Bridgeway Funds N-CSRCertified annual shareholder report (management investment company)

A no-load mutual fund family                

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website (bridgeway.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund electronically anytime by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by calling 800-661-3550.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can call 800-661-3550 to let the Fund know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all Funds held in your account if you invest through your financial intermediary or to all Funds held with the fund complex if you invest directly with a Fund.

Bridgeway Funds Returns for Calendar Years 2005 through 2019* (Unaudited)

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

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

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

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)

June 30, 2020

Dear Fellow Shareholders,

Performance across domestic equity markets was generally positive for the June quarter, helping offset losses incurred during the market downturn of February and March and pushing the broad stock market higher for the 12 months ended June 30, 2020. However, smaller stocks continued to lag larger stocks, resulting in small-cap stocks recording negative returns for the fiscal year. Value stocks also continued to underperform growth stocks across size categories. As a result, small-cap value stocks delivered the year’s worst performance. Market highlights appear on page 2. In this environment, the Bridgeway Funds performed within design expectations, guided by our statistically driven, evidence-based investment approach. Please see the enclosed letters for a detailed explanation of each Fund’s performance during the quarter and the fiscal year. We hope you find the letters helpful.

Among other benefits, principles help guide investors during difficult markets such as the sharp downturn sparked by the coronavirus pandemic earlier this year. While that sell-off was relatively brief, it exacerbated the decade-long slump that value stocks have experienced relative to growth stocks. However, the market turmoil inspired our team to examine how value stocks historically have performed during and after downturns. The results of this research give us additional optimism that value investors — and particularly investors who pursue a deeper-value approach using multiple value metrics — have the potential for competitive results for staying the course. Read the details in “Stress Test: How Factors Perform Before, During, And After Recessions,” on page 2.

Of course, our country is still dealing with the health and economic impacts of the coronavirus pandemic. The fear and uncertainty generated by this new disease were especially difficult for investors to manage, in part due to how the coronavirus triggered all the major “hot buttons” for how human minds process risk. You can read more about this phenomenon in “The Worst Thing of the Fiscal Year,” on page 6.

We believe that our success as an investment manager is not simply a question of the investment strategies we follow and the portfolios we design. Instead, the principles that guide our firm are the true foundation of prosperity for our clients and our communities. Tammira Philippe shares her thoughts on how we remain true to these core principles in “An Open Letter on Relational Investing,” on page 6.

Finally, as our country continues to reckon with the problem of racial inequality, Bridgeway is standing in solidarity with those who peacefully call for justice and reform. We know that we can and must do better, and we are committed to deep listening, learning, reflecting, and acting to increase our support for organizations working to end systemic racism in America. To help understand the need for change, read Tamla Wilson’s description of her experience as a Black woman in America, in “Transformative Change: Shifting from Anger to Action,” on page 8.

As always, we appreciate your feedback. We take your comments very seriously and regularly discuss them to help us manage our Funds and this company. Please keep your ideas coming — both favorable and critical. They provide us with a vital tool to serve you better.

Sincerely,

Your Investment Management Team

John Montgomery		Christine L. Wang		Michael Whipple
Elena Khoziaeva		Dick Cancelmo

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

Market Review

Domestic equity markets strongly rebounded in the quarter ended June 30, 2020, offsetting losses incurred during the coronavirus-related sell-off in February and March. Investors reacted positively to government stimulus efforts and promising news about potential COVID-19 vaccine candidates, but the pace of gains slowed later in the quarter as coronavirus outbreaks flared up in parts of the country. The S&P 500 returned +20.5% for the quarter and the Dow Jones Industrial Average (DJIA) returned +18.5%. For the fiscal year, the S&P 500 and the DJIA returned +7.5% and -0.54%, respectively.

All U.S. equity style categories, as defined by Russell Indices, recorded positive returns for the quarter. However, smaller stocks outperformed larger stocks across style categories, and growth stocks outperformed value stocks. As a result, small-cap growth stocks had the best performance during the quarter, returning +30.58%, while large-cap value stocks lagged on a relative basis, returning +14.29%.

All sectors of the S&P 500 had positive returns for the quarter. The Consumer Discretionary sector led the gains, returning +32.8%, followed by Energy and Information Technology, both returning +30.5%. The Utilities sector delivered the lowest returns (+2.7%).

Below are the stock market style box returns for the quarter and the calendar year.

Stress Test: How Factors Perform Before, During, And After Recessions

By Andrew L. Berkin, Ph.D., Head of Research, and Geoffrey G. Crumrine, Head of Client Service and Marketing

Examining factor returns from past recessions reinforces the importance of diversification and the dangers of market timing

It’s official. On June 8, 2020, the National Bureau of Economic Research (NBER) declared that the United States entered a recession in February of this year. Somewhat anomalously, on that same day the S&P 500 gained 1.21% to move back into positive territory for 2020. After falling roughly 33% from its high to usher in a bear market, the index rallied nearly 45% from its lows on March 23 through the date of NBER’s recession announcement.

So, while it is bad times for the economy, the stock market is regaining its former euphoria. It’s understandable if investors are wondering what this means for stocks going forward, and for the factors that shape their returns. While we can’t predict the future, we can examine how these factors have performed during past recessions — and what happened before and after those events.

Bridgeway’s research into past recessions uncovered data that reminds investors that it’s risky to try to time both the economic cycle and market’s performance. Individual factors don’t move in lockstep during recessions. Some, like momentum, hold up fairly well. Others, like small size and value, lag. However, our research on past recessions also shows that factor performance can turn around quickly, with small size and value enjoying strong returns in post-recessionary periods. We believe this encouraging evidence reinforces the importance of diversifying portfolios across factors and staying the course.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

A Historical Look at Factor Returns and Recessions

What are Factors?

Factors are the specific characteristics of stocks and other securities that both drive their returns and explain their performance across different market conditions and business cycles.

Over the very long run, stocks and the economy are related. A better economy means better earnings and valuations for stocks. But the stock market is forward-looking. Investors don’t just wait for official confirmation of economic or company news, but rather act on what they expect to happen. How does this gap between economic performance and investor expectations play out in historic stock returns?

Chart 1 shows the average monthly returns for the Fama-French factors and momentum in a variety of economic environments. The data goes back to July 1926 and includes 15 recessions. The current recession is excluded as it has yet to run its full course.

15 past recessions going back to 1926

*Average returns through January 2020. Mkt-RF, SMB, and HML data starts in July 1926. Momentum data starts in January 1927, and profitability and investment factors data start in July 1963

Source: Ken French Data Library http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

As we see in the chart’s top row, all factors have positive returns when invested over the long term. Performance differences first appear when we look at the next two rows, which assign these months into two categories: expansions and recessions^1. During expansions, all factors are again nicely positive, and are statistically and economically significant. The story is somewhat different when we look at recessions: Both the market’s excess return and small size returns are now negative, and value returns are notably reduced.

These results are not surprising, given that the original Fama-French three factors, which built on the work of others, are often called “risk premiums.” While some have argued that these excess returns are due to behavioral considerations, there is ample evidence for both sides². During the tough times of a recession are exactly when risk shows up. Investors flee from risky stocks — especially the riskiest beaten down names. Conversely, investors seek out quality companies with good financial health. This helps explain the better returns of the profitability and conservative investment factors, which are stronger than typical during recessions.

Given that we have entered a recession, should investors cut their equity allocation? Or should they move exclusively to larger stocks with good company financial health? The answer is no, not necessarily, because those moves present their own risks.

First, the results above are true on average, but do not happen every single time. Second, factor results depend not just on whether there is a recession, but also on the specific economic and market environment of each instance. What occurs before and after a recession matters, and timing can be crucial.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

Timing Matters

Factor behavior can change dramatically during the run up to a recession and in the subsequent recovery. Unfortunately, we can’t know exactly when recessions will begin or end. Those dates are determined by NBER, often well after the fact and subject to subsequent revision.

We see evidence of these shifts in market behavior in the two rows of Chart 1 that give factor returns before and after recessions. There is no standard way to define these periods, so for consistency and convenience we have arbitrarily chosen 12 months³. Periods before a recession are often marked by euphoria: The Roaring 20’s, the tech bubble of the 1990’s, and the period before the recent Great Financial Crisis are well-known examples. Such an environment is particularly reflected in the strong returns for momentum, as stocks that have done well continue their positive run.

Periods following recessions are often filled with cautious optimism about an improving future and increased risk appetite. This is when the stock market — particularly small and value segments — typically put in their strongest performance, reversing their recession blues. Trying to time the market and factor performance runs the risk of missing out on these very substantial gains. It’s not just when you get out, but also when you get back in that matters.

One recent example is that when the impact of COVID-19 became clear, the market sold off rapidly. It then rebounded in anticipation that the unprecedented monetary and fiscal stimulus will moderate the economic damage. Investors who abandoned stocks in anticipation of a recession may well have captured the downside but missed the subsequent rally we have experienced.

Case Study: Recession of 2001

Diving deeper into our data, the recession of 2001 is an interesting example of the risks of attempting to time recessions and adjust factor exposure. We chose to highlight this period because the strong returns for small and value stocks in the 2001 recession is a cautionary tale for those tempted to take refuge in large growth stocks now. The chart below shows the same factors as before, but isolates the months before, during and after this event only.

Recession of 2001 (March – October, 8 months)

Fama-French Plus Momentum Factors, Average Monthly Returns (%)

Source: Ken French Data Library http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

While small size (SMB) and value (HML) have typically been negative or weak during a recession, both factors had strong returns in the recession of 2001. Large cap and growth stocks had dominated in the tech bubble that grew during the last two years of the 1990s and the first quarter of 2000. Their collapse not only helped usher in the subsequent recession, but also set the stage for historically cheap and beaten down small and value stocks to recover strongly. This outperformance continued after the recession ended. It’s also interesting to note that in the case of value, this reversal actually began before the official start of the recession, which would have provided an important cushion for portfolios that had maintained exposure to value during the tech bubble. That certainly did not happen for value investors before the current recession, but we still believe there is strong evidence that value’s performance will turn around in the future.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

Key Takeaways

If timing recessions is hard and picking which factors would do well even harder still, what can investors do? We at Bridgeway go back to the importance of diversification. It is a crucial concept for all investors, and for Bridgeway it includes not just the way we invest but also how we run our firm and the people we hire. Bridgeway focuses on the three broad investment themes of value, company financial health, and momentum. Those stocks with the strongest factor exposures are often smaller, typically giving our portfolios a tilt to smaller size as well. As seen in the top row of Chart 1, all of these factors have worked over time. They usually don’t all work at the same time, and when one is lagging, others often do well.

Bridgeway therefore does not make dramatic changes to our portfolios because we are in a recession, and we think all investors should avoid the temptation. These moves are potentially costly in terms of trading needed to implement those changes and the substantial risks of not getting that timing call exactly right. Instead, we stick with our process and monitor our portfolios to ensure they maintain their targeted allocations to diversifying exposures. The run up to the current recession saw smaller and deeper value stocks lag by historic amounts. If history is a guide, we expect the fortunes of these factors to reverse as the current market cycle runs its course. We don’t know when that turning point will come, but when it does, we believe that investors who’ve maintained a diversified portfolio with broad factor exposure will be rewarded for their discipline.

¹ Recessions are defined by NBER. About 18% of the full period months and 12% of the months since July 1963 are in recessions. The remaining months are not in recessions.

² For a broader discussion of this issue and factor investing generally, see the book “Your Complete Guide to Factor-Based Investing” by Andrew L. Berkin and Larry E. Swedroe.

³ In two instances recessions were less than 24 months apart, so some months were within 12 months of both the prior and next recessions. To give each month a unique classification, we simply divided the intervening time period in half. The before and after recession periods in those cases had less than 12 months.

DEFINITIONS

Mkt-RF or the equity risk premium is the expected excess return of the market portfolio beyond the risk-free rate. SMB or the size premium measures the additional return investors have historically received by investing in stocks of companies with relatively small market capitalization. HML or the value premium measures the additional return investors have historically received for investing in companies with high book-to-market values. MOM or the momentum premium measures the additional return investors have historically received for investing in companies with positive acceleration in stock price. RMW or the profitability measure is the difference between the returns of firms with robust (high) and weak (low) operating profitability. CMA or the investment factor is the difference between the returns of firms that invest conservatively and firms that invest aggressively.

Diversification neither assures a profit nor guarantees against loss in a declining market.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

The Worst Thing of the Fiscal Year

In our traditional review of the “worst thing” of the fiscal year, there have been few challenges as great as the coronavirus pandemic of 2020. We witnessed the disease’s tragic impact on so many lives, and we offer our condolences to all who have lost loved ones. We also recognize the difficulties faced by families who have lost jobs and businesses, as well as the sacrifices made by health workers fighting to save lives. We do not want to minimize the seriousness of those issues as we reflect on how the pandemic also affected investments.

As fear and uncertainty about the coronavirus spread in February and March, investors had to deal with the additional stress of plunging stock markets. It was an especially difficult environment for value investors, as the dramatic downturn exacerbated an existing performance gap between value and growth. These conditions caused many of our Funds to underperform, because our portfolios typically have stronger value exposure than their primary market benchmarks.

We know how fear surrounding market downturns and aversion to risk can lead investors astray. Unfortunately, the combination of a frightening new pandemic and a worsening market environment provided perfect conditions to heighten people’s perception of risk.

In February, the New York Times published an article called “Coronavirus ‘Hits All the Hot Buttons’ for How We Misjudge Risk,” in which the author dissects the psychological and behavioral aspects of how our brains process threats. It listed several biases and mental shortcuts that put us on high alert (and at risk for making an irrational “fight or flight” decision), including recency bias, novelty, and feeling a lack of control.

We were struck by how the prolonged slump for value investors could hit all those same “hot buttons.” Both the coronavirus and value’s poor performance likely were top of mind for many investors throughout the spring, every time they watched the news or checked their portfolio performance. Both the disease and value’s prolonged slump felt new and different (even if value’s decade-underperformance technically isn’t unprecedented in historical market data). And above all, both situations were completely out of our control.

What we said to investors then — and we repeat now — is that the best response to turbulent times is to stay focused on longstanding investing principles. Remember that many equity investors think in decades, not days, and that it’s impossible to time the market’s ups and downs. We also rely on the evidence that shows how disciplined investors have been rewarded in the past. For example, looking at the worst bear markets since 1926, investors enjoyed the biggest bounce backs in the first year after the market reached bottom — making it especially important not to guess when to get out of the market and then get back in amid a downturn.

The second half of the fiscal year was a difficult period for value investors — on top of a bad decade. We don’t know how long value will continue to underperform, but the evidence tells us that it will turn around. We just can’t predict exactly when. In the meantime, we hope it helps you to know that Bridgeway’s investment and risk professionals have been working together for more than a decade on average. We have first-hand experience managing funds through past health and market crises such as Ebola in 2014, SARS in 2003, the post-tech bubble bear market of 2000-2003, and the recession of 2008-09. That experience, on top of our analysis of decades of data and academic evidence, tells us that investors are rewarded for taking risk and managing their behavior. That is what we must continue doing until the challenges of the coronavirus and value’s underperformance are behind us.

An Open Letter on Relational Investing

By Tammira Philippe, CFA, President and CEO, Bridgeway Capital Management

We see the world differently at Bridgeway. We are trailblazers in relational investing which bridges the gap between investment results and returns for humanity by taking an innovative approach to asset management. It is a statistical, evidence-based investment approach motivated by a passion for servant leadership and global impact which we accomplish by donating 50% of our firm profits to organizations making a positive impact for humanity. For decades now, our clients and partners have chosen us because we value independent thought and relationships, embrace a long-range mindset, and our profits directly benefit humanity.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

We believe principles are the foundation of prosperity. This belief pulses deeply through and beyond Bridgeway, in the work we do with our clients, our colleagues, and our community.

What is prosperity? Prosperity is more than financial success. Prosperity is the success we achieve when we follow principles and strive for our highest aspirations for ourselves and others. It’s time to reclaim prosperity for all.

For clients, Bridgeway helps achieve prosperity through the discipline and conviction we have in investment principles that are enduring. We build portfolios grounded in principles that are well researched, well developed and overall have withstood the test of time. As our Head of Research, Dr. Andrew Berkin, explains in The Complete Guide to Factor-Based Investing, the factors we use in our portfolios must be persistent, pervasive, robust, investable, and intuitive. These are some of the principles of relational investing that drive the portfolios we build for clients.

We draw upon our expertise in relational investing to analyze relationships in financial statements and market prices to understand how these relationships drive investment returns. We then derive a set of principles and rules to govern how we systematically manage portfolios. Principles and research give us conviction in our investment portfolios. Bridgeway is constantly investing in a methodical, intellectually disciplined way to continually confirm the relationships we’ve already tested. When new information is presented, we adapt and adjust. We have set up an environment and culture where questioning is the norm. Our conviction has been tested over the last 25 years, and we are convinced that we can stick to those principles. Moreover, principles govern how we think about decisions big and small at Bridgeway, asking “what is in the best long-term interest of our current clients?” to guide our actions. We commit ourselves to the principles of stewardship in all that we do which we define as having the passion and discipline to care for an asset for the benefit of others. Stewardship applies to the assets we manage for clients, the people at Bridgeway which our mission states are our greatest resource, the communities we serve, and beyond.

As colleagues at Bridgeway, we prosper as professionals by embracing and implementing leadership principles and a special culture that we’ve intentionally built since the first day we opened our doors in 1993. Collectively, we are curious and purposeful servant leaders. We strive for a different kind of commitment and relationship among colleagues, which is why we refer to all long-term staff members as Partners, and this is crucial to our leadership in relational investing. Elevated by our commitment to servant leadership, our principles guide difficult decisions and how our teams work. We ask everyone at Bridgeway to find a place to lead and follow. Leaders ask “how can I serve?” first. When there are team challenges, leaders ask “how am I contributing to the problem I don’t want?”. We apply Robert Greenleaf’s Best Test to our actions asking “Do those served grow as persons? Do they, while being served, become healthier, wiser, freer, more autonomous, more likely themselves to become servants? And, what is the effect on the least privileged in society? Will they benefit or at least not be further deprived?” These are the principles at the foundation of prosperity and relationships with our colleagues at Bridgeway.

In communities, we invest in relationships with experts in the field to ensure that our contributions are making an impact and contributing to prosperity. Shannon Sedgwick Davis, CEO of Bridgeway Foundation, highlights some of our heroes in her book To Stop A Warlord. Moreover, in her article, The Four Strategies I Used To Help Stop A Warlord, Shannon highlights the principles at the foundation of prosperity in our work in communities including: 1) thoroughly dissect the goal or mission statement, 2) rethink the approach, start by listening, 3) ask what you’re willing to risk for what you believe in, and 4) step “out of bounds”. Shannon says, “joining forces with diverse partners allows us to fill gaps and augment capabilities.” Certainly, these principles are at the foundation of prosperity in communities and also with our clients and colleagues.

But it’s important to recognize principles must never become stagnant. They must be tended to, nurtured and present in our everyday lives in order to stay alive and effective. Principles also need to be challenged and tested.

How do we test our principles as an organization? We stay curious. We question and confirm everything we believe to be true, beginning with our investments. Questioning principles is intrinsic to our organization. Diversity of thought is celebrated, and we intentionally create our teams to foster that diversity. We stay open to criticism, and we wholeheartedly listen.

My heart is in this work. Even as a little girl, I felt called to serve at my highest potential. Today, I feel fulfilled waking up every day knowing that I can take my deeply held principles and contribute to prosperity for our clients, our team and the world. I am excited every day to lead a group of individuals positioned to help clients prosper, make a positive impact for humanity and, at the same time, to make our principles so prominent it changes our industry.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED) (continued)

Wealth and other forms of success may be achieved, but prosperity can only be achieved through living and breathing our principles. This is a cornerstone of the relational investing approach at Bridgeway designed to fulfill our extraordinary commitment to clients, colleagues, and community. We are not at the end. We’re at the beginning. We are creating a new world of prosperity. Join us.

Transformative Change: Shifting from Anger to Action

by Tamla Wilson, Partner, Director of Institutional Relations

Imagine that a little Black girl in the early 1970s lived in a world where, unbeknownst to her, some people are so disturbed by her living or simply breathing that they would seek to physically harm her. Imagine her teacher making her clean up behind the White children in her class. Imagine her not being allowed to participate at recess simply because of the color of her skin. Imagine what that treatment, if not corrected, would do to her psyche, and to the White children who began to see her mistreatment as normal and deserved.

Unfortunately, I don’t have to imagine. It happened to me.

Now imagine all the other Black kids who have similar stories, but who weren’t removed as I was. Imagine that it just kept happening until they began to believe that they were less than. Imagine all the White kids who participated in this marginalization — at first unwittingly, but eventually, actively.

Next, imagine being on the ground for 8 minutes and 46 seconds with someone’s knee on your neck. But wait – you don’t have to imagine that. You have likely seen the video. In a world where speaking too loudly about my situation may offend others, but speaking too softly may allow those same people to ignore my voice and continue to marginalize me, this video spoke volumes. This video woke up a nation and captured a world.

The horrific, tragic murder of George Floyd occurred because of a broken system that devalues Black lives and that allows abuse of power by those in uniform and elected officials. Yet his murder just may change the world.

When I watched the video, feelings of utter disbelief gave way to anger. Anger not just for George Floyd, but for the countless other Black men and women who have senselessly lost their lives. Anger for the little girl experiencing discrimination by a person who has been entrusted with her care. Anger at years of systemic racism, marginalization and subjugation. Anger at being criminalized and then dehumanized.

I am a Christian — and a minister at that. In my faith tradition, scripture tells me to be angry, but sin not. So instead of rushing past my emotions, instead of compartmentalizing the years of experiencing racism and witnessing the mistreatment of other people of color, whether extreme or the tiny little cuts people of color endure every day, I sat with my anger. I explored it and I embraced it.

My anger is pushing me from frustration to fight. It is moving me to action. It will not let me be silent. It is saying to me, in the words of Angela Davis, “In a racist society it is not enough to be non-racist, we must be anti-racist.” It is making me speak truth to power. It is making me challenge myself and those I know to have real dialogue, rather than shying away for fear that my pain will make them uncomfortable.

My anger is pushing me to realize that it is actually rage. Anger is more temporary, but this feeling that I sit with day and night is by no means temporary or fleeting. It reaches back to the legacy of slavery and Jim Crow America. It rehearses the litany of names that have been murdered senselessly and unjustly. It cries out against a world that might treat my two sons in the same way that George Floyd and Trayvon Martin were treated simply because of the color of their skin. It threatens to bubble up at any moment. But then my rage is met by my faith, and I move from rage to reverence and rational behavior.

So what does this shift from rage to reverent, rational behavior look like? It looks like having uncomfortable conversations. Several White people have asked me what they can do during this time. Instead of trying to be politically correct and validate how they might be feeling, as I might have in the past, my advice to them is to LISTEN. Engage with Black people, but do not negate our concerns. We have spent our lives listening to how Whites feel and think, while our concerns have been more like a whisper. Our voices are now raised to a shout. Don’t miss this opportunity to hear us because you feel uncomfortable.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (UNAUDITED)  (continued)

This shift also involves actively engaging in strategic planning with organizations that stand for social justice and racial equality. It looks like challenging my White friends to be an anti-racist voice in the rooms that I do not have access to, and with the people who will not hear this message coming from me. It looks like challenging other people of color to get engaged and speak their truth. It looks like saying to myself and others, please do not miss this opportunity, this moment that seems to be leading to a movement. Please be a partner with those shining a light to stamp out the institutionalized racism that stems from America’s original sin.

June 30, 2020

Dear Fellow Aggressive Investors 1 Fund Shareholder,

For the quarter ended June 30, 2020, our Fund returned +26.43%, outperforming our primary market benchmark, the S&P 500 Index (+20.54%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+25.77%), and the Russell 2000 Index (+25.42%). It was a good quarter.

For the fiscal year, our Fund returned -7.53%, underperforming our primary market benchmark, the S&P 500 Index (+7.51%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+8.57%), and the Russell 2000 Index (-6.63%).

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

Standardized Returns as of June 30, 2020

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

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

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

Growth of a $10,000 Investment

from Inception August 5, 1994 to June 30, 2020

Detailed Explanation of Quarterly Performance

The Fund’s company financial health, price momentum and value metrics models all outperformed the benchmark, contributing to positive relative returns. The Fund’s major design features also improved relative performance during the quarter. An overweighting in the benchmark’s smaller stocks boosted relative returns, while a tilt toward deeper value stocks helped modestly during the quarter. By design, the Fund also tends to invest in higher beta and higher volatility stocks. This positioning further contributed to relative results as the broader equity markets rebounded during the quarter.

From a sector perspective, the Fund’s allocation effect was positive, with underweightings in the Utilities, Consumer Staples, and Health Care sectors contributing the most to relative results. The Fund’s stock selection effect was also positive, primarily driven by holdings in the Consumer Discretionary, Communication Services, and Financials sectors.

Detailed Explanation of Fiscal Year Performance

The Fund’s strong performance in the fourth fiscal quarter was not enough to offset substantial losses from earlier in year, particularly those caused by the coronavirus-related selloff in the quarter ended March 31, 2020. The Fund’s value metrics and company financial health models substantially underperformed the benchmark during the 12-month period and detracted from relative results. Modest outperformance by the Fund’s price momentum model category did not offset this negative impact. The Fund’s investments in smaller stocks detracted significantly from relative results, as larger stocks outperformed smaller ones during the fiscal year. Likewise, the Fund’s overweighting in deeper value stocks and its investments in higher volatility stocks detracted from relative performance.

From a sector perspective, the Fund’s allocation effect was negative, with overweightings in the Industrials and Financials sectors detracting the most from relative results. The Fund’s stock selection effect was significantly negative, largely driven by poor performance from holdings in the Information Technology, Communication Services, and Health Care sectors.

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

Top Ten Holdings as of June 30, 2020

Industry Sector Representation as of June 30, 2020

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. In addition, turbulence and reduced liquidity in the markets may negatively affect many issuers, which could adversely affect the Fund.

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

Conclusion

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

Sincerely,

The Investment Management Team

Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2020

Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2020

Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2020

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

June 30, 2020

Dear Fellow Ultra-Small Company Fund Shareholder,

For the quarter ended June 30, 2020, our Fund returned +39. 98%, underperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+42.07%). The Fund outperformed our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+32.50%), as well as the Russell 2000 Index (+25.42%) and the Russell Microcap Index (+30.54%). Results in this quarter were good on an absolute basis, but mixed on a relative basis.

For the fiscal year, our Fund returned -7.63%, underperforming the CRSP Cap-Based Portfolio 10 Index (+1.92%). It also underperformed the Lipper Micro-Cap Stock Funds Index (-6.90%), the Russell 2000 Index (-6.63%), and the Russell Microcap Index (-4.77%).

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

Standardized Returns as of June 30, 2020

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

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 526 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value weighted index that measures performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market (with dividends reinvested). The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

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

Growth of a $10,000 Investment

from Inception August 5, 1994 to June 30, 2020

Detailed Explanation of Quarterly Performance

The Fund’s price momentum and value metrics models lagged the benchmark during the quarter and detracted from relative performance. However, the Fund’s company financial health models outperformed the benchmark, partially offsetting some of this negative impact. The Fund’s tilt toward deeper value stocks across multiple valuation metrics also hurt relative returns.

The Fund held approximately 23% of its assets, on average, in stocks outside of CRSP 10, including stocks that had had appreciated into CRSP 9 and CRSP 8. The Fund’s non-CRSP 10 holdings underperformed the benchmark, detracting from relative returns.

From a sector perspective, the Fund’s allocation effect was negative, due largely to an underweighting in the Energy sector and an overweighting in the Consumer Staples sector. The Fund’s stock selection effect was also negative, with holdings in the Health Care, Consumer Discretionary, Industrials, and Information Technology sectors detracting the most from relative results.

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

The table below presents index performance numbers for stocks in the different deciles during various time periods. The table is intended to provide a frame of reference for size.

Detailed Explanation of Fiscal Year Performance

The Fund’s value metrics models lagged the benchmark during the 12-month period and detracted from relative performance. However, the Fund’s company financial health and price momentum models outperformed the benchmark, contributing to relative returns. The Fund’s tilt toward deeper value stocks across multiple valuation metrics hurt relative performance.

The Fund held approximately 15% of its assets, on average, in stocks outside of CRSP 10, including stocks that had appreciated into CRSP 9 and CRSP 8. The Fund’s non-CRSP 10 holdings underperformed the benchmark, detracting from relative returns.

From a sector perspective, the Fund’s allocation effect was positive, largely due to an underweighting in the Energy sector. However, the Fund’s stock selection effect was negative, with holdings in the Financials, Health Care, Information Technology, and Consumer Discretionary sectors detracting the most from relative results.

Top Ten Holdings as of June 30, 2020

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

Industry Sector Representation as of June 30, 2020

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2020, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty. In addition, turbulence and reduced liquidity in the markets may negatively affect many issuers, which could adversely affect the Fund.

Conclusion

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

Sincerely,

The Investment Management Team

Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2020