain access to capital and other sources of funding. Various recent government interventions have been aimed at curtailing the distress to financial markets caused by the COVID-19 outbreak. There can be no guarantee that these or other economic stimulus plans (within the United States or other affected countries throughout the world) will be sufficient or will have their intended effect. In addition, an unexpected or quick reversal of such policies could increase market volatility, which could adversely affect a Fund’s investments. The duration and future impact of COVID-19 are currently unknown, which may exacerbate the other risks that apply to a Fund and could negatively affect Fund performance and the value of your investment in a Fund.

Security Transactions, Investment Income and Expenses  Security transactions are accounted for as of the trade date, the date the order to buy or sell is executed. Realized gains and losses are computed on the identified cost basis. Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis from settlement date.

Bridgeway Funds’ expenses that are not series-specific are allocated to each series based upon its relative proportion of net assets to the Bridgeway Funds’ total net assets or other appropriate basis.

Distributions to Shareholders  The Funds pay dividends from net investment income and distribute realized capital gains annually, usually in December, and are recorded on the ex-date.

Indemnification Under the Company’s organizational documents, the Funds’ officers, directors, employees and agents are indemnified against certain liabilities that may arise out of the performance of their duties to the Funds. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts.

 

40		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

3. Advisory Fees, Other Related Party Transactions and Contingencies:

 

The Funds have entered into management agreements with the Adviser. As compensation for the advisory services rendered, facilities furnished, and expenses borne by the Adviser, the Funds pay the Adviser a fee of 0.50% of the value of each Fund’s average daily net assets, computed daily and payable monthly.

Expense limitations: The Adviser has contractually agreed to waive its management fees and/or reimburse expenses of the Funds to ensure the total annual fund operating expenses do not exceed 0.60% of the Funds’ average net assets. Any material change to this contractual expense limitation would require a vote by shareholders of the applicable Fund. Effective January 1, 2020, the Adviser voluntarily agreed to waive its management fees and/or reimburse expenses in an additional amount such that the net fiscal year expense ratio for each Fund does not exceed 0.47%. Fees waived for the period ended December 31, 2020 were as follows:

 

Bridgeway Fund		Voluntary Expense Limitation					Total Waivers for Period Ended 12/31/20
Omni Small-Cap Value*				0.47	%				$1,020,989
Omni Tax-Managed Small-Cap Value*				0.47	%				582,588

*The Funds are authorized to reimburse the Adviser for management fees previously waived and/or for expenses previously paid by the Adviser to meet the 0.60% contractual expense limitation provided, however, that any reimbursements must be paid at a date not more than three years after the Adviser waived the fees or reimbursed the expenses and that the reimbursements do not cause the Funds to exceed the expense limitation in effect at the time of the waiver or the current expense limitation, if different. The Omni Small-Cap Value Fund has recoupable expenses of $759,479, $937,974, $1,616,563, and $1,020,989, which expire no later than June 30, 2021, June 30, 2022, June 30, 2023, and December 31, 2023, respectively. The Omni Tax-Managed Small-Cap Value Fund has recoupable expenses of $691,272, $826,118, $1,060,994, and $582,588, which expire no later than June 30, 2020, June 30, 2021, June 30, 2022, and December 31, 2023, respectively.

Other Related Party Transactions: The Bridgeway Funds will engage in inter-portfolio trades with other Bridgeway Funds when it is to the benefit of both parties. The Board of Directors reviews these trades quarterly. Inter-portfolio purchases and sales for the Funds during the period ended December 31, 2020 were as follows:

 

Bridgeway Fund		Inter-Portfolio Purchases					Inter-Portfolio Sales
Omni Small-Cap Value			$	3,323,368				$	9,187,506
Omni Tax-Managed Small-Cap Value				9,970,934					1,552,834

The Adviser entered into an Administrative Services Agreement with Bridgeway Funds, pursuant to which the Adviser provides various administrative services to the Funds including, but not limited to: (i) supervising and managing various aspects of the Funds’ business and affairs; (ii) selecting, overseeing and/or coordinating activities with other service providers to the Funds; (iii) providing reports to the Board of Directors as requested from time to time; (iv) assisting and/or reviewing amendments and updates to the Funds’ registration statement and other filings with the Securities and Exchange Commission (“SEC”); (v) providing certain shareholder services; (vi) providing administrative support in connection with meetings of the Board of Directors; and (vii) providing certain record-keeping services. For its services to all of the Bridgeway Funds, the Adviser is paid an aggregate annual fee of $209,000, payable in equal monthly installments. During the period ended December 31, 2020, the allocation of this expense to the Omni Small-Cap Value and Omni Tax-Managed Small-Cap Value Funds was $41,247 and $22,317, respectively.

Board of Directors Compensation Independent Directors are paid an annual retainer of $20,000, with an additional retainer of $5,000 paid to the Independent Chairman of the Board and an additional retainer of $1,000 paid to the Nominating and Corporate Governance Committee Chair. The retainer is paid in quarterly installments. In addition, Independent Directors are

 

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

paid $12,000 per meeting for meeting fees. Such compensation is the total compensation from all Bridgeway Funds and is allocated among the Bridgeway Funds.

Independent Directors are reimbursed for any expenses incurred in attending meetings and conferences, as well as expenses for subscriptions or printed materials. The amount of directors’ fees attributable to each Fund is disclosed in the Statements of Operations.

One director of Bridgeway, John Montgomery, is an owner and director of the Adviser. Under the 1940 Act definitions, he is considered to be an “affiliated person” of the Adviser and an “interested person” of the Adviser and of Bridgeway. Compensation for Mr. Montgomery is borne by the Adviser rather than the Funds.

4. Distribution Agreement:

 

Foreside Fund Services, LLC acts as distributor of the Funds’ shares, pursuant to a Distribution Agreement dated May 31, 2017. The Adviser pays all costs and expenses associated with distribution of the Funds’ shares, pursuant to a protective plan adopted by shareholders pursuant to Rule 12b-1.

5. Purchases and Sales of Investment Securities:

 

Purchases and sales of investments, other than short-term securities, for each Fund for the period ended December 31, 2020 were as follows:

 

		Purchases								Sales
Bridgeway Fund		U.S. Government				Other				U.S. Government				Other
Omni Small-Cap Value			$—			$	125,659,551				$—			$	198,450,523
Omni Tax-Managed Small-Cap Value			—				90,392,454				—				57,787,192

6. Federal Income Taxes

 

It is the Funds’ policy to continue to comply with the provisions of the Internal Revenue Code of 1986, as amended (“Internal Revenue Code”), applicable to regulated investment companies, and to distribute income to the extent necessary so that the Funds are not subject to federal income tax. Therefore, no federal income tax provision is required.

Unrealized Appreciation and Depreciation on Investments (Tax Basis) The amount of net unrealized appreciation/depreciation and the cost of investment securities for tax purposes, including short-term securities as of December 31, 2020, were as follows:

 

		Omni Small- Cap Value				Omni Tax-Managed Small-Cap Value
Gross appreciation (excess of value over tax cost)		$	297,781,962			$	187,600,896
Gross depreciation (excess of tax cost over value)			(84,548,752	)			(39,273,883	)
Net unrealized appreciation		$	213,233,210			$	148,327,013
Cost of investments for income tax purposes		$	889,108,685			$	494,849,490

The differences between book and tax net unrealized appreciation (depreciation) are primarily due to wash sale and straddle loss deferrals and basis adjustments on investments in business development companies, partnerships and passive foreign investment companies (PFICs).

Classifications of Distributions Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes.

 

42		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

The tax character of the distributions paid by the Funds during the last two fiscal years ended June 30, 2020 and June 30, 2019, respectively, are as follows:

 

		Omni Small-Cap Value								Omni Tax-Managed Small-Cap Value
		Year Ended     June 30, 2020				Year Ended     June 30, 2019				Year Ended     June 30, 2020				Year Ended June 30, 2019
Distributions paid from:
Ordinary Income		$	5,306,458			$	7,943,782			$	3,169,046			$	7,212,071
Long-Term Capital Gain			4,928,024				60,593,738				-				44,775,281
Total		$	10,234,482			$	68,537,520			$	3,169,046			$	51,987,352

Under the Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after June 30, 2011 will not be subject to expiration and will retain their character as either short-term or long-term capital losses.

As of June 30, 2020, the following Funds had capital loss carryovers available to offset future realized capital gains which are not subject to expiration:

 

		Short-term				Long-Term				Total
Accumulated Net Investment Income		$	13,565,140			$	-			$	13,565,140
Total			6,619,201				-				6,619,201

Components of Accumulated Earnings As of June 30, 2020, the components of accumulated deficit on a tax basis were:

 

		Omni Small-				Omni Tax-Managed
		Cap Value				Small-Cap Value
Accumulated Net Investment Income		$	13,172,939			$	7,114,720
Capital Loss Carryovers			(13,565,140	)			(6,619,201	)
Accumulated Net Realized Gain (Loss) on Investments			-				-
Qualified Late Year Deferred Losses*			(59,150,606	)			(58,221,402	)
Net Unrealized Depreciation of Investments			(111,772,543	)			(32,283,631	)
Total		$	(171,315,350	)		$	(90,009,514	)

 

•

Includes qualified late-year losses that the Funds have elected to defer to the beginning of their next fiscal year ending June 30, 2021. The Omni Tax-Managed Small-Cap Value and Small-Cap Value Funds have no deferred qualified ordinary late-year losses. The Omni Tax-Managed Small-Cap Value and Small-Cap Value Funds have elected to defer late-year short-term capital losses of $46,450,331 and $30,793,593. The Omni Tax-Managed Small-Cap Value and Small-Cap Value Funds have elected to defer late-year long-term capital losses of $11,771,071 and $28,357,013, respectively.

For the fiscal year June 30, 2020, the Funds recorded the following reclassifications to the accounts listed below:

 

		Increase (Decrease)
		Omni Small- Cap Value				Omni Tax-Managed Small-Cap Value
Paid-In Capital		$	63,685			$	618,708
Distributable Earnings			(63,685	)			(618,708	)

The differences between book and tax components of net assets and the resulting reclassifications were primarily a result of the differing book/tax treatment of the deduction of equalization debits for tax purposes, excess distributions, the write-off of unused net operating loss, and redesignation of dividends paid and investments in PFICs.

 

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NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2020 (Unaudited)

 

Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each Fund’s tax positions and has concluded that no provision for income tax is required in the individual Funds’ financial statements. The Funds are not aware of any tax position for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

7. Line of Credit

 

Bridgeway established a line of credit agreement (“Facility”) with The Bank of New York Mellon, effective November 5, 2010. The Facility is for temporary or emergency purposes, such as to provide liquidity for shareholder redemptions, and is cancellable by either party. Unless cancelled earlier, the Facility shall be held available until September 10, 2021. Advances under the Facility are limited to $15,000,000 in total for all Funds, and advances to each Fund shall not exceed certain limits set forth in the credit agreement, including, but not limited to, the maximum amount a Fund is permitted to borrow under the 1940 Act.

The Funds incur a commitment fee of 0.10% per annum on the unused portion of the Facility and interest expense to the extent of amounts borrowed under the Facility. Interest is based on the “Overnight Rate” plus 1.25%. The Overnight Rate means the higher of (a) the Federal Funds rate, (b) the Overnight Eurodollar Rate, or (c) the One-Month Eurodollar Rate. The facility fees are payable quarterly in arrears and are allocated to all participating Funds. Interest expense is charged directly to a Fund based upon actual amounts borrowed by such Bridgeway Fund.

For the period ended December 31, 2020, borrowings by the Funds under this line of credit were as follows:

 

Bridgeway Fund		Weighted Average Interest Rate					Weighted Average Loan Balance					Number of Days Outstanding					Interest Expense Incurred1					Maximum Amount Borrowed During the Period
Omni Small-Cap Value				1.40	%				$2,337,449					78					$7,085					$11,664,000
Omni Tax-Managed Small-Cap Value				1.40	%				1,925,556					9					673					4,754,000
1Interest expense is included on the Statements of Operations in Miscellaneous expenses.

8. Subsequent Events

 

Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

 

44		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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OTHER INFORMATION
December 31, 2020 (Unaudited)

 

1. Proxy Voting

 

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to the portfolio securities and a summary of proxies voted by the Funds for the period ended June 30, 2020 are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov.

2. Fund Holdings

 

The complete schedules of the Funds’ holdings for the second and fourth quarters of each fiscal year are contained in the Funds’ Semi-Annual and Annual Shareholder Reports, respectively.

The Bridgeway Funds file complete schedules of the Funds’ holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to Form N-PORT within 60 days after the end of the period. Copies of the Funds’ Form N-PORT exhibit are available without charge, upon request, by contacting Bridgeway Funds at 1-800-661-3550 and on the SEC’s website at http://www.sec.gov. You may also review and copy the Funds’ Form N-PORT exhibit at the SEC’s Public Reference Room in Washington, D.C. For more information about the operation of the Public Reference Room, please call 1-800-SEC-0330.

 

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DISCLOSURE OF FUND EXPENSES
December 31, 2020 (Unaudited)

 

As a shareholder of a Fund, you will incur no transaction costs from such Fund, including sales charges (loads) on purchases, on reinvested dividends or on other distributions. There are no exchange fees. Shareholders are subject to redemption fees on the Ultra-Small Company Market Fund under certain circumstances. However, as a shareholder of a Fund, you will incur ongoing costs, including management fees and other Fund expenses. The following examples are intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 invested on July 1, 2020 and held until December 31, 2020.

Actual Expenses. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading “Expenses Paid During Period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other mutual funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

The expenses shown in the table are meant to highlight ongoing Fund costs only. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds, because other funds may also have transaction costs, such as sales charges, redemption fees or exchange fees.

 

		Beginning Account Value at 7/1/20				Ending Account Value at 12/31/20				Expense Ratio				Expenses Paid During Period* 7/1/20 - 12/31/20
Bridgeway Omni Small-Cap Value Fund
Actual Fund Return			$1,000.00				$1,394.41				0.47%				$2.84
Hypothetical Fund Return			$1,000.00				$1,022.84				0.47%				$2.40
Bridgeway Omni Tax-Managed Small-Cap Value Fund
Actual Fund Return			$1,000.00				$1,389.38				0.47%				$2.83
Hypothetical Fund Return			$1,000.00				$1,022.84				0.47%				$2.40

 

*	Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent six-month period (184) divided by the number of days in the fiscal year (365).

 

46		Semi-Annual Report  |  December 31, 2020 (Unaudited)

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		BRIDGEWAY FUNDS, INC.   BNY Mellon Investment Servicing (US) Inc. P.O. Box 9860 Providence, RI 02940-8060   CUSTODIAN   The Bank of New York Mellon One Wall Street New York, NY 10286   DISTRIBUTOR   Foreside Fund Services, LLC Three Canal Plaza, Suite 100 Portland, ME 04101

 

 

		You can review and copy information about our Funds (including the SAIs) at the SEC’s Public Reference Room in Washington, D.C. To find out more about this public service, call the SEC at 800-SEC-0330. Reports and other information about the Funds are also available on the SEC’s website at ww.sec.gov. You can receive copies of this information, for a fee, by writing the Public Reference Section, Securities and Exchange Commission, Washington, D.C. 20549-1520 or by sending an electronic request to the following email address: publicinfo@sec.gov.

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(b)	Not Applicable