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Previous: NEFF CORP, 8-K/A, 2000-03-02 |
Next: BALANCE BAR CO, 15-12G, 2000-03-02 |
<PAGE>
--------------------------------------------------
BARR ROSENBERG VARIABLE INSURANCE Trust
--------------------------------------------------
Barr Rosenberg VIT Market Neutral Fund
Annual Report
--------------------------------------------------
December 31, 1999
--------------------------------------------------
This report is for the information of the shareholders of the Barr Rosenberg
Variable Insurance Trust. Its use in connection with any offering of the Trust's
shares is authorized only in the case of a concurrent or prior delivery of the
Trust's current prospectus.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
- -----------------------------------------------------------------------------
Fund Performance Commentary
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------
7/1/99 8/1/99 9/1/99 10/1/99 11/1/99 12/1/99 1/1/00
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
____________ Barr Rosenberg VIT Market 10,000 9,880 9,880 9,920 9,920 9,570 9,620
Neutral Fund
- ----------------------------------------------------------------------------------------------------------------------------------
__ __ __ 90-day T-bills 10,000 10,037 10,076 10,115 10,166 10,166 10,240
</TABLE>
Cumulative Total Returns as of December 31, 1999/1/
Since Inception
July 1, 1999
------------
Barr Rosenberg VIT Market Neutral Fund -3.80%
U.S. 90-day Treasury Bills 2.40%
For the period ended December 31, 1999, the Fund underperformed its benchmark,
U.S. 90-day T-bills by 6.20%. The performance gap between growth and value small
cap stocks is at record levels. For the 12 months ended December 31, 1999, the
Russell 2500 Growth Index/2/ outperformed the Russell 2500 Value Index/3/ by
53.36%.
Because the Manager's stock selection models are based on fundamental analysis,
they tend to produce better results when investors focus on the relationship
between current company fundamentals and prices. The Fund's performance will
generally suffer in environments, like the current one, in which the domination
of growth stocks becomes extreme. In extreme growth environments,
investorstypically reward stocks for which current fundamentals are poor, but
long-term earnings growth is expected to be far greater than the market. Because
AXA Rosenberg's stock selection process is focused on the identification of
stocks with attractively priced current fundamentals and future expected
earnings, this extreme environment has proven to be a difficult one.
Performance data represents past performance which does not guarantee future
Investment results. return and principal value may increase or decrease
depending upon market conditions so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
__________________
/1/ Returns are not annualized because the Fund has not yet been operational
for a full year.
/2/ The Russell 2500 Growth Index measures the performance of the Russell 2500
Index companies with higher price- to-book ratios and higher forecasted growth
values.
/3/ The Russell 2500 Value Index measures the performance of the Russell 2500
Index companies with lower price-to-book ratios and lower forecasted growth
values.
2
<PAGE>
Investment in shares of the Barr Rosenberg VIT Market Neutral Fund is more
volatile and risky than some other forms of investments. Since the Fund has both
a long and a short portfolio, an investment in the Barr Rosenberg VIT Market
Neutral Fund will involve risks associated with twice the number of investment
decisions made for a typical stock fund. These types of funds typically have a
high portfolio turnover that could increase transaction costs and cause short-
term capital gains to be realized. While it may be the intent of the Manager to
take long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Since risk in the Barr Rosenberg VIT Market Neutral Fund relates specifically to
the Manager's stock selection techniques and not to any systematic or economy-
wide factors, the proper benchmark is an asset that also has the least exposure
to systematic influences. U.S. 90-day T-bills are such an asset. An investment
in 90-day T-bills is different from an investment in the Barr Rosenberg VIT
Market Neutral Fund because T-bills are backed by the full faith and credit of
the U.S. Government. T-bills have a fixed rate of return, and investors do not
bear the risk of losing their investment. The income received from T-bills is
free from state income tax.
Total return includes change in share price and reinvestment of distributions.
Total return set forth may reflect the waiver of a portion of the Fund's
advisory or administrative fees for certain periods since the inception date. In
such instances, and without the waiver of fees, total return would have been
lower.
3
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments - December 31, 1999
- -------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks - 90.7%
Airlines - 0.0%
200 Mesa Air Group* $ 950
---
Autos - 0.2%
500 Wabash National 7,500
-----
Banking - 3.0%
400 Ambanc Holding Company 5,900
400 Capital Corporation of the West* 3,900
700 Dime Community Bancshares 12,950
500 ITLA Capital* 6,281
700 New Century Financial* 11,025
2,100 Pacific Century Financial 39,243
100 Pacific Crest Capital 1,275
900 PennFed Financial Services 13,613
100 Pinnacle Bancshares 813
300 Quaker City Bancorp* 4,875
300 Student Loan 14,962
300 Wells Financial 3,469
-----
118,306
-------
Building - 0.2%
300 AMREP* 1,425
100 Liberty Homes, Class A 819
200 M/I Schottenstein Homes 3,112
100 Skyline 2,350
100 Washington Homes* 500
100 Zaring National* 463
---
8,669
-----
Chemicals - 1.9%
300 American Vanguard 1,838
100 Bairnco 600
600 Fuller (H. B.) 33,562
2,100 High Plains* 4,003
600 LESCO 10,200
600 Lubrizol 18,525
500 Sybron Chemicals* 5,875
-----
74,603
------
Construction Material - 2.6%
200 Ameron International 7,913
200 Continental Materials* 4,550
400 Devcon International* 2,275
600 Donnelly 8,400
1,500 Lafarge 41,437
800 USG 37,700
------
102,275
-------
See accompanying notes to the financial statements.
4
<PAGE>
[CAPTION]
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Drugs - 7.2%
400 Abgenix* $ 53,000
800 Bausch & Lomb 54,750
800 Cambrex 27,550
600 ChiRex* 8,775
800 Cytotherapeutics* 1,175
400 Diagnostic Products 9,800
2,000 Dura Pharmaceuticals* 27,875
500 ImmuLogic Pharmaceutical 281
300 MedImmune* 49,763
500 New Brunswick Scientific Company* 2,563
2,800 Perrigo* 22,400
938 Shire Pharmaceuticals Group plc - ADR* 27,319
------
285,251
-------
Electric Utilities - 0.5%
1,300 Public Service Company of New Mexico 21,125
------
Electronics - 12.9%
400 Atmel* 11,825
200 Bio-Rad Laboratories, Class A* 4,675
900 Cypress Semiconductor* 29,138
100 Diodes* 2,150
600 General Semiconductor* 8,513
400 IPC Communications* 28,400
300 Keithley Instruments 6,113
1,800 Mallinckrodt 57,262
100 Mine Safety Appliances 6,400
200 Moore Products 7,975
500 PMC-Sierra* 80,155
700 Porta Systems* 525
500 RF Micro Devices* 34,219
300 SDL* 65,399
500 Spacelabs Medical* 9,281
600 Sparton* 3,188
900 Syntellect* 2,700
800 Tektronix 31,100
100 Trio-Tech International* 369
100 Triquint Semiconductor* 11,125
3,300 U.S. Industries 46,200
500 Varian* 11,250
1,500 Vishay Intertechnology* 47,437
------
505,399
-------
Financial Investments - 0.3%
300 Air Methods* 938
100 IPI* 250
See accompanying notes to the financial statements.
5
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Financial Investments (continued)
500 PS Group Holdings $ 5,624
1,000 Sunrise International Leasing* 5,219
-----
12,031
------
Food - 2.9%
100 Blimpie International 188
900 Corn Products International 29,475
2,600 Pepsi Bottling Group 43,062
1,300 Ralcorp Holdings* 25,919
300 Sonoma West Holdings* 1,800
800 Triarc Companies* 14,700
------
115,144
-------
Health - 0.4%
200 Diagnostic Health Services* 29
1,400 LifePoint Hospitals* 16,537
------
16,566
------
Household - 4.4%
500 Aldila* 688
1,000 Armstrong World Industries 33,375
900 Associated Materials 14,738
1,900 Brunswick 42,274
200 Catalina Lighting* 963
500 Genlyte Group* 10,688
1,000 Gundle/SLT Environmental* 3,500
300 Kimball International, Class B 4,950
300 LADD Furniture* 5,925
300 Michael Anthony Jewelers* 881
1,200 National Service Industries 35,399
300 Reunion Industries* 511
600 West Pharmaceutical Services 18,563
------
172,455
-------
Insurance - 2.6%
200 National Western Life Insurance, Class A* 13,725
1,000 PacifiCare Health Systems, Class A* 53,000
700 PMI Group 34,169
100 Standard Management* 475
---
101,369
-------
Machinery - 6.3%
400 Ampco-Pittsburgh 4,050
4,200 Boots & Coots International Well Control* 1,838
400 Butler Manufacturing 8,925
1,100 Cummins Engine Company 53,143
200 Dayton Superior* 3,250
400 Gehl* 7,200
500 Kinark* 750
See accompanying notes to the financial statements.
6
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Machinery (continued)
100 Maxco* $ 988
1,300 Middleby* 7,313
400 Powell Industries* 2,750
1,900 Snap-on 50,468
200 Starrett (L.S.), Class A 4,488
800 Teleflex 25,050
1,200 Trinity Industries 34,125
800 United Industrial 7,400
1,100 Varian Semiconductor Equipment Associates* 37,400
-------
249,138
-------
Media - 4.8%
600 Chris-Craft Industries* 43,275
600 Ennis Business Forms 4,650
300 Four Media* 4,463
300 Media General, Class A 15,600
500 TMP Worldwide* 71,000
1,100 True North Communications 49,156
400 Wave Technologies International* 1,350
-------
189,494
-------
Metals - 1.6%
400 Atchison Casting* 3,650
1,500 Pacific Aerospace & Electronics* 1,875
600 Quanex 15,300
300 Ryerson Tull 5,831
1,300 Steel Technologies 18,850
1,800 Walter Industries 19,463
-------
64,969
-------
Miscellaneous Financial - 1.1%
700 Atalanta Sosnoff Capital 5,950
200 Vance 7,600
800 Federated Investors 16,050
400 JWGenesis Financial* 11,850
900 Maxcor Financial Group* 2,419
-------
43,869
-------
Office Machinery - 2.5%
900 Baldwin Technology Company, Class A* 1,913
100 Equinox Systems* 900
400 Extreme Networks* 33,400
300 Key Tronic* 1,125
600 Kronos* 35,999
200 Miltope Group* 144
400 Netopia* 21,725
700 PAR Technology* 3,325
-------
98,531
-------
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Oil - 2.8%
1,200 Apache $ 44,325
1,000 Cabot Oil & Gas, Class A 16,063
800 Murphy Oil 45,899
2,100 Tipperary* 2,888
-------
109,175
-------
Oil - International - 0.1%
300 Holly 4,013
-------
Oil Distribution - 1.8%
800 Ashland 26,350
2,000 Huntway Refining* 2,375
1,900 Ultramar Diamond Shamrock 43,106
-------
71,831
-------
Oil Services - 0.4%
700 Oceaneering International* 10,456
1,200 Petroleum Development* 4,575
-------
15,031
-------
Other Utilities - 1.8%
1,400 Equitable Resources 46,724
1,000 KeySpan 23,188
200 TRC Companies* 1,538
-------
71,450
-------
Paper - 0.0%
300 Badger Paper Mills* 1,500
-------
Real Estate Assets - 2.3%
300 Abrams Industries 1,275
2,000 Arden Realty 40,124
200 Bridgestreet Accommodations* 300
600 CBL & Associates Properties 12,375
500 Commercial Assets 2,188
1,400 Cornerstone Realty Income Trust 13,650
400 Excel Legacy* 1,325
100 ILX Resorts* 150
600 Pan Pacific Retail Properties 9,788
600 Prime Group Realty Trust 9,113
-------
90,288
-------
Retail/Wholesale - 7.7%
100 Advanced Marketing Services 2,844
600 Audiovox, Class A* 18,225
600 Avnet 36,299
100 Bell Microproducts* 1,100
1,000 BJ's Wholesale Club* 36,499
900 Burlington Coat Factory Warehouse 12,488
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Retail/Wholesale (continued)
500 DEB Shops $ 9,250
700 Drug Emporium* 3,106
1,400 Friedman's, Class A 10,500
900 Gottschalks* 6,694
700 Government Technology Services* 1,925
1,200 Handleman* 16,050
300 Hirsch International* 338
400 Hughes Supply 8,625
800 International Multifoods 10,600
500 JLM Industries* 1,688
500 Katy Industries 4,344
300 Loehmann's* 15
300 REX Stores* 10,500
200 S & K Famous Brands* 1,188
300 Software Spectrum* 5,306
100 Speizman Industries* 475
700 Spiegel, Class A* 4,922
400 Suprema Specialties* 3,150
200 Syms* 1,000
400 The Sportsman's Guide* 1,000
2,600 Toys R Us* 37,212
300 Unapix Entertainment* 563
100 United Retail Group* 825
900 Value City Department Stores* 13,613
900 Zale* 43,537
-------
303,881
-------
Services - 10.0%
1,600 AC Nielsen* 39,399
300 Angelica 2,925
1,500 Avant!* 22,500
200 BroadVision* 34,013
500 CDI* 12,063
300 Diehl Graphsoft* 2,138
300 Group 1 Software* 3,900
1,000 Korn/Ferry International* 36,375
1,700 Mentor Graphics* 22,419
100 Mercury Interactive* 10,794
1,600 Morrison Knudsen* 12,500
400 Opinion Research* 3,600
100 Peregrine Systems* 8,419
600 Progress Software* 34,050
800 ProMedCo Management* 2,350
500 Quality Systems* 3,875
1,400 Sterling Software* 44,099
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Services (continued)
800 Symantec* $ 46,899
100 Systems & Computer Technology* 1,625
100 TALX* 1,325
200 TRM* 1,225
1,300 Viad 36,238
1,100 Westaff* 9,075
-------
391,806
-------
Soaps & Cosmetics - 0.7%
515 Block Drug Company, Class A 15,964
500 Carter-Wallace 8,969
100 CPAC 813
------
25,746
------
Telephone - 1.5%
400 Atlantic Tele-Network 3,675
300 RealNetworks* 36,093
200 U.S. Cellular* 20,188
------
59,956
------
Textiles - 1.5%
1,400 Dixie Group 10,325
300 Haggar 3,413
1,200 Kellwood 23,324
300 PremiumWear* 1,650
500 Springs Industries, Class A 19,969
------
58,681
------
Transportation - 1.0%
1,100 Alexander & Baldwin 25,093
100 Boyd Brothers Transportation* 650
600 Marine Transport* 1,575
300 Old Dominion Freight Line* 3,225
300 RailTex* 5,363
300 Yellow* 5,044
------
40,950
------
Travel/Entertainment - 3.7%
500 AMERCO* 12,500
100 Ark Restaurants* 863
2,900 Darden Restaurants 52,562
200 Lakes Gaming* 1,588
100 Luby's 1,138
300 Max & Erma's Restaurant* 2,175
500 Morton's Restaurant Group* 7,750
3,200 Park Place Entertainment* 39,999
800 Sonic* 22,799
220 Uno Restaurant* 2,448
See accompanying notes to the financial statements.
10
<PAGE>
<TABLE>
<CAPTION>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - December 31, 1999
- --------------------------------------------------------------------------------------------------------------------
<S> <C>
Shares Market Value
------ ------------
Common Stocks (continued)
Travel/Entertainment (continued)
600 Venture Catalyst* $ 2,119
------------
145,941
------------
Total Common Stocks
(Cost $3,292,975) - 90.7% 3,577,893
------------
Repurchase Agreement - 7.2%
Bear Stearns, dated 12/31/99, due 01/04/00
at 2.87% with a maturity value of $282,575,
(Collateralized by $285,000 U.S. Treasury Notes,
6.375%, 03/31/01, market value -- $290,171)
282,507
------------
Total Short Term Securities
(Cost $282,507) 282,507
------------
Total Investments (Cost $3,575,482)(a) - 97.9% 3,860,400
------------
Deposits with Brokers and Custodian Bank for Securities Sold Short - 94.1%
Bear Stearns Deposit A/C, 3.35% 3,711,982
------------
Total Deposits with Brokers and Custodian Bank for Securities Sold Short
(Cost $3,711,982) 3,711,982
------------
Payable to Brokers for Securities Sold Short - (2.5)% (100,948)
------------
Securities Sold Short (Proceeds $3,271,218) - (90.9)% (3,583,159)
------------
Other assets in excess of liabilities - 1.4% 55,361
------------
Total Net Assets - 100% $ 3,943,636
============
- ------------------
* Non-income producing security.
ADR - American Depository Receipt.
(a) At December 31, 1999, the aggregate cost of investment securities and proceeds for securities
sold short for income tax purposes was $3,575,482 and $(3,263,711) respectively. Cost for
federal tax purposes differs from value by net unrealized depreciation as follows:
Unrealized appreciation - Investments $ 564,395
Unrealized depreciation - Investments (279,477)
Unrealized appreciation - Short Sales 219,041
Unrealized depreciation - Short Sales (538,489)
------------
Net unrealized depreciation $ (34,530)
============
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks - 90.9%
Airlines - 0.2%
300 Atlantic Coast Airlines Holdings* $ 7,125
Autos - 1.0%
700 Gentex* 19,425
1,700 MascoTech 21,569
--------
40,994
--------
Banking - 3.6%
900 Bank United 24,525
1,000 Doral Financial 12,313
200 Northwest Bancorp 1,388
1,400 Peoples Heritage Financial Group 21,088
2,100 Synovus Financial 41,737
500 US Trust 40,093
--------
141,144
--------
Building - 0.3%
600 Palm Harbor Homes* 10,800
--------
Chemicals - 2.6%
600 Advanced Polymer Systems* 2,063
3,200 Lyondell Chemical 40,800
1,200 Smith International* 59,625
500 Synthetech* 1,875
--------
104,363
--------
Construction Material - 2.3%
1,500 Dal-Tile International* 15,188
1,000 Martin Marietta Materials 40,999
1,800 Owens-Corning 34,763
--------
90,950
--------
Defense - 0.1%
200 Aerosonic* 2,400
--------
Drugs - 9.2%
700 Alkermes* 34,388
600 Aphton* 9,150
400 Aviron* 6,325
500 Coulter Pharmaceutical* 11,344
400 Enzon* 17,350
200 Gilead Sciences* 10,825
1,300 ICOS* 38,025
800 ImClone Systems* 31,700
500 Inhale Therapeutic Systems* 21,281
1,300 Isis Pharmaceuticals* 8,125
1,100 Martek Biosciences* 13,200
See accompanying notes to the financial statements.
12
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ -------------
Common Stocks (continued)
Drugs (continued)
600 Neose Technologies* $ 8,625
600 Northfield Laboratories* 6,638
200 Orphan Medical* 1,038
500 Research Frontiers* 7,406
500 SangStat Medical* 14,875
700 Sepracor* 69,430
400 Texas Biotechnology* 3,175
500 Transkaryotic Therapies* 19,250
800 Triangle Pharmaceuticals* 10,250
700 Vical* 20,956
--------
363,356
--------
Durables - 0.6%
500 Maytag 24,000
--------
Electric Utilities - 0.9%
1,100 CMS Energy 34,306
-------
Electronics - 11.8%
800 Aetrium* 5,275
400 Affymetrix* 67,874
1,200 Biomet 48,000
700 Com21* 15,706
600 Cooper Companies 18,075
700 Cyberonics* 11,156
1,100 doSonics* 4,950
400 Energy Conversion Devices* 3,700
700 Focal* 2,713
500 Globecomm Systems* 12,625
1,600 Harris 42,700
1,000 logic* 5,750
800 Hutchinson Technology* 17,000
700 i-STAT* 10,150
1,500 put/Output* 7,594
500 MiniMed* 36,625
800 Novoste* 13,200
2,400 PairGain Technologies* 34,050
400 Possis Medical* 3,125
2,200 ad-Rite* 10,450
600 ResMed* 25,050
500 SIPEX* 12,281
900 Tekelec* 20,250
700 Waters* 37,100
-------
465,399
=======
See accompanying notes to the financial statements.
13
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Financial Investments - 0.1%
100 IGEN International* $ 2,975
200 US Energy* 700
3,675
Food - 2.9%
200 Coca-Cola Bottling 9,475
1,500 Starbucks* 36,375
500 Suiza Foods* 19,813
300 Tejon Ranch 7,125
1,300 Tootsie Roll Industries 42,818
----------
115,606
----------
Health - 2.7%
5,100 HEalth Management Associates* 68,212
1,000 Lincare Holdings* 34,688
400 Psychemedics 2,000
----------
104,900
----------
Household - 0.4%
200 Cross (A.T.) Company, Class A* 900
300 Simula* 1,631
700 Tupperware 11,857
----------
14,388
----------
Insurance - 3.1%
63 Citizens* 437
100 Comprehensive Care* 31
1,700 Conseco 30,387
200 Leucadia National 4,625
800 Mercury General 17,800
200 National Wireless Holdings* 5,850
1,700 ford Health Plans* 21,569
300 Provident American* 10,556
200 Reinsurance Group of America 5,550
300 RTW* 1,725
300 The Progressive 21,938
200 Vesta Insurance Group 788
----------
121,256
----------
Machinery - 3.8%
400 A.S.V.* 5,450
800 Black & Decker 41,799
200 CFM Technologies* 1,938
100 Cooper Cameron* 4,894
800 DT Industries 6,300
900 Etec Systems* 40,388
600 Intevac* 2,100
1,200 MEMC Electronic Materials* 14,700
See accompanying notes to the financial statements.
14
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Machinery (continued)
300 SI Handling Systems $ 2,859
800 Stanley Works 24,100
300 Thermo Fibertek* 2,138
400 Unique Mobility* 1,650
---------
148,316
---------
Media - 1.2%
800 Ackerley Group 14,500
1,400 Journal Register* 21,612
100 Lamar Advertising* 6,056
300 Matthews Studio Equipment Group 938
700 Schawk 5,950
---------
49,056
---------
Metals - 1.4%
200 Andrew* 3,788
3,900 Bethlehem Steel* 32,662
200 MAXXAM* 8,575
700 Rouge Industries, Class A 5,513
1,200 Titanium Metals 5,400
---------
55,938
---------
Miscellaneous Financial - 0.3%
1,400 Friedman, Billings, Ramsey Group* 11,025
---------
Office Machinery - 1.8%
1,800 Auspex Systems 18,450
1,100 Avid Technology* 14,300
500 Coinstar* 7,000
500 Drexler Technology* 4,875
800 Network Equipment Technologies* 9,450
200 Presstek* 2,775
500 SoftNet Systems* 12,438
---------
69,288
---------
Oil - 0.3%
600 Pogo Producing 12,300
---------
Oil Distribution - 0.6%
1,100 Northwestern 24,200
---------
Oil Services - 1.9%
1,300 Diamond Offshore Drilling 39,731
2,000 Global Marine* 33,250
---------
72,981
---------
Paper - 1.7%
1,400 Fort James 38,325
See accompanying notes to the financial statements.
15
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Paper (continued)
1,500 Gaylord Container, Class A* $ 10,219
1,200 Playtex Products* 18,450
------
66,994
------
Real Estate Assets - 3.5%
2,100 Crescent Real Estate Equities 38,587
1,300 General Growth Properties 36,400
4,700 Homestake Mining 36,719
500 Rouse 10,625
800 Town & Country Trust 14,350
200 United Mobile Homes 1,650
-------
138,331
-------
Retail/Wholesale - 8.0%
700 AgriBioTech* 1,663
200 Andrx* 8,463
1,800 Barnes & Noble* 37,124
200 Bed Bath & Beyond* 6,950
400 Bergen Brunswig, Class A 3,325
500 Caremark Rx* 2,531
1,800 Champion Enterprises* 15,413
900 Consolidated Stores* 14,625
1,400 DIMON 4,550
500 En Pointe Technologies* 13,750
100 Environmental Technologies* 600
1,600 Fleming Companies 16,400
900 Guitar Center* 9,056
300 NuCo2* 4,388
1,600 Owens & Minor 14,300
3,000 Rite Aid 33,562
1,100 Shop At Home* 10,931
1,200 ShopKo Stores* 27,600
1,600 Stage Stores* 3,700
1,000 Stewart & Stevenson Services 11,844
1,300 Sunglass Hut International* 14,625
1,500 Tech Data* 40,687
300 The Right Start* 6,300
300 Whole Foods Market* 13,913
-------
316,300
-------
Services - 14.0%
500 American Superconductor* 14,000
1,600 Apollo Group, Class A* 32,100
1,900 Cadence Design Systems* 45,600
200 Central Parking 3,825
800 Ceridian* 17,250
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Services (continued)
1,300 CSG Systems International* $ 51,837
1,600 DeVry* 29,800
400 eGlobe* 1,775
600 G & K Services, Class A 19,425
300 GRC International* 3,563
1,000 Incyte Pharmaceuticals* 59,999
800 J.D. Edwards & Co.* 23,900
1,300 Keane* 41,275
500 LCC International* 9,969
300 NOVA* 9,469
400 On Assignment* 11,950
100 ProxyMed* 975
1,900 Robert Half International* 54,268
900 Rollins 13,500
200 SatCon Technology* 1,669
1,100 Sotheby's Holdings 33,000
600 SportsLine USA* 30,075
400 Strayer Education 7,900
1,500 Total System Services 24,469
700 Valence Technology* 13,300
-------
554,893
-------
Telephone - 4.0%
1,800 ICG Communications* 33,750
1,000 Intermedia Communications* 38,813
800 ITC DeltaCom* 22,100
800 McLeodUSA, Class A* 47,099
100 Metricom* 7,863
100 Nextlink Communications* 8,306
-------
157,931
-------
Textiles - 0.6%
300 Barry (R.G.)* 1,181
300 Cintas 15,937
300 Cutter & Buck* 4,538
200 Thomaston Mills, Class A* 300
-------
21,956
-------
Transportation - 1.2%
600 Iron Mountain* 23,588
1,200 OMI - ADR* 2,475
200 SEACOR SMIT* 10,350
1,700 Trico Marine Services* 12,006
-------
48,419
-------
Travel/Entertainment - 4.8%
600 AMC Entertainment* 5,175
</TABLE>
See accompanying notes to the financial statements.
17
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Travel/Entertainment (continued)
300 Hertz, Class A $ 15,038
4,400 Hilton Hotels 42,350
1,600 Premier Parks* 46,200
1,300 SFX Entertainment* 47,043
900 Tricon Global Restaurants* 34,763
----------
190,569
----------
Total Common Stocks 3,583,159
==========
Total Securities Sold Short
(Proceeds $3,271,218) - 90.9% $3,583,159
==========
</TABLE>
_________
* Non-income producing security.
ADR - American Depository Receipt.
See accompanying notes to the financial statements.
18
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statement of Assets and Liabilities
December 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $3,575,482) $ 3,860,400
Deposits with broker and custodian bank for securities sold short 3,711,982
Dividends and interest receivable 10,830
Receivable for securities sold short 47,717
Receivable for investments sold 10,500
Receivable from Manager 65,677
---------------
Total Assets 7,707,106
---------------
LIABILITIES
Securities sold short (proceeds $3,271,218) 3,583,159
Payable to cover securities sold short 148,665
Other accrued liabilities 31,646
---------------
Total Liabilities 3,763,470
---------------
NET ASSETS $ 3,943,636
===============
Shares of beneficial interest outstanding (unlimited shares authorized) 410,000
Net Asset Value, offering price and redemption price per share $ 9.62
NET ASSETS CONSIST OF:
Capital $ 4,094,924
Accumulated undistributed net investment income 71,683
Accumulated net realized gain/(loss) on investments and securities sold short (195,948)
Net unrealized depreciation on short sales (311,941)
Net unrealized appreciation on investments 284,918
---------------
TOTAL NET ASSETS $ 3,943,636
===============
</TABLE>
See accompanying notes to the financial statements.
19
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statement of Operations
For the Period Ended December 31, 1999 (a)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income:
Dividends (Net of withholding taxes of $19) $ 121,503
---------------
Total Investment Income 121,503
---------------
Expenses:
Manager fees 38,103
Administration fees 3,010
Fund accounting fees 26,012
Printing fees 22,644
Trustees' fees 19,896
Dividend expense for securities sold short 15,516
Audit fees 12,212
Insurance fees 11,200
Transfer agent fees 7,294
Custodian fees 1,460
Other expenses 5,182
---------------
Total expenses before waivers/reimbursements 162,529
Less expenses waived/reimbursed (106,790)
---------------
Total Net Expenses 55,739
---------------
Net Investment Income 65,764
---------------
Net Realized Gain/(Loss) on:
Securities sold short (195,205)
Investments 100
Net Change in Unrealized Appreciation/(Depreciation) on:
Securities sold short (311,941)
Investments 284,918
---------------
Net Realized and Unrealized Gain/(Loss) on Investments and
Securities sold short (222,128)
---------------
Net decrease in net assets resulting from operations $ (156,364)
===============
</TABLE>
___________
(a) From commencement of operations on July 1, 1999 to December 31, 1999.
See accompanying notes to the financial statements.
20
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statement of Changes in Net Assets
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Period Ended
December 31, 1999 (a)
---------------------
<S> <C>
Operations:
Net investment income $ 65,764
Net realized gain/(loss) on:
Securities sold short (195,205)
Investments 100
Net change in unrealized appreciation/(depreciation) on:
Securities sold short (311,941)
Investments 284,918
------------------
Net decrease in net assets resulting from operations (156,364)
------------------
Shares of Beneficial Interest:
Proceeds from shares issued 4,000,000
------------------
Net increase in net assets from shares of beneficial interest 4,000,000
------------------
Total increase in net assets 3,843,636
Net Assets:
Beginning of period 100,000
------------------
End of period $ 3,943,636
==================
</TABLE>
___________
(a) From commencement of operations on July 1, 1999 to December 31, 1999.
See accompanying notes to the financial statements.
21
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Notes to Financial Statements
December 31, 1999
- --------------------------------------------------------------------------------
1. Organization. Barr Rosenberg Variable Insurance Trust (the "Trust") was
established as a Massachusetts business trust under the laws of Massachusetts on
March 1, 1998. The Trust is an open-end diversified management investment
company registered under the Investment Company Act of 1940 (the "1940 Act").
There are an unlimited number of authorized units of beneficial interest
("shares") of the Trust which may be divided into an unlimited number of series
of shares. Currently, there is one series; the Barr Rosenberg VIT Market Neutral
Fund (the "Fund").
2. Significant Accounting Policies. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual amounts could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
Security Valuation
Portfolio securities listed on a national exchange or exchanges for which market
quotations are available are valued at their last quoted sale price on each
business day. If there is no such reported sale, the most recently quoted bid
price is used for long securities, and the ask price is used for securities sold
short. Debt obligations with sixty days or less remaining until maturity are
valued at their amortized cost. Unlisted securities for which market quotations
are readily available are valued at the most recent quoted bid price for long
securities, and the ask price is used for securities sold short. Other assets
and securities for which no quotation is readily available are valued at fair
value as determined in good faith by the Trustees or persons acting at their
discretion.
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date, with realized gain or
loss on the sale of investments determined by using the identified cost method.
Corporate actions (including cash dividends) are recorded on the ex-date or
after the ex-date as the Fund becomes aware of such action, net of any non-
refundable tax withholdings. Interest income (including amortization of premium
and accretion of discount) is recorded as earned.
Short Sales
The Fund is authorized to engage in short-selling which obligates the Fund to
replace the security borrowed by purchasing the security at current market value
sometime in the future. The Fund will incur a loss if the price of the security
increases between the date of the short sale and the date on which the Fund
replaces the borrowed security. The Fund will realize a gain if the price of the
security declines between those dates. Until the Fund replaces the borrowed
security, the Fund will maintain a segregated account with cash and/or U.S.
government securities sufficient to cover its short position on a daily basis.
At December 31, 1999, the values of securities sold short in the Fund amounted
to $3,583,159, against which collateral of $7,289,875 was held. The collateral
includes the Bear Stearns Deposit Account and the securities held long, as shown
in the Schedule of Portfolio Investments.
Dividends and Distributions
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to differing
treatments for redemptions-in-kind and wash sales for book and tax purposes.
Permanent book and tax basis differences will result in reclassifications to
capital accounts.
22
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
As of December 31, 1999, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to capital:
Accumulated
(Distributions in excess Undistributed Net
of) Undistributed Net Realized Gain/(Loss) on
Investment Income Investments
------------------------ -----------------------
VIT Market Neutral 5,919 (843)
Organizational Expenses
All costs incurred by the Trust in connection with the organization of the Fund
and the initial public offering of shares of the Fund, principally professional
fees and printing were paid on behalf of the Trust by AXA Rosenberg Investment
Management LLC.
3. Management, Administration, Fund Accounting Agreements. AXA Rosenberg
Investment Management LLC (the "Manager") provides advisory and management
services to the Fund under a management contract. The Manager is entitled to a
fee, computed daily and paid monthly, at the annual rate of 1.90% of the Fund's
average net assets. The Manager has voluntarily agreed to waive fees and
reimburse the Fund to limit annual expenses to 2.00% of the average net assets,
exclusive of the dividend expense on short sales. For the period ended December
31, 1999, the amount of such waivers totaled $38,103. For the period ended
December 31, 1999, the amount of such reimbursements totaled $65,677.
BISYS Fund Services Ohio, Inc. ("BISYS" or the "Administrator"), a wholly-owned
subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and
assists the Trust in all aspects of its administration and operation. The
Administrator is entitled to a fee, computed daily and paid monthly, at an
annual rate of 0.15% of the average net assets of the Fund. For the period ended
December 31, 1999, the amount of the waiver totaled $3,010.
BISYS serves the Trust as fund accountant. Under the terms of the fund
accounting agreement, BISYS is entitled to receive an annual fee and is
reimbursed for certain out-of-pocket expenses incurred in providing fund
accounting services.
The Trust has adopted a distribution and shareholder service plan in conformance
with Rule 12b-1. Pursuant to this plan, the Fund is authorized to pay certain
fees for the sale and distribution of its shares and services provided to its
shareholders at an annual rate not to exceed 0.25% of the Fund's average daily
net assets. No payments were made under the plan for the period July 1, 1999, to
December 31, 1999.
4. Federal Income Taxes. It is the Fund's policy to comply with the
requirements of the Internal Revenue Code under Subchapter M, applicable to
regulated investment companies, and to distribute all of its taxable income,
including any net realized gain on investments, to its shareholders. Therefore,
no provision is made for federal income taxes.
As of December 31, 1999, the Fund had a capital loss carryover of $38,319, which
will expire on December 31, 2007.
23
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Notes to Financial Statements (continued)
December 31, 1999
- --------------------------------------------------------------------------------
Capital losses incurred after October 31st, within a Fund's fiscal year, are
deemed to arise on the first business day of the following fiscal year for tax
purposes. The following Fund has incurred and will elect to defer such capital
losses:
Post October-Losses
-------------------
VIT Market Neutral $150,122
5. Security Purchases and Sales. For the period ended December 31, 1999,
purchases and sales of securities (excluding short-term securities) were
$7,148,130 and $3,855,255, respectively.
6. Trustee Fees. The unaffiliated Trustees each receive an annual fee of
$7,590 plus a $825 meeting fee for each meeting attended.
7. Sales and Redemptions of Shares. Transactions in shares of beneficial
interest were as follows:
Period ended
December 31, 1999*
------------------
Shares sold 400,000
Issued upon reinvestment of distributions -
Shares redeemed -
-------
Net increase 400,000
-------
* From the commencement of operations on July 1, 1999.
8. Concentration of Credit. At December 31, 1999, the Fund had the following
industry concentrations in excess of 10% of its assets: Electronics - 12.9%.
9. Principal Shareholder. AXA Rosenberg Group held 100% of the Fund's shares
outstanding at December 31, 1999.
24
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Financial Highlights
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Period Ended
December 31, 1999 (a)
---------------------
<S> <C>
Net asset value, beginning of period $ 10.00
---------------------
Income from investment operations:
Net investment income 0.16
Net realized and unrealized loss on investments and securities sold short (0.54)
---------------------
Total from investment operations (0.38)
---------------------
Net asset value, end of period $ 9.62
=====================
Total return* (3.80)%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, end of period (000) $ 3,944
Net investment loss before waivers/reimbursements (2.04)% **
Net investment income net of waivers/reimbursements 3.28% **
Expenses (including dividend expense) before waivers/reimbursements 8.10% **
Expenses (including dividend expense) net of waivers/reimbursements 2.78% **
Expenses (excluding dividend expense) net of waivers/reimbursements 2.00% **
Portfolio turnover rate 106.83%
</TABLE>
_____________
(a) From commencement of operations on July 1, 1999 to December 31, 1999.
* Total return for periods less than one year is not annualized.
** Annualized.
See accompanying notes to the financial statements.
25
<PAGE>
Report of Independent Accountants
To the Trustees and shareholders of the Barr Rosenberg Variable Insurance Trust,
In our opinion, the accompanying statements of assets and liabilities, including
the schedule of investments and the schedule of securities sold short at
December 31, 1999, and the related statements of operations and of changes in
net assets and the financial highlights present fairly, in all material
respects, the financial position of the Barr Rosenberg Variable Insurance
(hereafter referred to as the "Fund") at December 31, 1999, and the results of
its operations, the changes in its net assets and the financial highlights for
the period July 1, 1999 (commencement of operations) through December 31, 1999,
in conformity with accounting principles generally accepted in the United
States. These financial statements and financial highlights (hereafter referred
to as "financial statements") are the responsibility of the Fund's management;
our responsibility is to express an opinion on these financial statements based
on our audit. We conducted our audit of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audit, which included confirmation
of securities at December 31, 1999 by correspondence with the custodian and
brokers, provides a reasonable basis for the opinion expressed above.
PricewaterhouseCoopers LLP
San Francisco, California
February 11, 2000
26
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