N-CSRS 1 d494416dncsrs.htm THE RBB FUND, INC The RBB Fund, Inc

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number             811-05518                                 

                                      The RBB Fund, Inc.                                    

(Exact name of registrant as specified in charter)

Bellevue Park Corporate Center

103 Bellevue Parkway

                                     Wilmington, DE 19809                                    

(Address of principal executive offices) (Zip code)

Salvatore Faia

BNY Mellon Investment Servicing (US) Inc.

103 Bellevue Parkway

                                     Wilmington, DE 19809                                    

(Name and address of agent for service)

Registrant’s telephone number, including area code: 302-791-1851

Date of fiscal year end: August 31

Date of reporting period: February 28, 2013

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

The Report to Shareholders is attached herewith.

THE RBB FUND, INC.

Money Market Portfolio

Fund Expense Examples

(Unaudited)

 

As a shareholder of the Money Market Portfolio (the “Portfolio”), you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, distribution fees, and other Portfolio expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013 and held for the entire period.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees that may be incurred by shareholders of other funds. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

     Money Market Portfolio – Bedford Class  
     Beginning
Account Value
September 1, 2012		        Ending
Account Value
February 28, 2013		        Expenses Paid
During
Period*		  

Actual

    $ 1,000.00         $ 1,000.10         $ 1.29   

Hypothetical (5% return before expenses)

      1,000.00           1,023.51           1.30   
     Money Market Portfolio – Sansom Street Class  
     Beginning
Account Value
September 1, 2012		        Ending
Account Value
February 28, 2013		        Expenses Paid
During
Period*		  

Actual

    $ 1,000.00         $ 1,000.20         $ 1.19   

Hypothetical (5% return before expenses)

      1,000.00           1,023.60           1.20   

 

* Expenses are equal to the Portfolio’s annualized six month expense ratio of 0.26% for the Bedford Class shares and 0.24% for the Sansom Street Class shares, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Portfolio’s ending account value on the first line in each table is based on the actual six-month total return of 0.01% for the Bedford Class shares and 0.02% for the Sansom Street Class shares.

 

1

THE RBB FUND, INC.

Money Market Portfolio

Portfolio Holdings Summary Table

February 28, 2013

(Unaudited)

 

Security

Type

    % of Net
Assets		        Value  

Short Term Investments:

        

Commercial Paper

      35.4 %       $ 238,861,825   

Certificates of Deposit

      31.8           214,803,000   

U.S. Treasury Obligations

      10.7           72,035,866   

Municipal Bonds

      8.5           57,635,000   

Repurchase Agreements

      8.1           54,764,000   

Agency Obligations

      5.7           38,183,026   

Variable Rate Obligations

      1.3           8,600,000   

Liabilities in Excess of Other Assets

      (1.5 )         (9,834,821 ) 
  

 

 

       

 

 

  

NET ASSETS

      100.0 %       $ 675,047,896   
  

 

 

       

 

 

  

Portfolio holdings are subject to change at any time.

 

2

THE RBB FUND, INC.

Money Market Portfolio

Schedule of Investments

February 28, 2013

(Unaudited)

 

     Par
(000)		      Value  

CERTIFICATES OF DEPOSIT—31.8%

  

Euro Dollar Certificates Of Deposit(a)—2.4%

  

National Australia Bank Ltd.,London

      

0.429%, 04/10/13

    $ 10,000       $ 10,000,000   

0.302%, 10/21/13

      6,000         6,000,000   
     

 

 

  
        16,000,000   
     

 

 

  

Yankee Dollar Certificates Of Deposit(b)—29.4%

  

Australia & New Zealand Banking Group Ltd., New York(a)

      

0.284%, 04/30/13

      5,000         5,000,674   

Bank of Montreal,
Chicago(a)

      

0.200%, 05/17/13

      5,000         5,000,000   

0.422%, 07/17/13

      5,000         5,000,000   

0.365%, 01/10/14

      4,000         4,000,000   

Bank of Nova Scotia, Houston(a)

      

0.263%, 11/26/13

      5,000         5,000,000   

0.358%, 01/02/14

      5,000         5,000,000   

Bank of Tokyo Mitsubishi UFJ, Ltd., New York

      

0.260%, 04/08/13

      5,000         4,999,947   

0.340%, 04/22/13

      6,000         6,000,000   

0.250%, 05/30/13

      10,000         10,000,000   

Canadian Imperial Bank of Commerce, New
York(a)

      

0.330%, 02/04/14

      5,000         5,000,000   

0.330%, 03/03/14

      10,000         10,000,000   

Credit Suisse, New York

      

0.280%, 06/06/13

      7,000         7,000,000   

Deutsche Bank AG, New York

      

0.410%, 08/08/13

      5,000         5,000,000   

DNB Bank ASA, New York

      

0.280%, 07/19/13

      2,000         2,000,000   

Mitsubishi UFJ Trust and Banking Corp., New York(a)

      

0.322%, 05/15/13

      7,000         7,000,000   

Mizuho Corporate Bank, New York

      

0.270%, 04/03/13

      15,000         15,000,000   

Nordea Bank Finland PLC, New York

      

0.260%, 06/03/13

      4,000         4,000,052   

0.275%, 07/17/13

      1,945         1,944,963   

Rabobank Nederland NV, New York

      

0.482%, 04/24/13

      6,300         6,300,000   

0.420%, 10/29/13(a)

      12,000         12,000,000   

0.405%, 01/08/14

      6,000         6,000,000   
     Par
(000)		      Value  

CERTIFICATES OF DEPOSIT—(Continued)

  

Yankee Dollar Certificates Of Deposit—(Continued)

  

Royal Bank of Canada, New
York(a)

      

0.442%, 05/16/13

    $ 6,500       $ 6,500,000   

Skandinaviska Enskilda Banken, New York

      

0.310%, 03/28/13

      7,000         7,000,000   

0.300%, 04/08/13

      2,040         2,040,000   

Sumitomo Mitsui Banking Corp., New York

      

0.230%, 05/02/13

      10,000         10,000,000   

Sumitomo Mitsui Trust Bank Ltd., New York

      

0.230%, 05/13/13

      7,500         7,500,000   

0.270%, 05/22/13

      7,000         7,000,000   

Svenska Handelsbanken, New York

      

0.230%, 06/05/13

      6,000         5,999,840   

0.260%, 06/10/13

      4,000         4,000,112   

Toronto Dominion Bank, New York

      

0.320%, 03/18/13

      7,000         7,000,000   

0.300%, 07/22/13

      3,000         3,000,000   

Westpac Banking Corp., New York(a)

      

0.338%, 11/01/13

      7,520         7,517,412   
     

 

 

  
        198,803,000   
     

 

 

  

TOTAL CERTIFICATES OF DEPOSIT

  

   

(Cost $214,803,000)

         214,803,000   
     

 

 

  

COMMERCIAL PAPER—35.4%

  

   

Asset Backed—15.7%

      

Aspen Funding
Corp.(c)

      

0.300%, 03/04/13

      10,000         9,999,750   

Atlantis One Funding
Corp.(c)

      

0.471%, 03/07/13

      10,000         9,999,217   

Cancara Asset Securitization LLC(c)

      

0.240%, 05/03/13

      4,000         3,998,320   

0.230%, 05/23/13

      3,000         2,998,409   

Chariot Funding LLC(c)

      

0.190%, 04/29/13

      7,000         6,997,820   

Gotham Funding Corp.(c)

      

0.180%, 03/11/13

      4,000         3,999,800   

Jupiter Securitization Company LLC(c)

      

0.210%, 03/04/13

      5,000         4,999,913   

Liberty Street Funding
LLC(c)

      

0.160%, 03/08/13

      7,050         7,049,781   
 

 

The accompanying notes are an integral part of these financial statements.

 

3

THE RBB FUND, INC.

Money Market Portfolio

Schedule of Investments (Continued)

February 28, 2013

(Unaudited)

 

     Par
(000)		      Value  

COMMERCIAL PAPER—(Continued)

      

Asset Backed—(Continued)

      

Manhattan Asset Funding Co. LLC(c)

      

0.200%, 03/12/13

    $ 7,000       $ 6,999,572   

Metlife Short Term Funding LLC(c)

      

0.250%, 07/22/13

      5,000         4,995,034   

Mont Blanc Capital Corp.(c)

      

0.350%, 03/04/13

      5,000         4,999,854   

0.190%, 03/20/13

      3,000         2,999,699   

Nieuw Amsterdam Receivables Corp.(c)

      

0.170%, 03/07/13

      6,000         5,999,830   

0.190%, 04/18/13

      15,000         14,996,200   

Surrey Funding Corp.(c)

      

0.230%, 04/03/13

      14,995         14,991,839   
     

 

 

  
        106,025,038   
     

 

 

  

Banks—19.7%

      

Australia & New Zealand Banking Ltd.

      

0.373%, 01/17/14

      4,000         4,000,000   

Collateralized Commercial Paper Co. LLC(c)

      

0.310%, 05/15/13

      7,000         6,995,479   

Commonwealth Bank of Australia(a)

      

0.340%, 11/14/13

      4,500         4,499,678   

DNB Bank ASA(c)

      

0.270%, 07/30/13

      7,500         7,491,506   

0.270%, 08/05/13

      7,000         6,991,757   

General Electric Capital Corp.(c)

      

0.240%, 08/12/13

      1,000         998,907   

0.240%, 08/26/13

      5,000         4,994,067   

ING US Funding LLC(c)

      

0.220%, 05/09/13

      15,000         14,993,675   

0.230%, 05/09/13

      6,500         6,497,135   

La Caisse Centrale Desjardins Du Quebec(c)

      

0.250%, 03/04/13

      10,000         9,999,792   

Lloyds TSB Bank PLC(c)

      

0.240%, 04/23/13

      5,000         4,998,233   

0.235%, 04/24/13

      5,000         4,998,237   

Nordea North America, Inc., Delaware(c)

      

0.300%, 05/16/13

      6,000         5,996,200   

0.280%, 07/15/13(c)

      1,945         1,942,943   

0.280%, 07/16/13(c)

      1,945         1,942,927   
     Par
(000)		      Value  

COMMERCIAL PAPER—(Continued)

      

Banks—(Continued)

      

NRW.Bank(c)

      

0.175%, 03/05/13

    $ 10,000       $ 9,999,806   

UBS Finance LLC, Delaware(c)

      

0.200%, 03/11/13

      20,000         19,998,889   

Westpac Banking Corp.

      

0.500%, 04/02/13(c)

      5,500         5,497,556   

0.289%, 10/08/13(a)

      10,000         10,000,000   
     

 

 

  
        132,836,787   
     

 

 

  

TOTAL COMMERCIAL PAPER (Cost $238,861,825)

         238,861,825   
     

 

 

  

MUNICIPAL BONDS—8.5%

      

California—1.0%

      

California Housing Finance Agency Revenue, Series A, RB (LOC: Fannie Mae, Freddie Mac)(a)(d)

      

0.110%, 03/07/13

      3,000         3,000,000   

San Francisco, City & County Redevelopment Agency, Multifamily Revenue, Series A, RB (LOC: Fannie Mae)(a)(d)

      

0.090%, 03/07/13

      3,900         3,900,000   
     

 

 

  
        6,900,000   
     

 

 

  

Connecticut—0.8%

      

Connecticut State, Health & Educational Facilities Authority Revenue, New Haven Hospital, Series K-2, RB (LOC: JPMorgan Chase Bank)(a)(d)

      

0.100%, 03/07/13

      5,400         5,400,000   
     

 

 

  

Michigan—1.1%

      

Michigan State Housing Development Authority, Series D, RB (LOC: Fannie Mae)(a)(d)

      

0.110%, 03/07/13

      7,900         7,900,000   
     

 

 

  

New York—3.8%

      

New York City, Housing Development Corp., Multifamily Rent Housing Revenue, Series A, RB (LOC: Fannie Mae)(a)(d)

      

0.100%, 03/07/13

      6,000         6,000,000   
 

 

The accompanying notes are an integral part of these financial statements.

 

4

THE RBB FUND, INC.

Money Market Portfolio

Schedule of Investments (Continued)

February 28, 2013

(Unaudited)

 

     Par
(000)		      Value  

MUNICIPAL BONDS—(Continued)

      

New York—(Continued)

      

New York City, Industrial Development Agency Civic Facility Revenue, New York Law School Project, Series A, RB (LOC: JPMorgan Chase Bank)(a)(d)

      

0.110%, 03/07/13

    $ 4,335       $ 4,335,000   

New York State Dormitory Authority, City University, Series D, RB (LOC: TD Bank NA)(a)(d)

      

0.100%, 03/07/13

      5,000         5,000,000   

New York State, Housing Finance Agency Revenue, RB (LOC: Freddie Mac)(a)(d)

      

0.080%, 03/07/13

      5,200         5,200,000   

Westchester County, Health Care Revenue, RB (LOC: TD Bank NA)(a)(d)

      

0.150%, 03/07/13

      5,000         5,000,000   
     

 

 

  
        25,535,000   
     

 

 

  

Tennessee—1.2%

      

Eclipse Funding Trust, Various 2007-0005-Solar Eclipse-Blount, RB (LOC: U.S. Bank NA)(a)(d)

      

0.110%, 03/07/13

      8,000         8,000,000   
     

 

 

  

Texas—0.6%

      

Texas State, Veterans Housing Assessment Project, Series A-2, GO (Liquidity Facility: JPMorgan Chase & Co.)(a)(d)

      

0.160%, 03/07/13

      3,900         3,900,000   
     

 

 

  

TOTAL MUNICIPAL BONDS

     

(Cost $57,635,000)

         57,635,000   
     

 

 

  

VARIABLE RATE OBLIGATIONS—1.3%

  

   

Banks—1.3%

      

JPMorgan Chase Bank NA(a)

      

0.373%, 05/17/13

      8,600         8,600,000   
     

 

 

  

TOTAL VARIABLE RATE OBLIGATIONS

  

   

(Cost $8,600,000)

         8,600,000   
     

 

 

  

AGENCY OBLIGATIONS—5.7%

      

Fannie Mae

      

0.173%, 02/27/15(a)

      6,000         5,996,991   
     Par
(000)		      Value  

AGENCY OBLIGATIONS—(Continued)

      

Freddie Mac

      

0.390%, 09/03/13(a)

    $ 5,000       $ 4,999,486   

0.142%, 09/13/13(a)

      22,200         22,192,774   

0.180%, 11/05/13(c)

      5,000         4,993,775   
     

 

 

  

TOTAL AGENCY OBLIGATIONS

      

(Cost $38,183,026)

         38,183,026   
     

 

 

  

U.S. TREASURY OBLIGATIONS—10.7%

  

   

U.S. Treasury Notes

      

0.625%, 04/30/13

      17,000         17,011,744   

0.500%, 05/31/13

      10,000         10,008,051   

3.500%, 05/31/13

      6,000         6,049,818   

0.375%, 06/30/13

      7,500         7,503,386   

3.375%, 06/30/13

      7,000         7,074,415   

0.125%, 08/31/13

      4,000         3,998,505   

0.750%, 09/15/13

      7,785         7,809,972   

0.125%, 09/30/13

      6,500         6,498,435   

2.000%, 11/30/13

      6,000         6,081,540   
     

 

 

  

TOTAL U.S. TREASURY OBLIGATIONS

  

   

(Cost $72,035,866)

         72,035,866   
     

 

 

  

REPURCHASE AGREEMENTS—8.1%

      

Deutsche Bank Securities, Inc. (Tri-Party Agreement dated 02/28/13 to be repurchased at $34,764,183, collateralized by $35,191,000 par value, Federal National Mortgage Backed Securities, 0.000%-1.2500%, due 07/01/2013 to 02/27/2014, Fair Value of the collateral is $35,459,538)

      

0.190%, 03/01/13

      34,764         34,764,000   

Morgan Stanley & Co. LLC (Tri-Party Agreement dated 02/28/13 to be repurchased at $20,000,111, collateralized by $20,034,480, par value, Federal National Mortgage Backed Security, 2.500%, due 12/01/2027, Fair Value of the collateral is $20,600,000)

      

0.200%, 03/01/13

      20,000         20,000,000   
     

 

 

  

TOTAL REPURCHASE AGREEMENTS

  

   

(Cost $54,764,000)

         54,764,000   
     

 

 

  
 

 

The accompanying notes are an integral part of these financial statements.

 

5

THE RBB FUND, INC.

Money Market Portfolio

Schedule of Investments (Concluded)

February 28, 2013

(Unaudited)

 

          Value  

TOTAL INVESTMENTS AT VALUE—101.5%

  

(Cost $684,882,717)*

       $ 684,882,717   
     

 

 

  

LIABILITIES IN EXCESS OF
OTHER ASSETS—(1.5)%

      (9,834,821 ) 
     

 

 

  

NET ASSETS (APPLICABLE TO 674,380,542 BEDFORD SHARES AND 661,999 SANSOM STREET SHARES)—100.0%

       $ 675,047,896   
     

 

 

  

 

* Aggregate cost is the same for financial reporting and Federal tax purposes.

 

(a) Variable Rate Security. Rate shown is as of report date.

 

(b) Issuer is a US branch of a foreign domiciled bank.

 

(c) Rate disclosed represents the discount rate at the time of purchase.

 

(d) Rate shown is as of report date and the date shown is date on which principal and accrued interest may be recovered through demand.

 

GO General Obligation
LLC Limited Liability Company
LOC Line of Credit
PLC Public Liability Company
RB Revenue Bond

 

The accompanying notes are an integral part of these financial statements.

 

6

THE RBB FUND, INC.

Money Market Portfolio

Statement of Assets and Liabilities

February 28, 2013

(Unaudited)

 

ASSETS

   

Investments, at value (Cost $630,118,717)

    $ 630,118,717   

Repurchase agreements, at value (Cost $54,764,000)

      54,764,000   

Cash

      4,565   

Receivables

   

Interest receivable

      308,804   

Prepaid expenses and other assets

      91,361   
  

 

 

  

Total assets

      685,287,447   
  

 

 

  

LIABILITIES

   

Payables

   

Investments purchased

      10,000,000   

Distribution to shareholders

      110   

Investment advisory and administration fees

      99,515   

Printing fees

      56,414   

Professional fees

      30,712   

Transfer agent fees

      14,593   

Distribution fees (Bedford Class)

      10,151   

Regulatory administration fees

      8,130   

Directors’ and officers’ fees

      6,101   

Custodian fees

      1,561   

Other accrued expenses and liabilities

      12,264   
  

 

 

  

Total liabilities

      10,239,551   
  

 

 

  

Net Assets

    $ 675,047,896   
  

 

 

  

NET ASSETS CONSIST OF

   

Par Value

    $ 675,043   

Paid-in Capital

      674,367,474   

Accumulated net investment loss

      (16,215 ) 

Accumulated net realized gain from investments

      21,594   
  

 

 

  

Net Assets

    $ 675,047,896   
  

 

 

  

BEDFORD CLASS

   

Net assets

    $ 674,385,918   
  

 

 

  

Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized)

      674,380,542   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 1.00   
  

 

 

  

SANSOM STREET CLASS

   

Net assets

    $ 661,978   
  

 

 

  

Shares outstanding ($0.001 par value, 1,500,000,000 shares authorized)

      661,999   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 1.00   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

7

THE RBB FUND, INC.

Money Market Portfolio

Statement of Operations

For the Six Months Ended February 28, 2013

(Unaudited)

 

Investment Income

      

Interest

       $ 882,147   
     

 

 

  

Total investment income

         882,147   
     

 

 

  

Expenses

      

Distribution fees (Bedford Class)(1)

         2,062,087   

Investment advisory and administration fees

         1,297,178   

Printing and shareholder reporting fees

         135,467   

Custodian fees

         75,226   

Professional fees

         46,263   

Directors’ and officers’ fees

         26,811   

Regulatory administration fees

         24,299   

Transfer agent fees

         22,797   

Insurance fees

         17,048   

Registration and filing fees

         15,438   

Other expenses

         9,202   
     

 

 

  

Total expenses before waivers

         3,731,816   

Less: Advisory and administration waivers

      (898,136 ) 

Less: Distribution fee waivers (Bedford Class)(1)

      (1,985,850 ) 
     

 

 

  

Net expenses after waivers

         847,830   
     

 

 

  

Net investment income

         34,317   
     

 

 

  

Net realized gain from investments

         11,082   
     

 

 

  

Net increase in net assets resulting from operations

       $ 45,399   
     

 

 

  

 

(1) See Note 2 in Notes to Financial Statements

 

The accompanying notes are an integral part of the financial statements.

 

8

THE RBB FUND, INC.

Money Market Portfolio

Statements of Changes in Net Assets

 

     For the
Six Months Ended
February  28,2013
(Unaudited) 		    For the
Year Ended
August 31, 2012		  

Increase in net assets:

  

  

From operations:

  

  

Net investment income

    $ 34,317      $ 164,652   

Net realized gain from investments

      11,082        10,512   
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      45,399        175,164   
  

 

 

    

 

 

  

Dividends to shareholders from:

     

Net investment income:

     

Bedford Class

      (50,434 )      (181,565 ) 

Sansom Street Class

      (98 )      (1,323 ) 
  

 

 

    

 

 

  

Net decrease in net assets from dividends to shareholders

      (50,532 )      (182,888 ) 
  

 

 

    

 

 

  

Capital transactions (at $1.00 per share):

     

Proceeds from shares sold:

     

Bedford Class

      248,287,092        717,471,265   

Sansom Street Class

      778,420        4,334,284   

Shares issued on reinvestment of distributions:

     

Bedford Class

      49,464        178,351   

Sansom Street Class

      79        138   

Shares repurchased:

     

Bedford Class

      (215,656,688 )      (797,075,673 ) 

Sansom Street Class

      (356,547 )      (23,614,456 ) 
  

 

 

    

 

 

  

Increase/(decrease) in net assets derived from capital transactions

      33,101,820        (98,706,091 ) 
  

 

 

    

 

 

  

Total increase/(decrease) in net assets

      33,096,687        (98,713,815 ) 

Net assets:

     

Beginning of period

      641,951,209        740,665,024   
  

 

 

    

 

 

  

End of period

    $ 675,047,896      $ 641,951,209   
  

 

 

    

 

 

  

Accumulated net investment loss, end of period

    $ (16,215 )    $ —   
  

 

 

    

 

 

  

Share Transactions:

     

Shares sold

     

Bedford Class

      248,287,092        717,471,265   

Sansom Street Class

      778,420        4,334,284   

Shares reinvested

     

Bedford Class

      49,464        178,351   

Sansom Street Class

      79        138   

Shares repurchased

     

Bedford Class

      (215,656,688 )      (797,075,673 ) 

Sansom Street Class

      (356,547 )      (23,614,456 ) 
  

 

 

    

 

 

  

Total Share Activity

      33,101,820        (98,706,091 ) 
  

 

 

    

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

9

THE RBB FUND, INC.

Money Market Portfolio

Financial Highlights

(For a Share Outstanding Throughout each Year)

 

    The Bedford Class  
    For the
Six Months
Ended
February 28, 2013
(Unaudited)		     For the
Year
Ended
August 31, 2012		     For the
Year
Ended
August 31, 2011		     For the
Year
Ended
August 31, 2010		     For the
Year
Ended
August 31, 2009		     For the
Year
Ended
August 31, 2008		  

Net asset value, beginning of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Net investment income

     0.0001        0.0003        0.0002        0.0003        0.0074        0.0307   

Net gains (losses) on securities

     —(a )      —(a )      —(a )      —(a )      —(a )      —(a ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total net income from investment operations

     0.0001        0.0003        0.0002        0.0003        0.0074        0.0307   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends (from net investment
income)

     (0.0001 )      (0.0003 )      (0.0002 )      (0.0003 )      (0.0074 )      (0.0307 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return

     0.01%(b )      0.03%        0.02%        0.03%        0.74%        3.12%   

Ratios/Supplemental Data

            

Net assets, end of period
(000’s omitted)

   $ 674,386      $ 641,711      $ 721,145      $ 593,570      $ 545,194      $ 319,387   

Ratios of expenses to average
net assets(c)

     0.26%(d )      0.25%        0.27%        0.31%        0.69%        0.90%   

Ratios of net investment income
to average net assets

     0.01%(d )      0.02%        0.02%        0.02%        0.65%        2.94%   

 

(a) Amount is less than $0.00005 per share.

 

(b) Not annualized.

 

(c) Without the waiver of advisory fees, distribution fees, and/or reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Bedford Class of the Money Market Portfolio would have been 1.18% (annualized) for the six months ended February 28, 2013 and 1.15%, 1.12%, 1.18%, 1.24% and 1.23% for the years ended August 31, 2012, 2011, 2010, 2009 and 2008, respectively.

 

(d) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

10

THE RBB FUND, INC.

Money Market Portfolio

Financial Highlights (Concluded)

(For a Share Outstanding Throughout each Year)

 

    The Sansom Street Class  
    For the
Six Months
Ended
February 28, 2013
(Unaudited)		     For the
Year
Ended
August 31, 2012		     For the
Year
Ended
August 31, 2011		     For the
Year
Ended
August 31, 2010		     For the
Year
Ended
August 31, 2009		     For the
Year
Ended
August 31, 2008		  

Net asset value, beginning of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income from investment operations:

            

Net investment income

     0.0002        0.0004        0.0006        0.0010        0.0121        0.0365   

Net gains (losses) on securities

     —(a )      —(a )      —(a )      —(a )      —(a )      —(a ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total net income from investment operations

     0.0002        0.0004        0.0006        0.0010        0.0121        0.0365   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Less dividends and distributions:

            

Dividends (from net investment
income)

     (0.0002 )      (0.0004 )      (0.0006 )      (0.0010 )      (0.0121 )      (0.0365 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00      $ 1.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return

     0.02%(b )      0.05%        0.06%        0.10%        1.21%        3.71%   

Ratios/Supplemental Data

            

Net assets, end of period
(000’s omitted)

   $ 662      $ 240      $ 19,520      $ 37,708      $ 32,496      $ 28,749   

Ratios of expenses to average
net assets(c)

     0.24%(d )      0.23%        0.23%        0.24%        0.25%        0.31%   

Ratios of net investment income
to average net assets

     0.03%(d )      0.04%        0.06%        0.09%        0.93%        3.64%   

 

(a) Amount is less than $0.00005 per share.

 

(b) Not annualized.

 

(c) Without the waiver of advisory fees and reimbursement of certain operating expenses, the ratios of expenses to average net assets for the Sansom Street Class of the Money Market Portfolio would have been 0.53% (annualized) for the six months ended February 28, 2013 and 0.50%, 0.47%, 0.54%, 0.60% and 0.60% for the years ended August 31, 2012, 2011, 2010, 2009 and 2008, respectively.

 

(d) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

11

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements

February 28, 2013

(Unaudited)

 

1. Summary of Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Money Market Portfolio (“Portfolio”).

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Portfolio has issued shares with a par value of $0.001.

SECURITY VALUATION — Securities held in the Portfolio are valued under the amortized cost method, which approximates fair value. Under this method, securities are valued at cost when purchased and thereafter a constant accretion of discount or amortization of premium is recorded until maturity of the security. Regular review and monitoring of the valuation is performed to ensure that cost continues to approximate fair value and to avoid dilution or other unfair results to shareholders. The Portfolio seeks to maintain net asset value (“NAV”) per share at $1.00.

Fair Value Measurements — The inputs and valuations techniques used to measure fair value of the Portfolio’s investments are summarized into three levels as described in the hierarchy below:

 

  •  

Level 1 — quoted prices in active markets for identical securities;

 

  •  

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

 

  •  

Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of net assets).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Portfolio’s net assets carried at fair value:

 

     Total
Value at
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Investments in Securities*

    $ 684,882,717       $   —       $ 684,882,717       $   —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* Please refer to the Schedule of Investments for industry and security type breakouts.

Securities held in the Portfolio are valued at amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are reflected as Level 2.

 

12

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Portfolio’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Portfolio may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Portfolio.

SECURITY TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES — The Fund records security transactions based on the trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes. Interest income is accrued when earned. Certain expenses, such as distribution fee and service organization fees, are class specific expenses and vary by class. Expenses not directly attributable to a specific portfolio or class are allocated based on relative net assets of each portfolio and class. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all portfolios within the Company (such as director or professional fees) are charged to all portfolios in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Portfolio.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income are declared daily, recorded on the ex-dividend date and paid monthly. All dividends from net investment income are taxed as ordinary income. Any net realized capital gains are distributed at least annually. Income subject to dividends and capital gain subject to distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

FEDERAL INCOME TAXES — No provision is made for federal income taxes. It is the Company’s intention to have the Portfolio continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended and make the requisite distributions to its shareholders which will be sufficient to relieve it from federal income and excise taxes.

 

13

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

REPURCHASE AGREEMENTS — Money market instruments may be purchased from financial institutions, such as banks and non-bank dealers, subject to the seller’s agreement to repurchase them at an agreed upon date and price. Collateral for repurchase agreements may have longer maturities than the maximum permissible remaining maturity of portfolio investments, provided the repurchase agreements themselves mature in 13 months or less. The seller is required on a daily basis to maintain the value of the securities subject to the agreement at no less than the repurchase price. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a separate account by the Portfolio’s custodian or an authorized securities depository. In the event the counterparty defaults and the fair value of the collateral declines, the Portfolio could experience losses, delays and costs in liquidating the collateral.

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions. These estimates and assumptions affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and those differences could be significant.

CASH AND CASH EQUIVALENTS — The Funds consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

OTHER — In the normal course of business, the Portfolio may enter into contracts that provide general indemnifications. The Portfolio’s maximum exposure under these arrangements is dependent on claims that may be made against the Portfolio in the future and therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.

2. Investment Adviser and Other Services

Pursuant to an Investment Advisory and Administration Agreement, BlackRock Advisors LLC (the “Adviser” or “BALLC”), an indirect wholly owned subsidiary of BlackRock, Inc., serves as investment adviser and administrator for the Portfolio.

BALLC (assignee of BlackRock Institutional Management Corporation) and BNY Mellon Investment Servicing (US) Inc, (“BNY Mellon”), have entered into a delegation agreement on behalf of the Portfolio, wherein BNY Mellon has agreed to perform administration and accounting services for an annual fee of 0.10% of the average net assets of the Portfolio, paid out of the fee paid to BALLC.

For its advisory services, BALLC is entitled to receive the following fees, computed daily and payable monthly, and based on the Portfolio’s average daily net assets:

 

Annual Rate

0.45% of first $250 million of net assets;

0.40% of next $250 million of net assets; and

0.35% of net assets in excess of $500 million.

The Adviser has contractually agreed to waive fees and/or reimburse expenses for the Portfolio such that total annual Portfolio operating expenses after fee waivers and/or expense reimbursements (excluding certain Portfolio expenses) do not exceed 0.25%. The following expenses are excluded from the contractual limitation: (i) interest, taxes, dividends tied to short sales, brokerage commissions, and other expenditures which are capitalized in accordance with U.S. GAAP; (ii) expenses

 

14

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

incurred directly or indirectly by the Portfolio as a result of investments in other investment companies and pooled investment vehicles; (iii) other expenses attributable to, and incurred as a result of, the Portfolio’s investments; (iv) distribution and servicing (12b-1) fees; and (v) other extraordinary expenses (including litigation expenses) not incurred in the ordinary course of the Portfolio’s business, if any, of the Bedford Shares and the Sansom Street Shares of the Portfolio. This contractual limitation is in effect through December 31, 2013 and may not be terminated without the approval of the Company’s Board of Directors. The Adviser may terminate this arrangement at any time after December 31, 2013. Prior to December 20, 2011, the Adviser voluntarily waived a portion of its management fees and/or reimbursed expenses for the Portfolio.

For each class of shares within the Portfolio, the net advisory fee charged to each class is the same on a relative basis. For the six months ended February 28, 2013, advisory fees and waivers were as follows:

 

Gross Advisory
and
Administration
Fee		      Waiver     Net Advisory
and
Administration
Fee		  
  $1,297,178       $ (898,136 )    $ 399,042   

As of February 28, 2013, the Portfolio owed BALLC $99,515 in advisory and administration fees.

For providing regulatory administration services to RBB, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Portfolio’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Portfolio’s average daily net assets, subject to certain minimum monthly fees.

The Bank of New York Mellon provides certain custodian services to the Portfolio and is entitled to receive out of pocket expenses.

BNY Mellon may also voluntarily waive a portion of their fees and/or reimburse expenses.

The Portfolio, on behalf of the Bedford Class of shares of the Portfolio, has adopted a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Portfolio has entered into a Distribution Agreement with Foreside Funds Distributors LLC (“Foreside Distributors”).

The Plan provides for the Bedford Class to make monthly payments, based on average net assets, to Foreside Distributors of up to 0.65% on an annualized basis. Foreside Distributors may voluntarily waive these fees at its discretion. For the six months ended February 28, 2013, distribution fees paid to Foreside Distributors for the Bedford Class were as follows:

 

     Gross
Distribution
Fee		        Waiver      Net
Distribution
Fee		  

Bedford Class

    $ 2,062,087         $ (1,985,850 )     $ 76,237   

The Portfolio will not pay BALLC, BNY Mellon or Foreside Distributors at a later time for any amounts waived or assumed.

 

15

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

The Portfolio has entered into service agreements with BNY Mellon which render support services to customers who are the beneficial owners of the Sansom Street Class in consideration of the payment of 0.10% of the daily net asset value of such shares.

3. Director Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Portfolio during the six months ended February 28, 2013 was $26,352. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Portfolio or the Company.

4. Federal Income Tax Information

The Portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Therefore, no federal tax provision is required.

The Portfolio has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Portfolio to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Portfolio has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Portfolio is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the Portfolio had $10,676 of undistributed ordinary income for federal tax purposes.

The difference between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for Federal income tax purposes. Short-term capital gains are reported as ordinary income dividends for Federal income tax purposes.

The tax character of dividends and distributions paid during the last fiscal year was as follows:

 

     Ordinary
Income		  

2012

    $ 182,888   

Dividends paid from net investment income and short-term capital gains are treated as ordinary income distributions for federal income tax purposes.

Accumulated capital losses represent net capital loss carry forwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Portfolio is permitted to carry forward capital losses

 

16

THE RBB FUND, INC.

Money Market Portfolio

Notes to Financial Statements (Concluded)

February 28, 2013

(Unaudited)

 

incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Portfolio’s first fiscal year end subject to the Modernization Act was August 31, 2012. During the fiscal year ended August 31, 2012, the Fund did not utilize any prior year capital loss carry forwards. As of August 31, 2012, the Portfolio had no pre- or post-enactment capital loss carry forwards.

5. Subsequent Event

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

 

17

THE RBB FUND, INC.

Money Market Portfolio

Additional Information

(Unaudited)

 

Proxy Voting

Policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Portfolio voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling the number shown below and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

Bedford

    (800) 888-9723

Sansom Street

    (800) 430-9618

Quarterly Portfolio Schedules

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarter of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

 

18

 

[THIS PAGE INTENTIONALLY LEFT BLANK.]

 

 

Investment Adviser

BlackRock Advisors LLC

100 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Two Commerce Square, Suite 1700

2001 Market Street

Philadelphia, PA 19103-7042

Counsel

Drinker Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

 

 

The Bedford Class

of

The RBB Fund, Inc.

Money Market

Portfolio

Semi-Annual Report

February 28, 2013

(Unaudited)

An investment in the Portfolio is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Portfolio seeks to preserve the value of your investment at $1.00 per share, it’s possible to lose money by investing in the Portfolio.

This report is submitted for the general information of the shareholders of the Portfolio. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Portfolio.

 

 

 

 

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

SEMI-ANNUAL REPORT FOR THE SIX-MONTH PERIOD ENDED FEBRUARY 28, 2013

(UNAUDITED)

 

 

Fellow Shareholder:

During the most recent semiannual reporting period ended February 28, 2013, the Bogle Small Cap Growth Fund (the “Fund”) outperformed its benchmark by +4.95%, returning +17.97% for both the Investor and Institutional shares net of fees, while the unmanaged Russell 2000® index of smaller companies gained +13.02%. Equity markets posted robust gains over the last six months, advancing steadily from the middle of November through the middle of February. Concerns about European sovereign debt issues, which affected global markets in 2011 and early 2012, seemed to fade, while U.S. economic indicators continued to strengthen. U.S. investors appeared optimistic about corporate earnings growth, employment and the housing market. Limits on government spending increases due to budget triggers seemed to be perceived positively by investors as a means to rein in spendthrift politicians, as opposed to a significant threat to economic growth. The Federal Reserve remained highly accommodative, providing additional support to U.S. equity markets. As investors became less concerned about the general risks of equity investing, the extremely high correlations of stock price movements of the previous two years dropped significantly. A more moderate correlation environment tends to provide a more favorable backdrop for our investment strategy, confirmed by the Fund’s nearly five percentage point advantage over its benchmark for the period. The market environment is discussed further in the next section of this letter, followed by more detailed semiannual performance evaluation, including investment model performance and performance attribution. We then present the fundamental characteristics of the Fund and its benchmark, highlighting the Fund’s above-benchmark median expected growth rate and below-benchmark price-based ratios (as has been the case for almost four years). Finally, we close with an update on developments at Bogle Investment Management, L.P.

INVESTMENT PERFORMANCE — PERIODS ENDING FEBRUARY 28, 2013

BOGLE FUND VS. RUSSELL 2000® BENCHMARK

LOGO

All Fund returns are presented net of fees and include the reinvestment of all dividends and other earnings. Multi-year period returns are annualized. Returns shown represent past performance and do not guarantee future results. Current performance may be lower or higher than the returns shown above. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Returns current to the most recent month-end may be obtained at 1-877-264-5346. The figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The performance quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s annual operating expenses, as stated in the current prospectus, are 1.51% for the Institutional Class and 1.60% for the Investor Class, prior to fee waivers.

 

1

Market Environment. As mentioned in our introduction, U.S. equity market performance was generally positive in the semiannual reporting period. According to Russell benchmarks, small cap stocks outperformed large cap stocks, with most of the advantage occurring in December and January, and cumulating to more than three percentage points for the period overall (Russell 2000® up +13.02%, Russell 1000® up +9.72%). The Russell 2000® Value Index started to outperform the Russell 2000® Growth Index on September 13th, which was also the date that the Federal Reserve announced round three of its bond purchase program, known as quantitative easing, or QE3. Small cap value stocks held onto their performance advantage for the balance of the semiannual period, and the Value Index gained +14.56%, while the Growth Index returned +11.44%. Among small cap stocks (categorized using our eight proprietary sectors), the industrial sector was the strongest performer, while energy and consumer growth were the weakest. Market volatility was low throughout the semiannual period, with the CBOE Volatility Index® (VIX®) level of implied, expected volatility averaging 15.5. Two small spikes in volatility occurred, one in late-December and another in late-February, but these increases proved to be temporary.

Investment Philosophy and Process. While our investment process has evolved over time as new insights have been added, our core investment principles have not changed since we began managing the Fund more than thirteen years ago. Our philosophy continues to rest on the belief that, in the long run, companies that offer the most attractive combination of good earnings prospects, reasonable share price, and conservative financial reporting will be rewarded by investors; however, over the short-term, valuations can become distorted due to fads or fears that allow stocks to become disconnected from fundamental values. In general, predictable behavioral biases, whether by Wall Street analysts, corporate managers, and/or traders in the marketplace, can create opportunities to earn excess returns. We believe that because these opportunities are behavioral and thus very slow to change, they can be exploited with carefully designed quantitative tools. We also recognize that there are limits to the amount of capital that can be employed to harvest these opportunities and the frequency with which we discover them, so we attempt to preserve our ability to add value for our clients by strictly controlling the asset base we are willing to manage (a marked contrast, we believe, to the asset gatherers that dominate this industry, who seem to want to take your money, with little regard for the impact on their ability to effectively manage it). Finally, we believe that process evolution through continuous research is the only way to maintain a competitive advantage and add value through time. To that end, while our investment process today is conceptually the same as it was thirteen years ago, much of the underlying data have changed over time as we’ve learned new things about how investor behaviors influence security valuations. Our objective, as always, is an investment process that can add value over time, and in a variety of market environments.

Performance Attribution. In the latest semiannual period, the Fund outperformed its benchmark as our composite investment model produced positive stock picking performance. Attribution analysis shows that our modest factor and sector exposures (relative to the benchmark) had no meaningful impact on performance. On a standalone basis, within our small cap investable universe, all the sub-models that combine to form our composite investment model added value during the semiannual period. Our shorter-term, non-fundamental sub-models produced the most consistently positive performance, while relative valuation sub-model returns turned positive in October. Earnings expectations and financial quality model performance was mixed, with recent positive contributions boosting value added for the semiannual period. Stock selection was positive in all sectors except consumer cyclical and technology stocks, with selection in consumer growth stocks contributing the most to relative performance. The dichotomy between the good performance of our composite model and the mixed performance of the sub-models that combine to form it is not unusual, and is also an affirmation of our conviction that the contextual nature of each sub-model’s information is much more important than the standalone information it provides. We continue to maintain a

 

2

diversified portfolio of 150 to 200 stocks; this diversification helps us to minimize the impact any single stock can have on total Fund performance. At the end of the semiannual period, the Fund held 161 stocks and the largest holding represented 1.4% of portfolio assets. Approximately 80% of the Fund was invested in about 80 positions.

Investment Positioning. As of the end of February 2013, the Fund’s median market capitalization was below that of the benchmark, as we have continued to take advantage of our small size in pursuit of these smaller, generally more rewarding opportunities. The Fund continues to have a higher median analysts’ expected long-term earnings growth rate than the benchmark, due to our tendency to avoid stocks that are expected to have very slow long-term earnings growth. We find that we do not get rewarded as much with successful investments in low growth companies, so we explicitly leave many of them out of the investment process. The Fund also has maintained its attractive valuation exposure, with price-to-earnings and price-to-sales ratios below the benchmark. Note that small deviations from the benchmark reflected in the fundamental characteristics (and sector exposures) of the Fund arise from the bottom up stock selection process and do not reflect attempts to actively time styles or sectors.

Selected risk statistics for the Fund and benchmark are presented in the second half of the table to the right. Total Fund volatility, as measured by the annualized standard deviation of daily returns, was below long-term levels in the semiannual period, averaging 14.4% versus 25.8% since the Fund’s inception. Fund volatility was in line with that of the benchmark. Active volatility, or the variability of the difference between the Fund and benchmark daily returns, was also below long-term levels, at 4.1% versus 6.6% since Fund inception.

 

 

FUNDAMENTAL CHARACTERISTICS
FEBRUARY 28, 2013

 

  

Median

    BOGLX*      Russell
2000®		  

Market Cap. ($mil.)

      $969         $1,300   

Estimated Long-Term Earnings Growth Rate**

      14.7%         13.4%   

Price/Historical Earnings

      18.2x         18.9x   

Price/Forward Earnings

      14.6x         16.0x   

Price/Sales

      0.9x         1.9x   

 

* The Bogle Small Cap Growth Fund Investor Shares. Median characteristics refer to the Fund’s holdings, not the Fund itself.

** The Estimated Long-Term Earnings Growth Rate is calculated for the Fund’s portfolio of companies and the benchmark companies from First Call analysts’ median estimated earnings growth rate over the next 3 to 5 years. This figure is not indicative of future performance of the Fund; the portfolio and benchmark companies’ actual earnings growth rate will vary from this figure.

 

   

       

 

 

RISK STATISTICS*
SEMI ANNUAL PERIOD

 

  

Measurement

    BOGLX      Russell
2000®		  

Standard Deviation

      14.4%         14.0%   

Active Volatility

      4.1%        

Beta with Russell 2000®

      0.98        

Average Cash

      1.1%        

 

* Risk statistics apply to the Fund and benchmark. Standard deviation is a statistical measure of the range of performance. Active volatility is the standard deviation of the difference between the Fund and benchmark performance. Beta is a measure of a portfolio’s sensitivity to market movement.

 

      

 

 

Progress at Bogle Investment Management, L.P. At the end of February 2013, assets in the Fund were $137 million, up $32 million from a year ago, representing $20 million in appreciation and $12 million in net investor inflows. The Fund is open to new shareholders and we continue to have capacity for some additional asset growth. We remain committed to monitoring Fund growth, growth in overall firm assets, and

 

3

market liquidity conditions to determine when it is appropriate to reclose our investment strategies. We anticipate that if and when we reclose the Fund we will be able to remain open for existing shareholders and financial advisers, as we did when we closed in 2002. Finally, there have been no changes to the investment team, and the team members have now been together for eight years or more.

As a reminder, information about the Fund, including historical NAVs, sector allocation, fundamental characteristics, and top ten holdings, can be viewed on our website, www.boglefunds.com. The NAVs are updated daily while the other Fund information is updated quarterly.

As always, please let us know if there is any way we can improve your investment experience with us.

Respectfully,

Bogle Investment Management, L.P.

Management Office: 781-283-5000

Shareholder Services Toll Free: 1-877-BOGLEIM (264-5346)

 

The Fund’s investment adviser, Bogle Investment Management, L.P., has contractually agreed to waive management fees and reimburse expenses through December 31, 2013 to the extent that total annual Fund operating expenses exceed 1.25% and 1.35% for the Institutional Class and Investor Class, respectively. The Adviser, in its discretion, has the right to extend this waiver.

The Russell 2000® is an index of stocks 1001 through 3000 in the Russell 3000® Index as ranked by total market capitalization. A direct investment in the index is not possible. The Russell ® Indexes are a trademark of the Frank Russell Company (“FRC”). FRC is the owner of the copyrights relating to the Russell Indexes and is the source of the Performance Values for the Russell Indexes.

Investing in small companies can involve more volatility, less liquidity and less available information than investing in large companies.

Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.

 

4

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

FUND EXPENSE EXAMPLES

(UNAUDITED)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013, and held for the entire period.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     INSTITUTIONAL CLASS  
     BEGINNING ACCOUNT  VALUE
SEPTEMBER 1, 2012		        ENDING ACCOUNT VALUE
FEBRUARY  28, 2013		        EXPENSES PAID  DURING
PERIOD*		  

Actual

    $ 1,000.00         $ 1,179.70         $ 6.76   

Hypothetical
(5% return before expenses)

      1,000.00           1,018.60           6.26   

 

5

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

FUND EXPENSE EXAMPLES (CONCLUDED)

(UNAUDITED)

 

     INVESTOR CLASS  
     BEGINNING ACCOUNT  VALUE
SEPTEMBER 1, 2012		        ENDING ACCOUNT VALUE
FEBRUARY  28, 2013		        EXPENSES PAID  DURING
PERIOD*		  

Actual

    $ 1,000.00         $ 1,179.70         $ 7.30   

Hypothetical
(5% return before expenses)

      1,000.00           1,018.10           6.76   

 

*Expenses are equal to the Fund’s annualized six-month expense ratio of 1.25% for the Institutional Class and 1.35% for the Investor Class, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in each table are based on the actual six-month total investment return for each class of 17.97% for the Institutional Class and 17.97% for the Investor Class.

 

6

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

PORTFOLIO HOLDINGS SUMMARY TABLE

FEBRUARY 28, 2013

(UNAUDITED)

The following table presents a summary by security type of the portfolio holdings of the Fund:

 

SECURITY TYPE & SECTOR CLASSIFICATION      % OF NET
ASSETS		        VALUE  

COMMON STOCKS:

          

Consumer Growth

        22.6%         $ 30,916,977   

Industrial

        18.6           25,550,731   

Financial

        17.8           24,366,034   

Consumer Cyclical

        16.0           21,965,760   

Technology

        14.2           19,411,987   

Energy

        5.6           7,630,721   

Basic Industry

        3.3           4,478,714   

Utility

        0.4           566,520   

SHORT-TERM INVESTMENTS

        1.6           2,191,722   

LIABILITIES IN EXCESS OF OTHER ASSETS

        (0.1)           (136,682)   
    

 

 

       

 

 

  

NET ASSETS

        100.0%         $ 136,942,484   
    

 

 

       

 

 

  

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.

 

7

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

PORTFOLIO OF INVESTMENTS

FEBRUARY 28, 2013 (UNAUDITED)

 

    NUMBER
OF SHARES		     VALUE  
   

COMMON STOCKS—98.5%

  

BASIC INDUSTRY—3.3%

  

Eagle Materials, Inc.

     17,731      $ 1,140,280   

Gibraltar Industries, Inc. *

     13,028        223,430   

Headwaters, Inc. *

     142,217        1,338,261   

Huntsman Corp.

     81,705        1,407,777   

Methanex Corp.

     500        18,290   

Steel Dynamics, Inc.

     22,965        350,676   
   

 

 

  
    4,478,714   
   

 

 

  

CONSUMER CYCLICAL—16.0%

  

ANN, Inc. *

     40,314        1,140,482   

Ascent Capital Group, Inc., Class A *

     14,608        1,001,962   

Big 5 Sporting Goods Corp.

     20,998        327,359   

Brown Shoe Co., Inc.

     68,562        1,124,417   

Central Garden and Pet Co.,Class A *

     1,100        9,603   

Core-Mark Holding Co., Inc.

     20,726        993,190   

Einstein Noah Restaurant Group, Inc.

     23,287        312,977   

Goodyear Tire & Rubber Co., (The) *

     92,429        1,199,728   

Harry Winston Diamond Corp. (CA) *

     86,700        1,353,387   

Haverty Furniture Co., Inc.

     18,798        344,943   

Hot Topic, Inc.

     116,533        1,258,556   

Journal Communications, Inc., Class A *

     1,300        7,111   

Kimball International, Inc., Class B

     60,217        554,599   

Krispy Kreme Doughnuts, Inc. *

     114,620        1,512,984   

MarineMax, Inc. *

     3,794        49,132   

Multimedia Games Holding Co., Inc. *

     95,502        1,785,887   

Nautilus, Inc. *

     215,437        1,232,300   

Nexstar Broadcasting Group, Inc., Class A

     101,561        1,509,196   

Perry Ellis International, Inc.

     1,899        30,802   

Pool Corp.

     26,215        1,198,550   

PulteGroup, Inc. *

     54,194        1,039,441   
    NUMBER
OF SHARES		     VALUE  
   

CONSUMER CYCLICAL—(CONTINUED)

  

Republic Airways Holdings, Inc. *

     141,481      $ 1,331,336   

Stage Stores, Inc.

     50,525        1,247,462   

Town Sports International Holdings, Inc.

     15,612        144,723   

United Stationers, Inc. *

     34,686        1,255,633   
   

 

 

  
    21,965,760   
   

 

 

  

CONSUMER GROWTH—22.6%

  

Accuray, Inc. *

     90,955        388,379   

Albany Molecular Research, Inc. *

     154,670        1,249,733   

Allscripts Healthcare Solutions, Inc. *

     119,623        1,521,605   

AMAG Pharmaceuticals, Inc. *

     19,233        318,306   

AMN Healthcare Services, Inc. *

     119,696        1,687,714   

Anika Therapeutics, Inc. *

     9,997        124,463   

Charles River Laboratories International, Inc. *

     31,601        1,287,425   

Cott Corp.

     132,715        1,267,428   

Cyberonics, Inc. *

     26,547        1,214,525   

Cynosure, Inc., Class A *

     46,587        1,319,810   

Dean Foods Co. *

     77,535        1,287,081   

Emergent Biosolutions, Inc. *

     80,130        1,241,214   

Enzon Pharmaceuticals, Inc.

     68,346        289,104   

Farmer Bros Co. *

     8,403        106,634   

Gentiva Health Services, Inc. *

     99,793        1,049,822   

Hillshire Brands Co.

     37,365        1,210,626   

ICON PLC, ADR*

     42,596        1,327,291   

Ingredion, Inc.

     18,216        1,205,899   

John B. Sanfilippo & Son, Inc.

     1,612        30,725   

Lannett Co., Inc. *

     9,378        77,462   

Medifast, Inc. *

     54,482        1,262,893   

Molina Healthcare, Inc. *

     41,979        1,339,550   

Myriad Genetics, Inc. *

     45,199        1,148,959   

PAREXEL International Corp. *

     37,385        1,296,886   
 

 

The accompanying notes are an integral part of the financial statements.

 

8

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013 (UNAUDITED)

 

    NUMBER
OF SHARES		     VALUE  
   

CONSUMER GROWTH—(CONTINUED)

  

Providence Service Corp., (The) *

     42,633      $ 728,172   

Santarus, Inc. *

     7,343        97,442   

Select Medical Holdings Corp.

     144,533        1,335,485   

SurModics, Inc. *

     53,097        1,346,540   

Syneron Medical Ltd. *

     35,700        366,639   

Thoratec Corp. *

     36,514        1,285,658   

Vascular Solutions, Inc. *

     31,956        485,092   

Warner Chilcott PLC, Class A

     91,486        1,235,976   

West Pharmaceutical Services, Inc.

     12,950        782,439   
   

 

 

  
    30,916,977   
   

 

 

  

ENERGY—5.6%

  

Advanced Energy Industries, Inc. *

     85,317        1,539,119   

Alon USA Energy, Inc.

     83,154        1,620,671   

Cosan Ltd., Class A

     53,110        1,091,942   

Global Geophysical Services, Inc. *

     12,582        29,442   

Green Plains Renewable Energy, Inc. *

     12,283        116,320   

Matrix Service Co. *

     100        1,556   

Penn Virginia Corp.

     330        1,343   

Petrobras Argentina SA, ADR *

     27,436        127,303   

Tesoro Corp.

     23,240        1,307,018   

Western Refining, Inc.

     50,042        1,796,007   
   

 

 

  
    7,630,721   
   

 

 

  

FINANCIAL—17.8%

  

Altisource Asset Management Corp. *

     854        110,807   

Artio Global Investors, Inc.

     34,532        93,927   

Axis Capital Holdings Ltd.

     26,509        1,079,712   

BBVA Banco Frances SA, ADR *

     16,746        67,654   

Calamos Asset Management, Inc., Class A

     119,843        1,339,845   

Cardinal Financial Corp.

     9,632        153,438   

Consumer Portfolio Services, Inc. *

     154,031        1,270,756   
    NUMBER
OF SHARES		     VALUE  
   

FINANCIAL—(CONTINUED)

  

Ellie Mae, Inc. *

     43,085      $ 874,626   

Erie Indemnity Co., Class A

     14,887        1,089,728   

Euronet Worldwide, Inc. *

     53,266        1,285,841   

First American Financial Corp.

     52,089        1,265,242   

Genworth Financial, Inc., Class A *

     220,200        1,880,508   

Interactive Brokers Group, Inc., Class A

     84,405        1,241,598   

Investment Technology Group, Inc. *

     103,555        1,254,051   

LPL Financial Holdings, Inc.

     22,132        697,822   

MCG Capital Corp.

     13,066        58,797   

Meadowbrook Insurance Group, Inc.

     68,642        482,553   

Nelnet, Inc., Class A *

     39,023        1,294,783   

Ocwen Financial Corp.

     28,669        1,130,132   

Old Republic International Corp.

     104,020        1,249,280   

Phoenix Cos, Inc. (The) *

     15,547        390,230   

Piper Jaffray Cos., Inc. *

     32,870        1,267,796   

Provident Financial Holdings, Inc.

     60,132        1,028,257   

Safety Insurance Group, Inc.

     10,233        480,951   

Stewart Information Services Corp.

     49,653        1,149,467   

SWS Group, Inc. *

     11,605        74,388   

Tree.com, Inc.

     17,050        297,182   

United Fire Group, Inc.

     25,618        629,690   

Washington Federal, Inc.

     64,215        1,126,973   
   

 

 

  
    24,366,034   
   

 

 

  

INDUSTRIAL—18.6%

  

AAON, Inc.

     9,367        225,370   

AECOM Technology, Corp. *

     12,785        387,512   

AerCap Holdings N.V. *

     83,347        1,293,545   

AGCO Corp.

     1,849        95,187   

AMERCO, Inc.

     9,255        1,394,821   

American Railcar Industries, Inc.

     32,344        1,411,492   

Argan, Inc.

     23,002        384,823   
 

 

The accompanying notes are an integral part of the financial statements.

 

9

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

PORTFOLIO OF INVESTMENTS (CONCLUDED)

FEBRUARY 28, 2013 (UNAUDITED)

 

    NUMBER
OF SHARES		     VALUE  
   

INDUSTRIAL—(CONTINUED)

    

Barrett Business Services, Inc.

     28,568      $ 1,247,850   

Corelogic, Inc. *

     49,759        1,289,256   

Crane Co.

     8,434        453,581   

EnerNOC, Inc. *

     1,200        19,788   

Exelis, Inc.

     9,500        98,040   

Graphic Packaging Holding Co. *

     167,604        1,243,622   

Insteel Industries, Inc.

     30,120        478,607   

LB Foster Co., Class A

     21,714        958,890   

Manitowoc Co., Inc. (The)

     77,339        1,432,318   

Mueller Water Products, Inc., Class A

     227,636        1,279,314   

MYR Group, Inc. *

     53,065        1,231,639   

NACCO Industries, Inc., Class A

     6,333        367,884   

Perceptron, Inc.

     19,868        122,784   

Ryder System, Inc.

     23,734        1,333,851   

Spirit Aerosystems Holdings, Inc., Class A *

     43,517        757,631   

Stealthgas, Inc. *

     111,674        1,169,227   

Steelcase, Inc., Class A

     115,067        1,628,198   

Swift Transportation Co. *

     99,954        1,352,378   

Taser International, Inc. *

     181,593        1,352,868   

UniFirst Corp.

     15,162        1,266,633   

Viad Corp.

     46,381        1,273,622   
   

 

 

  
    25,550,731   
   

 

 

  

TECHNOLOGY—14.2%

    

Aspen Technology, Inc. *

     42,624        1,311,113   

Benchmark Electronics, Inc. *

     7,095        123,595   

Brightcove, Inc. *

     114,158        719,195   

Brocade Communications Systems, Inc. *

     219,236        1,229,914   

Cbeyond, Inc. *

     14,393        101,039   

Concurrent Computer Corp.

     128,015        894,825   

Cray, Inc. *

     72,730        1,407,326   

Daktronics, Inc.

     120,885        1,234,236   

EarthLink, Inc.

     215,210        1,250,370   

Giant Interactive Group, Inc., ADR

     42,758        265,100   

IDT Corp., Class B

     24,990        252,649   

Infoblox, Inc. *

     59,925        1,263,818   
    NUMBER
OF SHARES		     VALUE  
   

TECHNOLOGY—(CONTINUED)

    

Kulicke & Soffa Industries, Inc. *

     115,018      $ 1,244,495   

LSI Corp. *

     159,934        1,113,141   

Magnachip Semiconductor Corp. *

     88,057        1,386,898   

Manhattan Associates, Inc. *

     2,285        159,630   

Move, Inc. *

     51,917        506,710   

NetSol Technologies, Inc. *

     13,873        160,649   

ReachLocal, Inc. *

     36,834        461,530   

RF Micro Devices, Inc. *

     147,769        681,215   

Sierra Wireless, Inc. (CA) *

     14,034        158,444   

Spansion, Inc., Class A *

     1,700        19,992   

support.com, Inc. *

     4,040        15,756   

Telenav, Inc. *

     123,287        876,571   

Unisys Corp. *

     56,391        1,295,865   

United Online, Inc.

     216,595        1,277,911   
   

 

 

  
      19,411,987   
   

 

 

  

UTILITY—0.4%

    

Atlantic Tele-Network, Inc.

     1,460        68,619   

Just Energy Group, Inc. (CA)

     58,230        437,890   

NV Energy, Inc.

     2,089        41,279   

PNM Resources, Inc.

     834        18,732   
   

 

 

  
      566,520   
   

 

 

  

TOTAL COMMON STOCKS
(Cost $119,178,116)

   

     134,887,444   
   

 

 

  

SHORT-TERM INVESTMENTS—1.6%

  

BofA Cash Reserves Fund

     2,191,722        2,191,722   
   

 

 

  

TOTAL SHORT-TERM INVESTMENTS
(Cost $2,191,722)

   

     2,191,722   
   

 

 

  

TOTAL INVESTMENTS—100.1%
(Cost $121,369,838)

   

     137,079,166   
   

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS—(0.1)%

   

     (136,682 ) 
   

 

 

  

NET ASSETS—100.0%

  

   $ 136,942,484   
   

 

 

  

 

* Non-income producing.

ADR — American Depositary Receipt.

SP ADR — Sponsored American Depositary Receipt.

 

 

The accompanying notes are an integral part of the financial statements.

 

10

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

STATEMENT OF ASSETS AND LIABILITIES

FEBRUARY 28, 2013

(UNAUDITED)

 

ASSETS

  

Investments, at value (cost $121,369,838)

    $ 137,079,166   

Receivables for:

   

Investments sold

      4,128,103   

Capital shares sold

      178,371   

Dividends and interest

      93,235   

Prepaid expenses and other assets

      26,170   
  

 

 

  

Total assets

      141,505,045   
  

 

 

  

LIABILITIES

   

Payables for:

   

Investments purchased

      4,221,847   

Capital shares redeemed

      146,535   

Investment advisory fees and shareholder servicing fees

      94,042   

Directors’ and officers’ fees

      964   

Other accrued expenses and liabilities

      99,173   
  

 

 

  

Total liabilities

      4,562,561   
  

 

 

  

Net assets

    $ 136,942,484   
  

 

 

  

NET ASSETS CONSIST OF

   

Capital stock, $0.001 par value

    $ 5,376   

Paid-in capital

      149,329,738   

Undistributed net investment income

      495,323   

Accumulated net realized loss from investments

      (28,597,281 ) 

Net unrealized appreciation on investments

      15,709,328   
  

 

 

  

Net assets

    $ 136,942,484   
  

 

 

  

INSTITUTIONAL CLASS

   

Net assets

    $ 70,671,173   
  

 

 

  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      2,752,879   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 25.67   
  

 

 

  

INVESTOR CLASS

   

Net assets

    $ 66,271,311   
  

 

 

  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      2,622,642   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 25.27   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

11

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

STATEMENT OF OPERATIONS

FOR THE SIX MONTHS ENDED FEBRUARY 28, 2013

(UNAUDITED)

 

INVESTMENT INCOME

   

Dividends Interest (net of foreign withholding taxes of $6,986)

    $ 1,392,036   
  

 

 

  

Total investment income

      1,392,036   
  

 

 

  

EXPENSES

   

Advisory fees

      580,499   

Administration and accounting fees

      91,261   

Transfer agent fees

      75,946   

Shareholder servicing fees (Investor Class)

      30,316   

Professional fees

      24,091   

Custodian fees

      20,165   

Registration and filing fees

      16,009   

Printing and shareholder reporting fees

      15,046   

Directors’ and officers’ fees

      14,864   

Insurance fees

      5,283   

Other expenses

      2,222   
  

 

 

  

Total expenses before waivers

      875,702   

Less: waivers

      (119,762 ) 
  

 

 

  

Net expenses after waivers

      755,940   
  

 

 

  

Net investment income

      636,096   
  

 

 

  

NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS

   

Net realized gain from investments

      9,849,095   

Net change in unrealized appreciation on investments

      8,653,028   
  

 

 

  

Net realized and unrealized gain from investments

      18,502,123   
  

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 19,138,219   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

12

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

STATEMENT OF CHANGES IN NET ASSETS

 

     FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2013
(UNAUDITED)		      FOR THE
YEAR ENDED
AUGUST 31, 2012		  

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

      

Net investment income/(loss)

    $ 636,096       $ (299,764 ) 

Net realized gain from investments

      9,849,095         1,901,161   

Net change in unrealized appreciation on investments

      8,653,028         9,693,740   
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      19,138,219         11,295,137   
  

 

 

     

 

 

  

INCREASE/(DECREASE) IN NET ASSETS DERIVED
FROM CAPITAL TRANSACTIONS:

      

Institutional Class

      

Proceeds from shares sold

      18,943,987         11,052,767   

Distributions for shares redeemed

      (5,903,849 )       (5,824,270 ) 
  

 

 

     

 

 

  

Total Institutional Class

      13,040,138         5,228,497   

Investor Class

      

Proceeds from shares sold

      4,684,344         2,489,549   

Distributions for shares redeemed

      (6,457,563 )       (24,904,604 ) 
  

 

 

     

 

 

  

Total Investor Class

      (1,773,219 )       (22,415,055 ) 
  

 

 

     

 

 

  

Net increase/(decrease) in net assets from capital share transactions

      11,266,919         (17,186,558 ) 
  

 

 

     

 

 

  

Total increase/(decrease) in net assets

      30,405,138         (5,891,421 ) 

NET ASSETS

      

Beginning of period

      106,537,346         112,428,767   
  

 

 

     

 

 

  

End of period

    $ 136,942,484       $ 106,537,346   
  

 

 

     

 

 

  

Undistributed accumulated net investment income/(loss), end of period

    $ 495,323       $ (140,773 ) 
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

13

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

STATEMENT OF CHANGES IN NET ASSETS (CONCLUDED)

 

     FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2013
(UNAUDITED)		      FOR THE
YEAR ENDED
AUGUST 31, 2012		  

INCREASE/(DECREASE) IN SHARES OUTSTANDING
DERIVED FROM SHARE TRANSACTIONS:

      

Institutional Class

      

Shares sold

      765,916         542,636   

Shares redeemed

      (243,289 )       (286,909 ) 
  

 

 

     

 

 

  

Total Institutional Class

      522,627         255,727   

Investor Class

      

Shares sold

      192,570         123,453   

Shares redeemed

      (277,625 )       (1,297,522 ) 
  

 

 

     

 

 

  

Total Investor Class

      (85,055 )       (1,174,069 ) 
  

 

 

     

 

 

  

Total increase/(decrease) in shares outstanding derived from share transactions

      437,572         (918,342 ) 
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

14

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS

 

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

     INSTITUTIONAL CLASS  
     FOR  THE
SIX MONTHS
ENDED
2/28/13		     FOR  THE
YEAR
ENDED
8/31/12		     FOR  THE
YEAR
ENDED
8/31/11		     FOR  THE
YEAR
ENDED
8/31/10		     FOR  THE
YEAR
ENDED
8/31/09		     FOR  THE
YEAR
ENDED
8/31/08		  
     (UNAUDITED)                                

PER SHARE OPERATING PERFORMANCE

             

Net asset value, beginning of period

    $ 21.76      $ 19.38      $ 14.81      $ 14.03      $ 17.35      $ 24.61   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment gain/(loss)*

      0.13        (0.04 )      (0.10 )      (0.07 )      (0.05 )      (0.13 ) 

Net realized and unrealized gain/(loss) from investments

   

 

3.78

  

     2.42        4.67        0.85        (3.27 )      (3.99 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets
resulting from operations

   

 

3.91

  

     2.38        4.57        0.78        (3.32 )      (4.12 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders from:

             

Net realized capital gains

      —        —        —        —        —        (3.14 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

    $ 25.67      $ 21.76      $ 19.38      $ 14.81      $ 14.03      $ 17.35   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(1)

      17.97 %(2)      12.28 %      30.86 %      5.56 %      (19.08 )%      (19.33 )% 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

RATIOS/SUPPLEMENTAL DATA

             

Net assets, end of period
(000’s omitted)

    $ 70,671      $ 48,526      $ 38,274      $ 31,714      $ 35,571      $ 84,546   

Ratio of expenses to average net assets
with waivers and reimbursements

      1.25 %(3)      1.25 %      1.25 %      1.25 %      1.25 %      1.25 % 

Ratio of expenses to average net assets
without waivers and reimbursements

      1.45 %(3)      1.51 %      1.44 %      1.51 %      1.57 %      1.44 % 

Ratio of net investment gain/(loss) to average net assets

      1.15 %(3)      (0.21 )%      (0.48 )%      (0.48 )%      (0.44 )%      (0.64 )% 

Portfolio turnover rate

      119.44 %(2)      288.88 %      302.71 %      196.03 %      159.14 %      162.10 % 

 

* Calculated based on average shares outstanding for the period.

 

(1) 

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(2) 

Not annualized

 

(3) 

Annualized

 

The accompanying notes are an integral part of the financial statements.

 

15

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

FINANCIAL HIGHLIGHTS

 

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

     INVESTOR CLASS  
     FOR  THE
SIX MONTHS
ENDED
2/28/13		     FOR  THE
YEAR
ENDED
8/31/12		     FOR  THE
YEAR
ENDED
8/31/11		     FOR  THE
YEAR
ENDED
8/31/10		     FOR  THE
YEAR
ENDED
8/31/09		     FOR  THE
YEAR
ENDED
8/31/08		  
     (UNAUDITED)                                

PER SHARE OPERATING PERFORMANCE

             

Net asset value, beginning of period

    $ 21.42      $ 19.10      $ 14.61      $ 13.86      $ 17.14      $ 24.38   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment gain/(loss)*

      0.12        (0.07 )      (0.12 )      (0.09 )      (0.06 )      (0.14 ) 

Net realized and unrealized gain/(loss)
from investments

   

 

3.73

  

     2.39        4.61        0.84        (3.22 )      (3.96 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets
resulting from operations

   

 

3.85

  

     2.32        4.49        0.75        (3.28 )      (4.10 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Distributions to shareholders from:

             

Net realized capital gains

      —        —        —        —        —        (3.14 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

    $ 25.27      $ 21.42      $ 19.10      $ 14.61      $ 13.86      $ 17.14   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(1)

      17.97 %(2)      12.15 %      30.73 %      5.41 %      (19.14 )%      (19.45 )% 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

RATIOS/SUPPLEMENTAL DATA

             

Net assets, end of period (000’s omitted)

    $ 66,271      $ 58,011      $ 74,155      $ 48,446      $ 53,379      $ 82,477   

Ratio of expenses to average net assets
with waivers and reimbursements

      1.35 %(3)      1.35 %      1.35 %      1.35 %      1.35 %      1.35 % 

Ratio of expenses to average net assets
without waivers and reimbursements

      1.55 %(3)      1.60 %      1.54 %      1.62 %      1.67 %      1.54 % 

Ratio of net investment gain/(loss) to average net assets

      1.05 %(3)      (0.36 )%      (0.58 )%      (0.58 )%      (0.56 )%      (0.74 )% 

Portfolio turnover rate

      119.44 %(2)      288.88 %      302.71 %      196.03 %      159.14 %      162.10 % 

 

* Calculated based on average shares outstanding for the period.

 

(1) 

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

 

(2) 

Not annualized

 

(3) 

Annualized

 

The accompanying notes are an integral part of the financial statements.

 

16

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS

(UNAUDITED)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Bogle Investment Management Small Cap Growth Fund (the “Fund”), which commenced investment operations on October 1, 1999. As of the date hereof, the Fund offers two classes of shares, Institutional Class and Investor Class.

RBB has authorized capital of one hundred billion shares of common stock of which 8.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Investments in other open-end investment companies are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by RBB’s Board of Directors (the “Board”). Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

FAIR VALUE MEASUREMENTS — The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

  • Level 1 – quoted prices in active markets for identical securities;

 

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

 

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

 

17

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(UNAUDITED)

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Fund’s investments carried at fair value:

 

      Total
Value at
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

TOTAL INVESTMENTS*

      $137,079,166         $137,079,166         $                    —         $                    —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for security type and sector classification breakout.

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Fund.

 

18

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(UNAUDITED)

 

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. The Fund’s net investment income (other than class specific shareholder servicing fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily for the purpose of determining the NAV of the Fund.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, will be declared and paid at least annually to shareholders and recorded on the ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

CASH AND CASH EQUIVALENTS — The Fund considers liquid assets deposited into bank demand deposit accounts to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

19

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(UNAUDITED)

 

 

2. INVESTMENT ADVISER AND OTHER SERVICES

Bogle Investment Management, L.P. (the “Adviser” or “Bogle”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 1.00% of the Fund’s average daily net assets.

The Adviser has contractually agreed to waive management fees and reimburse expenses to the extent that total annual Fund operating expenses (excluding certain items discussed below) exceed 1.25% and 1.35% for the Institutional Class and Investor Class, respectively. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2013 and may not be terminated without the approval of the Board. The Adviser may discontinue these arrangements at any time after December 31, 2013.

The contractual fee waiver does not provide for recoupment of fees that were waived or expenses that were reimbursed. For the six months ended February 28, 2013, investment advisory fees and waivers of the Fund were as follows:

 

GROSS
ADVISORY FEES		     WAIVERS     NET
ADVISORY FEES		  
$ 580,499      $ (112,506 )    $ 467,993   

The Fund will not pay the Adviser at a later time for any amounts waived or any amounts assumed.

In addition to serving as the Fund’s investment adviser, the Adviser provides certain shareholder services to the Investor Class of the Fund. As compensation for such services, the Adviser receives a monthly fee equal to an annual rate of 0.10% of the average daily net assets of the Fund’s Investor Class.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

BNY Mellon has voluntarily agreed to waive a portion of its administration and accounting fees for the Fund. For the six months ended February 28, 2013, administration and accounting fees and waivers of the Fund were as follows:

 

GROSS ADMINISTRATION
AND  ACCOUNTING
FEES		     WAIVERS     NET ADMINISTRATION
AND  ACCOUNTING
FEES		  
$ 91,261      $ (7,256 )    $ 84,005   

Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

 

20

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(UNAUDITED)

 

In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

The Fund will not pay The Bank of New York Mellon Corporation or any of its members or BNY Mellon’s affiliates at a later time for any amounts waived or any amounts assumed.

Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

 

3. DIRECTOR COMPENSATION

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2013 was $7,668. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Fund or the Company.

 

4. INVESTMENT IN SECURITIES

For the six months ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

INVESTMENT SECURITIES  
PURCHASES     SALES  
$ 150,090,050      $ 138,479,849   

 

5. FEDERAL INCOME TAX INFORMATION

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

21

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONTINUED)

(UNAUDITED)

 

As of February 28, 2013, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:

 

FEDERAL TAX
COST		     UNREALIZED
APPRECIATION		     UNREALIZED
DEPRECIATION		     NET UNREALIZED
APPRECIATION		  
$ 121,369,838      $ 18,131,278      $ (2,421,950 )    $ 15,709,328   

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

CAPITAL LOSS
CARRYFORWARD		     UNDISTRIBUTED
ORDINARY INCOME		     UNDISTRIBUTED
LONG-TERM  GAINS		     UNREALIZED
APPRECIATION		  
$ (37,834,958 )    $ —      $ —      $ 6,444,882   

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Funds’ first fiscal year end subject to the Modernization Act was August 31, 2012.

As of August 31, 2012, the Fund had the following pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.

 

AUGUST 31, 2017     AUGUST 31, 2018     TOTAL  
$ 11,517,227      $ 26,317,731      $ 37,834,958   

 

22

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

NOTES TO FINANCIAL STATEMENTS (CONCLUDED)

(UNAUDITED)

 

As of August 31, 2012, the Fund did not have any post-enactment capital loss carryforwards.

 

6. SUBSEQUENT EVENT

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

 

23

BOGLE INVESTMENT MANAGEMENT

SMALL CAP GROWTH FUND

OTHER INFORMATION

(UNAUDITED)

 

PROXY VOTING

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (877) 264-5346 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

QUARTERLY PORTFOLIO SCHEDULES

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

 

24

Investment Adviser

Bogle Investment Management, L.P.

2310 Washington Street

Suite 310

Newton Lower Falls, MA 02462

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Two Commerce Square, Suite 1700

2001 Market Street

Philadelphia, PA 19103-7042

Counsel

Drinker Biddle & Reath LLP

One Logan Square

Suite 2000

Philadelphia, PA 19103-6996

 

 

BOGLE INVESTMENT MANAGEMENT

SMALL CAP

GROWTH FUND

of THE RBB FUND, INC.

SEMI-ANNUAL REPORT

FEBRUARY 28, 2013

(UNAUDITED)

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

FREE MARKET FUNDS

Semi-Annual Investment Adviser’s Report

February 28, 2013

(Unaudited)

 

Dear Fellow Shareholder,

The Free Market Funds (the “Funds”) have continued to gain assets and have surpassed the $3 billion mark. We would like to extend a warm and grateful thank you to all investors who have embraced our Free Market Portfolio Strategies.

For the six months ended February 28 ,2013, investors who remained invested and diversified have continued to experience the gains from the upward rally (despite a few bumps along the way) that started at the end of 2011. Global equity markets for over the six-month period have risen 11.25% as measured by the MSCI All Country World Index. Furthermore, U.S. stocks also performed well but did trail international markets slightly over the reporting period. The Barclays Capital US Government/Credit Intermediate Bond Index was also in the positive with a return of 0.70% for the reporting period.

Matson Money, Inc. (“Matson Money”) strives to deliver the performance of capital markets and add value through Free Market Investment strategies and Structured Market Portfolios. Grounded in the conviction that Free Markets work, Matson Money avoids the cost-generating activity of stock picking and market timing. Instead, we focus on the dimensions of capital markets that we believe reward investors as intelligently and effectively as possible. Our disciplined approach to life-long investing provides both the individual investor and the financial professional with the academic foundation upon which to help achieve investment goals.

Sound economic and financial research has documented that, over the long term, small cap stocks outperform large cap stocks, and value stocks outperform growth stocks. These returns seem to be compensation for risk. In fixed income, risk is well described by bond maturity and credit quality. Matson Money’s vehicles deliberately target specific risk and return trade offs. The Funds are broadly diversified and designed to work together in your total investment plan.

We invite you to contact your financial professional or explore our website, www.MatsonMoney.com, to learn more about the concepts and strategies of Matson Money’s investing.

We appreciate your support and confidence in our firm’s investment philosophy, process and people.

 

LOGO

Daniel J List

Chief Compliance Officer and

Director of Portfolio Management

Matson Money, Inc.

 

1

FREE MARKET FUNDS

Performance Data

(Unaudited)

                                         Free Market U.S. Equity Fund                                        

 

Total Returns for the Period Ended February 28, 2013               
                                             Average Annual                                        
      Six
Months*		     1 Year     3 Years     5 Years     Since
Inception**		       

Free Market U.S. Equity Fund

      14.38%        16.47%        14.69%        6.25%        6.56%       

Russell 2500® Index

      14.32%        15.17%        15.75%        7.92%        5.78%       

Composite Index***

      12.44%        15.45%        13.88%        5.76%        3.70%       

 

* Not annualized.
** Annualized — The Fund commenced operations on December 31, 2007.
***

The Composite Index is comprised of the S&P 500® Index, Russell 1000® Index and Russell 2000® Value Index, each weighted 25%, 25% and 25%, respectively.

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus, is 0.96% (included in the ratio is 0.32% attributable to acquired fund fees and expenses).

The Fund’s aggregate total return since inception is based on a increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $13.14 per share on February 28, 2013.

The Free Market U.S. Equity Fund’s underlying fund’s invest in small-cap and micro-cap stocks, large-cap and other equity securities. In addition to the ordinary risks of equity investing, small companies entail special risk. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses.

                                         Free Market International Equity Fund                                        

 

Total Returns for the Period Ended February 28, 2013            
                     Average Annual          
      Six
Months*		      1 Year      3 Years      5 Years      Since
Inception**		  

Free Market International Equity Fund

      16.12%         6.95%         6.87%         0.17%         0.28%   

MSCI World (excluding U.S.) Index

      13.37%         8.75%         6.70%         -1.19%         -2.60%   

Composite Index***

      14.88%         7.63%         7.46%         -0.13%         -1.57%   

 

* Not annualized.
** Annualized — The Fund commenced operations on December 31, 2007.
*** The Composite Index is comprised of the MSCI EAFE Index, MSCI EAFE Value Index, MSCI EAFE Small Company Index, and MSCI Emerging Markets Free Index, each weighted 25%, 25%, 25% and 25%, respectively.

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus, is 1.17% (included in the ratio is 0.52% attributable to acquired fund fees and expenses).

The Fund’s aggregate total return since inception is based on a decrease in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $9.10 per share on February 28, 2013.

Portfolio composition is subject to change.

The Free Market International Equity Fund’s underlying funds invest in common stock, preferred stock, securities convertible into stocks and other equity securities issued by foreign companies. In addition to the ordinary risks of equity investing, foreign and small companies entail special risk. The return on foreign equities may be adversely affected by currency fluctuations. Emerging markets may be subject to social instability and lack of market liquidity. Small companies tend to have more risk than large companies. An investor in the Fund will incur the expenses of the underlying funds in addition to the Fund expenses.

 

2

FREE MARKET FUNDS

Performance Data

(Unaudited)

                                         Free Market Fixed Income Fund                                        

 

Total Returns for the Period Ended February 28, 2013   
                                             Average Annual                              
      Six
Months*		     1 Year     3 Years     5 Years     Since
Inception**		  

Free Market Fixed Income Fund

      0.14%        1.43%        2.23%        2.57%        2.56%   

Citigroup World Govt. Bond 1-5 Year Currency Hedged U.S. Dollar Index

      0.73%        1.64%        1.91%        2.63%        2.97%   

Composite Index***

      0.18%        1.63%        2.83%        3.10%        3.42%   

 

* Not annualized.
** Annualized — The Fund commenced operations on December 31, 2007.
*** The Composite Index is comprised of the Three-Month Treasury Bill Index, Barclays Capital Intermediate Government Bond Index, BofA Merrill Lynch 1-3 Year US Government/Corporate Index and Barclays Capital Aggregate Bond Index, each weighted 25%, 25% and 25%, respectively.

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-866-780-0357 ext. 3863. The Fund’s annual operating expense ratio, as stated in the current prospectus, is 0.82% (included in the ratio is 0.19% attributable to acquired fund fees and expenses).

The Fund’s aggregate total return since inception is based on an increase in net asset value from $10.00 per share on December 31, 2007 (commencement of operations) to $10.41 per share on February 28, 2013.

Portfolio composition is subject to change.

The Free Market Fixed Income Fund’s underlying funds invest in fixed income securities. The underlying funds may invest their assets and bonds and other debt securities issued by domestic and foreign governments and companies. Debt instruments involve the risk that their prices will fall when interest rates rise, and they are subject to the risk that the borrower may default. In addition, the return on foreign debt securities may be adversely affected by currency fluctuations. An investor in the Fund will incur expenses of the underlying funds in addition to the Fund expenses.

 

3

FREE MARKET FUNDS

Fund Expense Examples

(Unaudited)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013, and held for the entire period.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Free Market U.S. Equity Fund  
     Beginning Account Value
September 1, 2012		        Ending Account Value
February 28, 2013		        Expenses Paid
During Period*		  

Actual

    $ 1,000.00         $ 1,143.80         $ 3.35   

Hypothetical (5% return before expenses)

      1,000.00           1,021.67           3.16   
     Free Market International Equity Fund  
     Beginning Account Value
September 1, 2012		        Ending Account Value
February 28, 2013		        Expenses Paid
During Period*		  

Actual

    $ 1,000.00         $ 1,161.20         $ 3.43   

Hypothetical (5% return before expenses)

      1,000.00           1,021.62           3.21   

 

4

FREE MARKET FUNDS

Fund Expense Examples (Concluded)

(Unaudited)

 

 

     Free Market Fixed Income Fund  
     Beginning Account Value
September 1, 2012		        Ending Account Value
February 28, 2013		        Expenses Paid
During Period*		  

Actual

    $ 1,000.00         $ 1,001.40         $ 3.13   

Hypothetical (5% return before expenses)

      1,000.00           1,021.67           3.16   

 

* Expenses are equal to an annualized six-month expense ratio of 0.63% for the Free Market U.S. Equity Fund, 0.64% for the Free Market International Equity Fund and 0.63% for the Free Market Fixed Income Fund, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The annualized expense ratios do not reflect fees and expenses associated with the underlying funds. If such fees and expenses had been included, the expenses would have been higher. The range of weighted expense ratios of the underlying funds held by the Funds, as stated in their current prospectuses, were as follows:

 

Free Market U.S.
Equity Fund

   Free Market International
Equity Fund		   Free Market Fixed
Income Fund
0.01%-0.13%   0.01%-0.28%   0.01%-0.07%

Each Fund’s ending account values on the first line in each table are based on the actual six-month total return for each Fund of 14.38% for the Free Market U.S. Equity Fund, 16.12% for the Free Market International Equity Fund and 0.14% for the Free Market Fixed Income Fund.

 

5

FREE MARKET FUNDS

FREE MARKET U.S. EQUITY FUND

Portfolio of Investments

February 28, 2013 (Unaudited)

 

    Number of
Shares		     Value  

EQUITY FUNDS — 99.8%

    

U.S. Large Cap Value
Portfolio III(a)

     18,023,214      $ 342,260,829   

U.S. Large Company Portfolio(a)

     14,243,354        170,350,512   

U.S. Micro Cap Portfolio(b)

     10,921,930        170,382,103   

U.S. Small Cap Portfolio(b)

     7,013,723        170,643,891   

U.S. Small Cap Value
Portfolio(b)

     10,025,655        284,929,122   
   

 

 

  

TOTAL EQUITY FUNDS (Cost $855,443,461)

       1,138,566,457   
   

 

 

  

TOTAL INVESTMENTS — 99.8%

  

  

(Cost $855,443,461)

       1,138,566,457   
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

       1,932,382   
   

 

 

  

NET ASSETS — 100.0%

     $ 1,140,498,839   
   

 

 

  

Portfolio Holdings Summary Table

 

    % of
Net Assets		     Value  

Equity Funds

     99.8%      $ 1,138,566,457   

Other Assets In Excess of Liabilities

     0.2%        1,932,382   
 

 

 

    

 

 

  

NET ASSETS

     100.0%      $ 1,140,498,839   
 

 

 

    

 

 

  

 

 

(a) A portfolio of Dimensional Investment Group Inc.
(b) A portfolio of DFA Investment Dimensions Group Inc.

Portfolio holdings are subject to change at any time.

 

 

The accompanying notes are an integral part of the financial statements.

 

6

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

Portfolio of Investments

February 28, 2013 (Unaudited)

 

    Number of
Shares		     Value  

INTERNATIONAL EQUITY FUNDS — 99.8%

  

  

Asia Pacific Small Company Portfolio(a)

     430,037      $ 10,806,823   

Canadian Small Company Series(c)

     948,569        10,148,156   

Continental Small Company Portfolio(a)

     1,514,824        24,994,600   

Continental Small Company
Series(c)

     25,888        1,273,257   

DFA International Small Cap Value Portfolio(a)

     19,676,946        332,540,390   

DFA International Value
Portfolio III(b)

     16,095,314        248,511,641   

Emerging Markets
Portfolio(a)

     1,595,686        43,642,022   

Emerging Markets Small Cap Portfolio(a)

     1,887,376        41,107,050   

Emerging Markets Value
Portfolio(a)

     1,359,946        40,539,981   

Japanese Small Company
Portfolio(a)

     1,168,989        19,288,318   

Large Cap International Portfolio(a)

     2,103,910        41,552,225   

United Kingdom Small Company Portfolio(a)

     267,400        8,000,609   

United Kingdom Small Company Series(c)

     156,027        7,203,758   
   

 

 

  

TOTAL INTERNATIONAL EQUITY FUNDS

  

  

(Cost $755,395,242)

       829,608,830   
   

 

 

  

TOTAL INVESTMENTS — 99.8%

  

  

(Cost $755,395,242)

       829,608,830   
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2%

       1,329,915   
   

 

 

  

NET ASSETS — 100.0%

     $ 830,938,745   
   

 

 

  

Portfolio Holdings Summary Table

 

    % of
Net Assets		     Value  

International Equity Funds

     99.8%      $ 829,608,830   

Other Assets In Excess of Liabilities

     0.2%        1,329,915   
 

 

 

    

 

 

  

NET ASSETS

     100.0%      $ 830,938,745   
 

 

 

    

 

 

  

 

 

(a) A portfolio of DFA Investment Dimensions Group Inc.
(b) A portfolio of Dimensional Investment Group Inc.
(c) A portfolio of DFA Investment Trust Company.

Portfolio holdings are subject to change at any time.

 

 

The accompanying notes are an integral part of the financial statements.

 

7

FREE MARKET FUNDS

FREE MARKET FIXED INCOME FUND

Portfolio of Investments

February 28, 2013 (Unaudited)

 

    Number of
Shares		     Value  

FIXED INCOME FUNDS — 99.5%

  

  

DFA Five-Year Global
Fixed Income Portfolio(a)

     24,498,839      $ 273,652,032   

DFA Inflation-Protected
Securities Portfolio(a)

     4,309,435        54,859,106   

DFA Intermediate Government
Fixed Income Portfolio(a)

     10,096,285        131,453,630   

DFA One-Year Fixed Income
Portfolio(a)

     25,961,180        268,178,992   

DFA Short-Term
Government Portfolio(a)

     8,104,614        87,367,736   

DFA Two-Year Global
Fixed Income Portfolio(a)

     27,229,058        273,652,032   
   

 

 

  

TOTAL FIXED INCOME FUNDS (Cost $1,081,650,183)

       1,089,163,528   
   

 

 

  

TOTAL INVESTMENTS — 99.5%

  

  

(Cost $1,081,650,183)

       1,089,163,528   
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES — 0.5%

       5,986,398   
   

 

 

  

NET ASSETS — 100.0%

     $ 1,095,149,926   
   

 

 

  

Portfolio Holdings Summary Table

 

    % of
Net Assets		     Value  

Fixed Income Funds

     99.5%      $ 1,089,163,528   

Other Assets In Excess of Liabilities

     0.5%        5,986,398   
 

 

 

    

 

 

  

NET ASSETS

     100.0%      $ 1,095,149,926   
 

 

 

    

 

 

  

 

 

(a) A portfolio of DFA Investment Dimensions Group Inc.

Portfolio holdings are subject to change at any time.

 

 

The accompanying notes are an integral part of the financial statements.

 

8

FREE MARKET FUNDS

Statements of Assets and Liabilities

February 28, 2013 (Unaudited)

 

     Free Market
U.S. Equity
Fund		      Free Market
International
Equity Fund		      Free Market
Fixed Income
Fund		  

ASSETS

         

Investments in non-affiliated funds, at value †

    $ 1,138,566,457       $ 829,608,830       $ 1,089,163,528   

Cash and cash equivalents

      2,682,732         1,930,442         7,951,103   

Receivables

         

Receivable for capital shares sold

      1,249,207         957,457         1,340,539   

Prepaid expenses and other assets

      60,173         51,422         58,874   
  

 

 

     

 

 

     

 

 

  

Total assets

      1,142,558,569         832,548,151         1,098,514,044   
  

 

 

     

 

 

     

 

 

  

LIABILITIES

         

Payables

         

Investments purchased

      1,000,000         883,754         2,277,091   

Capital shares redeemed

      414,768         242,524         478,397   

Investment adviser

      434,321         317,545         410,233   

Administration and accounting fees

      97,559         78,143         95,282   

Other accrued expenses and liabilities

      113,082         87,440         103,115   
  

 

 

     

 

 

     

 

 

  

Total liabilities

      2,059,730         1,609,406         3,364,118   
  

 

 

     

 

 

     

 

 

  

Net assets

    $ 1,140,498,839       $ 830,938,745       $ 1,095,149,926   
  

 

 

     

 

 

     

 

 

  

NET ASSETS CONSISTS OF

         

Par value

    $ 86,827       $ 91,318       $ 105,228   

Paid-in capital

      832,788,441         755,635,295         1,085,606,124   

Accumulated net investment loss

      (1,917,285 )       (850,594 )       (2,522,964 ) 

Accumulated net realized gain from investments

      26,417,860         1,849,138         4,448,193   

Net unrealized appreciation on investments

      283,122,996         74,213,588         7,513,345   
  

 

 

     

 

 

     

 

 

  

Net assets

    $ 1,140,498,839       $ 830,938,745       $ 1,095,149,926   
  

 

 

     

 

 

     

 

 

  

Shares outstanding ($0.001 par value, 200,000,000 shares authorized)

      86,826,767         91,317,915         105,228,388   
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 13.14       $ 9.10       $ 10.41   
  

 

 

     

 

 

     

 

 

  

† Investment in non-affiliated funds, at cost

    $ 855,443,461       $ 755,395,242       $ 1,081,650,183   
  

 

 

     

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

9

FREE MARKET FUNDS

Statements of Operations

For the Six Months Ended February 28, 2013

(Unaudited)

 

     Free Market
U.S. Equity
Fund		        Free Market
International
Equity Fund		        Free Market
Fixed Income
Fund		  

Investment Income

             

Dividends from non-affiliated funds

    $ 12,023,368         $ 8,554,685         $ 8,150,375   

Interest from non-affiliated funds

      42           37           247   
  

 

 

       

 

 

       

 

 

  

Total investment income

      12,023,410           8,554,722           8,150,622   
  

 

 

       

 

 

       

 

 

  

Expenses

             

Advisory fees (Note 2)

      2,523,837           1,849,219           2,484,179   

Administration and accounting fees (Note 2)

      275,868           223,788           274,310   

Transfer agent fees (Note 2)

      143,495           116,317           141,863   

Professional fees

      66,006           42,173           64,209   

Directors’ and officers’ fees

      44,229           38,952           44,752   

Custodian fees (Note 2)

      37,669           30,547           37,311   

Printing and shareholder reporting fees

      36,400           33,598           36,106   

Other expenses

      32,702           51,597           33,197   
  

 

 

       

 

 

       

 

 

  

Total expenses

      3,160,206           2,386,191           3,115,927   
  

 

 

       

 

 

       

 

 

  

Net investment income

      8,863,204           6,168,531           5,034,695   
  

 

 

       

 

 

       

 

 

  

Net realized and unrealized gain/(loss) from investments

             

Net realized gain/(loss) from:

             

Non-affiliated funds

      4,574,201           1,117,524           —   

Capital gain distributions from non-affiliated fund investments

      29,023,726           11,042,893           4,618,659   

Net change in unrealized appreciation/(depreciation) on:

             

Non-affiliated funds

      95,869,795           91,047,733           (8,878,493 ) 
  

 

 

       

 

 

       

 

 

  

Net realized and unrealized gain/(loss) on investments

      129,467,722           103,208,150           (4,259,834 ) 
  

 

 

       

 

 

       

 

 

  

Net increase in net assets resulting from operations

    $ 138,330,926         $ 109,376,681         $ 774,861   
  

 

 

       

 

 

       

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

10

FREE MARKET U.S. EQUITY FUND

Statements of Changes in Net Assets

 

     For the
Six Months Ended
February 28, 2013
(Unaudited)		      For the
Year Ended
August 31, 2012		  

Increase in net assets from operations:

      

Net investment income

    $ 8,863,204       $ 5,924,569   

Net realized gain from investments

      33,597,927         3,410,649   

Net change in unrealized appreciation from investments

      95,869,795         105,383,759   
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      138,330,926         114,718,977   
  

 

 

     

 

 

  

Dividends and distributions to shareholders from:

      

Net investment income

      (12,059,460 )       (4,645,598 ) 

Net realized capital gains

      (6,612,476 )       (5,493,112 ) 
  

 

 

     

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (18,671,936 )       (10,138,710 ) 
  

 

 

     

 

 

  

Capital share transactions:

      

Proceeds from shares sold

      158,991,230         258,102,377   

Reinvestment of distributions

      18,671,936         10,138,710   

Shares redeemed

      (90,337,807 )       (118,454,130 ) 
  

 

 

     

 

 

  

Net increase in net assets from capital shares

      87,325,359         149,786,957   
  

 

 

     

 

 

  

Total increase in net assets

      206,984,349         254,367,224   
  

 

 

     

 

 

  

Net assets:

      

Beginning of period

      933,514,490         679,147,266   
  

 

 

     

 

 

  

End of period

    $ 1,140,498,839       $ 933,514,490   
  

 

 

     

 

 

  

Accumulated/Undistributed net investment income/(loss), end of period

    $ (1,917,285 )     $ 1,278,971   
  

 

 

     

 

 

  

Capital share transactions:

      

Shares sold

      12,821,825         23,791,485   

Dividends and distributions reinvested

      1,519,279         967,434   

Shares redeemed

      (7,315,719 )       (10,712,741 ) 
  

 

 

     

 

 

  

Total share transactions

      7,025,385         14,046,178   
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

11

FREE MARKET INTERNATIONAL EQUITY FUND

Statements of Changes in Net Assets

 

     For the
Six Months Ended
February 28, 2013
(Unaudited)		      For the
Year Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

      

Net investment income

    $ 6,168,531       $ 12,401,565   

Net realized gain from investments

      12,160,417         3,089,680   

Net change in unrealized appreciation (depreciation) from investments

      91,047,733         (38,193,881 ) 
  

 

 

     

 

 

  

Net increase/(decrease) in net assets resulting from operations

      109,376,681         (22,702,636 ) 
  

 

 

     

 

 

  

Dividends and distributions to shareholders from:

      

Net investment income

      (13,261,063 )       (11,517,635 ) 

Net realized capital gains

      (6,448,810 )       (7,200,541 ) 
  

 

 

     

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (19,709,873 )       (18,718,176 ) 
  

 

 

     

 

 

  

Capital share transactions:

      

Proceeds from shares sold

      128,054,532         218,473,669   

Reinvestment of distributions

      19,709,873         18,718,176   

Shares redeemed

      (55,202,851 )       (63,133,169 ) 
  

 

 

     

 

 

  

Net increase in net assets from capital shares

      92,561,554         174,058,676   
  

 

 

     

 

 

  

Total increase in net assets

      182,228,362         132,637,864   
  

 

 

     

 

 

  

Net assets:

      

Beginning of period

      648,710,383         516,072,519   
  

 

 

     

 

 

  

End of period

    $ 830,938,745       $ 648,710,383   
  

 

 

     

 

 

  

Accumulated/Undistributed net investment income/(loss), end of period

    $ (850,594 )     $ 6,241,938   
  

 

 

     

 

 

  

Capital share transactions:

      

Shares sold

      14,688,339         27,183,866   

Dividends and distributions reinvested

      2,234,680         2,482,517   

Shares redeemed

      (6,303,442 )       (7,742,474 ) 
  

 

 

     

 

 

  

Total share transactions

      10,619,577         21,923,909   
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

12

FREE MARKET FIXED INCOME FUND

Statements of Changes in Net Assets

 

     For the
Six Months Ended
February 28, 2013
(Unaudited)		      For the
Year Ended
August 31, 2012		  

Increase in net assets from operations:

      

Net investment income

    $ 5,034,695       $ 9,215,805   

Net realized gain from investments

      4,618,659         7,488,327   

Net change in unrealized appreciation (depreciation) from investments

      (8,878,493 )       124,441   
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      774,861         16,828,573   
  

 

 

     

 

 

  

Dividends and distributions to shareholders from:

      

Net investment income

      (7,743,898 )       (10,592,495 ) 

Net realized capital gains

      (5,959,159 )       (3,877 ) 
  

 

 

     

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (13,703,057 )       (10,596,372 ) 
  

 

 

     

 

 

  

Capital share transactions:

      

Proceeds from shares sold

      211,159,204         315,318,641   

Reinvestment of distributions

      13,703,057         10,596,247   

Shares redeemed

      (63,758,861 )       (146,855,231 ) 
  

 

 

     

 

 

  

Net increase in net assets from capital shares

      161,103,400         179,059,657   
  

 

 

     

 

 

  

Total increase in net assets

      148,175,204         185,291,858   
  

 

 

     

 

 

  

Net assets:

      

Beginning of period

      946,974,722         761,682,864   
  

 

 

     

 

 

  

End of period

    $ 1,095,149,926       $ 946,974,722   
  

 

 

     

 

 

  

Accumulated/Undistributed net investment income/(loss), end of period

    $ (2,522,964 )     $ 186,239   
  

 

 

     

 

 

  

Capital share transactions:

      

Shares sold

      20,186,960         30,200,012   

Dividends and distributions reinvested

      1,315,154         1,020,796   

Shares redeemed

      (6,081,007 )       (14,063,375 ) 
  

 

 

     

 

 

  

Total share transactions

      15,421,107         17,157,433   
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

13

FREE MARKET FUNDS

FREE MARKET U.S. EQUITY FUND

Financial Highlights

 

 

Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

    For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the
Year Ended
August 31, 2012		     For the
Year Ended
August 31, 2011		     For the
Year Ended
August 31, 2010		     For the
Year Ended
August 31, 2009		     For the Period
December 31, 2007(1)
Through
August 31, 2008		  

Per Share Operating Performance

            

Net asset value, beginning of period

   $ 11.70      $ 10.33      $ 8.65      $ 8.21      $ 10.29      $ 10.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     0.11 (2)      0.08 (2)      0.06 (2)      0.02 (2)      0.10 (2)      — (3) 

Net realized and unrealized gain/(loss) on investments

     1.56        1.43        1.68        0.46        (2.09 )      0.29   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets resulting from operations

  

 

1.67

  

     1.51        1.74        0.48        (1.99 )      0.29   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

            

Net investment income

     (0.15 )      (0.06 )      (0.06 )      (0.03 )      (0.09 )      —   

Net realized capital gains

     (0.08 )      (0.08 )      — (4)      —        —        —   

Tax return of capital

     —        —        —        (0.01 )      —        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (0.23 )      (0.14 )      (0.06 )      (0.04 )      (0.09 )      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 13.14      $ 11.70      $ 10.33      $ 8.65      $ 8.21      $ 10.29   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(5)

     14.38 %(6)      14.77 %      20.11 %      5.88 %      (19.19 )%      2.90 %(6) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratio/Supplemental Data

            

Net assets, end of period (000’s omitted)

   $ 1,140,499      $ 933,514      $ 679,147      $ 485,191      $ 312,104      $ 187,039   

Ratio of expenses to average net assets(7)

     0.63 %(8)      0.64 %      0.64 %      0.67 %      0.72 %      0.84 %(8) 

Ratio of net investment income to average net assets(7)

     1.75 %(8)      0.73 %      0.55 %      0.22 %      1.37 %      0.02 %(8) 

Portfolio turnover rate

     3 %(6)      4 %      9 %      3 %      1 %      0 %(6) 

 

(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares outstanding method for the period.
(3) Amount less than $0.005 per share.
(4) Amount less than $(0.005) per share.
(5) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(6) Not annualized.
(7) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.
(8) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

14

FREE MARKET FUNDS

FREE MARKET INTERNATIONAL EQUITY FUND

Financial Highlights

 

 

Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

    For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the
Year Ended
August 31, 2012		     For the
Year Ended
August 31, 2011		     For the
Year Ended
August 31, 2010		     For the
Year Ended
August 31, 2009		     For the Period
December 31, 2007(1)
Through
August 31, 2008		  

Per Share Operating Performance

  

Net asset value, beginning of period

   $ 8.04      $ 8.78      $ 7.97      $ 8.02      $ 8.85      $ 10.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     0.07 (2)      0.18 (2)      0.16 (2)      0.11 (2)      0.13 (2)      0.08   

Net realized and unrealized gain/(loss) on investments

  

 

1.21

  

     (0.64 )      0.78        (0.04 )      (0.85 )      (1.23 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets resulting from operations

     1.28        (0.46 )      0.94        0.07        (0.72 )      (1.15 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

            

Net investment income

     (0.15 )      (0.17 )      (0.13 )      (0.09 )      (0.11 )      —   

Net realized capital gains

     (0.07 )      (0.11 )      —        (0.03 )      —        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (0.22 )      (0.28 )      (0.13 )      (0.12 )      (0.11 )      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 9.10      $ 8.04      $ 8.78      $ 7.97      $ 8.02      $ 8.85   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(3)

     16.12 %(4)      (4.98 )%      11.60 %      0.86 %      (7.71 )%      (11.50 )%(4) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratio/Supplemental Data

            

Net assets, end of period
(000’s omitted)

   $ 830,939      $ 648,710      $ 516,073      $ 365,465      $ 258,632      $ 130,821   

Ratio of expenses to average
net assets(5)

     0.64 %(6)      0.65 %      0.66 %      0.68 %      0.73 %      0.92 %(6) 

Ratio of net investment income to average net assets(5)

     1.67 %(6)      2.21 %      1.66 %      1.29 %      2.01 %      2.94 %(6) 

Portfolio turnover rate

     3 %(4)      3 %      4 %      8 %      2 %      0 %(4) 

 

(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares outstanding method for the period.
(3) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(4) Not annualized.
(5) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.
(6) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

15

FREE MARKET FUNDS

FREE MARKET FIXED INCOME FUND

Financial Highlights

 

 

Contained below is per share operating performance data for each share outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

    For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the
Year Ended
August 31, 2012		     For the
Year Ended
August 31, 2011		     For the
Year Ended
August 31, 2010		     For the
Year Ended
August 31, 2009		     For the Period
December 31, 2007(1)
Through
August 31, 2008		  

Per Share Operating Performance

  

  

Net asset value, beginning of period

   $ 10.54      $ 10.48      $ 10.50      $ 10.35      $ 10.04      $ 10.00   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     0.05 (2)      0.11 (2)      0.12 (2)      0.13 (2)      0.21 (2)      0.02   

Net realized and unrealized gain/(loss) on investments

     (0.04 )      0.09        0.09        0.27        0.25        0.04   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

     0.01        0.20        0.21        0.40        0.46        0.06   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

            

Net investment income

     (0.08 )      (0.14 )      (0.22 )      (0.21 )      (0.15 )      (0.02 ) 

Net realized capital gains

     (0.06 )      — (3)      — (3)      (0.04 )      —        —   

Tax return of capital

     —        —        (0.01 )      —        —        — (3) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (0.14 )      (0.14 )      (0.23 )      (0.25 )      (0.15 )      (0.02 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 10.41      $ 10.54      $ 10.48      $ 10.50      $ 10.35      $ 10.04   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(4)

     0.14 %(5)      1.90 %      2.06 %      3.96 %      4.62 %      0.61 %(5) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratio/Supplemental Data

            

Net assets, end of period
(000’s omitted)

   $ 1,095,150      $ 946,975      $ 761,683      $ 459,282      $ 210,107      $ 128,982   

Ratio of expenses to average
net assets(6)

     0.63 %(7)      0.63 %      0.65 %      0.68 %      0.75 %      0.97 %(7) 

Ratio of net investment income to average net assets(6)

     1.01 %(7)      1.08 %      1.12 %      1.31 %      2.06 %      0.26 %(7) 

Portfolio turnover rate

     0 %(5)      1 %      0 %      1 %      84 %      0 %(5) 

 

(1) Commencement of operations.
(2) The selected per share data was calculated using the average shares outstanding method for the period.
(3) Amount less than $(0.005) per share.
(4) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(5) Not annualized.
(6) The Fund also will indirectly bear its prorated share of expenses of the underlying funds. Such expenses are not included in the calculation of this ratio.
(7) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

16

FREE MARKET FUNDS

Notes to Financial Statements

February 28, 2013

(Unaudited)

 

1. Organization and Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Free Market U.S. Equity Fund, the Free Market International Equity Fund, and the Free Market Fixed Income Fund (each a “Fund,” collectively the “Funds”). Each Fund operates as a “Fund of Funds” and commenced investment operations on December 31, 2007.

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

PORTFOLIO VALUATION — Investments in the underlying funds are valued at each fund’s net asset value determined as of the close of business on the New York Stock Exchange (generally 4:00 p.m. Eastern time). As required, some securities and assets may be valued at fair value as determined in good faith by the Company’s Board of Directors. Direct investments in fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value.

Fair Value Measurements — The inputs and valuations techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

  •    Level 1 — quoted prices in active markets for identical securities;

 

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

 

  •    Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Funds’ investments carried at fair value:

FREE MARKET U.S. EQUITY FUND

 

     Total Value at
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Input		      Level 3
Significant
Unobservable
Input		  

Investments in Securities*

    $ 1,138,566,457       $ 1,138,566,457       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

*Please refer to the Portfolio of Investments for further details.

 

17

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

FREE MARKET INTERNATIONAL EQUITY FUND

 

     Total Value at
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Input		      Level 3
Significant
Unobservable
Input		  

Investments in Securities*

    $ 829,608,830       $ 829,608,830       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

*Please refer to the Portfolio of Investments for further details.

FREE MARKET FIXED INCOME FUND

 

     Total Value at
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Input		      Level 3
Significant
Unobservable
Input		  

Investments in Securities*

    $ 1,089,163,528       $ 1,089,163,528       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

*Please refer to the Portfolio of Investments for further details.

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Funds.

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent

 

18

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — Transactions are accounted for on the trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds estimate the components of distributions received that may be considered return of capital distributions or capital gain distributions. Each Fund’s investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the net asset value of the Funds. In addition to the net annual operating expenses that the Funds bear directly, the shareholders indirectly bear the Funds’ pro-rata expenses of the underlying mutual funds in which each Fund invests.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds with the exception of the Free Market Fixed Income Fund which declares and pays quarterly dividends from net investment income. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

CASH AND CASH EQUIVALENTS — The Funds consider liquid assets deposited with a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.

 

19

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

 

2. Investment Adviser and Other Services

Matson Money, Inc. (“Matson Money” or the “Adviser”), serves as each Fund’s investment adviser. For its advisory services, Matson Money is entitled to receive 0.50% of the first $1 billion of each Fund’s average daily net assets, 0.49% of each Fund’s average daily net assets over $1 billion to $5 billion and 0.47% of each Fund’s average daily net assets over $5 billion, computed daily and payable monthly. Prior to January 1, 2013, the Adviser received 0.50% of each Fund’s average daily net assets computed daily and payable monthly. The Adviser has voluntarily agreed to waive its advisory fee and/or reimburse certain expenses in order to limit total annual fund operating expenses of the Free Market U.S. Equity Fund, the Free Market International Equity Fund and the Free Market Fixed Income Fund to 1.13%, 1.35% and 1.00%, respectively, of the particular Fund’s average daily net assets. The expense limitations include expenses incurred as a result of investing in other investment companies. The Adviser may discontinue these arrangements at any time. The Funds will not pay Matson Money at a later time for any amounts they may waive or any amounts that Matson Money has assumed.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator for the Funds. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets and is subject to certain minimum monthly fees.

Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.

The Bank of New York Mellon (the “Custodian”) provides custodian services to the Funds. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets, subject to certain minimum monthly fees.

Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

3. Director Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2013 was $104,616. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Funds or the Company.

 

20

FREE MARKET FUNDS

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

 

4. Investment in Securities

For the six months ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) of the Funds were as follows:

 

     Purchases        Sales  

Free Market U.S. Equity Fund

    $ 132,355,197         $ 27,156,555   

Free Market International Equity Fund

      111,758,079           25,519,374   

Free Market Fixed Income Fund

      155,892,451           —   

 

5. Federal Income Tax Information

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

As of February 28, 2013, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:

 

     Federal Tax
Cost		      Unrealized
Appreciation		      Unrealized
Depreciation		      Net
Unrealized
Appreciation		  

Free Market U.S. Equity Fund

    $ 855,443,461       $ 283,122,996       $ —       $ 283,122,996   

Free Market International Equity Fund

      755,395,242         74,213,588         —         74,213,588   

Free Market Fixed Income Fund

      1,081,650,183         11,511,299         (3,997,954 )       7,513,345   

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

     Undistributed
Ordinary Income		      Undistributed
Long-Term
Capital Gains		      Unrealized
Appreciation/
(Depreciation)		  

Free Market U.S. Equity Fund

    $ 1,278,971       $ 4,786,356       $ 181,899,254   

Free Market International Equity Fund

      6,241,938         6,448,729         (27,145,343 ) 

Free Market Fixed Income Fund

      186,239         5,959,067         16,221,464   

 

21

FREE MARKET FUNDS

Notes to Financial Statements (Concluded)

February 28, 2013

(Unaudited)

 

The differences between the book and tax basis components of distributable earnings relate primarily to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

The tax characters of distributions paid during the fiscal year ended August 31, 2012 were as follows:

 

          Ordinary
Income		        Long-Term
Gains		        Return of
Capital		        Total  

Free Market U.S. Equity Fund

       $ 4,645,598         $ 5,493,112         $ —         $ 10,138,710   

Free Market International Equity Fund

         11,517,635           7,200,541           —           18,718,176   

Free Market Fixed Income Fund

         10,592,495           3,877           —           10,596,372   

Distributions from net investment income and short term capital gains are treated as ordinary income for federal income tax purposes.

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Funds’ first fiscal year end subject to the Modernization Act was August 31, 2012. As of August 31, 2012, the Funds had no pre- or post-enactment capital loss carryforwards.

 

6. Subsequent Event

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

 

22

FREE MARKET FUNDS

Other Information

(Unaudited)

 

Proxy Voting

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling Free Market Funds at (866) 780-0357, ext. 3863 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Quarterly Portfolio Schedules

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

 

23

Investment Adviser

MATSON MONEY, INC.

5955 Deerfield Blvd.

Mason, OH 45040

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Two Commerce Square, Suite 1700

2001 Market Street

Philadelphia, PA 19103-7042

Counsel

Drinker Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

FREE MARKET

U.S. EQUITY FUND

FREE MARKET

INTERNATIONAL EQUITY FUND

FREE MARKET

FIXED INCOME FUND

of

THE RBB FUND, INC.

SEMI-ANNUAL

REPORT

February 28, 2013

(Unaudited)

This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.

 

Perimeter Small Cap Growth Fund

of The RBB Fund, Inc.

 

Semi-Annual Report

    February 28, 2013
   (Unaudited)

 

LOGO

PERIMETER

SMALL CAP GROWTH FUND

Semi-Annual Investment Adviser’s Report

February 28, 2013

(Unaudited)

Dear Shareholder:

The Perimeter Small Cap Growth Fund (the “Fund”) returned 11.51% (I Shares) and 11.43% (Investor Shares) versus the 11.44% return of the Russell 2000 Growth Index during the six-month period ended February 28, 2013. Stocks saw modest gains in the first four (4) months of the period as the economic drag from Hurricane Sandy and uncertainty surrounding the Fiscal Cliff were offset by a rebound in Chinese growth, positive U.S. housing data and strong corporate profits. Similar to last year, the market kicked off the new year with a strong January Effect where lower-priced stocks surged. However, by February, falling stock correlations began to reward quality fundamental stock-picking.

The Consumer Staples sector was a top contributor to Perimeter’s performance given strong performance from Spectrum Brands Holdings (SPB) and Inter Parfums Inc. (IPAR), up 48% and 52%, respectively. Strong selection within Energy was led by top-performing positions in oilfield services companies Geospace Technologies (GEOS) and Helix Energy Solutions (HLX). Geospace is the leading provider of instruments and equipment used by the oil and gas industry in the capture and processing of seismic data. Perimeter had owned this company since December 2009, with an initial cost basis that is roughly a fifth of the current stock price. Within Technology, stock selection lagged given weakness from holdings such as LivePerson (LPSN) and Allot Communications (ALLT). In the case of Allot Communications, after strong growth over the last two years, operating leverage stalled on acquisitions and the market’s fear of a slowdown in its business resulted in negative performance.

While the U.S. economy has yet to gain full traction, signals continue to emerge that economic growth could potentially accelerate into 2013 - lower unemployment claims, higher productivity driving corporate profits, new highs in consumer confidence, expanding credit, improving capital equipment orders and a generally improving global economic outlook. However, headwinds still remain for the market and economy including the second coming of the debt ceiling debate and fiscal budget discussions, along with higher taxes for Americans across the board. Given the rise in taxes, a general theme we expect to emerge within the economy is a shift from consumer spending to business spending and investment. The outlook for growth in capital expenditures (CAPEX) appears favorable in 2013, given the extension of the R&D investment tax credit and expansion of bonus depreciation, combined with the improved global economic outlook. Lastly, support for the equity markets could also come from equity inflows from bond funds, which have been moving in the opposite direction over the last couple of years as bond yields came down.

While we continue to maintain our strong quality bias, we have already been incorporating the aforementioned environment into our bottom-up stock selection process. Despite the recent underperformance, we are pleased to see the initial signs of an improving economic outlook both domestically and globally. While certain headwinds remain, removal of some of the uncertainties is healthy for the overall market and conducive for Perimeter’s bottom-up fundamental stock picking.

Sincerely,

Perimeter Capital Management

 

This represents the manager’s assessment of the Funds and the market environment at a specific point in time and should not be relied upon by the reader as research or investment advice.

Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risk.

The Russell 2000® Index is a widely-recognized, capitalization-weighted index that measures the performance of the smallest 2,000 companies in the Russell 3000® Index. The Russell 2000® Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. Direct investment into an index is not possible.

 

2

PERIMETER

SMALL CAP GROWTH FUND

Semi-Annual Investment Adviser’s Report

February 28, 2013

(Unaudited)

 

Average Annual Total Returns For The Periods Ended February 28, 2013

     Six
Months*		      One Year      Three Year      Five Year      Since
Inception****		  

 Perimeter Small Cap Growth Fund, Investor Class Shares**

      11.43%         7.79%         11.41%         4.55%         4.06%   

 Perimeter Small Cap Growth Fund, I Shares***

      11.51%         8.02%         11.72%         4.75%         4.25%   

 Russell 2000® Index

      11.44%         11.17%         15.73%         7.83%         3.79%   

 

*

Not annualized.

**

Investor Class Shares were offered beginning September 29, 2006.

*** I Shares were offered beginning December 31, 2007. The performance shown for the I Shares prior to December 31, 2007 is based on the performance and expenses of the Investor Class Shares, and has not been adjusted for the shareholder servicing fee charged specifically to the Investor Class Shares.
**** The Fund commenced operations on September 29, 2006 as a separate portfolio ( the “Predecessor Fund”) of the The Advisors’ Inner Circle Fund II. The performance shown for periods prior to February 8, 2010 represents the performance of the Predecessor Fund.

    

The performance data quoted herein represents past performance. Past performance does not guarantee future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than its original cost. Current performance may be higher or lower than the performance quoted. For performance current to the most recent month-end, please call 1-888-968-4964. Performance assumes reinvestment of dividends and capital gains. Unlike a mutual fund, index returns do not reflect taxes, fees or expenses. The Fund’s gross total expense ratio as stated in the prospectus is 1.45% for Investor Shares and 1.20% for I Shares. The performance quoted reflects fee waivers in effect and would have been lower in their absence. The Fund charges a 2.00% redemption fee if redeemed within 7 days. The Adviser has contractually agreed to limit the total expenses of the Investor Class Shares and I Shares of the Fund (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) to 1.35% and 1.10% of the average daily net assets of the Fund’s Investor Class Shares and I Shares, respectively, through December 31, 2013.

Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.

Mutual fund investing involves risk including the possible loss of principal. The Fund invests in small cap stocks which generally involve more risk than large cap stocks due to potentially greater volatility and less market liquidity.

 

3

PERIMETER

SMALL CAP GROWTH FUND

Fund Expense Disclosure

February 28, 2013

(Unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013, and held for the entire period.

Actual Expenses

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

Hypothetical Examples for Comparison Purposes

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

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Perimeter Small Cap Growth Fund — Investor Class Shares
     Beginning Account Value
September 1, 2012		    Ending Account Value
February 28, 2013		    Expenses Paid
During Period*

Actual

    $1,000.00    $1,114.30    $7.08

Hypothetical - (5% return before expenses)

    1,000.00    1,018.10    6.76

 

     Perimeter Small Cap Growth Fund — I Shares
     Beginning Account Value
September 1, 2012		    Ending Account Value
February 28, 2013		    Expenses Paid
During Period*

Actual

    $1,000.00    $1,115.10    $5.77

Hypothetical - (5% return before expenses)

    1,000.00    1,019.34    5.51

 

  *

Expenses are equal to an annualized six-month expense ratio of 1.35% for the Investor Class Shares and 1.10% for the I Shares which includes waived fees, reimbursed expenses or recoupment, multiplied by the average account value over the period, multiplied by the number of days in the most recent period (181), then divided by 365 to reflect the six-month period. The Fund’s ending account values on the first line in each table are based on the actual six-month total return for the Fund of 11.43% for the Investor Class Shares and 11.51% for the I Shares.

 

4

PERIMETER

SMALL CAP GROWTH FUND

Portfolio Holdings Summary Table

February 28, 2013

(Unaudited)

The following table presents a summary by sector of the portfolio holdings of the Fund.

 

     % of Net
Assets		     Value  

Domestic Common Stocks:

     

Consumer Non-cyclical

      25.1 %    $ 50,729,361   

Technology

      14.2        28,722,053   

Consumer Cyclical

      14.1        28,454,314   

Industrial

      14.1        28,330,840   

Financial

      9.7        19,590,355   

Communications

      7.0        14,188,257   

Energy

      5.0        10,035,511   

Basic Materials

      4.5        9,151,533   

Warrants

      0.0        4,207   

Other Assets in Excess of Liabilities

      6.3        12,678,244   
  

 

 

    

 

 

  
     100.0 %    $ 201,884,675   
  

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

 

    

 

 

The accompanying notes are an integral part of the financial statements.

5

PERIMETER

SMALL CAP GROWTH FUND

Portfolio of Investments

February 28, 2013

(Unaudited)

 

     Shares      Value  

COMMON STOCKS† - 93.7%

      

Basic Materials — 4.5%

      

American Vanguard

      62,570       $ 1,941,547   

Balchem

      40,294         1,625,057   

Buckeye Technologies

      59,150         1,640,230   

Chemtura*

      43,120         867,574   

Kapstone Paper and Packaging*

      57,230         1,524,607   

NewMarket

      3,250         817,928   

Polyone

      32,233         734,590   
     

 

 

  
        9,151,533   
     

 

 

  

Communications — 7.0%

      

Acme Packet*

      61,390         1,791,360   

ADTRAN

      43,880         980,279   

Allot Communications*

      96,734         1,328,158   

Aruba Networks*

      36,450         908,334   

ClickSoftware Technologies

      107,201         884,408   

HealthStream*

      26,232         561,103   

Ixia*

      70,600         1,431,768   

NIC

      73,331         1,299,425   

NICE Systems, SP ADR*

      16,245         573,611   

Shutterfly*

      24,213         1,047,939   

SPS Commerce*

      24,548         917,850   

Tyler Technologies*

      28,890         1,629,396   

Zix*

      221,975         834,626   
     

 

 

  
        14,188,257   
     

 

 

  

Consumer Cyclical — 14.1%

      

AFC Enterprises*

      40,520         1,215,600   

Allegiant Travel

      23,560         1,891,632   

Arctic Cat*

      38,560         1,400,885   

Ascena Retail Group*

      47,620         799,540   

Casey’s General Stores

      27,560         1,559,620   

Chico’s FAS

      92,610         1,572,518   

Coinstar*

      28,508         1,459,325   

Destination XL Group*

      132,984         603,747   

First Cash Financial Services*

      24,884         1,316,612   

Francesca’s Holdings*

      48,680         1,238,906   

HSN

      11,950         639,325   

Nu Skin Enterprises

      17,690         728,828   

Pier 1 Imports

      88,650         1,991,966   

Pool

      35,400         1,618,488   

Six Flags Entertainment

      22,730         1,518,591   

Spirit Airlines*

      85,080         1,722,870   

Stage Stores

      62,070         1,532,508   

Susser Holdings*

      16,320         722,650   

Tenneco*

      27,080         959,444   

Toro

      26,360         1,188,836   

UniFirst

      19,034         1,590,100   

Vitamin Shoppe*

      22,499         1,182,323   
     

 

 

  
        28,454,314   
     

 

 

  

Consumer Non-cyclical — 25.1%

      

Array Biopharma*

      405,960         1,579,184   
     Shares      Value  

Consumer Non-cyclical — (Continued)

      

Astex Pharmaceuticals*

      218,243       $ 711,472   

Cardtronics*

      55,130         1,453,227   

Charles River Laboratories International*

      37,210         1,515,935   

Chemed

      23,830         1,839,438   

CoreLogic*

      55,740         1,444,223   

Corporate Executive Board

      27,150         1,469,901   

Corrections Corp. of America

      21,090         808,802   

CoStar Group*

      12,620         1,271,339   

Cubist Pharmaceuticals*

      42,060         1,784,606   

Cynosure, Cl A*

      28,550         808,822   

Depomed*

      151,890         982,728   

Dynavax Technologies*

      507,710         1,035,728   

Grand Canyon Education*

      77,097         1,846,473   

Haemonetics*

      42,640         1,758,900   

HealthSouth*

      72,200         1,741,464   

Heartland Payment Systems

      37,230         1,157,853   

HMS Holdings*

      35,260         1,022,187   

Huron Consulting Group*

      36,920         1,446,895   

ICON, PLC*

      78,857         2,457,184   

Infinity Pharmaceuticals*

      29,322         1,210,705   

Inter Parfums

      65,814         1,649,299   

J&J Snack Foods

      18,360         1,270,879   

Jazz Pharmaceuticals, PLC*

      30,170         1,755,291   

KAR Auction Services

      69,640         1,477,761   

MAXIMUS

      14,449         1,051,598   

Myriad Genetics*

      52,920         1,345,226   

Neogen*

      37,790         1,769,328   

Quad Graphics

      35,227         766,187   

Rollins

      63,300         1,551,483   

Salix Pharmaceuticals*

      37,970         1,854,835   

Seattle Genetics*

      26,287         739,716   

Spectrum Brands Holdings

      33,790         1,827,701   

Team Health Holdings*

      60,430         2,023,801   

Thoratec*

      32,185         1,133,234   

WEX*

      15,544         1,165,956   
     

 

 

  
        50,729,361   
     

 

 

  

Energy — 5.0%

      

Basic Energy Services*

      104,780         1,532,931   

Flotek Industries*

      99,720         1,400,069   

Geospace Technologies*

      10,714         1,042,687   

Halcon Resources*

      163,890         1,163,619   

Helix Energy Solutions Group*

      33,064         774,028   

Kodiak Oil & Gas*

      132,910         1,182,899   

Rex Energy*

      96,456         1,300,227   

Rosetta Resources*

      18,330         892,304   

Walter Energy

      23,490         746,747   
     

 

 

  
        10,035,511   
     

 

 

  

Financial — 9.7%

      

Boston Private Financial Holdings

      99,330         906,883   

Campus Crest Communities, REIT

      108,362         1,358,860   
 

 

The accompanying notes are an integral part of the financial statements.

6

PERIMETER

SMALL CAP GROWTH FUND

Portfolio of Investments (Concluded)

February 28, 2013

(Unaudited)

 

     Shares      Value  

Financial — (Continued)

      

Cubesmart, REIT

      95,000       $ 1,400,300   

Education Realty Trust, REIT

      160,190         1,747,673   

Endurance Specialty Holdings

      43,370         1,910,015   

Horace Mann Educators

      82,510         1,688,155   

Iberiabank

      29,212         1,466,442   

Nationstar Mortgage Holdings*

      51,240         1,974,277   

Pinnacle Financial Partners*

      66,260         1,438,505   

Platinum Underwriters Holdings

      39,880         2,108,854   

ProAssurance

      38,006         1,782,101   

WageWorks*

      76,590         1,808,290   
     

 

 

  
        19,590,355   
     

 

 

  

Industrial — 14.1%

      

A.O. Smith

      8,746         625,601   

AZZ

      33,950         1,516,207   

Belden

      18,280         920,581   

Celadon Group

      49,570         987,930   

Chart Industries*

      12,357         896,624   

Covanta Holding

      113,410         2,218,300   

Darling International*

      34,960         583,482   

DXP Enterprises*

      16,080         1,000,176   

EMCOR Group

      40,210         1,550,900   

EnPro Industries*

      26,620         1,238,629   

Exponent*

      19,756         993,134   

Gulfmark Offshore, Cl A

      38,570         1,377,720   

Hexcel*

      64,580         1,759,805   

Middleby*

      7,910         1,181,042   

Newport*

      42,860         700,761   

NVE*

      7,373         390,474   

Old Dominion Freight Line*

      38,046         1,367,754   

OSI Systems*

      39,007         2,247,973   

Proto Labs*

      22,280         1,035,797   

Regal-Beloit

      19,190         1,483,003   

Tetra Tech*

      59,710         1,723,231   

TriMas*

      45,206         1,296,960   

Triumph Group

      16,820         1,234,756   
     

 

 

  
        28,330,840   
     

 

 

  

Technology — 14.2%

      

Aspen Technology*

      47,580         1,463,561   

AVG Technologies NV*

      117,220         1,840,354   

Cavium*

      36,410         1,344,257   

CommVault Systems*

      13,274         981,612   
     Shares      Value  

Technology — (Continued)

      

Cypress Semiconductor

      151,960       $ 1,600,139   

Diodes*

      80,653         1,607,414   

Fortinet*

      72,000         1,740,960   

inContact*

      170,831         1,159,942   

InnerWorkings*

      82,026         1,211,524   

InterXion Holding NV*

      51,270         1,267,907   

LivePerson*

      70,127         1,014,738   

MedAssets*

      91,897         1,697,338   

Mentor Graphics*

      96,030         1,700,691   

NetScout Systems*

      43,040         1,094,507   

Omnicell*

      24,490         441,310   

RADWARE*

      56,945         2,071,659   

Rovi*

      110,020         1,957,256   

SS&C Technologies Holdings*

      65,930         1,668,688   

Ultimate Software Group*

      12,110         1,190,050   

Volterra Semiconductor*

      108,674         1,668,146   
     

 

 

  
        28,722,053   
     

 

 

  

TOTAL COMMON STOCKS
(Cost $153,154,010)

   

      189,202,224   
     

 

 

  

WARRANTS - 0.0%

      

Energy — 0.0%

      

Magnum Hunter Resources
Exercise Price $10.50, Expires 10/14/13

      31,749         4,207   
     

 

 

  

TOTAL WARRANTS
(Cost $0)

         4,207   
     

 

 

  

TOTAL INVESTMENTS - 93.7%
(Cost $153,154,010)

   

      189,206,431   
     

 

 

  

OTHER ASSETS IN EXCESS OF
LIABILITIES - 6.3%

   

      12,678,244   
     

 

 

  

NET ASSETS - 100.0%

       $ 201,884,675   
     

 

 

  

 

†

More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes.

*

Non-income producing security.

 

Cl

   

Class

PLC

   

Public Limited Company

REIT

   

Real Estate Investment Trusts

SP ADR

   

Sponsored American Depositary Receipt

 

 

The accompanying notes are an integral part of the financial statements.

7

PERIMETER

SMALL CAP GROWTH FUND

Statement of Assets and Liabilities

February 28, 2013

(Unaudited)

 

ASSETS

   

Investments, at value (Cost $153,154,010)

    $ 189,206,431   

Cash

      9,271,807   

Receivables

   

Investments sold

      4,936,570   

Capital shares sold

      439,769   

Dividends and Interest

      69,832   

Prepaid expenses and other assets

      41,391   
  

 

 

  

Total assets

      203,965,800   
  

 

 

  

LIABILITIES

   

Payable for investments purchased

      1,593,967   

Capital shares redeemed

      228,961   

Investment advisory fees

      119,209   

Administration and accounting fees

      32,662   

Directors’ and officers’ fees

      125   

Other accrued expenses and liabilities

      106,201   
  

 

 

  

Total liabilities

      2,081,125   
  

 

 

  

Net Assets

    $ 201,884,675   
  

 

 

  

NET ASSETS CONSISTS OF

   

Par Value

    $ 22,384   

Paid-in capital

      157,057,959   

Accumulated net investment loss

      (1,300,996 ) 

Accumulated net realized gain from investments

      10,052,907   

Net unrealized appreciation on investments

      36,052,421   
  

 

 

  

Net Assets

    $ 201,884,675   
  

 

 

  

Investor Class Shares:

   

Net Assets

    $ 9,857,730   
  

 

 

  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      1,109,192   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 8.89   
  

 

 

  

I Shares:

   

Net Assets

    $ 192,026,945   
  

 

 

  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      21,274,551   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 9.03   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

8

PERIMETER

SMALL CAP GROWTH FUND

Statement of Operations

Six Months Ended February 28, 2013

(Unaudited)

 

Investment Income

   

Dividends (net of foreign taxes withheld of $4,618)

    $ 1,285,096   

Interest

      1,287   
  

 

 

  

Total investment income

      1,286,383   
  

 

 

  

Expenses

   

Advisory fees

      912,743   

Transfer agent fees

      114,699   

Administration and accounting fees

      96,853   

Printing and shareholder reporting fees

      55,356   

Professional fees

      26,531   

Distribution fees(1)

      19,838   

Registration and filing fees

      16,133   

Directors’ and officers’ fees

      16,124   

Insurance fees

      8,407   

Custodian fees

      4,729   

Other expenses

      2,500   
  

 

 

  

Total expenses before waivers

      1,273,913   

Less: waivers of Advisory fees

      (138,500 ) 
  

 

 

  

Net expenses after waivers

      1,135,413   
  

 

 

  

Net investment income

      150,970   
  

 

 

  

Net realized and unrealized gain from investments

   

Net realized gain from:

   

Investments

      19,063,726   

Net change in unrealized appreciation on:

   

Investments

      2,803,039   
  

 

 

  

Net realized and unrealized gain from investments

      21,866,765   
  

 

 

  

Net increase in net assets resulting from operations

    $ 22,017,735   
  

 

 

  

 

(1) 

Attributable to Investor Class Shares

 

The accompanying notes are an integral part of the financial statements.

9

PERIMETER

SMALL CAP GROWTH FUND

Statement of Changes in Net Assets

 

      For the
Six  Months
Ended
February 28, 2013
(Unaudited)		     For the  Year
Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

     

Net investment income/(loss)

    $ 150,970      $ (2,126,769 ) 

Net realized gain from investments

      19,063,726        20,219,831   

Net change in unrealized appreciation on investments

      2,803,039        3,218,958   
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      22,017,735        21,312,020   
  

 

 

    

 

 

  

Dividends and Distributions to shareholders from:

     

Net Realized capital gains

     

Investor Class Shares

      (2,127,625 )      (19,965,000 ) 

I Shares

      (22,740,311 )      (40,427,651 ) 
  

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (24,867,936 )      (60,392,651 ) 
  

 

 

    

 

 

  

Increase/(decrease) in net assets in capital transactions:

     

Investor Class Shares

     

Proceeds from shares sold

      1,403,283        13,504,662   

Reinvestment of distribution

      2,117,679        19,950,107   

Shares redeemed

      (13,990,944 )      (119,410,959 ) 
  

 

 

    

 

 

  

Total Investor Class Shares

      (10,469,982 )      (85,956,190 ) 
  

 

 

    

 

 

  

I Shares

     

Proceeds from shares sold

      19,841,045        61,528,257   

Reinvestment of distributions

      22,371,805        40,118,934   

Shares redeemed

      (39,450,355 )      (100,504,504 ) 
  

 

 

    

 

 

  

Total I Shares

      2,762,495        1,142,687   
  

 

 

    

 

 

  

Redemption fees

      2,532        1,848   
  

 

 

    

 

 

  

Net decrease in net assets from capital share transactions

      (7,704,955 )      (84,811,655 ) 
  

 

 

    

 

 

  

Total decrease in net assets

      (10,555,156 )      (123,892,286 ) 

Net assets

     

Beginning of period

      212,439,831        336,332,117   
  

 

 

    

 

 

  

End of period

    $ 201,884,675      $ 212,439,831   
  

 

 

    

 

 

  

Accumulated net investment loss, end of period

    $ (1,300,996 )    $ (1,451,966 ) 
  

 

 

    

 

 

  

Increase/(decrease) in shares outstanding derived from share transactions:

     

Investor Class Shares

     

Shares sold

      156,390        1,438,758   

Dividends and distributions reinvested

      263,066        2,403,628   

Shares redeemed

      (1,589,391 )      (12,777,914 ) 
  

 

 

    

 

 

  

Total Invetor Class Shares

      (1,169,935 )      (8,935,528 ) 
  

 

 

    

 

 

  

I Shares

     

Shares sold

      2,222,940        6,653,884   

Dividends and distributions reinvested

      2,738,287        4,781,756   

Shares redeemed

      (4,283,090 )      (10,758,420 ) 
  

 

 

    

 

 

  

Total I Shares

      678,137        677,220   
  

 

 

    

 

 

  

Net decrease in shares outstanding from share transactions

      (491,798 )      (8,258,308 ) 
  

 

 

    

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

10

PERIMETER

SMALL CAP GROWTH FUND

Financial Highlights

 

 

Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

     Investor Class Shares  
     Six Month
Period  Ended
February  28,
2013
(Unaudited)		     Year
Ended
August 31,
2012		     Year
Ended
August 31,
2011		     One Month
Period  Ended
August  31,
2010(1)(2)		     Year
Ended
July 31,
2010(2)		     Year
Ended
July 31,
2009(2)		     Year
Ended
July 31,
2008(2)		  

Net asset value, Beginning of Period

   $ 9.18      $ 10.75      $ 8.79      $ 9.53      $ 8.45      $ 10.40      $ 11.49   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income/(Loss) from Operations:

              

Net Investment Income/(Loss)(3)

     — (4)      (0.09 )      (0.11 )      (0.01 )      (0.09 )      (0.05 )      (0.08 ) 

Net Realized and Unrealized Gains (Loss) on Investments

     0.92        0.58        2.07        (0.73 )      1.17        (1.90 )      (0.88 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Operations

     0.92        0.49        1.96        (0.74 )      1.08        (1.95 )      (0.96 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and Distributions from:

              

Net Realized Gains

     (1.21 )      (2.06 )      —        —        —        —        (0.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Dividends and Distributions

     (1.21 )      (2.06 )      —        —        —        —        (0.13 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Redemption Fees

     — (4)      — (4)      — (4)      — (4)      — (4)      — (4)      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, End of Period

   $ 8.89      $ 9.18      $ 10.75      $ 8.79      $ 9.53      $ 8.45      $ 10.40   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(5)

     11.43 %      6.56 %      22.30 %      (7.77 )%      12.78 %      (18.75 )%      (8.47 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios/Supplemental Data

              

Net assets, End of Period (Thousands)

   $ 9,858      $ 20,930      $ 120,543      $ 160,496      $ 174,434      $ 138,929      $ 122,353   

Ratio of Expenses to Average Net Assets (including waivers and recoupment, excluding fees paid indirectly)

     1.35 %(6)      1.35 %      1.35 %      1.35 %(6)      1.29 %      1.11 %      1.20 % 

Ratio of Expenses to Average Net Assets (including waivers and recoupment and fees paid indirectly)

     1.35 %(6)      1.35 %      1.35 %      1.35 %(6)      1.29 %      1.09 %      1.16 % 

Ratio of Expenses to Average Net Assets (excluding waivers and recoupment and fees paid indirectly)

     1.48 %(6)      1.45 %      1.38 %      1.47 %(6)      1.34 %      1.41 %      1.51 % 

Ratio of Net Investment Income/(Loss) to Average Net Assets

     0.02 %(6)      (0.93 )%      (0.93 )%      (0.97 )%(6)      (0.93 )%      (0.66 )%      (0.74 )% 

Portfolio Turnover Rate(7)

     55 %      138 %      122 %      7 %      97 %      126 %      147 % 

 

(1) The Fund changed its fiscal year end to August 31.
(2) Effective February 8, 2010, the Fund acquired all the assets and liabilities of the Perimeter Small Cap Growth Fund, a series of The Advisors’ Inner Circle Fund II (the “Predecessor Fund”). The financial highlights for the period to that date reflect the performance of the Pedecessor Fund.
(3) Per share data calculated using average share method.
(4) Amount is less than $0.01 per share.
(5) Total return has not been annualized for periods less than one year. Total return would have been lower had certain expenses not been waived by the Adviser during the period. The return shown does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemptions of Fund shares.
(6) Annualized.
(7) Portfolio turnover rate has not been annualized for periods less than one year.

The accompanying notes are an integral part of the financial statements.

 

11

PERIMETER

SMALL CAP GROWTH FUND

Financial Highlights

 

 

Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective period. This information has been derived from information provided in the financial statements.

 

 

     I Shares  
     Six Month
Period  Ended
February  28,
2013
(Unaudited)		     Year
Ended
August 31,
2012		     Year
Ended
August 31,
2011		     One Month
Period  Ended
August  31,
2010(1)(2)		     Year
Ended
July 31,
2010(2)		     Year
Ended
July 31,
2009(2)		     Period
Ended
July 31,
2008(3)		  

Net asset value, Beginning of Period

   $ 9.30      $ 10.83      $ 8.84      $ 9.58      $ 8.48      $ 10.42      $ 11.53   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Income/(Loss) from Operations:

              

Net Investment Income/(Loss)(4)

     0.01        (0.07 )      (0.08 )      (0.01 )      (0.07 )      (0.05 )      (0.04 ) 

Net Realized and Unrealized Gains (Loss) on Investments

     0.93        0.60        2.07        (0.73 )      1.17        (1.89 )      (1.07 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total from Operations

     0.94        0.53        1.99        (0.74 )      1.10        (1.94 )      (1.11 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and Distributions from:

              

Net Realized Gains

     (1.21 )      (2.06 )      —        —        —        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Dividends and Distributions

     (1.21 )      (2.06 )      —        —        —        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Redemption Fees

     — (5)      — (5)      — (5)      — (5)      — (5)      — (5)      —   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, End of Period

   $ 9.03      $ 9.30      $ 10.83      $ 8.84      $ 9.58      $ 8.48      $ 10.42   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total Return(6)

     11.51 %      6.93 %      22.51 %      (7.73 )%      12.97 %      (18.62 )%      (9.63 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratios/Supplemental Data

              

Net assets, End of Period (Thousands)

   $ 192,027      $ 191,510      $ 215,789      $ 165,334      $ 179,290      $ 154,905      $ 26,616   

Ratio of Expenses to Average Net Assets (including waivers and recoupment, excluding fees paid indirectly)

     1.10 %(7)      1.10 %      1.10 %      1.10 %(7)      1.10 %      1.04 %      1.03 %(7) 

Ratio of Expenses to Average Net Assets (including waivers and recoupment and fees paid indirectly)

     1.10 %(7)      1.10 %      1.10 %      1.10 %(7)      1.10 %      1.03 %      1.00 %(7) 

Ratio of Expenses to Average Net Assets (excluding waivers and recoupment and fees paid indirectly)

     1.24 %(7)      1.20 %      1.14 %      1.22 %(7)      1.16 %      1.36 %      1.37 %(7) 

Ratio of Net Investment Income/(Loss) to Average Net Assets

     0.16 %(7)      (0.68 )%      (0.69 )%      (0.72 )%(7)      (0.74 )%      (0.64 )%      (0.58 )%(7) 

Portfolio Turnover Rate(8)

     55 %      138 %      122 %      7 %      97 %      126 %      147 %(9) 

 

(1) The Fund changed its fiscal year end to August 31.
(2) Effective February 8, 2010, the Fund acquired all the assets and liabilities of the Perimeter Small Cap Growth Fund, a series of The Advisors’ Inner Circle Fund II (the “Predecessor Fund”). The financial highlights for the period to that date reflect the performance of the Pedecessor Fund.
(3)

Commenced operations on December 31, 2007.

(4)

Per share data calculated using average share method.

(5)

Amount is less than $0.01 per share.

(6)

Total return has not been annualized for periods less than one year. Total return would have been lower had certain expenses not been waived by the Adviser during the period. The return shown does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemptions of Fund shares.

(7)

Annualized.

(8)

Portfolio turnover rate has not been annualized for periods less than one year.

(9)

Portfolio turnover rate is for the Fund for the year ended July 31, 2008.

The accompanying notes are an integral part of the financial statements.

 

12

PERIMETER

SMALL CAP GROWTH FUND

Notes to Financial Statements

February 28, 2013

(Unaudited)

1. Organization and Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Perimeter Small Cap Growth Fund (the “Fund”).

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

The investment objective of the Fund is to seek long-term capital appreciation. The Fund invests primarily (at least 80% of its net assets) in small-cap equity securities. The assets of each fund of the Company are segregated, and a shareholder’s interest is limited to the fund in which shares are held.

The Fund is registered to offer Investment Class Shares and I Shares.

PORTFOLIO VALUATION – The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

  •  

Level 1 — quoted prices in active markets for identical securities;

 

  •  

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment

 speeds, credit risk, etc.); and

 

  •  

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

 investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Fund’s investments carried at fair value:

 

     Total
Value at
February  28,
2013		      Level 1
Quoted
Price		      Level 2
Other
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Common Stocks*

      $189,202,224         $189,202,224         $—         $—   

Warrants

      4,207         4,207         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

      $189,206,431         $189,206,431         $—         $—   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

*

Please refer to Portfolio of Investments for industry and sector type breakouts.

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

 

13

PERIMETER

SMALL CAP GROWTH FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Furthermore, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the period ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Fund.

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s investment income, expenses and unrealized and realized gains and losses are allocated daily. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income, if any, are declared and paid quarterly. Net realized capital gains, if any, are declared and paid annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

CASH AND CASH EQUIVALENTS — The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

REDEMPTION FEES — The Fund retains a redemption fee of 2% on redemptions of Fund shares held less than seven days. The fees are reflected on the Statements of Changes in Net Assets. The Fund reserves the right to modify or eliminate the redemption fees or waivers at any time.

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

 

14

PERIMETER

SMALL CAP GROWTH FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

2. Investment Adviser and Other Services

Perimeter Capital Management (the “Adviser”) serves as investment adviser to the Fund. For its services, the Adviser is entitled to receive a monthly fee, which is calculated daily and paid monthly, at an annual rate of 0.90% of the Fund’s average daily net assets. The Adviser has contractually agreed to waive its advisory fee and/or reimburse expenses in order to limit total annual Fund operating expenses (excluding certain items discussed below) to 1.35% and 1.10% of the Fund’s average daily net assets attrbutable to Ivestor Class Shares and I Shares, respectively. In determining the Adviser’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2013 and may not be terminated without the approval of the Company’s Board of Directors. If at any time during the first three years the advisory agreement is in effect, the Fund’s total annual Fund operating expenses for that year are less than 1.35% and 1.10% of the Fund’s Investor Class Shares and I Shares average daily net assets, respectively, the Adviser may recoup any waived amount from the Fund if such reimbursement does not cause the Fund to exceed existing expense limitations. As of February 28, 2013, the total fees which were previously waived by the Adviser which may be subject to possible future reimbursement to the Adviser were $183,424, $275,981 and $138,500, expiring in 2014, 2015 and 2016, respectively.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

The Bank of NewYork Mellon (the “Custodian”) provides certain custodian services to the Fund. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

3. Director Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the six months ended February 28, 2013 was $11,014. Certain employees of BNY serve as an Officer or Director of the Company. They are not compensated by the Fund or the Company.

4. Investment in Securities

For the six months ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

    Purchases    

     

Sales

$109,070,004

      $148,588,508

 

15

PERIMETER

SMALL CAP GROWTH FUND

Notes to Financial Statements (Concluded)

February 28, 2013

(Unaudited)

5. Federal Income Tax Information

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

As of February 28, 2013, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:

 

                   Net
    Federal Tax            Unrealized        Unrealized        Unrealized

            Cost             

   

    Appreciation

   

    Depreciation

   

    Appreciation

$153,154,010

    $38,654,314    $(2,601,893)    $36,052,421

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

               Qualified
Undistributed    Undistributed    Unrealized    Late-Year

Ordinary Income

   

Long-Term Gains

   

Appreciation

   

Loss Deferral

$ —

    $19,471,521    $29,634,978    $(1,451,966)

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes.

The tax character of dividends and distributions paid during the year ended August 31, 2012 was as follows:

 

Ordinary      Long-Term       

            Income             

     

            Gains             

     

            Total             

$9,096,108

      $51,296,543      $60,392,651

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

Accumulated capital losses represent net capital loss carry forwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Fund’s first fiscal year end subject to the Modernization Act was August 31, 2012. There were no capital loss carryforwards as of August 31, 2012.

6. Subsequent Events

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there was the following subsequent event:

For the period March 1, 2013 through April 19, 2013, there were net redemptions of $123,157,785, which represented 61% of the Fund’s net assets.

 

16

PERIMETER

SMALL CAP GROWTH FUND

Other Information

(Unaudited)

Proxy Voting

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent six-month period ended June 30 are available without charge, upon request, by calling (888) 968-4964 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Quarterly Portfolio Schedules

The Company will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090.

 

17

 

 

Intentionally Left Blank

 

 

 

Intentionally Left Blank

Investment Adviser

Perimeter Capital Management

Six Concourse Parkway

Suite 3300

Atlanta, Ga 30328

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

Ernst & Young LLP

One Commerce Square

2005 Market Street, Suite 700

Philadelphia, PA 19103

Legal Counsel

Drinker, Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

LOGO

 

ROBECO INVESTMENT FUNDS     

 

GENERAL MARKET COMMENTARY

  

 

Dear Shareholder,

The U.S. Equity markets performed remarkably well throughout the six months ended February 2013, with most major indices returning better than 10% over the period. As of the end of February, the Federal Reserve’s (the “Fed”) monetary policy had trumped fiscal policy as their monthly $85 billion bond purchases more than compensated for the bickering in Congress over spending and budget legislation. Investors, dissatisfied with returns from near record low bond yields, began pouring billions into equity mutual funds during the first quarter of 2013, reversing a negative outflow trend that has been occurring for almost two years.

The lackluster stock market returns observed during the fourth quarter of 2012 were due to a host of well-documented worries. Investors faced expected downward earnings growth revisions resulting from Europe’s ongoing recession, which had caused collateral slowdowns in the emerging markets. Investors were also faced with the impact of the fiscal tightening and new tax increases coming out of the fiscal cliff deal that were expected to trim U.S. Gross Domestic Product (“GDP”) by 1% to 1.5% in 2013, and there also remained the ever present debt ceiling and further budget cuts looming into early 2013. Capital spending had also stalled as companies adopted a wait-and-see approach to those budget negotiations.

While these issues dominated headlines during the fourth quarter of 2012, the strong market performance of late has been the result of a number of positive developments that started to take affect late in the fourth quarter and into the first quarter of 2013. Some of the positive developments include the Fed’s ongoing near zero interest rate policy that has pushed mortgage rates to all-time lows, resulting in a surge of mortgage refinancings and increased disposable personal income. The long awaited housing recovery finally took root during the fourth quarter of 2012 resulting in reduced inventory, increasing existing home sales, increasing housing prices and rebounding housing starts. The slowly improving employment outlook also received a major boost after the Fed indicated that easy monetary policies will persist until the unemployment rate is below 6.5% in a low inflation environment.

Other nations have taken notice of the Fed’s bond purchases and seem to be emulating this easy monetary policy. The Bank of England, the Swiss National Bank and the European Central Bank have stepped up government bond purchases in their respective regions to stimulate global demand. Japan recently joined the “easy money club” as the Bank of Japan has significantly expanded its balance sheet and bond yields have plunged. Investors and global monetary authorities are gaining confidence that bond purchases will lead to lower interest rates which will encourage more borrowing, spending and hiring without reigniting inflation. Global trade authorities are beginning to understand that lower interest rates are intended to boost domestic demand rather than depress currency valuations to make exports more attractive.

While investors have become more optimistic, global economic news is still mixed. Europe continues to be mired in a recession and hope that growth will emerge in the second half of the year appears to be fading. China’s economy has had fits and starts and the Shanghai stock market has lagged this year. The U.S. economy may be tracking better than previously expected but even the most optimistic GDP forecasts call for less than 3% growth in 2013. On the other hand, if U.S. growth continues to pick up steam, then the Fed is likely to discontinue easy monetary policies and rising interest rates may choke off the recovery.

During each of the past three years, investors became hopeful about a recovery only to see the optimism fade throughout the year. In fact, over 70% of the S&P 500’s return has occurred during the first quarter of the year since 2010. Should we expect the same pattern this year? While we do not believe investors should expect double digit returns every quarter, we do not believe the market is due for a correction. The housing recovery appears to be on firm footing as home prices have been steadily climbing for the past year while inventories are at record lows. Easy monetary policies around the world should stimulate local borrowing and demand. With stock prices near all-time highs, home prices moving in the right direction and employment improving modestly, we would expect to see an increase in consumer spending. Finally, investors are more comfortable investing in equities as returns have gone up, volatility has come down and flows into equities have increased. We believe we are well on our way to a sustainable economic and equity market recovery.

As noted before, there are many moving parts in the global economic and political landscape. Rather than trying to predict these variable outcomes, we will continue to do what we do best—identify stocks that we believe will outperform for your portfolio. By focusing on companies with low valuation, high and increasing returns on capital and improving business momentum, we believe we can create excess returns for you regardless of the investing environment.

Sincerely,

Robeco Investment Management

Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.

 

SEMI-ANNUAL REPORT 2013        1   

ROBECO INVESTMENT FUNDS     

 

Total Returns for the Period Ended February 28, 2013 (unaudited)

 

                         Average Annual  
       Six-Month*        1 Year        5 Year        10 Year        Since
Inception		  
Robeco Boston Partners Small Cap Value Fund II                       

Institutional Class

        13.63 %         18.59 %         9.40 %         12.59 %         N/A   

Investor Class

        13.46 %         18.27 %         9.12 %         12.30 %         N/A   

Russell 2000® Value Index

        14.56 %         16.89 %         6.73 %         10.95 %         N/A   

Russell 2000® Index1

        13.02 %         14.02 %         7.35 %         11.16 %         N/A   

1 This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

  

Robeco Boston Partners Long/Short Equity Fund                       

Institutional Class

        8.04 %         11.36 %         18.21 %         12.27 %         N/A   

Investor Class

        7.87 %         11.11 %         17.80 %         11.94 %         N/A   

S&P 500® Index

        8.94 %         13.46 %         4.94 %         8.24 %         N/A   
Robeco Boston Partners Long/Short Research Fund                       

Institutional Class1

        7.04 %         9.71 %         N/A           N/A           10.98 % 

S&P 500® Index

        8.94 %         13.46 %         N/A           N/A           14.89 % 

Investor Class2

        6.90 %         9.39 %         N/A           N/A           9.62 % 

S&P 500® Index

        8.94 %         13.46 %         N/A           N/A           14.51 % 

1 Inception date September 30, 2010

  

2 Inception date November 29, 2010

  

Robeco Boston Partners All-Cap Value Fund                       

Institutional Class

        11.72 %         14.96 %         7.32 %         11.91 %         N/A   

Investor Class

        11.64 %         14.75 %         7.07 %         11.66 %         N/A   

Russell 3000® Value Index

        13.25 %         17.57 %         4.11 %         8.93 %         N/A   

Russell 3000® Index1

        9.97 %         13.65 %         5.38 %         8.85 %         N/A   

1This is not a primary benchmark of the Fund. Results of the index performance are presented for general comparative purposes.

  

Robeco WPG Small/Micro Cap Value Fund                       

Institutional Class1

        19.47 %         18.97 %         7.01 %         10.34 %         N/A   

Russell 2000® Value Index

        14.56 %         16.89 %         6.73 %         10.95 %         N/A   
Robeco Boston Partners Global Equity Fund                       

Institutional Class1

        12.17 %         12.99 %         N/A           N/A           19.78 % 

MSCI World Index

        11.12 %         11.37 %         N/A           N/A           20.50 % 

1 Inception date December 30, 2011

  

Robeco Boston Partners International Equity Fund                       

Institutional Class1

        14.44 %         13.49 %         N/A           N/A           19.86 % 

MSCI EAFE

        14.54 %         10.37 %         N/A           N/A           21.34 % 

1 Inception date December 30, 2011

  

 

* Not Annualized

 

2      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Robeco Investment Management, Inc. waived a portion of its advisory fee and agreed to reimburse a portion of each Fund’s operating expenses, if necessary, to maintain certain expense ratios as set forth in the notes to the financial statements. Total returns shown include fee waivers, expense reimbursements and expense recoupment, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. Each Fund’s annual operating expense ratios below are as stated in the current prospectuses.These rates can fluctuate and may differ from the actual expenses incurred by a Fund for the period covered by this report. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Current performance may be lower or higher than the performance data quoted. For performance data current to the most recent month-end, please call 1-888-261-4073 or visit our web site at www.robecoinvest.com.

Investors should note that the Funds are actively managed mutual funds while the indices are unmanaged, do not incur expense and are not available for investment.

Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.

Value investing involves the risk that the Fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.

A long/short strategy uses short sales which theoretically involve unlimited loss potential since the market price of securities sold short may continuously increase. Increased leverage may cause a fund’s NAV to be disproportionately volatile. The strategy also may generate high portfolio turnover which may result in higher costs and capital gains.

International investing is subject to special risks including, but not limited to, currency risk associated with securities denominated in other than the U.S. dollar, which may be affected by fluctuations in currency exchange rates, political, social or economic instability, and differences in taxation, auditing and other financial practices. Investment in emerging market securities may increase these risks.

The following are the Funds’ gross annual operating expense ratios as stated in the most recent prospectus:

 

     Institutional
Class		    Investor
Class

Robeco Boston Partners Small Cap Value Fund II

    1.36%    1.61%

Robeco Boston Partners Long/Short Equity Fund

    4.29%1    4.54%1

Robeco Boston Partners Long/Short Research Fund

    2.84%1    3.04%1

Robeco Boston Partners All-Cap Value Fund

    1.03%    1.28%

Robeco WPG Small/Micro Cap Value Fund

    1.70%    N/A

Robeco Boston Partners Global Equity Fund

    3.56%    N/A

Robeco Boston Partners International Equity Fund

    3.77%    N/A

1 Includes interest and dividend expense on short sales.

      

 

SEMI-ANNUAL REPORT 2013        3   

ROBECO INVESTMENT FUNDS     

 

FUND EXPENSE EXAMPLES (unaudited)

  

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees, distribution fees and other Fund expenses. The examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013, and held for the entire period.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Expense Table

     Beginning Account
Value
September 1, 2012		      Ending Account
Value
February 28, 2013		      Annualized
Expense
Ratio		     Expenses
Paid During
Period*		  
Robeco Boston Partners Small Cap Value Fund II           

Institutional

           

Actual

      $1,000.00         $1,136.30         1.30 %      $6.89   

Hypothetical

      1,000.00         1,018.35         1.30 %      6.51   

Investor

           

Actual

      $1,000.00         $1,134.60         1.55 %      $8.20   

Hypothetical

      1,000.00         1,017.11         1.55 %      7.75   
Robeco Boston Partners Long/Short Equity Fund           

Institutional

           

Actual

      $1,000.00         $1,080.40         4.62 %(1)      $23.83   

Hypothetical

      1,000.00         1,001.88         4.62 %(1)      22.93   

Investor

           

Actual

      $1,000.00         $1,078.70         4.87 %(1)      $25.10   

Hypothetical

      1,000.00         1,000.64         4.87 %(1)      24.16   
Robeco Boston Partners Long/Short Research Fund           

Institutional

           

Actual

      $1,000.00         $1,070.40         2.90 %(1)      $14.89   

Hypothetical

      1,000.00         1,010.41         2.90 %(1)      14.46   

Investor

           

Actual

      $1,000.00         $1,069.00         3.15 %(1)      $16.16   

Hypothetical

      1,000.00         1,009.17         3.15 %(1)      15.69   

 

4      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

FUND EXPENSE EXAMPLES (unaudited) (concluded)

  

 

     Beginning Account
Value
September 1, 2012		      Ending Account
Value
February 28, 2013		      Annualized
Expense
Ratio		      Expenses
Paid During
Period*		  
Robeco Boston Partners All-Cap Value Fund            

Institutional

            

Actual

      $1,000.00         $1,117.20         0.70 %       $3.67   

Hypothetical

      1,000.00         1,021.32         0.70 %       3.51   

Investor

            

Actual

      $1,000.00         $1,116.40         0.95 %       $4.99   

Hypothetical

      1,000.00         1,020.08         0.95 %       4.76   
Robeco Boston Partners WPG Small/Micro Cap Value Fund            

Institutional

            

Actual

      $1,000.00         $1,194.70         1.65 %       $8.98   

Hypothetical

      1,000.00         1,016.61         1.65 %       8.25   
Robeco Boston Partners Global Equity Fund            

Institutional

            

Actual

      $1,000.00         $1,121.70         1.30 %       $6.84   

Hypothetical

      1,000.00         1,018.35         1.30 %       6.51   
Robeco Boston Partners International Equity Fund            

Institutional

            

Actual

      $1,000.00         $1,144.40         1.30 %       $6.91   

Hypothetical

      1,000.00         1,018.35         1.30 %       6.51   

 

* Expenses are equal to the Fund’s annualized six-month expense ratios in the table above, which include waived fees or reimbursed expenses and expense recoupment, if any, multiplied by the average account value over the period, multiplied by the number of days (181) in the most recent fiscal half-year, then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in each table are based on the actual six-month total return of 13.63% and 13.46% for the Institutional Class and Investor Class, respectively, of the Robeco Boston Partners Small Cap Value Fund II; 8.04% and 7.87% for the Institutional Class and Investor Class, respectively, of the Robeco Boston Partners Long/Short Equity Fund; 7.04% and 8.94% for the Institutional Class and Investor Class, respectively, of the Robeco Boston Partners Long/Short Research Fund; 11.72% and 11.64% for the Institutional Class and Investor Class, respectively, of the Robeco Boston Partners All-Cap Value Fund; 19.47% for the Institutional Class of the WPG Small/Micro Cap Value Fund, 12.17% for the Institutional Class of the Robeco Boston Partners Global Equity Fund and 14.44% for the Institutional Class of the Robeco Boston Partners International Equity Fund.

 

(1)

These amounts include dividends paid on securities which the Funds have sold short (“short-sale dividends”) and related interest expense. The annualized amount of short-sale dividends and related interest expense was 2.18% of average net assets for the year for both the Institutional Class and Investor Class of the Robeco Boston Partners Long/Short Equity Fund and 1.40% for both the Institutional Class and Investor Class of the Robeco Boston Partners Long/Short Research Fund.

 

SEMI-ANNUAL REPORT 2013        5   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

PORTFOLIO HOLDINGS SUMMARY TABLES (unaudited)

  

 

ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK

    

Finance

     22.3 %    $ 32,677,148   

Consumer Services

     18.0        26,438,813   

Capital Goods

     13.4        19,652,903   

Health Care

     9.7        14,184,950   

Technology

     9.0        13,218,344   

Real Estate Investment Trusts

     6.8        10,014,717   

Consumer Non-Durables

     6.1        8,999,869   

Consumer Durables

     2.9        4,308,883   

Energy

     2.7        3,877,668   

Basic Industries

     2.0        2,975,873   

Transportation

     1.6        2,276,282   

Utilities

     1.5        2,224,757   

SECURITIES LENDING COLLATERAL

     12.1        17,809,719   

LIABILITIES IN EXCESS OF OTHER ASSETS

     (8.1 )      (11,838,707 ) 
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 146,821,219   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK

    

Finance

     18.7 %    $ 145,359,670   

Health Care

     15.6        121,261,551   

Technology

     15.4        119,595,947   

Consumer Services

     11.8        92,005,217   

Energy

     10.2        79,593,222   

Capital Goods

     7.8        60,342,621   

Communications

     5.8        44,919,219   

Consumer Non-Durables

     5.2        40,601,530   

Basic Industries

     2.4        18,864,784   

Transportation

     1.0        7,911,471   

Consumer Durables

     1.0        7,517,216   

Real Estate Investment Trusts

     0.9        7,359,866   

PREFERRED STOCK

     0.0        151,152   

EXCHANGE TRADED FUND

     0.6        4,497,186   

SECURITIES LENDING COLLATERAL

     1.4        10,859,274   

SECURITIES SOLD SHORT

     (62.0 )      (482,598,214 ) 

WRITTEN OPTIONS

     (0.0 )      (181,260 ) 

OTHER ASSETS IN EXCESS OF LIABILITIES

     64.2        499,632,016   
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 777,692,468   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK

    

Capital Goods

     16.7 %    $ 116,691,021   

Finance

     14.2        98,974,133   

Technology

     12.5        87,045,655   

Consumer Services

     12.2        85,417,368   

Energy

     9.2        64,495,996   

Health Care

     8.9        62,320,291   

Communications

     4.9        34,056,585   

Basic Industries

     4.8        33,286,739   

Consumer Non-Durables

     3.7        25,687,451   

Consumer Durables

     3.5        24,537,567   

Transportation

     1.1        7,817,588   

Utilities

     0.7        4,521,901   

SECURITIES SOLD SHORT

     (44.4 )      (309,527,634 ) 

OTHER ASSETS IN EXCESS OF LIABILITIES

     52.0        362,831,399   
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 698,156,060   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK

    

Finance

     26.1 %    $ 101,997,977   

Health Care

     17.5        68,365,237   

Technology

     13.7        53,401,336   

Consumer Services

     13.0        50,704,662   

Energy

     9.8        38,156,700   

Capital Goods

     6.4        25,110,215   

Consumer Non-Durables

     4.2        16,397,111   

Consumer Durables

     2.5        9,831,700   

Communications

     1.6        6,478,968   

Real Estate Investment Trusts

     0.6        2,214,060   

PREFERRED STOCK

     0.0        41,223   

CORPORATE BONDS

     0.0        45,300   

SECURITIES LENDING COLLATERAL

     0.7        2,833,760   

WRITTEN OPTIONS

     (0.0 )      (148,575 ) 

OTHER ASSETS IN EXCESS OF LIABILITIES

     3.9        15,384,386   
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 390,814,060   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

6      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

PORTFOLIO HOLDINGS SUMMARY TABLES (unaudited) (concluded)

  

 

ROBECO WPG SMALL/MICRO CAP VALUE FUND

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK

    

Finance

     28.5 %    $ 12,127,181   

Consumer Services

     13.6        5,765,430   

Real Estate Investment Trusts

     9.8        4,151,821   

Technology

     7.8        3,314,893   

Utilities

     6.0        2,557,721   

Capital Goods

     5.8        2,483,269   

Health Care

     5.7        2,427,658   

Transportation

     4.3        1,826,033   

Basic Industries

     4.1        1,750,223   

Consumer Non-Durables

     3.1        1,299,291   

Consumer Durables

     2.5        1,044,115   

Energy

     2.3        973,206   

SECURITIES LENDING COLLATERAL

     8.7        3,712,413   

LIABILITIES IN EXCESS OF OTHER ASSETS

     (2.2 )      (939,014 ) 
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 42,494,240   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

ROBECO BOSTON PARTNERS GLOBAL EQUITY FUND

 

Security Type/Sector Classification    % of Net
Assets		     Value  

COMMON STOCK

     

Finance

      17.1 %    $ 2,173,554   

Health Care

      13.9        1,772,000   

Industrials

      13.7        1,741,516   

Consumer Discretionary

      13.0        1,648,088   

Information Technology

      10.7        1,362,952   

Energy

      9.6        1,213,446   

Materials

      7.0        890,502   

Consumer Staples

      4.1        522,749   

Telecommunication Services

      0.7        90,053   

OTHER ASSETS IN EXCESS OF LIABILITIES

      10.2        1,300,059   
  

 

 

    

 

 

  

NET ASSETS

      100.0 %    $ 12,714,919   
  

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

ROBECO BOSTON PARTNERS INTERNATIONAL EQUITY FUND

 

Security Type/Sector Classification   % of Net
Assets		     Value  

COMMON STOCK%

    

Financials

     18.9 %    $ 2,379,536   

Industrials

     15.1        1,905,889   

Consumer Discretionary

     14.9        1,883,457   

Health Care

     13.7        1,727,253   

Information Technology

     8.4        1,058,418   

Energy

     7.9        991,563   

Materials

     6.3        799,547   

Consumer Staples

     6.0        750,388   

Telecommunication Services

     3.1        395,108   

Utilities

     0.7        83,002   

OTHER ASSETS IN EXCESS OF LIABILITIES

     5.0        636,331   
 

 

 

    

 

 

  

NET ASSETS

     100.0 %    $ 12,610,492   
 

 

 

    

 

 

  

 

Portfolio holdings are subject to change at any time.

 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        7   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

COMMON STOCK—96.0%

    

Basic Industries—2.0%

    

Graphic Packaging Holding Co. *

     158,175      $ 1,173,658   

Schweitzer-Mauduit International, Inc.

     28,235        1,040,460   

Sensient Technologies Corp.

     8,780        324,070   

Spartech Corp. *

     44,345        437,685   
   

 

 

  
      2,975,873   
   

 

 

  

Capital Goods—13.4%

    

Actuant Corp., Class A

     48,190        1,465,458   

Aegion Corp. *

     52,245        1,255,447   

Ampco-Pittsburgh Corp.

     15,780        295,244   

Beacon Roofing Supply, Inc. * (a)

     22,760        839,844   

Brady Corp., Class A

     24,898        847,777   

Cabot Corp.

     24,480        900,374   

Curtiss-Wright Corp.

     17,110        593,888   

Drew Industries, Inc.

     21,585        785,262   

Edwards Group Ltd., Sponsored ADR *

     107,291        769,276   

Globe Specialty Metals, Inc.

     75,345        1,076,680   

Granite Construction, Inc.

     20,595        640,298   

Griffon Corp.

     65,565        738,917   

Hillenbrand, Inc.

     29,885        737,861   

Huntington Ingalls Industries, Inc.

     15,595        749,184   

MRC Global, Inc. *

     55,880        1,716,634   

Mueller Industries, Inc.

     15,650        832,267   

Orion Marine Group, Inc. *

     114,170        1,086,898   

Rofin-Sinar Technologies, Inc. *

     6,405        170,181   

Terex Corp. *

     39,345        1,290,909   

WESCO International, Inc. *

     28,610        2,114,279   

World Fuel Services Corp.

     19,622        746,225   
   

 

 

  
      19,652,903   
   

 

 

  

Consumer Durables—2.9%

    

Tempur-Pedic International, Inc. *

     50,905        2,090,668   

Thor Industries, Inc.

     40,765        1,532,356   

Tower International, Inc. *

     56,965        685,859   
   

 

 

  
      4,308,883   
   

 

 

  

Consumer Non-Durables—6.1%

    

Alliance One International, Inc. *

     84,255        314,271   

Dole Food Co., Inc. * (a)

     193,158        2,163,370   

Fresh Del Monte Produce, Inc.

     24,225        632,030   

Matthews International Corp., Class A

     10,350        341,550   

Nu Skin Enterprises, Inc., Class A (a)

     51,380        2,116,856   

Skechers U.S.A., Inc., Class A *

     29,195        610,176   

Steven Madden Ltd. *

     23,968        1,056,749   

Take-Two Interactive Software, Inc. *

     48,165        705,136   

Universal Corp. (a)

     18,995        1,059,731   
   

 

 

  
      8,999,869   
   

 

 

  

Consumer Services—18.0%

    

ABM Industries, Inc.

     20,975        476,132   

Aeropostale, Inc. *

     33,380        434,608   

Asbury Automotive Group, Inc. *

     51,695        1,745,223   

Ascena Retail Group, Inc. *

     56,900        955,351   

Brink’s Co., (The)

     38,885        1,028,508   

Cato Corp., (The), Class A

     13,850        355,391   

CBIZ, Inc. * (a)

     52,160        331,738   

Children’s Place Retail Stores, Inc., (The) *

     11,315        514,380   
    Number of
Shares		     Value  

Consumer Services—(continued)

    

Ennis, Inc.

     20,800      $ 325,728   

Finish Line, Inc., (The), Class A (a)

     109,830        1,989,021   

FTI Consulting, Inc. *

     68,065        2,364,578   

G&K Services, Inc., Class A

     17,557        731,600   

Group 1 Automotive, Inc.

     17,450        1,007,563   

Heidrick & Struggles International, Inc.

     37,820        514,352   

ICF International, Inc. *

     14,400        356,256   

International Speedway Corp., Class A

     38,988        1,175,098   

KAR Auction Services, Inc.

     75,240        1,596,593   

Knoll, Inc.

     45,713        778,035   

Korn/Ferry International *

     17,935        331,977   

Live Nation Entertainment, Inc. *

     69,970        740,982   

MAXIMUS, Inc.

     22,710        1,652,834   

Men’s Wearhouse, Inc., (The)

     51,805        1,456,757   

Navigant Consulting, Inc. *

     117,965        1,501,694   

Odyssey Marine Exploration, Inc. * (a)

     111,540        390,390   

Rent-A-Center, Inc.

     30,235        1,096,926   

RPX Corp. *

     14,685        174,017   

Service Corp. International

     55,585        863,791   

Steiner Leisure Ltd. *

     7,690        362,584   

Steinway Musical Instruments *

     18,485        415,173   

Viad Corp.

     14,255        391,442   

XO Group, Inc. *

     41,540        380,091   
   

 

 

  
      26,438,813   
   

 

 

  

Energy—2.7%

    

Bristow Group, Inc.

     15,960        929,830   

Contango Oil & Gas Co.

     10,530        408,143   

Forum Energy Technologies, Inc. * (a)

     23,195        618,843   

Helix Energy Solutions Group, Inc. *

     32,115        751,812   

Rosetta Resources, Inc. *

     17,620        857,742   

Swift Energy Co. *

     23,025        311,298   
   

 

 

  
      3,877,668   
   

 

 

  

Finance—22.3%

    

American Capital Mortgage Investment Corp.

     28,545        733,607   

Ameris Bancorp *

     22,973        318,865   

AMERISAFE, Inc. *

     17,980        586,508   

Apollo Investment Corp.

     36,055        313,318   

BBCN Bancorp, Inc.

     129,990        1,609,276   

Centerstate Banks, Inc.

     53,235        450,900   

Citizens Republic Bancorp, Inc. *

     45,030        927,618   

Columbia Banking System, Inc.

     27,515        550,300   

Cowen Group, Inc., Class A *

     26,710        69,713   

Fifth Street Finance Corp.

     89,965        962,626   

First American Financial Corp.

     66,355        1,611,763   

First Citizens Bancshares, Inc., Class A

     3,255        584,435   

Flushing Financial Corp.

     26,105        412,459   

Gladstone Capital Corp.

     15,255        138,821   

Global Indemnity PLC *

     13,868        320,351   

Heritage Financial Corp.

     33,580        465,083   

Infinity Property & Casualty Corp.

     10,880        611,347   

Janus Capital Group, Inc. (a)

     86,170        797,934   

JMP Group, Inc.

     65,450        389,427   

Maiden Holdings Ltd.

     156,300        1,575,504   

Nationstar Mortgage Holdings, Inc. * (a)

     59,755        2,302,360   

Navigators Group, Inc., (The) *

     8,665        486,626   

Nelnet, Inc., Class A

     38,271        1,269,832   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

8      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Finance—(continued)

    

Ocwen Financial Corp. *

     81,865      $ 3,227,118   

Park Sterling Corp. *

     42,600        241,968   

PHH Corp. * (a)

     71,465        1,501,480   

Platinum Underwriters Holdings Ltd.

     23,535        1,244,531   

Safety Insurance Group, Inc.

     9,830        462,010   

Stancorp Financial Group Inc

     13,600        541,416   

Stewart Information Services Corp.

     63,935        1,480,095   

SVB Financial Group *

     20,375        1,366,348   

Symetra Financial Corp.

     75,515        994,533   

United Rentals, Inc. *

     12,950        691,660   

Validus Holdings Ltd.

     4,466        159,124   

Walter Investment Management Corp. *

     60,730        2,788,722   

Washington Federal, Inc.

     27,890        489,470   
   

 

 

  
      32,677,148   
   

 

 

  

Health Care—9.7%

    

Addus HomeCare Corp. *

     49,756        438,350   

Amsurg Corp. *

     20,570        621,214   

Centene Corp. *

     13,825        622,402   

Chemed Corp.

     16,130        1,245,075   

Hanger Orthopedic Group, Inc. *

     43,420        1,287,837   

ICON PLC, ADR *

     38,025        1,184,859   

Integra Lifesciences Holdings Corp. *

     12,925        526,564   

Kindred Healthcare, Inc. *

     79,642        897,565   

LHC Group, Inc. *

     16,800        341,376   

LifePoint Hospitals, Inc. *

     14,675        647,021   

Omnicell, Inc. *

     24,945        449,509   

Owens & Minor, Inc. (a)

     25,902        788,716   

PAREXEL International Corp. *

     21,725        753,640   

Select Medical Holdings Corp.

     86,990        803,788   

Symmetry Medical, Inc. *

     116,230        1,212,279   

U.S. Physical Therapy, Inc.

     73,109        1,799,944   

VCA Antech, Inc. *

     25,720        564,811   
   

 

 

  
      14,184,950   
   

 

 

  

Real Estate Investment Trusts—6.8%

  

  

Altisource Residential Corp., Class B * (a)

     25,195        479,713   

Anworth Mortgage Asset Corp.

     119,802        730,792   

Chatham Lodging Trust

     50,330        828,432   

Colony Financial, Inc.

     21,735        481,430   

CYS Investments, Inc. (a)

     157,070        1,862,850   

Gladstone Commercial Corp. (a)

     17,580        333,317   

Hatteras Financial Corp.

     40,770        1,088,151   

Javelin Mortgage Investment Corp (a)

     46,710        895,898   

MFA Financial, Inc.

     89,840        797,779   

Monmouth Real Estate Investment Corp., Class A

     68,730        767,027   

Silver Bay Realty Trust Corp. * (a)

     36,885        753,192   

Two Harbors Investment Corp.

     77,460        996,136   
   

 

 

  
      10,014,717   
   

 

 

  

Technology—9.0%

    

Bel Fuse, Inc., Class B

     28,731        478,658   

Belden, Inc.

     39,300        1,979,148   

Brooks Automation, Inc.

     43,925        444,082   

Coherent, Inc.

     7,095        409,807   

Electronics for Imaging, Inc. *

     27,600        636,456   

EnerSys, Inc. *

     46,415        1,897,445   
    Number of
Shares		     Value  

Technology—(continued)

    

Imation Corp. *

     29,830      $ 101,720   

Insight Enterprises, Inc. *

     19,045        366,045   

Integrated Device Technology, Inc. *

     77,080        524,144   

Lexmark International, Inc., Class A (a)

     55,205        1,215,614   

Magnachip Semiconductor Corp. *

     41,440        652,680   

NETGEAR, Inc. * (a)

     28,150        958,507   

Sykes Enterprises, Inc. *

     80,030        1,189,246   

SYNNEX Corp. *

     40,455        1,542,549   

TeleTech Holdings, Inc. *

     19,810        370,645   

Teradyne, Inc. *

     26,945        451,598   
   

 

 

  
      13,218,344   
   

 

 

  

Transportation—1.6%

    

Diana Shipping, Inc. *

     38,425        326,228   

Landstar System, Inc.

     8,370        471,147   

Quality Distribution, Inc. *

     42,360        334,220   

UTi Worldwide, Inc.

     75,160        1,144,687   
   

 

 

  
      2,276,282   
   

 

 

  

Utilities—1.5%

    

PNM Resources, Inc.

     62,845        1,411,499   

SemGroup Corp., Class A *

     17,645        813,258   
   

 

 

  
      2,224,757   
   

 

 

  

TOTAL COMMON STOCK (Cost $105,903,655)

       140,850,207   
   

 

 

  

SECURITIES LENDING COLLATERAL—12.1%

  

BlackRock Liquidity Fund

     17,809,719        17,809,719   
   

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $17,809,719)

       17,809,719   
   

 

 

  

TOTAL INVESTMENTS—108.1%
(Cost $123,713,374)

       158,659,926   
   

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS—(8.1)%

       (11,838,707 ) 
   

 

 

  

NET ASSETS—100.0%

     $ 146,821,219   
   

 

 

  

 

ADR   —   American Depositary Receipt
PLC   —   Public Limited Company
*   —   Non-income producing.
(a)   —   All or a portion of the security is on loan. (See Note 6 of the Notes to Financial Statements)
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        9   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS SMALL CAP VALUE FUND II (concluded)

   PORTFOLIO OF INVESTMENTS

 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Common Stock *

    $ 140,850,207       $ 140,850,207       $ —       $ —   

Securities Lending Collateral

      17,809,719         17,809,719         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 158,659,926       $ 158,659,926       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for industry and security type breakout.

 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

10      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

LONG POSITIONS—97.8%

  

COMMON STOCK—95.8%

  

Basic Industries—2.4%

    

Greif, Inc., Class B (a)

     43,300      $ 2,320,880   

KapStone Paper and Packaging Corp. †

     117,970        3,142,721   

Owens-Illinois, Inc. * †

     248,380        6,333,690   

Sealed Air Corp. †

     211,965        4,707,743   

Steel Dynamics, Inc.

     154,535        2,359,750   
   

 

 

  
      18,864,784   
   

 

 

  

Capital Goods—7.8%

  

Actuant Corp., Class A †

     118,360        3,599,328   

Babcock & Wilcox Co., (The)

     232,170        6,273,233   

Columbus McKinnon Corp. *

     92,500        1,814,850   

Crane Co. †

     43,430        2,335,665   

EnPro Industries, Inc. * †

     97,280        4,526,438   

Foster Wheeler AG *

     162,090        3,899,885   

General Cable Corp. * †

     137,685        4,535,344   

Gibraltar Industries, Inc. * †

     137,593        2,359,720   

Global Power Equipment Group, Inc. †

     164,045        2,752,675   

Hardinge, Inc.

     98,040        1,282,363   

Masonite Worldwide Holdings, Inc. *

     62,760        2,784,975   

Michael Baker Corp. †

     93,032        2,255,096   

Moog, Inc., Class A * †

     83,780        3,766,749   

NCI Building Systems, Inc. *

     127,055        2,077,349   

Orion Marine Group, Inc. *

     198,495        1,889,672   

Safran SA - ADR

     75,840        3,474,989   

Spirit Aerosystems Holdings, Inc., Class A * †

     359,035        6,250,799   

WaterFurnace Renewable Energy, Inc. †

     136,945        2,230,560   

World Fuel Services Corp. †

     58,715        2,232,931   
   

 

 

  
      60,342,621   
   

 

 

  

Communications—5.8%

  

Comcast Corp., Class A †

     145,815        5,801,979   

Dice Holdings, Inc. *

     284,830        2,745,761   

DIRECTV * †

     188,150        9,063,186   

Hawaiian Telcom Holdco, Inc. * †

     438,914        8,457,873   

IAC/InterActive Corp. †

     89,535        3,648,551   

iPass, Inc. *

     653,655        1,313,847   

Lionbridge Technologies, Inc. *

     612,555        2,339,960   

Time Warner Cable, Inc. †

     79,090        6,832,585   

Yahoo!, Inc. * †

     221,280        4,715,477   
   

 

 

  
      44,919,219   
   

 

 

  

Consumer Durables—1.0%

  

Cooper-Standard Holding, Inc. *

     28,760        1,085,690   

Helen of Troy Ltd. †

     173,450        6,431,526   
   

 

 

  
      7,517,216   
   

 

 

  

Consumer Non-Durables—5.2%

  

Anheuser-Busch InBev NV - Sponsored ADR †

     82,370        7,741,956   

Archer-Daniels-Midland Co.

     73,225        2,332,949   

Crimson Wine Group Ltd *

     38,832        312,594   

Crocs, Inc. *

     201,005        3,047,236   

Energizer Holdings, Inc. †

     47,700        4,385,061   

Hanesbrands, Inc. * †

     100,095        3,967,766   

Lorillard, Inc. †

     105,495        4,065,777   
    Number of
Shares		     Value  

Consumer Non-Durables—(continued)

  

Molson Coors Brewing Co., Class B †

     103,120      $ 4,558,935   

Philip Morris International, Inc.

     42,950        3,940,663   

Revlon, Inc., Class A *

     12,081        272,427   

Unilever NV

     153,550        5,976,166   
   

 

 

  
      40,601,530   
   

 

 

  

Consumer Services—11.8%

  

Acacia Research Corp. *

     78,676        2,199,781   

Barrett Business Services, Inc.

     11,512        502,844   

Century Casinos, Inc. * †

     831,881        2,454,049   

CRA International, Inc. *

     204,800        4,528,128   

CVS Caremark Corp. †

     127,115        6,498,119   

DreamWorks Animation SKG, Inc., Class A * (a)

     179,365        2,977,459   

Ennis, Inc. †

     327,350        5,126,301   

Express, Inc. *

     161,405        2,985,993   

GNC Holdings, Inc., Class A †

     112,910        4,629,310   

Hudson Global, Inc. * †

     200,865        739,183   

ICF International, Inc. * †

     264,180        6,535,813   

Insperity, Inc. †

     158,375        4,489,931   

International Speedway Corp., Class A †

     206,165        6,213,813   

Kelly Services, Inc., Class A

     60,520        1,068,783   

Liberty Interactive Corp., Class A * †

     146,390        3,056,623   

Liberty Ventures, Series A * †

     9,759        704,600   

Nash Finch Co. †

     207,797        3,983,469   

TESCO PLC - Sponsored ADR †

     188,255        3,179,627   

Towers Watson & Co., Class A †

     77,610        5,166,498   

Valuevision Media, Inc., Class A *

     633,045        1,658,578   

Viacom, Inc., Class B †

     64,405        3,765,116   

Wal-Mart Stores, Inc. †

     62,360        4,413,841   

Walgreen Co. †

     185,065        7,576,561   

Walt Disney Co., (The) †

     126,960        6,930,747   

XO Group, Inc. *

     67,765        620,050   
   

 

 

  
      92,005,217   
   

 

 

  

Energy—10.2%

  

Apache Corp. †

     84,390        6,267,645   

Calfrac Well Services Ltd.

     141,980        3,333,676   

Canadian Natural Resources Ltd. †

     127,315        3,881,834   

Cenovus Energy, Inc. †

     99,185        3,204,667   

Diamond Offshore Drilling, Inc. (a)

     44,925        3,130,374   

Ensco PLC, Class A †

     41,810        2,514,453   

EOG Resources, Inc. †

     37,475        4,710,982   

EQT Corp. †

     84,670        5,341,830   

Halliburton Co. †

     151,035        6,269,463   

Legacy Oil + Gas, Inc. *

     331,595        2,052,573   

National Oilwell Varco, Inc. †

     54,515        3,714,107   

Occidental Petroleum Corp. †

     117,645        9,685,713   

Rosetta Resources, Inc. * †

     78,005        3,797,283   

Royal Dutch Shell PLC - ADR †

     151,360        9,936,784   

Schlumberger Ltd. †

     29,955        2,331,997   

SM Energy Co. †

     43,595        2,523,279   

Tesoro Corp. †

     52,525        2,954,006   

Weatherford International Ltd. *

     331,865        3,942,556   
   

 

 

  
      79,593,222   
   

 

 

  

Finance—18.7%

  

ACE Ltd. †

     78,400        6,694,576   

AerCap Holdings NV *

     160,105        2,484,830   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        11   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Finance—(continued)

  

Alterra Capital Holdings Ltd.

     25,350      $ 776,724   

American International Group, Inc. * †

     250,350        9,515,804   

AON PLC †

     102,205        6,243,703   

Axis Capital Holdings Ltd. †

     92,130        3,752,455   

Berkshire Hathaway, Inc., Class B * †

     105,720        10,800,355   

Century Bancorp, Inc., Class A †

     38,003        1,254,099   

Charles Schwab Corp., (The) †

     135,320        2,197,597   

Citigroup, Inc. †

     135,718        5,696,084   

Cowen Group, Inc., Class A *

     775,320        2,023,585   

Endurance Specialty Holdings Ltd. †

     142,510        6,276,140   

Fairfax Financial Holdings Ltd. †

     4,970        1,883,630   

First Southern Bancorp, Inc. Class B 144A ‡

     64,350        388,674   

Flushing Financial Corp. †

     107,711        1,701,834   

HF Financial Corp.

     83,779        1,125,990   

JPMorgan Chase & Co. †

     101,846        4,982,306   

Leucadia National Corp. †

     388,315        10,445,674   

Loews Corp. †

     83,730        3,609,600   

Maiden Holdings Ltd. †

     887,322        8,944,206   

Morgan Stanley †

     171,375        3,864,506   

NASDAQ OMX Group, Inc., (The) †

     32,815        1,038,923   

National Western Life Insurance Co., Class A †

     12,845        2,091,937   

NBH Holdings Corp., Class A 144A ‡

     79,735        1,153,765   

New Hampshire Thrift Bancshares, Inc.

     29,529        393,031   

Nicholas Financial, Inc.

     122,637        1,661,731   

OceanFirst Financial Corp. †

     36,680        511,319   

PartnerRe Ltd. †

     55,885        4,987,177   

Primus Guaranty Ltd. * (a)

     129,701        1,258,100   

RenaissanceRe Holdings Ltd. †

     46,300        4,048,472   

State Street Corp. †

     69,055        3,907,823   

Steel Excel, Inc. * †

     229,697        5,799,849   

TD Ameritrade Holding Corp. †

     153,070        2,909,861   

Torchmark Corp. †

     60,235        3,384,605   

Tower Group, Inc. †

     267,790        4,994,284   

Travelers Cos., Inc., (The) †

     46,295        3,723,044   

Validus Holdings Ltd. †

     139,217        4,960,302   

White Mountains Insurance Group Ltd. †

     6,855        3,873,075   
   

 

 

  
      145,359,670   
   

 

 

  

Health Care—15.6%

  

Allscripts Healthcare Solutions, Inc. * †

     793,835        10,097,581   

Alpha PRO Tech Ltd. *

     485,210        786,040   

AmerisourceBergen Corp. †

     123,395        5,824,244   

Amgen, Inc. †

     62,505        5,713,582   

Amsurg Corp. * †

     180,695        5,456,989   

Baxter International, Inc. †

     57,600        3,893,760   

Becton, Dickinson & Co. †

     35,355        3,113,361   

BioClinica, Inc. * †

     327,186        2,368,827   

CardioNet, Inc. *

     505,851        1,259,569   

Charles River Laboratories International, Inc. * †

     44,905        1,829,430   

Cross Country Healthcare, Inc. * †

     456,352        2,601,206   

Express Scripts Holding Co. * †

     83,990        4,779,871   

Humana, Inc. †

     86,485        5,903,466   

Invacare Corp. †

     139,975        2,031,037   

Johnson & Johnson †

     81,585        6,209,434   
    Number of
Shares		     Value  

Health Care—(continued)

    

Laboratory Corp. of America Holdings * †

     76,390      $ 6,768,154   

Masimo Corp. †

     108,385        2,151,442   

MFC Industrial Ltd

     237,160        2,369,228   

Myriad Genetics, Inc. * †

     95,180        2,419,476   

Omnicare, Inc. †

     101,980        3,799,775   

Orthofix International NV *

     59,690        2,224,049   

Pfizer, Inc. †

     366,480        10,030,558   

Sanofi - ADR †

     162,095        7,652,505   

Teva Pharmaceutical Industries Ltd. - Sponsored ADR †

     182,225        6,815,215   

UnitedHealth Group, Inc. †

     91,500        4,890,675   

Universal Health Services, Inc., Class B †

     107,870        6,244,594   

WuXi PharmaTech Cayman, Inc., - ADR *

     246,480        4,027,483   
   

 

 

  
      121,261,551   
   

 

 

  

Real Estate Investment Trusts—0.9%

  

CBRE Group, Inc., Class A * †

     205,005        4,954,971   

Reis, Inc. * †

     157,698        2,404,895   
   

 

 

  
      7,359,866   
   

 

 

  

Technology—15.4%

  

Active Network, Inc., (The) * (a)

     479,125        2,247,096   

Actuate Corp. * †

     1,008,755        6,062,618   

Alpha & Omega Semiconductor Ltd *

     543,538        4,380,916   

Amdocs Ltd. †

     116,445        4,246,749   

Amkor Technology, Inc. * (a) †

     600,100        2,430,405   

Anixter International, Inc. †

     56,535        3,896,392   

Arrow Electronics, Inc. * †

     47,280        1,898,292   

Avnet, Inc. * †

     55,985        1,976,830   

Celestica, Inc. *

     614,130        4,992,877   

Coleman Cable, Inc.

     736,458        7,298,299   

CSG Systems International, Inc. * †

     225,595        4,378,799   

EMC Corp. * †

     233,045        5,362,366   

Fiserv, Inc. * †

     37,550        3,083,231   

Flextronics International Ltd. *

     411,295        2,735,112   

GSI Group, Inc. *

     526,764        5,056,934   

Hemisphere GPS, Inc. *

     159,850        126,921   

Ingram Micro, Inc., Class A * †

     258,890        4,882,665   

LSI Corp. *

     436,745        3,039,745   

Microsoft Corp. †

     229,260        6,373,428   

Molex, Inc., Class A

     99,545        2,261,662   

O2Micro International Ltd - ADR *

     911,730        2,926,653   

ON Semiconductor Corp. *

     417,155        3,337,240   

Oplink Communications, Inc. * †

     205,670        3,159,091   

Oracle Corp. †

     172,449        5,908,103   

QLogic Corp. * †

     323,775        3,684,560   

Rovi Corp. * †

     159,535        2,838,128   

SAIC, Inc. †

     281,020        3,321,656   

TE Connectivity Ltd.

     138,095        5,541,752   

Thermo Fisher Scientific, Inc. †

     72,140        5,323,932   

Travelsky Technology Ltd, Class H

     7,037,185        4,609,356   

Vishay Intertechnology, Inc. * †

     167,865        2,214,139   
   

 

 

  
      119,595,947   
   

 

 

  
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

12      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)

  PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Transportation—1.0%

  

Aurizon Holdings Ltd

     392,900      $ 1,618,748   

Con-way, Inc. †

     65,905        2,316,561   

Diana Shipping, Inc.

     295,510        2,508,880   

Vitran Corp., Inc. *

     238,971        1,467,282   
   

 

 

  
      7,911,471   
   

 

 

  

TOTAL COMMON STOCK
(Cost $646,671,875)

       745,332,314   
   

 

 

  

PREFERRED STOCK—0.0%

  

Finance—0.0%

    

First Southern Bancorp, Inc., 5.000% 144A ‡

     110        151,152   
   

 

 

  

TOTAL PREFERRED STOCK
(Cost $110,000)

       151,152   
   

 

 

  

EXCHANGE TRADED FUND—0.6%

  

ProShares Short 20+ Year Treasury *

     150,710        4,497,186   
   

 

 

  

TOTAL EXCHANGE TRADED FUND
(Cost $4,348,303)

       4,497,186   
   

 

 

  

SECURITIES LENDING COLLATERAL—1.4%

  

BlackRock Liquidity Fund

     10,859,274        10,859,274   
   

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,859,274)

       10,859,274   
   

 

 

  

TOTAL LONG POSITIONS—97.8%
(Cost $661,989,452)

       760,839,926   
   

 

 

  

SECURITIES SOLD SHORT—(62.0%)

  

  

COMMON STOCK—(62.0%)

    

Basic Industries—(1.0%)

    

AEP Industries, Inc. *

     (53,675 )      (3,785,698 ) 

American Vanguard Corp.

     (49,650 )      (1,540,639 ) 

Ethanex Energy, Inc. *

     (648 )      (259 ) 

Kennady Diamonds, Inc. *

     (46,500 )      (55,462 ) 

MAG Silver Corp. *

     (83,345 )      (791,778 ) 

Mountain Province Diamonds, Inc. *

     (277,767 )      (1,102,735 ) 

Tanzanian Royalty Exploration Corp. *

     (193,370 )      (680,662 ) 
   

 

 

  
      (7,957,233 ) 
   

 

 

  

Capital Goods—(6.8%)

    

Applied Energetics, Inc. *

     (238,070 )      (6,333 ) 

Applied Nanotech Holdings, Inc. *

     (8,285 )      (1,152 ) 

Builders FirstSource, Inc. *

     (475,340 )      (2,875,807 ) 

Cummins, Inc.

     (32,120 )      (3,721,744 ) 

DynaMotive Energy Systems Corp. * ‡

     (72,185 )      (7 ) 

EDAC Technologies Corp. *

     (98,240 )      (1,503,072 ) 

Interface, Inc.

     (250,260 )      (4,582,261 ) 

Kimball International, Inc., Class B

     (134,432 )      (1,238,119 ) 

Lindsay Corp.

     (72,390 )      (6,185,726 ) 

Middleby Corp. *

     (16,040 )      (2,394,932 ) 

Polypore International, Inc. *

     (84,250 )      (3,225,090 ) 

Smith & Wesson Holding Corp. *

     (431,120 )      (4,117,196 ) 

Titan International, Inc.

     (168,412 )      (3,555,177 ) 

TransDigm Group, Inc.

     (27,920 )      (3,974,133 ) 
    Number of
Shares		     Value  

Capital Goods—(continued)

    

Trex Co., Inc. *

     (207,215 )    $ (9,788,837 ) 

USG Corp. *

     (118,280 )      (3,337,862 ) 

Vulcan Materials Co.

     (47,020 )      (2,394,729 ) 
   

 

 

  
      (52,902,177 ) 
   

 

 

  

Communications—(3.2%)

    

Cogent Communications Group, Inc.

     (157,680 )      (3,965,652 ) 

CTC Communications Group, Inc. * ‡

     (98,900 )      (10 ) 

eGain Communications Corp. *

     (160,300 )      (1,280,797 ) 

Elephant Talk Communications, Inc. *

     (239,001 )      (286,801 ) 

Equinix, Inc. *

     (22,140 )      (4,683,717 ) 

Interliant, Inc. * ‡

     (600 )      0   

j2 Global Communications, Inc.

     (15,284 )      (545,333 ) 

LivePerson, Inc. *

     (206,805 )      (2,992,468 ) 

MicroStrategy, Inc., Class A *

     (22,375 )      (2,279,565 ) 

Pandora Media, Inc. *

     (186,590 )      (2,276,398 ) 

Rackspace Hosting, Inc. *

     (81,073 )      (4,528,738 ) 

Shutterfly, Inc. *

     (44,560 )      (1,928,557 ) 
   

 

 

  
      (24,768,036 ) 
   

 

 

  

Consumer Durables—(2.9%)

    

American Axle & Manaufacturing Holdings, Inc. *

     (191,770 )      (2,425,890 ) 

Cavco Industries, Inc. *

     (35,330 )      (1,593,736 ) 

Dorman Products, Inc.

     (63,755 )      (2,228,875 ) 

National Presto Industries, Inc.

     (27,995 )      (2,127,340 ) 

Qsound Labs, Inc. *

     (4,440 )      (2,221 ) 

SodaStream International Ltd. *

     (72,570 )      (3,453,606 ) 

Standard Pacific Corp. *

     (257,555 )      (2,096,498 ) 

Tesla Motors, Inc. *

     (92,880 )      (3,235,010 ) 

Toll Brothers, Inc. *

     (95,015 )      (3,241,912 ) 

Whirlpool Corp.

     (20,440 )      (2,308,698 ) 
   

 

 

  
      (22,713,786 ) 
   

 

 

  

Consumer Non-Durables—(4.9%)

    

Amish Naturals, Inc. * ‡

     (25,959 )      (156 ) 

Annie’s, Inc. *

     (81,790 )      (3,431,908 ) 

Boston Beer Co., Inc., (The) Class A *

     (12,680 )      (1,970,852 ) 

Boulder Brands, Inc. *

     (319,105 )      (2,718,775 ) 

Cal-Maine Foods, Inc.

     (47,665 )      (1,929,956 ) 

Female Health Co., (The)

     (336,400 )      (2,388,440 ) 

Fifth & Pacific Cos, Inc. *

     (233,900 )      (4,231,251 ) 

Glu Mobile, Inc. *

     (345,780 )      (784,921 ) 

Green Mountain Coffee Roasters, Inc. *

     (102,765 )      (4,908,056 ) 

Mead Johnson Nutrition Co

     (37,320 )      (2,795,641 ) 

Monster Beverage Corp. *

     (62,465 )      (3,150,110 ) 

Post Holdings, Inc. *

     (93,805 )      (3,626,501 ) 

Quiksilver, Inc. *

     (343,350 )      (2,145,938 ) 

Tumi Holdings, Inc. *

     (164,690 )      (3,893,272 ) 

Valence Technology, Inc. *

     (27,585 )      (472 ) 
   

 

 

  
      (37,976,249 ) 
   

 

 

  

Consumer Services—(13.4%)

    

Acxiom Corp. *

     (151,370 )      (2,756,448 ) 

Amazon.com, Inc. *

     (12,445 )      (3,288,840 ) 

Arctic Cat, Inc. *

     (91,900 )      (3,338,727 ) 

Barnes & Noble, Inc. *

     (108,840 )      (1,713,142 ) 

Best Buy Co., Inc.

     (115,675 )      (1,898,227 ) 

BJ’s Restaurants, Inc. *

     (195 )      (6,004 ) 

Blue Nile, Inc. *

     (112,363 )      (3,812,477 ) 
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        13   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)

  PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Consumer Services—(continued)

    

Buffalo Wild Wings, Inc. *

     (52,825 )    $ (4,156,799 ) 

Chipotle Mexican Grill, Inc. *

     (12,135 )      (3,844,247 ) 

Conn’s, Inc. *

     (87,180 )      (2,793,247 ) 

Cumulus Media, Inc., Class A *

     (588,735 )      (1,925,163 ) 

Fresh Market, Inc., (The) *

     (41,545 )      (1,936,828 ) 

GameStop Corp., Class A

     (46,400 )      (1,162,784 ) 

Higher One Holdings Inc *

     (282,725 )      (2,527,561 ) 

Ignite Restaurant Group, Inc. *

     (169,120 )      (2,374,445 ) 

Imax Corp. *

     (103,880 )      (2,669,716 ) 

InnerWorkings, Inc. *

     (150,215 )      (2,218,676 ) 

Iron Mountain, Inc.

     (68,811 )      (2,373,980 ) 

Landauer, Inc.

     (23,629 )      (1,387,259 ) 

Lululemon Athletica, Inc. *

     (87,285 )      (5,852,459 ) 

Manchester United PLC, Class A *

     (136,165 )      (2,386,972 ) 

Mattress Firm Holding Corp. *

     (90,297 )      (2,514,771 ) 

Medidata Solutions, Inc. *

     (38,425 )      (2,002,711 ) 

Netflix, Inc. *

     (45,110 )      (8,484,289 ) 

New Oriental Education & Technology Group. - Sponsored ADR

     (111,430 )      (1,693,736 ) 

Polaris Industries, Inc.

     (25,910 )      (2,263,757 ) 

RadioShack Corp.

     (455,615 )      (1,366,845 ) 

Red Robin Gourmet Burgers, Inc. *

     (79,540 )      (3,410,675 ) 

Ritchie Bros. Auctioneers, Inc.

     (207,415 )      (4,724,914 ) 

Sears Holdings Corp. *

     (43,590 )      (1,961,550 ) 

Sturm Ruger & Co., Inc.

     (81,315 )      (4,440,612 ) 

Texas Roadhouse, Inc.

     (190,555 )      (3,685,334 ) 

Tractor Supply Co.

     (26,945 )      (2,802,011 ) 

Ulta Salon Cosmetics & Fragrance, Inc.

     (16,646 )      (1,474,170 ) 

Urban Outfitters, Inc. *

     (100,445 )      (4,070,031 ) 

Viggle, Inc. *

     (4,896 )      (3,868 ) 

VistaPrint NV *

     (62,615 )      (2,191,525 ) 

Yum! Brands, Inc.

     (43,310 )      (2,835,939 ) 
   

 

 

  
      (104,350,739 ) 
   

 

 

  

Energy—(0.7%)

    

Beard Co. *

     (9,710 )      (131 ) 

Crescent Point Energy Corp.

     (32,120 )      (1,215,421 ) 

InterOil Corp. *

     (21,570 )      (1,504,939 ) 

Miller Energy Resources, Inc. *

     (253,560 )      (993,955 ) 

Petroleo Brasileiro SA - ADR

     (115,180 )      (1,689,691 ) 
   

 

 

  
      (5,404,137 ) 
   

 

 

  

Finance—(0.7%)

    

African Bank Investments Ltd. - ADR

     (121,955 )      (1,951,280 ) 

DFC Global Corp. *

     (152,585 )      (2,850,288 ) 

Value Line, Inc.

     (78,574 )      (756,668 ) 
   

 

 

  
      (5,558,236 ) 
   

 

 

  

Health Care—(13.0%)

    

ABIOMED, Inc. *

     (148,605 )      (2,383,624 ) 

Advisory Board Co., (The) *

     (65,150 )      (3,310,271 ) 

Agenus, Inc. *

     (175,605 )      (751,589 ) 

Air Methods Corp.

     (71,640 )      (3,208,756 ) 

Align Technology, Inc. *

     (99,260 )      (3,120,734 ) 

Alnylam Pharmaceuticals, Inc. *

     (85,300 )      (2,020,757 ) 

Arena Pharmaceuticals, Inc. *

     (279,895 )      (2,348,319 ) 

Ariad Pharmaceuticals, Inc. *

     (199,610 )      (4,197,798 ) 
    Number of
Shares		     Value  

Health Care—(continued)

    

athenahealth, Inc. *

     (32,520 )    $ (3,050,051 ) 

AVANIR Pharmaceuticals, Inc., Class A *

     (702,330 )      (1,917,361 ) 

Biotime, Inc. *

     (105,150 )      (442,681 ) 

BodyTel Scientific, Inc. *

     (4,840 )      0   

CareView Communications, Inc. *

     (207,465 )      (165,972 ) 

Cerner Corp. *

     (66,225 )      (5,792,038 ) 

Conceptus, Inc. *

     (183,910 )      (4,106,710 ) 

Curis, Inc. *

     (228,155 )      (613,737 ) 

DexCom, Inc. *

     (156,995 )      (2,343,935 ) 

Edwards Lifesciences Corp. *

     (39,390 )      (3,384,783 ) 

Endologix, Inc. *

     (218,370 )      (3,288,652 ) 

Fluidigm Corp. *

     (125,015 )      (2,157,759 ) 

Forest Laboratories, Inc. *

     (100,480 )      (3,697,664 ) 

HealthStream, Inc. *

     (79,135 )      (1,692,698 ) 

HeartWare International, Inc. *

     (55,720 )      (4,759,602 ) 

Hi-Tech Pharmacal Co., Inc.

     (82,945 )      (3,069,794 ) 

HMS Holdings Corp. *

     (208,085 )      (6,032,384 ) 

ICU Medical, Inc. *

     (44,295 )      (2,514,184 ) 

IDEXX Laboratories, Inc. *

     (42,760 )      (3,939,051 ) 

Incyte Corp. Ltd. *

     (140,595 )      (3,121,209 ) 

Insulet Corp. *

     (86,530 )      (1,952,982 ) 

Mindray Medical International Ltd. - ADR

     (80,220 )      (3,017,074 ) 

Quidel Corp. *

     (137,935 )      (3,264,921 ) 

ResMed, Inc.

     (69,265 )      (3,081,600 ) 

Seattle Genetics, Inc. *

     (228,502 )      (6,430,046 ) 

Sequenom, Inc. *

     (424,760 )      (1,745,764 ) 

Spectrum Pharmaceuticals, Inc.

     (331,995 )      (3,784,743 ) 
   

 

 

  
      (100,709,243 ) 
   

 

 

  

Technology—(13.9%)

    

3D Systems Corp. *

     (125,760 )      (4,648,090 ) 

ANTs Software, Inc. *

     (10,334 )      (1 ) 

Aspen Technology, Inc. *

     (197,535 )      (6,076,177 ) 

Cavium, Inc. *

     (63,710 )      (2,352,173 ) 

Ciena Corp. *

     (266,805 )      (4,066,108 ) 

Cirrus Logic, Inc. *

     (199,055 )      (4,785,282 ) 

CommVault Systems, Inc. *

     (36,110 )      (2,670,334 ) 

Consygen, Inc. * ‡

     (200 )      0   

Cornerstone OnDemand, Inc. *

     (56,850 )      (1,924,941 ) 

Cray, Inc. *

     (123,305 )      (2,385,952 ) 

Demandware, Inc. *

     (117,650 )      (3,111,842 ) 

E2open, Inc. *

     (127,780 )      (2,524,933 ) 

Ellie Mae, Inc. *

     (118,885 )      (2,413,365 ) 

Ener1, Inc. * ‡

     (102,820 )      (10 ) 

EZchip Semiconductor Ltd. *

     (53,455 )      (1,296,818 ) 

First Solar, Inc. *

     (115,830 )      (2,994,205 ) 

Fusion-io, Inc. *

     (178,385 )      (3,011,139 ) 

Garmin Ltd

     (55,115 )      (1,892,649 ) 

Generac Holdings, Inc.

     (42,345 )      (1,458,785 ) 

Infinera Corp. *

     (273,980 )      (1,778,130 ) 

IntraLinks Holdings, Inc. *

     (354,203 )      (2,082,714 ) 

IPG Photonics Corp.

     (88,730 )      (5,260,802 ) 

Ixia *

     (114,425 )      (2,320,539 ) 

Jive Software, Inc. *

     (105,490 )      (1,749,024 ) 

MoSys, Inc. *

     (153,340 )      (532,090 ) 

NAM TAI Electronics, Inc.

     (137,204 )      (1,871,463 ) 

Nestor, Inc. *

     (15,200 )      (15 ) 
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

14      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (continued)

  PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Technology—(continued)

    

NetSuite, Inc. *

     (30,725 )    $ (2,144,298 ) 

Nokia OYJ - ADR

     (663,175 )      (2,420,589 ) 

Power Integrations, Inc.

     (59,220 )      (2,475,988 ) 

QLIK Technologies, Inc. *

     (167,595 )      (4,357,470 ) 

RealPage, Inc. *

     (79,600 )      (1,724,136 ) 

Research In Motion Ltd. *

     (231,695 )      (3,093,128 ) 

Ruckus Wireless, Inc.

     (99,415 )      (2,123,504 ) 

Salesforce.com, Inc. *

     (19,925 )      (3,371,709 ) 

ServiceNow, Inc.

     (58,060 )      (1,885,208 ) 

Tessco Technologies, Inc.

     (315,766 )      (7,189,992 ) 

TIBCO Software, Inc. *

     (89,900 )      (1,928,355 ) 

Tiger Telematics, Inc. * ‡

     (6,510 )      (7 ) 

TigerLogic Corp. *

     (96,490 )      (178,507 ) 

Tower Semiconductor Ltd. *

     (34,291 )      (233,179 ) 

Ultratech, Inc. *

     (91,265 )      (3,740,040 ) 

Uni-Pixel, Inc. *

     (22,125 )      (522,150 ) 

Universal Display Corp. *

     (75,960 )      (2,383,625 ) 

ViaSat, Inc. *

     (116,970 )      (5,492,911 ) 

WorldGate Communications, Inc. *

     (582,655 )      (1,165 ) 

Xybernaut Corp. * ‡

     (34,156 )      0   
   

 

 

  
      (108,473,542 ) 
   

 

 

  

Transportation—(1.3%)

    

American Railcar Industries, Inc.

     (144,201 )      (6,292,932 ) 

Student Transportation, Inc.

     (569,485 )      (3,656,094 ) 
   

 

 

  
      (9,949,026 ) 
   

 

 

  

Utilities—(0.2%)

    

Cadiz, Inc. *

     (72,010 )      (485,347 ) 

Solarcity Corp. *

     (74,570 )      (1,350,463 ) 
   

 

 

  
      (1,835,810 ) 
   

 

 

  

TOTAL COMMON STOCK (Proceeds $436,021,953)

       (482,598,214 ) 
   

 

 

  

TOTAL SECURITIES SOLD SHORT—(62.0%)
(Proceeds $436,021,953)

       (482,598,214 ) 
   

 

 

  
    Number of
Contracts		        

OPTIONS WRITTEN ††—0.0%

    

Arena Pharmaceuticals, Inc.
Call Options
Expires 01/18/14
Strike Price $10

     (1,140 )      (181,260 ) 
   

 

 

  

TOTAL OPTIONS WRITTEN (Premiums received $225,622)

       (181,260 ) 
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES—64.2%

       499,632,016   
   

 

 

  

NET ASSETS—100.0%

     $ 777,692,468   
   

 

 

  
ADR   —   American Depositary Receipt
PLC   —   Public Limited Company
144A   —   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2013, these securities amounted to $1,693,591 or 0.2% of net assets. These 144A securities have not been deemed illiquid.
*   —   Non-income producing.
(a)   —   All or a portion of the security is on loan. (See Note 6 of the Notes to Financial Statements)
†   —   Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
††   —   Primary risk exposure is equity contracts.
‡   —   Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.‘s Board of Directors. As of February 28, 2013 long positions amounted to $1,693,591 and short positions amounted to ($190), or 0.2% and (0.0)%, respectively, of net assets.
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        15   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT EQUITY FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Common Stock

            

Basic Industries

    $ 18,864,784         18,864,784       $ —       $ —   

Capital Goods

      60,342,621         60,342,621         —         —   

Communications

      44,919,219         44,919,219         —         —   

Consumer Durables

      7,517,216         7,517,216         —         —   

Consumer Non-Durables

      40,601,530         40,601,530         —         —   

Consumer Services

      92,005,217         92,005,217         —         —   

Energy

      79,593,222         79,593,222         —         —   

Finance

      145,359,670         143,817,231         —         1,542,439   

Health Care

      121,261,551         121,261,551         —         —   

Real Estate Investment Trusts

      7,359,866         7,359,866         —         —   

Technology

      119,595,947         119,595,947         —         —   

Transportation

      7,911,471         7,911,471         —         —   

Preferred Stocks

            

Finance

      151,152         —         —         151,152   

Exchange Traded Fund

      4,497,186         4,497,186         —         —   

Securities Lending Collateral

      10,859,274         10,859,274         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 760,839,926       $ 759,146,335       $ —       $ 1,693,591   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Securities Sold Short

            

Basic Industries

    $ (7,957,233 )     $ (7,957,233 )     $ —       $ —   

Capital Goods

      (52,902,177 )       (52,902,170 )       —         (7 ) 

Communications

      (24,768,036 )       (24,768,026 )       —         (10 ) 

Consumer Durables

      (22,713,786 )       (22,713,786 )       —         —   

Consumer Non-Durables

      (37,976,249 )       (37,976,093 )       —         (156 ) 

Consumer Services

      (104,350,739 )       (104,350,739 )       —         —   

Energy

      (5,404,137 )       (5,404,137 )       —         —   

Finance

      (5,558,236 )       (5,558,236 )       —         —   

Health Care

      (100,709,243 )       (100,709,243 )       —         —   

Technology

      (108,473,542 )       (108,473,525 )       —         (17 ) 

Transportation

      (9,949,026 )       (9,949,026 )       —         —   

Utilities

      (1,835,810 )       (1,835,810 )       —         —   

Options Written

            

Equity Contracts

      (181,260 )       —         (181,260 )       —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

    $ (482,779,474 )     $ (482,598,024 )     $ (181,260 )     $ (190 ) 
  

 

 

     

 

 

     

 

 

     

 

 

  

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

16      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

LONG POSITIONS—92.4%

  

COMMON STOCK—92.4%

  

Basic Industries—4.8%

  

AuRico Gold, Inc. *

     129,645      $ 810,870   

CaesarStone Sdot-Yam Ltd. *

     85,173        1,980,272   

Cambrex Corp. *

     125,480        1,444,275   

Chemtura Corp. *

     60,330        1,213,840   

Crown Holdings, Inc. * †

     83,442        3,243,390   

Fuji Seal International, Inc.

     134,400        3,078,338   

Graphic Packaging Holding Co. * †

     713,345        5,293,020   

International Paper Co. †

     66,540        2,928,425   

Owens-Illinois, Inc. *

     134,525        3,430,387   

PH Glatfelter Co.

     150,875        2,738,381   

Sensient Technologies Corp. †

     66,635        2,459,498   

Smurfit Kappa Group PLC

     219,565        3,418,341   

Yamana Gold, Inc.

     84,820        1,247,702   
   

 

 

  
      33,286,739   
   

 

 

  

Capital Goods—16.7%

  

3M Co. †

     32,896        3,421,184   

ABB Ltd. - Sponsored ADR

     102,053        2,318,644   

AGCO Corp. †

     70,700        3,639,636   

Babcock & Wilcox Co., (The) †

     70,100        1,894,102   

Carlisle Cos, Inc. †

     36,244        2,459,880   

CIRCOR International, Inc. †

     71,117        2,964,156   

CNH Global NV †

     41,250        1,827,375   

Cubic Corp. †

     57,085        2,382,728   

Curtiss-Wright Corp. †

     44,118        1,531,336   

Dover Corp. †

     34,510        2,531,308   

Emerson Electric Co. †

     36,370        2,062,179   

EnPro Industries, Inc. * †

     48,827        2,271,920   

Flowserve Corp. †

     13,111        2,104,315   

Fluor Corp. †

     52,486        3,248,883   

Foster Wheeler AG *

     121,435        2,921,726   

General Electric Co. †

     191,388        4,444,029   

Gibraltar Industries, Inc. *

     154,830        2,655,334   

HB Fuller Co. †

     75,590        3,089,363   

Honeywell International, Inc. †

     46,335        3,248,083   

Hubbell, Inc., Class B †

     23,470        2,180,598   

Huntington Ingalls Industries, Inc. †

     54,345        2,610,734   

Illinois Tool Works, Inc. †

     22,100        1,359,150   

Joy Global, Inc. †

     40,860        2,588,072   

LB Foster Co., Class A

     56,485        2,494,378   

Lockheed Martin Corp. †

     25,150        2,213,200   

Meggitt PLC

     190,190        1,311,655   

Metso OYJ

     29,504        1,267,275   

Minerals Technologies, Inc. †

     48,312        1,944,075   

MYR Group, Inc. *

     141,008        3,272,796   

Northrop Grumman Corp. †

     30,740        2,019,003   

PACCAR, Inc. †

     53,590        2,541,774   

Parker Hannifin Corp. †

     29,880        2,823,062   

Precision Castparts Corp. †

     12,690        2,367,827   

Raytheon Co. †

     34,920        1,905,584   

Rheinmetall AG

     54,449        2,996,273   

Smiths Group PLC

     130,322        2,493,075   

Stanley Black & Decker, Inc. †

     52,400        4,123,880   

Textron, Inc. †

     116,335        3,356,265   

Triumph Group, Inc. †

     45,210        3,318,866   

Tyco International Ltd. †

     86,060        2,754,781   
    Number of
Shares		     Value  

Capital Goods—(continued)

  

United Technologies Corp. †

     26,570      $ 2,405,914   

URS Corp. †

     55,250        2,334,865   

Valmont Industries, Inc. †

     19,286        3,038,509   

WESCO International, Inc. * †

     56,490        4,174,611   

Xylem, Inc. †

     64,677        1,778,618   
   

 

 

  
      116,691,021   
   

 

 

  

Communications—4.9%

  

Baidu, Inc. - Sponsored ADR * †

     30,340        2,753,658   

Comcast Corp., Class A †

     88,740        3,530,965   

Google, Inc., Class A * †

     6,470        5,183,764   

IAC/InterActive Corp. †

     127,190        5,182,993   

Liberty Global, Inc., Class A * †

     36,915        2,543,074   

Liberty Global, Inc., Class C *

     10,000        638,600   

RigNet, Inc. * †

     65,954        1,294,017   

Sina Corp. *

     37,640        1,945,235   

Time Warner Cable, Inc. †

     33,810        2,920,846   

Vodafone Group PLC - Sponsored ADR †

     71,325        1,793,111   

Windstream Corp. †

     194,330        1,669,295   

Yahoo Japan Corp.

     8,000        3,387,636   

Yahoo!, Inc. *

     56,940        1,213,391   
   

 

 

  
      34,056,585   
   

 

 

  

Consumer Durables—3.5%

  

Cie Generale des Etablissements Michelin

     29,616        2,646,247   

Harman International Industries, Inc.

     63,845        2,710,220   

Lear Corp. †

     78,888        4,214,197   

LISI

     13,735        1,289,651   

Newell Rubbermaid, Inc. †

     150,470        3,511,970   

NVR, Inc. *

     2,610        2,634,012   

Samsung Electronics Co. Ltd.

     2,855        4,070,944   

Tower International, Inc. *

     38,862        467,898   

TS Tech Co. Ltd.

     122,675        2,992,428   
   

 

 

  
      24,537,567   
   

 

 

  

Consumer Non-Durables—3.7%

  

  

Activision Blizzard, Inc.

     109,000        1,558,700   

British American Tobacco PLC

     85,095        4,433,738   

Coca-Cola Enterprises, Inc. †

     65,970        2,360,407   

Cott Corp. †

     277,720        2,652,226   

Electronic Arts, Inc. * †

     195,800        3,432,374   

Henkel AG & Co. KGaA

     34,638        2,562,713   

Ingredion, Inc. †

     38,385        2,541,087   

Kerry Group PLC, Class A

     19,067        1,069,401   

Perfect World Co. Ltd. - Sponsored ADR †

     239,300        2,718,448   

Unilever NV †

     60,595        2,358,357   
   

 

 

  
      25,687,451   
   

 

 

  

Consumer Services—12.2%

  

ANN, Inc. * †

     55,445        1,568,539   

Bed Bath & Beyond, Inc. * †

     32,585        1,849,199   

Berendsen PLC

     244,280        2,529,257   

CBS Corp., Class B non-voting shares †

     49,915        2,165,812   

Ctrip.com International Ltd. - ADR * †

     139,730        2,695,392   

CVS Caremark Corp. †

     49,170        2,513,570   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        17   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Consumer Services—(continued)

  

Daily Mail & General Trust PLC

     458,890      $ 4,942,759   

eBay, Inc. * †

     47,820        2,614,798   

Equifax, Inc. †

     36,985        2,038,613   

FTI Consulting, Inc. * †

     94,585        3,285,883   

Gannett Co., Inc.

     98,940        1,985,726   

Global Sources Ltd. *

     196,820        1,525,355   

Interpublic Group of Cos., Inc., (The) †

     178,075        2,275,799   

ITV PLC

     1,244,765        2,345,370   

Liberty Media Corp. * †

     27,270        2,945,160   

Macy’s, Inc. †

     69,950        2,874,945   

Manpower, Inc. †

     52,050        2,841,930   

McGraw-Hill Cos., Inc., (The) †

     35,050        1,631,578   

Moody’s Corp. †

     44,955        2,160,537   

News Corp., Class A †

     97,435        2,806,128   

Nordstrom, Inc. †

     40,035        2,170,698   

Odyssey Marine Exploration, Inc. * †

     490,365        1,716,278   

Omnicom Group, Inc. †

     40,665        2,339,457   

Rent-A-Center, Inc. †

     76,895        2,789,751   

Robert Half International, Inc. †

     79,920        2,841,156   

Stage Stores, Inc. †

     94,440        2,331,724   

Staples, Inc. †

     104,235        1,373,817   

Target Corp. †

     45,415        2,859,328   

Time Warner, Inc. †

     61,990        3,296,008   

Towers Watson & Co., Class A †

     50,165        3,339,484   

Travelzoo, Inc. *

     34,890        735,132   

Viacom, Inc., Class B †

     44,935        2,626,900   

Walt Disney Co., (The) †

     54,755        2,989,075   

Williams-Sonoma, Inc.

     32,180        1,460,972   

WPP PLC

     184,570        2,951,238   
   

 

 

  
      85,417,368   
   

 

 

  

Energy—9.2%

  

Awilco Drilling PLC *

     52,712        762,119   

Cameron International Corp. * †

     53,750        3,424,950   

Canacol Energy Ltd. *

     251,515        829,237   

Canadian Natural Resources Ltd.

     95,010        2,896,855   

Contango Oil & Gas Co.

     17,295        670,354   

Ensco PLC, Class A

     55,635        3,345,889   

EOG Resources, Inc. †

     36,163        4,546,051   

EQT Corp.

     20,010        1,262,431   

Exxon Mobil Corp. †

     53,685        4,807,492   

Halliburton Co. †

     164,025        6,808,678   

Kosmos Energy Ltd. *

     170,750        1,866,298   

LyondellBasell Industries NV, Class A

     25,000        1,465,500   

Occidental Petroleum Corp. †

     61,095        5,029,951   

Petrofac Ltd.

     123,890        2,732,770   

Phillips 66 †

     52,330        3,294,697   

Royal Dutch Shell PLC - ADR

     67,090        4,404,459   

Schlumberger Ltd. †

     79,550        6,192,968   

SM Energy Co. †

     52,035        3,011,786   

Southwestern Energy Co. * †

     77,655        2,661,237   

Valero Energy Corp. †

     46,315        2,111,501   

Weatherford International Ltd. *

     199,560        2,370,773   
   

 

 

  
      64,495,996   
   

 

 

  

Finance—14.2%

  

ACE Ltd. †

     34,840        2,974,988   

Axis Capital Holdings Ltd. †

     73,290        2,985,102   

BB&T Corp. †

     108,755        3,301,802   
    Number of
Shares		     Value  

Finance—(continued)

  

Berkshire Hathaway, Inc., Class B * †

     27,595      $ 2,819,105   

Capital One Financial Corp. †

     68,400        3,490,452   

CapitalSource, Inc.

     265,170        2,386,530   

Catlin Group Ltd.

     232,280        1,779,531   

Charles Schwab Corp., (The) †

     178,345        2,896,323   

Citigroup, Inc. †

     125,666        5,274,202   

Comerica, Inc. †

     92,130        3,167,429   

Discover Financial Services †

     71,138        2,740,947   

East West Bancorp, Inc. †

     99,439        2,446,199   

Everest Re Group Ltd. †

     22,255        2,773,196   

Fifth Third Bancorp †

     276,770        4,384,037   

First Niagara Financial Group, Inc.

     247,035        2,020,746   

Goldman Sachs Group, Inc., (The) †

     16,450        2,463,552   

Huntington Bancshares, Inc. †

     437,165        3,073,270   

JPMorgan Chase & Co. †

     102,137        4,996,542   

Marsh & McLennan Cos., Inc. †

     69,560        2,583,458   

MetLife, Inc. †

     74,040        2,623,978   

Morgan Stanley †

     89,810        2,025,216   

PNC Financial Services Group, Inc. †

     43,700        2,726,443   

Raymond James Financial, Inc. †

     67,985        2,983,182   

Regions Financial Corp.

     313,900        2,401,335   

Reinsurance Group of America, Inc.

     23,000        1,322,500   

SLM Corp. †

     66,698        1,265,261   

State Street Corp. †

     49,125        2,779,984   

Steel Excel, Inc. * †

     29,325        740,456   

SunTrust Banks, Inc. †

     120,725        3,330,803   

TD Ameritrade Holding Corp. †

     147,315        2,800,458   

Torchmark Corp. †

     50,450        2,834,786   

Travelers Cos., Inc., (The)

     33,135        2,664,717   

US Bancorp †

     81,805        2,779,734   

Validus Holdings Ltd. †

     74,690        2,661,205   

Wells Fargo & Co. †

     127,613        4,476,664   
   

 

 

  
      98,974,133   
   

 

 

  

Health Care—8.9%

  

Abbott Laboratories

     58,369        1,972,289   

AbbVie, Inc.

     60,851        2,246,619   

AmerisourceBergen Corp. †

     58,265        2,750,108   

Amgen, Inc. †

     15,447        1,412,010   

Cardinal Health, Inc. †

     59,840        2,765,206   

CareFusion Corp. * †

     83,678        2,739,618   

Chemed Corp. †

     25,465        1,965,643   

CIGNA Corp. †

     44,830        2,620,762   

Covidien PLC †

     33,608        2,136,461   

DaVita HealthCare Partners, Inc. * †

     17,440        2,086,173   

Endo Health Solutions, Inc. * †

     71,597        2,219,507   

Express Scripts Holding Co. * †

     42,545        2,421,236   

Hologic, Inc. * †

     88,827        1,939,093   

Humana, Inc. †

     38,230        2,609,580   

ICON PLC, ADR *

     45,506        1,417,967   

Johnson & Johnson †

     27,530        2,095,308   

McKesson Corp. †

     28,765        3,052,829   

Omnicare, Inc. †

     70,320        2,620,123   

Omnicell, Inc. * †

     107,172        1,931,239   

Orthofix International NV *

     33,682        1,254,991   

Pfizer, Inc. †

     91,813        2,512,922   

Quest Diagnostics, Inc. †

     38,825        2,180,800   

Roche Holding AG - Sponsored ADR †

     30,102        1,726,952   

Sanofi - ADR

     62,162        2,934,668   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

18      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Health Care—(continued)

  

Stryker Corp. †

     33,191      $ 2,120,241   

Teleflex, Inc.

     16,874        1,349,245   

UnitedHealth Group, Inc. †

     48,645        2,600,075   

Universal Health Services, Inc., Class B †

     45,580        2,638,626   
   

 

 

  
      62,320,291   
   

 

 

  

Technology—12.5%

  

Accenture PLC, Class A †

     16,487        1,225,973   

Alliance Data Systems Corp. * †

     8,140        1,291,737   

Amdocs Ltd. †

     74,145        2,704,068   

Analog Devices, Inc. †

     48,681        2,201,355   

Apple, Inc. †

     5,295        2,337,213   

Arrow Electronics, Inc. * †

     84,182        3,379,907   

Avnet, Inc. * †

     103,860        3,667,297   

BMC Software, Inc. * †

     67,310        2,697,112   

CA, Inc. †

     137,338        3,363,408   

CACI International, Inc., Class A * †

     30,485        1,547,114   

Cisco Systems, Inc. †

     138,155        2,880,532   

EMC Corp. * †

     180,502        4,153,351   

Fiserv, Inc. * †

     29,736        2,441,623   

Flextronics International Ltd. * †

     527,459        3,507,602   

Harris Corp. †

     56,610        2,721,243   

Ingram Micro, Inc., Class A * †

     157,790        2,975,919   

International Business Machines Corp.

     5,178        1,039,898   

LSI Corp. * †

     453,070        3,153,367   

Microsoft Corp. †

     122,470        3,404,666   

NVIDIA Corp. †

     262,620        3,324,769   

ON Semiconductor Corp. *

     474,430        3,795,440   

Oracle Corp. †

     113,317        3,882,240   

QUALCOMM, Inc.

     20,000        1,312,600   

Seagate Technology PLC †

     124,210        3,994,594   

STMicroelectronics NV †

     55,998        445,184   

Symantec Corp. * †

     180,213        4,224,193   

TE Connectivity Ltd. †

     55,300        2,219,189   

Texas Instruments, Inc. †

     71,630        2,461,923   

VeriFone Systems, Inc. * †

     111,860        2,121,984   

Western Digital Corp. †

     88,300        4,164,228   

WEX, Inc. * †

     37,550        2,816,626   

Xerox Corp. †

     195,968        1,589,300   
   

 

 

  
      87,045,655   
   

 

 

  

Transportation—1.1%

    

Con-way, Inc. †

     53,100        1,866,465   

Norfolk Southern Corp. †

     30,620        2,236,791   

United Parcel Service, Inc., Class B †

     27,830        2,300,150   

UTi Worldwide, Inc.

     92,855        1,414,182   
   

 

 

  
      7,817,588   
   

 

 

  

Utilities—0.7%

    

AES Corp. †

     135,030        1,569,049   

National Fuel Gas Co. †

     50,745        2,952,852   
   

 

 

  
      4,521,901   
   

 

 

  

TOTAL COMMON STOCK—92.4%
(Cost $582,789,842)

   

     644,852,295   
   

 

 

  

TOTAL LONG POSITIONS—92.4%
(Cost $582,789,842)

   

     644,852,295   
   

 

 

  
    Number of
Shares		     Value  

SECURITIES SOLD SHORT—(44.4%)

  

  

COMMON STOCK—(44.4%)

    

Basic Industries—(1.8%)

    

Antofagasta PLC

     (78,175 )    $ (1,296,255 ) 

EI Du Pont de Nemours & Co.

     (31,560 )      (1,511,724 ) 

Fortescue Metals Group Ltd.

     (175,000 )      (843,718 ) 

Greif, Inc., Class A

     (38,605 )      (1,963,836 ) 

Resolute Forest Products *

     (86,635 )      (1,195,563 ) 

Solvay SA

     (14,840 )      (2,120,526 ) 

Texas Industries, Inc. *

     (17,654 )      (1,024,815 ) 

Wausau Paper Corp.

     (169,395 )      (1,671,929 ) 

Westlake Chemical Corp.

     (8,755 )      (754,856 ) 
   

 

 

  
      (12,383,222 ) 
   

 

 

  

Capital Goods—(4.5%)

    

AAON, Inc.

     (20,775 )      (499,846 ) 

Acuity Brands, Inc.

     (21,919 )      (1,493,341 ) 

Alstom SA

     (29,645 )      (1,308,164 ) 

Altra Holdings, Inc.

     (47,915 )      (1,233,332 ) 

Builders FirstSource, Inc. *

     (251,900 )      (1,523,995 ) 

Caterpillar, Inc.

     (26,305 )      (2,429,793 ) 

Federal Signal Corp. *

     (151,280 )      (1,179,984 ) 

Graco, Inc.

     (16,318 )      (948,076 ) 

Interface, Inc.

     (88,180 )      (1,614,576 ) 

James Hardie Industries PLC - Sponsored ADR

     (23,035 )      (1,156,127 ) 

Lennox International, Inc.

     (32,770 )      (1,935,724 ) 

Manitex International, Inc. *

     (87,630 )      (839,495 ) 

Manitowoc Co., Inc., (The)

     (112,245 )      (2,078,777 ) 

Olin Corp.

     (73,975 )      (1,713,261 ) 

Polypore International Inc. *

     (25,095 )      (960,637 ) 

Roper Industries, Inc.

     (10,712 )      (1,334,822 ) 

Simpson Manufacturing Co., Inc.

     (47,090 )      (1,370,319 ) 

Sun Hydraulics Corp.

     (58,720 )      (1,637,701 ) 

Taiheiyo Cement Corp.

     (537,570 )      (1,328,121 ) 

Trex Co., Inc. *

     (45,555 )      (2,152,018 ) 

USG Corp. *

     (45,095 )      (1,272,581 ) 

Vulcan Materials Co.

     (24,057 )      (1,225,223 ) 
   

 

 

  
      (31,235,913 ) 
   

 

 

  

Communications—(5.0%)

    

America Movil SAB de CV,
Series L - ADR

     (45,000 )      (940,050 ) 

Angie’s List, Inc. *

     (100,920 )      (1,721,695 ) 

AOL, Inc.

     (54,300 )      (2,003,670 ) 

CenturyLink, Inc.

     (34,220 )      (1,186,407 ) 

Cogent Communications Group, Inc.

     (78,040 )      (1,962,706 ) 

Equinix, Inc. *

     (8,240 )      (1,743,172 ) 

France Telecom SA

     (114,120 )      (1,105,353 ) 

Internap Network Services Corp. *

     (102,940 )      (893,519 ) 

KDDI Corp.

     (17,510 )      (1,314,808 ) 

Level 3 Communications, Inc. *

     (59,455 )      (1,187,911 ) 

LinkedIn Corp., Class A *

     (22,370 )      (3,762,187 ) 

Lumos Networks Corp.

     (62,660 )      (715,577 ) 

Millicom International Cellular SA - SDR

     (65,317 )      (5,125,456 ) 

NII Holdings, Inc. *

     (125,095 )      (602,958 ) 

Rackspace Hosting, Inc. *

     (34,875 )      (1,948,117 ) 

Shutterfly, Inc. *

     (33,260 )      (1,439,493 ) 

Shutterstock, Inc. *

     (73,315 )      (2,390,069 ) 
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        19   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Communications—(continued)

    

Telefonica SA - Sponsored ADR

     (93,230 )    $ (1,213,855 ) 

Verizon Communications, Inc.

     (35,835 )      (1,667,402 ) 

YY, Inc. ADR *

     (123,000 )      (2,269,965 ) 
   

 

 

  
      (35,194,370 ) 
   

 

 

  

Consumer Durables—(1.9%)

    

American Axle & Manaufacturing Holdings, Inc. *

     (185,787 )      (2,350,205 ) 

Autoneum Holding AG *

     (11,373 )      (746,835 ) 

Cooper Tire & Rubber Co.

     (38,616 )      (976,212 ) 

D.R. Horton, Inc.

     (43,205 )      (963,471 ) 

Electrolux AB - Series B

     (68,615 )      (1,751,606 ) 

Exide Technologies *

     (761,884 )      (2,041,849 ) 

Faurecia

     (48,525 )      (867,604 ) 

Goodyear Tire & Rubber Co., (The) *

     (110,699 )      (1,436,873 ) 

Modine Manufacturing Co. *

     (238,804 )      (1,967,745 ) 
   

 

 

  
      (13,102,400 ) 
   

 

 

  

Consumer Non-Durables—(2.7%)

    

Annie’s, Inc. *

     (37,415 )      (1,569,933 ) 

Clorox Co., (The)

     (24,475 )      (2,056,145 ) 

Fossil, Inc. *

     (23,350 )      (2,399,679 ) 

Giant Interactive Group, Inc.

     (425,370 )      (2,637,294 ) 

Huabao International Holdings Ltd.

     (2,914,000 )      (1,626,904 ) 

Luxottica Group SpA - Sponsored ADR

     (55,180 )      (2,572,492 ) 

Snyders-Lance, Inc.

     (70,255 )      (1,739,514 ) 

Tootsie Roll Industries, Inc.

     (51,925 )      (1,458,054 ) 

Under Armour, Inc., Class A *

     (51,890 )      (2,557,139 ) 
   

 

 

  
      (18,617,154 ) 
   

 

 

  

Consumer Services—(7.9%)

    

Acxiom Corp. *

     (112,055 )      (2,040,521 ) 

ADT Corp., (The)

     (37,465 )      (1,794,199 ) 

Amazon.com, Inc. *

     (4,025 )      (1,063,687 ) 

AMC Networks, Inc., Class A *

     (30,025 )      (1,723,435 ) 

BJ’s Restaurants, Inc. *

     (65,020 )      (2,001,966 ) 

Blue Nile, Inc. *

     (68,345 )      (2,318,946 ) 

Bureau Veritas SA

     (12,590 )      (1,623,800 ) 

Caesars Entertainment Corp. *

     (90,050 )      (1,125,625 ) 

Concur Technologies, Inc. *

     (24,325 )      (1,707,615 ) 

Darden Restaurants, Inc.

     (51,635 )      (2,389,151 ) 

FactSet Research Systems, Inc.

     (18,880 )      (1,836,835 ) 

Family Dollar Stores, Inc.

     (36,370 )      (2,093,093 ) 

IHS, Inc., Class A *

     (16,030 )      (1,703,187 ) 

Lululemon Athletica, Inc. *

     (34,540 )      (2,315,907 ) 

Mediaset SpA

     (775,185 )      (1,718,450 ) 

Monro Muffler Brake, Inc.

     (42,135 )      (1,561,102 ) 

Morningstar, Inc.

     (23,765 )      (1,629,804 ) 

Mothercare PLC *

     (355,125 )      (1,466,735 ) 

MSCI, Inc. *

     (44,885 )      (1,487,040 ) 

Netflix, Inc. *

     (11,985 )      (2,254,139 ) 

Penske Automotive Group, Inc.

     (51,450 )      (1,531,152 ) 

Pool Corp.

     (22,289 )      (1,019,053 ) 

Ritchie Bros. Auctioneers, Inc.

     (82,675 )      (1,883,336 ) 

Rollins, Inc.

     (73,555 )      (1,802,833 ) 

Sysco Corp.

     (79,715 )      (2,563,634 ) 

Titan Machinery, Inc. *

     (35,700 )      (1,008,525 ) 

Ultimate Software Group, Inc., (The) *

     (17,315 )      (1,701,545 ) 
    Number of
Shares		     Value  

Consumer Services—(continued)

  

  

Vail Resorts, Inc.

     (15,978 )    $ (882,625 ) 

Vitacost.com, Inc. *

     (139,657 )      (1,032,065 ) 

Wendy’s Co., (The)

     (525,610 )      (2,990,721 ) 

Youku.com, Inc. - ADR *

     (93,330 )      (1,902,999 ) 

Zillow, Inc., Class A *

     (24,455 )      (1,050,587 ) 
   

 

 

  
      (55,224,312 ) 
   

 

 

  

Energy—(3.3%)

    

Approach Resources, Inc. *

     (21,555 )      (533,486 ) 

Atwood Oceanics, Inc. *

     (34,980 )      (1,789,227 ) 

Aurora Oil and Gas Ltd. *

     (247,965 )      (978,635 ) 

Birchcliff Energy Ltd. *

     (2,385 )      (18,132 ) 

Carrizo Oil & Gas, Inc. *

     (47,180 )      (1,108,258 ) 

Chesapeake Energy Corp.

     (18,365 )      (370,238 ) 

ConocoPhillips

     (40,615 )      (2,353,639 ) 

Continental Resources, Inc. *

     (8,665 )      (762,520 ) 

Crescent Point Energy Corp.

     (34,140 )      (1,299,389 ) 

Denbury Resources, Inc. *

     (78,265 )      (1,418,162 ) 

Dresser-Rand Group, Inc. *

     (12,975 )      (800,038 ) 

FMC Technologies, Inc. *

     (26,500 )      (1,375,615 ) 

Goodrich Petroleum Corp. *

     (75,365 )      (971,455 ) 

Lufkin Industries, Inc.

     (19,060 )      (1,234,707 ) 

Magnum Hunter Resources Corp. *

     (110,000 )      (425,700 ) 

Neste Oil OYJ

     (121,610 )      (1,830,596 ) 

Patterson-UTI Energy, Inc.

     (34,080 )      (795,427 ) 

PDC Energy, Inc. *

     (23,880 )      (1,113,763 ) 

Range Resources Corp.

     (8,170 )      (627,456 ) 

RPC, Inc.

     (89,550 )      (1,448,919 ) 

Sanchez Energy Corp. *

     (48,000 )      (888,480 ) 

Subsea 7 SA

     (35,065 )      (828,875 ) 

Whiting Petroleum Corp. *

     (9,055 )      (440,978 ) 
   

 

 

  
      (23,413,695 ) 
   

 

 

  

Exchange Traded Funds—(0.4%)

    

United States Oil Fund LP *

     (80,817 )      (2,671,810 ) 
   

 

 

  
      (2,671,810 ) 
   

 

 

  

Finance—(4.1%)

    

1st United Bancorp, Inc.

     (181,210 )      (1,101,757 ) 

Aviva PLC

     (124,440 )      (673,577 ) 

Commonwealth Bank of Australia

     (18,311 )      (1,258,203 ) 

Community Bank System, Inc.

     (52,635 )      (1,519,572 ) 

CVB Financial Corp.

     (112,859 )      (1,196,305 ) 

First Cash Financial Services, Inc. *

     (16,365 )      (865,872 ) 

First Financial Bankshares, Inc.

     (41,420 )      (1,847,332 ) 

Gain Capital Holdings, Inc.

     (76,995 )      (341,858 ) 

Glacier Bancorp, Inc.

     (64,870 )      (1,131,333 ) 

Greenhill & Co., Inc.

     (27,550 )      (1,674,489 ) 

Iberiabank Corp.

     (17,127 )      (859,775 ) 

Northern Trust Corp.

     (26,290 )      (1,397,839 ) 

Signature Bank *

     (21,640 )      (1,607,203 ) 

TCF Financial Corp.

     (117,915 )      (1,620,152 ) 

Tompkins Financial Corp.

     (30,869 )      (1,278,903 ) 

TrustCo Bank Corp.

     (281,480 )      (1,466,511 ) 

Trustmark Corp.

     (48,680 )      (1,114,772 ) 

UMB Financial Corp.

     (31,576 )      (1,439,550 ) 

United Bankshares, Inc.

     (62,975 )      (1,637,350 ) 

Valley National Bancorp

     (166,159 )      (1,666,575 ) 

Westamerica Bancorporation

     (44,924 )      (1,987,887 ) 
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

20      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Finance—(continued)

    

World Acceptance Corp. *

     (15,605 )    $ (1,228,114 ) 
   

 

 

  
      (28,914,929 ) 
   

 

 

  

Health Care—(3.2%)

    

ABIOMED, Inc. *

     (68,264 )      (1,094,955 ) 

Acadia Healthcare Co., Inc. *

     (81,250 )      (2,211,625 ) 

Ariad Pharmaceuticals, Inc. *

     (41,394 )      (870,516 ) 

athenahealth, Inc. *

     (29,190 )      (2,737,730 ) 

DexCom, Inc. *

     (73,428 )      (1,096,280 ) 

Edwards Lifesciences Corp. *

     (13,484 )      (1,158,680 ) 

Elekta AB, B Shares

     (87,799 )      (1,316,836 ) 

H Lundbeck A/S

     (20,121 )      (341,183 ) 

HeartWare International, Inc. *

     (7,271 )      (621,089 ) 

IDEXX Laboratories, Inc. *

     (13,294 )      (1,224,643 ) 

Incyte Corp. Ltd. *

     (30,675 )      (680,985 ) 

Navidea Biopharmaceuticals, Inc. *

     (183,200 )      (562,424 ) 

Orion OYJ, Class B

     (20,840 )      (617,614 ) 

Perrigo Co.

     (11,705 )      (1,324,655 ) 

ResMed, Inc.

     (25,119 )      (1,117,544 ) 

Seattle Genetics, Inc. *

     (23,072 )      (649,246 ) 

Spectrum Pharmaceuticals, Inc.

     (92,178 )      (1,050,829 ) 

Stericycle, Inc. *

     (21,890 )      (2,099,689 ) 

Straumann Holding AG, Registered Shares

     (4,641 )      (641,709 ) 

Vivus, Inc. *

     (59,908 )      (642,214 ) 
   

 

 

  
      (22,060,446 ) 
   

 

 

  

Real Estate Investment Trusts—(0.3%)

  

  

Apartment Investment & Management Co., Class A

     (64,245 )      (1,902,937 ) 
   

 

 

  

Technology—(7.5%)

  

  

ADTRAN, Inc.

     (86,025 )      (1,921,799 ) 

Aspen Technology, Inc. *

     (47,992 )      (1,476,234 ) 

Aviat Networks, Inc. *

     (295,905 )      (1,053,422 ) 

AZZ, Inc.

     (48,701 )      (2,174,987 ) 

Blackbaud, Inc.

     (76,250 )      (2,119,750 ) 

Calix, Inc. *

     (54,970 )      (471,093 ) 

Ciena Corp. *

     (91,330 )      (1,391,869 ) 

Cirrus Logic, Inc. *

     (35,738 )      (859,142 ) 

Cypress Semiconductor Corp.

     (111,360 )      (1,172,621 ) 

Dassault Systemes SA

     (14,906 )      (1,691,900 ) 

Eaton Corp. PLC

     (29,405 )      (1,822,228 ) 

Finisar Corp. *

     (95,340 )      (1,396,731 ) 

First Solar, Inc. *

     (18,648 )      (482,051 ) 

Gamesa Corp. Tecnologica SA

     (488,097 )      (1,468,828 ) 

Generac Holdings, Inc.

     (64,704 )      (2,229,053 ) 

Hittite Microwave Corp. *

     (30,240 )      (1,960,157 ) 

Infinera Corp. *

     (105,030 )      (681,645 ) 

Infosys Technologies Ltd. - Sponsored ADR

     (33,405 )      (1,801,532 ) 

Itron, Inc. *

     (34,508 )      (1,451,752 ) 

Jive Software, Inc. *

     (83,410 )      (1,382,938 ) 

Logitech International SA

     (57,391 )      (387,963 ) 

Methode Electronics, Inc.

     (97,860 )      (1,282,945 ) 

National Instruments Corp.

     (71,095 )      (2,138,538 ) 

NetSuite, Inc. *

     (22,261 )      (1,553,595 ) 

Nokia OYJ

     (300,000 )      (1,095,000 ) 

Oclaro, Inc. *

     (529,300 )      (703,969 ) 
    Number of
Shares		     Value  

Technology—(continued)

  

  

Pegasystems, Inc.

     (37,284 )    $ (1,021,209 ) 

Red Hat, Inc. *

     (29,632 )      (1,505,602 ) 

Research In Motion Ltd. *

     (67,240 )      (897,654 ) 

Salesforce.com, Inc. *

     (11,068 )      (1,872,927 ) 

ServiceSource International, Inc. *

     (178,855 )      (1,130,364 ) 

Skyworks Solutions, Inc. *

     (49,817 )      (1,061,102 ) 

Tri-Tech Holding, Inc. *

     (81,005 )      (164,440 ) 

Tyler Technologies, Inc. *

     (31,000 )      (1,748,400 ) 

Vestas Wind Systems A/S *

     (197,922 )      (1,413,815 ) 

ViaSat, Inc. *

     (47,235 )      (2,218,156 ) 

VMware, Inc., Class A *

     (11,187 )      (803,562 ) 

Wipro Ltd. - ADR

     (216,108 )      (2,074,637 ) 
   

 

 

  
      (52,083,610 ) 
   

 

 

  

Transportation—(1.3%)

  

Hub Group, Inc., Class A *

     (40,620 )      (1,532,593 ) 

J.B. Hunt Transport Services, Inc.

     (25,050 )      (1,741,476 ) 

Kansas City Southern

     (16,865 )      (1,736,589 ) 

Keikyu Corp.

     (151,000 )      (1,334,222 ) 

Old Dominion Freight Line, Inc. *

     (44,855 )      (1,612,537 ) 

Panalpina Welttransport Holding AG, Registered Shares

     (12,680 )      (1,337,941 ) 
   

 

 

  
      (9,295,358 ) 
   

 

 

  

Utilities—(0.5%)

  

Aqua America, Inc.

     (47,235 )      (1,375,956 ) 

Oneok, Inc.

     (26,000 )      (1,169,740 ) 

Ormat Technologies, Inc.

     (43,140 )      (881,782 ) 
   

 

 

  
      (3,427,478 ) 
   

 

 

  

TOTAL COMMON STOCK—(44.4%)
(Proceeds $285,124,928)

       (309,527,634 ) 
   

 

 

  

TOTAL SECURITIES SOLD SHORT—(44.4%)
(Proceeds $285,124,928)

       (309,527,634 ) 
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES—52.0%

       362,831,399   
   

 

 

  

NET ASSETS—100.0%

     $ 698,156,060   
   

 

 

  

 

ADR   —   American Depositary Receipt
PLC   —   Public Limited Company
SDR   —   Swedish Depositary Receipt
*   —   Non-income producing.
†   —   Security position is either entirely or partially held in a segregated account as collateral for securities sold short.
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        21   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS LONG/SHORT RESEARCH FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Investment in securities *

    $ 644,852,295       $ 644,852,295       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 644,852,295       $ 644,852,295       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  
     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Investments in Securities Sold Short *

    $ (309,527,634 )     $ (309,527,634 )     $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

    $ (309,527,634 )     $ (309,527,634 )     $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for country and security type breakout.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

22      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

COMMON STOCK—95.4%

    

Capital Goods—6.4%

  

Actuant Corp., Class A

     51,340      $ 1,561,249   

Dover Corp.

     78,465        5,755,408   

Fluor Corp.

     28,203        1,745,766   

Foster Wheeler AG *

     42,530        1,023,272   

Huntington Ingalls Industries, Inc.

     26,020        1,250,001   

Illinois Tool Works, Inc.

     46,855        2,881,583   

Masco Corp.

     104,370        2,010,166   

Parker Hannifin Corp.

     40,052        3,784,113   

Stanley Black & Decker, Inc.

     25,235        1,985,995   

Textron, Inc.

     40,060        1,155,731   

Tyco International Ltd.

     61,135        1,956,931   
   

 

 

  
      25,110,215   
   

 

 

  

Communications—1.6%

  

Google, Inc., Class A *

     155        124,186   

IAC/InterActive Corp.

     35,050        1,428,287   

Monster Worldwide, Inc. * (a)

     69,525        355,968   

Vodafone Group PLC - Sponsored ADR

     181,803        4,570,527   
   

 

 

  
      6,478,968   
   

 

 

  

Consumer Durables—2.5%

  

Lear Corp.

     88,788        4,743,055   

Newell Rubbermaid, Inc.

     89,180        2,081,461   

Thor Industries, Inc.

     70,480        2,649,343   

Tower International, Inc. *

     29,721        357,841   
   

 

 

  
      9,831,700   
   

 

 

  

Consumer Non-Durables—4.2%

  

Brunswick Corp.

     96,160        3,504,070   

Electronic Arts, Inc. *

     263,198        4,613,861   

Jones Group, Inc., (The)

     148,660        1,715,536   

Mattel, Inc.

     49,725        2,026,294   

Matthews International Corp., Class A

     22,945        757,185   

PepsiCo, Inc.

     49,890        3,780,165   
   

 

 

  
      16,397,111   
   

 

 

  

Consumer Services—13.0%

  

CBS Corp., Class B non-voting shares

     53,373        2,315,854   

CEC Entertainment, Inc.

     12,210        369,352   

eBay, Inc. *

     55,280        3,022,710   

Equifax, Inc.

     32,700        1,802,424   

FTI Consulting, Inc. *

     37,299        1,295,767   

Interpublic Group of Cos., Inc., (The)

     224,400        2,867,832   

Kohl’s Corp.

     108,411        4,997,747   

Korn/Ferry International *

     50,841        941,067   

Manpower, Inc.

     93,670        5,114,382   

Men’s Wearhouse, Inc., (The)

     31,890        896,747   

Omnicom Group, Inc.

     106,820        6,145,355   

Pantry, Inc., (The) *

     8,670        107,855   

Rent-A-Center, Inc.

     47,852        1,736,071   

Staples, Inc.

     69,045        910,013   

Target Corp.

     104,480        6,578,061   

Towers Watson & Co., Class A

     45,110        3,002,973   

Viacom, Inc., Class B

     70,830        4,140,722   

Walt Disney Co., (The)

     81,695        4,459,730   
   

 

 

  
      50,704,662   
   

 

 

  
    Number of
Shares		     Value  

Energy—9.8%

  

Cameron International Corp. *

     19,175      $ 1,221,831   

Canadian Natural Resources Ltd.

     42,320        1,290,337   

Chevron Corp.

     37,835        4,432,370   

EOG Resources, Inc.

     30,085        3,781,985   

Exxon Mobil Corp.

     77,925        6,978,184   

Halliburton Co.

     80,470        3,340,310   

Occidental Petroleum Corp.

     78,245        6,441,911   

Phillips 66

     41,940        2,640,542   

Royal Dutch Shell PLC - ADR

     70,980        4,659,837   

Valero Energy Corp.

     37,370        1,703,698   

Weatherford International Ltd. (Switzerland) *

     140,210        1,665,695   
   

 

 

  
      38,156,700   
   

 

 

  

Finance—26.1%

  

ACE Ltd.

     27,270        2,328,585   

Alleghany Corp. *

     6,087        2,300,095   

American International Group, Inc. *

     103,775        3,944,488   

Axis Capital Holdings Ltd.

     89,145        3,630,876   

BB&T Corp.

     181,165        5,500,169   

Bond Street Holdings, Inc.,
Class B 144A * ‡

     12,734        357,316   

Bond Street Holdings, Inc.,
Class A 144A * ‡

     50,936        1,429,264   

Capital One Financial Corp.

     130,505        6,659,670   

Citigroup, Inc. #

     179,357        7,527,613   

Federated Investors, Inc., Class B (a)

     74,745        1,735,579   

Fifth Third Bancorp

     190,115        3,011,422   

First Southern Bancorp, Inc. Class B ‡

     17,550        106,002   

Hanover Insurance Group, Inc., (The)

     34,860        1,487,825   

Huntington Bancshares, Inc.

     374,100        2,629,923   

J.G. Wentworth, Inc. * ‡ ±

    —        0   

JPMorgan Chase & Co.

     288,560        14,116,355   

Loews Corp.

     122,159        5,266,274   

MetLife, Inc.

     121,725        4,313,934   

NBH Holdings Corp., Class A

     62,698        1,134,207   

NBH Holdings Corp., Class A 144A ‡

     40,025        579,162   

Peoples Choice Financial Corp. 144A * ‡

     1,465        0   

Raymond James Financial, Inc.

     52,275        2,293,827   

SLM Corp.

     219,225        4,158,698   

Solar Cayman Ltd. 144A * ‡

     19,375        0   

State Street Corp.

     101,840        5,763,126   

THL Credit, Inc.

     21,910        336,538   

Torchmark Corp.

     54,875        3,083,426   

Travelers Cos., Inc., (The)

     57,355        4,612,489   

Unum Group

     78,431        1,919,207   

Validus Holdings Ltd.

     126,639        4,512,148   

Wells Fargo & Co.

     169,180        5,934,834   

White Mountains Insurance Group Ltd.

     2,345        1,324,925   
   

 

 

  
      101,997,977   
   

 

 

  

Health Care—17.5%

  

AbbVie, Inc.

     54,760        2,021,739   

Allscripts Healthcare Solutions, Inc. *

     106,205        1,350,928   

AmerisourceBergen Corp.

     58,550        2,763,560   

Amgen, Inc.

     121,040        11,064,266   

Cardinal Health, Inc.

     51,870        2,396,913   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        23   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (continued)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Health Care—(continued)

  

CareFusion Corp. *

     64,330      $ 2,106,164   

Covidien PLC

     82,970        5,274,403   

Endo Health Solutions, Inc. *

     57,295        1,776,145   

Johnson & Johnson

     102,160        7,775,398   

McKesson Corp.

     49,135        5,214,698   

Medtronic, Inc.

     45,750        2,056,920   

Pfizer, Inc.

     565,631        15,481,320   

Sanofi - ADR

     63,160        2,981,784   

St Jude Medical, Inc.

     16,315        668,915   

UnitedHealth Group, Inc.

     65,630        3,507,924   

WellPoint, Inc.

     30,945        1,924,160   
   

 

 

  
      68,365,237   
   

 

 

  

Real Estate Investment Trusts—0.6%

  

Ashford Hospitality Trust, Inc.

     44,460        523,294   

Colony Financial, Inc.

     46,250        1,024,438   

Terreno Realty Corp.

     37,225        666,328   

TMST, Inc. * ‡

    191,097        0   
   

 

 

  
      2,214,060   
   

 

 

  

Technology—13.7%

  

Amdocs Ltd.

     75,770        2,763,332   

Arrow Electronics, Inc. *

     72,382        2,906,137   

Avnet, Inc. *

     89,432        3,157,844   

BancTec, Inc. 144A * ‡

     14,327        24,499   

CA, Inc.

     151,895        3,719,908   

Cisco Systems, Inc.

     346,960        7,234,116   

Flextronics International Ltd. *

     650,931        4,328,691   

International Business Machines Corp.

     17,325        3,479,380   

Lexmark International, Inc., Class A (a)

     48,345        1,064,557   

LSI Corp. *

     157,440        1,095,782   

Microsemi Corp. *

     48,130        992,922   

Microsoft Corp.

     256,155        7,121,109   

NVIDIA Corp.

     79,790        1,010,141   

ON Semiconductor Corp. *

     340,430        2,723,440   

Seagate Technology PLC

     55,750        1,792,920   

TE Connectivity Ltd.

     108,030        4,335,244   

Texas Instruments, Inc.

     33,620        1,155,519   

Vishay Intertechnology, Inc. *

     205,245        2,707,182   

WEX, Inc. *

     23,845        1,788,613   
   

 

 

  
      53,401,336   
   

 

 

  

TOTAL COMMON STOCK
(Cost $311,003,825)

       372,657,966   
   

 

 

  

PREFERRED STOCK—0.0%

  

Finance—0.0%

  

First Southern Bancorp, Inc., 144A 5.000% ‡

     30        41,223   
   

 

 

  

TOTAL PREFERRED STOCK
(Cost $30,000)

       41,223   
   

 

 

  
    Par
(000)		        

CORPORATE BONDS—0.0%

  

MBIA Insurance Corp.144A † ## 11.56% 01/15/33

   $ 151        45,300   
   

 

 

  

TOTAL CORPORATE BONDS
(Cost $149,017)

       45,300   
   

 

 

  
    Number of
Shares		     Value  

SECURITIES LENDING COLLATERAL—0.7%

  

BlackRock Liquidity Fund

     2,833,760      $ 2,833,760   
   

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $2,833,760)

       2,833,760   
   

 

 

  

TOTAL INVESTMENTS—96.1%
(Cost $314,016,602)

       375,578,249   
   

 

 

  
    Number of
Contracts		        

OPTIONS WRITTEN ††—0.0%

  

Citigroup, Inc. Call Options
Expires 01/18/14
Strike Price $50

     (849 )      (148,575 ) 
   

 

 

  

TOTAL OPTIONS WRITTEN
(Premiums received $143,481)

       (148,575 ) 
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES—3.9%

       15,384,386   
   

 

 

  

NET ASSETS—100.0%

     $ 390,814,060   
   

 

 

  

 

ADR   —   American Depositary Receipt
PLC   —   Public Limited Company
144A   —   Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2013, these securities amounted to $2,476,764 or 0.6% of net assets. These 144A securities have not been deemed illiquid.
*   —   Non-income producing.
‡   —   Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.‘s Board of Directors. As of February 28, 2013, these securities amounted to $2,537,466 or 0.6% of net assets.
±   —   Total shares owned by the Fund as of February 28, 2013 were less than one share.
†   —   Adjustable rate security.
#   —   Security segregated as collateral for options written.
##   —   Callable security.
(a)   —   All or a portion of the security is on loan. (See Note 6 of the Notes to Financial Statements)
††   —   Primary risk exposure is equity contracts.
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

24      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS ALL-CAP VALUE FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Common Stock

            

Capital Goods

    $ 25,110,215       $ 25,110,215       $ —       $ —   

Communications

      6,478,968         6,478,968         —         —   

Consumer Durables

      9,831,700         9,831,700         —         —   

Consumer Non-Durables

      16,397,111         16,397,111         —         —   

Consumer Services

      50,704,662         50,704,662         —         —   

Energy

      38,156,700         38,156,700         —         —   

Finance

      101,997,977         99,526,233         —         2,471,744   

Health Care

      68,365,237         68,365,237         —         —   

Real Estate Investment Trusts

      2,214,060         2,214,060         —         —   

Technology

      53,401,336         53,376,837         —         24,499   

Preferred Stocks

      41,223         —         —         41,223   

Corporate Bonds

      45,300         —         45,300         —   

Securities Lending Collateral

      2,833,760         2,833,760         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 375,578,249       $ 372,995,483       $ 45,300       $ 2,537,466   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  
           

Options Written

            

Equity Contracts

    $ (148,575 )     $ —       $ (148,575 )     $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Liabilities

    $ (148,575 )     $ —       $ (148,575 )     $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        25   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO WPG SMALL/MICRO CAP VALUE FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

COMMON STOCK—93.5%

    

Basic Industries—4.1%

    

Alpha Natural Resources Inc * (a)

     17,100      $ 136,458   

GrafTech International Ltd. * (a)

     32,900        243,131   

GSE Holding, Inc. *

     81,400        585,266   

Horsehead Holding Corp. *

     17,200        181,804   

TMS International Corp.,Class A *

     43,800        603,564   
   

 

 

  
      1,750,223   
   

 

 

  

Capital Goods—5.8%

    

Blount International, Inc *

     8,300        125,081   

Columbus McKinnon Corp. *

     8,100        158,922   

Flow International Corp. *

     60,900        225,939   

Global Power Equipment Group, Inc.

     25,200        422,856   

Globe Specialty Metals, Inc.

     11,800        168,622   

Orion Marine Group, Inc. *

     46,000        437,920   

Tutor Perini Corp. *

     33,900        576,639   

Wabash National Corp. *

     38,500        367,290   
   

 

 

  
      2,483,269   
   

 

 

  

Consumer Durables—2.5%

    

Libbey, Inc. *

     56,900        1,044,115   
   

 

 

  

Consumer Non-Durables—3.1%

    

Chiquita Brands International, Inc. *

     85,500        530,955   

Dole Food Co., Inc. * (a)

     27,400        306,880   

Jones Group, Inc., (The) (a)

     21,400        246,956   

Matthews International Corp., Class A

     6,500        214,500   
   

 

 

  
      1,299,291   
   

 

 

  

Consumer Services—13.6%

    

ABM Industries, Inc.

     14,000        317,800   

ACCO Brands Corp. *

     27,300        204,750   

America’s Car-Mart, Inc. *

     4,300        205,368   

Big Lots, Inc. *

     6,300        209,790   

Bravo Brio Restaurant Group Inc *

     20,600        310,648   

Brink’s Co., (The)

     24,100        637,445   

Carmike Cinemas, Inc. *

     13,900        217,674   

Destination XL Group, Inc. * (a)

     75,400        342,316   

FTI Consulting, Inc. *

     16,200        562,788   

ICF International, Inc. *

     24,100        596,234   

Ignite Restaurant Group, Inc. *

     23,100        324,324   

K12, Inc. *

     300        6,249   

MDC Partners, Inc., Class A

     81,800        1,124,750   

Navigant Consulting, Inc. *

     20,200        257,146   

PRGX Global, Inc. *

     30,000        195,000   

Providence Service Corp. *

     8,900        152,012   

Wet Seal, Inc. (The), Class A *

     34,400        101,136   
   

 

 

  
      5,765,430   
   

 

 

  

Energy—2.3%

    

Diamondback Energy, Inc. *

     14,700        333,837   

EPL Oil & Gas, Inc. *

     16,700        429,691   

Newpark Resources, Inc. *

     23,800        209,678   
   

 

 

  
      973,206   
   

 

 

  

Finance—28.5%

    

A.B. Watley Group, Inc. *

     93,855        291   

American Capital Mortgage Investment Corp.

     4,300        110,510   
    Number of
Shares		     Value  

Finance—(continued)

    

American Equity Investment Life Holding Co.

     38,000      $ 527,440   

BancorpSouth, Inc.

     28,800        440,640   

Central Pacific Financial Corp. *

     29,400        455,406   

CNO Financial Group, Inc.

     108,400        1,185,896   

Employers Holdings, Inc.

     16,500        346,665   

FBR & Co. *

     32,995        582,691   

First Midwest Bancorp, Inc.

     24,300        303,750   

FXCM, Inc., Class A (a)

     24,500        322,175   

Global Indemnity PLC *

     7,400        170,940   

Great American Group, Inc. *

     60,590        19,171   

Home Loan Servicing Solutions Ltd

     17,000        383,520   

LiqTech International, Inc. *

     45,320        97,438   

Maiden Holdings Ltd.

     70,900        714,672   

Meadowbrook Insurance Group, Inc.

     124,300        873,829   

Nationstar Mortgage Holdings, Inc. * (a)

     12,400        477,772   

Nelnet, Inc., Class A

     18,200        603,876   

Northfield Bancorp, Inc. (a)

     44,232        503,360   

Ocwen Financial Corp. *

     20,300        800,226   

OmniAmerican Bancorp, Inc. *

     9,000        234,540   

PrivateBancorp, Inc.

     18,600        333,126   

SCBT Financial Corp. (a)

     5,300        252,386   

THL Credit, Inc.

     17,900        274,944   

Tower Group, Inc.

     900        16,785   

United Community Banks, Inc. *

     28,400        305,868   

United Financial Bancorp, Inc.

     9,080        135,746   

Validus Holdings Ltd.

     9,600        342,048   

ViewPoint Financial Group

     21,000        437,850   

Western Alliance Bancorp *

     28,900        384,370   

WSFS Financial Corp.

     10,300        489,250   
   

 

 

  
      12,127,181   
   

 

 

  

Health Care—5.7%

    

Accuray, Inc. * (a)

     165,700        707,539   

Alere, Inc. *

     32,700        744,252   

Invacare Corp.

     23,400        339,534   

Medical Action Industries, Inc. *

     51,000        301,920   

Symmetry Medical, Inc. *

     19,100        199,213   

Trinity Biotech PLC - Sponsored ADR

     8,000        135,200   
   

 

 

  
      2,427,658   
   

 

 

  

Real Estate Investment Trusts—9.8%

  

  

Campus Crest Communities, Inc.

     51,400        644,556   

CYS Investments, Inc. (a)

     14,500        171,970   

Geo Group, Inc. (The)

     9,200        317,768   

Government Properties Income Trust (a)

     9,200        243,432   

Highwoods Properties, Inc.

     5,810        212,065   

Kennedy-Wilson Holdings, Inc.

     64,200        1,031,694   

Lexington Realty Trust

     33,700        386,202   

Mack-Cali Realty Corp.

     10,500        297,990   

Starwood Property Trust, Inc.

     16,600        463,970   

Two Harbors Investment Corp.

     26,400        339,504   

Winthrop Realty Trust

     3,400        42,670   
   

 

 

  
      4,151,821   
   

 

 

  

Technology—7.8%

    

CIBER, Inc. *

     157,800        702,210   

Computer Task Group, Inc. *

     10,700        212,930   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

26      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO WPG SMALL/MICRO CAP VALUE FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

Technology—(continued)

    

Digi International, Inc. *

     45,900      $ 452,574   

Diodes, Inc. *

     14,000        279,020   

Exar Corp. *

     67,500        793,125   

Plantronics, Inc.

     5,300        213,908   

Saba Software, Inc. *

     53,500        467,590   

SeaChange International, Inc. *

     16,800        193,536   
   

 

 

  
      3,314,893   
   

 

 

  

Transportation—4.3%

    

Air Transport Services Group, Inc. *

     61,100        337,272   

Rand Logistics, Inc. *

     13,600        77,520   

Scorpio Tankers, Inc. *

     91,100        774,350   

Spirit Airlines, Inc. *

     23,300        471,825   

Swift Transportation Co. *

     12,200        165,066   
   

 

 

  
      1,826,033   
   

 

 

  

Utilities—6.0%

    

Aegean Marine Petroleum Network, Inc.

     37,600        244,776   

Cadiz, Inc. * (a)

     35,200        237,248   

Dynegy, Inc. * (a)

     5,000        97,850   

Empire District Electric Co. (The) (a)

     13,600        291,176   

Heckmann Corp. * (a)

     41,900        149,164   

NorthWestern Corp.

     7,900        307,942   

Piedmont Natural Gas Co., Inc.

     13,300        428,792   

Portland General Electric Co.

     9,100        270,179   
    Number of
Shares		     Value  

Utilities—(continued)

    

StealthGas, Inc. *

     23,000      $ 240,810   

UIL Holdings Corp.

     7,400        289,784   
   

 

 

  
      2,557,721   
   

 

 

  

TOTAL COMMON STOCK
(Cost $31,439,363)

       39,720,841   
   

 

 

  

SECURITIES LENDING COLLATERAL—8.7%

  

BlackRock Liquidity Fund

     3,712,413        3,712,413   
   

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $3,712,413)

       3,712,413   
   

 

 

  

TOTAL INVESTMENTS—102.2%
(Cost $35,151,776)

       43,433,254   
   

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS—(2.2)%

       (939,014 ) 
   

 

 

  

NET ASSETS—100.0%

     $ 42,494,240   
   

 

 

  

 

ADR   —   American Depositary Receipt
PLC   —   Public Limited Company
*   —   Non-income Producing
(a)   —   All or a portion of the security is on loan. (see Note 6 of the Notes to Financial Statements)

 

 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Notes I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Common Stock *

    $ 39,720,841       $ 39,720,841       $ —       $ —   

Securities Lending Collateral

      3,712,413         3,712,413         —         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 43,433,254       $ 43,433,254       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for industry and security type breakout.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        27   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS GLOBAL EQUITY FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

COMMON STOCK—89.8%

    

Austria—0.6%

    

Zumtobel AG

     4,860      $ 72,745   
   

 

 

  

Bermuda—2.4%

    

Axis Capital Holdings Ltd.

     2,910        118,524   

Catlin Group Ltd.

     11,985        91,819   

Validus Holdings Ltd.

     2,755        98,161   
   

 

 

  
      308,504   
   

 

 

  

Canada—0.3%

    

Barrick Gold Corp.

     1,400        42,451   
   

 

 

  

France—6.3%

    

Atos

     3,055        226,903   

Cie Generale des Etablissements Michelin

     2,200        196,574   

Havas SA

     10,290        64,793   

LISI

     830        77,933   

Sanofi

     1,250        118,446   

Teleperformance SA

     2,820        116,083   
   

 

 

  
      800,732   
   

 

 

  

Germany—7.1%

    

Brenntag AG

     655        93,381   

CompuGroup Medical AG

     3,070        68,578   

Fresenius SE & Co. KGaA

     1,340        164,692   

Henkel AG & Co. KGaA

     3,060        226,396   

Muenchener Rueckversicherungs AG, Registered Shares

     865        155,505   

NORMA Group AG

     3,023        105,179   

Rheinmetall AG

     1,690        92,999   
   

 

 

  
      906,730   
   

 

 

  

Hong Kong—1.7%

    

Cheung Kong Holdings Ltd.

     10,000        155,501   

Hutchison Whampoa Ltd.

     6,000        64,637   
   

 

 

  
      220,138   
   

 

 

  

Ireland—2.4%

    

Beazley PLC

     28,300        87,068   

Covidien PLC

     2,465        156,700   

Smurfit Kappa Group PLC *

     4,050        63,053   
   

 

 

  
      306,821   
   

 

 

  

Japan—8.6%

    

Aisin Seiki Co. Ltd.

     2,300        83,251   

Anritsu Corp.

     4,000        59,165   

Fuji Seal International, Inc.

     5,400        123,683   

Inpex Corp.

     17        90,420   

ITOCHU Corp.

     5,600        64,646   

Nihon Kohden Corp.

     2,900        100,744   

Nissan Chemical Industries Ltd.

     7,100        90,387   

Otsuka Corp.

     700        71,065   

Softbank Corp.

     2,430        90,053   

Toho Holdings Co. Ltd.

     5,800        119,892   

Toyoda Gosei Co. Ltd.

     3,300        76,225   

TS Tech Co. Ltd.

     4,900        119,526   
   

 

 

  
      1,089,057   
   

 

 

  
    Number of
Shares		     Value  

Netherlands—0.9%

    

Aegon NV

     18,435      $ 110,279   
   

 

 

  

South Korea—1.5%

    

Dongyang Mechatronics Corp.

     5,880        63,805   

Samsung Electronics Co. Ltd.

     87        124,053   
   

 

 

  
      187,858   
   

 

 

  

Switzerland—5.7%

    

ACE Ltd.

     1,350        115,276   

Novartis AG, Registered Shares

     1,920        130,383   

Roche Holding AG, Participation Certificate

     925        211,883   

Swiss Re AG

     2,135        170,723   

Zurich Insurance Group AG

     335        91,676   
   

 

 

  
      719,941   
   

 

 

  

Thailand—1.4%

    

Bangkok Bank PCL

     24,200        178,145   
   

 

 

  

United Kingdom—15.0%

    

Babcock International Group PLC

     3,645        59,333   

Berendsen PLC

     10,030        103,850   

BHP Billiton PLC

     2,225        70,513   

Daily Mail & General Trust PLC, Class A

     30,890        332,720   

HSBC Holdings PLC

     9,264        102,791   

Imperial Tobacco Group PLC

     1,695        61,457   

ITV PLC

     45,430        85,599   

Mears Group PLC

     18,050        101,317   

Meggitt PLC

     22,580        155,724   

Petrofac Ltd.

     4,315        95,180   

Rexam PLC

     7,430        57,993   

Rio Tinto PLC

     1,540        82,727   

Royal Dutch Shell PLC, Class A

     7,375        242,786   

RSA Insurance Group PLC

     36,115        66,130   

Serco Group PLC

     12,701        109,925   

Standard Chartered PLC

     2,940        80,104   

WPP PLC

     6,545        104,653   
   

 

 

  
      1,912,802   
   

 

 

  

United States—35.9%

    

AmerisourceBergen Corp.

     1,375        64,900   

Amgen, Inc.

     1,250        114,262   

Apple, Inc.

     205        90,487   

BB&T Corp.

     3,030        91,991   

Cameron International Corp. *

     840        53,525   

Capital One Financial Corp.

     955        48,734   

CareFusion Corp. *

     5,100        166,974   

CBS Corp., Class B non-voting shares

     2,210        95,892   

Chevron Corp.

     450        52,717   

Cisco Systems, Inc.

     3,685        76,832   

Crown Holdings, Inc. *

     2,710        105,338   

CVS Caremark Corp.

     4,595        234,896   

DIRECTV *

     2,145        103,325   

Dover Corp.

     790        57,946   

EMC Corp. *

     2,950        67,879   

EOG Resources, Inc.

     480        60,341   

Everest Re Group Ltd.

     1,055        131,464   

Exxon Mobil Corp.

     1,100        98,505   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

28      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS GLOBAL EQUITY FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

United States—(continued)

    

Fifth Third Bancorp

     8,055      $ 127,591   

Fluor Corp.

     1,570        97,183   

Graphic Packaging Holding Co. *

     26,135        193,922   

Halliburton Co.

     3,940        163,549   

Honeywell International, Inc.

     1,365        95,686   

Humana, Inc.

     1,340        91,468   

Lear Corp.

     1,490        79,596   

Macy’s, Inc.

     2,565        105,422   

McKesson Corp.

     2,390        253,651   

Microsoft Corp.

     4,880        135,664   

Newmont Mining Corp.

     1,500        60,435   

NVIDIA Corp.

     6,160        77,986   

Occidental Petroleum Corp.

     1,225        100,854   

ON Semiconductor Corp. *

     9,370        74,960   

Oracle Corp.

     2,915        99,868   

Pfizer, Inc.

     2,850        78,005   

Phillips 66

     945        59,497   

Schlumberger Ltd.

     1,645        128,063   

SM Energy Co.

     1,175        68,009   

Symantec Corp. *

     8,085        189,512   
    Number of
Shares		     Value  

United States—(continued)

    

Target Corp.

     1,005      $ 63,275   

Textron, Inc.

     3,900        112,515   

Time Warner Cable, Inc.

     850        73,432   

Towers Watson & Co., Class A

     2,410        160,434   

Wells Fargo & Co.

     4,335        152,072   
   

 

 

  
      4,558,657   
   

 

 

  

TOTAL COMMON STOCK
(Cost $9,753,727)

       11,414,860   
   

 

 

  

TOTAL INVESTMENTS—89.8%
(Cost $9,753,727)

       11,414,860   
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES—10.2%

       1,300,059   
   

 

 

  

NET ASSETS—100.0%

     $ 12,714,919   
   

 

 

  

 

PCL   —   Public Company Limited
PLC   —   Public Limited Company
*   —   Non-income producing.
 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Investment in Securities *

    $ 11,414,860       $ 11,414,860       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 11,414,860       $ 11,414,860       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for country and security type breakout

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        29   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

ROBECO BOSTON PARTNERS INTERNATIONAL EQUITY FUND

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

COMMON STOCK—95.0%

    

Australia—0.7%

    

Australia & New Zealand Banking Group Ltd.

     2,890      $ 84,781   
   

 

 

  

Austria—0.6%

    

Zumtobel AG

     4,850        72,596   
   

 

 

  

Belgium—1.0%

    

Ageas

     3,835        130,602   
   

 

 

  

Bermuda—1.3%

    

Catlin Group Ltd.

     21,980        168,392   
   

 

 

  

Canada—1.3%

    

Barrick Gold Corp.

     1,715        52,003   

Canadian Natural Resources Ltd.

     1,365        41,619   

CGI Group, Inc., Class A *

     2,670        70,553   
   

 

 

  
      164,175   
   

 

 

  

France—11.2%

    

Atos

     4,460        331,257   

Cie Generale des Etablissements Michelin

     2,830        252,866   

Havas SA

     18,340        115,481   

LISI

     1,370        128,636   

Publicis Groupe SA

     1,060        70,052   

Sanofi

     2,580        244,473   

Teleperformance SA

     4,340        178,652   

Total SA

     1,760        87,993   
   

 

 

  
      1,409,410   
   

 

 

  

Germany—11.8%

    

Bayer AG, Registered Shares

     660        65,366   

Brenntag AG

     1,255        178,920   

CompuGroup Medical AG

     4,610        102,978   

Fresenius SE & Co. KGaA

     2,485        305,418   

Henkel AG & Co. KGaA

     4,940        365,489   

Muenchener Rueckversicherungs AG, Registered Shares

     1,080        194,156   

NORMA Group AG

     4,276        148,775   

Rheinmetall AG

     2,230        122,715   
   

 

 

  
      1,483,817   
   

 

 

  

Hong Kong—2.4%

    

Cheung Kong Holdings Ltd.

     13,000        202,151   

Hutchison Whampoa Ltd.

     9,000        96,956   
   

 

 

  
      299,107   
   

 

 

  

Ireland—1.5%

    

Beazley PLC

     34,300        105,527   

Smurfit Kappa Group PLC *

     5,570        86,718   
   

 

 

  
      192,245   
   

 

 

  

Japan—16.4%

    

Aisin Seiki Co. Ltd.

     3,100        112,207   

Anritsu Corp.

     8,000        118,330   

Brother Industries Ltd.

     7,500        78,487   

Fuji Seal International Inc.

     7,100        162,620   

Inpex Corp.

     24        127,651   

ITOCHU Corp.

     11,000        126,982   
    Number of
Shares		     Value  

Japan—(continued)

    

Kaken Pharmaceutical Co. Ltd.

     7,000      $ 121,815   

Megane TOP Co. Ltd.

     7,000        79,750   

Nihon Kohden Corp.

     3,600        125,062   

Nissan Chemical Industries Ltd.

     9,600        122,214   

NTT DoCoMo, Inc.

     39        60,337   

Otsuka Corp.

     1,200        121,825   

Softbank Corp.

     3,510        130,077   

Sugi Holdings Co. Ltd.

     3,500        115,169   

Sumitomo Mitsui Trust Holdings, Inc.

     16,000        62,143   

Toho Holdings Co. Ltd.

     7,900        163,301   

Toyoda Gosei Co. Ltd.

     4,400        101,633   

TS Tech Co. Ltd.

     5,900        143,920   
   

 

 

  
      2,073,523   
   

 

 

  

Netherlands—2.5%

    

Aegon NV

     22,905        137,019   

Koninklijke Ahold NV

     12,445        178,723   
   

 

 

  
      315,742   
   

 

 

  

Singapore—1.2%

    

M1 Ltd.

     38,000        85,917   

United Overseas Bank Ltd.

     4,000        61,628   
   

 

 

  
      147,545   
   

 

 

  

South Korea—3.3%

    

Dongyang Mechatronics Corp.

     7,550        81,927   

Samsung Electronics Co. Ltd.

     190        270,921   

SK Telecom Co. Ltd.

     390        64,290   
   

 

 

  
      417,138   
   

 

 

  

Switzerland—7.4%

    

Novartis AG, Registered Shares

     3,155        214,249   

Roche Holding AG, Participation Certificate

     1,430        327,559   

Swiss Re AG

     3,050        243,889   

Zurich Insurance Group AG

     545        149,144   
   

 

 

  
      934,841   
   

 

 

  

Taiwan—0.5%

    

Delta Electronics, Inc.

     18,000        67,045   
   

 

 

  

Thailand—1.9%

    

Bangkok Bank PCL

     31,800        234,091   
   

 

 

  

United Kingdom—30.0%

    

AstraZeneca PLC

     1,255        57,032   

Babcock International Group PLC

     3,735        60,798   

Berendsen PLC

     13,745        142,315   

BG Group PLC

     4,775        84,428   

BHP Billiton PLC

     4,960        157,189   

BP PLC

     16,757        113,303   

Daily Mail & General Trust PLC

     38,120        410,595   

Howden Joinery Group PLC

     21,615        70,173   

HSBC Holdings PLC

     25,478        282,698   

Imperial Tobacco Group PLC

     2,510        91,007   

Inchcape PLC

     9,400        72,086   

Intercontinental Hotels Group PLC

     2,907        84,409   

ITV PLC

     61,940        116,707   
 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

30      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

ROBECO BOSTON PARTNERS INTERNATIONAL EQUITY FUND (concluded)

   PORTFOLIO OF INVESTMENTS

 

    Number of
Shares		     Value  

United Kingdom—(continued)

    

Mears Group PLC

     30,535      $ 171,397   

Meggitt PLC

     43,687        301,290   

National Grid PLC

     7,500        83,002   

Petrofac Ltd.

     5,655        124,738   

Rexam PLC

     14,440        112,708   

Rio Tinto PLC

     1,975        106,095   

Royal Dutch Shell PLC, Class A

     12,510        411,831   

RSA Insurance Group PLC

     53,290        97,579   

Serco Group PLC

     20,319        175,857   

Standard Chartered PLC

     8,285        225,736   

Vodafone Group PLC

     21,695        54,487   

WPP PLC

     10,735        171,651   
   

 

 

  
      3,779,111   
   

 

 

  

TOTAL COMMON STOCK
(Cost $10,134,450)

       11,974,161   
   

 

 

  

TOTAL INVESTMENTS—95.0%
(Cost $10,134,450)

       11,974,161   
   

 

 

  

OTHER ASSETS IN EXCESS OF LIABILITIES—5.0%

       636,331   
   

 

 

  

NET ASSETS—100.0%

     $ 12,610,492   
   

 

 

  

 

PCL   —   Public Company Limited
PLC   —   Public Limited Company
*   —   Non-income producing.
 

A summary of the inputs used to value the Fund’s investments as of February 28, 2013 is as follows (see Note I in the Notes to Financial Statements):

 

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Investment in Securities *

    $ 11,974,161       $ 11,974,161       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Assets

    $ 11,974,161       $ 11,974,161       $ —       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

 

* See Portfolio of Investments detail for country and security type breakout

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        31   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

STATEMENTS OF ASSETS AND LIABILITIES

  

 

     Robeco Boston
Partners
Small Cap
Value Fund II		     Robeco Boston
Partners
Long/Short
Equity Fund		     Robeco Boston
Partners
Long/Short
Research Fund		     Robeco Boston
Partners
All-Cap
Value Fund		  

ASSETS

         

Investments in securities, at value † ^

    $ 158,659,926      $ 760,839,926      $ 644,852,295      $ 375,578,249   

Cash

      6,134,653        85,493,713        68,238,736        17,409,177   

Foreign currency, at value #

      —        63        28,415,835        —   

Receivables

         

Investments sold

      —        26,206,748        6,914,706        10,918   

Deposits with brokers for securities sold short

      —        479,518,538        312,247,561        —   

Dividends and interest

      100,326        930,676        977,989        910,639   

Capital shares sold

      125,101        3,218,433        22,191,258        291,305   

Prepaid expenses and other assets

      26,350        74,587        74,533        35,036   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total assets

      165,046,356        1,356,282,684        1,083,912,913        394,235,324   
  

 

 

    

 

 

    

 

 

    

 

 

  

LIABILITIES

         

Securities sold short, at fair value ‡

    $ —      $ 482,598,214      $ 309,527,634      $ —   

Options written, at value *

      —        181,260        —        148,575   

Payables

         

Securities lending collateral

      17,809,719        10,859,274        —        2,833,760   

Investments purchased

      —        23,577,672        15,943,667        4,822   

Capital shares redeemed

      198,163        245,912        698,678        146,113   

Due to prime broker

      —        59,359,622        58,578,926        —   

Investment advisory fees

      112,462        1,324,509        603,201        152,801   

Administration and accounting fees

      22,375        95,406        68,426        51,846   

Custodian fees

      1,194        10,029        8,472        5,245   

Distribution and service fees

      15,405        39,604        15,184        6,222   

Dividends on securities sold-short

      —        158,830        238,590        —   

Prime broker interest payable

      —        27,893        21,682        —   

Printing and shareholder reporting fees

      20,844        46,867        10,966        26,996   

Other accrued expenses and liabilities

      44,975        65,124        41,427        44,884   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total liabilities

      18,225,137        578,590,216        385,756,853        3,421,264   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net Assets

    $ 146,821,219      $ 777,692,468      $ 698,156,060      $ 390,814,060   
  

 

 

    

 

 

    

 

 

    

 

 

  

NET ASSETS CONSIST OF

         

Par value

    $ 8,663      $ 37,888      $ 55,349      $ 23,001   

Paid-in capital

      128,739,700        704,228,320        661,843,666        328,686,870   

Undistributed net investment income/(accumulated net investment loss)

      (18,092 )      (9,027,344 )      (2,456,188 )      916,083   

Accumulated net realized gain/(loss) from investments

      (16,855,604 )      30,135,032        1,310,992        (368,447 ) 

Net unrealized appreciation on investments, securities sold short, written options and foreign currency translation

      34,946,552        52,318,572        37,402,241        61,556,553   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net Assets

    $ 146,821,219      $ 777,692,468      $ 698,156,060      $ 390,814,060   
  

 

 

    

 

 

    

 

 

    

 

 

  

INSTITUTIONAL CLASS

         

Net assets

    $ 66,521,252      $ 568,024,865      $ 614,377,029      $ 357,054,263   

Shares outstanding

      3,845,972        27,275,761        48,673,857        21,008,882   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

    $ 17.30      $ 20.83      $ 12.62      $ 17.00   
  

 

 

    

 

 

    

 

 

    

 

 

  

INVESTOR CLASS

         

Net assets

    $ 80,299,967      $ 209,667,603      $ 83,779,031      $ 33,759,797   

Shares outstanding

      4,817,250        10,611,993        6,675,523        1,991,860   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, offering and redemption price per share

    $ 16.67      $ 19.76      $ 12.55      $ 16.95   
  

 

 

    

 

 

    

 

 

    

 

 

  

† Investment in securities, at cost

    $ 123,713,374      $ 661,989,452      $ 582,789,842      $ 314,016,602   

^ Includes market value of securities on loan

    $ 17,400,880      $ 10,414,234      $ —      $ 2,740,249   

# Foreign currency, at cost

    $ —      $ 66      $ 28,677,122      $ —   

‡ Proceeds received, securities sold short

    $ —      $ 436,021,953      $ 285,124,928      $ —   

* Premiums received, options written

    $ —      $ 225,622      $ —      $ 143,481   

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

32      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

STATEMENTS OF ASSETS AND LIABILITIES (concluded)

  

 

     Robeco WPG
Small/Micro Cap
Value Fund		      Robeco Boston
Partners Global
Equity Fund		      Robeco Boston
Partners
International
Equity Fund		  

ASSETS

         

Investments in securities, at value † ^

    $ 43,433,254       $ 11,414,860       $ 11,974,161   

Cash

      2,880,565         290,430         678,828   

Foreign currency, at value #

      —         24,440         224   

Receivables

         

Investments sold

      287,502         1,104,989         109,569   

Deposits with brokers for securities sold short

      —         —         —   

Dividends and interest

      21,882         37,875         46,536   

Capital shares sold

      908         240         64,122   

Investment adviser

      —         9,911         11,012   

Prepaid expenses and other assets

      15,005         27,408         27,816   
  

 

 

     

 

 

     

 

 

  

Total assets

      46,639,116         12,910,153         12,912,268   
  

 

 

     

 

 

     

 

 

  

LIABILITIES

         

Payables

         

Securities lending collateral

      3,712,413         —         —   

Investments purchased

      334,010         127,383         231,641   

Investment advisory fees

      30,564         —         —   

Administration and accounting fees

      12,271         11,079         11,146   

Custodian fees

      7,821         20,653         22,484   

Printing and shareholder reporting fees

      5,069         6,673         6,681   

Other accrued expenses and liabilities

      42,728         29,446         29,824   
  

 

 

     

 

 

     

 

 

  

Total liabilities

      4,144,876         195,234         301,776   
  

 

 

     

 

 

     

 

 

  

Net Assets

    $ 42,494,240       $ 12,714,919       $ 12,610,492   
  

 

 

     

 

 

     

 

 

  

NET ASSETS CONSIST OF

         

Par value

    $ 2,496       $ 1,050       $ 1,039   

Paid-in capital

      38,144,398         10,510,479         10,406,344   

Undistributed net investment income/(accumulated net investment loss)

      (106,044 )       9,665         21,251   

Accumulated net realized gain/(loss) from investments

      (3,828,088 )       533,317         342,921   

Net unrealized appreciation on investments, securities sold short, written options and foreign currency translation

      8,281,478         1,660,408         1,838,937   
  

 

 

     

 

 

     

 

 

  

Net Assets

    $ 42,494,240       $ 12,714,919       $ 12,610,492   
  

 

 

     

 

 

     

 

 

  

INSTITUTIONAL CLASS

         

Net assets

    $ 42,494,240       $ 12,714,919       $ 12,610,492   

Shares outstanding

      2,495,572         1,049,551         1,039,213   
  

 

 

     

 

 

     

 

 

  

Net asset value, offering and redemption price per share

    $ 17.03       $ 12.11       $ 12.13   
  

 

 

     

 

 

     

 

 

  

† Investment in securities, at cost

    $ 35,151,776       $ 9,753,727       $ 10,134,450   

^ Includes market value of securities on loan

    $ 3,592,008       $ —       $ —   

# Foreign currency, at cost

    $ —       $ 24,701       $ 226   

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        33   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013 (unaudited)

 

STATEMENTS OF OPERATIONS

  

 

     Robeco Boston
Partners
Small Cap
Value Fund II		     Robeco Boston
Partners
Long/Short Equity
Fund		     Robeco Boston
Partners
Long/Short
Research Fund		     Robeco Boston
Partners
All-Cap
Value Fund		  
     For the
Six Months
Ended
February 28, 2013		     For the
Six Months
Ended
February 28, 2013		     For the
Six Months
Ended
February 28, 2013		     For the
Six Months
Ended
February 28, 2013		  

Investment Income

         

Dividends †

    $ 1,456,926      $ 7,946,109      $ 3,861,324      $ 4,360,946   

Interest

      1,248        16,431        8,768        —   

Income from securities loaned (Note 6)

      16,398        110,517        —        28,848   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total investment income

      1,474,572        8,073,057        3,870,092        4,389,794   
  

 

 

    

 

 

    

 

 

    

 

 

  

Expenses

         

Advisory fees (Note 2)

      651,029        8,043,937        2,685,951        1,452,855   

Distribution fees (Investor Class) (Note 2)

      89,783        230,665        75,548        34,506   

Administration and accounting fees (Note 2)

      65,777        287,187        187,751        160,660   

Transfer agent fees (Note 2)

      49,308        111,769        93,042        41,306   

Printing and shareholder reporting fees

      28,351        54,148        19,291        20,770   

Registration and filing fees

      17,861        49,798        37,682        25,839   

Directors’ and officers’ fees

      15,061        42,722        25,246        24,720   

Custodian fees (Note 2)

      13,476        55,050        47,550        22,183   

Audit fees

      12,931        18,007        18,064        13,540   

Legal fees

      9,563        51,248        34,708        28,188   

Dividend expense on securities sold-short

      —        2,935,843        1,836,212        —   

Prime broker interest expense

      —        4,851,058        1,161,547        —   

Other expenses

      3,633        7,367        9,646        7,040   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total expenses before waivers and reimbursements

      956,773        16,738,799        6,232,238        1,831,607   

Less: waivers and reimbursements

      (24,319 )      —        —        (525,853 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Plus: expenses recouped by Adviser (Note 2)

      —        —        64,210        —   

Net expenses after waivers and reimbursements

      932,454        16,738,799        6,296,448        1,305,754   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income/(loss)

      542,118        (8,665,742 )      (2,426,356 )      3,084,040   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net realized gain/(loss) from:

         

Investments

      1,893,063        27,823,498        9,202,538        3,538,202   

Investments sold-short

      —        9,154,456        (5,346,371 )      —   

Foreign currency transactions

      —        2,337        (574,355 )      —   

Written options *

      —        1,031,448        31,835        241,738   

Net change in unrealized appreciation/(depreciation) on:

         

Investments

      14,282,486        64,711,433        47,084,611        32,469,738   

Investments sold short

      —        (37,894,014 )      (20,350,275 )      —   

Foreign currency translation

      —        (3 )      (397,298 )      —   

Written options *

      —        (1,141,986 )      (52,173 )      489,840   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net realized and unrealized gain from investments

      16,175,549        63,687,169        29,598,512        36,739,518   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

    $ 16,717,667      $ 55,021,427      $ 27,172,156      $ 39,823,558   
  

 

 

    

 

 

    

 

 

    

 

 

  

† Net of foreign withholding taxes of

    $ —      $ (169,094 )    $ (70,648 )    $ (15,370 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Primary risk is equity contracts

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

34      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS

    FEBRUARY 28, 2013 (unaudited)

 

STATEMENTS OF OPERATIONS (concluded)

 

 

     Robeco WPG
Small/Micro Cap
Value Fund		      Robeco Boston
Partners Global
Equity Fund		      Robeco Boston
Partners
International
Equity Fund		  
     For the
Six Months
Ended
February 28, 2013		      For the
Six Months
Ended
February 28, 2013		      For the
Six Months
Ended
February 28, 2013		  

Investment Income

         

Dividends †

    $ 499,614       $ 113,603       $ 111,200   

Interest

      552         10         21   

Income from securities loaned (Note 6)

      12,285         —         —   
  

 

 

     

 

 

     

 

 

  

Total investment income

      512,451         113,613         111,221   
  

 

 

     

 

 

     

 

 

  

Expenses

         

Advisory fees (Note 2)

      173,761         52,909         52,156   

Administration and accounting fees (Note 2)

      39,332         41,375         43,299   

Transfer agent fees (Note 2)

      38,866         16,112         16,112   

Custodian fees (Note 2)

      19,718         28,065         29,185   

Directors’ and officers’ fees

      12,378         11,107         11,143   

Audit fees

      12,258         14,666         14,614   

Registration and filing fees

      10,179         19,138         18,715   

Legal fees

      7,623         8,742         6,740   

Printing and shareholder reporting fees

      3,594         4,232         4,230   

Other expenses

      1,663         3,337         3,260   
  

 

 

     

 

 

     

 

 

  

Total expenses before waivers and reimbursements

      319,372         199,683         199,454   

Less: waivers and reimbursements

      —         (123,258 )       (124,119 ) 
  

 

 

     

 

 

     

 

 

  

Net expenses after waivers and reimbursements

      319,372         76,425         75,335   
  

 

 

     

 

 

     

 

 

  

Net investment income/(loss)

      193,079         37,188         35,886   
  

 

 

     

 

 

     

 

 

  

Net realized gain/(loss) from:

         

Investments

      1,981,056         680,687         491,252   

Foreign currency transactions

      —         (5,533 )       (7,994 ) 

Net change in unrealized appreciation/(depreciation) on:

         

Investments

      4,841,077         669,167         1,060,099   

Foreign currency translation

      —         (929 )       (783 ) 
  

 

 

     

 

 

     

 

 

  

Net realized and unrealized gain from investments

      6,822,133         1,343,392         1,542,574   
  

 

 

     

 

 

     

 

 

  

Net increase in net assets resulting from operations

    $ 7,015,212       $ 1,380,580       $ 1,578,460   
  

 

 

     

 

 

     

 

 

  

† Net of foreign withholding taxes of

    $ (3,503 )     $ (3,463 )     $ (8,048 ) 
  

 

 

     

 

 

     

 

 

  

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        35   

ROBECO INVESTMENT FUNDS    FEBRUARY 28, 2013

 

STATEMENTS OF CHANGES IN NET ASSETS

  

 

     Robeco Boston Partners
Small Cap Value Fund II		     Robeco Boston Partners
Long/Short Equity Fund		  
     For the
Six Months Ended
February 28, 2013
(unaudited)		     For the
Year Ended
August 31, 2012		     For the
Six Months Ended
February 28, 2013
(unaudited)		     For the
Year Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

         

Net investment income/(loss)

    $ 542,118      $ 233,722      $ (8,665,742 )    $ (15,770,719 ) 

Net realized gain/(loss) from investments, securities sold short, written options and foreign currency

      1,893,063        (828,497 )      38,011,739        58,412,920   

Net change in unrealized appreciation/(depreciation) from investments, securities sold short, written options and foreign currency

      14,282,486        18,804,774        25,675,430        29,477,221   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

      16,717,667        18,209,999        55,021,427        72,119,422   
  

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

         

Net investment income

         

Institutional Class

      (330,980 )      (119,144 )      —        —   

Investor Class

      (239,393 )      (104,488 )      —        —   

Net realized capital gains

         

Institutional Class

      —        —        (31,483,030 )      (38,698,443 ) 

Investor Class

      —        —        (11,609,467 )      (14,040,805 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (570,373 )      (223,632 )      (43,092,497 )      (52,739,248 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital transactions:

         

Institutional Class

         

Proceeds from shares sold

      9,581,864        24,118,444        76,469,680        188,461,565   

Reinvestment of distributions

      315,205        109,724        22,072,058        24,911,474   

Shares redeemed

      (4,181,995 )      (6,282,691 )      (45,274,464 )      (68,565,103 ) 

Redemption fees (Note 8)

      1,154        1,412        142,821        279,385   

Investor Class

         

Proceeds from shares sold

      13,735,991        11,673,749        43,816,850        50,975,538   

Reinvestment of distributions

      236,002        103,165        11,016,675        13,855,744   

Shares redeemed

      (9,308,899 )      (28,082,121 )      (18,471,310 )      (26,573,638 ) 

Redemption fees (Note 8)

      1,399        2,910        49,716        97,223   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets from capital transactions

      10,380,721        1,644,592        89,822,026        183,442,188   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total increase in net assets

      26,528,015        19,630,959        101,750,956        202,822,362   

Net assets

         

Beginning of period

      120,293,204        100,662,245        675,941,512        473,119,150   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 146,821,219      $ 120,293,204      $ 777,692,468      $ 675,941,512   
  

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income/(loss), end of period

    $ (18,092 )    $ 10,163      $ (9,027,344 )    $ (361,602 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions:

         

Institutional Class

         

Shares sold

      579,639        1,618,535        3,697,481        9,437,817   

Shares reinvested

      19,314        8,480        1,094,171        1,331,452   

Shares redeemed

      (254,385 )      (460,403 )      (2,190,603 )      (3,444,240 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase

      344,568        1,166,612        2,601,049        7,325,029   
  

 

 

    

 

 

    

 

 

    

 

 

  

Investor Class

         

Shares sold

      864,357        863,982        2,216,281        2,664,682   

Shares reinvested

      15,003        8,267        575,283        775,797   

Shares redeemed

      (587,261 )      (2,013,569 )      (937,898 )      (1,400,109 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      292,099        (1,141,320 )      1,853,666        2,040,370   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

36      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS

    FEBRUARY 28, 2013

 

STATEMENTS OF CHANGES IN NET ASSETS (continued)

  

 

 

     Robeco Boston Partners
Long/Short Research Fund		     Robeco Boston Partners
All-Cap Value Fund		  
     For the
Six Months Ended
February 28, 2013
(unaudited)		     For the
Year Ended
August 31, 2012		     For the
Six Months Ended
February 28, 2013
(unaudited)		     For the
Year Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

         

Net investment income/(loss)

    $ (2,426,356 )    $ (1,848,189 )    $ 3,084,040      $ 3,584,312   

Net realized gain/(loss) from investments, securities sold short, written options and foreign currency

      3,313,647        4,665,974        3,779,940        (445,056 ) 

Net change in unrealized appreciation/(depreciation) from investments, securities sold short, written options and foreign currency

      26,284,865        13,198,959        32,959,578        39,690,157   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

      27,172,156        16,016,744        39,823,558        42,829,413   
  

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

         

Net investment income

         

Institutional Class

      —        —        (5,354,408 )      (1,665,830 ) 

Investor Class

      —        —        (396,553 )      (146,798 ) 

Net realized capital gains

         

Institutional Class

      (3,652,979 )      (496,066 )      (1,983,576 )      (12,924,039 ) 

Investor Class

      (626,444 )      (186,172 )      (170,548 )      (1,628,060 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (4,279,423 )      (682,238 )      (7,905,085 )      (16,364,727 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital transactions:

         

Institutional Class

         

Proceeds from shares sold

      358,301,353        237,705,311        30,050,843        140,521,621   

Reinvestment of distributions

      3,332,064        442,616        6,790,733        13,713,736   

Shares redeemed

      (21,104,129 )      (33,289,835 )      (53,051,419 )      (44,807,044 ) 

Redemption fees (Note 8)

      6,955        19,341        —        —   

Investor Class

         

Proceeds from shares sold

      34,690,888        35,745,671        9,002,411        7,344,224   

Reinvestment of distributions

      616,804        186,154        542,146        1,722,851   

Shares redeemed

      (3,047,975 )      (11,227,285 )      (3,512,921 )      (12,435,219 ) 

Redemption fees (Note 8)

      1,106        4,921        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets from capital transactions

      372,797,066        229,586,894        (10,178,207 )      106,060,169   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total increase in net assets

      395,689,799        244,921,400        21,740,266        132,524,855   

Net assets

         

Beginning of period

      302,466,261        57,544,861        369,073,794        236,548,939   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 698,156,060      $ 302,466,261      $ 390,814,060      $ 369,073,794   
  

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income/(loss), end of period

    $ (2,456,188 )    $ (29,832 )    $ 916,083      $ 3,583,004   
  

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions:

         

Institutional Class

         

Shares sold

      28,780,786        20,665,614        1,844,494        9,519,203   

Shares reinvested

      269,805        41,327        427,359        1,020,367   

Shares redeemed

      (1,715,040 )      (2,881,560 )      (3,356,092 )      (3,094,953 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      27,335,551        17,825,381        (1,084,239 )      7,444,617   
  

 

 

    

 

 

    

 

 

    

 

 

  

Investor Class

         

Shares sold

      2,801,718        3,133,404        553,265        498,216   

Shares reinvested

      50,187        17,430        34,205        128,571   

Shares redeemed

      (249,192 )      (997,992 )      (220,707 )      (852,778 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      2,602,713        2,152,842        366,763        (225,991 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        37   

ROBECO INVESTMENT FUNDS

    FEBRUARY 28, 2013

 

STATEMENTS OF CHANGES IN NET ASSETS (continued)

  

 

     Robeco WPG
Small/Micro Cap Value Fund		     Robeco Boston Partners
Global Equity Fund		  
     For the
Six Months
Ended
February 28, 2013
(unaudited)		     For the
Year Ended
August 31, 2012		     For the
Six Months
Ended
February 28, 2013
(unaudited)		     For the
Period Ended
August 31, 2012*		  

Increase/(decrease) in net assets from operations:

         

Net investment income/(loss)

    $ 193,079      $ (121,160 )    $ 37,188      $ 98,281   

Net realized gain/(loss) from investments and foreign currency

      1,981,056        860,441        675,154        (86,127 ) 

Net change in unrealized appreciation/(depreciation) from investments and foreign currency

      4,841,077        4,882,563        668,238        992,170   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase in net assets resulting from operations

      7,015,212        5,621,844        1,380,580        1,004,324   
  

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

         

Net investment income

         

Institutional Class

      (177,056 )      —        (132,255 )      —   

Net realized capital gains

         

Institutional Class

      —        —        (89,015 )      —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (177,056 )      —        (221,270 )      —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital transactions:

         

Institutional Class

         

Proceeds from shares sold

      348,751        4,572,368        100,552        10,229,759   

Reinvestment of distributions

      164,541        —        221,270        —   

Shares redeemed

      (2,224,706 )      (6,064,647 )      (186 )      (110 ) 

Redemption fees (Note 8)

      —        332        —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets from capital transactions

      (1,711,414 )      (1,491,947 )      321,636        10,229,649   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total increase in net assets

      5,126,742        4,129,897        1,480,946        11,233,973   

Net assets

         

Beginning of period

      37,367,498        33,237,601        11,233,973        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

End of period

    $ 42,494,240      $ 37,367,498      $ 12,714,919      $ 11,233,973   
  

 

 

    

 

 

    

 

 

    

 

 

  

Undistributed net investment income/(loss), end of period

    $ (106,044 )    $ (122,067 )    $ 9,665      $ 104,732   
  

 

 

    

 

 

    

 

 

    

 

 

  

Share transactions:

         

Institutional Class

         

Shares sold

      21,707        351,635        8,769        1,021,365   

Shares reinvested

      10,726        —        19,444        —   

Shares redeemed

      (146,823 )      (442,326 )      (16 )      (11 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease)

      (114,390 )      (90,691 )      28,197        1,021,354   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

* Inception Date of the Fund was December 30, 2011.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

38      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS

    FEBRUARY 28, 2013

 

STATEMENTS OF CHANGES IN NET ASSETS (concluded)

  

 

     Robeco Boston Partners
International Equity Fund		  
     For the
Six Months
Ended
February 28, 2013
(unaudited)		     For the
Period Ended
August 31, 2012*		  

Increase/(decrease) in net assets from operations:

     

Net investment income

    $ 35,886      $ 149,856   

Net realized gain/(loss) from investments and foreign currency

      483,258        (134,895 ) 

Net change in unrealized appreciation/(depreciation) from investments and foreign currency

      1,059,316        779,621   
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      1,578,460        794,582   
  

 

 

    

 

 

  

Dividends and distributions to shareholders from:

     

Net investment income

     

Institutional Class

      (131,147 )      —   

Net realized capital gains

     

Institutional Class

      (78,542 )      —   
  

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (209,689 )      —   
  

 

 

    

 

 

  

Capital transactions:

     

Institutional Class

     

Proceeds from shares sold

      142,299        10,100,676   

Reinvestment of distributions

      209,689        —   

Shares redeemed

      (5,484 )      (41 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital transactions

      346,504        10,100,635   
  

 

 

    

 

 

  

Total increase in net assets

      1,715,275        10,895,217   

Net assets

     

Beginning of period

      10,895,217        —   
  

 

 

    

 

 

  

End of period

    $ 12,610,492      $ 10,895,217   
  

 

 

    

 

 

  

Undistributed net investment income/(loss), end of period

    $ 21,251      $ 116,512   
  

 

 

    

 

 

  

Share transactions:

     

Institutional Class

     

Shares sold

      11,974        1,009,475   

Shares reinvested

      18,218        —   

Shares redeemed

      (450 )      (4 ) 
  

 

 

    

 

 

  

Net increase

      29,742        1,009,471   
  

 

 

    

 

 

  

 

* Inception Date of the Fund was December 30, 2011.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        39   

ROBECO INVESTMENT FUNDS     

 

FINANCIAL HIGHLIGHTS

   PER SHARE OPERATING PERFORMANCE

 

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

         
    
    
     
    
    
Net
Asset
Value,
Beginning
of Period		     Net
Investment
Income/(Loss)*		     Net Realized
and Unrealized
Gain/(Loss) on
Investments		     Total From
Investment
Operations		     Dividends to
Shareholders
from Net
Investment
Income		     Distributions to
Shareholders
from Net
Realized Gains		     Return
of Capital		     Total
Distributions		       
Robeco Boston Partners Small Cap Value Fund II

  

          

Institutional Class

  

                

9/1/12 through 2/28/13†

   $ 15.31      $ 0.08      $ 2.00      $ 2.08      $ (0.09 )    $ —      $ —      $ (0.09 )   

8/31/12

     12.92        0.05        2.390        2.44        (0.05 )      —        —        (0.05 )   

8/31/11

     11.02        0.03        1.91        1.94        (0.04 )      —        —        (0.04 )   

8/31/10

     10.49        0.06        0.52        0.58        (0.05 )      —        —        (0.05 )   

8/31/09

     11.87        0.11        (1.26 )      (1.15 )      (0.14 )      (0.05 )      (0.04 )      (0.23 )   

8/31/08

     21.47        0.07        (1.97 )      (1.90 )      —        (7.70 )      —        (7.70 )   

Investor Class

                  

9/1/12 through 2/28/13†

   $ 14.74      $ 0.06      $ 1.92      $ 1.98      $ (0.05 )    $ —      $ —      $ (0.05 )   

8/31/12

     12.44        0.02        2.30        2.32        (0.02 )      —        —        (0.02 )   

8/31/11

     10.62        (— )3      1.84        1.84        (0.02 )      —        —        (0.02 )   

8/31/10

     10.11        0.03        0.50        0.53        (0.02 )      —        —        (0.02 )   

8/31/09

     11.43        0.07        (1.20 )      (1.13 )      (0.11 )      (0.05 )      (0.03 )      (0.19 )   

8/31/08

     21.02        0.03        (1.92 )      (1.89 )      —        (7.70 )      —        (7.70 )     
Robeco Boston Partners Long/Short Equity Fund

  

          

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 20.47      $ (0.24 )    $ 1.83      $ 1.59      $ —      $ (1.24 )    $ —      $ (1.24 )   

8/31/12

     19.88        (0.54 )      3.15        2.61        —        (2.03 )      —        (2.03 )   

8/31/11

     17.41        (0.47 )      4.55        4.08        —        (1.62 )      —        (1.62 )   

8/31/10

     15.75        (0.37 )      1.98        1.61        —        —        —        —     

8/31/09

     15.47        (0.22 )      2.98        2.76        —        (2.48 )      —        (2.48 )   

8/31/08

     17.23        (0.36 )      0.50        0.14        —        (1.90 )      —        (1.90 )   

Investor Class

                  

9/1/12 through 2/28/13†

   $ 19.51      $ (0.25 )    $ 1.73      $ 1.48      $ —      $ (1.24 )    $ —      $ (1.24 )   

8/31/12

     19.08        (0.56 )      3.01        2.45        —        (2.03 )      —        (2.03 )   

8/31/11

     16.80        (0.50 )      4.39        3.89        —        (1.62 )      —        (1.62 )   

8/31/10

     15.31        (0.40 )      1.84        1.44        —        —        —        —     

8/31/09

     15.17        (0.25 )      2.87        2.62        —        (2.48 )      —        (2.48 )   

8/31/08

     16.97        (0.39 )      0.49        0.10        —        (1.90 )      —        (1.90 )     
Robeco Boston Partners Long/Short Research Fund

  

          

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 11.91      $ (0.07 )    $ 0.91      $ 0.84      $ —      $ (0.13 )    $ —      $ (0.13 )   

8/31/12

     10.60        (0.13 )      1.53        1.40        —        (0.09 )      —        (0.09 )   

9/30/10** through 8/31/11

     10.00        (0.12 )      0.71        0.59        —        —        —        —     

Investor Class

                  

9/1/12 through 2/28/13†

   $ 11.86      $ (0.08 )    $ 0.90      $ 0.82      $ —      $ (0.13 )    $ —      $ (0.13 )   

8/31/12

     10.58        (0.15 )      1.52        1.37        —        (0.09 )      —        (0.09 )   

11/29/10** through 8/31/11

     10.40        (0.12 )      0.29        0.17        —        —        —        —       
† Unaudited
* Calculated based on average shares outstanding for the period.
** Inception date.
1 

Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.

2 

Redemption fees, if any, are reflected in total return calculations.

3 

Amount is less than $0.01 per share.

4 

Portfolio turnover rate excludes securities received from processing a subscription-in-kind.

5 

Annualized.

6 

Not Annualized.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

40      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

FINANCIAL HIGHLIGHTS (continued)

   PER SHARE OPERATING PERFORMANCE

 

     Redemption
Fees		     Net
Asset
Value,
End of
Period		     Total
Investment
Return1,2 		    Net
Assets,
End of
Period
(000)		     Ratio of
Expenses to
Average Net
Assets With
Waivers and
Reimbursements
and/or Recoupment,
if any		     Ratio of
Expenses to
Average Net
Assets With
Waivers and
Reimbursements
and/or Recoupment,
if any
(Excluding
Dividend and
Interest Expense)		     Ratio of
Expenses to
Average Net
Assets Without
Waivers and
Reimbursements
and/or Recoupment,
if any		     Ratio of Net
Investment
Income/(Loss)
to Average Net
Assets With
Waivers and
Reimbursements
and/or Recoupment,
if any		     Portfolio
Turnover
Rate		  
                 
                 
  $ — 3    $ 17.30        13.63 %    $ 66,521        1.30 %5      N/A        1.33 %5      0.97 %5      9 %6 
    — 3      15.31        18.98        53,604        1.30         N/A        1.36         0.37         32    
    — 3      12.92        17.59        30,172        1.30        N/A        1.37        0.22        38   
    — 3      11.02        5.47        25,736        1.30        N/A        1.39        0.51        43   
    — 3      10.49        (8.97 )      21,466        1.30        N/A        1.74        1.29        66   
    — 3      11.87        (10.15 )      56,652        1.39        N/A        1.54        0.47        54   
                 
  $ — 3    $ 16.67        13.46 %    $ 80,300        1.55 %5      N/A        1.58 %5      0.72 %5      9 %6 
    — 3      14.74        18.67        66,689        1.55         N/A        1.61         0.12         32    
    — 3      12.44        17.28        70,490        1.55        N/A        1.62        (0.03 )      38   
    — 3      10.62        5.26        61,260        1.55        N/A        1.63        0.25        43   
    — 3      10.11        (9.20 )      43,408        1.55        N/A        2.00        0.90        66   
      — 3      11.43        (10.40 )      65,370        1.64        N/A        1.79        0.19        54   
         
                 
  $ 0.01      $ 20.83        8.04 %    $ 568,025        4.62 %5      2.44 %5      4.62 %5      (2.36 )%5      33 %6 
    0.01        20.47        14.16        505,108        4.29         2.48         4.29         (2.68 )      71    
    0.01        19.88        23.66        344,935        3.70        2.47        3.71        (2.35 )      103   
    0.05        17.41        10.54        164,438        3.40        2.50        3.46        (2.10 )      81   
    — 3      15.75        30.02        54,703        3.35        2.50        4.04        (1.85 )      172   
    — 3      15.47        1.12        36,423        3.98        2.50        4.36        (2.27 )      124   
                 
  $ 0.01      $ 19.76        7.87 %    $ 209,668        4.87 %5      2.69 %5      4.87 %5      (2.61 )%5      33 %6 
    0.01        19.51        13.90        170,834        4.54         2.73         4.54         (2.93 )      71    
    0.01        19.08        23.37        128,184        3.95        2.72        3.96        (2.60 )      103   
    0.05        16.80        9.73        82,088        3.65        2.75        3.70        (2.35 )      81   
    — 3      15.31        29.63        30,980        3.55        2.75        4.19        (2.09 )      172   
      — 3      15.17        0.88        7,728        4.23        2.75        4.61        (2.51 )      124   
         
                 
  $ — 3    $ 12.62        7.04 %    $ 614,377        2.90 %5      1.50 %5      2.87 %5      (1.09 )%5      31 %6 
    — 3      11.91        13.32        254,170        2.81         1.54         2.84         (1.12 )      53 4 
    0.01        10.60        6.00        37,237        2.70 5      1.74 5      4.05 5      (1.21 )5      61 6 
                 
  $ — 3    $ 12.55        6.90 %    $ 83,779        3.15 %5      1.75 %5      3.12 %5      (1.34 )%5      31 %6 
    — 3      11.86        13.06        48,296        3.00         1.79         3.04         (1.31 )      53 4 
      0.01        10.58        1.73        20,308        2.99 5      1.98 5      4.08 5      (1.47 )5      61 6 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        41   

ROBECO INVESTMENT FUNDS     

 

FINANCIAL HIGHLIGHTS (continued)

   PER SHARE OPERATING PERFORMANCE

 

 

Contained below is per share operating performance data for each class of shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

    

Net

Asset
Value,
Beginning
of Period

     Net
Investment
Income/(Loss)*		     Net Realized
and Unrealized
Gain/(Loss) on
Investments		     Total From
Investment
Operations		     Dividends to
Shareholders
from Net
Investment
Income		     Distributions to
Shareholders
from Net
Realized Gains		    

Total

Distributions

    

Redemption

Fees

       
Robeco Boston Partners All-Cap Value Fund

  

              

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 15.57      $ 0.14      $ 1.66      $ 1.80      $ (0.27 )    $ (0.10 )    $ (0.37 )    $ —     

8/31/12

     14.34        0.20        2.04        2.24        (0.12 )      (0.89 )      (1.01 )      —     

8/31/11

     12.85        0.15        1.63        1.78        (0.10 )      (0.19 )      (0.29 )      —     

8/31/10

     12.56        0.10        0.32        0.42        (0.13 )      —        (0.13 )      —     

8/31/09

     13.61        0.19        (1.03 )      (0.84 )      (0.12 )      (0.09 )      (0.21 )      —     

8/31/08

     16.47        0.23        (1.54 )      (1.31 )      (0.16 )      (1.39 )      (1.55 )      —     

Investor Class

                  

9/1/12 through 2/28/13†

   $ 15.50      $ 0.12      $ 1.66      $ 1.78      $ (0.23 )    $ (0.10 )    $ (0.33 )    $ —     

8/31/12

     14.28        0.16        2.03        2.19        (0.08 )      (0.89 )      (0.97 )      —     

8/31/11

     12.79        0.11        1.63        1.74        (0.06 )      (0.19 )      (0.25 )      —     

8/31/10

     12.52        0.07        0.31        0.38        (0.11 )      —        (0.11 )      —     

8/31/09

     13.56        0.16        (1.03 )      (0.87 )      (0.08 )      (0.09 )      (0.17 )      —     

8/31/08

     16.41        0.16        (1.51 )      (1.35 )      (0.11 )      (1.39 )      (1.50 )      —       
Robeco WPG Small/Micro Cap Value Fund

  

              

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 14.32      $ 0.08      $ 2.70      $ 2.78      $ (0.07 )    $ —      $ (0.07 )    $ — 3   

8/31/12

     12.31        (0.05 )      2.06        2.01        —        —        —        — 3   

8/31/11

     11.65        (0.06 )      0.72        0.66        —        —        —        —     

8/31/10

     10.57        (0.05 )      1.16        1.11        (0.03 )      —        (0.03 )      — 3   

8/31/09

     12.18        0.03        (1.62 )      (1.59 )      (0.01 )      (0.01 )      (0.02 )      —     

8/31/08

     17.05        0.05 6      (2.46 )      (2.41 )      (0.01 )      (2.45 )      (2.46 )      —       
Robeco Boston Partners Global Equity Fund

  

              

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 11.00      $ 0.04      $ 1.29      $ 1.33      $ (0.13 )    $ (0.09 )    $ (0.22 )    $ —     

12/30/11** through 8/31/12

     10.00        0.10        0.90        1.00        —        —        —        —       
Robeco Boston Partners International Equity Fund

  

              

Institutional Class

                  

9/1/12 through 2/28/13†

   $ 10.79      $ 0.04      $ 1.51      $ 1.55      $ (0.13 )    $ (0.08 )    $ (0.21 )    $ —     

12/30/11** through 8/31/12

     10.00        0.15        0.64        0.79        —        —        —        —       

 

† Unaudited
* Calculated based on average shares outstanding, unless otherwise noted.
** Inception date.
1 

Total return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of the period and is not annualized if period is less than one year.

2 

Redemption fees are reflected in total return calculations.

3 

Amount is less than $0.01.

4 

Annualized.

5 

Not Annualized.

6 

Calculated using the SEC’s undistributed net investment income method.

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

42      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

FINANCIAL HIGHLIGHTS (concluded)

   PER SHARE OPERATING PERFORMANCE

 

     Net
Asset
Value,
End of
Period		     Total
Investment
Return1,2 		    Net
Assets,
End of
Period
(000)		     Ratio of
Expenses to
Average Net
Assets With
Waivers and
Reimbursements		    

Ratio of
Expenses to
Average Net
Assets Without
Waivers and

Reimbursements

     Ratio of Net
Investment
Income/(Loss)
to Average Net
Assets With
Waivers and
Reimbursements		     Portfolio
Turnover
Rate		  
             
             
  $ 17.00        11.72 %    $ 357,054        0.70 %4      0.99 %4      1.72 %4      15 %5 
    15.57        16.73        343,885        0.70         1.03         1.38         33    
    14.34        13.75        210,113        0.70        1.03        1.00        47   
    12.85        3.31        112,437        0.80        1.15        0.75        48   
    12.56        (5.88 )      63,085        0.95        1.50        1.79        55   
    13.61        (8.55 )      51,850        0.95        1.70        1.59        44   
         
  $ 16.95        11.64 %    $ 33,760        0.95 %4      1.24 %4      1.46 %4      15 %5 
    15.50        16.44        25,189        0.95         1.28         1.13         33    
    14.28        13.55        26,436        0.95        1.28        0.75        47   
    12.79        3.01        13,016        1.03        1.39        0.55        48   
    12.52        (6.15 )      5,187        1.20        1.75        1.51        55   
      13.56        (8.82 )      3,164        1.20        1.95        1.10        44   
             
             
  $ 17.03        19.47 %    $ 42,494        1.65 %4      1.65 %4      1.00 %4      32 %5 
    14.32        16.33        37,367        1.70         1.70         (0.34 )      84    
    12.31        5.67        33,238        1.67        1.72        (0.43 )      85   
    11.65        10.54        32,394        1.69        1.77        (0.39 )      94   
    10.57        (12.93 )      35,405        1.61        1.95        0.37        137   
      12.18        (15.12 )      43,133        1.61        1.65        0.11        131   
             
             
  $ 12.11        12.17 %    $ 12,715        1.30 %4      3.40 %4      0.63 %4      50 %5 
      11.00        10.00 5      11,234        1.30 4      3.56 4      1.39 4      83 5 
             
             
  $ 12.13        14.44 %    $ 12,610        1.30 %4      3.44 %4      0.62 %4      43 %5 
      10.79        7.90 5      10,895        1.30 4      3.77 4      2.16 4      81 5 

 

THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.

 

SEMI-ANNUAL REPORT 2013        43   

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS

  

 

1. Organization and Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series trust,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including Robeco Boston Partners Small Cap Value Fund II (“BP Small Cap Value Fund II”), Robeco Boston Partners Long/Short Equity Fund (“BP Long/Short Equity Fund”), Robeco Boston Partners Long/Short Research Fund (“BP Long/Short Research Fund”), Robeco Boston Partners All-Cap Value Fund (“BP All-Cap Value Fund”), Robeco Boston Partners Global Equity Fund (“BP Global Equity Fund”), Robeco Boston Partners International Equity Fund (“BP International Equity Fund”) (collectively “BP Funds”), and Robeco WPG Small/Micro Cap Value Fund (“WPG Small/Micro Cap Value Fund” and, collectively with the BP Funds, the “Funds”). As of February 28, 2013, the BP Funds each offer two classes of shares, Institutional Class and Investor Class. As of February 28, 2013, Investor Class shares of the BP Global Equity Fund and BP International Equity Fund have not been issued. The WPG Small/Micro Cap Value Fund is a single class fund, offering only the Institutional Class of shares.

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

Portfolio Valuation — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by a Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service, which considers such factors as security prices, yields, maturities and ratings, and are deemed representative of market values at the close of the market. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use fair value pricing as discussed in their prospectuses). Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments. Such procedures use fundamental valuation methods, which may include, but are not limited to, an analysis of the effect of any restrictions on the resale of the security, industry analysis and trends, significant changes in the issuer’s financial position, and any other event which could have a significant impact on the value of the security. Determination of fair value involves subjective judgment as the actual market value of a particular security can be established only by negotiations between the parties in a sales transaction, and the difference between the recorded fair value and the value that would be received in a sale could be significant.

Fair Value Measurements — The inputs and valuation techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

• Level 1 —    quoted prices in active markets for identical securities;
• Level 2 —    other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 —    significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

 

44      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

A summary of the inputs used to value each Fund’s investments as of February 28, 2013 is included in each Fund’s Portfolio of Investments.

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no material transfers between Levels 1, 2, and 3 for any of the Funds.

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

Investment Transactions, Investment Income and Expenses — The Funds record security transactions based on trade date for financial report purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Funds’ investment income, expenses (other than class specific distribution fees) and unrealized and realized gains and losses are allocated daily to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

Dividends and Distributions to Shareholders — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date for all Funds. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. Tax Status — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify or continue to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

SEMI-ANNUAL REPORT 2013        45   

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

 

Other — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

Foreign Currency Translation — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.

Currency Risk — The Funds invest in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Funds may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Funds” NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Funds are determined on the basis of U.S. dollars, the Funds may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Funds’ holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Funds’ holdings in foreign securities.

Foreign Securities Market Risk — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.

Options Written — The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may enter into options written to hedge against changes in the value of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. The risk in writing a call option is that a Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that a Fund may incur a loss if the market price of the security decreases and the option is exercised. A Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. A Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes.

Written options are recorded as liabilities to the extent of premiums received. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received.

 

 

46      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

The BP Long/Short Equity Fund, BP Long/Short Research Fund and the BP All-Cap Value Fund had transactions in options written during the six-month period ended February 28, 2013 as follows:

 

     BP Long/Short Equity Fund     BP Long/Short Research Fund     BP All-Cap Value Fund  
     Number of
Contracts		     Premiums
Received		     Number of
Contracts		     Premiums
Received		     Number of
Contracts		     Premiums
Received		  

Options outstanding at August 31, 2012

      5,124      $ 2,513,645        340      $ 174,573        3,460      $ 762,800   

Options written

      1,140        225,622        —        —        849        143,481   

Options closed

      (3,819 )      (1,642,431 )      (240 )      (143,263 )      (849 )      (148,091 ) 

Options expired

      (552 )      (273,581 )      —        —        (1,625 )      (186,188 ) 

Options exercised

      (753 )      (597,633 )      (100 )      (31,310 )      (986 )      (428,521 ) 
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Options outstanding at February 28, 2013

      1,140      $ 225,622        —      $ —        849      $ 143,481   
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Short Sales — When the investment adviser believes that a security is overvalued, the BP Long/Short Equity Fund, the BP Long/Short Research Fund and the BP All-Cap Value Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. A Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. A Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, a Fund may not receive any payments (including interest) on collateral deposited with them.

In accordance with the terms of its prime brokerage agreements, a Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Funds record these prime broker charges on a net basis as interest income or interest expense. For the six-month period ended February 28, 2013, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had net charges of $4,756,752 and $1,092,827, respectively, on borrowed securities. Such amounts are included in prime broker interest expense on the statement of operations.

As of February 28, 2013, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had securities sold short valued at $482,598,214 and $309,527,634, respectively, for which securities of $500,289,743 and $295,670,603 and cash deposits of $479,518,538 and $312,247,561, respectively, were pledged as collateral.

In accordance with Special Custody and Pledge Agreements with Goldman Sachs & Co. (“Goldman Sachs”) (the Funds’ prime broker), the BP Long/Short Equity Fund and the BP Long/Short Research Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.

The BP Long/Short Equity Fund and the BP Long/Short Research Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the six-month period ended February 28, 2013:

 

       Days Utilized        Average Daily
Borrowings		        Weighted Average
Interest Rate		  

BP Long/Short Equity Fund

        176         $ 33,438,303           0.60 % 

BP Long/Short Research Fund

        181           22,875,832           0.60 % 

As of February 28, 2013, the BP Long/Short Equity Fund and the BP Long/Short Research Fund had borrowings of $59,359,622 and $58,578,926, respectively. Interest expenses for the six-month period ended February 28, 2013, totaled $94,306 and $68,720, respectively.

 

2. Transactions with Investment Advisers and Other Services

Robeco Investment Management, Inc. (“Robeco”) provides investment advisory services to the BP Funds and the WPG Small/Micro Cap Value Fund. For its advisory services with respect to the BP Funds, Robeco is entitled to receive 1.00% of the BP Small Cap Value Fund II’s average daily net assets, 2.25% of the BP Long/Short Equity Fund’s average daily net assets, 1.25% of the BP Long/Short Research Fund’s average daily net assets, 0.80% of the BP All-Cap Value Fund’s average daily net

 

SEMI-ANNUAL REPORT 2013        47   

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

assets, 0.90% of BP Global Equity Fund’s average daily net assets, and 0.90% of BP International Equity Fund’s average daily net assets, each accrued daily and payable monthly.

Until December 31, 2013, Robeco has contractually agreed to limit the BP Small Cap Value Fund II, BP Long/Short Equity Fund and BP All-Cap Value Fund’s total annual operating expenses (excluding certain items discussed below) to the extent that such expenses exceed the ratios in the table below. This limit is calculated daily based on the BP Small Cap Value Fund II, BP Long/Short Equity Fund and BP All-Cap Value Fund’s average daily net assets. These limitations are effected in waivers of advisory fees and reimbursements of expenses exceeding the advisory fee as necessary. These contractual limitations are in effect until at least December 31, 2013 and may not be terminated without approval of the Company’s Board of Directors. Robeco may not recoup any of its waived investment advisory fees with respect to these Funds.

 

       Institutional        Investor  

BP Small Cap Value Fund II

        1.30 %         1.55 % 

BP Long/Short Equity Fund

        2.50 %         2.75 % 

BP All-Cap Value Fund

        0.70 %         0.95 % 

For the BP Long/Short Research Fund, Robeco has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (excluding certain items discussed below) exceeds 1.50% of the average daily net assets attributable to the Fund’s Institutional Class shares and 1.75% of the average daily net assets attributable to the Fund’s Investor Class. This contractual limitation is in effect until at least December 31, 2013 and may not be terminated without approval of the Company’s Board of Directors. If at any time during the first three years the Fund’s Advisory Agreement with Robeco is in effect, the Fund’s Total annual Fund operating expenses for that year are less than 1.50% for the Institutional Class and 1.75% for the Investor Class, Robeco is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by Robeco to the Fund during such three-year period. As of February 28, 2013, the total fees waived and reimbursed which may be subject to possible future reimbursement to Robeco totaled $248,830, of which, $191,818 expires in 2014 and $57,012 expires in 2015. During the six month period ended February 28, 2013, Robeco was reimbursed by the Fund $64,210 of advisory fee forgone in fiscal year 2011.

For the BP Global Equity Fund and BP International Equity Fund, Robeco has contractually agreed to waive all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which each Fund’s total annual Fund operating expenses (excluding certain items discussed below) exceeds 1.30% of the average daily net assets attributable to each Fund’s Institutional Class shares and 1.55% of the average daily net assets attributable to each Fund’s Investor Class. This contractual limitation is in effect until at least December 31, 2013 and may not be terminated without approval of the Company’s Board of Directors. If at any time during the first three years each Fund’s Advisory Agreement with Robeco is in effect, each Fund’s total annual Fund operating expenses for that year are less than 1.30% for the Institutional Class and 1.55% for the Investor Class, Robeco is entitled to reimbursement by each Fund of the advisory fees waived and other payments remitted by Robeco to each Fund during such three-year period. As of February 28, 2013, the total fees waived and reimbursed which may be subject to possible future reimbursement to Robeco totaled $257,078 and $268,729 for the BP Global Equity Fund and BP International Equity Fund, respectively, of which $133,820 and $144,610, respectively, expires in 2015 and $123,258 and $124,119, respectively, expires in 2016.

For its advisory services with respect to the WPG Small/Micro Cap Value Fund, Robeco is entitled to receive advisory fees, accrued daily and paid monthly, as follows:

 

WPG Small/Micro Cap Value Fund    0.90% of net assets up to $300 million
   0.80% of net assets $300 million to $500 million
   0.75% of net assets in excess of $500 million

Until December 31, 2013, Robeco has contractually agreed to limit the WPG Small/Micro Cap Value Fund’s total annual Fund operating expenses (excluding certain items discussed below) to 1.70% as a percentage of the Fund’s average daily net assets. The contractual limitation is in effect until at least December 31, 2013 and may not be terminated without approval of the Company’s Board of Directors. Robeco may not recoup any of its waived investment advisory fees with respect to the WPG Small/Micro Cap Value Fund.

For the six months ended February 28, 2013, Robeco has waived and reimbursed fees as follows:

 

Funds

      Investment Adviser
Expense Waived		        Investment Adviser
Reimbursement		  

BP Small Cap Value Fund II

      $ 24,319         $ —   

BP Long/Short Equity Fund

        —           —   

BP Long/Short Research Fund

        —           —   

BP All-Cap Value Fund

        525,853           —   

BP WPG Small/Micro Cap Value Fund

        —           —   

BP Global Equity Fund

        52,909           70,349   

BP International Equity Fund

        52,156           71,963   

 

48      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

In determining Robeco’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account and could cause a Fund’s net annualized expense ratio to exceed the applicable expense limitation: acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, extraordinary items, interest and taxes.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”), serves as administrator for the Funds. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.

Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administrative services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agency services, BNY Mellon is entitled to receive a monthly fee, subject to certain minimum.

The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets, subject to certain minimum monthly fees.

The Board of Directors of the Company has approved a Distribution Agreement for the Funds and adopted separate Plans of Distribution for the Investor Class of each BP Fund (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. Under the Plans, Foreside Funds Distributors LLC (“the Underwriter”) is entitled to receive from each Fund a distribution fee with respect to the Investor Class, which is accrued daily and paid monthly, of up to 0.25% on an annualized basis of the average daily net assets of the Investor Class. Amounts paid to the Distributor under the Plans may be used by the Distributor to cover expenses that are related to (i) the sale of the Investor Class Shares, (ii) ongoing servicing and/or maintenance of the accounts of shareholders, and (iii) sub-transfer agency services, subaccounting services or administrative services related to the sale of the Investor Class, all as set forth in the Plans.

 

3. Directors/Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six-month period ended February 28, 2013, was $83,259. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Funds or the Company.

 

4. Investment in Securities

For the six-month period ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments and U.S. government obligations) were as follows:

 

Fund

      Purchases        Sales  

BP Small Cap Value Fund II

      $ 20,133,725         $ 11,939,907   

BP Long/Short Equity Fund

        281,131,698           229,014,883   

BP Long/Short Research Fund

        429,969,868           129,799,179   

BP All-Cap Value Fund

        54,585,218           71,460,476   

WPG Small/Micro Cap Value Fund

        11,975,665           15,023,087   

BP Global Equity Fund

        5,751,142           6,552,786   

BP International Equity Fund

        4,789,216           4,839,168   

 

5. Capital Share Transactions

As of February 28, 2013, each class of each Fund has 100,000,000 shares of $0.001 par value common stock authorized except for the Institutional Class of the WPG Small/Micro Cap Value Fund, which has 50,000,000 shares of $0.001 par value common stock authorized.

 

6. Securities Lending

Securities may be loaned to financial institutions, such as broker-dealers, and are required to be secured continuously by collateral in cash, cash equivalents, letter of credit or U.S. Government securities maintained on a current basis at an amount at

 

SEMI-ANNUAL REPORT 2013        49   

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

least equal to the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Directors, is invested in short-term investments. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. Such loans would involve risks of delay in receiving additional collateral in the event the value of the collateral decreased below the value of the securities loaned or of delay in recovering the securities loaned or even loss of rights in the collateral should the borrower of the securities fail financially. However, loans will be made only to borrowers deemed by Robeco to be of good standing and only when, in the Robeco’s judgment, the income to be earned from the loans justifies the attendant risks. Any loans of a Fund’s securities will be fully collateralized and marked to market daily. During the six-month period ended February 28, 2013, the Funds participated in securities lending. The market value of securities on loan and collateral as of February 28, 2013 and the income generated from the program during the six-month period ended February 28, 2013, with respect to such loans are as follows:

 

Fund

      Market Value
of Securities
Loaned		        Market Value
of Collateral		        Income Received
from Securities
Lending		  

BP Small Cap Value Fund II

      $ 17,400,880         $ 17,809,719         $ 16,398   

BP Long/Short Equity Fund

        10,414,234           10,859,274           110,517   

BP All-Cap Value Fund

        2,740,249           2,833,760           28,848   

WPG Small/Micro Cap Value Fund

        3,592,008           3,712,413           12,285   

 

7. Restricted Securities

A restricted security is a security which has been purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (the “1933 Act”) or pursuant to the resale limitations provided by Rule 144 under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. Certain restricted securities may be resold in transactions exempt from registration, normally to qualified institutional buyers, and may be deemed liquid by Robeco as applicable, based on policies and procedures established by the Board of Directors. Therefore, not all restricted securities are considered illiquid.

At February 28, 2013, the following Fund held restricted securities that were illiquid:

 

       Acquisition Date      Acquisition
Cost		        Shares        Value        % of
Net Assets		  

BP All-Cap Value Fund

                         
Common Stocks:                         

J.G.Wentworth, Inc. 144A

      08/02/07-03/26/08      $ 181,980           —           —           0.0   

Peoples Choice Financial Corp. 144A

      12/21/04-01/23/06        14,293           1,465           —           0.0   

Solar Cayman Ltd. 144A

      03/24/10        —           19,375           —           0.0   
         

 

 

            

 

 

       

 

 

  
          $ 196,273              $           —           0.0 % 
         

 

 

            

 

 

       

 

 

  

 

8. Redemption Fees

There is a 1.00% redemption fee on shares redeemed which have been held 60 days or less on BP Small Cap Value Fund II, BP Long/Short Research Fund, BP Global Equity Fund and BP International Equity Fund. There is a 2.00% redemption fee on shares redeemed which have been held 365 days or less on the BP Long/Short Equity Fund. The WPG Small/Micro Cap Value Fund has a 2.00% redemption fee on shares redeemed within 60 days of purchase. The redemption fees are retained by the Funds for the benefit of the remaining shareholders and recorded as paid-in capital.

 

9. Federal Income Tax Information

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Funds have determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

 

50      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (continued)

  

 

As of February 28, 2013, federal tax cost and aggregate gross unrealized appreciation and depreciation of securities held by each Fund were as follows:

 

Fund

      Federal Tax
Cost		        Unrealized
Appreciation		        Unrealized
Depreciation		      Net
Unrealized
Appreciation		  

BP Small Cap Value Fund II

      $ 123,713,374         $ 38,509,731         $ (3,563,179 )     $ 34,946,552   

BP Long/Short Equity Fund

        661,989,452           118,880,971           (20,030,497 )       98,850,474   

BP Long/Short Research Fund

        582,789,842           68,786,635           (6,724,182 )       62,062,453   

BP All-Cap Value Fund

        314,016,602           65,628,287           (4,066,640 )       61,561,647   

WPG Small/Micro Cap Value Fund

        35,151,776           9,102,814           (821,336 )       8,281,478   

BP Global Equity Fund

        9,753,727           1,793,256           (132,123 )       1,661,133   

BP International Equity Fund

        10,134,450           2,022,685           (182,974 )       1,839,711   

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

Fund

    Undistributed
Ordinary
Income		      Undistributed
Long-Term
Gains		      Capital Loss
Carryforwards		     Unrealized
Appreciation
(Depreciation)		      Qualified
Late-year
Loss
Deferral		     Other
Temporary
Differences		  

BP Small Cap Value Fund II

    $ 10,163       $ —       $ (16,071,197 )    $ 19,694,781       $ (1,708,185 )    $ —   

BP Long/Short Equity Fund

      28,431,871         10,071,484         (1,686,468 )      25,196,547         —        (516,104 ) 

BP Long/Short Research Fund

      4,279,421         —         —        9,116,718         —        (31,827 ) 

BP All-Cap Value Fund

      3,583,004         118,755         —        26,483,957         —        —   

WPG Small/Micro Cap Value Fund

      —         —         (4,435,716 )      2,042,273         (97,367 )      —   

BP Global Equity Fund

     
 104,732
   
      —         (41,732 )      981,080         —        —   

BP International Equity Fund

     
 116,512
   
     
 —
   
     
 (44,041
 ) 
     761,867         —        —   

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes.

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2012 were as follows:

 

       2012  

Fund

      Ordinary
Income		        Long-Term
Gains		        Total  

BP Small Cap Value Fund II

      $ 223,632         $ —         $ 223,632   

BP Long/Short Equity Fund

        36,839,762           15,899,486           52,739,248   

BP Long/Short Research Fund

        682,238           —           682,238   

BP All-Cap Value Fund

        3,635,264           12,729,463           16,364,727   

WPG Small/Micro Cap Value Fund

        —           —           —   

BP Global Equity Fund

        —           —           —   

BP International Equity Fund

        —           —           —   

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Funds’ first fiscal year end subject to the Modernization Act was August 31, 2012.

 

SEMI-ANNUAL REPORT 2013        51   

ROBECO INVESTMENT FUNDS     

 

NOTES TO FINANCIAL STATEMENTS (concluded)

 

 

As of August 31, 2012, the Funds had the following pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.

 

Fund

      August 31, 2016        August 31, 2017        August 31, 2018        Total  

BP Small Cap Value Fund II

      $ —         $ 3,220,796         $ 12,850,401         $ 16,071,197   

BP Long/Short Equity Fund

        1,686,468           —           —           1,686,468   

BP Long/Short Research Fund

        —           —           —           —   

BP All-Cap Value Fund

        —           —           —           —   

WPG Small/Micro Cap Value Fund

        —           1,017,173           3,418,543           4,435,716   

As of August 31, 2012, the following Funds had post-enactment capital loss carryforwards which have an unlimited period of capital loss carryover:

 

       Short-Term  

BP Global Equity Fund

      $ 41,732   

BP International Equity Fund

        44,041   

 

10. New Accounting Pronouncement

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities”. ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. New disclosures are required for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating the impact of ASU 2011-11 on the financial statements and disclosures.

 

11. Subsequent Events

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

 

52      SEMI-ANNUAL REPORT 2013

ROBECO INVESTMENT FUNDS     

 

OTHER INFORMATION (unaudited)

  

 

Proxy Voting

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 261-4073 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Quarterly Portfolio Schedule

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

Other Matters

ORIX Corporation, an integrated financial services group based in Tokyo, Japan, is expected to acquire a majority of the equity interest of Robeco Groep N.V., the parent company of Robeco, in the second or third quarter of 2013.

Pursuant to the terms of the current investment advisory agreements between Robeco and the Company, on behalf of each of the Funds, the proposed transaction would be considered an assignment of the Funds’ current investment advisory agreements with Robeco, resulting in their automatic termination. On April 15, 2013, the Board of Directors of the Company approved a new investment advisory agreement with Robeco, on behalf of each of the Funds. The new investment advisory agreement contains substantially similar terms as the current investment advisory agreements with Robeco, including identical advisory fees. Upon consummation of the proposed transaction, Robeco will continue to provide investment advisory services to each Fund pursuant to the new advisory agreement, provided that such advisory agreement has been approved by Fund shareholders.

A special meeting of shareholders of the Funds will be held at which shareholders will be asked to consider and approve the new investment advisory agreement.

 

SEMI-ANNUAL REPORT 2013        53   

 

INVESTMENT ADVISER

Robeco Investment Management Inc.

909 Third Avenue, 32nd Floor

New York, NY 10022

ADMINISTRATOR

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

TRANSFER AGENT

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

PRINCIPAL

UNDERWRITER

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

CUSTODIAN

The Bank of New York Mellon

One Wall Street

New York, NY 10286

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

Ernst & Young LLP

One Commerce Square

2005 Market Street, Suite 700

Philadelphia, PA 19103

COUNSEL

Drinker Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

 

S1 FUND

SEMI-ANNUAL INVESTMENT ADVISER’S REPORT

(UNAUDITED)

 

 

 

Dear Fellow Investor,

We are pleased to enclose the February 28, 2013 semi-annual report for the S1 Fund (the “Fund”) for your information.

The Simple Alternatives team would like to take this opportunity to thank you for your continued support. We are grateful for the confidence you have placed in us since the Fund’s inception.

Our philosophy is simple. We believe that hedged equity is a vital part of any investment portfolio. We believe that investors are best served by diversifying across a team of skilled hedged equity managers and that those strategies and managers are best accessed through a simple-to-use mutual fund structure.

One of our goals of including hedged equity strategies in the Fund portfolio is to aim to reduce market volatility that can be found in an investment portfolio of equities and bonds. While equity and bond returns were generally positive during the past year, the Fund was able to provide meaningful ballast during high volatility moments while still delivering positive returns.

For the period from September 1, 2012 to February 28, 2013, the Fund returned 3.92%. This compares to a 7.69% return for the S&P 500®. The Fund achieved this return while only taking approximately one-third the risk of the S&P 500 during the same period. While the Fund’s conservative risk exposure made the frothy market rally of early 2013 challenging, we were encouraged by the Fund’s strong relative return in the fourth quarter of 2012. During the fourth quarter of 2012 the Fund delivered a 2.10% return while the S&P 500 lost 0.40%. This outperformance is a good example of how the Fund can deliver returns driven by strong stock selection and not market timing or overall broad equity market performance.

Our careful selection of sub-advisors has resulted in a diverse and talented team of experienced hedged equity managers who are skilled at finding undiscovered opportunities to invest in while at the same time striving to protect capital.

We are grateful for those who believed early on in our model and are encouraged by the continued growth in assets for the Fund.

Sincerely,

James K. Dilworth

Founder

Simple Alternatives

 

Portfolio composition is subject to change. The current and future portfolio holdings of the Fund are subject to investment risks.

 

1

S1 FUND

PERFORMANCE DATA

(UNAUDITED)

 

Total Returns for the Periods Ended February 28, 2013

  

            

    Average Annual

  
      Six
Months*		      One
            Year             		    Since
Inception**		  

S1 Fund, I Shares

      3.92%       4.96%      1.86%   

S&P 500® Index***

      7.69%       10.91%      12.47%   

 

* Not annualized.

 

**  Inception date of the Fund is September 30, 2010.

 

***  Benchmark performance is from the inception date of the Fund only and is not the inception date of the benchmark itself.

Performance quoted is past performance and does not guarantee future results. Investment return and principal value will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the returns quoted above. Call Simple Alternatives at 1-866-882-1226 for returns current to the most recent month-end.

The performance quoted reflects fee waivers in effect and would have been less in their absence. The Fund’s gross annual operating expense ratio, as stated in the current prospectus, is 5.29% and the Fund’s net operating expense ratio is 4.47%. Net operating expense includes interest and dividends on short sales and acquired fund fees. The Fund’s investment adviser, Simple Alternatives, LLC, has contractually agreed until at least December 31, 2014 to forgo all or a portion of its advisory fee and/or reimburse expenses in an aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, litigation, extraordinary items, interest or taxes) exceeds 2.95% of the average daily net assets attributable to the Fund’s I Shares. This limitation can be discontinued at any time after December 31, 2014.

The Fund is non-diversified and may focus its investments in the securities of a comparatively small number of issuers. Concentration in securities of a limited number of issuers exposes a fund to greater market risk and potential monetary losses than if its assets were diversified among the securities of a greater number of issuers. The Fund may invest in small- and medium-sized companies which involve greater risk than investing in larger, more established companies, such as increased volatility of earnings and prospects, higher failure rates, and limited markets, product lines or financial resources.

The Fund may invest in foreign or emerging markets securities which involve special risks, including the volatility of currency exchange rates and, in some cases, limited geographic focus, political and economic instability, and relatively illiquid markets.

The Fund may invest in debt securities which are subject to interest rate risk. An increase in interest rates typically causes a fall in the value of the debt securities in which the Fund may invest. The Fund may also invest in high yield,

 

2

S1 FUND

PERFORMANCE DATA (CONCLUDED)

(UNAUDITED)

 

lower rated (junk) bonds which involve a greater degree of risk and price fluctuation than investment grade bonds in return for higher yield potential. The Fund’s distressed debt strategy may involve a substantial degree of risk, including investments in sub-prime mortgage securities.

The Fund may purchase securities of companies in initial public offerings. Special risks associated with these securities may include a limited number of shares available for trading, unseasoned trading, lack of investor knowledge of the company and limited operating history. The Fund may leverage transactions which include selling short as well as borrowing for other than temporary or emergency purposes. Leverage creates the risk of magnified capital losses.

The Fund may also invest in derivatives which can be volatile and involve various types and degrees of risks, depending upon the characteristics of a particular derivative. The Fund may invest in options and futures which are subject to special risks and 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. Futures trading is very speculative, largely due to the traditional volatility of futures prices.

Portfolio composition is subject to change.

 

3

S1 FUND

FUND EXPENSE EXAMPLES

(UNAUDITED)

 

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

This example is based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013 and held for the entire period.

ACTUAL EXPENSES

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

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

4

S1 FUND

FUND EXPENSE EXAMPLES (CONCLUDED)

(UNAUDITED)

 

     I SHARES
     BEGINNING ACCOUNT VALUE
SEPTEMBER 1, 2012		    ENDING ACCOUNT VALUE
FEBRUARY 28, 2013		    EXPENSES PAID
DURING PERIOD

Actual*

      $ 1,000.00        $ 1,039.20        $ 21.69  

Hypothetical

               

(5% return before expenses)

        1,000.00          1,003.52          21.31  

 

 

*

Expenses equal to an annualized expense ratio for the six-month period ended February 28, 2013 of 4.29% for the I Shares of the Fund, which includes waived fees or reimbursed expenses (including dividend and interest expense), multiplied by the average account value over the period, multiplied by the number of days in the most recent period (181) then divided by 365 days. The Fund’s ending account value on the first line in the table is based on the actual six-months total return for the I Shares of the Fund of 3.92%. These amounts include dividends paid on securities which the Fund has sold short (“short-sale dividends”) and related interest expense. The annualized amount of short-sale dividends and related interest expense was 1.34% of the Fund’s average net assets attributable to I Shares for the most recent fiscal year.

 

5

S1 FUND

PORTFOLIO HOLDINGS SUMMARY TABLE

FEBRUARY 28, 2013

(UNAUDITED)

 

The following table presents a summary by sector of the portfolio holdings of the Fund.

 

SECURITY TYPE/SECTOR CLASSIFICATION    % OF NET
ASSETS		     VALUE  

COMMON STOCKS:

     

Consumer Discretionary

      17.8 %    $ 13,347,721   

Real Estate Investment Trusts

      12.5        9,380,890   

Financials

      10.3        7,732,463   

Information Technology

      9.9        7,433,053   

Industrials

      5.1        3,818,079   

Health Care

      3.5        2,590,609   

Telecommunication Services

      3.0        2,261,080   

Materials

      2.6        1,946,854   

Consumer Staples

      2.5        1,855,606   

Energy

      1.9        1,418,028   

U.S. GOVERNMENT AGENCY

      8.0        6,004,016   

EXCHANGE TRADED FUNDS

      1.8        1,332,546   

CORPORATE BONDS

      1.0        730,250   

PURCHASED OPTIONS

      0.5        380,655   

U.S TREASURY NOTE

      0.2        107,000   

FOREIGN GOVERNMENT NOTE

      0.0        10,196   

WRITTEN OPTIONS

      (0.5 )      (392,886 ) 

EXCHANGE TRADED FUNDS SOLD SHORT

      (7.0 )      (5,228,660 ) 

COMMON STOCKS SOLD SHORT

      (29.2 )      (21,866,058 ) 

OTHER ASSETS IN EXCESS OF LIABILITIES

      56.1        42,067,383   
  

 

 

    

 

 

  

NET ASSETS

      100.0 %    $ 74,928,825   
  

 

 

    

 

 

  

 

 

Portfolio holdings are subject to change at any time.

 

The accompanying notes are an integral part of the financial statements.

 

6

S1 FUND

PORTFOLIO OF INVESTMENTS

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF SHARES 		     VALUE  

COMMON STOCKS — 69.1%

  

   

CONSUMER DISCRETIONARY—17.8%

  

   

AMC Networks, Inc., Class A*^

      10,798       $ 619,805   

America’s Car-Mart, Inc.*^

      12,503         597,144   

Ascent Capital Group, Inc., Class A*

      5,000         342,950   

Beazer Homes USA, Inc.*

      6,000         93,420   

Bravo Brio Restaurant Group, Inc.*

      28,390         428,121   

Brookfield Residential Properties, Inc.*†

      21,539         477,304   

Charter Communications, Inc.,
Class A*^

      11,690         1,009,899   

Childrens Place Retail Stores,
Inc., (The)*^

      10,090         458,691   

Cie Financiere Richemont SA,
Class A (Switzerland)

      1,640         131,840   

Desarrolladora Homex SAB de
CV - ADR*

      6,090         72,471   

Express, Inc.*

      24,960         461,760   

Foot Locker, Inc.^

      13,785         471,309   

Hot Topic, Inc.

      39,750         429,300   

Hyatt Hotels Corp., Class A*^

      12,735         523,282   

Interval Leisure Group, Inc.

      33,500         699,145   

Li & Fung Ltd. (Hong Kong)

      56,800         76,167   

Liberty Interactive Corp., Class A*^

      20,386         425,660   

Liberty Ventures, Class A*^

      2,404         173,569   

M/I Homes, Inc.*

      37,852         866,811   

Melco Crown Entertainment
Ltd. - ADR*^

      19,000         364,990   

MGM Resorts International, Inc.*

      32,827         410,009   

NVR, Inc.*

      160         161,472   

Select Comfort Corp.*

      16,100         330,533   

Sirius XM Canada Holdings, Inc. (Canada)

      112,000         705,939   

Sirius XM Radio, Inc.^

      175,700         544,670   

Standard Pacific Corp.*

      12,000         97,680   

Super Group Ltd. (South Africa)

      39,979         94,022   

True Religion Apparel, Inc.^

      34,913         931,828   
     NUMBER
OF SHARES 		     VALUE  

CONSUMER DISCRETIONARY—(CONTINUED)

  

Universal Entertainment Corp. (Japan)

      15,000       $ 256,177   

Vail Resorts, Inc.

      7,700         425,348   

Whirlpool Corp.^

      5,900         666,405   
     

 

 

  
        13,347,721   
     

 

 

  

CONSUMER STAPLES—2.5%

      

Cermaq ASA (Norway)

      6,096         104,596   

Loblaw Cos. Ltd. (Canada)

      3,850         154,821   

Minerva SA (Brazil)

      18,100         117,960   

Nestle SA - Sponsored ADR

      1,425         99,707   

Reckitt Benckiser Group PLC
(United Kingdom)

      1,270         85,332   

Safeway, Inc.

      7,250         172,985   

Smithfield Foods, Inc.*

      6,400         142,336   

Susser Holdings Corp.*

      8,539         378,107   

Tesco PLC (United Kingdom)

      15,106         84,700   

Tyson Foods, Inc., Class A^

      22,720         515,062   
     

 

 

  
        1,855,606   
     

 

 

  

ENERGY—1.9%

      

Baker Hughes, Inc.

      500         22,410   

Cloud Peak Energy, Inc.*

      5,620         96,327   

Exxon Mobil Corp.

      1,435         128,504   

Murphy Oil Corp.

      1,670         101,670   

Peabody Energy Corp.

      2,740         59,074   

QEP Resources, Inc.^

      23,690         721,597   

Sasol Ltd. - Sponsored ADR

      2,320         99,180   

Statoil ASA - Sponsored ADR

      4,015         100,094   

Transocean Ltd.*†

      1,705         89,172   
     

 

 

  
        1,418,028   
     

 

 

  

FINANCIALS—10.3%

      

Altisource Portfolio Solutions SA*†

      2,362         192,597   

Capital Bank Financial Corp.,

    Class A*

      19,931         368,724   

China Life Insurance Co. Ltd. - ADR

      2,705         119,209   

Fairfax Financial Holdings
Ltd. (Canada)

      350         132,988   

Forest City Enterprises, Inc.,

    Class A*^

      61,087         979,835   
 

 

The accompanying notes are an integral part of the financial statements.

 

7

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF SHARES		      VALUE  

FINANCIALS—(CONTINUED)

      

Fox Chase Bancorp, Inc.^

      36,934       $ 617,536   

Hampden Bancorp, Inc.

      35,530         562,085   

Heritage Commerce Corp.*^

      96,700         653,692   

HFF, Inc., Class A^

      13,710         251,716   

Hilltop Holdings, Inc.*

      37,673         483,721   

Home Loan Sevicing Solutions Ltd.*†^

      17,987         405,786   

Howard Hughes Corp., (The)*

      4,400         337,876   

Invesco Ltd.

      2,270         60,813   

MetroCorp Bancshares, Inc.*

      54,130         559,704   

Ocwen Financial Corp.*

      11,420         450,176   

OmniAmerican Bancorp, Inc.*^

      31,289         815,391   

Safestore Holdings PLC
(United Kingdom)

      87,957         168,129   

St. Joe Co. (The)*

      8,100         180,630   

ViewPoint Financial Group^

      18,794         391,855   
     

 

 

  
        7,732,463   
     

 

 

  

HEALTH CARE—3.5%

      

Almost Family, Inc.

      7,988         164,473   

Angiotech Pharmaceuticals, Inc.*†D

      14,450         368,475   

Capital Senior Living Corp.*

      5,400         124,200   

Emeritus Corp.*

      6,550         186,610   

Johnson & Johnson^

      8,300         631,713   

LHC Group, Inc.*

      5,136         104,364   

Pfizer, Inc.^

      36,930         1,010,774   
     

 

 

  
        2,590,609   
     

 

 

  

INDUSTRIALS—5.1%

      

ADT Corp. (The)

      3,150         150,854   

All America Latina Logistica SA (Brazil)

      17,400         86,147   

Ashtead Group PLC
(United Kingdom)

      45,000         351,579   

Brink’s Co. (The)

      5,330         140,979   

G4S PLC (United Kingdom)

      28,959         127,448   

Gencorp, Inc.*

      75,500         909,775   

Invensys PLC (United Kingdom)

      60,000         325,955   

Manitowoc Co., Inc. (The)

      30,300         561,156   

Tata Motors Ltd. - Sponsored ADR

      2,600         70,564   
     NUMBER
OF SHARES		      VALUE  

INDUSTRIALS—(CONTINUED)

      

United Continental Holdings, Inc.*^

      15,749       $ 420,656   

United Rentals, Inc.*

      12,600         672,966   
     

 

 

  
        3,818,079   
     

 

 

  

INFORMATION TECHNOLOGY—9.9%

  

Comverse, Inc.*

      19,810         545,171   

EchoStar Corp., Class A*^

      24,529         928,177   

Ellie Mae, Inc.*

      16,000         324,800   

Global Cash Access Holdings, Inc.*^

      70,000         497,000   

Google, Inc., Class A*^

      975         781,170   

Hewlett-Packard Co.

      8,250         166,155   

Intel Corp.

      4,450         92,783   

Kulicke & Soffa Industries, Inc.*

      24,000         259,680   

LTX-Credence Corp.*

      106,100         615,380   

Micron Technology, Inc.*

      92,000         771,880   

Microsoft Corp.

      3,990         110,922   

ON Semiconductor Corp.*

      28,000         224,000   

Optimal Payments, PLC
(United Kingdom)*

      160,518         394,495   

Oracle Corp.^

      12,500         428,250   

Progress Software Corp.*

      29,890         673,123   

Teradyne, Inc.*

      34,000         569,840   

Western Union Co. (The)

      3,580         50,227   
     

 

 

  
        7,433,053   
     

 

 

  

MATERIALS—2.6%

      

Agrium, Inc.†

      1,240         128,278   

ArcelorMittal†

      6,240         93,475   

Barrick Gold Corp. (Canada)

      4,500         136,080   

Crown Holdings, Inc.*^

      21,900         851,253   

Northern Dynasty Minerals Ltd. (Canada)*

      67,464         213,861   

POSCO - ADR

      1,040         83,918   

Schweitzer-Mauduit International, Inc.^

      11,940         439,989   
     

 

 

  
        1,946,854   
     

 

 

  

REAL ESTATE INVESTMENT TRUSTS—12.5%

  

American Capital Agency Corp.

      7,600         240,958   

AvalonBay Communities, Inc.

      2,850         355,766   
 

 

The accompanying notes are an integral part of the financial statements.

 

8

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF SHARES		      VALUE  

REAL ESTATE INVESTMENT TRUSTS—(CONTINUED)

  

BRE Properties, Inc.

      9,450       $ 459,365   

Brookfield Office Properties, Inc.^

      51,800         864,542   

Colonial Properties Trust^

      40,815         879,971   

Colony Financial, Inc.

      8,600         190,490   

Dundee Real Estate Investment Trust (Canada)*D 144A

      2,300         82,120   

Dundee Real Estate Investment Trust, Class A (Canada)

      2,900         103,542   

Education Realty Trust, Inc.^.

      45,050         491,496   

Equity Lifestyle Properties, Inc.^

      17,576         1,295,175   

First Industrial Realty Trust, Inc.*

      20,300         322,161   

General Growth Properties, Inc.

      29,700         568,458   

Home Properties, Inc.

      7,900         493,118   

Hudson Pacific Properties, Inc.

      18,850         425,445   

Macerich Co., (The)

      10,900         655,199   

Medical Properties Trust, Inc.

      10,150         147,378   

Parkway Properties, Inc.^

      19,000         321,290   

Public Storage

      2,050         309,981   

Ramco-Gershenson Properties Trust^

      26,993         426,489   

Silver Bay Realty Trust Corp.*

      1,850         37,777   

Spirit Realty Capital, Inc.

      10,650         212,148   

Strategic Hotels & Resorts, Inc.*

      50,400         366,912   

Vastned Retail NV (Netherlands)

      3,100         131,109   
     

 

 

  
        9,380,890   
     

 

 

  

TELECOMMUNICATION SERVICES—3.0%

  

China Mobile Ltd. - Sponsored ADR

      2,505         137,274   

Chorus Ltd. - ADR

      2,206         26,384   

MegaFon OAO - GDR (United Kingdom)*

      4,350         122,813   

Sprint Nextel Corp.*^

      130,000         754,000   
     NUMBER
OF SHARES 		     VALUE  

TELECOMMUNICATION SERVICES—(CONTINUED)

  

Vodafone Group, PLC - Sponsored ADR

      36,000       $ 905,040   

Vodafone Group, PLC (United Kingdom)

      125,650         315,569   
     

 

 

  
        2,261,080   
     

 

 

  

TOTAL COMMON STOCKS

    (Cost $44,786,758)

  

  

      51,784,383   
     

 

 

  

EXCHANGE TRADED FUNDS — 1.8%

  

COMMODITY—0.6%

      

SPDR Gold Shares*^

      2,899         443,431   
     

 

 

  

CURRENCY—0.6%

      

ProShares UltraShort Euro*

      9,470         183,150   

ProShares UltraShort Yen*

      4,770         273,655   
     

 

 

  
        456,805   
     

 

 

  

DEBT—0.2%

      

Proshares Ultrashort 20+ Year Treasury*

      2,585         169,266   
     

 

 

  

EQUITY—0.3%

      

Market Vectors Gold Miners ETF^

      5,675         212,245   
     

 

 

  

OTHER—0.1%

      

Templeton Dragon Fund, Inc.

      1,770         50,799   
     

 

 

  

TOTAL EXCHANGE TRADED FUNDS

    (Cost $1,308,089)

  

  

      1,332,546   
     

 

 

  
     PAR
(000’S)		         

CORPORATE BONDS — 1.0%

  

   

CONSUMER STAPLES—0.7%

  

   

North Atlantic Trading Co. 144A

      

11.500% 07/15/16

    $ 500         526,250   
     

 

 

  

FINANCIALS—0.3%

      

MGIC Investment Corp.

      

5.375% 11/01/15

      240         204,000   
     

 

 

  

TOTAL CORPORATE BONDS

(Cost $701,388)

  

  

      730,250   
     

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

9

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     PAR
(000’S) 		     VALUE  

FOREIGN GOVERNMENT NOTE — 0.0%

  

   

Canadian Government Bond
3.000% 12/01/15

    CAD 10       $ 10,196   
     

 

 

  

TOTAL FOREIGN GOVERNMENT NOTE

(Cost $10,212)

  

  

      10,196   
     

 

 

  

U.S. TREASURY NOTE — 0.2%

  

2.625% 04/30/16

    $ 100         107,000   
     

 

 

  

TOTAL U.S. TREASURY NOTE

(Cost $102,014)

  

  

      107,000   
     

 

 

  

U.S. GOVERNMENT AGENCY — 8.0%

  

   

FEDERAL NATIONAL MORTGAGE

ASSOCIATION—8.0%

  

  

   

2.700% 03/28/22^

      2,000         2,003,126   

1.500% 03/29/27^#

      2,000         2,002,092   

1.000% 04/30/27^#

      2,000         1,998,798   
     

 

 

  
        6,004,016   
     

 

 

  

TOTAL U.S. GOVERNMENT AGENCY

(Cost $5,991,697)

  

  

      6,004,016   
     

 

 

  
     NUMBER
OF
CONTRACTS 		        

PURCHASED OPTIONS — 0.5%

  

   

CALL OPTIONS PURCHASED — 0.1%

  

   

Vodafone Group, PLC - Sponsored ADR

    Expires 01/18/14

    Strike Price $30

      1,900         72,200   

Whirlpool Corp.

    Expires 04/20/13

    Strike Price $115

      24         8,880   
     

 

 

  

TOTAL CALL OPTIONS PURCHASED

(Cost $100,000)

  

  

      81,080   
     

 

 

  
     NUMBER
OF
CONTRACTS 		     VALUE  

PUT OPTIONS PURCHASED — 0.4%

  

   

Amedisys, Inc.

    Expires 03/16/13

    Strike Price $10

      200       $ 4,800   

iShares Dow Jones U.S. Real Estate

    Expires 03/16/13

    Strike Price $67

      100         2,100   

iShares Russell 2000 Index Fund

    03/01/13

    Strike Price $89

      125         1,375   

iShares Russell 2000 Index Fund

    Expires 04/20/13

    Strike Price $87

      960         123,840   

iShares Russell 2000 Index Fund

    Expires 04/20/13

    Strike Price $89

      200         37,600   

Manitowoc Co., Inc. (The)

    Expires 03/16/13

    Strike Price $19

      272         23,120   

Melco Crown Entertainment, Ltd.

    Expires 04/20/13

    Strike Price $18

      76         7,220   

MGM Resorts International

    Expires 03/16/13

    Strike Price $12

      90         900   

SPDR S&P 500 ETF Trust

    Expires 03/16/13

    Strike Price $146

      260         13,000   

SPDR S&P 500 ETF Trust

    Expires 03/16/13

    Strike Price $149

      260         25,480   

SPDR S&P 500 ETF Trust

    Expires 03/28/13

    Strike Price $148

      150         19,200   

Tesla Motors, Inc.

    Expires 03/16/13

    Strike Price $29

      52         390   
 

 

The accompanying notes are an integral part of the financial statements.

 

10

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF
CONTRACTS		     VALUE  

United Rentals, Inc.

    Expires 04/20/13

    Strike Price $52.50

      69      $ 20,010   

Whirlpool Corp.

    Expires 04/20/13

    Strike Price $100

      30        2,790   

WisdomTree Dreyfus Chinese Yuan Fund

    Expires 04/20/13

    Strike Price $24

      350        3,500   

WisdomTree Dreyfus Chinese Yuan Fund

    Expires 04/20/13

    Strike Price $25

      600        9,000   

Zillow, Inc., Class A

    Expires 05/18/13

    Strike Price $30

      70        5,250   
    

 

 

  

TOTAL PUT OPTIONS PURCHASED

(Cost $426,122)

  

  

     299,575   
    

 

 

  

TOTAL PURCHASED OPTIONS —  0.5%

    (Cost $526,122)

  

  

     380,655   
    

 

 

  

TOTAL LONG POSITIONS — 80.6%

    (Cost $53,426,280)

  

  

     60,349,046   
    

 

 

  
     NUMBER
OF SHARES		        

SECURITIES SOLD SHORT — (36.2)%

  

  

COMMON STOCKS — (29.2)%

  

  

COMMUNICATIONS—(0.2)%

  

  

Verizon Communication, Inc.

      (3,674 )      (170,951 ) 
    

 

 

  

CONSUMER DISCRETIONARY—(5.2)%

  

Brinker International, Inc.

      (7,000 )      (233,660 ) 

Casio Computer Co. Ltd. (Japan)

      (15,000 )      (118,783 ) 

Conn’s, Inc.*

      (6,300 )      (201,852 ) 

Dick’s Sporting Goods, Inc.

      (2,700 )      (135,000 ) 

Francesca’s Holdings Corp.*

      (4,600 )      (117,070 ) 

Hanesbrands, Inc.*

      (1,838 )      (72,858 ) 

JC Penney Co., Inc.

      (9,000 )      (158,130 ) 

John Wiley & Sons, Inc., Class A

      (9,300 )      (340,194 ) 

LeapFrog Enterprises, Inc.*

      (20,000 )      (171,400 ) 
     NUMBER
OF SHARES		     VALUE  

CONSUMER DISCRETIONARY—(CONTINUED)

  

  

Lululemon Athletica, Inc.*†

      (2,100 )    $ (140,805 ) 

Marriott International, Inc., Class A

      (10,900 )      (430,005 ) 

Netflix, Inc.*

      (250 )      (47,020 ) 

NVR, Inc.*

      (312 )      (314,870 ) 

O’reilly Automotive, Inc.*

      (1,575 )      (160,240 ) 

Pandora Media, Inc.*

      (22,540 )      (274,988 ) 

Pearson, PLC (United Kingdom)

      (10,000 )      (175,220 ) 

Polaris Industries, Inc.

      (1,100 )      (96,107 ) 

PulteGroup, Inc.*

      (8,700 )      (166,866 ) 

Scholastic Corp.

      (5,200 )      (156,520 ) 

Thor Industries, Inc.

      (4,900 )      (184,191 ) 

TRI Pointe Homes, Inc.*

      (9,900 )      (182,160 ) 
    

 

 

  
       (3,877,939 ) 
    

 

 

  

CONSUMER STAPLES—(0.8)%

  

  

Boulder Brands, Inc.*

      (18,000 )      (153,360 ) 

Hain Celestial Group, Inc. The*

      (3,430 )      (187,793 ) 

NU Skin Enterprises, Inc., Class A

      (5,700 )      (234,840 ) 
    

 

 

  
       (575,993 ) 
    

 

 

  

FINANCIALS—(4.5)%

  

  

American Campus Communities, Inc.

      (4,700 )      (212,440 ) 

Bank of The Ozarks, Inc.

      (8,730 )      (335,145 ) 

BankUnited, Inc.

      (9,480 )      (268,853 ) 

Charles Schwab Corp. (The)

      (13,500 )      (219,240 ) 

Eaton Vance Corp.

      (8,170 )      (312,012 ) 

Federated Investors, Inc., Class B

      (13,960 )      (324,151 ) 

Greenhill & Co., Inc.

      (5,660 )      (344,015 ) 

Home Capital Group, Inc. (Canada)

      (4,350 )      (241,871 ) 

Legg Mason, Inc.

      (10,345 )      (294,833 ) 

MSCI, Inc.*

      (2,800 )      (92,764 ) 

Prosperity Bancshares, Inc.

      (5,760 )      (265,767 ) 

SVB Financial Group*

      (3,300 )      (221,298 ) 

Wisdomtree Investments, Inc.*

      (23,900 )      (217,490 ) 

Zillow, Inc., Class A*

      (1,500 )      (64,440 ) 
    

 

 

  
       (3,414,319 ) 
    

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

11

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF SHARES		     VALUE  

HEALTH CARE—(0.8)%

     

Amedisys, Inc.*

      (20,000 )    $ (226,000 ) 

Masimo Corp.

      (8,500 )      (168,725 ) 

Questcor Pharmaceuticals, Inc.

      (5,700 )      (185,820 ) 
    

 

 

  
       (580,545 ) 
    

 

 

  

INDUSTRIALS—(1.4)%

     

Acorn Energy, Inc.

      (28,530 )      (185,730 ) 

Bouygues SA (France)

      (5,300 )      (149,736 ) 

Healthcare Services Group, Inc.

      (6,600 )      (159,060 ) 

Meyer Burger Tech. AG (Switzerland)

      (4,500 )      (38,984 ) 

Nielsen Holdings NV*

      (2,896 )      (97,566 ) 

Ritchie Bros Auctioneers, Inc.†

      (11,700 )      (266,526 ) 

Robert Half International, Inc.

      (3,850 )      (136,867 ) 
    

 

 

  
       (1,034,469 ) 
    

 

 

  

INFORMATION TECHNOLOGY—(5.2)%

  

  

Broadridge Financial Solutions, Inc.

      (12,125 )      (278,269 ) 

Demand Media, Inc.*

      (11,000 )      (89,100 ) 

Dena Co. Ltd. (Japan)

      (3,000 )      (84,151 ) 

F5 Networks, Inc.*

      (2,000 )      (188,860 ) 

FactSet Research Systems, Inc.

      (3,230 )      (314,247 ) 

Fusion-io, Inc.*

      (8,700 )      (146,856 ) 

Gree, Inc. (Japan)

      (5,500 )      (66,933 ) 

Intel Corp.

      (5,850 )      (121,972 ) 

MercadoLibre, Inc.†

      (2,700 )      (231,147 ) 

Meru Networks, Inc.*

      (12,686 )      (56,707 ) 

Microsoft Corp.

      (3,150 )      (87,570 ) 

Neopost SA (France)

      (1,577 )      (91,197 ) 

Nintendo Co. Ltd. (Japan)

      (1,100 )      (106,333 ) 

OmniVision Technologies, Inc.*

      (18,300 )      (282,003 ) 

RealPage, Inc.*

      (9,060 )      (196,240 ) 

Salesforce.com, Inc.*

      (786 )      (133,007 ) 

Seagate Technology., PLC*

      (8,550 )      (274,968 ) 

Silicon Graphics International Corp.*

      (28,520 )      (429,226 ) 

SunPower Corp.*

      (21,700 )      (254,758 ) 
     NUMBER
OF SHARES		     VALUE  

INFORMATION TECHNOLOGY—(CONTINUED)

  

  

Taiwan Semiconductor Manufacturing Co. Ltd. - Sponsored ADR

      (8,400 )    $ (153,300 ) 

Trina Solar Ltd. - Sponsored ADR*

      (50,000 )      (200,000 ) 

United Microelectronics Corp. - Sponsored ADR

      (49,000 )      (90,650 ) 
    

 

 

  
       (3,877,494 ) 
    

 

 

  

REAL ESTATE INVESTMENT TRUSTS—(10.0)%

  

Acadia Realty Trust

      (7,467 )      (201,012 ) 

Ashford Hospitality Trust, Inc.

      (20,700 )      (243,639 ) 

AvalonBay Communities, Inc.

      (2,330 )      (290,854 ) 

Boardwalk Real Estate Investment Trust (Canada)

      (1,950 )      (122,228 ) 

Cofinimmo (Belgium)

      (1,300 )      (153,938 ) 

Commonwealth REIT

      (1,550 )      (39,137 ) 

CubeSmart

      (29,150 )      (429,671 ) 

DCT Industrial Trust, Inc.

      (24,600 )      (178,596 ) 

EastGroup Properties, Inc.

      (9,206 )      (522,993 ) 

Essex Property Trust, Inc.

      (2,750 )      (409,722 ) 

Getty Realty Corp.

      (10,550 )      (209,734 ) 

Glimcher Realty Trust

      (31,850 )      (358,631 ) 

HCP, Inc.

      (350 )      (17,108 ) 

Kimco Realty Corp.

      (28,450 )      (619,357 ) 

Mack-Cali Realty Corp.

      (11,750 )      (333,465 ) 

Medical Properties Trust, Inc.

      (18,800 )      (272,976 ) 

National Health Investors, Inc.

      (3,300 )      (213,840 ) 

Pebblebrook Hotel Trust

      (15,000 )      (358,650 ) 

Plum Creek Timber Co., Inc.

      (2,258 )      (109,513 ) 

Post Properties, Inc.

      (4,000 )      (190,960 ) 

Prologis, Inc.

      (10,950 )      (426,393 ) 

RAIT Financial Trust

      (24,900 )      (180,276 ) 

Realty Income Corp.

      (5,500 )      (251,075 ) 

Retail Properties of America, Inc., Class A

      (3,100 )      (45,880 ) 

Sabra Health Care REIT, Inc.

      (17,350 )      (458,561 ) 

SL Green Realty Corp.

      (8,410 )      (686,424 ) 

Vornado Realty Trust

      (1,750 )      (140,368 ) 
    

 

 

  
       (7,465,001 ) 
    

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

12

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF SHARES 		    VALUE  

TELECOMMUNICATION SERVICES—(1.1)%

  

AT&T, Inc.

      (4,585 )    $ (164,647 ) 

Deutsche Telekom AG, Registered Shares (Germany)

      (28,000 )      (300,742 ) 

France Telecom SA (France)

      (12,400 )      (120,105 ) 

Iliad SA (France)

      (1,100 )      (210,533 ) 

Iridium Communications, Inc.*

      (12,000 )      (73,320 ) 
    

 

 

  
       (869,347 ) 
    

 

 

  

TOTAL COMMON STOCKS SOLD SHORT

    (Proceeds $20,422,329)

  

  

     (21,866,058 ) 
    

 

 

  

EXCHANGE TRADED FUNDS SOLD

    SHORT — (7.0)%

  

  

  

EQUITY—(7.0)%

     

iShares Dow Jones U.S. Home Construction Index Fund

      (11,000 )      (247,390 ) 

iShares Russell 2000 Index Fund

      (55,066 )      (4,981,270 ) 
    

 

 

  
       (5,228,660 ) 
    

 

 

  

TOTAL EXCHANGE TRADED FUNDS SOLD SHORT

    (Proceeds $4,332,157)

   

  

     (5,228,660 ) 
    

 

 

  

TOTAL SECURITIES SOLD SHORT

    (Proceeds $24,754,486)

  

  

     (27,094,718 ) 
    

 

 

  
     NUMBER
OF
CONTRACTS 		       

WRITTEN OPTIONS — (0.5)%

  

  

CALL OPTIONS WRITTEN—(0.4)%

  

  

iShares Russell 2000 Index Fund

    Expires 04/20/13

    Strike Price $93

      (440 )      (36,520 ) 

Manitowoc Co., Inc. (The)

    Expires 03/16/13

    Strike Price $19

      (90 )      (3,150 ) 
     NUMBER
OF
CONTRACTS 		    VALUE  

CALL OPTIONS WRITTEN—(CONTINUED)

  

Melco Crown Entertainment, Ltd.

    Expires 04/20/13

    Strike Price $21

      (76 )    $ (4,940 ) 

Micron Technology, Inc.

    Expires 04/20/13

    Strike Price $8

      (230 )      (17,250 ) 

Micron Technology, Inc.

    Expires 04/20/13

    Strike Price $9

      (460 )      (11,960 ) 

SPDR S&P 500 ETF Trust

    Expires 03/16/13

    Strike Price $152

      (260 )      (33,800 ) 

SPDR S&P 500 ETF Trust

    Expires 03/28/13

    Strike Price $154

      (100 )      (8,000 ) 

Tesla Motors, Inc.

    Expires 03/16/13

    Strike Price $30

      (52 )      (26,520 ) 

Tesla Motors, Inc.

    Expires 03/16/13

    Strike Price $35

      (52 )      (4,940 ) 

United Rentals, Inc.

    Expires 04/20/13

    Strike Price $55

      (46 )      (11,730 ) 

Whirlpool Corp.
Expires 04/20/13
Strike Price $120

      (48 )      (9,696 ) 

Zillow, Inc., Class A

    Expires 05/18/13

    Strike Price $30

      (55 )      (69,850 ) 

Zillow, Inc., Class A

    Expires 05/18/13

    Strike Price $35

      (70 )      (59,150 ) 
    

 

 

  

TOTAL CALL OPTIONS WRITTEN

    (Premiums Received $184,970)

  

  

     (297,506 ) 
    

 

 

  

PUT OPTIONS WRITTEN—(0.1)%

  

  

iShares Russell 2000 Index Fund

    Expires 04/20/13

    Strike Price $84

      (250 )      (18,500 ) 
 

 

The accompanying notes are an integral part of the financial statements.

 

13

S1 FUND

PORTFOLIO OF INVESTMENTS (CONTINUED)

FEBRUARY 28, 2013

(UNAUDITED)

 

     NUMBER
OF
CONTRACTS 		    VALUE  

PUT OPTIONS WRITTEN—(CONTINUED)

  

  

iShares Russell 2000 Index Fund

    Expires 06/28/13

    Strike Price $77

      (780 )    $ (56,940 ) 

Manitowoc Co., Inc. (The)

    Expires 03/16/13

    Strike Price $18

      (136 )      (4,420 ) 

MGM Resorts International

    Expires 05/18/13

    Strike Price $11

      (90 )      (2,520 ) 

SPDR S&P 500 ETF Trust

    Expires 03/16/13

    Strike Price $146

      (260 )      (13,000 ) 
    

 

 

  

TOTAL PUT OPTIONS WRITTEN

    (Premiums Received $87,806)

  

  

     (95,380 ) 
    

 

 

  

TOTAL WRITTEN OPTIONS — (0.5)%

    (Premiums Received $272,776)

  

  

    (392,886 ) 
    

 

 

  

OTHER ASSETS IN EXCESS OF

    LIABILITIES — 56.1%

  

  

     42,067,383   
    

 

 

  

NET ASSETS — 100.0%

  

   $ 74,928,825   
    

 

 

  

 

* Non-income producing.

† This company is domiciled outside of the United States. The security’s functional currency is the United States dollar.
D Security has been valued at fair market value as determined in good faith by or under the direction of The RBB Fund, Inc.’s Board of Directors. As of February 28, 2013, fair valued positions amounted to $450,595 or 0.6% of net assets.
^ Security position is either entirely or partially held in a segregated account as collateral for securities sold short.

144A

    Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2013, these securities amounted to $608,370 or 0.8% of net assets. Unless otherwise noted, these 144A securities have not been deemed illiquid.

#

    Step Bond. A bond that pays an initial interest rate for the first period and then a higher interest rate for the following periods until maturity. The interest rate shown reflects the rate in effect at February 28, 2013.

 

ADR

    American Depositary Receipt

AUD

    Australian Dollar

CAD

    Canadian Dollar

ETF

    Exchange-traded Fund

GDR

    Global Depositary Receipt

JPY

    Japanese Yen

MSCI

    Morgan Stanley Capital International

PLC

    Public Limited Company

REIT

    Real Estate Investment Trust

S&P

    Standard & Poors

SPDR

    Standard & Poors Depositary Receipt
 

 

The accompanying notes are an integral part of the financial statements.

 

14

S1 FUND

PORTFOLIO OF INVESTMENTS (CONCLUDED)

FEBRUARY 28, 2013

(UNAUDITED)

 

FORWARD FOREIGN CURRENCY CONTRACTS OUSTANDING AS OF FEBRUARY 28, 2013 WERE AS FOLLOWS:

CONTRACTS

TO BUY OR

TO SELL

    CURRENCY   

PRINCIPAL

AMOUNT

COVERED BY

CONTRACTS

    EXPIRATION    COUNTERPARTY    UNREALIZED
APPRECIATION
(DEPRECIATION)

Sell

    CAD    CAD       666,400    03/13    Goldman Sachs      $ 14,497  

Buy

    EUR    EUR       518,103    03/13    Goldman Sachs        (16,956 )

Buy

    GBP    GBP       400,000    03/13    Goldman Sachs        (10,598 )

Sell

    GBP    GBP    2,208,270    03/13    Goldman Sachs        136,745  

Buy

    JPY    JPY 21,332,502    03/13    Goldman Sachs        (4,224 )
                      

 

 

  
                 $ 119,464  
                      

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

15

S1 FUND

STATEMENT OF ASSETS AND LIABILITIES

FEBRUARY 28, 2013

(UNAUDITED)

 

ASSETS

   

Investments, at value (cost $53,426,280)

    $ 60,349,046   

Cash

      21,527,355   

Deposits held with prime broker for securities sold short and written options

      26,997,143   

Foreign currency deposits held with prime broker for securities sold short and written
options(cost $1,072,728)

      1,030,777   

Receivables for:

   

Investments sold

      2,348,831   

Capital shares sold

      749,577   

Dividends and interest

      110,714   

Forward foreign currency contracts appreciation

      151,242   

Prepaid expenses and other assets

      23,765   
  

 

 

  

Total assets

      113,288,450   
  

 

 

  

LIABILITIES

   

Securities sold short, at value (proceeds $24,754,486)

      27,094,718   

Options written, at value (premiums received $272,776)

      392,886   

Payables for:

   

Investments purchased

      2,252,112   

Capital shares redeemed

      34,477   

Investment advisory fees

      135,779   

Directors’ and officers’ fees

      438   

Dividends on securities sold short

      14,627   

Due to prime broker

      8,265,655   

Forward foreign currency contracts depreciation

      31,778   

Other accrued expenses and liabilities

      137,155   
  

 

 

  

Total liabilities

      38,359,625   
  

 

 

  

Net Assets

    $ 74,928,825   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

16

S1 FUND

STATEMENT OF ASSETS AND LIABILITIES (CONCLUDED)

FEBRUARY 28, 2013

(UNAUDITED)

 

NET ASSETS CONSIST OF

   

Par value

    $ 7,186   

Paid-in capital

      72,179,291   

Accumulated net investment loss

      (2,215,929 ) 

Accumulated net realized gain from investments, securities sold short, foreign currency
transactions, forward currency contracts, futures transactions and written options

      418,288   

Net unrealized appreciation on investments, securities sold short, futures transactions,
foreign currency translations, forward currency contracts and written options

      4,539,989   
  

 

 

  

Net assets

    $ 74,928,825   
  

 

 

  

I SHARES

   

Net assets

    $ 74,928,825   
  

 

 

  

Shares outstanding ($ 0.001 par value, 100,000,000 shares authorized)

      7,186,028   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 10.43   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

17

S1 FUND

STATEMENT OF OPERATIONS

FOR THE PERIOD ENDED FEBRUARY 28, 2013

(UNAUDITED)

 

INVESTMENT INCOME

   

Dividends (net of foreign withholding taxes of $ 15,190)

    $ 384,357   

Interest

      95,563   
  

 

 

  

Total investment income

      479,920   
  

 

 

  

EXPENSES

   

Advisory fees (Note 2)

      924,564   

Dividend expense on securities sold short

      303,610   

Prime broker interest expense

      146,999   

Administration and accounting fees (Note 2)

      69,703   

Transfer agent fees (Note 2)

      43,214   

Custodian fees (Note 2)

      27,665   

Audit fees.

      22,356   

Legal fees

      20,034   

Printing and shareholder reporting fees

      16,586   

Registration and filing fees

      13,087   

Directors’ and officers’ fees

      12,655   

Insurance fees

      4,377   

Other expenses

      3,435   
  

 

 

  

Total expenses before waivers and reimbursements

      1,608,285   

Less: waivers and reimbursements (Note 2)

      (165,870 ) 
  

 

 

  

Net expenses after waivers and reimbursements.

      1,442,415   
  

 

 

  

Net investment loss

      (962,495 ) 
  

 

 

  

NET REALIZED AND UNREALIZED GAIN/(LOSS) FROM INVESTMENTS

   

Net realized gain/(loss) from:

   

Investments

      2,837,347   

Securities sold short

      (1,810,562 ) 

Futures

      (64,690 ) 

Foreign currency transactions

      3,877   

Forward currency contracts

      12,494   

Written options

      54,934   

Net change in unrealized appreciation/(depreciation) on:

   

Investments

      3,593,553   

Securities sold short

      (1,127,414 ) 

Futures

      49,765   

Foreign currency translation.

      (49,893 ) 

Forward currency contracts

      120,247   

Written options

      (138,851 ) 
  

 

 

  

Net realized and unrealized gain from investments

      3,480,807   
  

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 2,518,312   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

18

S1 FUND

STATEMENT OF CHANGES IN NET ASSETS

 

     FOR THE
SIX MONTHS ENDED
FEBRUARY 28, 2013
(UNAUDITED)		     FOR THE
YEAR ENDED
AUGUST 31, 2012		  

INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS:

     

Net investment loss

    $ (962,495 )    $ (1,905,303 ) 

Net realized gain from investments, securities sold short, futures transactions, foreign currency transactions, forward currency contracts and written options

      1,033,400        459,494   

Net change in unrealized appreciation on investments, securities sold short, futures transactions, foreign currency translation, forward currency contracts and written options

      2,447,407        2,147,258   
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      2,518,312        701,449   
  

 

 

    

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS FROM:

     

Net realized gain

      (153,211 )      —   
  

 

 

    

 

 

  

Total distributions

      (153,211 )      —   
  

 

 

    

 

 

  

CAPITAL TRANSACTIONS:

     

I Shares

     

Proceeds from shares sold

      17,135,997        29,018,574   

Proceeds from reinvestment of distributions

      149,176        —   

Shares redeemed

      (9,010,695 )      (16,665,146 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital share transactions

      8,274,478        12,353,428   
  

 

 

    

 

 

  

Total increase in net assets

      10,639,579        13,054,877   
  

 

 

    

 

 

  

NET ASSETS

     

Beginning of period

      64,289,246        51,234,369   
  

 

 

    

 

 

  

End of period

    $ 74,928,825      $ 64,289,246   
  

 

 

    

 

 

  

Accumulated net investment loss, end of period

    $ (2,215,929 )    $ (1,253,434 ) 
  

 

 

    

 

 

  

SHARE TRANSACTIONS:

     

I Shares

     

Shares sold

      1,659,997        2,928,197   

Shares reinvested

      14,497        —   

Shares redeemed

      (879,561 )      (1,681,163 ) 
  

 

 

    

 

 

  

Net increase in shares

      794,933        1,247,034   
  

 

 

    

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

19

S1 FUND

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED FEBRUARY 28, 2013

(UNAUDITED)

 

CASH FLOWS PROVIDED BY OPERATING ACTIVITIES:

   

Net increase in net assets from operations

    $ 2,518,312   

ADJUSTMENTS TO RECONCILE NET INVESTMENT LOSS
TO NET CASH PROVIDED BY
OPERATING ACTIVITIES:

   

Purchases of investments securities

      (61,031,481 ) 

Proceeds from disposition of long-term investments securities

      61,232,796   

Purchases to cover short sales

      (30,094,777 ) 

Proceeds from short sales

      34,011,021   

Net cost of purchased options

      (1,114,577 ) 

Proceeds from written options

      1,227,600   

Cost of closed and exercised options

      (976,405 ) 

Net amortization/(accretion) of premium/(discount)

      4,186   

Net realized gain on investments and investments sold short

      (1,026,785 ) 

Net unrealized appreciation, investments, investments sold short, futures, forward
currency contracts and written options

      (2,497,300 ) 

Increase in deposits with brokers for securities sold short

      (7,872,687 ) 

Increase in dividend and interest receivable

      (27,945 ) 

Decrease in prepaid expenses and other assets

      4,936   

Decrease in due to custodian

      (19,040 ) 

Decrease in variation margin payable

      (9,640 ) 

Decrease in dividends on securities sold short

      (1,252 ) 

Increase in payable to investment advisor

      18,142   

Increase in accrued expenses

      17,349   
  

 

 

  

Net cash used in operating activities

      (5,637,547 ) 
  

 

 

  

CASH FLOWS FROM FINANCING ACTIVITIES:

   

Increase in due to prime broker payable

      5,612,009   

Net proceeds from fundshare activity

      7,396,320   

Distributions paid from realized capital gains

      (4,035 ) 
  

 

 

  

Net cash provided by financing activities

      13,004,294   
  

 

 

  

Net increase in cash and foreign currency

      7,366,747   

CASH:

   

Cash and foreign currency at beginning of the year

    $ 15,191,385   
  

 

 

  

Cash and foreign currency at end of the period

    $ 22,558,132   
  

 

 

  

SUPPLEMENTAL DISCLOSURE OF CASH FLOW INFORMATION:

   

Cash paid during the period for interest expense

    $ 146,879   
  

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

20

S1 FUND

FINANCIAL HIGHLIGHTS

 

 

Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

     I SHARES  
     FOR THE
SIX MONTHS
ENDED
FEBRUARY 28, 2013
(UNAUDITED)		     FOR THE
YEAR
ENDED
AUGUST 31,  2012		     FOR THE
PERIOD
ENDED
AUGUST 31, 2011(1)		  

PER SHARE OPERATING PERFORMANCE

       

Net asset value, beginning of period

    $ 10.06      $ 9.96      $ 10.00   
  

 

 

    

 

 

    

 

 

  

Net investment loss(2)

      (0.15 )      (0.32 )      (0.29 ) 

Net realized and unrealized gain from investments

      0.54        0.42        0.25 (3) 
  

 

 

    

 

 

    

 

 

  

Total from operations

      0.39        0.10        (0.04 ) 
  

 

 

    

 

 

    

 

 

  

Distributions to shareholders from:

       

From net realized capital gains

      (0.02 )      —        —   
  

 

 

    

 

 

    

 

 

  

Total Distributions

      (0.02 )      —        —   
  

 

 

    

 

 

    

 

 

  

Net asset value, end of period

    $ 10.43      $ 10.06      $ 9.96   
  

 

 

    

 

 

    

 

 

  

Total investment return(4)

      3.92 %(5)      1.00 %      (0.40 )%(5) 
  

 

 

    

 

 

    

 

 

  

RATIOS/SUPPLEMENTAL DATA

       

Net assets, end of period (000’s omitted)

    $ 74,929      $ 64,289      $ 51,234   

Ratio of expenses to average net assets with waivers and reimbursements (including dividend and interest expense)

      4.29 %(6)      4.42 %      4.06 %(6) 

Ratio of expenses to average net assets with waivers and reimbursements (excluding dividend and interest expense)

      2.95 %(6)      2.95 %      2.95 %(6) 

Ratio of expenses to average net assets without waivers and reimbursements (including dividend and interest expense)

      4.78 %(6)      5.24 %      6.39 %(6) 

Ratio of net investment loss to average net assets

      (2.86 )%(6)      (3.24 )%      (3.16 )%(6) 

Portfolio turnover rate

      103.75 %(5)      249.27 %      440.88 %(5) 

 

 

(1) The Fund commenced investment operations on September 30, 2010.
(2) Calculated based on average shares outstanding for the period.
(3) The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.
(4) Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(5) Not annualized.
(6) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

21

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED)

 

1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “1940 Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into seventeen separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the S1 Fund (the “Fund”), which commenced investment operations on September 30, 2010. As of the date hereof, the Fund offers two classes of shares, I Shares and R Shares. As of February 28, 2013, Class R Shares have not been issued.

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Fund has issued shares with a par value of $0.001.

PORTFOLIO VALUATION — The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Options for which the primary market is a national securities exchange are valued at the last sale price on the exchange on which they are traded, or, in the absence of any sale, will be valued at the mean of the last bid and ask prices prior to the market close. Options not traded on a national securities exchange are valued at the last quoted bid price for long option positions and the closing ask price for short option positions. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

22

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

FAIR VALUE MEASUREMENTS — The inputs and valuations techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

• Level 1 –   quoted prices in active markets for identical securities;
• Level 2 –   other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.); and
• Level 3 –   significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Fund’s investments carried at fair value:

 

      TOTAL FAIR
VALUE AT
FEBRUATY 28, 2013		      LEVEL 1
QUOTED
PRICE		      LEVEL 2
SIGNIFICANT
OBSERVABLE
INPUTS		      LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS		  

Common Stocks

            

Consumer Discretionary

    $ 13,347,721       $ 13,347,721       $ —       $ —   

Consumer Staples

      1,855,606         1,855,606         —         —   

Energy

      1,418,028         1,418,028         —         —   

Financials

      7,732,463         7,732,463         —         —   

Health Care

      2,590,609         2,222,134         —         368,475   

Industrials

      3,818,079         3,818,079         —         —   

Information Technology

      7,433,053         7,433,053         —         —   

Materials

      1,946,854         1,946,854         —         —   

Real Estate Investment Trusts

      9,380,890         9,298,770         82,120         —   

Telecommunication Services

      2,261,080         2,261,080         —         —   

Exchange Traded Funds

      1,332,546         1,332,546         —         —   

Corporate Bonds

      730,250         —         730,250         —   

Foreign Government Note

      10,196         —         10,196         —   

U.S. Treasury Note

      107,000         —         107,000         —   

U.S. Government Agency

      6,004,016         —         6,004,016         —   

Asset Derivatives

            

Equity Contracts

      368,155         —         368,155         —   

Foreign Currency Contracts

      163,742         —         163,742         —   

Total Assets

    $ 60,500,288       $ 52,666,334       $ 7,465,479       $ 368,475   

 

 

 

23

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

      TOTAL FAIR
VALUE AT
FEBRUARY 28, 2013		     LEVEL 1
QUOTED
PRICE		     LEVEL 2
SIGNIFICANT
OBSERVABLE
INPUTS		     LEVEL 3
SIGNIFICANT
UNOBSERVABLE
INPUTS		  

Common Stocks Sold Short

         

Communications

    $ (170,951 )    $ (170,951 )    $ —      $ —   

Consumer Discretionary

      (3,877,939 )      (3,877,939 )      —        —   

Consumer Staples

      (575,993 )      (575,993 )      —        —   

Financials

      (3,414,319 )      (3,414,319 )      —        —   

Health Care

      (580,545 )      (580,545 )      —        —   

Industrials

      (1,034,469 )      (1,034,469 )      —        —   

Information Technology

      (3,877,494 )      (3,877,494 )      —        —   

Real Estate Investment Trusts

      (7,465,001 )      (7,465,001 )      —        —   

Telecommunication Services

      (869,347 )      (869,347 )      —        —   

Exchange Traded Funds

      (5,228,660 )      (5,228,660 )      —        —   

Liability Derivatives

         

Equity Contracts

      (392,886 )      —        (392,886 )      —   

Foreign Currency Contracts

      (31,778 )      —        (31,778 )      —   

Total Liabilities

    $ (27,519,382 )    $ (27,094,718 )    $ (424,664 )    $  —   

 

 

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Fund’s investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had a ready market existed for such investments and may differ materially from the values the Fund may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and

 

24

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

out of each Level within the three-tier hierarchy are disclosed when the Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the period ended February 28, 2013, the Fund had no significant transfers between Levels 1, 2 and 3.

DISCLOSURES ABOUT DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

The following tables provide quantitative disclosures about fair value amounts of and gains and losses on the Fund’s derivative instruments as of February 28, 2013.

The following table lists the fair values of the Fund’s derivative holdings as of February 28, 2013 grouped by contract type and risk exposure category.

 

DERIVATIVE

TYPE

    BALANCE
SHEET
LOCATION		    EQUITY
CONTRACTS		    

INTEREST

RATE
CONTRACTS

      FOREIGN
CURRENCY
CONTRACTS 		    COMMODITY
CONTRACTS		      TOTAL  
Asset Derivatives  

Purchased Options

    Investments, at value    $  368,155      $  —       $ 12,500      $  —       $ 380,655   

Forward Contracts

    Foreign currency contract appreciation      —        —         151,242        —         151,242   

Total Value - Assets

         $ 368,155      $ —       $  163,742      $ —       $ 531,897   
Liability Derivatives  

Written Options

    Options written, at value    $  (392,886 )    $ —       $ —      $ —       $  (392,886 ) 

Forward Contracts

    Foreign currency contract depreciation      —        —         (31,778 )      —         (31,778 ) 

Total Value -

Liabilities

         $              (392,886 )    $                          —       $              (31,778 )    $
 		                                  
—		   
  		    $          (424,664 ) 

 

25

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

The following table lists the amounts of realized gains or losses included in net increase in net assets resulting from operations for the period ended February 28, 2013, grouped by contract type and risk exposure.

 

DERIVATIVE
TYPE		    INCOME
STATEMENT
LOCATION		   EQUITY
CONTRACTS		     INTEREST
RATE
CONTRACTS 		     FOREIGN
CURRENCY
CONTRACTS 		    COMMODITY
CONTRACTS		      TOTAL  
Realized Gain (Loss)  

Purchased Options

    Net realized

gain (loss)

from

Investments

   $              (835,144 )    $  —       $ (20,538 )    $  —       $ (855,682 ) 

Futures Contracts

    Net realized

gain (loss)

from Futures

     —        —         (64,690 )      —         (64,690 ) 

Forward Contracts

    Net realized

gain (loss)

from Forward

Currency
Contracts

     —        —         12,494        —         12,494   

Written Options

    Net realized

gain (loss)

from Written
Options

     54,934        —         —        —         54,934   

Total Realized Gain

(Loss )

        $ (780,210 )    $                 —       $             (72,734 )    $                 —       $         (852,944 ) 

The following table lists the amounts of change in unrealized appreciation (depreciation) included in net increase in net assets resulting from operations for the period ended February 28, 2013, grouped by contract type and risk exposure.

 

DERIVATIVE
TYPE		    INCOME
STATEMENT
LOCATION		   EQUITY
CONTRACTS		     INTEREST
RATE
CONTRACTS 		    FOREIGN
CURRENCY
CONTRACTS 		    COMMODITY
CONTRACTS		      TOTAL  
Change in appreciation (depreciation)  

Purchased Options

    Net change in

unrealized

appreciation

(depreciation)

from

Investments

   $              (103,641 )    $          (34,896 )    $              (26,963 )    $              9,032       $          (156,468 ) 

 

The accompanying notes are an integral part of the financial statements.

 

26

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED)(CONTINUED)

 

DERIVATIVE

TYPE

   

INCOME

STATEMENT

LOCATION

   

EQUITY

CONTRACTS

    

INTEREST

RATE

CONTRACTS

    

FOREIGN

CURRENCY

CONTRACTS

     

COMMODITY

CONTRACTS

          TOTAL      

Futures

Contracts

    Net change in unrealized appreciation (depreciation) from Futures    $ —      $ —      $ 49,765       $ —       $ 49,765   

Forward

Contracts

    Net change in unrealized appreciation (depreciation) from Forward Currency Contracts      —        —        120,247         —         120,247   

Written

Options

    Net change in unrealized appreciation (depreciation) from Written Options      (138,851 )      —        —         —         (138,851 ) 

Total change in

appreciation

(depreciation)

         $ (242,492 )    $ (34,896 )    $ 143,049       $ 9,032       $ (125,307 ) 

For the period ended February 28, 2013, the Fund’s average volume of derivatives is as follows:

 

PURCHASED

OPTIONS

(COST)

   FORWARD FOREIGN
CURRENCY  CONTRACTS
(APPRECIATION/(DEPRECIATION))		   FUTURES
(APPRECIATION/(DEPRECIATION))		   WRITTEN
OPTIONS
(PROCEEDS)
$368,573   $36,598   $(16,588)   $172,525

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

INVESTMENT TRANSACTIONS, INVESTMENT INCOME AND EXPENSES — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on

 

27

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED)(CONTINUED)

 

the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared and paid at least annually to shareholders and recorded on ex-dividend date. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

FOREIGN CURRENCY TRANSLATION — Assets and liabilities initially expressed in non-U.S. currencies are translated into U.S. dollars based on the applicable exchange rates at the date of the last business day of the financial statement period. Purchases and sales of securities, interest income, dividends, variation margin received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rates in effect on the transaction date.

The Fund does not seperately report the effect of changes in foreign exchange rates from changes in market prices of securities held. Such changes are included with the net realized gain or loss and change in unrealized appreciation or depreciation on investment securities in the Statement of Operations. Other foreign currency transactions resulting in realized and unrealized gain or loss are reported separately as net realized gain or loss and change in unrealized appreciation or depreciation on foreign currencies in the Statement of Operations.

CURRENCY RISK — The Fund invests in securities of foreign issuers, including American Depositary Receipts. These markets are subject to special risks associated with foreign investments not typically associated with investing in U.S. markets. Because the foreign securities in which the Fund may invest generally trade in currencies other than the U.S. dollar, changes in currency exchange rates will affect the Fund’s NAV, the value of dividends and interest earned and gains and losses realized on the sale of securities. Because the NAV for the Fund is determined on the basis of U.S. dollars, the Fund may lose money by investing in a foreign security if the local currency of a foreign market depreciates against the U.S. dollar, even if the local currency value of the Fund holdings goes up. Generally, a strong U.S. dollar relative to these other currencies will adversely affect the value of the Fund holdings in foreign securities.

 

28

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

FOREIGN SECURITIES — Securities of many non-U.S. companies may be less liquid and their prices more volatile than securities of comparable U.S. companies. Securities of companies traded in many countries outside the U.S., particularly emerging markets countries, may be subject to further risks due to the inexperience of local investment professionals and financial institutions, the possibility of permanent or temporary termination of trading and greater spreads between bid and asked prices of securities. In addition, non-U.S. stock exchanges and investment professionals are subject to less governmental regulation, and commissions may be higher than in the United States. Also, there may be delays in the settlement of non-U.S. stock exchange transactions.

PURCHASED OPTIONS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund purchases option contracts. This transaction is used to hedge against changes in interest rates, foreign exchange rates and values of equities. The risk associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in market value should the counterparty not perform under the contract. Put and call options are accounted for in the same manner as other securities owned. The cost of securities acquired through the exercise of call options is increased by the premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid.

OPTIONS WRITTEN — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives and may enter into options written to hedge against changes in interest rates, foreign exchange rates and values of equities. Such options may relate to particular securities or domestic stock indices, and may or may not be listed on a domestic securities exchange or issued by the Options Clearing Corporation. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The Fund also has the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. The Fund also may write over-the-counter options where completing the obligation depends upon the credit standing of the other party. Option contracts also involve the risk that they may result in loss due to unanticipated developments in market conditions or other causes. Written options are recorded as liabilities to the extent of premiums received. Gains or losses are realized when the option transaction expires or closes. When an option is exercised, the proceeds on sales for a written call option or the purchase cost for a written put option is adjusted by the amount of the premium received.

As of February 28, 2013, the Fund had options written valued at ($392,886).

 

29

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

The Fund had transactions in options written during the period ended February 28, 2013 as follows:

 

     NUMBER OF
CONTRACTS		     PREMIUMS
RECEIVED		  

Options outstanding at August 31, 2012

      963      $ 112,519   

Options written

      16,829        1,227,600   

Options closed

      (12,617 )      (965,120 ) 

Options expired

      (1,080 )      (90,938 ) 

Options exercised

      (600 )      (11,285 ) 
  

 

 

    

 

 

  

Options outstanding at February 28, 2013

      3,495      $ 272,776   
  

 

 

    

 

 

  

SHORT SALES — When the investment adviser or a sub-adviser believes that a security is overvalued, the Fund may sell the security short by borrowing the same security from a broker or other institution and selling the security. The Fund will incur a loss as a result of a short sale if the price of the borrowed security increases between the date of the short sale and the date on which the Fund buys and replaces such borrowed security. The Fund will realize a gain if there is a decline in price of the security between those dates where the decline in price exceeds the costs of borrowing the security and other transaction costs. There can be no assurance that a Fund will be able to close out a short position at any particular time or at an acceptable price. Although a Fund’s gain is limited to the amount at which it sold a security short, its potential loss is unlimited. Until a Fund replaces a borrowed security, it will maintain at all times cash, U.S. Government securities, or other liquid securities in an amount which, when added to any amount deposited with a broker as collateral, will at least equal the current market value of the security sold short. Depending on arrangements made with brokers, the Fund may not receive any payments (including interest) on collateral deposited with them.

In accordance with the terms of its prime brokerage agreements, the Fund may receive rebate income or be charged a fee on borrowed securities. Such income or fee is calculated on a daily basis based upon the market value of each borrowed security and a variable rate that is dependent upon the availability of such security. The Fund records these prime broker charges on a net basis as interest income or interest expense. For the period ended February 28, 2013, the Fund had net charges of $127,846 on borrowed securities. Such amounts are included in prime broker interest expense on the Statement of Operations.

As of February 28, 2013, the Fund had securities sold short valued at $27,094,718 for which securities of $19,256,540 and cash deposits of $28,027,920 were pledged as collateral for securities sold short and written options. In accordance with the Special Custody and Pledge Agreement with Goldman Sachs & Co. (“Goldman Sachs”) (the Fund’s prime broker), the Fund may borrow from Goldman Sachs to the extent necessary to maintain required margin cash deposits on short positions. Interest on such borrowings is charged to the Fund based on the LIBOR rate plus an agreed upon spread.

 

30

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

The Fund utilized cash borrowings from Goldman Sachs to meet required margin cash deposits as follows during the period ended February 28, 2013:

 

DAYS

UTILIZED

        AVERAGE DAILY
BORROWINGS		    WEIGHTED AVERAGE
INTEREST RATE
    136           AUD          83,716      3.78%
    6            CAD          249,636      1.57%
    131            EUR          146,746      0.59%
    43            GBP          110,451      1.00%
    136            HKD          748,992      0.65%
    123            JPY          2,497,987      0.63%
    71            MXN          2,669,508      4.63%
    181            USD          4,404,350      0.70%

As of February 28, 2013, the Fund had borrowings of $8,265,655. Interest expense on cash borrowings for the period ended February 28, 2013 totaled $146,999.

FUTURES CONTRACTS — The Fund is subject to equity and other risk exposure in the normal course of pursuing its investment objectives. The Fund may use futures contracts for hedging or speculative purposes consistent with its investment objective. Upon entering into a futures contract, the Fund must deposit initial margin in addition to segregating cash or liquid assets sufficient to meet its obligation to purchase or provide securities, or to pay the amount owed at the expiration of an index-based futures contract. Such liquid assets may consist of cash, cash equivalents, liquid debt or equity securities or other acceptable assets. Pursuant to the futures contract, the Fund agrees to receive from, or pay to the broker, an amount of cash equal to the daily fluctuation in value of the contract. Such a receipt of payment is known as a “variation margin” and is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contract. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. Use of long futures contracts subjects the Fund to risk of loss in excess of the amount shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts subjects the Fund to unlimited risk of loss. As of February 28, 2013, the Fund had no futures contracts.

FORWARD FOREIGN CURRENCY CONTRACTS — In the normal course of pursuing their investment objectives, the Fund is subject to foreign investment and currency risk. The Fund may enter into forward foreign currency contracts (“forward contracts”) for purposes of hedging, duration management, as a substitute for securities, to increase returns, for currency hedging or risk management, or to otherwise help achieve the Fund’s investment goal. These contracts are marked-to-market daily at the applicable translation rates. The Fund records realized gains or losses at the time the forward contract is closed. A forward contract is extinguished through a closing transaction or upon delivery of the currency or entering an offsetting contract. Risks may arise upon

 

31

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

entering these contracts from the potential inability of a counterparty to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar or other currencies.

OTHER — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

2. INVESTMENT ADVISER AND OTHER SERVICES

Simple Alternatives, LLC (“Simple Alternatives” or the “Adviser”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 2.75% of the Fund’s average daily net assets.

The Adviser has contractually agreed to forgo all or a portion of its advisory fee and/or reimburse expenses in a aggregate amount equal to the amount by which the total annual Fund operating expenses (other than acquired fund fees and expenses, short sale dividend expenses, brokerage commissions, litigation, extraordinary items, interest or taxes) exceed 2.95% of the average daily net assets of the Fund’s I Shares and 3.20% of the average daily net assets of the Fund’s R Shares, respectively. This contractual limitation is in effect until at least December 31, 2014 and may not be terminated prior to December 31, 2014 without approval by the Company’s Board of Directors. If at any time during the first three years the Fund’s Advisory Agreement with the Adviser is in effect, the Fund’s total annual Fund operating expenses for that year are less than 2.95% or 3.20%, as applicable, the Adviser is entitled to reimbursement by the Fund of the advisory fees forgone and other payments remitted by the Adviser to the Fund during such three-year period if such reimbursement by the Fund does not cause the Fund to exceed existing expense limitations. For the period ended February 28, 2013, investment advisory fees accrued and waived were $924,564 and $165,870, respectively. At February 28, 2013, the amount of potential recovery by the Advisor was as follows:

 

EXPIRATION

2014

    2015    2016

$313,683

      $ 472,047        $ 165,870  

Simple Alternatives has currently retained the services of Roaring Blue Lion Capital Management, LLC; Courage Capital Management, LLC; Lauren Templeton Capital Management, LLC; Maerisland Capital, LLC ; and Starwood Real Estate Securities, LLC as sub-advisers (each a “Sub-Adviser”) of the Fund. Pursuant to sub-advisory agreements between the Adviser and each Sub-Adviser, each Sub-Adviser manages the investment and reinvestment of the portion of the Fund’s portfolio allocated to it by the Adviser. The Fund is not required to invest with any minimum number of Sub-Advisers, and does not have minimum or maximum limitations with respect to allocations of assets to any Sub-Adviser. The Sub-Advisers are compensated by the Adviser and not by the Fund.

 

32

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee and out of pocket expenses.

The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets subject to certain minimum monthly fees and may receive out of pocket expenses.

Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Fund’s shares pursuant to a Distribution Agreement with RBB.

The Fund will not pay The Bank of New York Mellon Corporation or any of its members or BNY Mellon’s affiliates at a later time for any amounts waived or any amounts assumed.

3. DIRECTOR COMPENSATION

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The remuneration paid to the Directors by the Fund during the period ended February 28, 2013 was $6,072. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Fund or the Company.

4. INVESTMENT IN SECURITIES

For the period ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

      PURCHASES      SALES  

Investments in Non-U.S. Government Securities

    $ 62,143,657       $ 60,368,941   

Investments in U.S. Government Securities

      —         2,000,000   

5. FEDERAL INCOME TAX INFORMATION

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from

 

33

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONTINUED)

 

following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

As of February 28, 2013, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:

 

FEDERAL TAX

COST

    UNREALIZED
APPRECIATION 		   UNREALIZED
DEPRECIATION 		  NET
UNREALIZED
APPRECIATION

$53,426,280

      $ 7,911,497        $ (988,731 )     $ 6,922,766  

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

UNDISTRIBUTED
ORDINARY INCOME

    UNDISTRIBUTED
LONG-TERM GAINS		    UNREALIZED
APPRECIATION		    QUALIFIED
LATE-YEAR LOSSES		   OTHER TEMPORARY
DIFFERENCES

$—

    $—    $1,607,639    $(1,245,488)   $15,097

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

There were no dividends or distributions paid during the fiscal year ended August 31, 2012. Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

Pursuant to federal income tax rules applicable to regulated investment companies, the Funds may elect to treat certain capital losses between November 1 and August 31 and late year ordinary losses ((i) ordinary losses between January 1 and August 31, and (ii) specified ordinary and currency losses between November 1 and August 31) as occurring on the first day of the following tax year. For the year ended August 31, 2012, any amount of losses elected within the tax return will not be recognized for federal income tax purposes until September 1, 2012.

Accumulated capital losses represent net capital loss carryforwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are

 

34

S1 FUND

NOTES TO FINANCIAL STATEMENTS

FEBRUARY 28, 2013 (UNAUDITED) (CONCLUDED)

 

permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre- enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Funds’ first fiscal year end subject to the Modernization Act was August 31, 2012.

As of August 31, 2012, the Fund had no pre- or post-enactment capital loss carryforwards.

6. NEW ACCOUNTING PRONOUNCEMENT

In December 2011, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) No. 2011-11, “Disclosures about Offsetting Assets and Liabilities”. ASU 2011-11 requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. The new disclosure requirements mandate that entities disclose both gross and net information about instruments and transactions eligible for offset in the statement of assets and liabilities as well as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, ASU 2011-11 requires disclosure of collateral received and posted in connection with master netting agreements or similar arrangements. New disclosures are required for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is evaluating the impact of ASU 2011-11 on the financial statements and disclosures.

7. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were issued, and has determined that there were no subsequent events.

 

35

S1 FUND

OTHER INFORMATION

 

PROXY VOTING

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (866) 882-1226 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

QUARTERLY PORTFOLIO SCHEDULES

The Company files its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

 

36

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Investment Adviser

Simple Alternatives, LLC

90 Grove Street

Suite 205

Ridgefield, CT 06877

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

Ernst & Young LLP

One Commerce Square

2005 Market Street, Suite 700

Philadelphia, PA 19103

Counsel

Drinker Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

 

 

S1 FUND

of THE RBB FUND, INC.

SEMI-ANNUAL REPORT

FEBRUARY 28, 2013

(UNAUDITED)

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

THE SCHNEIDER FUNDS

Semi-Annual Investment Adviser’s Report

February 28, 2013

(Unaudited)

 

Fellow Shareholder:

The semi-annual report for the Schneider Funds covers the six months ended February 28, 2013.

Investment Review

During the six-month period, the broad market Russell 3000 Index rose 13.26%. The economy demonstrated continuing signs of expansion, most notably in the housing, banking and auto sectors. The announced continuation of the Fed’s bond buying program that injects $1 trillion of liquidity annually into the market provides further support for the slowly expanding economy. The slowdown in China’s economy appears to have waned, resting at a still-robust 7.5% expected growth rate for 2013 which should provide support for many other economies and markets. Across the Atlantic, the European Union appears to be finding success in addressing the sovereign debt issues of its weaker members.

The Small Cap Value Fund returned 22.81% for the six-month period ended February 28, 2013 (see table on page 3). We are pleased to report that the Small Cap Value Fund was recently ranked the #1 small cap value fund by the Wall Street Journal for all of 2012. (Based on 1-year total return as of 12/31/2012 among 293 Small-Cap Value Equity Funds. See footnote disclosure below.)

The Value Fund posted a 14.12% return during the same period (see table on page 4).

The expected return potential for our holdings in both Funds remains at elevated levels versus the long-term average and we continue our view that the financial services sector and housing industry are areas of the market that possess tremendous opportunity.

Banks are realizing improved operating and financial results as expense reductions positively impact earnings and credit losses continue to decline. The majority of the banking stocks we hold are over-capitalized, which provides the opportunity for dividend increases and/or share repurchases.

We increased exposure to the property and casualty (P&C) insurance industry during the period. We believe that P&C pricing is exiting a cyclical bottom and is poised for an extended rebound from very depressed levels. With rate increases exceeding claims trends, the companies we own should see improved earnings and increased capital levels which we expect will generate renewed interest from investors.

We believe that the housing industry recovery will continue. Rising demand is being met with a limited supply of new and existing homes for sale. We expect new supply will stay constrained until land developers rebuild the depleted lot inventory. Investors are also purchasing homes to convert to rentals in many markets, further eroding supply. Home price appreciation exceeded consensus expectations in 2012 and the momentum should continue based on the supply/demand picture and low mortgage rates driving very favorable affordability. Our homebuilder stocks have delivered solid performance but there remains a long runway for continued volumetric and margin improvement.

We maintain a positive view on the coal industry as rising natural gas prices, signs of a nascent gas production decline, and the return to normal storage levels have all but eliminated the near term threat of utility switching from coal produced in the low cost Powder River Basin to natural gas. In addition, demand for U.S. coal is projected to increase 7% in 2013. Coal companies have made the prudent business decisions to lower or cancel capital expenditures programs which should help them strengthen their balance sheets.

Outlook

The US equity market continues to climb the “wall-of-worry” while individual investors shun stocks. The long-discussed “Great Rotation” from fixed income to equities in the US market has yet to commence as bond funds inflows continue to exceed those of equity funds, and cash holdings continue to grow.

With the world awash in liquidity, the support for equities remains in place. The slowly improving US economy, the apparent stabilization of the Euro economies, and the still-vibrant economic growth in China should create an environment where stocks may continue to generate positive returns.

 

1

THE SCHNEIDER FUNDS

Semi-Annual Investment Adviser’s Report (Continued)

February 28, 2013

(Unaudited)

 

Within the US market, there are signs that economic expansion can continue through 2013 and beyond. These signs include:

 

  •  

The housing market continues to improve as demand increases, inventories of existing homes decline and home prices have risen year-over-year, increasing consumer wealth.

  •  

The banking industry continues to improve earnings and better manage its expenses, and capital levels are generally well above required levels which may provide the opportunity for dividend increases or share repurchases.

  •  

Unemployment is declining, albeit slowly.

On the global stage, there is a delicate balance between the rewards and risks of various economic situations:

 

  •  

In Japan, the new government is aggressively looking to use monetary policy to break the decades-long deflationary cycle. This program has boosted equity returns in the short term and interest rates remain low, but there is considerable risk to their deficits if interest rates rise.

  •  

While the weaker economies within the Eurozone have shown some economic improvement and have seen their labor costs decline, their strong dependence on the EU to provide continuing financial support is a constant concern for investors.

  •  

Within the US, the continuation of Fed-manufactured low interest rate environment raises the question of how to exit this program without forcing interest rates and inflation to spike.

There is a sense that investors’ preoccupation with Washington is waning, and with it some of the fear that has kept investors from acting. With the passage of the continuing resolution to fund the US government through September 2013, there are signs that there may be room for negotiations and compromise regarding the troublesome budget deficit and high government spending. Any positive moves by the government to address these long-term issues will be received enthusiastically and may be the catalyst to entice many sideline-sitting equity investors to return to the market.

We expect the US economy to continue to grow in 2013, but initially at a subdued pace. It is important to note that in general our holdings continue to have very attractive valuations and improving business fundamentals, which we believe will help us better weather the investment landscape in 2013. As we look forward, we see improvements across wide parts of the economy, and we believe that growth can begin to accelerate as we move through 2013.

Thank you for your interest and the confidence you have placed in us.

 

LOGO

Arnold C. Schneider III, CFA

Portfolio Manager

Schneider Capital Management

Footnote Disclosure: The Wall Street Journal ranked the Schneider Small Cap Value Fund first among 293 Small-Cap Value Equity Funds based on 1-year total return (not including sales charges) as of December 31, 2012, using data supplied by Lipper. The Wall Street Journal updates its rankings quarterly. Past performance does not guarantee future results.

 

2

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Performance Data

February 28, 2013 (Unaudited)

 

 

Total Returns for the Periods Ended February 28, 2013   
           Average Annual  
     Six
Months*		     One Year     Five Years     Ten Years     Since
Inception**		  

Schneider Small Cap Value

     22.81%        23.04%        3.94%        13.99%        14.93%   

Russell 2000® Value Index

     14.56%        16.89%        6.74%        10.96%        9.32%   

* Not annualized

** Inception date 9/2/98

                                        

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Schneider Capital Management Company, the Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2013, to the extent that total annual Fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) exceed 1.15%. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-888-520-3277. The Fund’s gross and net annual operating expenses, as stated in the current prospectus, are 1.52% and 1.15%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than one year are subject to a 1.75% redemption fee.

Small company stocks are generally riskier than large company stocks due to greater volatility and less liquidity.

Value investing involves the risk that the Fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.

 

3

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Performance Data

February 28, 2013 (Unaudited)

 

 

Total Returns for the Periods Ended February 28, 2013   
           Average Annual  
     Six
Months*		     One Year     Five Years     Ten Years     Since
Inception**		  

Schneider Value

     14.12%        9.58%        -5.02%        7.10%        7.38%   

Russell 1000® Value Index

     13.15%        17.63%        3.88%       
 8.77%
   
     8.79%   

* Not annualized

** Inception date 9/30/02

                                        

The performance data quoted represents past performance. Past performance is not indicative of future results. Investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Schneider Capital Management Company, the Fund’s investment adviser, has contractually agreed to waive management fees and/or reimburse expenses through December 31, 2013, to the extent that total annual fund operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes) exceed 0.90%. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no waiver or reimbursement of fees and expenses in excess of expense limitations. Returns shown include the reinvestment of all dividends and other distributions and do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. For performance data current to the most recent month-end, please call 1-888-520-3277. The Fund’s gross and net annual operating expenses, as stated in the current prospectus, are 1.28% and 0.90%, respectively. Shares of the Fund not purchased through reinvested dividends or capital gains and held less than 90 days are subject to a 1.00% redemption fee.

Value investing involves the risk that the Fund’s investment in companies whose securities are believed to be undervalued, relative to their underlying profitability, will not appreciate in value as anticipated.

 

4

THE SCHNEIDER FUNDS

Fund Expense Examples

(Unaudited)

 

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including redemption fees; and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund(s) and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six months from September 1, 2012 through February 28, 2013, and held for the entire period.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

Please note that the expenses shown in the accompanying tables are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying tables is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

     Schneider Small Cap Value Fund  
     Beginning Account Value
September 1, 2012		        Ending Account Value
February 28, 2013		        Expenses Paid
During Period*		  

Actual

    $ 1,000.00         $ 1,228.10         $ 6.35   

Hypothetical (5% return before expenses)

      1,000.00           1,019.09           5.76   
     Schneider Value Fund  
     Beginning Account Value
September 1, 2012		        Ending Account Value
February 28, 2013		        Expenses Paid
During Period*		  

Actual

    $ 1,000.00         $ 1,141.20         $ 4.78   

Hypothetical (5% return before expenses)

      1,000.00           1,020.33           4.51   

 

* Expenses are equal to an annualized six-month expense ratio of 1.15% for the Schneider Small Cap Value Fund and 0.90% for the Schneider Value Fund, which includes waived fees or reimbursed expenses, multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (181), then divided by 365 to reflect the one-half year period. The Fund’s ending account values on the first line in each table are based on the actual six-month total return for each Fund of 22.81% for the Schneider Small Cap Value Fund and 14.12% for the Schneider Value Fund.

 

5

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Portfolio Holdings Summary Table

February 28, 2013

(Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

     % of Net
Assets		     Value  

Common Stocks:

     

Banks

      14.4 %    $ 10,413,321   

Home Builders

      9.9        7,163,064   

Coal

      8.5        6,145,293   

Insurance

      6.2        4,451,221   

Real Estate Investment Trusts

      5.2        3,747,165   

Oil & Gas

      4.3        3,118,824   

Semiconductors

      4.3        3,078,280   

Savings & Loans

      4.2        3,027,061   

Healthcare — Services

      4.2        3,014,840   

Commercial Services

      4.0        2,882,434   

Office Products

      2.7        1,944,993   

Real Estate

      2.6        1,913,699   

Telecommunications

      2.6        1,853,055   

Retail

      2.2        1,588,568   

Mining

      1.8        1,316,484   

Software

      1.6        1,171,127   

Industrial

      1.5        1,060,900   

Chemicals

      1.4        1,031,823   

Internet

      1.4        1,013,953   

Auto Manufacturers

      1.4        1,000,028   

Miscellaneous Manfacturing

      1.0        723,504   

Apparel

      0.9        670,481   

Machinery — Diversified

      0.7        512,086   

Electronics

      0.7        489,530   

Household Durables

      0.7        472,527   

Diversified Financial Services

      0.6        453,493   

Airlines

      0.6        451,920   

Computers

      0.6        438,028   

Auto Parts

      0.4        327,169   

Food

      0.4        297,024   

Aerospace & Defense

      0.2        146,095   

Securities Lending Collateral

      16.3        11,746,233   

Corporate Bonds

      1.8        1,316,953   

Exchange Traded Fund

      1.2        863,045   

Liabilities In Excess of Other Assets

      (10.5 )      (7,591,651 ) 
  

 

 

    

 

 

  

NET ASSETS

      100.0 %    $ 72,252,570   
  

 

 

    

 

 

  

 

 

Portfolio holdings are subject to change at any time.

    

 

 

The accompanying notes are an integral part of the financial statements.

 

6

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Portfolio of Investments

February 28, 2013

(Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund:

     % of Net
Assets		     Value  

Common Stocks:

     

Banks

      27.3 %    $ 8,828,289   

Oil & Gas

      12.8        4,136,507   

Insurance

      12.5        4,028,402   

Home Builders

      10.5        3,388,673   

Coal

      8.7        2,798,635   

Lodging

      4.4        1,426,363   

Health Care — Services

      3.6        1,148,305   

Automobile Manufacturers

      2.7        864,730   

Electric

      2.2        701,221   

Leisure Time

      2.0        633,666   

Automobile Parts & Equipment

      1.6        533,797   

Computers

      1.4        450,529   

Aerospace & Defense

      1.3        409,493   

Airlines

      1.2        397,931   

Semiconductors

      1.0        332,838   

Commercial Services

      1.0        320,175   

Telecommunications

      0.7        234,980   

Electronics

      0.1        35,487   

Securities Lending Collateral

      12.1        3,922,281   

Exchange Traded Fund

      0.8        250,912   

Liabilities In Excess of Other Assets

      (7.9 )      (2,556,716 ) 
  

 

 

    

 

 

  

NET ASSETS

      100.0 %    $ 32,286,498   
  

 

 

    

 

 

  

 

 

Portfolio holdings are subject to change at any time.

 

 

The accompanying notes are an integral part of the financial statements.

 

7

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Portfolio of Investments

February 28, 2013

(Unaudited)

 

    Shares     Value  
   

COMMON STOCKS — 91.2%

    

Aerospace & Defense — 0.2%

    

AAR Corp.

     8,315      $ 146,095   
   

 

 

  

Airlines — 0.6%

    

US Airways Group, Inc. * (a)

     33,650        451,920   
   

 

 

  

Apparel — 0.9%

    

Barry (R.G.) Corp.

     54,334        670,481   
   

 

 

  

Auto Manufacturers — 1.4%

    

Navistar International Corp. * (a)

     40,275        1,000,028   
   

 

 

  

Auto Parts — 0.4%

    

Modine Manufacturing Co. *

     39,705        327,169   
   

 

 

  

Banks — 14.4%

    

First BanCorp/Puerto Rico * (a)

     229,379        1,254,703   

First Horizon National Corp.

     345,620        3,673,941   

MainSource Financial Group, Inc.

     103,343        1,446,802   

Popular Inc. *

     1        14   

Regions Financial Corp.

     527,825        4,037,861   
   

 

 

  
      10,413,321   
   

 

 

  

Chemicals — 1.4%

    

Ferro Corp. *

     201,135        1,031,823   
   

 

 

  

Coal — 8.5%

    

Arch Coal, Inc. (a)

     691,254        3,615,258   

Cloud Peak Energy, Inc. *

     147,610        2,530,035   
   

 

 

  
      6,145,293   
   

 

 

  

Commercial Services — 4.0%

    

Aegean Marine Petroleum Network, Inc.

     127,420        829,504   

Hudson Global Inc *

     355,425        1,307,964   

Insperity, Inc.

     17,276        489,775   

Monster Worldwide, Inc. * (a)

     49,842        255,191   
   

 

 

  
      2,882,434   
   

 

 

  

Computers — 0.6%

    

Xyratex Ltd. (a)

     47,457        438,028   
   

 

 

  

Diversified Financial Services — 0.6%

  

  

Doral Financial Corp. *

     796,301        453,493   
   

 

 

  

Electronics — 0.7%

    

Kemet Corp. *

     52,520        339,804   

Pulse Electronics, Inc. *

     385,893        149,726   
   

 

 

  
      489,530   
   

 

 

  
    Shares     Value  
   

Food — 0.4%

    

Sanderson Farms, Inc.

     5,855      $ 297,024   
   

 

 

  

Healthcare - Services — 4.2%

    

Emeritus Corp. *

     61,046        1,739,200   

Five Star Quality Care, Inc. *

     201,205        1,275,640   
   

 

 

  
      3,014,840   
   

 

 

  

Home Builders — 9.9%

    

M/ I Homes, Inc. * (a)

     22,305        510,785   

Meritage Homes Corp. *

     91,290        3,696,332   

NVR, Inc. *

     2,929        2,955,947   
   

 

 

  
      7,163,064   
   

 

 

  

Household Durables — 0.7%

    

Standard Pacific Corp. * (a)

     58,050        472,527   
   

 

 

  

Industrial — 1.5%

    

FreightCar America, Inc.

     50,447        1,060,900   
   

 

 

  

Insurance — 6.2%

    

Aspen Insurance Holdings, Ltd.

     80,840        2,898,922   

Assured Guaranty, Ltd.

     40,145        749,507   

Employers Holdings, Inc.

     38,210        802,792   
   

 

 

  
      4,451,221   
   

 

 

  

Internet — 1.4%

    

ICG Group, Inc. *

     34,220        445,887   

ModusLink Global Solutions, Inc. *

     197,245        568,066   
   

 

 

  
      1,013,953   
   

 

 

  

Machinery - Diversified — 0.7%

    

Flow International Corp. *

     26,317        97,636   

Intevac, Inc. *

     86,705        414,450   
   

 

 

  
      512,086   
   

 

 

  

Mining — 1.8%

    

Alumina Ltd. SP ADR

     128,859        632,698   

Golden Star Resources Ltd. *

     30,780        48,632   

Thompson Creek Metals Co., Inc. * (a)

     186,810        635,154   
   

 

 

  
      1,316,484   
   

 

 

  

Miscellaneous Manfacturing — 1.0%

  

  

Orbotech, Ltd. *

     75,365        723,504   
   

 

 

  

Office Products — 2.7%

    

OfficeMax, Inc.

     162,489        1,944,993   
   

 

 

  

Oil & Gas — 4.3%

    

Willbros Group, Inc *

     217,877        1,470,670   

WPX Energy, Inc. *

     116,149        1,648,154   
   

 

 

  
      3,118,824   
   

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

8

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Portfolio of Investments (Continued)

February 28, 2013

(Unaudited)

 

    Shares         Value  
     

Real Estate — 2.6%

      

Forestar Group, Inc. *

     65,543        $ 1,141,759   

Thomas Properties Group, Inc.

     148,165          771,940   
     

 

 

  
        1,913,699   
     

 

 

  

Real Estate Investment Trusts — 5.2%

  

    

NorthStar Realty Finance Corp. (a)

     206,305          1,846,430   

Redwood Trust, Inc.

     38,810          786,291   

Strategic Hotels & Resorts, Inc. *

     153,083          1,114,444   
     

 

 

  
        3,747,165   
     

 

 

  

Retail — 2.2%

      

MarineMax, Inc. *

     118,206          1,530,768   

Wet Seal Inc./The Class A *

     19,660          57,800   
     

 

 

  
        1,588,568   
     

 

 

  

Savings & Loans — 4.2%

      

First Financial Holdings, Inc.

     19,704          393,292   

Flagstar Bancorp, Inc. * (a)

     193,802          2,633,769   
     

 

 

  
        3,027,061   
     

 

 

  

Semiconductors — 4.3%

      

ATMI, Inc. *

     37,444          820,024   

Axcelis Technologies, Inc. *

     523,478          596,765   

International Rectifier Corp. *

     5,930          124,649   

Magnachip Semiconductor Corp. *

     50,535          795,926   

MEMC Electronic Materials, Inc. *

     149,680          740,916   
     

 

 

  
        3,078,280   
     

 

 

  

Software — 1.6%

      

Take-Two Interactive Software, Inc. *

     79,995          1,171,127   
     

 

 

  

Telecommunications — 2.6%

      

Aviat Networks, Inc. *

     520,521          1,853,055   
     

 

 

  

TOTAL COMMON STOCKS
(Cost $50,119,410)

         65,917,990   
     

 

 

  
    Par
(000)		            
     

CORPORATE BONDS — 1.8%

      

LandAmerica Financial Group, Inc. CONV ‡ 3.25%, 05/15/34

   $ 59          8,554   

Northstar Realty Finance Corp. ^ CONV 7.50%, 03/15/31

     358          532,749   

Pulse Electronics Corp. CONV
7.00%, 12/15/14

     172          119,755   
    Par
(000)		    

 

   Value  

RAIT Financial Trust CONV
7.00%, 04/01/31

   $ 563        $ 655,895   
     

 

 

  

TOTAL CORPORATE BONDS
(Cost $1,057,818)

         1,316,953   
     

 

 

  
    Shares    

 

      

EXCHANGE TRADED FUND — 1.2%

  

    

Finance — 1.2%

      

iShares Russell 2000 Value Index Fund (a)

     10,672          863,045   
     

 

 

  

TOTAL EXCHANGE TRADED FUND
(Cost $856,945)

         863,045   
     

 

 

  

SECURITIES LENDING COLLATERAL — 16.3%

  

    

BlackRock Liquidity Fund

     11,746,233          11,746,233   
     

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $11,746,233)

         11,746,233   
     

 

 

  

TOTAL INVESTMENTS — 110.5% (Cost $63,780,406)

         79,844,221   
     

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS — (10.5)%

         (7,591,651 ) 
     

 

 

  

NET ASSETS — 100.0%

       $ 72,252,570   
     

 

 

  

 

* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2013, the market value of securities on loan was $11,124,332.
‡ Holding in default resolution. Value has been determined in good faith by or under the direction of The RBB Fund, Inc’s Board of Directors to be the estimated value of the future payouts under the default resolution. As of February 28, 2013, this holding amounted to $8,554 or 0.0% of net assets and is deemed illiquid by the portfolio manager pursuant to the Fund’s policies and procedures.
^ Security was purchased pursuant to Rule 144A under Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. As of February 28, 2013, this security amounted to $532,749 or 0.7% of net assets.
CONV Convertible
SP ADR Sponsored American Depositary Receipt
 

 

The accompanying notes are an integral part of the financial statements.

 

9

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Portfolio of Investments

February 28, 2013

(Unaudited)

 

    Shares         Value  
     

COMMON STOCKS — 95.0%

      

Aerospace & Defense — 1.3%

      

Boeing Co. (The)

     5,325        $ 409,493   
     

 

 

  

Airlines — 1.2%

      

US Airways Group, Inc. *

     29,630          397,931   
     

 

 

  

Automobile Manufacturers — 2.7%

      

Navistar International Corp. *(a)

     34,826          864,730   
     

 

 

  

Automobile Parts & Equipment — 1.6%

  

    

Magna International, Inc.

     10,030          533,797   
     

 

 

  

Banks — 27.3%

      

Bank of America Corp.

     96,550          1,084,257   

Citigroup, Inc.

     40,124          1,684,004   

Huntington Bancshares, Inc.

     48,305          339,584   

JPMorgan Chase & Co.

     37,545          1,836,701   

KeyCorp

     38,180          358,510   

PNC Financial Services Group, Inc.

     4,835          301,656   

Regions Financial Corp.

     114,700          877,455   

SunTrust Banks, Inc.

     78,004          2,152,130   

Wells Fargo & Co.

     5,530          193,992   
     

 

 

  
        8,828,289   
     

 

 

  

Coal — 8.7%

      

Arch Coal, Inc. (a)

     212,725          1,112,552   

Consol Energy, Inc.

     10,300          331,145   

Peabody Energy Corp.

     62,845          1,354,938   
     

 

 

  
        2,798,635   
     

 

 

  

Commercial Services — 1.0%

      

Aegean Marine Petroleum Network, Inc.

     49,182          320,175   
     

 

 

  

Computers — 1.4%

      

Dell, Inc.

     32,296          450,529   
     

 

 

  

Electric — 2.2%

      

FirstEnergy Corp.

     4,021          158,749   

NRG Energy, Inc.

     22,603          542,472   
     

 

 

  
        701,221   
     

 

 

  

Electronics — 0.1%

      

Avnet, Inc. *

     1,005          35,487   
     

 

 

  

Health Care - Services — 3.6%

      

Brookdale Senior Living, Inc. *

     41,485          1,148,305   
     

 

 

  
    Shares    

 

   Value  
     

Home Builders — 10.5%

      

Meritage Homes Corp. *

     12,380        $ 501,266   

NVR, Inc. *

     1,078          1,087,918   

Toll Brothers, Inc. *

     52,740          1,799,489   
     

 

 

  
        3,388,673   
     

 

 

  

Insurance — 12.5%

      

ACE Ltd.

     15,115          1,290,669   

Allstate Corp., (The)

     21,290          979,766   

Assured Guaranty, Ltd.

     40,881          763,248   

Axis Capital Holdings, Ltd.

     9,825          400,172   

Genworth Financial, Inc., Class A *

     31,545          269,394   

WR Berkley Corp.

     7,835          325,153   
     

 

 

  
        4,028,402   
     

 

 

  

Leisure Time — 2.0%

      

Carnival Corp.

     17,715          633,666   
     

 

 

  

Lodging — 4.4%

      

Marriott International, Inc., Class A

     29,445          1,161,605   

Orient-Express Hotels, Ltd., Class A *

     25,630          264,758   
     

 

 

  
        1,426,363   
     

 

 

  

Oil & Gas — 12.8%

      

Chesapeake Energy Corp. (a)

     88,271          1,779,543   

Devon Energy Corp.

     14,740          799,792   

Weatherford International, Ltd. *

     66,390          788,713   

WPX Energy, Inc. *

     54,155          768,459   
     

 

 

  
        4,136,507   
     

 

 

  

Semiconductors — 1.0%

      

MEMC Electronic Materials, Inc. *

     67,240          332,838   
     

 

 

  

Telecommunications — 0.7%

      

Cisco Systems, Inc.

     11,270          234,980   
     

 

 

  

TOTAL COMMON STOCKS
(Cost $24,978,881)

         30,670,021   
     

 

 

  

EXCHANGE TRADED FUND — 0.8%

      

Finance — 0.8%

      

iShares Russell 1000 Value Index Fund

     3,200          250,912   
     

 

 

  

TOTAL EXCHANGE TRADED FUND
(Cost $236,070)

         250,912   
     

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

10

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Portfolio of Investments (Concluded)

February 28, 2013

(Unaudited)

 

    Shares     Value  

SECURITIES LENDING COLLATERAL — 12.1%

  

  

BlackRock Liquidity Fund

     3,922,281      $ 3,922,281   
   

 

 

  

TOTAL SECURITIES LENDING COLLATERAL
(Cost $3,922,281)

       3,922,281   
   

 

 

  

TOTAL INVESTMENTS — 107.9%
(Cost $29,137,232)

       34,843,214   
   

 

 

  

LIABILITIES IN EXCESS OF OTHER ASSETS — (7.9)%

       (2,556,716 ) 
   

 

 

  

NET ASSETS — 100.0%

     $ 32,286,498   
   

 

 

  

 

* Non-income producing.
(a) All or a portion of the security is on loan. At February 28, 2013, market value of securities on loan was $3,756,825.
 

 

The accompanying notes are an integral part of the financial statements.

 

11

THE SCHNEIDER FUNDS

Statements of Assets & Liabilities

February 28, 2013

(Unaudited)

 

     Schneider
Small Cap
Value Fund		      Schneider
Value Fund		       

ASSETS

         

Investments, at value †^

    $    79,844,221       $ 34,843,214      

Cash and cash equivalents

      4,611,896         1,476,538      

Receivables

         

Investments sold

      1,263,173         73,380      

Dividends and interest

      114,247         35,516      

Prepaid expenses and other assets

      23,853         15,228      
  

 

 

     

 

 

     

Total assets

      85,857,390         36,443,876      
  

 

 

     

 

 

     

LIABILITIES

         

Payables

         

Securities lending collateral

      11,746,233         3,922,281      

Investments purchased

      1,633,105         124,819      

Capital shares redeemed

      113,981         46,094      

Investment adviser

      37,878         933      

Other accrued expenses and liabilities

      73,623         63,251      
  

 

 

     

 

 

     

Total liabilities

      13,604,820         4,157,378      
  

 

 

     

 

 

     

Net Assets

    $ 72,252,570       $ 32,286,498      
  

 

 

     

 

 

     

NET ASSETS CONSIST OF

         

Par value

    $ 3,656       $ 2,239      

Paid-in capital

      57,556,450         161,865,465      

Undistributed/accumulated net investment income/(loss)

      (423,904 )       84,935      

Accumulated net realized loss from investments

      (947,447 )       (135,372,123 )    

Net unrealized appreciation on investments

      16,063,815         5,705,982      
  

 

 

     

 

 

     

Net Assets

    $ 72,252,570       $ 32,286,498      
  

 

 

     

 

 

     

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      3,655,618         2,239,231      
  

 

 

     

 

 

     

Net asset value, offering and redemption price per share

    $ 19.76       $ 14.42      
  

 

 

     

 

 

     

† Investment in securities, at cost

    $ 63,780,406       $ 29,137,232      
  

 

 

     

 

 

     

^ Includes market value of securities on loan

    $ 11,124,332       $ 3,756,825      
  

 

 

     

 

 

     

 

The accompanying notes are an integral part of the financial statements.

 

12

THE SCHNEIDER FUNDS

Statements of Operations

For the Six Months Ended February 28, 2013

(Unaudited)

 

     Schneider
Small Cap
Value Fund		      Schneider
Value Fund		  

Investment Income

      

Dividends †

    $ 339,448       $ 233,327   

Securities Lending Income

      5,792         5,269   

Interest

      46,878         229   
  

 

 

     

 

 

  

Total investment income

      392,118         238,825   
  

 

 

     

 

 

  

Expenses

      

Advisory fees

      337,369         119,577   

Administration and accounting fees

      61,409         55,545   

Transfer agent fees

      31,135         27,261   

Custodian fees

      25,515         11,555   

Professional fees

      24,149         20,462   

Directors’ and officers’ fees

      12,708         11,882   

Printing and shareholder reporting fees

      7,589         4,867   

Registration and filing fees

      7,057         12,843   

Insurance fees

      3,728         2,498   

Other expenses

      1,115         526   
  

 

 

     

 

 

  

Total expenses before waivers and reimbursements

      511,774         267,016   

Less: waivers and reimbursements

      (123,800 )       (113,127 ) 
  

 

 

     

 

 

  

Net expenses after waivers and reimbursements

      387,974         153,889   
  

 

 

     

 

 

  

Net investment income

      4,144         84,936   
  

 

 

     

 

 

  

Net realized and unrealized gain from investments

      

Net realized gain from:

      

Investments

      6,001,696         2,329,291   

Net change in unrealized appreciation on:

      

Investments

      7,780,740         2,562,816   
  

 

 

     

 

 

  

Net realized and unrealized gain on investments

      13,782,436         4,892,107   
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

   $ 13,786,580       $   4,977,043   
  

 

 

     

 

 

  

† Net of foreign withholding taxes of

    $ —       $ (498 ) 
  

 

 

     

 

 

  

 

The accompanying notes are an integral part of the financial statements.

 

13

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Statement of Changes in Net Assets

 

     For the Six  Months
Ended
February 28, 2013
(Unaudited)		      For the Year
Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

      

Net investment income/(loss)

    $ 4,144       $ (428,048 ) 

Net realized gain from investments

      6,001,696         2,801,491   

Net change in unrealized appreciation from investments

      7,780,740         8,443,417   
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      13,786,580         10,816,860   
  

 

 

     

 

 

  

Capital transactions:

      

Proceeds from shares sold

      2,173,112         2,521,948   

Redemption fees *

      2,503         29,495   

Shares redeemed

      (6,400,597 )       (20,375,734 ) 
  

 

 

     

 

 

  

Net decrease in net assets from capital share transactions

      (4,224,982 )       (17,824,291 ) 
  

 

 

     

 

 

  

Total increase/(decrease) in net assets

      9,561,598         (7,007,431 ) 
  

 

 

     

 

 

  

Net assets:

      

Beginning of period

      62,690,972         69,698,403   
  

 

 

     

 

 

  

End of period

    $ 72,252,570       $ 62,690,972   
  

 

 

     

 

 

  

Accumulated net investment loss, end of period

    $ (423,904 )     $ (428,048 ) 

Share transactions:

      

Shares sold

      113,461         177,643   

Shares redeemed

      (353,639 )       (1,368,760 ) 
  

 

 

     

 

 

  

Total share transactions

      (240,178 )       (1,191,117 ) 
  

 

 

     

 

 

  

 

* There is a 1.75% redemption fee on shares redeemed which have been held less than one year in the Schneider Small Cap Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.

 

The accompanying notes are an integral part of the financial statements.

 

14

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Statement of Changes in Net Assets

 

     For the Six  Months
Ended
February 28, 2013
(Unaudited)		      For the Year
Ended
August 31, 2012		  

Increase/(decrease) in net assets from operations:

      

Net investment income

    $ 84,936       $ 339,821   

Net realized gain from investments

      2,329,291         2,186,018   

Net change in unrealized appreciation/(depreciation) from investments

      2,562,816         (818,237 ) 
  

 

 

     

 

 

  

Net increase in net assets resulting from operations

      4,977,043         1,707,602   
  

 

 

     

 

 

  

Dividends and distributions to shareholders from:

      

Net investment income

      (339,819 )       (296,010 ) 
  

 

 

     

 

 

  

Net decrease in net assets from dividends and distributions to shareholders

      (339,819 )       (296,010 ) 
  

 

 

     

 

 

  

Capital transactions:

      

Proceeds from shares sold

      412,995         1,030,485   

Reinvestment of distributions

      327,112         286,585   

Redemption fees *

      —         249   

Shares redeemed

      (16,809,828 )       (26,949,644 ) 
  

 

 

     

 

 

  

Net decrease in net assets from capital share transactions

      (16,069,721 )       (25,632,325 ) 
  

 

 

     

 

 

  

Total decrease in net assets

      (11,432,497 )       (24,220,733 ) 
  

 

 

     

 

 

  

Net assets:

      

Beginning of period

      43,718,995         67,939,728   
  

 

 

     

 

 

  

End of period

    $ 32,286,498       $ 43,718,995   
  

 

 

     

 

 

  

Undistributed net investment income, end of period

    $ 84,935       $ 339,818   

Share transactions:

      

Shares sold

      29,775         82,574   

Dividends and distributions reinvested

      24,503         24,042   

Shares redeemed

      (1,237,595 )       (2,119,352 ) 
  

 

 

     

 

 

  

Total share transactions

      (1,183,317 )       (2,012,736 ) 
  

 

 

     

 

 

  

 

* There is a 1.00% redemption fee on shares redeemed which have been held less than 90 days in the Schneider Value Fund. The redemption fees are retained by the Fund for the benefit of the remaining shareholders and recorded as paid-in capital.

 

The accompanying notes are an integral part of the financial statements.

 

15

THE SCHNEIDER FUNDS

SCHNEIDER SMALL CAP VALUE FUND

Financial Highlights

 

 

Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

    For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the Years Ended August 31,  
      2012     2011     2010     2009     2008  

Per Share Operating Performance

            

Net asset value, beginning of period

   $ 16.09      $ 13.70      $ 13.19      $ 12.34      $ 14.54      $ 19.06   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income/(loss)

     0.02        (0.11 )      (0.06 )      (0.11 )      0.12        0.16   

Net realized and unrealized gain/(loss) on investments and foreign currency transactions

     3.65        2.49        0.56        1.01        (2.20 )      (3.81 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets resulting from operations

     3.67        2.38        0.50        0.90        (2.08 )      (3.65 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

            

Net investment income

     —        —        —        (0.07 )      (0.18 )      (0.32 ) 

Net realized capital gains

     —        —        —        —        — (1)      (0.55 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions to shareholders

     —        —        —        (0.07 )      (0.18 )      (0.87 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Redemption fees

     — (1)      0.01        0.01        0.02        0.06        — (1) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 19.76      $ 16.09      $ 13.70      $ 13.19      $ 12.34      $ 14.54   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(2)

     22.81 %(3)      17.45 %      3.87 %      7.48 %      (13.20 )%      (19.78 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratio/Supplemental Data

            

Net assets, end of period (000’s omitted)

   $ 72,253      $ 62,691      $ 69,698      $ 73,243      $ 98,283      $ 91,691   

Ratio of expenses to average net assets(4)

     1.15 %(5)      1.15 %      1.15 %      1.15 %      1.14 %      1.10 % 

Ratio of expenses to average net assets without waivers and expense reimbursements

     1.52 %(5)      1.52 %      1.40 %      1.43 %      1.42 %      1.49 % 

Ratio of net investment income/(loss) to average net assets(4)

     0.01 %(5)      (0.64 )%      (0.33 )%      (0.65 )%      0.97 %      0.92 % 

Portfolio turnover rate

     32.20 %(3)      67.85 %      59.18 %      83.39 %      122.36 %      116.34 % 

 

(1) Amount is less than $0.005 per share.
(2) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(3) Not annualized.
(4) Reflects waivers and reimbursements.
(5) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

16

THE SCHNEIDER FUNDS

SCHNEIDER VALUE FUND

Financial Highlights

 

 

Contained below is per share operating performance data for a share outstanding during each period, total investment return, ratios to average net assets and other supplemental data for the respective periods. This information has been derived from information provided in the financial statements.

 

 

 

    For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the Years Ended August 31,  
      2012     2011     2010     2009     2008  

Per Share Operating Performance

            

Net asset value, beginning of period

   $ 12.77      $ 12.50      $ 11.72      $ 12.14      $ 16.37      $ 23.13   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net investment income

     0.08        0.10        0.07        0.08        0.34        0.37   

Net realized and unrealized gain/(loss) from investments and foreign currency transactions

     1.71        0.23        0.80        (0.23 )      (4.14 )      (5.89 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net increase/(decrease) in net assets resulting from operations

     1.79        0.33        0.87        (0.15 )      (3.80 )      (5.52 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Dividends and distributions to shareholders from:

            

Net investment income

     (0.14 )      (0.06 )      (0.09 )      (0.27 )      (0.43 )      (0.14 ) 

Net realized capital gains

     —        —        —        —        —        (1.10 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total dividends and distributions to shareholders

     (0.14 )      (0.06 )      (0.09 )      (0.27 )      (0.43 )      (1.24 ) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Redemption fees

     —        — (1)      — (1)      — (1)      — (1)      — (1) 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Net asset value, end of period

   $ 14.42      $ 12.77      $ 12.50      $ 11.72      $ 12.14      $ 16.37   
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Total investment return(2)

     14.12 %(3)      2.67 %      7.35 %      (1.30 )%      (22.06 )%      (25.05 )% 
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

  

Ratio/Supplemental Data

            

Net assets, end of period (000’s omitted)

   $ 32,286      $ 43,719      $ 67,940      $ 98,953      $ 118,467      $ 225,036   

Ratio of expenses to average net assets(4)

     0.90 %(5)      0.90 %      0.90 %      0.90 %      0.88 %      0.85 % 

Ratio of expenses to average net assets without waivers and expense reimbursements

     1.56 %(5)      1.28 %      1.07 %      1.03 %      1.14 %      1.09 % 

Ratio of net investment income to average net assets(4)

     0.50 %(5)      0.63 %      0.31 %      0.52 %      2.24 %      1.61 % 

Portfolio turnover rate

     27.93 %(3)      55.87 %      67.80 %      79.30 %      107.13 %      101.98 % 

 

(1) Amount is less than $0.005 per share.
(2) Total investment return is calculated by assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.
(3) Not Annualized.
(4) Reflects waivers and reimbursements.
(5) Annualized.

 

The accompanying notes are an integral part of the financial statements.

 

17

THE SCHNEIDER FUNDS

Notes to Financial Statements

February 28, 2013 (Unaudited)

 

1. Organization and Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the 1940 Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Schneider Small Cap Value Fund (the “Small Cap Value Fund”) and the Schneider Value Fund (the “Value Fund”) (each a “Fund,” collectively the “Funds”), which commenced investment operations on September 2, 1998 and September 30, 2002, respectively. As of the date hereof, each Fund offers Institutional Class shares.

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio.

PORTFOLIO VALUATION — Each Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Funds are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Fixed Income securities having a remaining maturity of greater than 60 days are valued using an independent pricing service. Fixed Income securities having a remaining maturity of 60 days or less are valued at amortized cost, which approximates market value. Foreign securities are valued based on prices from the primary market in which they are traded, and are translated from the local currency into U.S. dollars using current exchange rates. Investments in other open-end investment companies are valued based on the NAV of the investment companies (which may use Fair Value Pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

FAIR VALUE MEASUREMENT — The inputs and valuations techniques used to measure fair value of the Funds’ investments are summarized into three levels as described in the hierarchy below:

 

  •    Level 1 — quoted prices in active markets for identical securities;

 

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

 

  •    Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

18

THE SCHNEIDER FUNDS

Notes to Financial Statements (Continued)

February 28, 2013 (Unaudited)

 

The following summary of the inputs used, as of February 28, 2013, in valuing the Funds’ investments carried at fair value:

Small Cap Value Fund

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Common Stocks *

    $ 65,917,990       $ 65,917,990       $ —       $ —   

Corporate Bonds

      1,316,953         —         1,308,399         8,554   

Exchange Traded Fund

      863,045         863,045         —         —   

Securities Lending Collateral

      11,746,233         —         11,746,233         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 79,844,221       $ 66,781,035       $ 13,054,632       $ 8,554   
  

 

 

     

 

 

     

 

 

     

 

 

  

Value Fund

     Total
Value as of
February 28, 2013		      Level 1
Quoted
Price		      Level 2
Significant
Observable
Inputs		      Level 3
Significant
Unobservable
Inputs		  

Common Stocks*

    $ 30,670,021       $ 30,670,021       $ —       $ —   

Exchange Traded Fund

      250,912         250,912         —         —   

Securities Lending Collateral

      3,922,281         —         3,922,281         —   
  

 

 

     

 

 

     

 

 

     

 

 

  

Total

    $ 34,843,214       $ 30,920,933       $ 3,922,281       $ —   
  

 

 

     

 

 

     

 

 

     

 

 

  

* Please refer to the Portfolio of Investments for industry and security type breakouts.

Bonds that are priced using quotes derived from implied values, indicative bids, or a limited amount of actual trades are classified as Level 3 assets because the inputs used by the brokers and pricing services to derive the values are not readily observable.

Investments designated as Level 3 may include assets valued using quotes or indications furnished by brokers which are based on models or estimates and may not be executable prices. In light of the developing market conditions, Schneider Capital Management continues to search for observable data points and evaluate broker quotes and indications received for portfolio investments. Determination of fair values is uncertain because it involves subjective judgments and estimates not easily substantiated by auditing procedures.

At the end of each fiscal quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

Due to the inherent uncertainty of determining the fair value of investments that do not have a readily available market value, the fair value of the Funds’ investments may fluctuate from period to period. Additionally, the fair value of investments may differ significantly from the values that would have been used had an active market existed for such investments and may differ materially from the values the Funds may ultimately realize. Further, such investments may be subject to legal and other restrictions on resale or otherwise less liquid than publicly traded securities.

 

19

THE SCHNEIDER FUNDS

Notes to Financial Statements (Continued)

February 28, 2013 (Unaudited)

 

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require each Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires a Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when a Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when a Fund had an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Small Cap Value Fund and the Value Fund.

USE OF ESTIMATES — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

INVESTMENT TRANSACTIONS, INVESTMENT INCOME, AND EXPENSES — The Funds record security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued as earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Each Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Expenses incurred on behalf of a specific class, fund or fund family of the Company are charged directly to the class, fund or fund family (in proportion to net assets). Expenses incurred for all of the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Funds.

FOREIGN CURRENCY TRANSLATION — Foreign securities and other foreign assets and liabilities are valued using the foreign currency exchange rate effective at the end of the reporting period. The books and records of the Funds are maintained in U.S. dollars. Cost of investments is translated at the currency exchange rate effective at the trade date. The gain or loss resulting from a change in currency exchange rates between the trade and settlement dates of a portfolio transaction is treated as a gain or loss on foreign currency. Likewise, the gain or loss resulting from a change in currency exchange rates, between the date income is accrued and paid, is treated as a gain or loss on foreign currency.

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS — Dividends from net investment income and distributions from net realized capital gains, if any, are declared, recorded on the ex-dividend date and paid at least annually to shareholders. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations, which may differ from U.S. GAAP.

U.S. TAX STATUS — No provision is made for U.S. income taxes as it is each Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

20

THE SCHNEIDER FUNDS

Notes to Financial Statements (Continued)

February 28, 2013 (Unaudited)

 

CASH AND CASH EQUIVALENTS — The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

OTHER — In the normal course of business, the Funds may enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss for such claims is considered remote.

 

2. Investment Adviser and Other Services

Schneider Capital Management Company (“SCM” or the “Adviser”) serves as each Fund’s investment adviser. For its advisory services, SCM is entitled to receive 1.00% of the Small Cap Value Fund’s average daily net assets and 0.70% of the Value Fund’s average daily net assets, computed daily and payable monthly.

SCM has contractually agreed to waive its management fees and/or reimburse expenses to the extent that total annual operating expenses (excluding certain items discussed below) of the Small Cap Value Fund and the Value Fund exceed 1.15% and 0.90%, respectively. In determining SCM’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest and taxes. This contractual limitation is in effect until December 31, 2013 and may not be terminated without the approval of the Company’s Board of Directors. For the six months ended February 28, 2013, investment advisory fees and waivers of expenses were as follows:

 

     Gross Advisory Fees        Waivers        Net Advisory Fees  

Schneider Small Cap Value Fund

    $ 337,369         $ (123,800 )       $ 213,569   

Schneider Value Fund

      119,577           (113,127 )         6,450   

The Funds will not pay SCM at a later time for any amounts it may waive or any amounts that SCM has assumed.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Funds. For providing administration and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.

Included in the administration and accounting services fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Funds’ transfer and dividend disbursing agent. For providing transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of each Fund’s average daily net assets, subject to certain minimum monthly fees.

The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Funds. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Funds’ average daily net assets, subject to certain minimum monthly fees.

 

21

THE SCHNEIDER FUNDS

Notes to Financial Statements (Continued)

February 28, 2013 (Unaudited)

 

Foreside Funds Distributors LLC serves as the principal underwriter and distributor of the Funds’ shares pursuant to a Distribution Agreement with RBB.

 

3. Director Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Funds during the six months ended February 28, 2013 was $11,124. Certain employees of BNY Mellon serve as an Officer or Director of the Company. They are not compensated by the Funds or the Company.

 

4. Investment in Securities

For the six months ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) were as follows:

 

     Purchases        Sales  

Small Cap Value Fund

    $ 20,950,141         $ 27,729,912   

Value Fund

      9,447,141           26,113,775   

 

5. Federal Income Tax Information

The Funds have followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Funds to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. Each Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Funds are subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

As of February 28, 2013, federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Funds were as follows:

 

     Federal Tax
Cost		        Unrealized
Appreciation		        Unrealized
Depreciation		        Net Unrealized
Appreciation		  

Small Cap Value Fund

    $ 63,780,406         $ 19,919,087         $ (3,855,272 )       $ 16,063,815   

Value Fund

      29,137,232           7,843,127           (2,137,145 )         5,705,982   

Distributions to shareholders from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

 

22

THE SCHNEIDER FUNDS

Notes to Financial Statements (Continued)

February 28, 2013 (Unaudited)

 

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

     Undistributed
Ordinary
Income		        Undistributed
Long-Term Gains		  

Small Cap Value Fund

    $ —         $ —   

Value Fund

      339,818           —   

The differences between the book and tax basis components of distributable earnings relate principally to the timing of recognition of income and gains for federal income tax purposes. Short-term and foreign currency gains are reportable as ordinary income for federal income tax purposes.

The tax character of dividends and distributions paid during the fiscal year ended August 31, 2012 was as follows:

 

       Ordinary
Income		        Long-Term
Gains		        Total  

Small Cap Value Fund

        $ —         $ —         $ —   

Value Fund

        296,010           —           296,010   

Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.

Accumulated capital losses represent net capital loss carry forwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Funds’ first fiscal year end subject to the Modernization Act was August 31, 2012.

As of August 31, 2012, the Funds had the following pre-enactment net capital loss carryforwards to offset future net capital gains, if any, to the extent provided by Treasury regulations. To the extent that these carryforwards are used to offset future capital gains, it is probable that the gains that are offset will not be distributed to shareholders.

 

     August 31, 2016      August 31, 2017      August 31, 2018      August 31, 2019      Total  

Small Cap Value Fund

    $ —       $ —       $ 3,715,556       $ —       $ 3,715,556   

Value Fund

      11,248,795         75,945,572         42,948,995         2,159,421         132,302,783   

As of August 31, 2012, the Funds did not have any post-enactment capital loss carryforwards.

 

23

THE SCHNEIDER FUNDS

Notes to Financial Statements (Concluded)

February 28, 2013 (Unaudited)

 

 

6. Securities Lending

The Funds may make secured loans of their portfolio securities to brokers, dealers and other financial institutions to earn additional income and receive cash collateral equal to at least 102% of the current market value of the loaned securities, as marked to market each day that the NAV of the Funds is determined. When the collateral falls below specified amounts, the lending agent will use its best effort to obtain additional collateral on the next business day to meet required amounts under the security lending agreement. The Funds will pay administrative and custodial fees in connection with the loan of securities. Collateral is invested in short-term investments and the Funds will bear the risk of loss of the invested collateral. Securities lending will expose the Funds to the risk of loss should a borrower default on its obligation to return the borrowed securities. The market value of the securities on loan and collateral as of February 28, 2013 and the income received for the six months ended February 28, 2013 were as follows:

 

     Fair Value of
Securities Loaned		        Fair Value
of Collateral		        Income Received
from Securities
Lending		  

Small Cap Value Fund

    $ 11,124,332         $ 11,746,233         $ 5,792   

Value Fund

      3,756,825           3,922,281           5,269   

 

7. Subsequent Events

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

 

24

THE SCHNEIDER FUNDS

Other Information

(Unaudited)

 

Proxy Voting

Policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities as well as information regarding how the Funds voted proxies relating to portfolio securities for the most recent 12-month period ended June 30 are available without charge, upon request, by calling (888) 520-3277 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Quarterly Portfolio Schedules

The Company files a complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Form N-Q is available on the SEC website at http://www.sec.gov and may be reviewed and copied at the SEC Public Reference Room in Washington, D.C. Information on the operation of the SEC Public Reference Room may be obtained by calling (202) 551-8090.

 

25

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Investment Adviser

Schneider Capital Management

460 E. Swedesford Road

Suite 1080

Wayne, PA 19087

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

PricewaterhouseCoopers LLP

Two Commerce Square, Suite 1700

2001 Market Street

Philadelphia, PA 19103-7042

Counsel

Drinker Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

 

 

The

Schneider

Funds

 

of the RBB Fund, Inc.

Schneider Small Cap Value Fund

Schneider Value Fund

 

SEMI-ANNUAL

REPORT

 

February 28, 2013

 

(Unaudited)

 

LOGO

This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.

 

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Semi-Annual Investment Adviser’s Report

February 28, 2013

(Unaudited)

Dear Shareholder:

We are continually grateful for and cognitive of the confidence you have placed in us.

During the first quarter of 2013, U.S. equities experience significant gains. The volatility of the market also increased considerably in February. These record highs have come amidst both global debt issues and varied U.S. economic data.

For the six month period ended February 28, 2013, the Fund’s shares rose 10.33% vs. 7.69% for the S&P 500 Index®. For the past one year (February 29, 2012 to February 28, 2013) the total return for the Fund’s shares rose 12.31% vs. 10.91% for the S&P 500 Index®. The beta of the Fund on February 28, 2013 was 0.60.

As we consider recent events and ponder what may lay ahead, we know with more clarity that world events certainly affect the U.S. markets. We do not stand alone, isolated from the world. U.S. companies are global companies. Their revenue and sales, business plans and investments and ultimately success or failure is more correlated to global events than ever in history. As such, we must keep an eye on such events throughout the coming months and years. In addition to these global and political drivers, companies are unique in how each prepares, responds and survives the impact of world events and economic cycles. While some cycles may vary in length and events differ in impact, we believe, for U.S. equity exposure, the Summit Global Investments U.S. Low Volatility Equity Fund approach is effective over full market cycles.

Our philosophy to navigate such markets is simple and consistent throughout up and down markets. We believe that being invested in a low volatility equity portfolio over full market cycles provides lower price fluctuations, more consistent and reliable returns with smaller drawdowns and adds increased diversification when combined with other investment strategies. Our approach takes into account each underlying company’s stock volatility, expected market return and how it correlates with other stocks within the portfolio, ultimately seeking to maximize return with an overall lower risk than the cap-weighted benchmark. As stated in the prospectus, the Fund seeks to outperform the S&P 500® Index over a market cycle while reducing overall volatility.

Financial markets are always unpredictable but there are several time-tested investment principles that may help put the odds in your favor. We firmly believe that investing with a long-term, risk-return perspective is key to experiencing superior risk-adjusted returns. While staying the course with a low volatility portfolio doesn’t eliminate risk, it can considerably lessen the effect of market volatility.

While we are optimistic about the opportunities within the U.S. equity market, we remain laser focused on monitoring the risk of individual companies and the overall portfolio. During these times of uncertainty and volatility, we believe, for U.S. equity exposure the Summit Global Investments U.S. Low Volatility Equity Fund approach is warranted.

Sincerely,

Summit Global Investments, LLC

 

1

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Performance Data

February 28, 2013

(Unaudited)

 

 

                Total Returns For the Period Ended February 28, 2013*  
        Average Annual  
        Six Months*        One Year        Since
Inception**		  
 

Summit Global Investments U.S. Low

Volatility Equity Fund - Class I

Shares

      10.33%            12.31%           12.31%    
 

S&P 500® Index***

      7.69%            10.91%           10.91%    

 

* Not annualized.

 

** Inception date of the Fund is February 29, 2012.

 

*** Benchmark performance is from inception date of the Fund only and is not the inception date of the benchmark itself.

Performance quoted is past performance and does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher. Returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance data current to the most recent month-end may be obtained by calling (855) 744-8500.

The Fund applies a 1.50% fee to the value of shares redeemed within 60 days of purchase. This redemption fee is not reflected in the returns shown above. The performance quoted reflects fees waived in effect and would have been less in their absence. The Fund’s total annual gross and net operating expenses, as stated in the current prospectus dated December 31, 2012, are 20.03% and 0.98% of average daily net assets for Class I Shares. These rates may fluctuate and may differ from the actual expenses incurred by the Fund for the period covered by this report. The Fund’s investment adviser has contractually agreed to waive management fees and/or reimburse certain expenses of the Fund through December 31, 2013 to the extent necessary to ensure that the Fund’s total operating expenses (excluding acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes) do not exceed 0.98% (on an annual basis) of the Fund’s average daily net assets (the “Expense Limitation”). The Expense Limitation shall remain in effect until December 31, 2013, unless the Board of Directors of The RBB Fund, Inc. approves its earlier termination.

The Fund invests in common stock, preferred stocks, warrants to acquire common stock and securities convertible into common stock. Portfolio composition is subject to change.

The Fund evaluates performance as compared to that of the Standard & Poor’s 500® Index (“S&P 500®”). The S&P 500® is a widely recognized, unmanaged index of 500 common stocks which are generally representative of the U.S. stock market as a whole. It is impossible to invest directly in an index.

 

2

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Fund Expense Examples

(Unaudited)

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

These examples are based on an investment of $1,000 invested at the beginning of the six-month period from September 1, 2012 through February 28, 2013 and held for the entire period.

Actual Expenses

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

Hypothetical Examples for Comparison Purposes

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

Please note that the expenses shown in the accompanying table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as redemption fees. Therefore, the second line of the accompanying table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

3

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Fund Expense Examples (Concluded)

(Unaudited)

 

     Class I Shares
     Beginning Account Value
September 1, 2012		   Ending Account Value
February 28, 2013		   Expenses Paid
During Period*

Actual

   $1,000.00   $1,103.30   $5.11

Hypothetical

(5% return before expenses)

     1,000.00     1,019.93     4.91

 

 

 

*

Expenses are equal to the Fund’s annualized six month expense ratio of 0.98% for Class I Shares which includes waived fees or reimbursed expenses, multiplied by the average account value over the period multiplied by the number of days (181) in the most recent fiscal half year, then divided by 365 to reflect the one half year period. The Fund’s ending account values on the first line in the table is based on the actual six month total investment return for the Fund of 10.33% for Class I Shares.

 

4

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Portfolio Holdings Summary Table

February 28, 2013

(Unaudited)

 

The following table presents a summary by sector of the portfolio holdings of the Fund.

 

Security Type/Sector Classification

        % of Net    
Assets		      Value  

 

COMMON STOCKS:

      

Pharmaceuticals

      12.9%             $  1,515,998   

Food Products

      11.1                1,300,865   

Electric Utilities

      8.9                1,045,310   

Real Estate Investment Trusts

      6.3                743,739   

Multiline Retail

      5.5                642,655   

IT Services

      5.4                640,275   

Household Products

      5.0                591,109   

Health Care Providers & Services

      4.8                568,506   

Diversified Telecommunication

      3.7                435,294   

Commercial Services & Supplies

      3.5                414,847   

Information Technology

      3.2                371,805   

Energy

      2.7                317,310   

Health Care Equipment & Supplies

      2.7                315,907   

Distributors

      2.5                297,616   

Food & Staples Retailing

      2.3                271,232   

Specialty Retail

      2.1                243,770   

Financials

      1.5                170,487   

Hotels Restaurants & Leisure

      1.1                134,260   

Multi-Utilities

      1.1                131,210   

Air Freight & Logistics

      0.9                100,833   

Containers & Packaging

      0.7                81,089   

Thrifts & Mortgage Finance

      0.6                74,015   

Environmental Control

      0.5                63,194   

Electronic Equip. & Instruments

      0.4                52,153   

Airlines

      0.4                49,725   

Insurance

      0.4                48,082   

Internet Software & Services

      0.4                42,744   

Media

      0.1                10,918   

Other Assets in Excess of Liabilities

          9.3                      1,096,278   

  NET ASSETS

      100.0%             $  11,771,226   
     

 

Portfolio holdings are subject to change at any time.

The accompanying notes are an integral part of the financial statements.

 

5

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Portfolio of Investments

February 28, 2013

(Unaudited)

 

    Number
    of Shares    		                 Value             

COMMON STOCKS - 90.7%

  

  

Air Freight & Logistics — 0.9%

  

  

United Parcel Service, Inc.,
Class B

     1,220      $ 100,833   
   

 

 

  
      100,833   
   

 

 

  

Airlines — 0.4%

    

Southwest Airlines Co.

     4,250        49,725   
   

 

 

  
      49,725   
   

 

 

  

Commercial Services & Supplies — 3.5%

  

Automatic Data Processing, Inc.

     160        9,818   

Equifax, Inc.

     170        9,371   

Paychex, Inc.

     3,370        111,547   

Waste Management, Inc.

     7,470        278,780   

Western Union Co., (The)

     380        5,331   
   

 

 

  
      414,847   
   

 

 

  

Containers & Packaging — 0.7%

  

  

Ball Corp.

     220        9,770   

Bemis Co., Inc.

     1,910        71,319   
   

 

 

  
      81,089   
   

 

 

  

Distributors — 2.5%

    

Genuine Parts Co.

     4,190        297,616   
   

 

 

  
      297,616   
   

 

 

  

Diversified Telecommunication — 3.7%

  

AT&T, Inc.

     5,980        214,742   

Verizon Communications, Inc.

     4,740        220,552   
   

 

 

  
      435,294   
   

 

 

  

Electric Utilities — 8.9%

    

American Electric Power
Co., Inc.

     220        10,294   

CMS Energy Corp.

     400        10,644   

Consolidated Edison, Inc.

     170        10,030   

Dominion Resources, Inc.

     190        10,640   
    Number
    of Shares    		                 Value             
   
   

Electric Utilities — (Continued)

  

  

DTE Energy Co.

     160      $ 10,688   

Northeast Utilities

     7,280        302,193   

Pinnacle West Capital Corp.

     2,830        158,310   

PPL Corp.

     340        10,479   

Southern Co., (The)

     5,700        256,557   

Xcel Energy, Inc.

     9,250        265,475   
   

 

 

  
      1,045,310   
   

 

 

  

Electronic Equip. & Instruments — 0.4%

  

FLIR Systems, Inc.

     1,980        52,153   
   

 

 

  
      52,153   
   

 

 

  

Energy — 2.7%

    

Cabot Oil & Gas Corp.

     210        13,014   

ConocoPhillips

     160        9,272   

Exxon Mobil Corp.

     110        9,851   

Spectra Energy Corp.

     9,820        285,173   
   

 

 

  
      317,310   
   

 

 

  

Environmental Control — 0.5%

  

  

Republic Services, Inc.

     2,010        63,194   
   

 

 

  
      63,194   
   

 

 

  

Financials — 1.5%

  

  

American Express Co.

     110        6,837   

Berkshire Hathaway, Inc.,
Class B*

     110        11,238   

CHUBB Corp. (The)

     130        10,924   

Cincinnati Financial Corp.

     240        10,802   

CME Group, Inc.

     170        10,169   

M&T Bank Corp.

     90        9,188   

Marsh & McLennan Cos., Inc.

     2,730        101,392   

Mastercard, Inc., Class A

     10        5,178   

Visa, Inc., Class A

     30        4,759   
   

 

 

  
      170,487   
   

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

6

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Portfolio of Investments (Continued)

February 28, 2013

(Unaudited)

 

    Number
  of Shares  		                 Value               
   
   

Food & Staples Retailing — 2.3%

  

CVS Caremark Corp.

     210      $ 10,735   

Walgreen Co.

     260        10,644   

Wal-Mart Stores, Inc.

     3,530        249,853   
   

 

 

  
      271,232   
   

 

 

  

Food Products — 11.1%

  

Campbell Soup Co.

     260        10,702   

ConAgra Foods, Inc.

     330        11,256   

General Mills, Inc.

     1,640        75,850   

Hershey Co., (The)

     2,450        204,183   

HJ Heinz Co.

     4,610        333,902   

Hormel Foods Corp.

     8,970        335,568   

Kellogg Co.

     5,100        308,550   

McCormick & Co., Inc.

     310        20,854   
   

 

 

  
      1,300,865   
   

 

 

  

Health Care Equipment & Supplies — 2.7%

  

Baxter International, Inc.

     150        10,140   

Becton Dickinson and Co.

     3,360        295,882   

CR Bard, Inc.

     100        9,885   
   

 

 

  
      315,907   
   

 

 

  

Health Care Providers & Services — 4.8%

  

Aetna, Inc.

     860        40,583   

Cardinal Health, Inc.

     4,370        201,938   

Cigna Corp.

     1,180        68,983   

Coventry Health Care, Inc.

     5,040        228,614   

Humana, Inc.

     140        9,556   

Laboratory Corp. of America Holdings*

     110        9,746   

UnitedHealth Group, Inc.

     170        9,086   
   

 

 

  
      568,506   
   

 

 

  

Hotels Restaurants & Leisure — 1.1%

  

McDonald’s Corp.

     1,400        134,260   
   

 

 

  
      134,260   
   

 

 

  
    Number
  of Shares  		                 Value               
   
   

Household Products — 5.0%

  

Clorox Co., (The)

     3,550      $ 298,236   

Colgate-Palmolive Co.

     30        3,433   

Kimberly-Clark Corp.

     3,070        289,440   
   

 

 

  
      591,109   
   

 

 

  

Information Technology — 3.2%

  

Google, Inc., Class A*

     320        256,384   

Motorola Solutions, Inc.

     170        10,576   

Yahoo!, Inc.*

     4,920        104,845   
   

 

 

  
      371,805   
   

 

 

  

Insurance — 0.4%

  

AON PLC (United Kingdom)

     170        10,385   

Loews Corp.

     130        5,604   

Progressive Corp., (The)

     450        10,962   

Torchmark Corp.

     190        10,676   

Travelers Cos, Inc., (The)

     130        10,455   
   

 

 

  
      48,082   
   

 

 

  

Internet Software & Services — 0.4%

  

Adobe Systems, Inc.*

     280        11,004   

Fiserv, Inc.*

     120        9,853   

Intel Corp.

     490        10,217   

Microchip Technology, Inc.

     320        11,670   
   

 

 

  
      42,744   
   

 

 

  

IT Services — 5.4%

  

Fidelity National Information Services, Inc.

     8,200        308,730   

International Business Machines Corp.

     60        12,050   

Linear Technology Corp.

     290        11,090   

Total System Services, Inc.

     12,980        308,405   
   

 

 

  
      640,275   
   

 

 

  
 

 

The accompanying notes are an integral part of the financial statements.

 

7

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Portfolio of Investments (Concluded)

February 28, 2013

(Unaudited)

 

Media — 0.1%

  

   

Walt Disney Co., (The)

      200       $ 10,918   
     

 

 

  
        10,918   
     

 

 

  

Multiline Retail — 5.5%

  

   

Dollar General Corp.*

      300         13,902   

Family Dollar Stores, Inc.

      3,450         198,548   

Kohl’s Corp.

      110         5,071   

Procter & Gamble Co., (The)

      2,250         171,405   

Target Corp.

      4,030         253,729   
     

 

 

  
        642,655   
     

 

 

  

Multi-Utilities — 1.1%

  

   

SCANA Corp.

      860         42,002   

Wisconsin Energy Corp.

      2,160         89,208   
     

 

 

  
        131,210   
     

 

 

  

Pharmaceuticals — 12.9%

  

   

Abbott Laboratories

      7,860         265,589   

AmerisourceBergen Corp.

      6,790         320,488   

Forest Laboratories, Inc.*

      260         9,568   

Johnson & Johnson

      3,830         291,501   

McKesson Corp.

      3,000         318,390   

Mead Johnson Nutrition Co.

      140         10,487   

Pfizer, Inc.

      10,960         299,975   
     

 

 

  
        1,515,998   
     

 

 

  

Real Estate Investment Trusts — 6.3%

  

American Tower Corp.

      130         10,088   

Apartment Investment & Management Co., Class A

      7,560         223,927   

Boston Properties, Inc.

      20         2,078   

Equity Residential

      100         5,504   

HCP, Inc.

      3,350         163,748   

Health Care REIT, Inc.

      4,520         289,913   

Real Estate Investment Trusts — (Continued)

  

Kimco Realty Corp.

      510       $ 11,103   

Plum Creek Timber Co., Inc.

      240         11,640   

Public Storage

      100         15,121   

Ventas, Inc.

      150         10,617   
     

 

 

  
        743,739   
     

 

 

  

Specialty Retail — 2.1%

  

   

AutoZone, Inc.*

      570         216,686   

Cintas Corp.

      230         10,097   

O’Reilly Automotive, Inc.*

      110         11,191   

Ross Stores, Inc.

      100         5,796   
     

 

 

  
        243,770   
     

 

 

  

Thrifts & Mortgage Finance — 0.6%

  

   

People’s United Financial, Inc.

      5,650         74,015   
     

 

 

  
        74,015   
     

 

 

  

TOTAL COMMON STOCKS
(Cost $9,697,930)

         10,674,948   
     

 

 

  

TOTAL INVESTMENTS - 90.7%
(Cost $9,697,930)

         10,674,948   
     

 

 

  

OTHER ASSETS IN EXCESS
OF LIABILITIES - 9.3%

         1,096,278   
     

 

 

  

NET ASSETS - 100.0%

       $ 11,771,226   
     

 

 

  

 

 

* Non-income producing.

PCL    Public Company Limited

REIT   Real Estate Investment Trusts

 

 

The accompanying notes are an integral part of the financial statements.

 

8

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Statement of Assets and Liabilities

February 28, 2013

(Unaudited)

 

ASSETS

   

Investments, at value (Cost $9,697,930)

    $ 10,674,948   

Cash

      1,051,728   

Receivables for:

   

Capital shares sold

      21,467   

Dividends

      26,142   

Receivable from Investment Adviser (See Note 2)

      22,998   

Prepaid expenses and other assets

      18,412   
  

 

 

  

Total assets

      11,815,695   
  

 

 

  

LIABILITIES

   

Payables for:

   

Administration and accounting services fees

      14,258   

Audit fees

      10,574   

Legal fees

      9,911   

Transfer agent fees

      4,441   

Other accrued expenses and liabilities

      5,285   
  

 

 

  

Total liabilities

      44,469   
  

 

 

  

Net Assets

    $ 11,771,226   
  

 

 

  

NET ASSETS CONSISTS OF

   

Par Value

    $ 1,061   

Paid-in capital

      10,796,956   

Undistributed net investment income

      33,035   

Accumulated net realized loss from investments

      (36,844 ) 

Net unrealized appreciation on investments

      977,018   
  

 

 

  

Net Assets

    $ 11,771,226   
  

 

 

  

I SHARES:

   

Net Assets applicable to Class I Shares

    $ 11,771,226   
  

 

 

  

Shares outstanding ($0.001 par value, 100,000,000 shares authorized)

      1,060,882   
  

 

 

  

Net asset value, offering and redemption price per share

    $ 11.10   
  

 

 

  

 

 

The accompanying notes are an integral part of the financial statements.

 

9

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Statement of Operations

For the Six Months Ended February 28, 2013

(Unaudited)

 

INVESTMENT INCOME

   

Dividends and interest

    $ 103,602   
  

 

 

  

Total investment income

      103,602   
  

 

 

  

EXPENSES

   

Administration and accounting services fees (Note 2)

      42,656   

Transfer agent fees (Note 2)

      35,006   

Advisory fees (Note 2)

      27,105   

Custodian fees (Note 2)

      13,013   

Audit fees

      11,353   

Directors’ and officers’ fees

      8,064   

Registration and filing fees

      5,067   

Other expenses

      11,873   
  

 

 

  

Total expenses before waivers and reimbursements

      154,137   

Less: waivers and reimbursements (Note 2)

      (116,190 ) 
  

 

 

  

Net expenses after waivers and reimbursements

      37,947   
  

 

 

  

Net investment income

      65,655   
  

 

 

  

NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS

   

Net realized gain from:

   

Investments

      842   

Net change in unrealized appreciation on:

   

Investments

      879,643   
  

 

 

  

Net realized and unrealized gain from investments

      880,485   
  

 

 

  

NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS

    $ 946,140   
  

 

 

  

 

 

 

 

The accompanying notes are an integral part of the financial statements.

 

10

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Statement of Changes in Net Assets

 

 

     For the
Six Months Ended
February 28, 2013
(Unaudited)		     For the
Period Ended
August 31, 2012(1)		  

INCREASE/(DECREASE) IN NET ASSETS FROM
OPERATIONS:

     

Net investment income

    $ 65,655      $ 12,290   

Net realized gain from investments

      842        22,649   

Net change in unrealized appreciation on investments

      879,643        97,375   
  

 

 

    

 

 

  

Net increase in net assets resulting from operations

      946,140        132,314   
  

 

 

    

 

 

  

DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
FROM:

     

Class I Shares

     

Net investment income

      (44,910 )      —   

Net realized capital gains

      (60,335 )      —   
  

 

 

    

 

 

  

Net decrease in net assets from dividends and distributions
to shareholders

      (105,245 )      —   
  

 

 

    

 

 

  

CAPITAL TRANSACTIONS:

     

Class I Shares

     

Proceeds from shares sold

      7,717,139        3,597,193   

Reinvestment of distribution

      105,245        —   

Shares redeemed

      (494,501 )      (127,059 ) 
  

 

 

    

 

 

  

Net increase in net assets from capital share transactions

      7,327,883        3,470,134   
  

 

 

    

 

 

  

Total increase in net assets

      8,168,778        3,602,448   
  

 

 

    

 

 

  

NET ASSETS

     

Beginning of period

      3,602,448        —   
  

 

 

    

 

 

  

End of period

    $ 11,771,226      $ 3,602,448   
  

 

 

    

 

 

  

Undistributed net investment income, end of period

    $ 33,035      $ 12,290   
  

 

 

    

 

 

  

CAPITAL SHARE TRANSACTIONS:

     

Class I Shares

     

Shares sold

      744,333        366,392   

Shares reinvested

      10,248        —   

Shares redeemed

      (47,510 )      (12,581 ) 
  

 

 

    

 

 

  

Net increase in shares

      707,071        353,811   
  

 

 

    

 

 

  

 

(1) The Fund commenced investment operations on February 29, 2012.

 

The accompanying notes are an integral part of the financial statements.

 

11

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Financial Highlights

 

Contained below is per share operating performance data for shares outstanding, total investment return, ratios to average net assets and other supplemental data for the representative periods. This information has been derived from information provided in the financial statements.

     Class I Shares
     For the Six Months Ended
February 28, 2013
(Unaudited)		    For the Period
Ended
August 31,  2012(1)

Per Share Operating Performance

      

Net asset value, beginning of period

    $  10.18    $10.00

Net investment income(2)

          0.09        0.08

Net realized and unrealized gain from investments(3)

          0.95        0.10

Total from operations

          1.04        0.18

Distributions to shareholders from:

      

From net investment income

         (0.05)           —

From net realized capital gains

         (0.07)           —

Total Distributions

         (0.12)           —

Net asset value, end of period

    $  11.10    $10.18

Total investment return(4)

              10.33%(5)               1.80%(5)

Ratios/Supplemental Data

      

Net assets, end of period (000’s omitted)

    $11,771    $3,602

Ratio of expenses to average net assets with waivers and reimbursements

                0.98%(6)               0.98%(6)

Ratio of expenses to average net assets without waivers and reimbursements

                3.98%(6)             20.03%(6)

Ratio of net investment income to average net assets

                1.70%(6)               1.64%(6)

Portfolio turnover rate

                    41%(5)                  95%(5)

 

(1)

The Fund commenced investment operations on February 29, 2012.

(2)

The selected per share data was calculated based on average shares outstanding method for the period.

(3)

The amount shown may not correlate with the change in the aggregate gains and losses due to the timing of sales and purchases of the Fund’s shares in relation to fluctuating market values for the Fund’s portfolio.

(4)

Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestments of dividends and distributions, if any.

(5)

Not annualized.

(6) Annualized.

The accompanying notes are an integral part of the financial statements.

 

12

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements

February 28, 2013

(Unaudited)

1. Organization and Significant Accounting Policies

The RBB Fund, Inc. (“RBB” or the “Company”) was incorporated under the laws of the State of Maryland on February 29, 1988 and is registered under the Investment Company Act of 1940, as amended, (the “Investment Company Act”) as an open-end management investment company. RBB is a “series fund,” which is a mutual fund divided into separate portfolios. Each portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one portfolio is not deemed to be a shareholder of any other portfolio. Currently, RBB has seventeen active investment portfolios, including the Summit Global Investments U.S. Low Volatility Equity Fund (the “Fund”), which commenced investment operations on February 29, 2012. As of the date hereof, the Fund offers three classes of shares, Class A Shares, Retail Shares and Class I Shares. As of February 28, 2013, Class A Shares and Retail Shares have not been issued.

RBB has authorized capital of one hundred billion shares of common stock of which 80.573 billion shares are currently classified into one hundred and forty-two classes of common stock. Each class represents an interest in an active or inactive RBB investment portfolio. The Fund has issued shares with a par value of $0.001.

Portfolio Valuation– The Fund’s net asset value (“NAV”) is calculated once daily at the close of regular trading hours on the New York Stock Exchange (“NYSE”) (typically 4:00 p.m. Eastern time) on each day the NYSE is open. Securities held by the Fund are valued using the closing price or the last sale price on a national securities exchange or the National Association of Securities Dealers Automatic Quotation System (“NASDAQ”) market system where they are primarily traded. Equity securities traded in the over-the-counter market are valued at their closing prices. If there were no transactions on that day, securities traded principally on an exchange or on NASDAQ will be valued at the mean of the last bid and ask prices prior to the market close. Investments in other open-end investment companies, if any, are valued based on the NAV of those investment companies (which may use fair value pricing as discussed in their prospectuses). If market quotations are unavailable or deemed unreliable, securities will be valued in accordance with procedures adopted by the Company’s Board of Directors. Relying on prices supplied by pricing services or dealers or using fair valuation may result in values that are higher or lower than the values used by other investment companies and investors to price the same investments.

 

13

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

Fair Value Measurements – The inputs and valuation techniques used to measure fair value of the Fund’s investments are summarized into three levels as described in the hierarchy below:

 

—

  

Level 1 —

  

quoted prices in active markets for identical securities;

—

  

Level 2 —

  

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

—

  

Level 3 —

  

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2013, in valuing the Fund’s investments carried at fair value:

 

                                                                               
    Total Value at
February 28,
2013		     Level 1
Quoted
Price		     Level 2
Other
Significant
Observable
Inputs		     Level 3
Significant
Unobservable
Inputs		  

Investments in Securities*

   $ 10,674,948      $ 10,674,948        —        —   
 

 

 

    

 

 

    

 

 

    

 

 

  

 

 

* Please refer to Portfolio of Investments for further details.

At the end of each calendar quarter, management evaluates the classification of Levels 1, 2 and 3 assets and liabilities. Various factors are considered, such as changes in liquidity from the prior reporting period; whether or not a broker is willing to execute at the quoted price; the depth and consistency of prices from third party pricing services; and the existence of contemporaneous, observable trades in the market. Additionally, management evaluates the classification of Level 1 and Level 2 assets and liabilities on a quarterly basis for changes in listings or delistings on national exchanges.

For fair valuations using significant unobservable inputs, U.S. generally accepted accounting principles (“U.S. GAAP”) require the Fund to present a reconciliation of the beginning to ending balances for reported market values that presents changes attributable to total realized and unrealized gains or losses, purchase and sales, and transfers in and out of Level 3 during the period. Transfers in and out between Levels are based on values at the end of the period. U.S. GAAP also requires the Fund to disclose amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. A reconciliation of Level 3 investments is presented only when the Fund had an amount of Level 3 investments at the end of the reporting period that was meaningful in relation to its net assets. The amounts and reasons for all transfers in and out of each Level within the three-tier hierarchy are disclosed when the Fund had

 

14

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

an amount of total transfers during the reporting period that was meaningful in relation to its net assets as of the end of the reporting period.

For the six months ended February 28, 2013, there were no transfers between Levels 1, 2 and 3 for the Fund.

Use of Estimates — The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the period. Actual results could differ from those estimates and those differences could be significant.

Investment Transactions, Investment Income and Expenses — The Fund records security transactions based on trade date for financial reporting purposes. The cost of investments sold is determined by use of the specific identification method for both financial reporting and income tax purposes in determining realized gains and losses on investments. Interest income is accrued when earned. Dividend income is recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Fund’s policy is to allocate investment income, expenses and unrealized and realized gains and losses among classes on a daily basis, when applicable. Expenses incurred on behalf of a specific class, fund or fund family are charged directly to the class, fund or fund family to each class of shares based upon the relative proportion of net assets of each class at the beginning of the day. Expenses incurred for all the RBB funds (such as director or professional fees) are charged to all funds in proportion to their average net assets of RBB, or in such other manner as the Company’s Board of Directors deems fair or equitable. Expenses and fees, including investment advisory and administration fees, are accrued daily and taken into account for the purpose of determining the NAV of the Fund.

Dividends and Distributions to Shareholders — Dividends from net investment income, if any, are declared and paid quarterly. Net realized capital gains, if any, are declared and paid annually. Income dividends and capital gain distributions are determined in accordance with U.S. federal income tax regulations which may differ from U.S. GAAP.

U.S. Tax Status — No provision is made for U.S. income taxes as it is the Fund’s intention to qualify for and elect the tax treatment applicable to regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to its shareholders which will be sufficient to relieve it from U.S. income and excise taxes.

 

15

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

Cash and Cash Equivalents — The Funds consider liquid assets deposited into a bank demand deposit account to be cash equivalents. These investments represent amounts held with financial institutions that are readily accessible to pay Fund expenses or purchase investments. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value.

Other — In the normal course of business, the Fund may enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is dependent on claims that may be made against the Fund in the future, and, therefore, cannot be estimated; however, based on experience, the risk of material loss from such claims is considered remote.

2. Investment Adviser and Other Services

Summit Global Investments, LLC (“Summit” or the “Adviser”) serves as the Fund’s investment adviser. For its advisory services, the Adviser is entitled to receive a monthly fee from the Fund calculated at an annual rate of 0.70% of the Fund’s average daily net assets.

Summit has contractually agreed to waive its management fees and/or reimburse expenses, to the extent that total annual operating expenses (excluding certain items discussed below) exceed 1.23% of the average daily net assets for Class A Shares and Retail Shares (Class A Shares and Retail Shares have not commenced operations as of February 28, 2013) and 0.98% of the average daily net assets for Class I Shares. In determining Summit’s obligation to waive advisory fees and/or reimburse expenses, the following expenses are not taken into account: acquired fund fees and expenses, brokerage commissions, extraordinary items, interest or taxes. This contractual limitation is in effect until December 31, 2015 and may not be terminated before December 31, 2013 without approval by the Company’s Board of Directors. For the six months ended February 28, 2013, investment advisory fees accrued were $27,105 and expenses waived and reimbursed by the Adviser were $116,190.

BNY Mellon Investment Servicing (US) Inc. (“BNY Mellon”) serves as administrator for the Fund. For providing administrative and accounting services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

Included in the administration and accounting service fees, shown on the Statement of Operations, are fees for providing regulatory administration services to RBB. For providing these services, BNY Mellon is entitled to receive compensation as agreed to by the Company and BNY Mellon. This fee is allocated to each portfolio of the Company in proportion to its net assets of the Company.

In addition, BNY Mellon serves as the Fund’s transfer and dividend disbursing agent. For providing

 

16

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements (Continued)

February 28, 2013

(Unaudited)

 

these transfer agent services, BNY Mellon is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

The Bank of New York Mellon (the “Custodian”) provides certain custodial services to the Fund. The Custodian is entitled to receive a monthly fee equal to an annual percentage rate of the Fund’s average daily net assets, subject to certain minimum monthly fees.

Foreside Funds Distributors LLC, serves as the principal underwriter and distributor of Fund’s shares pursuant to a Distribution Agreement with RBB.

3. Director Compensation

The Directors of the Company receive an annual retainer and meeting fees for meetings attended. The aggregate remuneration paid to the Directors by the Fund during the six months ended February 28, 2013 was $3,972. Certain employees of BNY serve as an Officer or Director of the Company. They are not compensated by the Fund or the Company.

4. Investment in Securities

For the six months ended February 28, 2013, aggregate purchases and sales of investment securities (excluding short-term investments) of the Fund were as follows:

 

     Purchases      Sales  

Investment Securities

    $ 9,509,987       $ 3,052,740   

5. Federal Income Tax Information

The Fund has followed the authoritative guidance on accounting for and disclosure of uncertainty in tax positions, which requires the Fund to determine whether a tax position is more likely than not to be sustained upon examination, including resolution of any related appeals or litigation processes, based on the technical merits of the position. The Fund has determined that there was no effect on the financial statements from following this authoritative guidance. In the normal course of business, the Fund is subject to examination by federal, state and local jurisdictions, where applicable, for tax years for which applicable statutes of limitations have not expired.

As of February 28, 2013, the federal tax cost, aggregate gross unrealized appreciation and depreciation of securities held by the Fund were as follows:

 

17

SUMMIT GLOBAL INVESTMENTS U.S. LOW VOLATILITY EQUITY FUND

Notes to Financial Statements (Concluded)

February 28, 2013

(Unaudited)

 

 

            

Federal tax cost

    $ 9,697,930     
  

 

 

    

Gross unrealized appreciation

    $ 1,009,872     

Gross unrealized depreciation

      (32,854 )   
  

 

 

    

Net unrealized appreciation

    $ 977,018     
  

 

 

    

Distributions to shareholders, if any, from net investment income and realized gains are determined in accordance with federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification.

As of August 31, 2012, the components of distributable earnings on a tax basis were as follows:

 

Undistributed
Ordinary Income

    Undistributed
Long-Term Gains		    Unrealized
Appreciation
$34,939    $—    $97,375

There were no differences between the book and tax basis components of distributable earnings. Short-term and foreign currency gains are reported as ordinary income for federal income tax purposes.

Accumulated capital losses represent net capital loss carry forwards as of August 31, 2012 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Fund’s first fiscal year end subject to the Modernization Act was August 31, 2012. As of August 31, 2012, the Fund did not have any capital loss carry forwards.

6. Subsequent Events

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

 

18

SUMMIT GLOBAL INVESTMENTS

U.S. LOW VOLATILITY EQUITY FUND

Other Information

(Unaudited)

Proxy Voting

Policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities as well as information regarding how the Fund voted proxies relating to portfolio securities for the most recent six-month period ended June 30 are available without charge, upon request, by calling (855) 744-8500 and on the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

Quarterly Portfolio Schedules

The Company will file its complete schedule of portfolio holdings with the SEC for the first and third fiscal quarters of each fiscal year (quarters ended November 30 and May 31) on Form N-Q. The Company’s Forms N-Q will be available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling (202) 551-8090.

 

19

Investment Adviser

Summit Global Investments, LLC

620 South Main Street

Bountiful, UT 84010

Administrator

BNY Mellon Investment Servicing (US) Inc.

301 Bellevue Parkway

Wilmington, DE 19809

Transfer Agent

BNY Mellon Investment Servicing (US) Inc.

4400 Computer Drive

Westborough, MA 01581

Principal Underwriter

Foreside Funds Distributors LLC

400 Berwyn Park

899 Cassatt Road

Berwyn, PA 19312

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Independent Registered Public Accounting Firm

Ernst & Young LLP

One Commerce Square

2005 Market Street, Suite 700

Philadelphia, PA 19103

Legal Counsel

Drinker, Biddle & Reath LLP

One Logan Square, Ste. 2000

Philadelphia, PA 19103-6996

LOGO

SUMMIT GLOBAL

INVESTMENTS

U.S. LOW VOLATILITY

EQUITY FUND

of

The RBB Fund, Inc.

Class I Shares

SEMI-ANNUAL REPORT

February 28, 2013

(Unaudited)

This report is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Fund.

 

Item 2. Code of Ethics.

Not applicable.

Item 3. Audit Committee Financial Expert.

Not applicable.

Item 4. Principal Accountant Fees and Services.

Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

 

(a)

Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b)

Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment              Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated              Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

 

  (a)

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

  (b)

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Exhibits.

 

  (a)(1)

Not applicable.

 

  (a)(2)

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

  (a)(3)

Not applicable.

 

  (b)

Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)        The RBB Fund, Inc.                                                                                                                   
By (Signature and Title)*        /s/ Salvatore Faia                                                                                                  
 

          Salvatore Faia, President

 

          (principal executive officer)

Date    April 26, 2013                                                                                                                                               

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)*         /s/ Salvatore Faia                                                                                                      
  

          Salvatore Faia, President

  

          (principal executive officer)

Date    April 26, 2013                                                                                                                                               
By (Signature and Title)*         /s/ Joel Weiss                                                                                                          
  

          Joel Weiss, Treasurer

  

          (principal financial officer)

Date    April 26, 2013                                                                                                                                               

 

* 

Print the name and title of each signing officer under his or her signature.