Managed Volatility Fund
Managed Volatility Fund SCHEDULE OF INVESTMENTS Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company
Shares
Value
Industry Company
Shares
Value
COMMON STOCKS - 59.83% Aerospace & Defense - 1.60% Honeywell International, Inc. Lockheed Martin Corp. Northrop Grumman Corp.# Raytheon Co.# United Technologies Corp.
1,700 870 1,100 1,800 1,140
$ 176,069 188,920 207,691 224,154 109,520 906,354
Air Freight & Logistics - 0.31% FedEx Corp.# Airlines - 2.20% American Airlines Group, Inc.# Southwest Airlines Co.# United Continental Holdings, Inc.*#
1,200
178,788
13,000 4,200
550,550 180,852
9,000
515,700 1,247,102
Auto Components - 0.34% Delphi Automotive PLC Goodyear Tire & Rubber Co. (The)# Johnson Controls, Inc.
900
77,157
2,400 900
78,408 35,541
7,400 2,500
104,266 85,025 189,291
Beverages - 1.01% Coca-Cola Co. (The)# Constellation Brands, Inc., Class A# PepsiCo, Inc.#
7,100
$ 233,803
700 3,300 1,400
126,161 104,973 92,904 732,363
Chemicals - 2.01% Ashland, Inc.# Dow Chemical Co. (The)# LyondellBasell Industries NV, Class A# Monsanto Co.# PPG Industries, Inc. Praxair, Inc. Sherwin-Williams Co. (The)
4,500 2,700
462,150 138,996
1,200 1,300 800 1,200 400
104,280 128,076 79,056 122,880 103,840 1,139,278
191,106 Automobiles - 0.33% Ford Motor Co.# General Motors Co.#
Capital Markets (continued) Charles Schwab Corp. (The)# Goldman Sachs Group, Inc. (The) Morgan Stanley# State Street Corp.
Commercial Banks - 2.16% BB&T Corp. CIT Group, Inc.# Comerica, Inc.# Huntington Bancshares, Inc. KeyCorp# PNC Financial Services Group, Inc. (The)# U.S. Bancorp# Wells Fargo & Co.#
1,500 7,500 1,100 7,700 4,800
56,715 297,750 46,013 85,162 63,312
2,100 4,100 5,571
200,151 174,947 302,839 1,226,889
2,500
107,400
2,100 1,700
299,124 169,864
Commercial Services & Supplies - 1.14% Tyco International PLC# 16,400 Waste Management, Inc.# 2,300
645,747
576,388 Biotechnology - 2.70% Alexion Pharmaceuticals, Inc,* Amgen, Inc.# Biogen, Inc.*# Celgene Corp.* Gilead Sciences, Inc.#
500 1,600 900 1,100 7,600
95,375 259,728 275,715 131,736 769,044 1,531,598
Capital Markets - 1.29% Ameriprise Financial, Inc. BlackRock, Inc.
www.bridgeway.com
680 300
72,366 102,156
522,996 122,751
Communications Equipment - 0.96% Cisco Systems, Inc.# 12,500 Juniper Networks, Inc.# 7,500
339,437 207,000 546,437
Computers & Peripherals - 1.39% Apple, Inc.# EMC Corp.# HP, Inc. SanDisk Corp. Western Digital Corp.
4,700 2,000 5,900 1,300 1,200
494,722 51,360 69,856 98,787 72,060 786,785
1
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company
Shares
Common Stocks (continued) Consumer Finance - 0.56% American Express Co.# Capital One Financial Corp.# Santander Consumer USA Holdings, Inc.*#
Value
1,800
$ 125,190
2,000
144,360
3,000
47,550 317,100
Containers & Packaging - 0.05% Ball Corp. Diversified Financial Services - 1.88% Bank of America Corp.# Berkshire Hathaway, Inc., Class B* Citigroup, Inc.# JPMorgan Chase & Co.# McGraw Hill Financial, Inc.# Voya Financial, Inc.#
400
29,092
7,800
131,274
1,600 5,110 4,400 1,000 2,000
211,264 264,443 290,532 98,580 73,820 1,069,913
Diversified Telecommunication Services - 1.34% AT&T, Inc.# 8,200 CenturyLink, Inc.# 10,800 Verizon Communications, Inc.# 4,500
282,162 271,728 207,990 761,880
Electric Utilities - 0.62% American Electric Power Co., Inc. Duke Energy Corp. Exelon Corp.#
1,900 1,683 4,300
110,713 120,149 119,411
Industry Company
Shares
Food & Staples Retailing (continued) Kroger Co. (The)# Wal-Mart Stores, Inc.#
5,000 2,400
1,500 8,000
71,745 297,360 369,105
Energy Equipment & Services - 0.83% Halliburton Co. 1,700 Helmerich & Payne, Inc.+ 1,000 National Oilwell Varco, Inc.# 10,800
57,868 53,550 361,692
Food Products - 2.07% Archer-Daniels-Midland Co.# General Mills, Inc.# JM Smucker Co. (The)# Keurig Green Mountain, Inc. Mondelez International, Inc.# WhiteWave Foods Co. (The)*#
2,900 3,200 1,400 900 3,600
106,372 184,512 172,676 80,982 161,424
12,000
466,920 1,172,886
Health Care Equipment & Supplies - 1.05% Abbott Laboratories# 1,800 Baxter International, Inc.# 1,300 Becton Dickinson & Co.# 920 C.R. Bard, Inc.# 1,100 Stryker Corp.# 1,260
2
1,500
54,300
Food & Staples Retailing - 1.14% Costco Wholesale Corp. CVS Health Corp.#
700 1,800
113,050 175,986
80,838 49,595 141,763 208,384 117,104 597,684
Health Care Providers & Services - 2.08% AmerisourceBergen Corp. 500 Centene Corp.*# 7,000 DaVita HealthCare Partners, Inc.* 1,600 Express Scripts Holding Co.* 1,334 Laboratory Corp. of America Holdings* 900 UnitedHealth Group, Inc.# 2,800
51,855 460,670 111,536 116,605 111,276 329,392 1,181,334
Hotels, Restaurants & Leisure - 1.10% Carnival Corp.# 1,700 McDonald’s Corp. 900 Starbucks Corp.# 2,700 Starwood Hotels & Resorts Worldwide, Inc.# 2,800 Wynn Resorts, Ltd.+ 500 Yum! Brands, Inc.# 500
92,616 106,326 162,081 193,984 34,595 36,525 626,127
473,110 Financials - 0.10% PayPal Holdings, Inc.*#
$ 209,150 147,120 645,306
350,273 Electrical Equipment - 0.65% Emerson Electric Co.# Garmin, Ltd.#
Value
Household Products - 0.90% Colgate-Palmolive Co.# Kimberly-Clark Corp.# Procter & Gamble Co. (The)#
2,500 1,400
166,550 178,220
2,100
166,761 511,531
Semi-Annual Report
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company
Shares
Value
Common Stocks (continued) Independent Power Producers & Energy Traders - 0.11% AES Corp. 6,800 $ 65,076 Industrial Conglomerates - 1.02% 3M Co.# Danaher Corp.# General Electric Co.#
1,400 2,400 4,600
210,896 222,912 143,290 577,098
Insurance - 2.23% Aon PLC# Chubb Corp. (The) Everest Re Group, Ltd.# Progressive Corp. (The) Reinsurance Group of America, Inc.# Travelers Cos., Inc. (The)#
1,600 600 3,000 2,020
147,536 79,584 549,270 64,236
1,000 3,000
85,550 338,580 1,264,756
Internet & Catalog Retail - 0.82% Amazon.com, Inc.*# Priceline Group, Inc. (The)*
500 100
337,945 127,495
Industry Company Media - 1.43% Comcast Corp., Class A# News Corp., Class A Omnicom Group, Inc. Scripps Networks Interactive, Inc., Class A Time Warner, Inc. Twenty-First Century Fox, Inc., Class A# Walt Disney Co. (The)#
Shares
3,850 3,300 1,200
$ 217,256 44,088 90,792
1,400 933
77,294 60,337
3,300 2,200
89,628 231,176 810,571
Metals & Mining - 0.73% Alcoa, Inc.# Freeport-McMoRan, Inc.#
33,000 13,000
260 260 1,500 8,800
202,283 197,309 41,220 921,008
325,710 88,010 413,720
Multiline Retail - 0.62% Big Lots, Inc. Dollar General Corp.# Target Corp.
500 2,300 2,300
19,270 165,301 167,003 351,574
465,440 Internet Software & Services - 2.40% Alphabet, Inc., Class A*# Alphabet, Inc., Class C* eBay, Inc.*# Facebook, Inc., Class A*#
Value
Multi-Utilities - 0.58% Dominion Resources, Inc. Public Service Enterprise Group, Inc. Sempra Energy
1,920
129,869
2,300 1,200
88,987 112,812 331,668
1,361,820 IT Services - 1.92% Automatic Data Processing, Inc.# Cognizant Technology Solutions Corp., Class A*# International Business Machines Corp. MasterCard, Inc., Class A# Teradata Corp.*+ Visa, Inc., Class A# Western Union Co. (The)
1,300
110,136
4,100
246,082
1,300 1,200 400 5,200 1,500
178,906 116,832 10,568 403,260 26,865 1,092,649
Leisure Equipment & Products - 0.18% Hasbro, Inc. 1,500
101,040
Life Sciences Tools & Services - 0.35% Thermo Fisher Scientific, Inc.# 1,400
198,590
Machinery - 0.36% Deere & Co.#+ www.bridgeway.com
2,700
205,929
Oil, Gas & Consumable Fuels - 3.70% Anadarko Petroleum Corp. 1,000 Apache Corp. 500 California Resources Corp. 480 Chesapeake Energy Corp.#+ 2,100 Chevron Corp.# 2,378 ConocoPhillips# 1,787 EOG Resources, Inc. 1,000 Exxon Mobil Corp.# 7,800 Kinder Morgan, Inc.# 3,300 Marathon Petroleum Corp.# 2,400 Murphy Oil Corp.# 11,300 Occidental Petroleum Corp. 1,200 Phillips 66 1,693 Southwestern Energy Co.*# 13,000 Valero Energy Corp.# 4,100 Williams Cos., Inc. (The)# 500
48,580 22,235 1,118 9,450 213,925 83,435 70,790 608,010 49,236 124,416 253,685 81,132 138,487 92,430 289,911 12,850 2,099,690
Paper & Forest Products - 0.14% International Paper Co.
2,100
79,170
3
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company Common Stocks (continued) Pharmaceuticals - 2.22% AbbVie, Inc.# Allergan PLC*# Baxalta, Inc. Bristol-Myers Squibb Co.# Johnson & Johnson# Merck & Co., Inc.# Pfizer, Inc.#
Shares
4,000 300 1,300 2,279 3,300 4,200 5,100
Value
$ 236,960 93,750 50,739 156,772 338,976 221,844 164,628
Industry Company
Shares
Textiles, Apparel & Luxury Goods - 0.46% NIKE, Inc., Class B# 4,200
Value
$
Trading Companies & Distributors - 1.08% NOW, Inc.* 200 United Rentals, Inc.*# 7,000 Veritiv Corp.*+ 28 W.W. Grainger, Inc.+ 500
2,200
Real Estate Investment Trusts (REITs) - 1.28% American Tower Corp.# 1,200 Crown Castle International Corp. 1,200 Public Storage 1,100 Simon Property Group, Inc. 1,200
102,520
7,000 1,200
33,971,678
Discount Rate Principal or Coupon Rate Amount
Value
116,340 103,740 272,470 233,328
254,030 93,840 347,870
Semiconductors & Semiconductor Equipment - 2.50% Applied Materials, Inc.# 10,300 192,301 Intel Corp.# 3,600 124,020 Micron Technology, Inc.*# 28,000 396,480 QUALCOMM, Inc.# 2,800 139,958 Skyworks Solutions, Inc.# 6,400 491,712 Texas Instruments, Inc. 1,370 75,090 1,419,561 Software - 2.07% Adobe Systems, Inc.* Citrix Systems, Inc.*# Electronic Arts, Inc.*# Hewlett Packard Enterprise Co.# Intuit, Inc. Microsoft Corp.# Oracle Corp.# salesforce.com, inc.*
TOTAL COMMON STOCKS - 59.83% (Cost $29,513,532) Due Date
725,878 Road & Rail - 0.61% Avis Budget Group, Inc.*# Union Pacific Corp.
3,164 507,780 1,014 101,295 613,253
1,263,669 Professional Services - 0.18% Nielsen Holdings PLC#
262,500
800 1,600 2,000
75,152 121,040 137,440
5,900 1,300 6,300 5,460 1,000
89,680 125,450 349,524 199,454 78,400
U.S. GOVERNMENT OBLIGATIONS - 38.73% U.S. Treasury Bills - 38.73% 01/14/2016 0.000%(a) $4,000,000 02/25/2016 0.000%(a) 3,000,000 03/03/2016 0.000%(a) 4,000,000 03/17/2016 0.000%(a) 4,000,000 03/24/2016 0.000%(a) 4,000,000 03/31/2016 0.000%(a) 3,000,000
3,999,876 2,999,637 3,999,296 3,999,188 3,998,424 2,998,734 21,995,155
TOTAL U.S. GOVERNMENT OBLIGATIONS - 38.73% (Cost $21,991,257)
21,995,155 Rate^
Shares
Value
MONEY MARKET FUND - 1.54% Dreyfus Cash Management Fund
0.18%
875,937
TOTAL MONEY MARKET FUND — 1.54% (Cost $875,937)
875,937 875,937
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 0.37% Dreyfus Cash Management Fund**
0.18%
207,932
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING 0.37% (Cost $207,932)
207,932
207,932
1,176,140 Specialty Retail - 1.03% AutoZone, Inc.*# Gap, Inc. (The)# Ross Stores, Inc.#
600 600 2,300
445,146 14,820 123,763 583,729
4
Semi-Annual Report
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Value TOTAL INVESTMENTS - 100.47% (Cost $52,588,658) Liabilities in Excess of Other Assets - (0.47%)
$57,050,702
NET ASSETS - 100.00%
$56,782,590
(268,112)
* Non-income producing security. ** This security represents the investment of the collateral received in connection with securities out on loan as of December 31, 2015. # Security subject to call or put option written by the Fund. ^ Rate disclosed as of December 31, 2015. + This security or a portion of the security is out on loan as of December 31, 2015. Total loaned securities had a value of $183,874 as of December 31, 2015. (a) Rate represents the effective yield at purchase. PLC - Public Limited Company See Notes to Financial Statements.
www.bridgeway.com
5
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN Showing percentage of net assets as of December 31, 2015 (Unaudited) Company
Number of Contracts
Value
Company
Number of Contracts
Value
CALL OPTIONS WRITTEN - (0.73%) 3M Co. Expiring January, 2016 at $150.00 Abbott Laboratories Expiring January, 2016 at $47.00 AbbVie, Inc. Expiring February, 2016 at $57.50 Alcoa, Inc. Expiring February, 2016 at $10.00 Allergan PLC Expiring January, 2016 at $300.00 Amazon.com, Inc. Expiring January, 2016 at $550.00 American Airlines Group, Inc. Expiring January, 2016 at $45.00 American Express Co. Expiring January, 2016 at $77.50 American Tower Corp. Expiring January, 2016 at $92.50 Amgen, Inc. Expiring January, 2016 at $155.00 Aon PLC Expiring January, 2016 at $95.00 Apple, Inc. Expiring February, 2016 at $120.00 Applied Materials, Inc. Expiring January, 2016 at $17.00 Archer-Daniels-Midland Co. Expiring January, 2016 at $45.00 Ashland, Inc. Expiring January, 2016 at $110.00 AT&T, Inc. Expiring February, 2016 at $35.00 Automatic Data Processing, Inc. Expiring February, 2016 at $87.50 AutoZone, Inc. Expiring January, 2016 at $730.00 Avis Budget Group, Inc. Expiring February, 2016 at $42.50 Bank Of America Corp. Expiring February, 2016 at $17.00 www.bridgeway.com
4
$ (1,280)
5
(50)
12
(3,984)
330
(17,820)
3
(4,740)
2
(25,800)
130
(2,990)
5
(10)
3
(1,410)
4
(3,560)
4
(200)
12
(624)
26
(4,368)
8
(24)
45
(2,250)
22
4
(748)
(480)
2
(4,430)
70
(3,850)
20
Baxter International, Inc. Expiring January, 2016 at $37.50 Becton Dickinson & Co. Expiring March, 2016 at $155.00 Biogen, Inc. Expiring January, 2016 at $310.00 Bristol-Myers Squibb Co. Expiring March, 2016 at $70.00 C.R. Bard, Inc. Expiring January, 2016 at $200.00 Capital One Financial Corp. Expiring January, 2016 at $80.00 Carnival Corp. Expiring January, 2016 at $55.00 Centene Corp. Expiring February, 2016 at $67.50 CenturyLink, Inc. Expiring April, 2016 at $26.00 Expiring January, 2016 at $28.00
3
$
(333)
3
(1,320)
3
(1,770)
7
(1,680)
3
(30)
7
(14)
5
(425)
70
(20,300)
12 65
(1,260) (260) (1,520)
Charles Schwab Corp. (The) Expiring January, 2016 at $30.00 Chesapeake Energy Corp. Expiring January, 2016 at $8.00 Chevron Corp. Expiring January, 2016 at $95.00 Cisco Systems, Inc. Expiring January, 2016 at $27.00 CIT Group, Inc. Expiring January, 2016 at $42.00 Citigroup, Inc. Expiring January, 2016 at $52.50 Citrix Systems, Inc. Expiring January, 2016 at $75.00 Coca-Cola Co. (The) Expiring March, 2016 at $43.00 Cognizant Technology Solutions Corp., Class A Expiring January, 2016 at $67.50 Colgate-Palmolive Co. Expiring February, 2016 at $67.50 Comcast Corp., Class A Expiring January, 2016 at $62.50 Comerica, Inc. Expiring January, 2016 at $43.00 ConocoPhillips Expiring January, 2016 at $50.00
20
(6,000)
8
(72)
8
(320)
30
(1,290)
75
(825)
15
(1,125)
5
(1,215)
8
(984)
15
(45)
7
(679)
10
(30)
3
(144)
4
(160)
(1,200) 1
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company Call Options Written (continued) Constellation Brands, Inc., Class A Expiring January, 2016 at $140.00 CVS Health Corp. Expiring January, 2016 at $110.00 Danaher Corp. Expiring March, 2016 at $95.00 Deere & Co. Expiring January, 2016 at $82.50 Dollar General Corp. Expiring February, 2016 at $72.50 Dow Chemical Co. (The) Expiring March, 2016 at $50.00 eBay, Inc. Expiring January, 2016 at $27.50 Electronic Arts, Inc. Expiring January, 2016 at $70.00 EMC Corp. Expiring January, 2016 at $26.00 Emerson Electric Co. Expiring January, 2016 at $48.00 Everest Re Group, Ltd. Expiring January, 2016 at $180.00 Exelon Corp. Expiring April, 2016 at $28.00 Exxon Mobil Corp. Expiring February, 2016 at $80.00 Expiring January, 2016 at $75.00
Number of Contracts
7
Value
$ (3,290)
5
(5)
8
(1,760)
7
(70)
7
(1,435)
9
(3,105)
5
(240)
5
(660)
20
(600)
5
(500)
30
(12,900)
12
(1,260)
20 15
(3,120) (5,310)
55 10
(25,795) (3,480) (29,275)
FedEx Corp. Expiring January, 2016 at $160.00 Ford Motor Co. Expiring March, 2016 at $14.00 Freeport-McMoRan, Inc. Expiring February, 2016 at $9.00 Gap, Inc. (The) Expiring January, 2016 at $33.00 Garmin, Ltd. Expiring January, 2016 at $35.00
2
General Electric Co. Expiring March, 2016 at $31.00 General Mills, Inc. Expiring April, 2016 at $62.50 General Motors Co. Expiring March, 2016 at $35.00 Gilead Sciences, Inc. Expiring April, 2016 at $105.00 Expiring February, 2016 at $110.00
Value
10
$(1,060)
10
(460)
25
(2,625)
8
(2,592)
50
(4,900) (7,492)
(8,430) Facebook, Inc., Class A Expiring February, 2016 at $105.00 Expiring March, 2016 at $110.00
Number of Contracts
Company
4
(36)
25
(1,475)
130
(2,340)
6
(12)
80
(19,440)
Hewlett-Packard Co. Expiring February, 2016 at $30.00 Intel Corp. Expiring February, 2016 at $36.00 JM Smucker Co. (The) Expiring January, 2016 at $120.00 Johnson & Johnson Expiring January, 2016 at $100.00 JPMorgan Chase & Co. Expiring January, 2016 at $65.00 Juniper Networks, Inc. Expiring January, 2016 at $30.00 KeyCorp Expiring March, 2016 at $13.00 Kimberly-Clark Corp. Expiring April, 2016 at $125.00 Kinder Morgan, Inc. Expiring January, 2016 at $32.50 Kroger Co. (The) Expiring January, 2016 at $40.00 LyondellBasell Industries NV, Class A Expiring January, 2016 at $90.00 Marathon Petroleum Corp. Expiring January, 2016 at $50.00 MasterCard, Inc., Class A Expiring January, 2016 at $100.00 McGraw Hill Financial, Inc. Expiring February, 2016 at $97.50 Merck & Co., Inc. Expiring January, 2016 at $55.00 Micron Technology, Inc. Expiring January, 2016 at $16.00
Semi-Annual Report
15
(240)
8
(392)
4
(1,600)
8
(2,768)
15
(2,520)
25
(75)
15
(1,170)
4
(2,480)
8
(8)
15
(3,225)
4
(340)
6
(1,530)
4
(176)
3
(1,080)
12
(120)
200
(800)
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company Call Options Written (continued) Expiring January, 2016 at $18.00
Number of Contracts 20
Value $
(20) (820)
Microsoft Corp. Expiring February, 2016 at $55.00 Mondelez International, Inc. Expiring March, 2016 at $45.00 Monsanto Co. Expiring April, 2016 at $105.00 Morgan Stanley Expiring January, 2016 at $36.00 Murphy Oil Corp. Expiring February, 2016 at $22.50 National Oilwell Varco, Inc. Expiring February, 2016 at $40.00 Nielsen Holdings PLC Expiring February, 2016 at $48.00 NIKE, Inc., Class B Expiring January, 2016 at $65.00 Northrop Grumman Corp. Expiring February, 2016 at $190.00 Oracle Corp. Expiring January, 2016 at $39.00 PayPal Holdings, Inc. Expiring January, 2016 at $35.00 PepsiCo, Inc. Expiring April, 2016 at $100.00 Pfizer, Inc. Expiring March, 2016 at $33.00 PNC Financial Services Group, Inc. (The) Expiring February, 2016 at $97.50 Procter & Gamble Co. (The) Expiring April, 2016 at $82.50 QUALCOMM, Inc. Expiring January, 2016 at $57.50 Raytheon Co. Expiring February, 2016 at $130.00 Reinsurance Group of America, Inc. Expiring January, 2016 at $90.00 Ross Stores, Inc. Expiring February, 2016 at $52.50 Santander Consumer USA Holdings, Inc. Expiring April, 2016 at $16.00
www.bridgeway.com
20
(4,700)
10
(2,170)
5
(950)
10
(10)
113
100
(17,967)
(1,500)
7
(770)
14
(462)
4
(2,136)
15
(45)
4
(700)
4
(1,400)
15
(1,020)
6
(1,116)
7
(868)
7
(14)
7
(1,057)
10
(550)
6
(1,770)
30
(3,450)
Company Skyworks Solutions, Inc. Expiring February, 2016 at $80.00 Southwest Airlines Co. Expiring January, 2016 at $46.00 Southwestern Energy Co. Expiring March, 2016 at $6.00 Starbucks Corp. Expiring January, 2016 at $62.50 Starwood Hotels & Resorts Worldwide, Inc. Expiring February, 2016 at $75.00 Stryker Corp. Expiring January, 2016 at $100.00 Thermo Fisher Scientific, Inc. Expiring January, 2016 at $130.00 Travelers Cos., Inc. (The) Expiring January, 2016 at $115.00 Twenty-First Century Fox, Inc., Class A Expiring January, 2016 at $31.00 Tyco International PLC Expiring April, 2016 at $32.00 Expiring January, 2016 at $37.00
Number of Contracts
Value
60
$(22,200)
12
(132)
130
(23,530)
8
(160)
28
(1,596)
4
(20)
4
(4,760)
10
(710)
7
(35)
13 120
(1,742) (3,240) (4,982)
U.S. Bancorp Expiring January, 2016 at $43.00 United Continental Holdings, Inc. Expiring February, 2016 at $60.00 United Rentals, Inc. Expiring February, 2016 at $75.00 UnitedHealth Group, Inc. Expiring March, 2016 at $120.00 Valero Energy Corp. Expiring January, 2016 at $65.00 Verizon Communications, Inc. Expiring February, 2016 at $47.00 Visa, Inc., Class A Expiring January, 2016 at $80.00 Voya Financial, Inc. Expiring February, 2016 at $42.00 Wal-Mart Stores, Inc. Expiring January, 2016 at $67.50
12
(924)
90
(15,750)
70
(22,400)
9
(4,095)
12
(7,500)
15
(765)
15
(495)
20
(100)
8
(8)
3
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company
Number of Contracts
Call Options Written (continued) Walt Disney Co. (The) Expiring January, 2016 at $110.00 Waste Management, Inc. Expiring January, 2016 at $55.00 Wells Fargo & Co. Expiring January, 2016 at $55.00 WhiteWave Foods Co. (The) Expiring February, 2016 at $40.00 Williams Cos., Inc. (The) Expiring January, 2016 at $50.00 Yum! Brands, Inc. Expiring January, 2016 at $85.00
6
Value
$
(234)
7
(175)
15
(1,005)
120
(20,760)
5
(15)
5
(10)
TOTAL CALL OPTIONS WRITTEN — (0.73%) (Premiums received $(654,220))
(412,129)
4
Santander Consumer USA Holdings, Inc. Expiring January, 2016 at $20.00 Expiring January, 2016 at $21.00
9 106
Value
$
(3,150) (47,700) (50,850)
Seagate Technology PLC Expiring January, 2016 at $32.00 Skechers U.S.A., Inc. Expiring January, 2016 at $46.67 Starbucks Corp. Expiring January, 2016 at $57.50 Tesoro Corp. Expiring February, 2016 at $105.00 Expiring February, 2016 at $110.00
40
(520)
114
(165,300)
60
(1,740)
20
(11,500)
35
(29,750) (41,250)
Valero Energy Corp. Expiring March, 2016 at $67.50 VeriSign, Inc. Expiring March, 2016 at $90.00
PUT OPTIONS WRITTEN - (0.89%) Acuity Brands, Inc. Expiring February, 2016 at $230.00 AerCap Holdings NV Expiring January, 2016 at $40.00 Aflac, Inc. Expiring February, 2016 at $65.00 Alphabet, Inc., Class A Expiring March, 2016 at $720.00 Amazon.com, Inc. Expiring February, 2016 at $650.00 Apple, Inc. Expiring January, 2016 at $100.00 Baxter International, Inc. Expiring January, 2016 at $32.50 Delta Air Lines, Inc. Expiring March, 2016 at $50.00 Edison International Expiring January, 2016 at $62.50 Exelon Corp. Expiring January, 2016 at $27.00 Exxon Mobil Corp. Expiring January, 2016 at $80.00 General Motors Co. Expiring March, 2016 at $35.00 Goodyear Tire & Rubber Co. (The) Expiring January, 2016 at $31.00 Johnson & Johnson Expiring January, 2016 at $97.50 NIKE, Inc., Class B Expiring January, 2016 at $60.00
Number of Contracts
Company
10
(8,520)
100
(1,500)
90
(48,600)
8
(17,080)
11
(27,511)
60
(3,660)
90
(180)
110
(29,150)
20
(6,400)
105
(3,675)
70
(17,570)
150
(32,400)
120
(1,800)
60
(960)
50
(2,400)
TOTAL PUT OPTIONS WRITTEN — (0.89%) (Premiums received $(438,367)) TOTAL OPTIONS WRITTEN — (1.62%) (Premiums received $(1,092,587))
Semi-Annual Report
70
(21,700)
40
(22,200) (504,966) $(917,095)
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)
Summary of inputs used to value the Fund’s investments as of 12/31/2015 (See Note 2 in Notes to Financial Statements):
Assets Table Valuation Inputs Investment in Securities (Value) Level 2 Significant Observable Inputs
Level 1 Quoted Prices
Common Stocks U.S. Government Obligations Money Market Fund Investments Purchased with Cash Proceeds from Securities Lending TOTAL
$33,971,678 $
—
Level 3 Significant Unobservable Inputs
—
$33,971,678
— 21,995,155
—
21,995,155
—
875,937
—
875,937
—
207,932
—
207,932
—
$57,050,702
$33,971,678 $23,079,024
$
Total
$
Liabilities Table Valuation Inputs Investment in Securities (Value) Level 1 Quoted Prices
Level 2 Significant Observable Inputs
Level 3 Significant Unobservable Inputs
Options Written
$(909,887)
$(7,208)
$
—
$(917,095)
TOTAL
$(909,887)
$(7,208)
$
—
$(917,095)
Total
See Notes to Financial Statements.
www.bridgeway.com
5
Shares
Value
Industry Company
Shares
Value
COMMON STOCKS - 59.83% Aerospace & Defense - 1.60% Honeywell International, Inc. Lockheed Martin Corp. Northrop Grumman Corp.# Raytheon Co.# United Technologies Corp.
1,700 870 1,100 1,800 1,140
$ 176,069 188,920 207,691 224,154 109,520 906,354
Air Freight & Logistics - 0.31% FedEx Corp.# Airlines - 2.20% American Airlines Group, Inc.# Southwest Airlines Co.# United Continental Holdings, Inc.*#
1,200
178,788
13,000 4,200
550,550 180,852
9,000
515,700 1,247,102
Auto Components - 0.34% Delphi Automotive PLC Goodyear Tire & Rubber Co. (The)# Johnson Controls, Inc.
900
77,157
2,400 900
78,408 35,541
7,400 2,500
104,266 85,025 189,291
Beverages - 1.01% Coca-Cola Co. (The)# Constellation Brands, Inc., Class A# PepsiCo, Inc.#
7,100
$ 233,803
700 3,300 1,400
126,161 104,973 92,904 732,363
Chemicals - 2.01% Ashland, Inc.# Dow Chemical Co. (The)# LyondellBasell Industries NV, Class A# Monsanto Co.# PPG Industries, Inc. Praxair, Inc. Sherwin-Williams Co. (The)
4,500 2,700
462,150 138,996
1,200 1,300 800 1,200 400
104,280 128,076 79,056 122,880 103,840 1,139,278
191,106 Automobiles - 0.33% Ford Motor Co.# General Motors Co.#
Capital Markets (continued) Charles Schwab Corp. (The)# Goldman Sachs Group, Inc. (The) Morgan Stanley# State Street Corp.
Commercial Banks - 2.16% BB&T Corp. CIT Group, Inc.# Comerica, Inc.# Huntington Bancshares, Inc. KeyCorp# PNC Financial Services Group, Inc. (The)# U.S. Bancorp# Wells Fargo & Co.#
1,500 7,500 1,100 7,700 4,800
56,715 297,750 46,013 85,162 63,312
2,100 4,100 5,571
200,151 174,947 302,839 1,226,889
2,500
107,400
2,100 1,700
299,124 169,864
Commercial Services & Supplies - 1.14% Tyco International PLC# 16,400 Waste Management, Inc.# 2,300
645,747
576,388 Biotechnology - 2.70% Alexion Pharmaceuticals, Inc,* Amgen, Inc.# Biogen, Inc.*# Celgene Corp.* Gilead Sciences, Inc.#
500 1,600 900 1,100 7,600
95,375 259,728 275,715 131,736 769,044 1,531,598
Capital Markets - 1.29% Ameriprise Financial, Inc. BlackRock, Inc.
www.bridgeway.com
680 300
72,366 102,156
522,996 122,751
Communications Equipment - 0.96% Cisco Systems, Inc.# 12,500 Juniper Networks, Inc.# 7,500
339,437 207,000 546,437
Computers & Peripherals - 1.39% Apple, Inc.# EMC Corp.# HP, Inc. SanDisk Corp. Western Digital Corp.
4,700 2,000 5,900 1,300 1,200
494,722 51,360 69,856 98,787 72,060 786,785
1
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company
Shares
Common Stocks (continued) Consumer Finance - 0.56% American Express Co.# Capital One Financial Corp.# Santander Consumer USA Holdings, Inc.*#
Value
1,800
$ 125,190
2,000
144,360
3,000
47,550 317,100
Containers & Packaging - 0.05% Ball Corp. Diversified Financial Services - 1.88% Bank of America Corp.# Berkshire Hathaway, Inc., Class B* Citigroup, Inc.# JPMorgan Chase & Co.# McGraw Hill Financial, Inc.# Voya Financial, Inc.#
400
29,092
7,800
131,274
1,600 5,110 4,400 1,000 2,000
211,264 264,443 290,532 98,580 73,820 1,069,913
Diversified Telecommunication Services - 1.34% AT&T, Inc.# 8,200 CenturyLink, Inc.# 10,800 Verizon Communications, Inc.# 4,500
282,162 271,728 207,990 761,880
Electric Utilities - 0.62% American Electric Power Co., Inc. Duke Energy Corp. Exelon Corp.#
1,900 1,683 4,300
110,713 120,149 119,411
Industry Company
Shares
Food & Staples Retailing (continued) Kroger Co. (The)# Wal-Mart Stores, Inc.#
5,000 2,400
1,500 8,000
71,745 297,360 369,105
Energy Equipment & Services - 0.83% Halliburton Co. 1,700 Helmerich & Payne, Inc.+ 1,000 National Oilwell Varco, Inc.# 10,800
57,868 53,550 361,692
Food Products - 2.07% Archer-Daniels-Midland Co.# General Mills, Inc.# JM Smucker Co. (The)# Keurig Green Mountain, Inc. Mondelez International, Inc.# WhiteWave Foods Co. (The)*#
2,900 3,200 1,400 900 3,600
106,372 184,512 172,676 80,982 161,424
12,000
466,920 1,172,886
Health Care Equipment & Supplies - 1.05% Abbott Laboratories# 1,800 Baxter International, Inc.# 1,300 Becton Dickinson & Co.# 920 C.R. Bard, Inc.# 1,100 Stryker Corp.# 1,260
2
1,500
54,300
Food & Staples Retailing - 1.14% Costco Wholesale Corp. CVS Health Corp.#
700 1,800
113,050 175,986
80,838 49,595 141,763 208,384 117,104 597,684
Health Care Providers & Services - 2.08% AmerisourceBergen Corp. 500 Centene Corp.*# 7,000 DaVita HealthCare Partners, Inc.* 1,600 Express Scripts Holding Co.* 1,334 Laboratory Corp. of America Holdings* 900 UnitedHealth Group, Inc.# 2,800
51,855 460,670 111,536 116,605 111,276 329,392 1,181,334
Hotels, Restaurants & Leisure - 1.10% Carnival Corp.# 1,700 McDonald’s Corp. 900 Starbucks Corp.# 2,700 Starwood Hotels & Resorts Worldwide, Inc.# 2,800 Wynn Resorts, Ltd.+ 500 Yum! Brands, Inc.# 500
92,616 106,326 162,081 193,984 34,595 36,525 626,127
473,110 Financials - 0.10% PayPal Holdings, Inc.*#
$ 209,150 147,120 645,306
350,273 Electrical Equipment - 0.65% Emerson Electric Co.# Garmin, Ltd.#
Value
Household Products - 0.90% Colgate-Palmolive Co.# Kimberly-Clark Corp.# Procter & Gamble Co. (The)#
2,500 1,400
166,550 178,220
2,100
166,761 511,531
Semi-Annual Report
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company
Shares
Value
Common Stocks (continued) Independent Power Producers & Energy Traders - 0.11% AES Corp. 6,800 $ 65,076 Industrial Conglomerates - 1.02% 3M Co.# Danaher Corp.# General Electric Co.#
1,400 2,400 4,600
210,896 222,912 143,290 577,098
Insurance - 2.23% Aon PLC# Chubb Corp. (The) Everest Re Group, Ltd.# Progressive Corp. (The) Reinsurance Group of America, Inc.# Travelers Cos., Inc. (The)#
1,600 600 3,000 2,020
147,536 79,584 549,270 64,236
1,000 3,000
85,550 338,580 1,264,756
Internet & Catalog Retail - 0.82% Amazon.com, Inc.*# Priceline Group, Inc. (The)*
500 100
337,945 127,495
Industry Company Media - 1.43% Comcast Corp., Class A# News Corp., Class A Omnicom Group, Inc. Scripps Networks Interactive, Inc., Class A Time Warner, Inc. Twenty-First Century Fox, Inc., Class A# Walt Disney Co. (The)#
Shares
3,850 3,300 1,200
$ 217,256 44,088 90,792
1,400 933
77,294 60,337
3,300 2,200
89,628 231,176 810,571
Metals & Mining - 0.73% Alcoa, Inc.# Freeport-McMoRan, Inc.#
33,000 13,000
260 260 1,500 8,800
202,283 197,309 41,220 921,008
325,710 88,010 413,720
Multiline Retail - 0.62% Big Lots, Inc. Dollar General Corp.# Target Corp.
500 2,300 2,300
19,270 165,301 167,003 351,574
465,440 Internet Software & Services - 2.40% Alphabet, Inc., Class A*# Alphabet, Inc., Class C* eBay, Inc.*# Facebook, Inc., Class A*#
Value
Multi-Utilities - 0.58% Dominion Resources, Inc. Public Service Enterprise Group, Inc. Sempra Energy
1,920
129,869
2,300 1,200
88,987 112,812 331,668
1,361,820 IT Services - 1.92% Automatic Data Processing, Inc.# Cognizant Technology Solutions Corp., Class A*# International Business Machines Corp. MasterCard, Inc., Class A# Teradata Corp.*+ Visa, Inc., Class A# Western Union Co. (The)
1,300
110,136
4,100
246,082
1,300 1,200 400 5,200 1,500
178,906 116,832 10,568 403,260 26,865 1,092,649
Leisure Equipment & Products - 0.18% Hasbro, Inc. 1,500
101,040
Life Sciences Tools & Services - 0.35% Thermo Fisher Scientific, Inc.# 1,400
198,590
Machinery - 0.36% Deere & Co.#+ www.bridgeway.com
2,700
205,929
Oil, Gas & Consumable Fuels - 3.70% Anadarko Petroleum Corp. 1,000 Apache Corp. 500 California Resources Corp. 480 Chesapeake Energy Corp.#+ 2,100 Chevron Corp.# 2,378 ConocoPhillips# 1,787 EOG Resources, Inc. 1,000 Exxon Mobil Corp.# 7,800 Kinder Morgan, Inc.# 3,300 Marathon Petroleum Corp.# 2,400 Murphy Oil Corp.# 11,300 Occidental Petroleum Corp. 1,200 Phillips 66 1,693 Southwestern Energy Co.*# 13,000 Valero Energy Corp.# 4,100 Williams Cos., Inc. (The)# 500
48,580 22,235 1,118 9,450 213,925 83,435 70,790 608,010 49,236 124,416 253,685 81,132 138,487 92,430 289,911 12,850 2,099,690
Paper & Forest Products - 0.14% International Paper Co.
2,100
79,170
3
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Industry Company Common Stocks (continued) Pharmaceuticals - 2.22% AbbVie, Inc.# Allergan PLC*# Baxalta, Inc. Bristol-Myers Squibb Co.# Johnson & Johnson# Merck & Co., Inc.# Pfizer, Inc.#
Shares
4,000 300 1,300 2,279 3,300 4,200 5,100
Value
$ 236,960 93,750 50,739 156,772 338,976 221,844 164,628
Industry Company
Shares
Textiles, Apparel & Luxury Goods - 0.46% NIKE, Inc., Class B# 4,200
Value
$
Trading Companies & Distributors - 1.08% NOW, Inc.* 200 United Rentals, Inc.*# 7,000 Veritiv Corp.*+ 28 W.W. Grainger, Inc.+ 500
2,200
Real Estate Investment Trusts (REITs) - 1.28% American Tower Corp.# 1,200 Crown Castle International Corp. 1,200 Public Storage 1,100 Simon Property Group, Inc. 1,200
102,520
7,000 1,200
33,971,678
Discount Rate Principal or Coupon Rate Amount
Value
116,340 103,740 272,470 233,328
254,030 93,840 347,870
Semiconductors & Semiconductor Equipment - 2.50% Applied Materials, Inc.# 10,300 192,301 Intel Corp.# 3,600 124,020 Micron Technology, Inc.*# 28,000 396,480 QUALCOMM, Inc.# 2,800 139,958 Skyworks Solutions, Inc.# 6,400 491,712 Texas Instruments, Inc. 1,370 75,090 1,419,561 Software - 2.07% Adobe Systems, Inc.* Citrix Systems, Inc.*# Electronic Arts, Inc.*# Hewlett Packard Enterprise Co.# Intuit, Inc. Microsoft Corp.# Oracle Corp.# salesforce.com, inc.*
TOTAL COMMON STOCKS - 59.83% (Cost $29,513,532) Due Date
725,878 Road & Rail - 0.61% Avis Budget Group, Inc.*# Union Pacific Corp.
3,164 507,780 1,014 101,295 613,253
1,263,669 Professional Services - 0.18% Nielsen Holdings PLC#
262,500
800 1,600 2,000
75,152 121,040 137,440
5,900 1,300 6,300 5,460 1,000
89,680 125,450 349,524 199,454 78,400
U.S. GOVERNMENT OBLIGATIONS - 38.73% U.S. Treasury Bills - 38.73% 01/14/2016 0.000%(a) $4,000,000 02/25/2016 0.000%(a) 3,000,000 03/03/2016 0.000%(a) 4,000,000 03/17/2016 0.000%(a) 4,000,000 03/24/2016 0.000%(a) 4,000,000 03/31/2016 0.000%(a) 3,000,000
3,999,876 2,999,637 3,999,296 3,999,188 3,998,424 2,998,734 21,995,155
TOTAL U.S. GOVERNMENT OBLIGATIONS - 38.73% (Cost $21,991,257)
21,995,155 Rate^
Shares
Value
MONEY MARKET FUND - 1.54% Dreyfus Cash Management Fund
0.18%
875,937
TOTAL MONEY MARKET FUND — 1.54% (Cost $875,937)
875,937 875,937
INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING - 0.37% Dreyfus Cash Management Fund**
0.18%
207,932
TOTAL INVESTMENTS PURCHASED WITH CASH PROCEEDS FROM SECURITIES LENDING 0.37% (Cost $207,932)
207,932
207,932
1,176,140 Specialty Retail - 1.03% AutoZone, Inc.*# Gap, Inc. (The)# Ross Stores, Inc.#
600 600 2,300
445,146 14,820 123,763 583,729
4
Semi-Annual Report
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF INVESTMENTS (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Value TOTAL INVESTMENTS - 100.47% (Cost $52,588,658) Liabilities in Excess of Other Assets - (0.47%)
$57,050,702
NET ASSETS - 100.00%
$56,782,590
(268,112)
* Non-income producing security. ** This security represents the investment of the collateral received in connection with securities out on loan as of December 31, 2015. # Security subject to call or put option written by the Fund. ^ Rate disclosed as of December 31, 2015. + This security or a portion of the security is out on loan as of December 31, 2015. Total loaned securities had a value of $183,874 as of December 31, 2015. (a) Rate represents the effective yield at purchase. PLC - Public Limited Company See Notes to Financial Statements.
www.bridgeway.com
5
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN Showing percentage of net assets as of December 31, 2015 (Unaudited) Company
Number of Contracts
Value
Company
Number of Contracts
Value
CALL OPTIONS WRITTEN - (0.73%) 3M Co. Expiring January, 2016 at $150.00 Abbott Laboratories Expiring January, 2016 at $47.00 AbbVie, Inc. Expiring February, 2016 at $57.50 Alcoa, Inc. Expiring February, 2016 at $10.00 Allergan PLC Expiring January, 2016 at $300.00 Amazon.com, Inc. Expiring January, 2016 at $550.00 American Airlines Group, Inc. Expiring January, 2016 at $45.00 American Express Co. Expiring January, 2016 at $77.50 American Tower Corp. Expiring January, 2016 at $92.50 Amgen, Inc. Expiring January, 2016 at $155.00 Aon PLC Expiring January, 2016 at $95.00 Apple, Inc. Expiring February, 2016 at $120.00 Applied Materials, Inc. Expiring January, 2016 at $17.00 Archer-Daniels-Midland Co. Expiring January, 2016 at $45.00 Ashland, Inc. Expiring January, 2016 at $110.00 AT&T, Inc. Expiring February, 2016 at $35.00 Automatic Data Processing, Inc. Expiring February, 2016 at $87.50 AutoZone, Inc. Expiring January, 2016 at $730.00 Avis Budget Group, Inc. Expiring February, 2016 at $42.50 Bank Of America Corp. Expiring February, 2016 at $17.00 www.bridgeway.com
4
$ (1,280)
5
(50)
12
(3,984)
330
(17,820)
3
(4,740)
2
(25,800)
130
(2,990)
5
(10)
3
(1,410)
4
(3,560)
4
(200)
12
(624)
26
(4,368)
8
(24)
45
(2,250)
22
4
(748)
(480)
2
(4,430)
70
(3,850)
20
Baxter International, Inc. Expiring January, 2016 at $37.50 Becton Dickinson & Co. Expiring March, 2016 at $155.00 Biogen, Inc. Expiring January, 2016 at $310.00 Bristol-Myers Squibb Co. Expiring March, 2016 at $70.00 C.R. Bard, Inc. Expiring January, 2016 at $200.00 Capital One Financial Corp. Expiring January, 2016 at $80.00 Carnival Corp. Expiring January, 2016 at $55.00 Centene Corp. Expiring February, 2016 at $67.50 CenturyLink, Inc. Expiring April, 2016 at $26.00 Expiring January, 2016 at $28.00
3
$
(333)
3
(1,320)
3
(1,770)
7
(1,680)
3
(30)
7
(14)
5
(425)
70
(20,300)
12 65
(1,260) (260) (1,520)
Charles Schwab Corp. (The) Expiring January, 2016 at $30.00 Chesapeake Energy Corp. Expiring January, 2016 at $8.00 Chevron Corp. Expiring January, 2016 at $95.00 Cisco Systems, Inc. Expiring January, 2016 at $27.00 CIT Group, Inc. Expiring January, 2016 at $42.00 Citigroup, Inc. Expiring January, 2016 at $52.50 Citrix Systems, Inc. Expiring January, 2016 at $75.00 Coca-Cola Co. (The) Expiring March, 2016 at $43.00 Cognizant Technology Solutions Corp., Class A Expiring January, 2016 at $67.50 Colgate-Palmolive Co. Expiring February, 2016 at $67.50 Comcast Corp., Class A Expiring January, 2016 at $62.50 Comerica, Inc. Expiring January, 2016 at $43.00 ConocoPhillips Expiring January, 2016 at $50.00
20
(6,000)
8
(72)
8
(320)
30
(1,290)
75
(825)
15
(1,125)
5
(1,215)
8
(984)
15
(45)
7
(679)
10
(30)
3
(144)
4
(160)
(1,200) 1
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company Call Options Written (continued) Constellation Brands, Inc., Class A Expiring January, 2016 at $140.00 CVS Health Corp. Expiring January, 2016 at $110.00 Danaher Corp. Expiring March, 2016 at $95.00 Deere & Co. Expiring January, 2016 at $82.50 Dollar General Corp. Expiring February, 2016 at $72.50 Dow Chemical Co. (The) Expiring March, 2016 at $50.00 eBay, Inc. Expiring January, 2016 at $27.50 Electronic Arts, Inc. Expiring January, 2016 at $70.00 EMC Corp. Expiring January, 2016 at $26.00 Emerson Electric Co. Expiring January, 2016 at $48.00 Everest Re Group, Ltd. Expiring January, 2016 at $180.00 Exelon Corp. Expiring April, 2016 at $28.00 Exxon Mobil Corp. Expiring February, 2016 at $80.00 Expiring January, 2016 at $75.00
Number of Contracts
7
Value
$ (3,290)
5
(5)
8
(1,760)
7
(70)
7
(1,435)
9
(3,105)
5
(240)
5
(660)
20
(600)
5
(500)
30
(12,900)
12
(1,260)
20 15
(3,120) (5,310)
55 10
(25,795) (3,480) (29,275)
FedEx Corp. Expiring January, 2016 at $160.00 Ford Motor Co. Expiring March, 2016 at $14.00 Freeport-McMoRan, Inc. Expiring February, 2016 at $9.00 Gap, Inc. (The) Expiring January, 2016 at $33.00 Garmin, Ltd. Expiring January, 2016 at $35.00
2
General Electric Co. Expiring March, 2016 at $31.00 General Mills, Inc. Expiring April, 2016 at $62.50 General Motors Co. Expiring March, 2016 at $35.00 Gilead Sciences, Inc. Expiring April, 2016 at $105.00 Expiring February, 2016 at $110.00
Value
10
$(1,060)
10
(460)
25
(2,625)
8
(2,592)
50
(4,900) (7,492)
(8,430) Facebook, Inc., Class A Expiring February, 2016 at $105.00 Expiring March, 2016 at $110.00
Number of Contracts
Company
4
(36)
25
(1,475)
130
(2,340)
6
(12)
80
(19,440)
Hewlett-Packard Co. Expiring February, 2016 at $30.00 Intel Corp. Expiring February, 2016 at $36.00 JM Smucker Co. (The) Expiring January, 2016 at $120.00 Johnson & Johnson Expiring January, 2016 at $100.00 JPMorgan Chase & Co. Expiring January, 2016 at $65.00 Juniper Networks, Inc. Expiring January, 2016 at $30.00 KeyCorp Expiring March, 2016 at $13.00 Kimberly-Clark Corp. Expiring April, 2016 at $125.00 Kinder Morgan, Inc. Expiring January, 2016 at $32.50 Kroger Co. (The) Expiring January, 2016 at $40.00 LyondellBasell Industries NV, Class A Expiring January, 2016 at $90.00 Marathon Petroleum Corp. Expiring January, 2016 at $50.00 MasterCard, Inc., Class A Expiring January, 2016 at $100.00 McGraw Hill Financial, Inc. Expiring February, 2016 at $97.50 Merck & Co., Inc. Expiring January, 2016 at $55.00 Micron Technology, Inc. Expiring January, 2016 at $16.00
Semi-Annual Report
15
(240)
8
(392)
4
(1,600)
8
(2,768)
15
(2,520)
25
(75)
15
(1,170)
4
(2,480)
8
(8)
15
(3,225)
4
(340)
6
(1,530)
4
(176)
3
(1,080)
12
(120)
200
(800)
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company Call Options Written (continued) Expiring January, 2016 at $18.00
Number of Contracts 20
Value $
(20) (820)
Microsoft Corp. Expiring February, 2016 at $55.00 Mondelez International, Inc. Expiring March, 2016 at $45.00 Monsanto Co. Expiring April, 2016 at $105.00 Morgan Stanley Expiring January, 2016 at $36.00 Murphy Oil Corp. Expiring February, 2016 at $22.50 National Oilwell Varco, Inc. Expiring February, 2016 at $40.00 Nielsen Holdings PLC Expiring February, 2016 at $48.00 NIKE, Inc., Class B Expiring January, 2016 at $65.00 Northrop Grumman Corp. Expiring February, 2016 at $190.00 Oracle Corp. Expiring January, 2016 at $39.00 PayPal Holdings, Inc. Expiring January, 2016 at $35.00 PepsiCo, Inc. Expiring April, 2016 at $100.00 Pfizer, Inc. Expiring March, 2016 at $33.00 PNC Financial Services Group, Inc. (The) Expiring February, 2016 at $97.50 Procter & Gamble Co. (The) Expiring April, 2016 at $82.50 QUALCOMM, Inc. Expiring January, 2016 at $57.50 Raytheon Co. Expiring February, 2016 at $130.00 Reinsurance Group of America, Inc. Expiring January, 2016 at $90.00 Ross Stores, Inc. Expiring February, 2016 at $52.50 Santander Consumer USA Holdings, Inc. Expiring April, 2016 at $16.00
www.bridgeway.com
20
(4,700)
10
(2,170)
5
(950)
10
(10)
113
100
(17,967)
(1,500)
7
(770)
14
(462)
4
(2,136)
15
(45)
4
(700)
4
(1,400)
15
(1,020)
6
(1,116)
7
(868)
7
(14)
7
(1,057)
10
(550)
6
(1,770)
30
(3,450)
Company Skyworks Solutions, Inc. Expiring February, 2016 at $80.00 Southwest Airlines Co. Expiring January, 2016 at $46.00 Southwestern Energy Co. Expiring March, 2016 at $6.00 Starbucks Corp. Expiring January, 2016 at $62.50 Starwood Hotels & Resorts Worldwide, Inc. Expiring February, 2016 at $75.00 Stryker Corp. Expiring January, 2016 at $100.00 Thermo Fisher Scientific, Inc. Expiring January, 2016 at $130.00 Travelers Cos., Inc. (The) Expiring January, 2016 at $115.00 Twenty-First Century Fox, Inc., Class A Expiring January, 2016 at $31.00 Tyco International PLC Expiring April, 2016 at $32.00 Expiring January, 2016 at $37.00
Number of Contracts
Value
60
$(22,200)
12
(132)
130
(23,530)
8
(160)
28
(1,596)
4
(20)
4
(4,760)
10
(710)
7
(35)
13 120
(1,742) (3,240) (4,982)
U.S. Bancorp Expiring January, 2016 at $43.00 United Continental Holdings, Inc. Expiring February, 2016 at $60.00 United Rentals, Inc. Expiring February, 2016 at $75.00 UnitedHealth Group, Inc. Expiring March, 2016 at $120.00 Valero Energy Corp. Expiring January, 2016 at $65.00 Verizon Communications, Inc. Expiring February, 2016 at $47.00 Visa, Inc., Class A Expiring January, 2016 at $80.00 Voya Financial, Inc. Expiring February, 2016 at $42.00 Wal-Mart Stores, Inc. Expiring January, 2016 at $67.50
12
(924)
90
(15,750)
70
(22,400)
9
(4,095)
12
(7,500)
15
(765)
15
(495)
20
(100)
8
(8)
3
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued) Showing percentage of net assets as of December 31, 2015 (Unaudited) Company
Number of Contracts
Call Options Written (continued) Walt Disney Co. (The) Expiring January, 2016 at $110.00 Waste Management, Inc. Expiring January, 2016 at $55.00 Wells Fargo & Co. Expiring January, 2016 at $55.00 WhiteWave Foods Co. (The) Expiring February, 2016 at $40.00 Williams Cos., Inc. (The) Expiring January, 2016 at $50.00 Yum! Brands, Inc. Expiring January, 2016 at $85.00
6
Value
$
(234)
7
(175)
15
(1,005)
120
(20,760)
5
(15)
5
(10)
TOTAL CALL OPTIONS WRITTEN — (0.73%) (Premiums received $(654,220))
(412,129)
4
Santander Consumer USA Holdings, Inc. Expiring January, 2016 at $20.00 Expiring January, 2016 at $21.00
9 106
Value
$
(3,150) (47,700) (50,850)
Seagate Technology PLC Expiring January, 2016 at $32.00 Skechers U.S.A., Inc. Expiring January, 2016 at $46.67 Starbucks Corp. Expiring January, 2016 at $57.50 Tesoro Corp. Expiring February, 2016 at $105.00 Expiring February, 2016 at $110.00
40
(520)
114
(165,300)
60
(1,740)
20
(11,500)
35
(29,750) (41,250)
Valero Energy Corp. Expiring March, 2016 at $67.50 VeriSign, Inc. Expiring March, 2016 at $90.00
PUT OPTIONS WRITTEN - (0.89%) Acuity Brands, Inc. Expiring February, 2016 at $230.00 AerCap Holdings NV Expiring January, 2016 at $40.00 Aflac, Inc. Expiring February, 2016 at $65.00 Alphabet, Inc., Class A Expiring March, 2016 at $720.00 Amazon.com, Inc. Expiring February, 2016 at $650.00 Apple, Inc. Expiring January, 2016 at $100.00 Baxter International, Inc. Expiring January, 2016 at $32.50 Delta Air Lines, Inc. Expiring March, 2016 at $50.00 Edison International Expiring January, 2016 at $62.50 Exelon Corp. Expiring January, 2016 at $27.00 Exxon Mobil Corp. Expiring January, 2016 at $80.00 General Motors Co. Expiring March, 2016 at $35.00 Goodyear Tire & Rubber Co. (The) Expiring January, 2016 at $31.00 Johnson & Johnson Expiring January, 2016 at $97.50 NIKE, Inc., Class B Expiring January, 2016 at $60.00
Number of Contracts
Company
10
(8,520)
100
(1,500)
90
(48,600)
8
(17,080)
11
(27,511)
60
(3,660)
90
(180)
110
(29,150)
20
(6,400)
105
(3,675)
70
(17,570)
150
(32,400)
120
(1,800)
60
(960)
50
(2,400)
TOTAL PUT OPTIONS WRITTEN — (0.89%) (Premiums received $(438,367)) TOTAL OPTIONS WRITTEN — (1.62%) (Premiums received $(1,092,587))
Semi-Annual Report
70
(21,700)
40
(22,200) (504,966) $(917,095)
December 31, 2015 (Unaudited)
Managed Volatility Fund SCHEDULE OF OPTIONS WRITTEN (continued)
Summary of inputs used to value the Fund’s investments as of 12/31/2015 (See Note 2 in Notes to Financial Statements):
Assets Table Valuation Inputs Investment in Securities (Value) Level 2 Significant Observable Inputs
Level 1 Quoted Prices
Common Stocks U.S. Government Obligations Money Market Fund Investments Purchased with Cash Proceeds from Securities Lending TOTAL
$33,971,678 $
—
Level 3 Significant Unobservable Inputs
—
$33,971,678
— 21,995,155
—
21,995,155
—
875,937
—
875,937
—
207,932
—
207,932
—
$57,050,702
$33,971,678 $23,079,024
$
Total
$
Liabilities Table Valuation Inputs Investment in Securities (Value) Level 1 Quoted Prices
Level 2 Significant Observable Inputs
Level 3 Significant Unobservable Inputs
Options Written
$(909,887)
$(7,208)
$
—
$(917,095)
TOTAL
$(909,887)
$(7,208)
$
—
$(917,095)
Total
See Notes to Financial Statements.
www.bridgeway.com
5
