performance without compromise

March 2008 Quarterly Report Table of Contents Bridgeway Standardized Funds Returns for Calendar Year

............2

..................2

Letter from the Investment Team Market Review

..........3

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4-7

Manager’s Commentary

. . . . . . . . . . . . . . . . . 8-29

Aggressive Investors 1

. . . . . . . . . . . . . . . . . 8-9

Aggressive Investors 2 . . . . . . . . . . . . . . 10-11 Ultra-Small Company . . . . . . . . . . . . . . . . 12-13 Ultra-Small Company Market . . . . . . . 14-15 Micro-Cap Limited . . . . . . . . . . . . . . . . . . . 16-17 Small-Cap Growth . . . . . . . . . . . . . . . . . . . 18-19 Small-Cap Value . . . . . . . . . . . . . . . . . . . . . . 20-21 Large-Cap Growth . . . . . . . . . . . . . . . . . . . 22-23 Large-Cap Value . . . . . . . . . . . . . . . . . . . . . 24-25 Blue Chip 35 Index . . . . . . . . . . . . . . . . . . 26-27 Balanced . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28-29

PERFORMANCE WITHOUT COMPROMISE

BRIDGEWAY FUNDS STANDARDIZED RETURNS as of March 31, 2008

PERFORMANCE (%) Annualized

March Qtr. 1/1/08 — 3/31/08

1 Year

5 Years

Aggressive Investors 1

-13.18

4.06

18.72

Aggressive Investors 2

-15.01

5.44

20.29

Ultra-Small Company

-16.30

-20.02

18.15

Ultra-Small Co Market

-12.32

-17.69

15.60

Micro-Cap Limited

-15.04

-17.03

12.30

Small-Cap Growth

-11.41

Small-Cap Value

10 Years

Inception to Date

Inception Date

Gross Expense Ratio1

15.90

19.14

8/5/1994

1.69

11.26

10/31/2001

1.19

13.86

18.60

8/5/1994

1.06

11.54

12.44

7/31/97

0.65

12.92

6/30/1998

0.79

-9.08

7.05

10/31/2003

0.88

-10.59

-7.04

10.35

10/31/2003

0.84

Large-Cap Growth

-11.54

0.88

6.74

10/31/2003

0.73

Large-Cap Value

-10.45

-8.50

10.12

10/31/2003

0.74

Blue Chip 35 Index

-8.29

-1.13

9.34

5.33

7/31/97

0.301

Balanced

-6.14

-1.23

7.74

4.71

6/30/2001

0.93

Fund

1

4.05

Some of the Fund’s fees were waived or expenses reimbursed otherwise returns would have been lower. The Adviser has contractually agreed to waive fees and/or reimburse expenses such that the total operating expenses of the Fund do not exceed 0.15%. Any material change to this Fund policy would require a vote by shareholders.

BRIDGEWAY FUNDS RETURNS FOR CALENDAR YEARS 1995 THROUGH 2007* PERFORMANCE (%) Fund

1995

1996

1997

1998

1999

Aggressive Investors 1

27.10

32.20

18.27

19.28 120.62

2000

2001

2002

2003

2004

2005

2006

2007

13.58 -11.20 -18.01

53.97

12.21

14.93

7.11

25.80

-19.02

44.01

16.23

18.59

5.43

32.19

Aggressive Investors 2 37.99 -13.11

40.41

4.75

34.00

3.98

88.57

23.33

2.99

21.55

-2.77

-1.81

31.49

0.67

23.98

4.90

79.43

20.12

4.08

11.48

-5.40

49.55

6.02

30.20 -16.61

66.97

9.46

22.55

-2.34

-4.97

Small-Cap Growth

11.59

18.24

5.31

6.87

Small-Cap Value

17.33

18.92

12.77

6.93

6.77

9.33

4.99

19.01

15.15

11.62

18.52

4.49

Ultra-Small Company

39.84

Ultra-Small Co Market

29.74

Micro-Cap Limited

Large-Cap Growth Large-Cap Value Blue Chip 35 Index Balanced

39.11

30.34 -15.12

-9.06 -18.02

28.87

4.79

0.05

15.42

6.07

-3.51

17.82

7.61

6.96

6.65

6.58

Performance figures quoted represent past performance and is 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. Total return figures include the reimbursement of dividends and capital gains. This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 1-800-661-3550 or visit the Funds’ website www.bridgeway.com. Funds are available for purchase by residents of the United States, Puerto Rico, U.S. Virgin Islands and Guam only. Foreside Fund Services, LLC, Distributor. * Numbers with green highlight indicate periods when the Fund outperformed its primary benchmark.

Bridgeway March 2008 Quarterly Report

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March 31, 2008

Dear Fellow Shareholders, In an environment with an increasing number of recession characteristics, and on the basis of absolute returns, the March quarter was the worst quarter overall since the bear market of 2002. In a turnaround from the mostly favorable trends of 2007, only two of eleven funds (Blue Chip 35 Index and Small Cap Growth) ended the quarter with performance above their market benchmarks. While we have often provided some “cushion” to market declines with a majority of our funds on an annual basis, our fall can be steeper in a monthly or quarterly downturn—and that was definitely the case with most of our Funds this quarter. It remains to be seen whether we make up the difference in the three remaining quarters of 2008, but we’ll be following the quarterly data closely and keeping you up to date. In good times or bad, however, we encourage shareholders to take a long term view, just as we do on Bridgeway’s investment management team. You can see the quarterly and long term performance of all of our funds on the adjacent page and more details on Fund performance starting on page 8. Page 4 presents our view of the market “backdrop” or details of the market environment for the March quarter. Conflicts of interest—whether avoiding them altogether or managing them well—are a big deal to us at Bridgeway, since integrity is our first of four business values. Page 5 highlights a new conflict of interest to hit our radar screen recently. Returns are only half of the investment management picture at Bridgeway. The other half is risk, which we discuss in some detail on page 5. Sometimes it’s more helpful (and fun) to take a look at our Funds at the level of an individual stock. Page 7 highlights one such company that we find interesting. As always, we appreciate your feedback. We take your comments very seriously and regularly discuss them internally to help in managing our Funds and this company. One shareholder recently pointed out that part of our online process wasn’t working quite right. Please keep your ideas coming—both favorable and critical. They provide us with a vital tool helping us serve you better. Sincerely,

John Montgomery

Dick Cancelmo

Elena Khoziaeva

Michael Whipple Rasool Shaik

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MARKET REVIEW The short Version: On the coattails of the worst credit crisis in a generation, the stock market declined by the largest quarterly amount in five years. The tamest part of the domestic stock market was smaller companies on the “value” end (as opposed to companies on the “growth end”) of the spectrum. Although most broader market indexes did not reach the definition of a correction—a 20% decline—the S&P 500 Index did fall a very significant 18.5% from its peak last October to its recent low in March. The first quarter of 2008 resulted in the worst quarterly performance in over five years and “erased” the substantial climb of the previous year. Financial markets declined pretty much across the board, as the U.S. economy experienced the most serious credit crisis since the early 1980’s. What started out as a debacle in subprime lending (loans to homeowners and other borrowers with higher interest rates, less “money down,” and higher default risk) ended up spreading to other parts of the credit and financial markets. Bear Stearns was the highest profile casualty; a liquidity crisis (the firm could not meet short term financial commitments) forced the company’s sale to J. P. Morgan Chase. The transaction was backed up by guarantees of the Federal Reserve Board in an unusual move by the government stepping in to keep order in the financial markets. In another measure reflecting the potential severity of the situation, the Federal Reserve also slashed the federal funds rate (the rate at which a narrow group of institutions may borrow from the Fed) from 4.25% to 2.25% in an effort to restore confidence in the system. Sadly, many of the people suffering the most are the homeowners who borrowed without the knowledge or understanding of the true loan terms and ended up losing their homes in the process. Others have lost their jobs. Undoubtedly, the federal government will step in with additional regulations. Much of this crisis could have been avoided with better business practices on the “front lines,” those designing the products that failed, those selling the products, and especially those in the board rooms. Lessons learned could apply to any industry or business. In the environment described above, the stocks that declined the least were more “value driven,” that is, those that are cheap based on certain economic measures of worth. Surprisingly, some investors also sold some of their larger stocks first, leaving the “small cap value” part of the style box as the safest corner of the stock market in the March quarter. This reaction reflected the environment of 2000 to 2006 and a reversal of 2007, although it may not continue beyond one quarter. Below are the style box stock returns for the March quarter (data from Morningstar):

VALUE

GROWTH

LARGE

-10.0%

-7.1%

-11.5%

-8.7%

-7.7%

12.9%

-5.2%

-6.9%

-14.4%

SMALL

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CONFLICTS OF INTEREST The Short Version: A industry conflict of interest hit my radar screen recently in a new way. Since quantitative models drive our stock selection process, it’s extremely unlikely to be a problem at Bridgeway. From time to time we highlight various conflicts of interest in our industry and how we seek to either avoid or manage them at Bridgeway. The most obvious conflict of interest “gorilla” in the mutual fund industry is the management fee. One way we manage this conflict is by devoting significant space in each annual report to the process our independent board members use to determine whether our negotiated fees are fair and reasonable. (You can expect such a section in our June letter.) We also use performance based fees in some of our Funds as a way to better align management and shareholder interests. And in general, we take a pretty conservative stand on other conflicts (e.g., we have no affiliated brokerage firm or service firm to reap additional fees) and occasionally we take an extreme stand (such as with soft dollars). A new potential conflict of interest hit my radar screen recently: an investment adviser who provides advisory services to a company’s retirement plan (e.g., a 401(k) plan) might also hold the company among the Fund’s holdings. The adviser might feel pressured to purchase or hold this company in its funds in order to get or keep the lucrative advisory services. Most of Bridgeway’s 401(k) shareholders come through 401(k) “platforms” managed by an intermediary, so we would have no direct sales contacts with the company. However, even apart from such safeguards or “walls,” a huge advantage of our modeling process is that we rely on the models—not relationships—and thus would feel no pressure to include a company’s stock among our holdings. Even if such a possibility came up in a conversation with our business development folks, our response, “we’re a quant shop,” lets them know we have no opportunity to trade business for business in this way. One more place where we feel it’s an advantage to “be quant.”

A VIEW OF RISKS AND BRIDGEWAY EFFORTS TO MANAGE THEM The Short Version: Return relative to market benchmarks is half of the investment task at hand at Bridgeway. The other half is managing risks, which we take very seriously. Our recent performance in the March quarter (generally unfavorable) and year (generally favorable) is perhaps not atypical. Our actively managed Funds tend to fall farther in a downturn, but come back faster. This is a result of the design of our Funds and stock picking models. Let’s take a closer look:

March Qtr 1/1/08 to 3/31/08

1 Year

Aggressive Investors 1

-13.18%

4.06%

Aggressive Investors 2

-15.01%

5.44%

Ultra-Small Company

-16.30%

-20.02%

Ultra-Small Co Market

-12.32%

-17.69%

Micro-Cap Limited

-15.04%

-17.03%

Small-Cap Growth

-11.41%

-9.08%

Small-Cap Value

-10.59%

-7.04%

Large-Cap Growth

-11.54%

0.88%

Large-Cap Value

Fund

* Numbers with green highlight indicate periods when the Fund outperformed its primary benchmark.

-10.45%

-8.50%

Blue Chip 35 Index

-8.29%

-1.13%

Balanced

-6.14%

-1.23%

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Overall, our most actively managed, high turnover funds declined significantly more than the market in the shorter timeframe of the March quarter. Not infrequently, we have performed particularly well before or after these periods. For example, 2007 was one of our better periods for Aggressive Investors 1 and 2. But it followed a poor year (2006) and a poor quarter (March 2008). As a whole, it was a favorable period. There are time periods when our underperformance can be more extended, such as 1997 and 1998, our only back-to-back years when Aggressive Investors 1 lagged the market. Also, Micro-Cap Limited has underperformed its benchmark in the last three- and five-year period. (Of course, since inception we have outperformed each of our benchmarks, a record few fund companies can claim). Bridgeway does several things to manage risk relative to the market for our actively managed Funds (i.e., all the Funds above, less Blue Chip 35 Index and Ultra-Small Company Market), here are some examples: a. We use multiple stock picking models, not all of which correlate strongly with each other. This means it is the design of the Funds that when one model is doing poorly, another will be doing relatively well, serving to smooth the returns of a given Fund over time. Historically, this has worked well over longer time periods. b. We avoid or manage “company specific risk,” or the risk that a single company will have a particularly adverse effect on overall Fund returns. For example, in our “Four Corners” Funds (Small-Cap Growth, Small-Cap Value, Large-Cap Growth and Large-Cap Value), an average position is 1% of net assets, but a more concentrated position is typically only 2.5% of net assets at the time of purchase. Aggressive Investors 1 and 2 and Micro-Cap Limited are exceptions in which we frequently purchase 4-5% of net assets in a single position, and could buy more if the risk/return (statistical) characteristics of that stock are favorable enough. c. We monitor “sector risk,” or the risk that the different models will all choose companies in the same industry or sector. While we are willing to let our Funds become significantly more concentrated in an industry or sector than the broader market, there is a limit. It tends to come into play about every other year for one or another of our Funds. For example, in late 1999, we “put the brakes” on adding more technology companies in Aggressive Investors 1 and looked for some early opportunities to exit some that we held. Our models had identified a large number of tech stocks in early 1999, and they had done so well that they represented too big a piece of the pie by late 1999. This risk management “overlay” probably doesn’t add to our returns over the long haul, but helps to keep our risk in check. We think of risk as the other half of the “return/performance picture” at Bridgeway. d. We monitor various other measures of risk. We pay particular attention to downside market risk, or the risk that when the market declines, our Funds will decline further. This has been an area of research in our Aggressive Investors Funds, where some risk metrics over shorter time periods (months and quarter) have increased in the last few years. e. Quarterly, we also examine “attribution analysis” reports, which help to clarify what factors best explain our performance relative to a market benchmark. Usually this analysis points out what we would expect: that individual stock picks account for the majority of our over- or underperformance, which would be typical for a “bottom up” stock picking shop like Bridgeway. (“Bottom up” means we’re using models that seek to buy one good company at a time; we have no overall process to identify the best industries or market sectors.) It also explains why we focus on our poorest and best performing stocks in our semi-annual (December) and annual (June) reports. f. Taking a longer term perspective on risk.

Even though we monitor risks extensively, we feel the single biggest opportunity to manage risk is at the stage of model design and Fund design. Our process for designing a model focuses particularly on what happens when things look ugly (in the market generally, and also in the part of the market on which the model focuses.) When we put models together into a Fund, we likewise seek to manage risks on the downside, striving not to add to the risks inherent in the asset in which a given Fund invests. Yet, even with this approach, there are times when multiple models can be out of favor and quarterly relative returns are disappointing… this is one of those quarters.

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STORY STOCK The Short Version: Ultra-small stocks are frequently fascinating. A recent example is Argan, Inc., a company in the alternative (and some traditional) energy business. Some of the things I love about ultra-small stocks are that: a) their businesses are frequently easier to understand, b) the stock price more frequently goes in unpredictable directions, c) occasionally, there are remarkable statistics buried in their financial statements, and d) corporate communications more frequently sound like they were written by someone involved in the business rather than a professional writer who’s trying to keep Wall Street at bay. The story stock below hits on three of these cylinders. Argan, Inc. is an ultra-small company primarily involved in the design and construction of alternative energy plants. These include biodiesel, ethanol, and other renewable energy sources. Altogether, this is a very interesting industry. Alternative energy companies were generally hard hit in the March quarter. Indeed, Argan reported a surprising loss of five cents per share in the most recent quarter, versus income of four cents per share a year ago. A very poor market environment plus very poor financial results—usually a formula for a major stock decline. However, there are no analysts following the stock, so there were no published estimates against which to compare the actual quarterly results. Since there are no analysts, there were no analyst downgrades to start a deluge of selling. I could find no posts about the company on web site chats. All quiet on the western front. (Actually, the company’s headquarters is on the east coast.) The stock market’s reaction to the poor report? The volume of trading on the day of the report was about four times normal; someone was paying attention. But the stock price hardly budged. As a matter of fact, during the March quarter when the broader market fell 9.4% and the WilderHill Clean Energy Index fell 29%, Argan actually rose 2.8%. I love the potential diversification of these tiny stocks. (Portfolio manager’s note: diversification can go both ways; our Ultra-Small Company Fund’s performance, while stellar over the last decade, was down 16.30% in the March quarter, much more than most market indexes.) Looking under the hood, perhaps one reason for the stock’s appreciation is the amount of operating cash flow, or actual cash generated by the firm’s operations. This measure is important, because it is sometimes easier to manipulate an accounting measure of earnings than it is actual cash in the door. How much cash was it? For the year ending January 31, it equals 59% of the stock price. (In other words, at this rate, the company would generate enough actual cash to equal the entire market valuation of the firm in less than a two year period.) Generally, a company’s cash flow might equal less than 10% of its stock price. So, either the stock is very, very cheap... or this rate of cash generation is unlikely to keep up in the future. I suspect the answer may be somewhere in between, but we won’t know for sure until it is borne out in the future. In summary, a company that’s pretty easy to understand, with a stock price that doesn’t always go in the same direction as the broader market, and some fascinating statistics under the hood. The fourth item? Alas, the company lists a professional investment relations firm as one of the primary contacts. Oh, well—you can probably still get the CFO on the phone if you try.

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MANAGER’S COMMENTARY AGGRESSIVE INVESTORS 1 FUND

Dear Fellow Aggressive Investors 1 Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 13.18% in the March 2008 quarter, compared to declines of 9.45% for the S&P 500 Index (our primary market benchmark) and 9.90% for the Russell 2000 Index of small companies and 9.35% for the Lipper Capital Appreciation Funds Index. It was a poor quarter on both an absolute and a relative market basis. On the strength of the last three quarters, however, the Fund still leads its primary market benchmark over the last year (+4.06% versus -5.08% for the S&P 500). The table below presents the March quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

10 Year 4/1/98 to 3/31/08

Life-to-Date 8/5/94 to 3/31/08

Aggressive Investors 1 Fund

-13.18%

4.06%

18.72%

15.90%

19.14%

S&P 500 Index (large companies)

-9.45%

-5.08%

11.32%

3.50%

10.01%

Lipper Capital Appreciation Funds Index

-9.35%

2.32%

13.42%

4.24%

8.88%

Russell 2000 Index (small companies)

-9.90%

-13.00%

14.90%

4.96%

9.32%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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, while the Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in this category, comprised 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.

According to data from Lipper, Inc. as of March 31, 2008, Aggressive Investors 1 Fund ranked 74th of 359 capital appreciation funds for the twelve-month period ended March 31, 2008, 22nd of 249 over the last five years, 3rd of 128 over the last ten years, and 1st of 60 since inception in August, 1994. These long-term numbers give a snapshot of our long-term success. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here. Noteworthy on the performance graph on the left hand side is the fact that that 2006 (our first year of underperforming the S&P 500 since 1998) is sandwiched between two excellent years in which we beat our benchmarks. We’ll see if the “sandwich phenomenon” is repeated around the recent poor performance of the March quarter. (Poorer periods of relative performance did occur back to back in this Fund in 1997-98.)

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Aggresive Investors 1 Fund Manager Commentary continued...

Explanation of Performance Our poorest performing stocks were in the electronics, alternative energy, and pharmaceutical industries. At the other end of the spectrum, our better performers were from the transportation, recreation, and manufacturing industries. More “telling,” however is the fact that our Fund was positioned more in the large company and growth-leaning part of the style box, whereas the stocks experiencing the smallest declines were small companies with a more value-leaning orientation. Or conversely, we owned more of the stocks in the part of the market that were hardest hit. Referring back to the graph on page 4, we’re definitely not in the “sweet spot” of the market. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those of 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, March 31, 2008, 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. Conclusion Thank you for your continued investment in Aggressive Investors 1 Fund. Our investment management team works diligently with great commitment to serve the best interests of the shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

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MANAGER’S COMMENTARY AGGRESSIVE INVESTORS 2 FUND

Dear Fellow Aggressive Investors 2 Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 15.01% in the March 2008 quarter, compared to declines of 9.45% for the S&P 500 Index (our primary market benchmark), 9.90% for the Russell 2000 Index of small companies and 9.35% for the Lipper Capital Appreciation Funds Index.. It was a poor quarter on both an absolute and a relative market basis. On the strength of the last three quarters, however, the Fund still leads its primary market benchmark over the last year (+5.44% versus -5.08% for the S&P 500). The table below presents the March quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

Life-to-Date 8/5/94 to 3/31/08

Aggressive Investors 2 Fund

-15.01%

5.44%

20.29%

11.26%

S&P 500 Index (large companies)

-9.45%

-5.08%

11.32%

5.39%

Lipper Capital Appreciation Funds Index

-9.35%

2.32%

13.42%

6.97%

Russell 2000 Index (small companies)

-9.90%

-13.00%

14.90%

9.01%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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, while the Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in this category, comprised 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. According to data from Lipper, Inc. as of March 31, 2008, Aggressive Investors 2 Fund ranked 58th of 359 capital appreciation funds for the twelve-month period ended March 31, 2008, 10th of 249 over the last five years, and 21st of 221 since inception in October, 2001. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here. Noteworthy on the performance graph on the left hand side is the fact that that 2006 (our first year of underperforming the S&P 500) is sandwiched between two excellent years in which we beat our benchmarks. We’ll see if the “sandwich phenomenon” is repeated around the recent poor performance of the March quarter.

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Aggresive Investors 2 Fund Manager Commentary continued...

Explanation of Performance Our poorest performing stocks were in the electronics, alternative energy, and pharmaceutical industries. At the other end of the spectrum, our better performers were from the transportation, recreation, and manufacturing industries. More “telling” however, is the fact that our Fund was positioned more in the large company and growth-leaning part of the style box, whereas the stocks experiencing the smallest declines were small companies with a more value-leaning orientation. As a matter of fact, according to Morningstar data, we currently hold no small-cap value or mid-cap value companies in the Fund. Or conversely, we owned more of the stocks in the part of the market that were hardest hit. Referring back to the graph on page 4, we’re definitely not in the “sweet spot” of the market. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those of 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, March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not 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.

Conclusion Thank you for your continued investment in Aggressive Investors 2 Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY ULTRA-SMALL COMPANY FUND

Dear Fellow Ultra-Small Company Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 16.30% in the March 2008 quarter, compared to declines of 10.06% for the CRSP 10 Index (our primary market benchmark), 9.90% for the Russell 2000 Index of small companies, and 9.26% for the Lipper Small-Cap Stock Funds Index (our peer benchmark). It was a poor quarter on both an absolute and a relative market basis. The table below presents the March quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC. The last year has been a particularly poor one for ultra-small companies, and although we still lead our primary benchmark for the twelve-month period, a 20%+ decline gets our attention.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

10 Year 4/1/98 to 3/31/08

Life-to-Date 8/5/94 to 3/31/08

Ultra-Small Company Fund

-16.30%

-20.02%

18.15%

13.86%

18.60%

CRSP Cap-Based Portfolio 10 Index

-10.06%

-20.19%

18.55%

10.23%

13.30%

Lipper Small-Cap Stock Funds Index

-9.26%

-8.78%

15.09%

4.99%

9.25%

Russell 2000 Index (small companies)

-9.90%

-13.00%

14.90%

4.96%

9.32%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Lipper Small-Cap Stock Funds Index is an index of small-company funds compiled by Lipper, Inc. The Russell 2000 Index is an unmanaged, market value weighted index, which measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,780 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of March 31, 2008, the Ultra-Small Company Fund ranked 66th of 96 micro-cap funds for the last twelve months ended March 31, 2008, 5th of 65 such funds for the last five years, 3rd of 34 funds for ten years and 1st of 9 funds since inception in August, 1994. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here. The ranking of our Fund versus small cap funds for each of the last ten calendar years shows how out of step ultra-small stocks can be compared to the market (and even other small company funds). Over the long haul this has been to our advantage, but it can certainly go the other way, as it did in 1998, 2006, and in the March quarter.

Bridgeway March 2008 Quarterly Report

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Ultra-Small Company Fund Manager Commentary continued...

Explanation of Performance Beyond the damage done by the overall market decline, our Fund’s poorest performing stocks were broadly represented across sectors, industries and stock picking models. Industrial stocks took the biggest bite from quarterly returns—about five percentage points—and were represented by three of our ten worst performers. There was a significant retreat among a majority of ultra-small stocks chosen by our models in the quarter. The last time the asset class suffered this steep decline was in the ultrasmall bear market of 1998. This one definitely hits my radar screen and does qualify as a bear market; however, it’s not yet as severe as what we experienced a decade ago. In the course of that period, the insights we gave about holding through ultra-small downturns (it’s generally best to plan to hold on since they can bounce back at some point unusually quickly) still hold as true today. Of course, that assumes you are invested for the long haul to begin with. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons such as narrower markets (fewer investors), limited financial resources and greater trading difficulty. Conclusion Ultra-Small Company Fund remains closed to investors. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY ULTRA-SMALL COMPANY MARKET FUND

Dear Fellow Ultra-Small Company Market Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 12.32% in the March 2008 quarter, compared to declines of 10.06% for the CRSP 10 Index (our primary market benchmark), 9.90% for the Russell 2000 Index of small companies, and 9.26% for the Lipper Small-Cap Stock Funds Index (our peer benchmark). It was a poor quarter on both an absolute and a relative market basis. The table below presents the March quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

10 Year 4/1/98 to 3/31/08

Life-to-Date 8/5/94 to 3/31/08

Ultra-Small Company Market Fund

-12.32%

-17.69%

15.60%

11.54%

12.44%

CRSP Cap-Based Portfolio 10 Index

-10.06%

-20.19%

18.55%

10.23%

11.45%

Lipper Small-Cap Stock Funds Index

-9.26%

-8.78%

15.09%

4.99%

6.49%

Russell 2000 Index

-9.90%

-13.00%

14.90%

4.96%

6.18%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Lipper Small-Cap Stock Funds Index is an index of small-company funds compiled by Lipper, Inc. The Russell 2000 Index is an unmanaged, market value weighted index, which measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 1,780 of the smallest publicly traded U.S. stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc as of March 31, 2008, Ultra-Small Company Market Fund ranked 47th of 96 micro-cap funds for the last twelve months ended March 31, 2008, 22nd of 65 over the last five years, 7th of 34 over the last 10 years and 7th of 30 since inception in July 1997. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here. The ranking of our Fund versus small cap funds for each of the last ten calendar years shows how out of step ultra-small stocks can be compared to the market (and even other small company funds). Over the long haul this has been to our advantage, but it can certainly go the other way, as it did in 1998 (on an absolute return basis), and also recently.

Bridgeway March 2008 Quarterly Report

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Ultra-Small Company Market Fund Manager Commentary continued...

Explanation of Performance Our second largest sector concentration in the March quarter was financial stocks—21% of our total net assets. If that was the only fact you knew about our Fund, plus the news of the credit crisis, you would reasonably assume this was a big part of our quarterly decline. In fact, however, most of the carnage in the financial sector was among the large, sophisticated firms dealing in complex securities. The average financial stock in our Fund (mostly banks and savings and loans) declined about 6%, compared to the average financial company in the S&P 500 Index of large companies, which declined more than twice that amount—14%. Thus, financial stocks only clipped about 1% of return from our March quarter record. If finance wasn’t to blame, what was? Actually, the decline was broad based; no sector contributed a positive return to our Fund. The ones hardest hit were consumer non-cyclicals (e.g. – healthcare, food, and services) and communications (e.g. – telecommunications and internet). Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. The Fund is subject to very high, above market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons such as narrower markets (fewer investors), limited financial resources and greater trading difficulty. Conclusion Thank you for your continued investment in Ultra-Small Company Market Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY MICRO-CAP LIMITED FUND

Dear Fellow Micro-Cap Limited Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 15.04% in the March 2008 quarter compared to declines of 7.03% for the CRSP 9 Index (our primary market benchmark), 9.90% for the Russell 2000 Index of small companies, and 9.26% for the Lipper Small-Cap Stock Funds Index (our peer benchmark). It was a poor quarter on both an absolute and a relative market basis. The table below presents the March quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC. In spite of beating our primary market benchmark last calendar year, our poor March quarter was enough to put us behind each of our benchmarks over the trailing twelve month and five year periods.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

Life-to-Date 6/30/98 to 3/31/08

Micro-Cap Limited Fund

-15.04%

-17.03%

12.30%

12.92%

CRSP Cap-Based Portfolio 9 Index

-7.03%

-4.66%

15.66%

8.76%

Lipper Small-Cap Stock Funds Index

-9.26%

-8.78%

15.09%

5.55%

Russell 2000 Index (small stocks)

-9.90%

-13.00%

14.90%

5.61%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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, while the Russell 2000 Index is an unmanaged, market value weighted index that measures performance of the 2,000 companies that are between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in this category, comprised 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. According to data from Lipper, Inc., for the period ended March 31, 2008, the Micro-Cap Limited Fund ranked 40th of 96 micro-cap funds for the last twelve month period ended March 31, 2008, 51st of 65 such funds for the last five years and 6th of 40 funds since inception in June, 1998. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here. Our record versus our primary market benchmark has been significantly more “see-saw” than I prefer. We’ve outperformed in 2003, 2005, and 2007, but underperformed in 2004, 2006, and so far in 2008. Even years haven’t been kind recently. I’m not pleased with our last five year record.

Bridgeway March 2008 Quarterly Report

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Micro-Cap Limited Fund Manager Commentary continued...

Explanation of Performance Beyond the damage done by the overall market decline, our Fund’s poorest performing stocks were broadly represented across sectors and industries. Consumer non-cyclicals took the biggest bite from quarterly returns—about three percentage points—but only one of our ten worst performers was from this sector. Only one stock cost our Fund more than one percentage point (somewhat unusual). But the carnage was wide spread and took its cumulative toll. There have been three other periods when I’ve seen our models this out of favor over a substantial period of time: in Aggressive Investors 1 in 1997-98, in Ultra-Small Company for six months of 1998, and with most of our actively managed Funds in 2006. The current period of under performance has extended over a longer timeframe than the others with Micro-Cap Limited. We continue to stick to the discipline of our quantitative investment process and are not making any changes “midstream.” Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not 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 micro-cap companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons such as narrower markets (fewer investors), limited financial resources and greater trading difficulty. Conclusion Micro-Cap Limited Fund remains closed to new shareholders, but is open to your additional investments. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY SMALL-CAP GROWTH FUND

Dear Fellow Small-Cap Growth Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 11.41% in the March 2008 quarter, compared to declines of 12.83% for the Russell 2000 Growth Index (our primary market benchmark) and 14.71% for the Lipper Small-Cap Growth Funds Index (our peer benchmark). Although this was a poor quarter on an absolute basis, I am pleased our team provided some “cushion” to the market decline. The table below presents the March quarter, one-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

Life-to-Date 10/31/03 to 3/31/08

Small-Cap Growth Fund

-11.41%

-9.08%

7.05%

Russell 2000 Growth Index

-12.83%

-8.94%

6.23%

Lipper Small-Cap Growth Fund Index

-14.71%

-9.53%

5.03%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Russell 2000 Growth Index is an unmanaged index, which consists of stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Small-Cap Growth Funds Index is an index of small-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of March 31, 2008, Small-Cap Growth Fund ranked 270th of 598 small cap growth funds for the twelve-month period ended March 31, 2008 and 108th of 414 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here.

Bridgeway March 2008 Quarterly Report

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Small-Cap Growth Fund Manager Commentary continued...

Explanation of Performance Among the sectors, Industrial companies had the strongest negative effect on the Fund’s returns this quarter, contributing roughly three percent to our Fund’s declining performance. The combination of a larger number of stock picks in this poor performing sector, as well as some individual poor stock picks caused the weak performance. Along with Utilities, Industrial companies experienced rising prices of fuel, metals and other raw materials on which these companies depend for their operations. While our Fund did outperform our benchmarks for the quarter, each sector represented in the Fund was in negative territory. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies, and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. Conclusion Thank you for your continued investment in Small-Cap Growth Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us. Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY SMALL-CAP VALUE FUND

Dear Fellow Small-Cap Value Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 10.59% in the March 2008 quarter, compared to declines of 6.53% for the Russell 2000 Value Index (our primary market benchmark) and 6.49% for the Lipper Small-Cap Value Funds Index (our peer benchmark). This was a poor quarter on both an absolute and a relative market basis. On the strength of the prior three quarters, our Fund continues to lead each of our benchmarks over the one-year period by a substantial margin. The table below presents the March quarter, one-year and lifeto-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

Life-to-Date 10/31/03 to 3/31/08

Small-Cap Value Fund

-10.59%

-7.04%

10.35%

Russell 2000 Value Index

-6.53%

-16.88%

8.51%

Lipper Small-Cap Value Fund Index

-6.49%

-13.51%

9.05%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Russell 2000 Value Index is an unmanaged index, which consists of stocks in the Russell 2000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Small-Cap Value Funds Index is an index of smallcompany, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of March 31, 2008, Small-Cap Value Fund ranked 25th of 306 small-cap value funds for the twelve-month period ended March 31, 2008 and 44th of 206 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here.

Bridgeway March 2008 Quarterly Report

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Small-Cap Value Fund Manager Commentary continued...

Explanation of Performance Our holdings in Consumer Non-Cyclical and Industrial companies were the major factors in the declining performance of this Fund, contributing more than seven percent to the overall decline. Seven of the bottom ten performing picks were in these two sectors. The Fund was somewhat shielded from the crisis in the Financial sector because we were underweighted in this sector relative to the benchmarks. The silver lining of the Fund was the Technology sector, where our picks outperformed the benchmarks. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. Market volatility can significantly impact short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in small companies generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies, and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. Conclusion Thank you for your continued investment in Small-Cap Value Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us. Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY LARGE-CAP GROWTH FUND

Dear Fellow Large-Cap Growth Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 11.54% in the March 2008 quarter, compared to declines of 10.18% for the Russell 1000 Growth Index (our primary market benchmark) and 11.22% for the Lipper Large-Cap Growth Funds Index (our peer benchmark). This was a poor quarter on both an absolute and a relative market basis. The table below presents our March quarter, one-year, and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

Life-to-Date 10/31/03 to 3/31/08

Large-Cap Growth Fund

-11.54%

0.88%

6.74%

Russell 1000 Growth Index

-10.18%

-0.75%

5.77%

Lipper Large-Cap Growth Fund Index

-11.22%

1.04%

5.79%

Performance figures quoted in the table above represents past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Russell 1000 Growth Index is an unmanaged index, which consists of stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Large-Cap Growth Funds Index is an index of large-company, growth-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of March 31, 2008, Large-Cap Growth Fund ranked 163rd of 527 multi-cap growth funds for the twelve-month period ended March 31, 2008 and 200th of 366 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here.

Bridgeway March 2008 Quarterly Report

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Large-Cap Growth Fund Manager Commentary continued...

Explanation of Performance Beyond the damage done by the overall market decline, technology companies took the biggest bite from our quarterly return, contributing over one percentage point to our Fund’s declining performance. Surprisingly, financial companies had a much smaller impact, since our Fund was significantly underweighted in financial stocks. Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, 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 market risk (volatility) and is not an appropriate investment for short-term investors. Conclusion Thank you for your continued investment in Large-Cap Growth Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us. Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

PE R FOR MANCE WITHOUT COMPROMISE

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MANAGER’S COMMENTARY LARGE-CAP VALUE FUND

Dear Fellow Large-Cap Value Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 10.45% in the March 2008 quarter compared to declines of 8.72% for the Russell 1000 Value Index (our primary market benchmark) and 9.54% for the Lipper Large-Cap Value Funds Index (our peer benchmark). This was a poor quarter on both an absolute and a relative market basis. The table below presents the March quarter, one-year, and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

Life-to-Date 10/31/03 to 3/31/08

Large-Cap Value Fund

-10.45%

-8.50%

10.12%

Russell 1000 Value Index

-8.72%

-9.99%

9.53%

Lipper Large-Cap Value Fund Index

-9.54%

-8.00%

7.95%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Russell 1000 Value Index is an unmanaged index, which consists of stocks in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values with dividends reinvested. The Lipper Large-Cap Value Funds Index is an index of largecompany, value-oriented funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

According to data from Lipper, Inc. as of March 31, 2008, Large-Cap Value Fund ranked 129th of 441 multi-cap value funds for the twelve-month period ended March 31, 2008 and 41st of 282 such funds since inception in October, 2003. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics, holdings and Morningstar rankings, click here.

Bridgeway March 2008 Quarterly Report

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Large-Cap Value Fund Manager Commentary continued...

Explanation of Performance It is perhaps not surprising that financial companies took the biggest bite from our quarterly return. First we have the worst credit crisis in a generation. Second, financial companies have the biggest sector concentration (27%) of any sector among large-cap growth companies. All told they contributed about three percentage points to our Fund’s declining performance, and three of our worst five performing stocks hailed from this sector (Citigroup, Wachovia, and Aetna). Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views 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 March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. The Fund is subject to market risk (volatility) and is not an appropriate investment for short-term investors. Conclusion Thank you for your continued investment in Large-Cap Value Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us.

Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY BLUE CHIP 35 INDEX FUND

Dear Fellow Blue Chip 35 Index Fund Shareholder, In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 8.29% in the March 2008 quarter. Nevertheless, our more stable, ultra-large, “blue chip” stocks declined less than many other stocks, and our Fund beat each of its benchmarks. The S&P 500 declined 9.45%, the Lipper Large-Cap Core Funds Index declined 9.49%, and our own index of ultra-large companies declined 8.57%. Thus, on a relative market basis, it was a good quarter. The table below presents the March quarter, one-year, five-year, ten-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

10 Year 4/1/98 to 3/31/08

Life-to-Date 7/31/97 to 3/31/08

Blue Chip 35 Index Fund

-8.29%

-1.13%

9.34%

4.05%

5.33%

S&P 500 Index

-9.45%

-5.08%

11.32%

3.50%

4.78%

Bridgeway Ultra-Large 35 Index

-8.57%

-1.40%

9.32%

4.15%

5.42%

Lipper Large-Cap Core Funds Index

-9.49%

-4.32%

10.04%

2.87%

4.08%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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 Bridgeway Ultra-Large 35 Index is an index comprised of very large, "blue chip" U.S. stocks, excluding tobacco; it is compiled by the adviser of the Fund. The Lipper Large-Cap Core Funds Index reflects the aggregate record of domestic large-cap core mutual funds as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized. According to data from Lipper, Inc. as of March 31, 2008, our Fund ranked 156th of 828 large-cap core funds for the twelve months ended March 31, 2008, 350th of 567 such funds for the last five years, 63rd of 295 such funds for the last 10 years and 42nd of 262 such funds since inception in July 1997. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics and Morningstar rankings, click here.

Bridgeway March 2008 Quarterly Report

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Blue Chip 35 Index Fund Manager Commentary continued...

Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those of 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, March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. The Fund is subject to above average market risk (volatility) and is not an appropriate investment for short-term investors.

Conclusion Thank you for your continued investment in Blue Chip 35 Index Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us. Sincerely, John Montgomery

Bridgeway March 2008 Quarterly Report

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MANAGER’S COMMENTARY BALANCED FUND

Dear Fellow Balanced Fund Shareholder: In the environment of a continuing credit crisis and the worst quarterly stock market decline since 2002, our Fund declined 6.14% in the March 2008 quarter. This compares to a gain of 3.08% for the Bloomberg/EFFAS US Government 1-3 year Total Return Bond Index, a loss of 1.93% for the Balanced Benchmark, a loss of 5.29% for the Lipper Balanced Funds Index and a loss of 9.45% for the S&P 500 Index. On an absolute basis and relative market basis, it was a poor quarter. The table below presents the March quarter, one-year, five-year and life-to-date financial results according to the formula required by the SEC.

March Qtr. 1/1/08 to 3/31/08

1 Year 4/1/07 to 3/31/08

5 Year 4/1/03 to 3/31/08

Life-to-Date 7/1/01 to 3/31/08

Balanced Fund

-6.14%

-1.23%

7.74%

4.71%

Balanced Benchmark

-1.93%

3.46%

6.95%

3.74%

S&P 500 Index

-9.45%

-5.08%

11.32%

2.96%

Bloomberg/ERRAS U.S. Government 1-3 Year Total Return Bond Index

3.08%

9.15%

3.57%

-3.35%

Lipper Balanced Funds Index

-5.29%

-0.66%

9.54%

4.67%

Performance figures quoted in the table above represent past performance and are no guarantee of future results. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The Lipper Balanced Funds Index is an index of balanced funds compiled by Lipper, Inc. Balanced Benchmark is a combined index of which 40% reflects the S&P 500 Index (an unmanaged index of large companies with dividends reinvested) and 60% reflects the Bloomberg/ EFFAS U.S. Government 1-3 year Total Return Bond Index (transparent benchmark for the total return of the 1-3 year U.S. Government bond market).

According to data from Lipper, Inc. as of March 31, 2008, the Balanced Fund ranked 209th of 457 MixedAsset Moderate funds for the twelve-month period ended March 31, 2008, 179th of 235 for the past five years and 78th of 180 funds since inception. Lipper, Inc. is an independent mutual fund rating service that ranks funds in various fund categories by making comparative calculations using total returns. According to data from Morningstar as of March 31, 2008, the Balanced Fund ranked 371st of 627 Conservative Allocation funds for the twelve-month period ended March 31, 2008 and 51st out of 265 funds for five years. Morningstar ranks funds in various fund categories by making comparative calculations using total returns. To get an overall summary of Fund statistics, click here.

Bridgeway March 2008 Quarterly Report

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Balanced Fund Manager Commentary continued...

Disclaimer The following is a reminder from the friendly folks at your Fund who worry about liability. The views expressed here are exclusively those of Fund management. These views, including those of 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, March 31, 2008, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and are not indicative of future performance. Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole. The Fund uses an option writing strategy in which the Fund may sell covered calls or secured put options. Up to 75% of Fund assets may be invested in options. Options are subject to special risks and may not fully protect the Fund against declines in the value of its stocks. In addition, an option writing strategy limits the upside profit potential normally associated with stocks. Finally, the Fund’s fixed-income holdings are subject to three types of risk. Interest rate risk is the chance that bond prices overall will decline as interest rates rise. Credit risk is the chance a bond issuer will fail to pay interest and principal. Prepayment risk is the chance a mortgage-backed bond issuer will repay a higher yielding bond, resulting in a lower paying yield.

Conclusion In closing, we would like to thank you for your continued investment in Balanced Fund. Our investment management team works diligently with great commitment to serve the best interests of shareholders. We encourage your feedback; your reactions and concerns are important to us. Sincerely, Richard P. Cancelmo, Jr.

Bridgeway March 2008 Quarterly Report

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