<PAGE>
BARR ROSENBERG SERIES Trust
JAPAN SERIES
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
November 7, 1996
Fellow shareholders,
On behalf of all of us at the Rosenberg Group, we welcome the new
shareholders who have recently joined us.
We were pleased to receive a Morningstar 5 Star Rating(1) for three and five
years for our U.S. Small Capitalization Fund as of September 30, 1996. In its
most recent quarterly report, Lipper Analytical Services(2) rated our U.S. Small
Capitalization Fund as number 15 out of 94 small company funds based on average
annual return for five years.
We also received favorable mention in two leading mutual fund newsletters:
Sheldon Jacob's NO-LOAD FUND INVESTOR and Litman & Gregory's NO-LOAD FUND
ANALYST. An article in THE NEW YORK TIMES also singled out our International
Small Capitalization Fund for favorable mention.
The institutional shares of the U.S. Small Capitalization and the
International Small Capitalization Funds are now available to Investment
Advisors through the Schwab Institutional Mutual Fund Marketplace. We will be
adding additional distribution channels in the near future.
We would also like to welcome The BISYS Group, Inc. as a new partner to whom
we outsource our mutual fund distribution, administration, fund accounting,
transfer agency and other support services. BISYS is the largest independent
administrator and distributor of mutual funds in the country. Their industry
leadership in technology and their focus on service will help us provide you
with the highest quality service.
The mutual fund industry is a strong and growing market. In two years, it
has grown from $2 trillion to over $3.2 trillion. We believe we have the
critical strengths which will allow us to participate successfully in this
dynamic market. These factors include:
- Track record
- Quantitative, systematic approach to investing
- Effective risk control
We trust that this report meets your needs. We welcome your comments.
Sincerely,
[SIG]
Richard L. Saalfeld
President and Chief Executive Officer
- --------------
(1)Morningstar proprietary ratings reflect historical risk-adjusted performance
as of September 30, 1996. The ratings are subject to change every month.
Morningstar ratings are calculated from the fund's five year annual returns
in excess of the 90-day Treasury returns with appropriate fees adjustments
and a risk factor that reflects fund performance below 90-day T-bill returns.
Ten percent of the funds in an investment category receive five stars, 22.5%
receive four stars, 35% receive three stars, 22.5% receive two stars and 10%
receive one star.
(2)Lipper Analytical Services, Inc. is an independent mutual fund's performance
monitor. Lipper calculations do not include redemption charges, which, if
included would affect results. Past performance is not a guarantee of future
results.
1
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
- The U.S. Small Capitalization Fund outperformed its benchmark, the Russell
2000, during the quarter ended September 30, 1996. The Fund remains ahead
of the Russell 2000 year to date.
- During the quarter, the Fund benefited from strong performance from
financial stocks. Other winning areas included machinery and health
stocks. Some of the weaker performers included some electronics and retail
stocks.
- The quarter saw an initial sell-off of the U.S. stock market in July,
followed by a recovery from late July continuing through September. The
large cap stocks outpaced the broader market as earnings disappointments
in small cap stocks led the market to chase larger cap names.
- The Dow Jones Industrials fell from 5588 to 5377 between July 5 and July
17, 1996. Most of the selling was related to inflation fears and weak
earnings of high profile technology companies. The market recovered around
mid-July after better than expected earnings were reported from Intel, GE
and Ford.
- Continuing signs of economic growth helped cyclical stocks keep pace with
the market. Growth stocks outperformed value stocks as evidenced by the
recovery of many technology related stocks. The Russell 1000 Growth Index
increased 3.6% for the quarter, while the Russell 1000 Value Index
increased 2.9% for the quarter.
TABLE 1: U.S. EQUITY PERFORMANCE
<TABLE>
<CAPTION>
QUARTER
INDEX PERFORMANCE 1996 YTD
<S> <C> <C>
Dow Jones Industrials +3.9% +14.8%
Standard & Poors 500 +2.3% +11.4%
Morgan Stanley Cyclical +2.3% +10.8%
NASDAQ Composite +3.8% +16.9%
Russell 2000 +0.3% +9.4%
U.S. SMALL CAPITALIZATION FUND +1.8% +14.7%
Russell 1000 Value +2.9% +17.9%
Russell 1000 Growth +3.6% +21.4%
</TABLE>
2
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK--98.6%
AIRLINES--0.6%
1,600 Amtran Inc.*...................................... $ 14,000
5,000 Hudson General Corp............................... 200,000
2,200 Mesa Air Group Inc.*.............................. 20,075
9,900 Petroleum Helicopter Inc.......................... 158,400
-----------
392,475
-----------
AUTOS--1.9%
11,700 Amcast Industrial Corp............................ 225,225
10,400 Augat Inc......................................... 221,000
1,100 Durakon Industries Inc.*.......................... 13,750
9,100 Excel Industries Inc.............................. 154,700
8,400 Standard Products Co.............................. 212,100
12,700 Stant Corp........................................ 136,525
6,050 Varlen Corp....................................... 134,991
-----------
1,098,291
-----------
BANKS--7.9%
6,840 Albank Financial Corp............................. 196,650
1,800 American Bancorp Ohio............................. 43,200
3,100 Broad National Bancorp............................ 33,325
3,900 California State Bank Covina...................... 59,475
2,700 Capitol Bancorp Ltd,.............................. 34,425
1,000 CB Bancshares Inc................................. 27,500
1,400 Center Banks Inc.................................. 19,250
9,700 Center Financial Corp............................. 243,713
5,500 Commercial Bank of New York....................... 66,000
4,000 Corus Bankshares Inc.............................. 128,000
4,200 CPB Inc........................................... 121,800
4,840 CVB Financial Corp................................ 77,440
9,800 Evergreen Bancorp Inc............................. 144,550
7,000 First Financial Caribbean Corp.................... 150,500
1,300 First Franklin Corp............................... 18,525
2,000 First Mortgage Corp.*............................. 9,250
1,680 First Mutual Savings Bank Bellevue................ 24,780
8,400 First Republic Bancorp*........................... 131,250
3,630 Foothill Independent Bancorp...................... 31,308
4,200 GBC Bancorp....................................... 116,550
2,232 Grand Premier Financial........................... 23,157
2,300 Granite State Bankshares Inc...................... 42,837
5,600 Hancock Holding Co................................ 212,800
2,100 Haverfield Corp................................... 39,900
3,000 Hawthorne Financial Corp.*........................ 21,750
8,000 Hoenig Group Inc.................................. 32,000
3,000 Home Fed Bancorp.................................. 87,750
2,236 Imperial Bancorp.................................. 65,962
1,000 Iroquois Bancorp Inc.............................. 15,500
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
BANKS (CONTINUED)
9,100 JSB Financial Inc................................. $ 328,737
4,700 Lawrence Savings Bank*............................ 31,725
8,400 Mainstreet Bankgroup Inc.......................... 155,400
12,700 Magna Bancorp..................................... 250,825
6,500 Medford Savings Bank.............................. 151,125
500 MidConn Bank...................................... 9,500
9,300 New York Bancorp Inc.............................. 294,113
5,900 Newmil Bancorp Inc................................ 42,038
5,500 North Side Savings Bank........................... 265,375
1,050 Northrim Bank of Alaska........................... 9,188
1,000 Peoples Savings Financial Corp.................... 28,500
6,100 Poncebank......................................... 141,063
1,000 Progressive Bank Inc.............................. 31,500
500 Quaker CityBancorp Inc.*.......................... 7,250
1,000 Republic Bancshares Inc.*......................... 12,875
2,100 Sandwich Co. Operative Bank....................... 45,675
4,200 Simmons First National Corp.--Class A............. 141,750
4,400 Sterling Bancorp.................................. 56,100
4,800 Vermont Financial Services Corp................... 164,400
4,000 Walden Bancorp.................................... 124,000
3,900 Warren Bancorp.................................... 51,675
-----------
4,561,961
-----------
BUILDING--2.6%
2,000 Amrep Corp.*...................................... 9,750
6,500 Beazer Homes USA Inc.*............................ 93,438
7,050 Cavalier Homes Inc................................ 130,425
5,400 Continental Homes Holding Corp.................... 96,525
4,900 Liberty Homes Inc. Class A........................ 60,025
4,699 Myr Group Inc..................................... 51,102
1,800 Perini Corp.*..................................... 16,200
2400 Pitt Desmoines Inc................................ 102,300
12,800 Redman Industries................................. 358,400
1,200 Schult Homes Corp................................. 24,300
12,200 Skyline Corp...................................... 335,500
6,400 Starrett Corporation.............................. 70,400
4,900 Starrett (L.S.) Co................................ 116,988
-----------
1,465,353
-----------
CHEMICALS--0.5%
2,530 American Vanguard Corp............................ 17,710
10,600 Bairnco Corp...................................... 67,575
5,550 Cambrex Corp...................................... 188,006
-----------
273,291
-----------
</TABLE>
3
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
COMPUTERS--0.2%
11,000 Advanced Logic Research Inc.*..................... $ 90,750
-----------
CONSTRUCTION MATERIALS--1.5%
2,800 Ameron Inc........................................ 107,800
5,900 Apogee Enterprises Inc............................ 206,500
9,800 Green AP Industries Inc........................... 98,000
11,200 Calmat Co......................................... 207,200
9,900 Southdown Inc..................................... 243,788
-----------
863,288
-----------
DEFENSE--1.2%
15,900 Esco Electronics Corp............................. 149,063
11,500 Esterline Technology Corp.*....................... 248,688
18,500 Kaman Corp. Class A............................... 196,563
11,700 United Industrial Corp............................ 67,275
-----------
661,589
-----------
DRUGS--1.5%
10,300 Biowhittaker Inc.*................................ 68,238
4,700 Collagen Corp..................................... 86,950
2,500 EZ Em Inc......................................... 29,375
6,517 EZ Em Inc.--Class B............................... 75,760
8,900 Gamma Biologicals Inc............................. 28,925
13,350 Life Technologies Inc............................. 300,375
13,300 NBTY Inc.......................................... 219,450
4,200 New Brunswick Scientific Inc...................... 27,825
2,700 PDK Labs Inc.*.................................... 10,463
-----------
847,361
-----------
DURABLES--1.2%
13,900 Coachmen Industries Inc........................... 357,925
11,600 Huffy Corp........................................ 156,600
1,365 Rexhall Industries Inc............................ 13,309
5,500 Thor Industries Inc............................... 131,313
-----------
659,147
-----------
ELECTRICAL UTILITIES--0.5%
10,600 TNP Enterprises Inc............................... 262,350
-----------
ELECTRONICS--10.1%
8,000 Adage Inc. (NWE)*................................. 34,500
9,900 Aeroflex Inc.*.................................... 49,500
3,100 American Tech Ceramics Corp.*..................... 22,088
7,900 Applied Signal Technology*........................ 36,537
6,900 Aydin Corp........................................ 69,000
1,300 Badger Meter Inc.................................. 41,438
6,900 BEI Electronics Inc............................... 69,000
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
7,000 Bel Fuse Inc.*.................................... $ 84,000
7,650 Bio Rad Laboratories Inc.......................... 219,938
3,400 Boca Reasearch Inc.*.............................. 39,525
8,300 Brite Voice Systems Inc.*......................... 105,825
4,900 Circuit Systems Inc.*............................. 24,806
6,500 CMC Industries Inc.*.............................. 48,750
7,700 Cohu Inc.......................................... 142,450
2,000 Cobra Electronics*................................ 5,500
4,400 CTS Corp.......................................... 185,350
8,250 Cubic Corp........................................ 160,875
9,900 Daniel Industries Inc............................. 126,225
2,700 Datron Systems Inc. of California*................ 27,000
6,150 DH Technology Inc.*............................... 155,288
8,100 Digital Systems International Inc.*............... 144,788
2,900 Dynamics Corp. of America......................... 83,738
7,400 Electromagnetic Sciences Inc.*.................... 126,725
40,200 Executone Information Systems Inc.*............... 120,600
7,700 Fluke Corp........................................ 283,938
5,500 Frequency Electronics Inc.*....................... 53,625
2,900 Giga-tronics Inc.*................................ 26,463
6,200 Gilbert Associates Inc............................ 75,175
6,300 Harmon Industries Inc............................. 105,525
4,600 Hathaway Instruments Inc.*........................ 18,112
3,700 Herley Industries Inc.*........................... 34,225
4,900 Hologic Inc....................................... 137,200
6,600 Hurco Company Inc................................. 33,000
400 Instron Corp...................................... 4,800
5,500 IFR Systems Inc.*................................. 85,250
8,800 IPC Information Systems Inc.*..................... 182,600
3,200 K Tron Intl. Inc.*................................ 29,600
11,200 Marquette Medical Systems--Class A*............... 187,600
6,900 Maxxim Medical Inc.*.............................. 98,325
7,900 Measurex Corp..................................... 208,363
3,600 Medex Inc......................................... 52,650
2,000 Medstone International Inc.*...................... 14,750
5,700 MFRI Inc.*........................................ 40,612
1,900 Microsemi Corp.*.................................. 18,288
2,600 Moore Products Co.*............................... 47,450
5,600 Movado Group Inc.................................. 141,400
9,300 Napco Security Systems Inc.*...................... 36,037
4,800 Newport Corp...................................... 40,800
17,600 Norstan Inc....................................... 303,600
6,600 Oak Industries*................................... 219,450
9,600 Optical Coating Lab Inc........................... 116,400
2,000 Qlogic Corp.*..................................... 25,750
</TABLE>
4
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
ELECTRONICS (CONTINUED)
5,800 Plantronics Inc. New*............................. $ 218,225
1,000 Reliability Inc.*................................. 5,625
1,800 Resound Corp.*.................................... 13,950
5,500 Scherer Healthcare Inc.*.......................... 16,500
2,000 Sigma Circuits Inc................................ 14,500
7,700 Spacelabs Inc.*................................... 165,550
3,000 Spanish American Medical Systems Inc.............. 13,875
11,700 Sunrise Medical Inc.*............................. 185,738
2,500 Survival Technology Inc.*......................... 25,000
12,100 Syntellect Inc.*.................................. 68,063
3,300 TCI International Inc.*........................... 21,862
1,300 Technical Communication*.......................... 15,925
5,600 Tech Systems Corp.*............................... 161,000
3,000 TSI Inc. Minn..................................... 25,500
4,200 Unit Instruments Inc.*............................ 37,800
3,600 Video Display Corp.*.............................. 13,500
1,600 Vital Signs Inc................................... 32,800
900 Zilog Inc......................................... 17,213
-----------
5,797,060
-----------
FINANCIAL INVESTMENTS--1.8%
7,200 Aaron Rents Inc................................... 93,600
7,200 Aaron Rents Inc. Class A.......................... 94,500
12,412 Electro Rent*..................................... 288,579
3,000 Harvey Entertainment Co.*......................... 24,375
8,400 Inacom Corp.*..................................... 287,700
5,200 Penn Virginia Corp................................ 187,200
4,200 PS Group Inc.*.................................... 54,075
-----------
1,030,029
-----------
FOOD--0.7%
800 Farmer Bros. Co................................... 120,800
14,000 Golden Poultry Inc................................ 140,000
8,000 Orange Co. Inc. New............................... 62,000
7,400 Tasty Baking Corp................................. 93,425
-----------
416,225
-----------
HEALTH--1.9%
11,100 Alliance Imaging Inc.*............................ 54,113
4,900 Apogee Inc.*...................................... 32,769
10,800 Community Psychiatric Centers..................... 101,250
32,525 Geriatric & Medical Cos. Inc...................... 184,986
8,100 Hanger Orthopedic Group Inc.*..................... 55,181
15,800 Health Images Inc................................. 211,325
6,500 Hooper Holmes Inc................................. 98,313
8,100 Hospital Staffing Services Inc.*.................. 25,313
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
HEALTH (CONTINUED)
5,100 National Home Health Care Corp.................... $ 35,063
13,800 Option Care Inc.*................................. 91,425
8,400 Ramsay Health Care Inc.*.......................... 19,950
4,200 Regency Health Services*.......................... 46,725
21,200 Staff Builders Inc. Class A*...................... 64,263
8,900 Universal Standard Med Labs*...................... 31,150
8,400 US Homecare Corp.*................................ 10,500
-----------
1,062,326
-----------
HOUSEHOLD--4.6%
4,300 AEP Industries Inc.*.............................. 192,425
4,800 Baldwin Piano & Organ Co.*........................ 76,200
9,600 Cherry Corp.*..................................... 98,400
7,200 Chromcraft Revington Inc.*........................ 180,900
300 Continental Can Company Inc....................... 3,825
4,300 Douglas Lomason Co................................ 132,763
3,800 Equity Marketing Inc.............................. 85,500
5,700 Escalade Inc.*.................................... 44,175
400 Flexsteel Industries.............................. 4,700
2,900 Fotoball USA Inc.*................................ 22,113
12,600 Genlyte Group Inc.*............................... 114,975
5,800 Hunt Manufacturing Co............................. 97,875
13,900 Mikasa Inc.*...................................... 147,687
12,200 Nu-Kote Holding Inc. Class A...................... 132,675
9,400 Oneida Ltd........................................ 141,000
5,000 O'Sullivan Corp................................... 53,125
3,700 Pubco Corp.*...................................... 29,138
6,200 Riddell Sports Inc.*.............................. 33,325
2,000 Shelby Williams Industries Inc.................... 25,500
6,300 Southwall Technologies Inc.*...................... 35,438
4,900 Stanley Furniture Co.*............................ 82,688
2,200 Stuart Entertainment*............................. 12,650
10,300 Thomas Industries Inc.*........................... 199,563
15,150 Tredegar Industries Inc........................... 507,525
1,700 Trans-Lux Corp.................................... 22,950
8,272 Virco Manufacturing Co............................ 118,910
2,900 Winsloew Furniture Inc.*.......................... 19,938
-----------
2,615,963
-----------
INSURANCE--5.1%
9,900 Acceptance Insurance Co.*......................... 186,863
4,600 Amvestors Financial Corp.......................... 65,550
3,300 Capital Re Corp................................... 125,400
7,600 Capitol American Financial Corp................... 272,650
5,400 Citation Insurance Group.......................... 19,575
3,400 Crop Growers Corp.*............................... 25,075
</TABLE>
5
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
INSURANCE (CONTINUED)
14,000 Enhance Financial Services Group Inc.............. $ 462,000
6,000 First American Financial Corp..................... 210,750
14,800 Home Ben. Corp. Class B........................... 366,300
4,600 Kansas City Life Insurance Co..................... 255,300
11,100 Lawyers Title Corp................................ 235,875
900 MCM Corp.......................................... 4,725
8,200 Meridian Industries Group Inc..................... 116,850
2,000 National Western Life Insurance Class A*.......... 144,500
2,600 RLI Corp.......................................... 67,600
8,000 Stewart Information Services...................... 165,000
1,600 Transnational Re Corp. Class A.................... 38,600
4,300 Washington National Corp.......................... 124,162
1,400 Zenith National Insurance Corp.................... 38,150
-----------
2,924,925
-----------
MACHINERY--8.6%
2,500 Alltrista Corp.*.................................. 53,125
3,600 Amistar Corp.*.................................... 13,950
8,900 Ampco Pittsburgh Corp............................. 105,688
7,800 Astec Industries Inc.*............................ 68,250
2,800 Barnes Group Inc.................................. 139,300
8,000 Brown & Sharpe Manufacturing Co.*................. 109,000
4,300 Butler Manufacturing Co.*......................... 118,250
8,600 Core Industries Inc............................... 117,175
3,700 Curtiss Wright Corp............................... 201,650
2,400 Electro Scientific Industries Inc.*............... 44,400
4,300 Eljer Industries Inc.*............................ 41,925
4,500 Energy Ventures Inc.*............................. 182,250
4,100 Farr Company*..................................... 59,450
12,800 Fedders Corp...................................... 76,800
1,000 Federal Screw Works............................... 27,500
7,100 Franklin Electronic Publishers Inc.*.............. 90,525
1,300 Gencor Industries Inc.*........................... 18,850
11,300 Gehl Co.*......................................... 86,163
12,800 Graco Inc......................................... 240,000
32,500 Griffon Corp.*.................................... 320,938
1,000 Hein-Werner Corp.................................. 6,813
9,800 Kuhlman Corp...................................... 143,325
8,300 Kysor Industrial Corp............................. 223,035
8,200 Lufkin Industries Inc............................. 170,150
15,900 Manitowoc Inc..................................... 510,788
6,600 Mestek Inc.*...................................... 95,700
14,100 Moog Inc.*........................................ 317,250
4,200 Nortek Inc.*...................................... 57,750
2,100 Oilgear Co........................................ 29,925
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
MACHINERY (CONTINUED)
12,400 Outboard Marine Corp.............................. $ 190,650
1,300 Research Inc...................................... 8,125
6,600 Robbins & Meyers Inc.............................. 149,325
11,900 RPC Energy Services Inc.*......................... 135,363
6,500 Scotsman Industries Inc........................... 148,688
11,000 Shiloh Industries Inc.*........................... 176,000
7,900 SPX Corp.......................................... 236,013
5,500 Valmont Industries Inc............................ 187,688
-----------
4,901,777
-----------
MEDIA--2.4%
31,000 American Media Inc. Class A*...................... 166,625
6,100 Bet Holdings Inc.*................................ 175,375
10,400 Bowne & Co........................................ 237,900
7,900 Clark (Dick) Productions Inc.*.................... 90,850
3,900 Courier Corp...................................... 56,306
8,100 Devon Group Inc. New*............................. 190,350
5,100 K-Tel International Inc.*......................... 19,125
4,300 Osborn Communication Corp.*....................... 63,963
6,000 Playboy Enterprises Inc.*......................... 74,250
3,600 Plenum Publishing Corp............................ 125,100
7,500 Quixote Corp...................................... 56,250
9,000 Todd Ao Corp.--Class A............................ 117,000
-----------
1,373,094
-----------
METALS--1.7%
4,800 Brush Wellman Inc................................. 92,400
6,200 Chaparral Steel Co................................ 86,025
400 Chase Brass Industries Inc.*...................... 6,950
7,566 Commercial Metals Co.............................. 247,787
1,200 International Aluminum Corp....................... 29,250
3,000 General Housewares Corp........................... 30,375
6,900 Lindberg Corp..................................... 72,450
600 Mueller Paul Co................................... 19,650
11,400 Quantex Corp...................................... 306,375
8,100 Roanoke Electric Steel Corp....................... 105,300
-----------
996,562
-----------
MISCELLANEOUS FINANCIAL--3.3%
4,600 Advest Group Inc.................................. 44,850
7,700 Atlanta Sosnoff Cap Corp.......................... 73,150
5,300 Charles JW Financial Services Inc.*............... 30,475
5,200 Duff & Phelps Credit Rating....................... 115,050
7,800 Eaton Vance Corp.................................. 303,225
2,315 First Albany Companies............................ 21,992
9,700 Inter-Regional Finance Group Inc.................. 314,038
</TABLE>
6
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
MISCELLANEOUS FINANCIAL (CONTINUED)
5,500 Interstate/Johnson Lane Inc....................... $ 67,375
500 Kinnard Investments Inc.*......................... 3,125
9,200 McDonald & Co. Investments Inc.................... 223,100
16,875 Morgan Keegan Inc................................. 229,922
15,100 Raymond James Financial Inc....................... 366,175
8,900 Southwest Securities Group Inc.................... 102,350
-----------
1,894,827
-----------
OFFICE MACHINES--2.5%
29,700 Baldwin Technology Inc.*.......................... 87,244
7,200 Banctec Inc.*..................................... 150,300
8,900 General Binding Corp.............................. 209,150
14,500 Genicom Corp.*.................................... 73,406
10,500 Gerber Scientific Inc............................. 149,625
12,200 Gradco Systems*................................... 50,325
5,850 Kronos Inc........................................ 179,888
10,500 National Computer Systems Inc.*................... 215,250
15,000 Par Technology*................................... 211,875
1,320 Pinnacle Banc Group Inc........................... 36,972
2,500 Scan Optics Inc.*................................. 9,687
10,800 Stevens International Series A*................... 25,650
4,000 Tridex Corp.*..................................... 46,000
-----------
1,445,372
-----------
OIL--2.2%
7,300 Alamco Inc.*...................................... 85,775
5,200 Burlington Resources Coal Seam Gas................ 45,500
18,100 Coho Energy Inc.*................................. 128,963
12,300 Comstock Resources Inc.*.......................... 136,838
14,500 Key Production Inc.*.............................. 137,750
11,600 Maynard Oil Co.*.................................. 111,650
4,500 Petrocorp Inc.*................................... 38,813
10,780 Swift Energy Co................................... 258,720
2,000 TMBR/Sharp Drilling*.............................. 22,250
46,400 Unit Corp......................................... 272,600
-----------
1,238,859
-----------
OIL DISTRIBUTION--0.3%
4,200 Howell Corp....................................... 64,050
6,450 World Fuel Services Corp.......................... 108,037
-----------
172,087
-----------
OIL SERVICES--1.7%
7,600 American Oilfield Divers Inc.*.................... 84,550
4,600 Atwood Oceanics Inc.*............................. 202,400
4,500 Cliffs Drilling Co.*.............................. 155,250
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
OIL SERVICES (CONTINUED)
3,000 ICO Inc........................................... $ 17,250
13,400 Parker Drilling Co.*.............................. 85,425
18,500 Pool Energy Services Co.*......................... 233,562
9,700 Veritas DGC Inc.*................................. 174,600
-----------
953,037
-----------
OTHER UTILITIES--2.0%
5,100 Addington Resources Inc.*......................... 130,687
2,500 Consumers Water Co................................ 45,000
1,000 Dominguez Services Corp........................... 22,250
4,000 Energynorth Inc................................... 76,500
4,113 Fluor Daniel/GTI Inc.*............................ 33,932
4,200 GNI Inc.*......................................... 25,725
7,800 GZA Geoenvironmental*............................. 27,300
6,900 Harding Lawson Associates Group*.................. 41,400
14,500 NSC Corp.*........................................ 27,187
9,000 Philadelphia Suburban............................. 148,500
2,100 Sevenson Environmental Services................... 32,025
3,100 SJW Corp.......................................... 120,900
4,900 Smith Environmental Technology.................... 4,287
9,100 Southern Union Company New........................ 211,575
2,400 TRC Cos. Inc.*.................................... 9,900
7,400 USX Delhi Group................................... 104,525
17,500 Weston (Roy F) Inc. New*.......................... 74,375
-----------
1,136,068
-----------
PAPER--1.1%
7,800 American Woodmark................................. 71,175
3,400 Holopak Technologies*............................. 11,900
8,933 Mosinee Paper Corp................................ 247,891
10,600 Pope & Talbot Inc................................. 162,975
8,600 Tranzonic Companies Class A....................... 137,600
-----------
631,541
-----------
REAL ASSETS--0.8%
2,200 Allied Capital Commercial Corp.................... 48,125
18,100 Atlas Corp.*...................................... 13,575
14,000 FM PPTYS Inc.*.................................... 42,000
2,600 Forest City Enterprises Class A................... 127,400
2,300 Mays JW Inc.*..................................... 25,300
3,000 Major Realty Group*............................... 4,875
200 Metropolitan Realty Corp.......................... 1,700
12,600 Taubman Centers Inc............................... 140,175
4,000 United Capital Corporation*....................... 37,250
-----------
440,400
-----------
</TABLE>
7
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
RETAIL\WHOLESALE--10.3%
4,653 Aceto Corp.*...................................... $ 62,234
6,600 Advanced Marketing Services Inc.*................. 71,775
20,600 Ames Dept. Stores Inc.*........................... 96,563
1,100 Arden Group Inc. Class A*......................... 61,600
1,700 Baker, J. Inc..................................... 11,687
19,900 Banner Aerospace Inc.*............................ 166,663
4,100 Barrys Jewelers Inc. New*......................... 14,862
8,900 Bearings Inc...................................... 251,425
9,464 Bell Industries................................... 146,692
13,800 Burlington Coat Factory*.......................... 151,800
4,400 Buttrey Food & Drug Stores Co.*................... 33,000
5,800 Cameron Ashley Building Products*................. 73,225
3,600 Carr Gottstein Foods Co........................... 14,850
22,900 Cash America International Inc.................... 163,162
7,600 Catherine Stores Co.*............................. 55,100
13,400 CPI Corp.......................................... 251,250
8,900 Damark International Inc.......................... 114,587
5,200 Delchamps Inc..................................... 104,000
5,700 DM Management Company*............................ 17,100
13,700 Dress Barn Inc.*.................................. 148,988
11,300 Eagle Food Centers*............................... 51,556
7,400 Evans Inc.*....................................... 17,575
2,000 Ezcorp Inc. Class A*.............................. 13,000
7,900 Fabri-Centers of America--Class A*................ 101,713
7,900 Fabri-Centers of America--Class B*................ 100,725
9,000 Fred's Inc........................................ 79,875
13,579 Genovese Drug Stores--Class A..................... 186,711
6,700 Goodys FamilyClothing Inc.*....................... 77,888
4,600 Hughes Supply Inc................................. 170,200
1,900 ICC Industries Inc.*.............................. 68,400
3,300 Jan Bell Marketing Inc............................ 7,219
14,000 Microage Inc.*.................................... 264,250
10,600 Marsh Supermarkets Inc............................ 121,900
11,800 Michaels Foods.................................... 122,425
4,800 Milgray Electronics Inc.*......................... 58,200
17,400 Nash Finch Co..................................... 278,400
7,000 Noland Co......................................... 143,500
5,700 One Price Clothing Stores*........................ 19,238
200 Patrick Industries Inc............................ 3,075
600 Rag Shops Inc.*................................... 1,200
5,874 Reeds Jewelers Inc................................ 46,992
4,300 Republic Automotive Parts Inc.*................... 75,250
9,500 Rex Stores Corp.*................................. 104,500
11,800 Rexel Inc.*....................................... 185,850
10,300 Richardson Electronics Ltd........................ 82,400
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
RETAIL\WHOLESALE (CONTINUED)
7,000 Riser Foods Inc................................... $ 182,000
4,200 Schultz Sav O Stores Inc.......................... 54,600
4,200 Seaway Food Town Inc.............................. 79,800
4,600 Software Spectrum Inc.*........................... 138,000
7,300 Sound Advice Inc.*................................ 10,950
7,800 Southern Electronics Corp.*....................... 66,300
7,400 Strober Organization Inc.*........................ 34,225
18,200 Super Food Services Inc........................... 207,025
6,500 Syms Corp.*....................................... 53,625
9,700 Syncor International Corp.*....................... 105,488
5,400 Trak Auto Corp.*.................................. 91,800
10,600 Trans World Entertainment Corp.*.................. 64,925
14,900 Uni Marts Inc..................................... 122,925
12,100 United Retail Group Inc.*......................... 34,788
1,294 United Stationers Inc.*........................... 27,174
6,000 Value City Department Stores Inc.*................ 54,000
2,600 Village Super Market Inc.*........................ 24,375
6,000 Western Beef Inc.*................................ 57,000
9,000 Wolohan Lumber Co................................. 95,625
-----------
5,897,230
-----------
SERVICES--8.3%
13,400 ABM Industries Inc................................ 226,125
4,500 Advo Inc.......................................... 53,438
9,000 American Business Products Inc.................... 200,250
4,000 American Casino Enterprises*...................... 5,125
6,700 Analysis & Technology Inc......................... 97,150
7,500 Angelica Corp..................................... 162,188
11,800 ASA International Ltd.*........................... 18,438
4,400 Baker (Michael) Corp.*............................ 22,000
4,100 Berlitz International Inc.*....................... 91,738
15,525 Boole & Babbage Inc.*............................. 388,125
1,300 BRC Holdings Inc.*................................ 46,800
3,800 Chemed Corp....................................... 144,400
3,900 Comnet Corp.*..................................... 47,775
7,800 Computer Data Systems Inc......................... 187,200
5,800 Computer Language Research Inc.................... 66,700
7,800 Computer Task Group Inc........................... 242,775
10,200 Control Data Systems Inc.*........................ 235,875
9,596 Dynamics Research Corp.*.......................... 98,359
11,800 Emcon*............................................ 39,825
9,000 Failure Group Inc.*............................... 56,250
4,900 FDP Corp.......................................... 62,475
7,900 General Automation*............................... 23,206
2,500 Group 1 Software Inc.*............................ 23,750
</TABLE>
8
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
SERVICES (CONTINUED)
6,600 Healthcare Services Group*........................ $ 71,259
1,500 Intersolve Inc.*.................................. 13,875
4,300 IQ Software Corp.*................................ 81,163
3,900 LCS Industries Inc................................ 54,600
5,700 Liberty Technologies Inc.*........................ 22,088
7,200 Logicon Inc....................................... 252,900
1,600 Macneal Schwendler Corp........................... 13,000
400 Market Facts Inc.................................. 6,500
4,400 Medquist Inc.*.................................... 89,100
4,400 Opinion Research Corp.*........................... 21,450
7,900 PCA International Inc............................. 130,350
6,700 PCI Services Inc.................................. 182,575
5,900 Pinkertons Inc.................................... 140,125
7,275 Right Management Consultants Inc.................. 176,419
28,300 Santa Cruz Operation Inc.*........................ 187,488
2,600 Serv Tech Inc.*................................... 7,638
1,800 Square Industries Inc.*........................... 39,600
2,000 Stac Inc.*........................................ 16,000
5,600 Symix Systems Inc................................. 43,400
5,000 Thomas Group Inc.*................................ 70,000
3,300 Tripos Inc.*...................................... 39,187
4,000 TRM Copy Centers Corp.*........................... 38,500
2,000 TSR Inc........................................... 23,750
21,100 Tyler Corp. of Delaware*.......................... 31,650
7,500 Unifirst Corp..................................... 138,750
5,300 Union Corp.*...................................... 120,575
5,300 Universal Hospital Services*...................... 34,450
5,500 URS Corp.*........................................ 45,375
300 Volt Information Systems*......................... 12,600
8,400 Walker Interactive Systems........................ 99,750
-----------
4,744,084
-----------
SOAP--0.9%
4,866 Del Labs Inc...................................... 133,207
4,600 NCH Corp.......................................... 254,725
7,100 Stepan Chemical Co................................ 126,912
-----------
514,844
-----------
TELEPHONE--0.7%
5,100 Atlantic Tele Network Inc.*....................... 103,275
4,400 Davel Communication Group*........................ 76,450
9,000 Peoples Telephone Co., Inc.*...................... 34,875
10,250 Pricellular Corp.................................. 147,344
2,400 Total Tel USA Communications...................... 54,600
-----------
416,544
-----------
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
TEXTILES--1.3%
11,000 Dixie Yarns Inc.*................................. $ 49,500
5,100 Dyersburg Corp.................................... 28,688
10,900 Guilford Mills Inc................................ 245,250
5,000 Hampshire Group Ltd.*............................. 63,750
5,700 Hyde Athletic Industries Inc...................... 27,075
100 Kellwood Co....................................... 1,663
700 K-Swiss Inc. Class A.............................. 7,262
1,570 Nitches Inc....................................... 11,579
7,800 Samsonite Corp.*.................................. 213,525
2,000 Sirena Apparel Group Inc.......................... 4,750
14,000 Worldtex Inc.*.................................... 105,000
-----------
758,042
-----------
TRANSPORT--0.7%
5,675 International Shipholding Co...................... 107,116
4,500 KLLM Transport Services Inc.*..................... 52,875
9,800 Pittston Burlington Group......................... 177,625
2,000 Oglebay Norton Co................................. 84,500
-----------
422,116
-----------
TRAVEL & ENTERTAINMENT--6.0%
2,700 AMC Entertainment Inc.*........................... 42,187
9,100 Bertucci's, Inc.*................................. 42,088
4,600 Carmike Cinemas Inc.*............................. 106,375
13,000 Chart House Enterprises Inc.*..................... 73,125
13,000 CKE Restaurants Inc............................... 399,750
9,556 Consolidated Products Inc......................... 150,507
1,500 Elxsi Corp.*...................................... 8,250
5,500 Fresh Choice Inc.*................................ 28,188
7,354 Frischs Restaurants Inc........................... 104,795
3,000 Garden Fresh Restaurant Corp.*.................... 29,250
1,900 GC Cos. Inc.*..................................... 68,400
5,100 Harvey's Casino Resorts........................... 86,700
2,700 Jackpot Enterprises Inc........................... 27,338
8,100 Krystal Co.*...................................... 44,550
27,300 Lady Luck Gaming Corp.*........................... 73,369
4,700 Lubys Cafeterias Inc.............................. 112,800
17,300 Marcus Corp....................................... 415,200
1,300 Max & Erma's Restaurant*.......................... 8,938
6,600 Mortons Restaurant Group Inc...................... 115,500
23,800 NPC International Inc.*........................... 187,425
14,500 Piccadilly Cafeterias Inc......................... 135,938
4,500 Reading Co.*...................................... 47,250
9,600 Ruby Tuesday Inc.................................. 182,400
31,000 Ryans Family Steak Houses Inc.*................... 236,375
11,500 Sands Regent...................................... 37,375
</TABLE>
9
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- -----------
COMMON STOCK (CONTINUED)
TRAVEL & ENTERTAINMENT (CONTINUED)
4,100 Sbarro Inc........................................ $ 106,088
13,500 Showbiz Pizza Time Inc............................ 244,687
2,200 Sonesta International Hotels Corp................. 22,550
6,400 Spaghetti Warehouse Inc.*......................... 38,400
15,400 Taco Cabana Inc.*................................. 88,550
7,500 Team Rental Group*................................ 142,500
12,900 Video Lottery Technologies Inc.*.................. 48,375
-----------
3,455,223
-----------
TOTAL COMMON STOCK (IDENTIFIED COST
$43,752,977)--98.6%............................. 56,414,091
-----------
Shares Value
- ---------- -----------
SHORT TERM OBLIGATIONS--2.3%
1,345,000 Repurchase agreement with State Street dated
9/30/1996, due 10/1/1996 at 2.00% (Identified
cost $1,345,000)................................ $ 1,345,000
-----------
TOTAL INVESTMENTS (IDENTIFIED COST
$45,097,977)--100.9%............................ 57,759,091
ASSETS LESS LIABILITIES--(0.9%)................... (551,405)
-----------
TOTAL NET ASSETS--100.0%.......................... $57,207,686
-----------
-----------
</TABLE>
- --------------------
* Non income producing security
10
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
The TOPIX returned 4.62% in the quarter ended June 30, 1996, only to lose
everything it gained in the quarter ended September 30, 1996 (see Table I). July
and August were especially difficult months, as the TOPIX plunged more than 10%.
The market rebounded strongly in September, thanks to speculation by both
domestic and foreign investors that the newly-elected government, most likely
with the LDP party as a majority, would push financial deregulation and property
tax reforms.
After achieving a 6.08% return in the previous quarter, the Japan Fund lost
5.47% in the quarter ending September 30, 1996. The dollar was strong over this
period, but the weaker yen was not compensated by local equity market returns,
unlike what happened in the last two years. During the quarter, the yen lost
1.5% relative to the dollar.
Share prices during this period were driven by themes and events rather than
by fundamentals. Industries that performed well were those that were perceived
to benefit from possible deregulation and tax reforms: real estate and
telecommunications. Disappointment over companies' earnings and a stagnant
economic recovery have been keeping investors on the side-lines. Foreign
investors, who were concerned about lower-than-expected earnings growth and a
weaker yen, have started to scale down their allocation to Japanese equities.
Domestic institutional investors, who were scared by the volatile market, moved
some funds from equities to bonds and foreign securities. The average daily
volume in the quarter was 290 million shares compared to 473 million shares in
the previous quarter. The market appeared to lose its energy, and the volume
would have been even lower without the support of the public funds.
The Nikkei 225 Index is well supported at the 20,500 level. The very low
interest rate environment provides for limited down-side risk to the equity
market. We believe that the chance for a major correction is small.
TABLE I: TOTAL RETURN TO JAPAN FUND AND TOPIX
<TABLE>
<S> <C> <C> <C> <C>
QUARTER ENDING JAPAN FUND TOPIX
YEN DOLLAR YEN DOLLAR
June 30, 1996 6.08% 2.84% 4.62% 1.87%
September 30, 1996 -5.47% -7.79% -4.69% -6.46%
</TABLE>
11
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- ----------
COMMON STOCK--96.7%
AUTOMOBILES--7.0%
3,000 Fuji Heavy Inds................................... $ 14,276
3,000 Mazda Motor Corp.*................................ 14,626
3,000 Mitsubishi Motor.................................. 25,347
5,000 Nissan Motor Co................................... 40,359
----------
94,608
----------
AUTO PARTS--3.4%
2,000 Aichi Machine Industries Co., Ltd................. 12,929
2,000 Izumi Industries.................................. 15,964
2,000 Kanto Auto Works.................................. 16,143
----------
45,036
----------
BANKING--11.8%
2,050 The Bank of Tokyo--Mitsubishi..................... 44,727
80 Industrial Bank of Japan--Rights.................. 927
2,000 Keiyo Bank........................................ 10,684
2000 Mitsui Trust & Bank............................... 21,190
3,000 Sakura Bank Ltd................................... 29,899
4,000 Tokai Bank........................................ 49,562
----------
156,989
----------
CHEMICALS--1.9%
2,000 Mitsui Petrochemical Industries................... 13,935
2,000 Tokuyama Corp..................................... 11,331
----------
25,266
----------
CONGLOMERATES--3.2%
4,000 Marubeni Corp..................................... 20,831
2,000 Nichimen Corp..................................... 8,655
3,000 Nissho Iwai Corp.................................. 13,764
----------
43,250
----------
CONTAINERS & GLASS--0.5%
2,000 Central Glass Co.*................................ 6,824
----------
DRUGS & HEALTHCARE--1.2%
2,000 Shinogi & Co...................................... 16,575
----------
ELECTRIC UTILITIES--3.2%
1,000 Hokkaido Electric Power........................... 21,189
1,000 Kyushu Electric Power............................. 21,369
----------
42,558
----------
ELECTRICAL EQUIPMENT--7.4%
6,000 Hitachi Ltd....................................... 58,182
6,000 Mitsubishi Electric CP............................ 40,943
----------
99,125
----------
Shares Value
- ---------- ----------
COMMON STOCK (CONTINUED)
ELECTRONICS--4.2%
1,000 Nihon Unisys...................................... $ 10,415
3,000 Toshiba Corp...................................... 20,767
2,000 Victor Co. of Japan............................... 24,961
----------
56,143
----------
ENGINEERING & CONSTRUCTION--3.9%
2,000 Asanuma Corp...................................... 9,751
3,000 Kumagi Gumi Co.................................... 10,774
1,000 Maeda Corp........................................ 8,664
2,000 Ueki Corp......................................... 9,338
2,000 Zenitaka Corp.*................................... 12,444
----------
50,971
----------
FISHERY--0.8%
3,000 Maruha Corp.*..................................... 9,993
----------
FINANCIAL SERVICES--3.2%
3,000 Daiwa Securities.................................. 34,478
1,000 First Credit...................................... 8,530
----------
43,008
----------
FOOD & BEVERAGE--0.5%
1,000 Snow Brand Milk................................... 6,312
----------
FOREST PRODUCTS & PAPER--2.5%
2,300 Daio Paper Corp................................... 26,227
2,000 Settsu Corp.*..................................... 6,016
----------
32,243
----------
FURNITURE--2.3%
2,000 Noritz Corp....................................... 30,707
----------
HOUSEHOLD PRODUCTS--7.3%
5,000 Matsushita Electric Industrial Co................. 83,461
2,000 Sekido Co......................................... 13,019
----------
96,480
----------
INDUSTRIAL MACHINERY--6.9%
3,000 Fuji Electric Co.................................. 14,626
7,000 Mitsubishi Heavy Industries....................... 57,005
1,000 Okura Industrial Co. Ltd.......................... 6,599
2,000 Sanoyas Hishino Meisho Corp....................... 13,145
----------
91,375
----------
</TABLE>
12
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Value
- ---------- ----------
COMMON STOCK (CONTINUED)
INSURANCE--1.7%
2,000 Dowa Fire & Marine Insurance Co................... $ 10,307
1,000 Koa Fire & Marine Insurance Co.................... 6,294
1,000 Nippon Fire & Marine Insurance Co................. 5,881
----------
22,482
----------
METALS--0.8%
2,000 Nittan Valve Co................................... 10,864
----------
OIL COMPANY--2.7%
3,000 Cosmo Oil Company Ltd............................. 17,077
3,000 Nippon Oil Co..................................... 18,343
----------
35,420
----------
PHARMACEUTICAL--1.2%
1,000 Dai-Ichi Pharmaceutical Co., Ltd.................. 15,802
----------
PHOTOGRAPHY--2.3%
1,000 Fuji Photo Film Co................................ 30,438
----------
REAL ESTATE--3.8%
2,000 Daito Trust Construction Ltd...................... 26,936
1,000 Recruit Cosmos Co................................. 8,413
2,000 Sumitomo Realty & Development..................... 15,407
----------
50,756
----------
RESTAURANTS--2.7%
2,000 Kentucky Fried Chicken............................ 35,915
----------
RETAIL TRADE--0.8%
1,000 Marukyu*.......................................... 3,771
1,000 Tokyu Store Chain................................. 8,332
----------
12,103
----------
Shares Value
- ---------- ----------
COMMON STOCK (CONTINUED)
STEEL--4.5%
2,000 Chubu Steel Plate Co., Ltd........................ $ 11,582
2000 Godo Steel Ltd.*.................................. 12,391
6,000 Kobe Steel Ltd.*.................................. 16,107
7,000 Sumitomo Metal Industries......................... 19,861
----------
59,941
----------
TELECOMMUNICATIONS--1.6%
2 Nippon Telephone & Telegraph CP................... 14,725
1,000 Oki Electric Industrial Co........................ 6,851
----------
21,576
----------
TIRE & RUBBER--0.6%
2,000 Toyo Tire & Rubber................................ 8,440
----------
TRANSPORTATION--1.2%
3,000 Nippon Yusen KK................................... 15,629
----------
WHOLESALE--1.6%
1,000 Kamei Corp........................................ 11,852
1,000 Tsuzuki Denki Co., Ltd.*.......................... 8,799
----------
20,651
----------
TOTAL COMMON STOCK (COST $1,263,390)
--96.7%......................................... 1,287,480
----------
FOREIGN CURRENCY
3,094,029 Japanese Yen--2.1%................................ 28,135
----------
TOTAL INVESTMENTS (COST $1,291,661)
--98.8%......................................... 1,315,615
----------
----------
ASSETS LESS LIABILITIES--1.2%..................... 15,965
----------
TOTAL NET ASSETS--100.0%.......................... 1,331,580
----------
----------
</TABLE>
- ------------------
* Non income producing securities
13
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
The quarter ended September 30, 1996, has been a disappointment for the
international small stocks market. The international Cazenove Rosenberg Index
(excluding US) went down 3.5%. On a month to month basis, July was the weakest
month, with a monthly return of -4.22%. This was largely due to the fear of an
interest rate hike in the U.S., which led to a drop in the stock markets around
the world. We saw a rebound in August with a 0.79% monthly return, followed by a
flat September with a -0.06% return.
In Europe, countries were striving to meet the Maastricht target for
European integration. To reduce the deficits, countries have to adopt a
restrictive fiscal policy by cutting government expenditure, which historically
has been a high proportion of GDP. This runs the risk of stagnating growth in
the region. Small companies in general are less export-oriented, and as a
result, are more susceptible to fluctuations in the domestic economy. As we have
seen, this indeed had a negative impact on the European small stocks market
during the past quarter, which is down 0.8% overall. In Japan, the weak economy
continued to plague the small stocks market, leading to a decline of 10.2% for
the quarter. In the Pacific ex-Japan region, the weakness in July was more than
compensated for by good performance in August and September, yielding an overall
gain of 2.6%. Countries in the region continued to benefit from the low interest
rate, high growth environment.
TABLE 1: INTERNATIONAL SMALL STOCKS PERFORMANCE(1)
<TABLE>
<S> <C>
PERFORMANCE
REGIONS IN US$
World excluding U.S. -3.5%
Europe -0.8%
Pacific excluding Japan +2.6%
Japan -10.2%
Canada +2.7%
</TABLE>
In terms of currency performance, the Japanese Yen had the largest
depreciation against the U.S. Dollar. During the quarter, it lost 1.5%. On the
other hand, the New Zealand Dollar gained 2.1% versus the U.S. Dollar, the
highest gain among the 21 developed countries.
Year-to-date, small stocks have a return of 6.7%, which is 1.7% ahead of
their large stock counterparts.(2) The outlook for international small stocks
continues to be positive. The U.S. market has reached an historical high, and
investors have started to reallocate their assets from the U.S. to the
international markets. International small stocks have underperformed
international large stocks over the past 5 years, and they have finally started
to catch up. Investors' enthusiasm for international small stocks, those seeking
additional returns and diversification, will likely continue.
- ------------------
(1) Small stocks performance is represented by the Cazenove Rosenberg Global
Smaller Companies Index excluding the U.S., which includes 21 countries:
Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong
Kong, Ireland, Italy, Japan, Malaysia, Netherlands, New Zealand, Norway,
Singapore, Spain, Sweden, Switzerland.
(2) Large stocks performance is represented by the Morgan Stanley Capital
International World Index excluding the U.S.
14
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS -- SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C> <C>
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK--80.8%
AUSTRALIA--1.7%
4,200 Adelaide Brighton Limited (Construction
Materials)...................................... $ 5,462 $ 5,650
3,100 Ampolex Ltd.* (Oil)............................... 11,953 11,775
1,100 Bridgestone Australia (Chemicals)................. 2,592 2,611
4,400 Hardie (James) Industries (Building).............. 10,446 11,699
7,400 Normandy Mining Limited* (Metals)................. 10,215 10,072
3,200 Pacific Magazines & Printing Ltd. (Media)......... 8,301 8,685
600 Telecast North Queensland (Media)................. 2,390 2,417
---------- ----------
51,359 52,909
---------- ----------
BELGIUM--0.8%
590 Cobepa (Cie Belge) Paribas (Financial
Investment)..................................... 20,582 19,961
10 Sofina Corp. (Financial Investment)............... 5,357 5,384
---------- ----------
25,939 25,345
---------- ----------
CANADA--5.3%
400 Acklands Limited* (Retail / Wholesale)............ 4,881 4,889
100 Agra Industries Ltd.* (Services).................. 810 804
600 Agrium Inc. (Retail / Wholesale).................. 8,380 8,148
300 Alliance Forest Products Inc.* (Paper)............ 5,046 4,988
600 BC Gas Inc. (Other Utilities)..................... 8,143 8,170
500 BC Sugar Refinery Ltd. Class A (Food)............. 3,994 4,001
500 Baton Broadcasting Inc. (Media)................... 3,524 3,487
600 Cambior Inc. (Real Estate / Gold)................. 8,200 8,236
200 Coca Cola Beverages Canada (Food)................. 2,061 2,055
200 Consumers Gas Ltd. (Other Utilities).............. 3,115 3,142
800 Dominion Textile, Inc. (Textiles)................. 4,378 4,287
400 Ensign Resource Group Inc. (Oil Services)......... 4,150 4,184
300 Fahnestock Viner HoldingsInc. (Miscellaneous
Finance)........................................ 3,871 3,634
1,100 Inmet Mining Corp.* (Metals)...................... 7,949 7,913
500 Jannock Ltd. (Construction materials)............. 5,484 5,689
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
CANADA (CONTINUED)
300 Laurentian Bank of Canada (Banking)............... $ 3,663 $ 3,666
400 Maritime Telegraph & Telephone Ltd. (Telephone)... 6,479 6,533
900 Morgan Hydrocarbons (Oil)......................... 3,102 3,072
200 National Trustco Inc. (Banking)................... 3,352 3,523
300 Pacific Forest Products Ltd.* (Paper)............. 3,605 3,523
500 Rio Algom Ltd. (Metals)........................... 9,233 9,598
1,100 Shaw Communications Inc. Class B (Telephone)...... 6,994 7,146
700 Southam Inc. (Media).............................. 8,695 8,688
800 Stampeder Explorer Ltd.* (Oil).................... 3,335 3,259
1,500 Stelco, Inc.* (Metals)............................ 7,070 7,157
800 Stone Consolidated Corp.* (Paper)................. 8,891 8,926
400 Teleglobe Inc. (Services)......................... 7,006 7,076
400 Trimark Financial Corp. (Miscellaneous Finance)... 10,245 10,233
500 Ulster Petroleum Ltd. (Oil)....................... 3,381 3,303
200 United Dominion Industries Ltd. (Machinery)....... 3,961 3,971
---------- ----------
162,998 163,301
---------- ----------
DENMARK--1.3%
100 Lauritzen (J.) Holding* (Transportation).......... 9,300 9,221
400 Korn-Og Foderstofkom (Retail / Wholesale)......... 16,878 17,758
100 Topdanmark AS* (Insurance)........................ 11,673 11,611
---------- ----------
37,851 38,590
---------- ----------
FINLAND--2.3%
300 Asko Oy--Class A (Household)...................... 15,937 16,092
900 Kemira Oy (Chemicals)............................. 10,547 10,345
1,300 Kesko (Retail / Wholesale)........................ 20,458 20,891
200 Kone Oy--Class B (Machinery)...................... 20,341 20,589
---------- ----------
67,283 67,917
---------- ----------
FRANCE--4.9%
18 Altran Technologies (Services).................... 4,799 5,029
90 Bis SA (Services)................................. 8,807 8,841
40 Bongraine SA (Food)............................... 18,075 18,228
7 Carbonique (LA) (Food)............................ 14,976 14,919
90 ECIA--Equip & Composapour (Automotive)............ 11,338 10,550
</TABLE>
15
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C> <C>
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
FRANCE (CONTINUED)
175 Cie Des Signaux SA (Services)..................... $ 7,370 $ 7,154
150 Compagnie Fives--:Lillie (Machinery).............. 13,419 13,339
220 De Dietrich et Compagnie (Machinery).............. 7,531 7,587
18 Exacompta Clairef (Paper)......................... 4,381 4,185
100 Gascogne (Paper).................................. 8,414 8,064
42 Manitou(Machinery)................................ 4,354 4,305
163 Publicis (Media).................................. 14,112 14,054
37 Salins du Midi & Des Salines (Chemicals).......... 3,101 3,212
480 Seita (Liquor & Tobacco).......................... 18,094 20,181
25 Sliglos SA (Services)............................. 2,088 2,117
100 Societe Europeenne de Propulsion SA (Defense)..... 9,763 9,687
---------- ----------
150,622 151,452
---------- ----------
GERMANY--4.4%
40 Aachener & Meunch Lebensvers (Insurance).......... 16,168 15,603
30 Andreae-Noris Zahn AG (Drugs / Pharmaceuticals)... 10373 10267
50 Baywa AG (Retail / Wholesale)..................... 8,128 8,113
30 Binding Brauerei (Liquor & Tobacco)............... 11,251 11,152
50 DBV Holding AG (Insurance)........................ 17,442 17,603
300 Fag Kugelfischer Georg Schae (Machinery).......... 3,927 4,101
40 Holsten Brauerei AG (Liquor & Tobacco)............ 9,303 9,441
30 Koelnische Rueckversicherungs (Insurance)......... 23,209 22,619
40 Oberland Glas AG (Constrruction Materials)........ 8,062 7,841
60 Rheinmetall Berlin AG (Machinery)................. 8,190 8,064
100 Ruetgers AG* (Chemicals).......................... 16,499 16,915
20 Walter Bau AG (WTB) (Construction Materials)...... 3,017 2,885
---------- ----------
135,569 134,604
---------- ----------
HONG KONG--1.9%
20,000 CDL Hotels Intl (Travel / Entertainment).......... 10,779 10,733
4,000 Lai Sun Garment International (Real Estate)....... 5,490 5,483
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
HONG KONG (CONTINUED)
4,000 Lane Crawford International (Real Estate)......... $ 6,930 $ 7,086
18,000 Laws International Holdings Ltd. (Textiles)....... 2,530 2,421
4,000 New Asia Realty & Trust Co. (Real Estate)......... 16,568 16,345
6,000 Playmates ToyHolding (Household).................. 1,349 1,350
2,000 Realty Development Corp. (Real Estate)............ 7,528 8,224
500 Wing Lung Bank Ltd. (Banking)..................... 2,958 2,942
2,000 Wing On Co., Intl Ltd. (Real Estate, Retail)...... 2,133 2,121
---------- ----------
56,265 56,705
---------- ----------
ITALY--1.9%
10,000 Comau Finanziaria (Financial Investment).......... 12,567 12,614
10,000 Costa Crociere Spa (Transportation)............... 12,953 13,107
40,000 Finmeccanica Spa* (Defense)....................... 15,054 14,980
20,000 Snia Bpd (Chemicals).............................. 17,052 16,793
---------- ----------
57,626 57,494
---------- ----------
JAPAN--24.4%
4,000 Aichi Machine Industries (Automotive)............. 26,295 25,858
1,000 Amada Sonoike Co., Ltd. (Machinery)............... 5,917 6,060
1,000 Asia Air Survey Co., Ltd. (Services).............. 9,681 9,697
2,000 Bunka Shutter Co., Ltd. (Construction
Materials)...................................... 14,979 14,797
1,000 Cemedine Co., Ltd. (Chemicals).................... 4,772 4,750
3,000 Central Glass Co.* (Construction Materials)....... 10,466 10,236
1,000 Chubu Steel Plate Co., Ltd. (Metals).............. 6,015 5,791
2,000 Coco's Japan Co., Ltd. (Travel / Entertainment)... 19,834 20,112
2,000 Daido Hoxan Inc. (Chemicals)...................... 12,604 12,534
2,000 Daiichi Kyoken Co., Ltd. (Services)............... 17,187 16,431
1,000 Daiki Aluminum Industries* (Metals)............... 4,479 4,220
</TABLE>
16
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C> <C>
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
JAPAN (CONTINUED)
1,000 Denkyosha Co. (Retail / Wholesale)................ $ 9,441 $ 8,978
1,000 Descente Limited (Household)...................... 6,804 7,165
1,000 Fuji Co., Ltd. (Real Estate)...................... 7,454 7,192
2,000 Godo Steel Ltd.* (Metals)......................... 12,588 12,390
2,000 Hamada Printing Press Co. (Machinery)............. 12,909 12,929
2,000 Haruyama Trading Co. (Retail / Wholesale)......... 27,975 26,397
2,000 Hitachi Pant Engineering (Building)............... 13,608 14,096
1,000 Hosoda Corporation (Real Estate).................. 9,508 8,978
3,000 Ichiyoshi Securities (Miscellaneous Finance)...... 15,700 16,000
1,000 Intec Inc. (Services)............................. 14,927 14,725
1,000 Jois Co., Ltd. (Retail / Wholesale)............... 11,885 11,852
1,000 Juel Veriteohkubo (Retail / Wholesale)............ 9,055 8,889
1,000 Kaneko Seeds Co., Ltd. (Food)..................... 11,611 11,403
2,000 Kato Works Co., Ltd. (Machinery).................. 12,270 12,714
2,000 Kimmon Manufacturing Co., Ltd. (Electronics)...... 12,147 11,816
1,000 Maeda Seisakusho Co. (Machinery).................. 8,219 7,811
2,000 Matsumura -- Gumi Corp. (Building)................ 10,001 9,930
2,000 Metalart Corp. (Machinery)........................ 7,389 7,237
2,000 Nakamichi Leasing Co. (Banking)................... 15,273 14,886
2,000 Nakayama Steel Works Ltd. (Metals)................ 12,475 12,283
2,000 Nittsu Mining Co., Ltd. (Metals).................. 17,901 18,855
2,000 Nichiei Construction Co., Ltd. (Real Estate)...... 18,631 18,496
2,000 Nippon Chemi--Con Corp. (Electronics)............. 12,786 13,019
2,000 Nippon Columbia Co., Ltd.* (Media)................ 12,604 12,391
1,000 Nippon Konpo Unyu Soko (Transportation)........... 8,311 8,296
2,000 Nippon Shinyaku Co., Ltd. (Drugs)................. 18,631 17,957
2,000 Ohmoto Gumi Co., Ltd. (Building).................. 30,718 30,168
2,000 Recruit Cosmos Co. (Real Estate).................. 16,273 16,826
2,000 Royal Hotel, Ltd. (Travel / Entertainment)........ 16,090 15,623
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
JAPAN (CONTINUED)
2,000 Shibusawa Warehouse (Transportation).............. $ 12,366 $ 12,354
2,000 Shin Nikkei Co., Ltd. (Construction Materials).... 13,024 12,840
1,000 Sodick Co., Ltd.* (Machinery)..................... 9,271 10,415
2,000 Sogo Co., Ltd.* (Retail / Wholesale).............. 8,512 8,799
1,000 Sotetsu Rosen Co., Ltd. (Retail / Wholesale)...... 8,101 7,677
1,000 Sun Wave Corp. (Construction Materials)........... 12,421 12,211
1,000 Tamron Co., Ltd. (Office Machinery)............... 7,222 7,183
1,000 Tecmo, Ltd. (Travel / Entertainment).............. 12,817 13,019
1,000 The Biwako Bank Ltd. (Banking).................... 5,028 4,938
2,000 Toa Corp. (Electronics)........................... 15,922 15,802
2,000 Toa Steel Co., Ltd.* (Metals)..................... 10,156 9,912
1,000 Toho Store Co., Ltd. (Retail / Wholesale)......... 8,391 8,170
1,000 Toko Inc. (Electronics)........................... 6,399 6,447
2,000 Tokyo Rika Manufacturing Co. (Metals)............. 9,864 9,517
2,000 Tokyu Store Chain (Retail Wholesale).............. 15,985 16,664
3,000 Towa Meccs Corp. (Travel / Entertainment)......... 8,916 8,781
2,000 Toyo Tire & Rubber* (Chemicals)................... 8,311 8,439
2,000 Traveler Corp. (Retail / Wholesale)............... 23,655 23,883
2,000 Tsurukame Corp. (Retail / Wholesale).............. 10,879 10,774
1,000 U-Shin Ltd. (Automotive).......................... 8,051 8,233
1,000 Wakita & Co. (Financial Investment)............... 13,647 13,378
---------- ----------
754,351 749,224
---------- ----------
MALAYSIA--5.5%
4,000 Austral Amalagamated Tin (Financial Investment)... 6,685 6,543
4,000 Batu Kawan Berhad* (Chemicals).................... 8,633 8,777
3,000 Cement Industries of Malaysia (Construction
Materials)...................................... 9,622 9,575
3,000 Island & Penisular Berhad (Food).................. 9,056 9,874
3,000 Kuala Sidim Berhad* (Food)........................ 7,201 7,241
</TABLE>
17
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C> <C>
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
MALAYSIA (CONTINUED)
3,000 Leisure Management Berhad (Travel /
Entertainment).................................. $ 9,198 $ 8,976
16,000 Malayan United Industries Berhad (Real Estate).... 12,389 12,128
1,000 Malaysian Pacific Industries (Electronics)........ 3,692 3,670
4,000 Malaysian Plantation (Financial Investment)....... 4,841 4,819
1,000 Matsushita Electric Co. (Durables)................ 10,006 10,174
5,000 Mycom Berhad* (Real Estate)....................... 6,254 6,024
2,000 New Straits Times Press Berhad (Media)............ 10,651 10,533
3,000 Oriental Holdings Berhad (Retail / Wholesale)..... 23,943 24,057
4,000 Sapura Telecom (Electronics)...................... 6,794 6,798
3,000 Sime Uep Properties Berhad (Real Estate).......... 7,323 7,360
8,000 TA Enterprise Berhad (Financial Investment)....... 11,751 11,298
8,000 Tan Chong Motor Berhad (Automotive)............... 13,922 13,405
4,000 United Plantation Berhad (Food)................... 8,634 8,458
---------- ----------
170,595 169,710
---------- ----------
NETHERLANDS--3.7%
180 Cap Volmac Group (Services)....................... 4,262 4,261
650 Gist--Brocade--CVA (Drugs / Pharmaceuticals)...... 19,579 20,440
230 Konin Bijenkorf Beheer (Retail / Wholesale)....... 17,592 17,745
550 Koninklijke Hoogoven CVA (Metals)................. 19,621 19,706
570 Stork NV (Building)............................... 17,708 17,524
730 Vib NV (Real Estate).............................. 18,324 18,134
300 Wereldhave NV (Real Estate)....................... 17,347 17,096
---------- ----------
114,433 114,906
---------- ----------
NORWAY--1.8%
800 Aker ASA -- Class A (Construction Materials)...... 16,609 16,304
700 Norske Skogindustrie ASA (Paper).................. 19,413 18,411
3,700 Uni-Storebrand ASA* (Insurance)................... 20,748 19,975
---------- ----------
56,770 54,690
---------- ----------
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
NEW ZEALAND--0.2%
1,400 Independent News Ltd. (Media)..................... $ 5,544 $ 5,522
---------- ----------
SINGAPORE--1.9%
2,000 Focal Finance Ltd. (Banking)...................... 3,679 3,607
3,000 GP Batteries International Ltd. (Machinery)....... 8,770 8,670
3,000 Hong Leong Finance (Banking)...................... 10,357 9,758
3,000 Intraco Ltd. (Retail / Wholesale)................. 4,641 4,581
7,000 Malayan Credit Ltd. (Real Estate)................. 10,820 10,787
2,000 Singapore Business Service (Media)................ 11,317 10,368
3,000 Singapore Tech Industries (Services).............. 7,005 7,116
4,000 ST. Computer Systems & Service (Services)......... 2,864 2,841
---------- ----------
59,453 57,728
---------- ----------
SPAIN--1.3%
500 Banco Pastor SA (Banking)......................... 29,167 29,594
3,000 Sarrio SA (Paper)................................. 10,344 9,976
---------- ----------
39,511 39,570
---------- ----------
SWEDEN--3.3%
2,000 Avesta-Sheffield(Metals).......................... 20,653 20,833
700 Cardo AB (Machinery).............................. 16,175 15,534
900 Celsius AB-- Class B (Defense).................... 11,546 11,549
800 Esselte AB-- Class A (Retail / Wholesale)......... 17,153 17,452
100 Marieberg Tidnings AB--Class A (Media)............ 2,455 2,566
900 Perstorp AB-- Class B (Chemicals)................. 15,048 15,353
500 Ratos, Forvaltnin AB--Class B (Retail /
Wholesale)...................................... 13,561 13,398
300 Svedala Industries(Machinery)..................... 5,394 5,208
---------- ----------
101,985 101,893
---------- ----------
SWITZERLAND--2.9%
20 Ascom Holding AG (Telephone)...................... 20,755 20,740
20 Bucher Holding AG--Class B (Machinery)............ 15,258 14,997
100 Logitech International (Computers)................ 10,367 10,290
20 Schindler Holding AG (Machinery).................. 18,988 19,144
30 Swissair* (Airlines).............................. 25,364 24,673
---------- ----------
90,732 89,844
---------- ----------
</TABLE>
18
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1996
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C> <C>
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
UNITED KINGDOM--11.3%
300 600 Group Plc. (Machinery)........................ $ 12,035 $ 12,030
2,000 Acatos & Hutcheson (Food)......................... 7,968 7,786
4,000 Amec(Construction Materials)...................... 6,577 6,566
1,000 Amersham International (Drugs /
Pharmaceuticals)................................ 16,409 16,228
3,000 Anglican Group(Construction Materials)............ 10,081 9,826
5,000 Bibby (J.) & Sons Plc. (Retail / Wholesale)....... 10,030 9,927
3,000 Bladgen Industries (Machinery).................... 9,218 9,193
5,000 Bullough Plc. (Machinery)......................... 6,299 5,589
4,000 C.E. Health Plc. (Real Estate).................... 5,410 4,909
3,000 Cape Plc. (Construction Materials)................ 7,441 7,152
9,000 Chloride Group Plc. (Electronics)................. 4,901 4,819
4,000 Exco(Banking)..................................... 4,473 4,440
4,000 Haden Maclellan HD (Machinery).................... 6,166 6,191
3,000 Hogg Robinson Plc (Transportation)................ 12,235 11,960
9,000 Howden Group Plc. (Machinery)..................... 10,437 9,990
8,000 Iceland Group Plc. (Retail / Wholesale)........... 11,032 10,819
3,000 Lex Service Plc. (Retail / Wholesale)............. 17,488 17,190
3,000 London Forfaiting Co. (Banking)................... 13,936 13,883
8,000 London Merchant Securities Plc. (Real Estate)..... 12,411 12,007
Shares Cost Value
- ------ ---------- ----------
COMMON STOCK (CONTINUED)
UNITED KINGDOM (CONTINUED)
2,000 Macro 4 Plc. (Services)........................... $ 16,104 $ 15,478
2,000 Manders Plc. (Chemicals).......................... 6,644 6,410
3,000 Marston Thompson & Evershed (Liquor & Tobacco).... 14,012 13,883
3,000 Matthews (Bernard) (Food)......................... 5,572 5,487
6,700 Mowlem (John) & Co. Plc. (Building)............... 9,772 9,846
3,000 Nestor--BNA Plc. (Services)....................... 5,312 5,347
4,000 Perkins Foods Plc. (Retail / Wholesale)........... 5,328 5,284
26,000 Premier Oil Plc. (Oil)............................ 11,701 11,788
3,000 Scholl Plc. (Electronics)......................... 12,597 12,077
3,000 Sema Group Plc. (Services)........................ 37,563 38,061
4,000 Takare Plc. (Health).............................. 9,214 8,974
3,000 Wagon Industrial Holdings (Machinery)............. 14,456 14,235
2,000 Wolverhampton & Dudley Breweries Plc. (Liquor &
Tobacco)........................................ 19,580 19,437
---------- ----------
352,402 346,812
---------- ----------
TOTAL COMMON STOCK (IDENTIFIED
COST $2,491,288)--80.8%......................... $2,491,288 2,478,216
---------- ----------
---------- ----------
ASSETS LESS LIABLITIES--19.2%..................... 589,348
----------
TOTAL NET ASSETS--100.0%.......................... $3,067,564
----------
----------
</TABLE>
* Non income producing security
19
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
------------- ------------- -------------------
<S> <C> <C> <C>
ASSETS
Investment at value (cost $43,752,977, $1,263,390 and $2,491,288,
respectively)....................................................... $56,414,091 $ 1,287,480 $ 2,478,216
Short-term obligations................................................ 1,345,000 -- --
Foreign currency, at value (cost $28,271 and $1,160,363).............. -- 28,135 1,157,359
Cash.................................................................. 146,244 37 578,276
Receivable for investments sold....................................... 1,798,328 22,111 --
Receivable from manager............................................... -- 34,896 22,686
Dividends and interest receivable..................................... 39,071 3,049 1,244
Collateral for securities loaned, at value............................ 3,241,500 -- --
------------- ------------- ----------
Total assets...................................................... 62,984,234 1,375,708 4,237,781
------------- ------------- ----------
LIABILITIES
Payable for investments purchased..................................... 239,548 12,670 1,146,786
Payable for shares repurchased........................................ 2,215,000 -- --
Accrued:
Advisory fee........................................................ 6,150 6,425 497
Audit/tax fee....................................................... 14,000 5,000 2,292
Custodian fee....................................................... 9,588 4,250 1,042
Legal fees.......................................................... 10,526 240 333
Trustees' fee....................................................... 1,500 1,500 611
Other accrued expenses.............................................. 38,736 14,043 18,656
Collateral on securities loaned, at value............................. 3,241,500 -- --
------------- ------------- ----------
Total liabilities................................................. 5,776,548 44,128 1,170,217
------------- ------------- ----------
NET ASSETS............................................................ 57,207,686 1,331,580 3,067,564
------------- ------------- ----------
------------- ------------- ----------
Shares of beneficial interest outstanding (unlimited number
authorized) ........................................................ 6,849,209 158,552 306,128
------------- ------------- ----------
------------- ------------- ----------
Net asset value per share............................................. $ 8.35 $ 8.40 $ 10.02
------------- ------------- ----------
------------- ------------- ----------
COMPOSITION OF NET ASSETS:
Paid-in capital....................................................... $34,342,451 $ 1,671,258 $ 3,077,575
Undistributed net investment income (distributions in excess of net
investment income).................................................. 426,181 2,037 499
Accumulated net realized gains (loss) on investments, futures and
foreign currency transactions....................................... 9,777,940 (365,669) 5,566
Net unrealized appreciation (depreciation) on investments and futures
contracts........................................................... 12,661,114 24,090 (13,072)
Net unrealized depreciation on foreign currency....................... -- (136) (3,004)
------------- ------------- ----------
NET ASSETS............................................................ $57,207,686 $ 1,331,580 $ 3,067,564
------------- ------------- ----------
------------- ------------- ----------
</TABLE>
See accompanying notes to the financial statements.
20
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL INTERNATIONAL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES*
------------- ------------- -------------------
<S> <C> <C> <C>
Investment Income
Dividends (net of foreign taxes of $0, $604, and $186,
respectively)..................................................... $ 396,895 $ 3,424 $ 1,244
Interest............................................................ 6,180 30 --
Security lending fee income, net of related expenses................ 13,096 -- --
Miscellaneous income................................................ 3,396 -- --
------------- ------------- --------
Total income...................................................... 419,567 3,454 1,244
------------- ------------- --------
Expenses
Advisory fee........................................................ 246,425 6,425 497
Audit/tax fees...................................................... 14,000 5,000 2,292
Custodian fees...................................................... 38,993 18,086 1,042
Registration fees................................................... 31,879 31,899 3,913
Legal fees.......................................................... 15,807 348 333
Trustees' fee....................................................... 30,140 12,860 611
Miscellaneous expenses.............................................. 74,088 26,640 14,906
------------- ------------- --------
Total expenses before waivers/reimbursements...................... 451,332 101,258 23,594
Less expenses waived/reimbursed................................... (158,161) (93,277) (22,849)
------------- ------------- --------
Net expenses...................................................... 293,171 7,981 745
------------- ------------- --------
Net investment income (loss).......................................... 126,396 (4,527) 499
------------- ------------- --------
Net realized and unrealized gain (loss) on investments, futures and
foreign currency
Net realized gain (loss) on:
Investments......................................................... 5,812,042 29,411 --
Closed futures contracts............................................ -- (12,635) --
Foreign currency transactions....................................... -- (19,224) 5,566
Net change in unrealized appreciation (depreciation) on:
Investments......................................................... (276,364) (51,776) (13,072)
Open futures contracts.............................................. -- -- --
Foreign currency.................................................... -- 15 (3,004)
------------- ------------- --------
Net realized and unrealized gain (loss) on investments, futures
and foreign currency............................................ 5,535,678 (54,209) (10,510)
------------- ------------- --------
Net increase (decrease) in net assets resulting from operations....... $ 5,662,074 $ (58,736) $ (10,011)
------------- ------------- --------
------------- ------------- --------
</TABLE>
- --------------
* Commencement of operations September 23, 1996
See accompanying notes to the financial statements.
21
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES
------------------------------------------
SIX MONTHS
ENDED YEAR ENDED MARCH 31,
SEPTEMBER 30, --------------------------
1996 1996 1995
-------------- ------------ ------------
<S> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss)............................................. $ 126,376 $ 299,665 $ 324,509
Net realized gain (loss) on investments and closed futures contracts..... 5,812,042 16,565,303 4,831,958
Net realized gain (loss) on foreign currency transactions................ -- -- --
Net change in unrealized appreciation on investments and open futures
contracts.............................................................. (276,364) 2,415,710 1,170,368
Net change in unrealized depreciation on foreign currency................ -- -- --
-------------- ------------ ------------
Net increase (decrease) in net assets resulting from operations.............. 5,662,074 19,280,678 6,326,835
-------------- ------------ ------------
Distributions to shareholders from:
Net investment income...................................................... -- (68,162) (575,600)
In excess of net investment income......................................... -- -- --
Net realized gain on investments........................................... -- (13,123,399) (7,601,631)
-------------- ------------ ------------
Net decrease in net assets resulting from distributions.................. 0 (13,191,561) (8,177,231)
-------------- ------------ ------------
Share transactions:
Proceeds from shares sold.................................................. 365,051 866,628 2,439,880
Capital contribution....................................................... -- -- --
Issued on reinvestment of distributions.................................... -- 12,388,255 7,180,752
Cost of shares redeemed.................................................... (8,864,961) (16,207,993) (3,360,851)
-------------- ------------ ------------
Net increase (decrease) in net assets resulting from share transactions...... (8,499,910) (2,953,110) 6,259,781
-------------- ------------ ------------
Total increase (decrease) in net assets...................................... (2,837,836) 3,136,007 4,409,385
Net assets:
Beginning of period........................................................ 60,045,522 56,909,515 52,500,130
-------------- ------------ ------------
End of period (including undistributed net investment income (distributions
in excess of net investment income) of $126,376, $299,665 and $99,620,
respectively)............................................................ $ 57,207,686 $ 60,045,522 $ 56,909,515
-------------- ------------ ------------
-------------- ------------ ------------
Share transactions:
Sold....................................................................... 50,325 117,734 342,062
Capital contribution....................................................... -- -- --
Issued upon reinvestment of distributions.................................. -- 1,744,825 1,129,049
Redeemed................................................................... (1,103,324) (2,124,487) (437,819)
-------------- ------------ ------------
Net increase (decrease) in shares outstanding............................ (1,052,999) (261,928) 1,033,292
Fund shares:
Beginning of period........................................................ 7,902,208 8,164,136 7,130,844
-------------- ------------ ------------
End of period.............................................................. 6,849,209 7,902,208 8,164,136
-------------- ------------ ------------
-------------- ------------ ------------
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL
CAPITALIZATION
JAPAN SERIES SERIES*
---------------------------------------- --------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED MARCH 31, ENDED
SEPTEMBER 30, ------------------------ SEPTEMBER 30,
1996 1996 1995 1996
-------------- ----------- ----------- --------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income (loss)................................ $ (4,527) $ (2,960) $ (3,232) $ 499
Net realized gain (loss) on investments and closed futures
contracts................................................. 16,776 (4,977) 66,766 --
Net realized gain (loss) on foreign currency transactions... (19,224) (2,537) 3,355 5,566
Net change in unrealized appreciation on investments and
open futures contracts.................................... (51,776) 3,105 45,132 (13,072)
Net change in unrealized depreciation on foreign currency... 15 (961) (270) (3,004)
-------------- ----------- ----------- --------------
Net increase (decrease) in net assets resulting from
operations..................................................... (58,736) (18,330) 111,751 (10,011)
-------------- ----------- ----------- --------------
Distributions to shareholders from:
Net investment income......................................... -- -- -- --
In excess of net investment income............................ -- (12,014) (2,850) --
Net realized gain on investments.............................. -- -- -- --
-------------- ----------- ----------- --------------
Net decrease in net assets resulting from distributions..... 0 (12,014) (2,850) 0
-------------- ----------- ----------- --------------
Share transactions:
Proceeds from shares sold..................................... -- -- -- 3,077,575
Capital contribution.......................................... 11,944 12,065 15,114 --
Issued on reinvestment of distributions....................... -- 12,014 2,850 --
Cost of shares redeemed....................................... -- -- -- --
-------------- ----------- ----------- --------------
Net increase (decrease) in net assets resulting from share
transactions................................................... 11,944 24,079 17,964 3,077,575
-------------- ----------- ----------- --------------
Total increase (decrease) in net assets......................... (46,792) (6,265) 126,865 3,067,564
Net assets:
Beginning of period........................................... 1,378,372 1,384,637 1,257,772 0
-------------- ----------- ----------- --------------
End of period (including undistributed net investment income
(distributions in excess of net investment income) of
$299,665, $99,620, $6,565 and $12,012, respectively)........ $ 1,331,580 $ 1,378,372 $ 1,384,637 $ 3,067,564
-------------- ----------- ----------- --------------
-------------- ----------- ----------- --------------
Share transactions:
Sold.......................................................... -- -- -- 306,128
Capital contribution.......................................... 1,324 1,341 1,741 --
Issued upon reinvestment of distributions..................... -- 1,405 331 --
Redeemed...................................................... -- -- -- --
-------------- ----------- ----------- --------------
Net increase (decrease) in shares outstanding............... 1,324 2,746 2,072 306,128
Fund shares:
Beginning of period........................................... 157,228 154,482 152,410 0
-------------- ----------- ----------- --------------
End of period................................................. 158,552 157,228 154,482 306,128
-------------- ----------- ----------- --------------
-------------- ----------- ----------- --------------
</TABLE>
- --------------
* Commencement of operations on September 23, 1996
See accompanying notes to the financial statements.
23
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES. Rosenberg Series
Trust (the "Trust") is an open-end diversified management investment company
offering three portfolios. U.S. Small Capitalization Series, International Small
Capitalization Series and Japan Series, (the "Funds") or individually (the
"Fund") with differing objectives and strategies. The Trust was established as a
Massachusetts business trust under the laws of Massachusetts on April 1, 1988.
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. 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. 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. Securities quoted in foreign currencies are translated
into U.S. dollars based upon the prevailing exchange rate at the close of
each business day. Other assets and securities for which no quotation is
readily available are valued at fair value as determined in good faith by
the Trustees.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (the date the
order to buy or sell is executed). Corporate actions (including cash
dividends) are recorded on the ex-date or as soon after the ex-date as the
fund becomes aware of such action, net of any non-refundable tax
withholdings. Interest income is recorded on the accrual basis and is
adjusted for the accretion of discounts. In determining the net gain or loss
on securities sold, the cost of securities is determined on the identified
cost basis.
FOREIGN CURRENCY TRANSACTIONS
All monetary items denominated in foreign currencies are translated to U.S.
dollars based upon the prevailing exchange rate at the close of each
business day. Net realized gains and losses on foreign currency transactions
represent net gains and losses from currency gains and losses realized
between the trade and settlement dates on securities transactions, and the
difference between the amount of net investment income accrued and the U.S.
dollar amount actually received. Further, the effects of changes in foreign
currency exchange rates on investments in securities are not segregated in
the Statement of Operations from the effects of changes in market prices of
those securities, but are included with the net realized and unrealized gain
or loss on investments.
EXPENSES
Expenses specific to an individual Fund are charged to that Fund. Common
expenses are allocated to each Fund based on their comparative net asset
values.
24
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
DISTRIBUTIONS
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 foreign currency transactions and wash sales for
book and tax purposes. Permanent book and tax basis differences will result
in reclassifications to capital accounts.
OTHER
The Japan Series pursues its objectives by investing in Japanese securities.
There are certain additional risks involved when investing in foreign
securities that are not inherent with investments in domestic securities.
These risks may involve adverse political and economic developments and the
possible imposition of currency exchange blockages or other foreign
governmental laws or restrictions.
The Japan Series may purchase futures contracts on the Tokyo Stock Price
Index ("TOPIX") or the NIKKEI 225 Index ("NIKKEI") to manage its exposure to
the Tokyo Stock Exchange. Buying futures tends to increase the Fund's
exposure to the underlying instrument. The use of futures contracts involves
certain risks, which include (1) the imperfect correlation between the price
movement of the contracts and the underlying securities, or (2) the
inability to close out positions due to different trading hours, or the
temporary absence of a liquid market, for either the contract or the
underlying securities. Futures contracts (secured by securities deposited
with brokers as "initial margin") are valued at the settlement price
established each day by the board of trade or exchange on which they are
traded. Changes in initial settlement value (represented by cash paid to or
received from brokers as "variation margin") are accounted for as unrealized
appreciation (depreciation). When futures contracts are closed, the
difference between the opening value at the date of purchase and the value
at closing is recorded as realized gains and losses in the Statement of
Operations. See Note 9 for all open future contracts held as of September
30, 1996.
NOTE 2 -- MANAGEMENT FEE. Rosenberg Institutional Equity Management (the
"Manager") provides advisory and management services to the Funds under separate
management contracts.
Compensation of the Manager for the U.S. Small Capitalization Series is
payable quarterly at the annual rate of .90% of the Fund's average daily net
assets. The Manager has agreed with the U.S. Small Capitalization Series to
reduce its fee until further notice to the extent necessary to limit the Fund's
annual expenses (including the management fee but excluding the Shareholder
Service Fee, the Distribution Fee, brokerage commissions and transfer taxes) to
1.15% of the Fund's average daily net assets.
Compensation of the Manager for the Japan Series and the International Small
Capitalization Series is payable quarterly at the annual rate of 1.00% of the
Fund's average daily net assets. The Manager has agreed with the Japan Series
and the International Small Capitalization Series to reduce its fee until
further notice to the extent necessary to limit the Funds' annual expenses
(including the management fee but excluding the Shareholder Service Fee, the
Distribution Fee, brokerage commissions and transfer taxes) to 1.50% of the
Fund's average daily net assets.
During the six months, the Manager, who is also the sole shareholder in the
Japan Series, made a capital contribution of $11,944 in return for 1,334 shares
of the fund. This contribution represented the forgiveness of the reimbursements
owed by the fund to the Manager at March 31, 1996.
NOTE 3 -- FEDERAL TAXATION. It is each Fund's policy to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income, including any net
realized gain on
25
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
investments, to its shareholders. Therefore, no provision is made for federal
income taxes. As of March 31, 1996, the Japan Series had a capital loss
carryover of approximately $368,407 available to offset future realized capital
gains, of which $262,527, $69,379, $15,997 and $20,504 will expire on March 31,
2000, March 31, 2001, March 31, 2002, and March 31, 2004, respectively. In order
to meet certain excise tax distribution requirements, each Fund is required to
measure and distribute annually, net capital gains and net foreign currency
gains realized during a twelve-month period ending October 31. In connection
with this, each Fund is permitted for tax purposes to defer into its next fiscal
year any net capital losses or net foreign currency losses incurred between
November 1, 1995 and the end of its fiscal year. The Japan Series has elected to
defer to its fiscal year ending March 31, 1997 approximately $9,032 of losses
occurring during the period November 1, 1995 to March 31, 1996.
For federal tax purposes at September 30, 1996 the amounts of unrealized
appreciation/depreciation and the cost of portfolio securities were as follows:
<TABLE>
<CAPTION>
UNREALIZED UNREALIZED NET UNREALIZED COST OF
APPRECIATION DEPRECIATION APPRECIATION SECURITIES
------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
U.S. Small Capitalization Series............................ $ 14,756,016 $ 2,094,902 $ 12,661,114 $ 43,752,977
Japan Series................................................ $ 102,257 $ 78,167 $ 24,090 $ 1,263,380
International Small Capitalization Series................... $ 20,922 $ (33,994) $ (13,072) $ 2,491,288
</TABLE>
NOTE 4 -- SECURITY PURCHASES AND SALES. For the period ended September 30,
1996 (excluding short term securities and foreign currency):
<TABLE>
<CAPTION>
PURCHASES OF
PORTFOLIO SALES OF PORTFOLIO
SECURITIES SECURITIES
------------------- -------------------
<S> <C> <C>
U.S. Small Capitalization Series................................................. $ 13,926,005 $ 22,585,565
Japan Series..................................................................... $ 340,780 $ 348,030
International Small Capitalization Series........................................ $ 2,491,288 $ 0
</TABLE>
NOTE 5 -- PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess
of 10% of the relevant Fund's shares outstanding at September 30, 1996 held the
following aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
FUND % OF FUND'S SHARES
- ---------------------------------------------------------------------------------- -----------------------
<S> <C>
U.S. Small Capitalization......................................................... 79%
Japan............................................................................. 100%
International Small Capitalization................................................ 90%
</TABLE>
NOTE 6 -- TRUSTEE FEES. The unaffiliated Trustees each receive an annual
Trustee's fee of $23,000 plus a $2,500 meeting fee for each Trustee meeting
attended for each Fund in the series.
NOTE 7 -- SALES AND REDEMPTIONS OF SHARES. The U.S. Small Capitalization
Series, the Japan Series and the International Small Capitalization Series
charge a purchase premium equal to .25%, .50% and .50%, respectively, of the net
asset value of the shares purchased. The premium on redemptions is .25% for the
U.S. Small Capitalization Series and .50% for the Japan Series and the
International Small Capitalization Series. All purchase and redemption premiums
are paid to and retained by the relevant Fund. For the year ended March 31,
1996, and for the six months ended September 30, 1996, total purchase premiums
retained by the U.S. Small Capitalization Series were approximately $2,161 and
$806, respectively. For the year ended March 31, 1996, and for the six months
ended September 30, 1996 total redemption premiums retained by the U.S. Small
Capitalization Series were approximately $35,608 and $22,111, respectively. For
the six months ended September 30, 1996 total purchase premiums
26
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
retained by the International Small Capitalization Series were approximately
$15,388. Purchase premiums are added to proceeds from shares sold and redemption
premiums netted against cost of shares redeemed for financial statement
presentation purposes. Purchase and redemption premiums are not charged on
in-kind transactions and reinvested distributions or dividends.
NOTE 8 -- SECURITY LENDING PROGRAM. Under the Security Lending Program for
the six months ended September 30, 1996, securities held by the U.S. Small
Capitalization Series were loaned by State Street Bank, as agent, to certain
brokers (the "Borrowers"). The Borrowers provided cash as collateral against
loans in an amount at least equal to 100% of the market value of the loaned
securities.
At September 30, 1996, the value of securities loaned amounted to $2,906,749
against which cash collateral of $3,241,500 was held. Cash provided is invested
in short-term investments. A portion of the income generated upon investment of
the collateral is remitted to the Borrowers, and the remainder is allocated
between the U.S. Small Capitalization Series and State Street Bank in its
capacity as lending agent. The U.S. Small Capitalization Series bears the risk
of loss with respect to the investment of the cash collateral.
NOTE 9 -- LINE OF CREDIT. A line of credit in the amount of $250,000 has
been established by the custodian for the purposes of foreign exchange contracts
on behalf of the Japan Series. The maximum daily settlement amount under the
line of credit is $125,000.
27
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED MARCH 31,
SEPTEMBER 30, ------------------------------------------------------
1996 1996 1995 1994 1993 1992
-------------- --------- --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of period.. $ 7.60 $ 6.97 $ 7.36 $ 12.33 $ 12.04 $ 10.74
------- --------- --------- --------- --------- ----------
Income (loss) from investment operations
Net investment income (loss)*....... .02 .03 .01 .08 .13 .11
Net realized and unrealized gain
(loss) on investments and foreign
currency.......................... .73 2.34 .78 1.28 2.31 1.53
------- --------- --------- --------- --------- ----------
Total investment operations......... .75 2.37 .79 1.36 2.44 1.64
------- --------- --------- --------- --------- ----------
Distributions to shareholders from:
Net investment income............... -- (.01) (.08) (.14) (.10) (.08)
In excess of net investment
income............................ -- -- -- -- -- --
Net realized gain on investments.... -- (1.73) (1.10) (6.19) (2.05) (.26)
------- --------- --------- --------- --------- ----------
$ 0.00 $ (1.74) $ (1.18) $ (6.33) $ (2.15) $ (.34)
------- --------- --------- --------- --------- ----------
Net asset value at end of period........ $ 8.35 $ 7.60 $ 6.97 $ 7.36 $ 12.33 $ 12.04
------- --------- --------- --------- --------- ----------
------- --------- --------- --------- --------- ----------
Total return**.......................... 9.90% 35.69% 12.21% 12.83% 22.51% 15.79%
Net assets, end of period (000)......... $ 57,208 $ 60,046 $ 56,910 $ 52,500 $ 69,458 $ 119,343
Ratio of net expenses to average daily
net assets............................ .98% .90% .90% .90% .90% .90%
Ratio of net expenses to average daily
net assets before reimbursement....... 1.51% 1.15% 1.17% 1.14% 1.03% .94%
Ratio of net investment income (loss) to
average daily net assets.............. .21% .47% .60% .60% .59% .66%
Portfolio turnover rate................. 38.53% 71.87% 57.27% 59.61% 32.61% 59.04%
</TABLE>
- --------------
* For the six months ended September 30, 1996, net of fees and expenses waived
or borne by the Manager which amounted to $.02, $.02, $.01, $.05 and $.01 per
share.
** Total return would have been lower had certain fees and expenses not been
waived.
See accompanying notes to the financial statements.
28
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JAPAN SERIES
-----------------------------------------------------------------------------
SIX MONTHS YEAR ENDED MARCH 31,
ENDED SEPTEMBER ------------------------------------------------------------
30, 1996 1996 1995 1994 1993 1992
--------------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of period......... $ 8.77 $ 8.96 $ 8.25 $ 6.94 $ 6.15 $ 7.87
------ --------- --------- --------- --------- ---------
Income (loss) from investment operations
Net investment income (loss)*.............. (.03) .04 .10 (.01) .02 .04
Net realized and unrealized gain (loss) on
investments and foreign currency......... (.34) (.15) .63 1.41 .84 (1.69)
------ --------- --------- --------- --------- ---------
Total investment operations................ (.37) (.11) 0.73 1.40 .86 (1.65)
------ --------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income...................... -- -- -- -- (.07) (.07)
In excess of net investment income......... -- (.08) (.02) (.09) -- --
Net realized gain on investments........... -- -- -- -- -- --
------ --------- --------- --------- --------- ---------
$ (.00) $ (.08) $ (.02) $ (.09) $ (.07) $ (.07)
------ --------- --------- --------- --------- ---------
Net asset value at end of period............... $ 8.40 $ 8.77 $ 8.96 $ 8.25 $ 6.94 $ 6.15
------ --------- --------- --------- --------- ---------
------ --------- --------- --------- --------- ---------
Total return**................................. (4.2)% (1.2)% 8.86% 20.35% 14.24% (21.09)%
Net assets, end of period (000)................ $ 1,332 $ 1,378 $ 1,385 $ 1,258 $ 1,044 $ 915
Ratio of net expenses to average daily net
assets....................................... 1.15% 1.00% 1.00% 1.00% .70% .59%
Ratio of net expenses to average daily net
assets before reimbursement.................. 14.57% 7.16% 7.02% 7.63% 10.70% 8.56%
Ratio of net investment income (loss) to
average daily net assets..................... (.33)% (.22)% (.20)% (.26)% .37% .20%
Portfolio turnover rate........................ 25.18% 60.60% 57.10% 74.60% 162.10% 53.13%
</TABLE>
- --------------
* For the six months ended September 30, 1996, net of fees and expenses waived
or borne by the Manager which amounted to $.59, $.38, $.67, $.49, $.59 and
$1.64 per share.
** Total return would have been lower had certain fees and expenses not been
waived.
See accompanying notes to the financial statements.
29
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAPITALIZATION SERIES*
- -------------------------------------------------------------------------------------
SIX MONTHS
ENDED
SEPTEMBER 30,
1996
-------------
<S> <C>
Net asset value at beginning of period................................ $10.00
------
Income (loss) from investment operations
Net investment income (loss)+..................................... --
Net realized and unrealized gain (loss) on investments and foreign
currency......................................................... .02
------
Total investment operations....................................... .02
------
Distributions to shareholders from:
Net investment income............................................. --
In excess of net investment income................................ --
Net realized gain on investments.................................. --
------
$ (.00)
------
Net asset value at end of period...................................... $10.02
------
------
Total return**........................................................ 0.20%
Net assets, end of period (000)....................................... $3,068
Ratio of net expenses to average daily net assets..................... 1.50%
Ratio of net expenses to average daily net assets before
reimbursement....................................................... 4.72%
Ratio of net investment income (loss) to average daily net assets..... 1.00%
Portfolio turnover rate............................................... 0%
</TABLE>
- --------------
+ For the six months ended September 30, 1996, net of fees and expenses waived
or borne by the Manager which amounted to $.07.
* Commencement of operations on September 23, 1996.
** Total return would have been lower had certain fees and expenses not been
waived.
See accompanying notes to the financial statements.
30
<PAGE>
BARR ROSENBERG SERIES TRUST
Manager
Rosenberg Institutional Equity Management
Four Orinda Way, Building E
Orinda, CA 94563
Administrator, Transfer and
Dividend Disbursing Agent
Furman Selz LLC
230 Park Avenue
New York, NY 10169
Distributor
Barr Rosenberg Funds Distributor, Inc.
230 Park Avenue
New York, NY 10169
Custodian
State Street Bank and Trust Company
Mutual Funds Division
Boston, MA 02110
Counsel
Ropes & Gray
One International Place
Boston, MA 02110
This report is for the information of the shareholders of Barr Rosenberg Series
Trust. Its use in connection with any offering of the Trust's shares is
authorized only in case of a concurrent or prior delivery of the Trust's current
prospectus.
--------------------------------------
BARR ROSENBERG SERIES TRUST
--------------------------------
U.S. SMALL CAPITALIZATION SERIES
JAPAN SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
SEMI-ANNUAL REPORT
-------------------------
SEPTEMBER 30, 1996
-------------------------
