<PAGE>
BARR ROSENBERG SERIES Trust
JAPAN SERIES
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
May 8, 1997
Fellow shareholders,
On behalf of Barr Rosenberg Mutual Funds, I am delighted to send you the
Annual Report for the year ended March 31, 1997.
In September 1996, we launched the International Small Capitalization Fund.
The goal of the Fund is to outperform its benchmark, the Cazenove Rosenberg
Global Smaller Companies Index excluding the U.S. (CRIexUS), by investing
primarily in equity securities of small companies which are domiciled outside
the U.S. The Fund is designed for investors who need diversification to achieve
a comprehensive equity strategy or who want exposure to the growth potential of
the developed international markets. The same disciplined investment approach
used for stock selection for the portfolios of the U.S. Small Capitalization
Fund and the Japan Fund is applied to the international portfolio.
Since August 1996, when we first offered the U.S. Small Capitalization Fund
to the public, the Fund has found acceptance in new markets. Several plan
sponsors have approved the Fund for investment by their 401(k) plan members. The
Fund was recently invited to participate in the Oppenheimer Portfolio Advisory
Service program (PAS), a mutual fund wrap program.
The Funds are currently available through the following distribution
channels:
- Schwab's Institutional Marketplace-Registered Trademark-
- Jack White & Company's Mutual Fund Network
- National Investor Services Corp.'s NTF Program
- DATALYNX-SM- /TRUSTLYNX-SM-
We are actively pursuing relationships with various other distribution
channels.
At any time around the world, you have access to information about our Funds
through the World Wide Web. Our web site (www.riem.com) includes information
about the three Funds, including investment philosophy and strategy, fund
management and shareholder benefits. You may also download a prospectus and the
semi-annual or annual report. In June 1997, we will be adding performance and
pricing information.
If you would like more information, please call our toll free number (800)
447-3332.
Thank you for your continued support.
Sincerely,
[SIG]
Richard L. Saalfeld
President and Chief Executive Officer
1
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
The Barr Rosenberg U.S. Small Capitalization Series posted strong relative
gains from April 1996 through March 1997. During the market decline in smallcap
stocks in general, the Fund performed exceptionally well, achieving a 19.53%
total return on the Institutional Shares in the latest fiscal year compared to
5.12% for the benchmark Russell 2000.
The Fund continues to outperform its benchmark on a three and five-year
basis. Average annual total returns of the Institutional shares of the Fund were
22.10% vs. 12.71% for the Russell 2000 over the past three years and 20.26% vs.
12.79% over the past five years. Since inception in February 1989, the Fund's
average annual return was 15.79% vs. 12.10% for the Russell 2000.
MARKET COMMENTARY
The fiscal year ended March 31, 1997, featured a large selloff in both the
large capitalization and smallcap markets. While the large caps declined almost
10% before recovering, some smallcap stocks fell twice as much and have
recovered much more slowly.
During March of this year, technology leaders announced disappointing
earnings growth and were swiftly punished. The smaller technology stocks took
the brunt of the punishment. For example, the Morgan Stanley High Tech Index
lost 17% of its value in about two weeks. Some small stocks are now trading at
less than 50% of their highs.
This market movement devastated many well-known "aggressive growth" mutual
funds. While we believe these funds took big technology bets to swing for the
home run, we were content to hit lots of singles, doubles and triples. While we
pick undervalued stocks, we do not make industry bets, and we try to keep the
risk profile of our portfolio similar to the profile of our benchmark.
Some of our individual stock picks that stood out include:
- Trans World Entertainment (TWMC); operators of music and video stores (12
month return of 246%).
- Inacom Corp (INAC); markets and distributes information-technology
products and services (12 month return of 32%).
- Coachman Industries (COA); manufactures recreational vehicles (12 month
return of 45%).
- MicroAge Inc (MICA); distributes information-technology products (12 month
return of 30%).
- Stanley Furniture (STLY); manufactures wood furniture (12 month return of
81%).
STOCK SELECTION PROCESS
We consider ourselves "bargain shoppers" of smallcap stocks. Using various
models designed by Barr Rosenberg, we are able to find undervalued stocks and
place them in a risk-adjusted portfolio that we expect will outperform our
chosen benchmark, the Russell 2000 Index.
Our process uses three models for stock selection and one for risk
management. The first and most important model is the Appraisal Model. This
model computes a fair value for each of the 5,000 stocks in our small stock
universe by looking at each business line and relating it to other similar
companies. Next, our Earnings Change Model predicts earnings for the coming year
based on past profitability, current operations and earnings forecasts. Finally,
our Investor Sentiment Model measures the short-
2
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES (CONTINUED)
- --------------------------------------------------------------------------------
term enthusiasm for individual companies, using brokers' recommendations and
analysts' estimates. The output from these three models is combined to form a
prediction of each stock's one-year return. The portfolio is optimized using our
Risk Model to determine the right mix of stocks with the highest expected return
at the lowest risk possible.
OUTLOOK
We are very pleased with our long-term record of performance and strive to
continue the legacy. We remain optimistic about the long-term prospects of small
stock investing. We believe our systematic and disciplined approach provides
investors with an opportunity to diversify their portfolios.
3
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS--91.8%
AEROSPACE/DEFENSE--0.5%
8,250 Cubic Corp........................................ $ 198,000
1,800 Diagnostic/Retrieval Systems*..................... 19,125
1,400 Esterline Technology Corp.*....................... 37,800
3,600 Heico Corp........................................ 83,700
3,400 Herley Industries Inc.*........................... 30,600
3,600 Lowrance Electronics Inc.*........................ 32,850
-----------
402,075
-----------
AIRLINES--0.2%
10,700 Petroleum Helicopter Inc.......................... 184,575
-----------
AUTOMOBILES--0.9%
11,200 Borg-Warner Automotive, Inc....................... 477,400
10,900 Mascotech Inc..................................... 223,450
2,000 Stant Corp........................................ 29,250
-----------
730,100
-----------
BANKING--7.7%
25 1st Source Corp................................... 575
600 Abington Bancorp Inc.............................. 12,600
5,800 Alabama National Bancorp.......................... 104,400
1,800 American Bancorp Ohio............................. 54,000
4,500 Anchor Bancorp Wisconsin, Inc..................... 199,125
5,800 Arrow Financial Corp.............................. 141,375
2,500 Associated Banc-Corp.............................. 91,875
1,900 BancorpSouth, Inc................................. 52,013
2,200 Banknorth Group Inc............................... 89,100
3,600 BNH Bancshares*................................... 44,100
5,200 BOK Financial Corp.*.............................. 153,400
1,700 Broad National Bancorp............................ 26,988
300 BSB Bancorp Inc................................... 9,113
3,900 Cape Cod Bank & Trust Co.......................... 105,300
1,970 Capitol Bancorp Ltd............................... 30,535
800 Cardinal Bankshares, Inc.......................... 37,400
2,900 CB Bancshares, Inc................................ 102,950
1,400 Center Banks Inc.*................................ 26,775
5,500 Commercial Bank of New York....................... 89,375
19,700 Commercial Federal Corporation.................... 664,875
1,200 Comstock Bank*.................................... 15,000
3,100 Corus Bankshares Inc.............................. 103,075
300 CPB Inc........................................... 10,013
5,800 CVB Financial Corp................................ 108,025
800 Deposit Guaranty Corp.*........................... 24,000
3,700 First Citizens Banc............................... 316,350
300 First Citizens Corp............................... 7,725
6,700 First Hawaiian Inc................................ 208,538
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
2,000 First Mutual Savings Bank of Bellevue............. $ 38,750
8,000 FNB Corp.......................................... 196,000
4,400 FNB Rochester Corp................................ 57,475
3,630 Foothill Independent Bancorp.*.................... 50,820
6,200 GBC Bancorp of California......................... 203,050
2,232 Grand Premier Financial Inc....................... 23,994
2,300 Granite State Bankshares Inc...................... 59,225
1,200 Home Port Bancorp Inc............................. 20,550
2,100 Horizon Bancorp Inc............................... 50,400
3,689 Imperial Bancorp*................................. 88,075
3,600 Keystone Heritage Group, Inc...................... 95,850
1,400 Lakeview Financial Corp........................... 43,400
10,400 Mainstreet Bankgroup Inc.......................... 209,300
3,000 Massbank Corp..................................... 123,000
1,000 Midconn Bank...................................... 23,750
3,400 National Bank of Alaska........................... 251,600
2,000 New Milford Bank.................................. 24,000
6,600 Newmil Bancorp, Inc............................... 62,700
7,858 North Fork Bancorp................................ 283,870
1,102 Northrim Bank of Alaska........................... 9,643
1,500 One Valley Bancorp................................ 53,813
2,100 Pacific Crest Capital Inc.*....................... 27,300
100 Peoples Bank Corp Indianapolis.................... 4,350
3,100 Peoples Bank...................................... 100,750
16,800 Peoples Heritage Financial Group.................. 516,600
1,500 Progressive Bank Inc.............................. 37,875
800 Royal Bancshares of Pennsylvania--
Class A......................................... 11,200
2,000 Security Capital Corporation...................... 172,000
2,900 Southwest Bancorp................................. 58,725
6,100 Sterling Bancorp.................................. 91,500
3,800 Student Loan Corp................................. 138,225
2,800 Suffolk Bancorp................................... 117,600
400 Sumitomo Bank of California....................... 11,200
600 UMB Financial Corp................................ 23,700
13,200 UST Corp.......................................... 265,650
4,000 Vista Bancorp Inc................................. 54,000
3,900 Warren Bancorp Inc................................ 63,375
4,300 WFS Financial Inc.*............................... 48,372
-----------
6,540,287
-----------
BEVERAGES--0.1%
6,500 Todhunter International Inc.*..................... 44,688
-----------
CHEMICALS--0.3%
8,600 Bairnco Corp...................................... 60,200
</TABLE>
4
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BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
3,300 Fuller (H.B.) Company............................. $ 160,875
400 MacDermid Inc..................................... 13,900
-----------
234,975
-----------
CONSTRUCTION MATERIALS--1.5%
3,400 Ameron Inc........................................ 169,575
1,800 Angeles Mortgage Investment Trust-- Class A....... 25,200
5,125 Donnelly Corp..................................... 82,641
5,300 Florida Rock Industries........................... 173,575
12,400 Libbey Inc........................................ 387,500
11,700 Southdown Inc..................................... 400,725
100 United States Lime & Minerals, Inc................ 638
-----------
1,239,854
-----------
CONTAINERS--0.0%
200 Scope Industries Inc.............................. 10,000
-----------
COMMERCIAL SERVICES--6.8%
15,200 ABM Industries Inc,............................... 285,000
500 Advent Software Inc.*............................. 11,000
2,300 Analysis & Technology Inc......................... 32,775
6,800 ASA International Ltd*............................ 7,650
19,700 Aspen Technology Inc.*............................ 536,825
4,400 Baker (Michael) Corp*............................. 32,450
4,100 Berlitz International Inc.*....................... 91,738
37 Boole & Babbage Inc.*............................. 879
8,800 CACI International Inc.--Class A*................. 143,000
8,600 CDI Corp*......................................... 319,275
6,200 Chemed Corp....................................... 223,975
2,500 Comnet Corp*...................................... 21,250
9,400 ComputerData Systems Inc.......................... 283,175
5,200 Duff & Phelps Credit Rating Company............... 135,850
11,800 Emcon, Inc.*...................................... 37,613
4,000 Failure Group Inc.*............................... 18,500
7,350 FDP Corp.......................................... 49,613
7,900 General Automation, Inc.*......................... 15,306
2,500 Group 1 Software Inc.*............................ 16,875
2,000 GSE Systems Inc.*................................. 12,250
5,200 GT Interactive Software Corp.*.................... 37,050
5,300 Healthcare Services Group, Inc.*.................. 56,975
22,600 Intergraph Corp*.................................. 175,150
360 LCS Industries.................................... 5,130
2,000 Liberty Technologies, Inc.*....................... 5,750
100 MacNeal-Schwendler Corp........................... 950
1,800 Market Facts Inc.................................. 36,900
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
COMMERCIAL SERVICES (CONTINUED)
6,600 Medquist Inc.*.................................... $ 145,200
18,300 Mentor Graphics Corp*............................. 153,263
20,300 National Data Corp................................ 718,113
2,500 Norrell Corp...................................... 61,563
4,700 FCA International Ltd............................. 78,725
5,200 Pharmaceutical Marketing*......................... 50,700
9,900 Physician Computer Network, Inc.*................. 70,538
5,900 Pinkertons Inc.*.................................. 151,925
23,900 Platinum Technology Inc.*......................... 283,813
13,500 Policy Management Systems Corp*................... 588,938
28,300 Santa Cruz Operation Inc.*........................ 176,875
4,900 Service Technology Inc.*.......................... 26,644
7,500 Shared Technologies Fairchild Inc.*............... 45,938
3,100 SofTech Inc....................................... 8,138
4,000 Structural Dynamics Research Corporation*......... 83,000
5,300 Symix Systems Inc.*............................... 53,663
400 Tripos Inc.*...................................... 6,100
5,300 Union Corp*....................................... 113,950
10,200 URS Corp*......................................... 102,000
5,400 Volt Information Sciences, Inc.*.................. 256,500
-----------
5,768,490
-----------
COSMETICS--0.2%
4,600 Beauticontrol Cosmetics Inc....................... 44,850
6,488 Del Laboratories Inc.............................. 134,626
300 NCH Corp.......................................... 17,738
-----------
197,214
-----------
DRUGS--0.5%
6,700 BioWhittaker Inc.*................................ 57,788
2,900 Chattem Inc.*..................................... 27,550
8,900 Gamma Biologicals Inc............................. 32,263
7,700 Life Technologies Inc............................. 202,125
5,200 New Brunswick Scientific, Inc.*................... 35,100
2,100 Nutramax Products, Inc.*.......................... 25,200
1,000 PDK Labs Inc.*.................................... 6,500
-----------
386,526
-----------
DURABLE GOODS--0.6%
800 Coachmen Industries Inc........................... 15,100
4,900 Harman International Industries, Inc.............. 164,150
3,800 Koss Corp*........................................ 38,000
2,000 Polk Audio Inc.*.................................. 19,000
4,465 Rexhall Industries Inc.*.......................... 27,906
5,500 Thor Industries Inc............................... 128,563
</TABLE>
5
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
DURABLE GOODS (CONTINUED)
12,800 Winnebago Industries, Inc......................... $ 88,000
-----------
480,719
-----------
ELECTRONICS--8.2%
8,000 Adage Inc.*....................................... 28,000
12,900 Advanced Technology Labs Inc.*.................... 382,163
12,100 Aeroflex Inc.*.................................... 42,350
3,100 American Technical Ceramics Corp.*................ 25,963
6,700 ANTEC Corp*....................................... 52,763
21,300 Applied Magnetics Corp.*.......................... 601,725
800 Applied Signal Technology, Inc.*.................. 3,600
1,300 Badger Meter Inc.................................. 60,450
21,300 Ballard Medical Products.......................... 444,638
5,400 Berg Electronics Corp.*........................... 153,900
2,000 BioLogic Systems Corp*............................ 6,250
2,400 Bio Rad Laboratories Inc.--Class A*............... 61,200
10,100 CMC Industries Inc.*.............................. 93,425
6,300 Cobra Electronics Corp.*.......................... 18,113
900 CTS Corp.......................................... 45,900
26,900 Dallas Semiconductor Corp......................... 712,850
2,900 Dynamics Corporation of America................... 110,563
1,000 Espey Manufacturing & Electronics Corp............ 17,875
6,600 ESS Technology, Inc.*............................. 160,050
7,700 Fluke Corp........................................ 341,688
4,900 Frequency Electronics Inc.*....................... 53,900
2,900 Giga-Tronics Inc.*................................ 24,650
300 Gilbert Associates, Inc.*......................... 5,100
1,800 Hadco Corp.*...................................... 69,750
2,400 Haemonetics Corp*................................. 42,600
6,300 Harmon Industries Inc............................. 107,494
1,800 HEI Inc.*......................................... 15,300
6,600 Hurco Companies Inc.*............................. 32,175
2,400 Hutchinson Technology, Inc.*...................... 68,400
4,200 IEC Electronics Corp*............................. 33,600
100 IFR Systems Inc.*................................. 1,500
600 Instron Corp...................................... 7,275
3,200 K-Tron International, Inc......................... 33,200
4,100 Kewaunee Scientific Corp.......................... 25,113
11,200 Marquette Medical Systems--Class A*............... 225,400
3,000 Medstone International Inc.*...................... 25,125
3,200 Meridian Medical Technology, Inc.*................ 20,400
300 Methode Electronics, Inc.--Class A................ 4,200
5,700 MFRI Inc.*........................................ 43,819
2,300 Mine Safety Appliances Co......................... 146,050
100 Moore Products Co.*............................... 2,125
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
5,600 Movado Group Inc.................................. $ 137,200
9,300 MTS Systems Corp.................................. 204,600
9,300 Napco Security Systems Inc.*...................... 47,663
900 Natural Microsystems Corp.*....................... 17,888
4,800 Newport Corp...................................... 43,200
13,600 Norstan Inc.*..................................... 210,800
800 Optical Coating Laboratory Inc.................... 7,900
1,700 Plantronics Inc*.................................. 73,100
10,000 Programming & Systems Inc.*(a).................... --
2,500 Quixote Corp...................................... 22,500
10,000 Read-Rite Corp*................................... 252,500
5,600 Reliability Inc.*................................. 46,900
3,900 ReSound Corporation*.............................. 25,350
5,500 Scherer Healthcare Inc.*.......................... 12,375
25,700 Sierra Semiconductor Corp.*....................... 414,413
7,900 Siliconix Inc*.................................... 193,550
1,900 Sola International Inc.*.......................... 43,937
8,800 Spacelabs Inc.*................................... 177,100
1,900 Span-America Medical Systems Inc.................. 8,550
3,300 TCI International Inc.*........................... 23,306
6,300 Teleflex Inc...................................... 333,113
4,500 Video Display Corp*............................... 18,000
9,300 Waters Corp....................................... 248,775
-----------
6,913,362
-----------
ENTERTAINMENT--3.1%
2,200 Amerco*........................................... 56,100
9,100 Bertucci's Inc.*.................................. 53,463
34,200 Bob Evans Farms, Inc.............................. 470,250
300 Buffton Corp*..................................... 806
4,600 Carmike Cinemas Inc.--Class A*.................... 131,675
10,700 Chart House Enterprises Inc.*..................... 57,513
1,331 Consolidated Products Inc.*....................... 20,797
2,000 Cruise America Inc.*.............................. 9,000
1,500 Elxsi Corp*....................................... 10,125
294 Frisch's Restaurants Inc.......................... 4,336
700 Garden Fresh Resturant Corp*...................... 8,138
2,200 GC Companies Inc.*................................ 86,350
8,100 Krystal Co.*...................................... 40,500
15,900 Luby's Cafeterias Inc............................. 296,138
1,500 Marcus Corp....................................... 32,812
1,300 Max & Erma's Resturants, Inc.*.................... 7,313
6,600 Morton's Restaurant Group Inc.*................... 111,375
23,800 NPC International Inc.*........................... 252,875
7,800 O'Charleys Inc.*.................................. 100,425
</TABLE>
6
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
ENTERTAINMENT (CONTINUED)
14,000 Picadilly Cafeteria Inc........................... $ 126,000
4,500 Reading Entertainment, Inc.*...................... 48,938
1,200 Red Roof Inns, Inc.*.............................. 18,900
1,600 Ruby Tuesday Inc.*................................ 27,800
15,700 Ryan's Family Steak Houses Inc.*.................. 122,656
10,100 Sbarro Inc........................................ 285,325
2,200 Sonesta International Hotels Corp................. 21,588
6,400 Spaghetti Warehouse Inc.*......................... 32,800
7,500 Team Rental Group*................................ 157,500
-----------
2,591,498
-----------
FINANCIAL SERVICES--3.2%
6,400 Allied Capital Corp............................... 99,200
400 American Financial Enterprises, Inc............... 14,500
7,700 Atlanta Sosnoff Capital Corp...................... 66,413
7,950 Charles JW Financial Services Inc.*............... 61,613
8,000 CORT Business Services Corporation*............... 183,000
3,800 Eaton Vance Corp.................................. 168,150
14,812 Electro Rent...................................... 359,191
4,100 First of Michigan Capital Corporation*............ 36,388
800 Inacom Corp*...................................... 18,200
3,000 Interra Financial Inc............................. 104,250
8,300 Jefferies Group Inc............................... 341,338
500 Kinnard Investments Inc,.*........................ 2,594
2,000 McGrath Rentcorp.................................. 59,750
2,835 North County Bancorp.............................. 58,118
5,200 Penn-Virginia Corp................................ 230,100
4,200 PS Group Inc...................................... 58,800
2,900 Quick & Reilly.................................... 60,175
15,100 Raymond James Financial Inc....................... 477,538
1,400 Resource America Inc.--Class A.................... 33,775
2,800 Simmons First National Corp....................... 76,650
8,300 Southwest Securities Group Inc.................... 126,575
2,400 Value Line Inc.................................... 79,200
-----------
2,715,518
-----------
FOOD--2.9%
4,800 Darling International, Inc........................ 124,800
37,300 Dean Foods Co..................................... 1,291,513
14,500 Golden Poultry Inc................................ 184,875
3,100 Lance Inc......................................... 55,800
3,000 Orange-co., Inc................................... 23,250
18,000 Smithfield Foods Inc.*............................ 760,500
-----------
2,440,738
-----------
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
FOREST PRODUCTS & PAPER--1.0%
3,400 Greif Brothers. Co................................ $ 92,650
3,400 Holopak Technologies Inc.*........................ 8,500
7,100 Mosinee Paper Corp................................ 243,175
16,700 Rock-Tenn Co...................................... 277,638
8,600 Tranzonic Companies--Class A*..................... 145,125
5,100 Universal Forest Products......................... 62,475
-----------
829,563
-----------
HEALTH--3.8%
7,200 Apogee Inc.*...................................... 26,100
100 Caretenders Healthcorp*........................... 563
1,563 EZ EM Inc.*....................................... 13,672
5,172 Healthsouth Corp*................................. 98,915
36,300 Horizon Healthcare*............................... 562,650
1,000 In Home Health Inc.*.............................. 1,625
19,300 Integrated Health Services, Inc................... 564,525
9,100 Living Centers of America Inc.*................... 313,950
5,406 National Home Health Care Corp*................... 29,057
1,700 Novacare Inc.*.................................... 20,613
10,100 Option Care Inc.*................................. 56,813
2,700 Physicians Resource Group Inc.*................... 35,775
6,300 Sheridan Healthcare*.............................. 59,063
21,200 Staff Builders Inc.*.............................. 49,688
9,500 Summit Care Corp*................................. 127,063
38,400 Sun Healthcare Group*............................. 552,000
21,000 Universal Health Services Inc.-- Class B*......... 690,375
8,400 U.S. Homecare Corp*............................... 10,500
-----------
3,212,947
-----------
HOMEBUILDERS--2.2%
3,300 Beazer Homes USA Inc.*............................ 48,675
13,700 Borror Corp*...................................... 65,931
500 C.H. Heist Corp*.................................. 3,500
3,700 Capital Pacific Holdings Inc.*.................... 8,556
30,200 Champion Enterprises Inc.*........................ 449,225
9,700 Granite Construction Inc.*........................ 200,063
1,000 Instituform East Inc.............................. 2,875
1,400 Layne Christensen Company*........................ 22,400
24,200 Lennar Corp....................................... 592,900
4,900 Liberty Homes Inc................................. 49,000
4,699 MYR Group Inc..................................... 56,975
1,800 Perini Corp*...................................... 12,600
3,600 Pitt-Des Moines Inc............................... 105,300
4,680 Schult Homes Corp................................. 78,975
6,800 Skyline Corp...................................... 148,750
</TABLE>
7
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
HOMEBUILDERS (CONTINUED)
6,400 Utilx Corporation*................................ $ 28,000
-----------
1,873,725
-----------
HOUSEHOLD PRODUCTS--3.6%
19,800 Carlisle Companies, Inc........................... 579,150
3,100 Carter Wallace Inc................................ 42,238
3,400 Cherry Corp*...................................... 45,900
200 Congoleum Corp--Class A*.......................... 2,400
1,000 Continental Can Company Inc.*..................... 15,750
5,700 Escalade Inc.*.................................... 59,583
8,300 Fireboard Corp*................................... 287,388
12,600 Genlyte Group Inc.*............................... 137,025
17,400 Kimball International Inc......................... 661,200
1,500 Kinetic Concepts Inc.............................. 21,375
400 La-Z-Boy Inc...................................... 13,700
3,333 Nexus Corp*....................................... --
900 Oneida Ltd........................................ 17,775
1,200 Plasti-Line Inc................................... 10,200
3,700 Pubco Corp*....................................... 28,675
5,500 Riddell Sports Inc.*.............................. 22,688
4,500 Stanley Furniture Co*............................. 87,750
5,800 TAB Products Co................................... 58,725
1,000 Thermal Industries Inc.*.......................... 15,625
3,800 Thomas Industries Inc............................. 89,300
1,700 Trans-Lux Corp.................................... 20,825
9,350 Tredegar Industries Inc........................... 377,506
8,272 Virco Manufacturing Corp.......................... 133,386
13,000 Wynn's International Inc.......................... 300,625
-----------
3,028,789
-----------
INSURANCE--5.4%
9,400 Acceptance Insurance Co.*......................... 175,075
7,800 American Annuity Group Inc........................ 121,875
3,000 Amerin Corp*...................................... 60,375
10,000 Amvestors Financial Corp.......................... 150,000
3,900 Capital Re Corp................................... 166,238
3,000 Donegal Group Inc................................. 69,750
9,800 EMC Insurance Group Inc........................... 115,150
7,100 Enhance Financial Services Group Inc.............. 280,450
24,900 Financial Security Assurance Holdings, Ltd........ 824,813
8,700 First American Financial Corp..................... 324,075
7,800 Home Beneficial Corp Class B...................... 297,375
2,100 Kansas City Life Insurance Co..................... 142,275
11,100 Lawyers Title Corp................................ 216,450
3,300 Liberty Corp...................................... 138,600
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
9,000 Liberty Financial Companies, Inc.................. $ 364,500
900 MCM Corp.......................................... 3,488
2,300 National Western Life Insurance--
Class A*........................................ 189,750
3,172 PXRE Corp......................................... 81,283
800 Reliable Life Insurance Co.--Class A.............. 57,600
27,600 Reliance Group Holdings, Inc...................... 289,800
8,000 Stewart Information Services Corp................. 165,000
4,300 Washington National Corp.......................... 119,863
1,000 Westbridge Capital Corp.*......................... 10,125
1,500 Willis Corroon Group Plc - SP ADR (b)............. 18,188
4,900 Zurich Reinsurance Centre Holdings, Inc........... 188,038
-----------
4,570,136
-----------
MACHINERY--8.6%
1,500 Allied Products................................... 42,188
4,700 Amistar Corp*..................................... 19,975
8,900 Ampco Pittsburgh Corp............................. 107,913
2,500 Astrotech International Corp*..................... 15,469
700 Ball Corp......................................... 18,550
3,400 Barnes Group Inc.................................. 244,375
4,700 Butler Manufacturing Co........................... 166,850
10,300 Camco International Inc........................... 453,200
3,200 Cincinnati Milacron Inc........................... 60,000
300 Continental Materials Corp.*...................... 6,075
6,000 Core Industries Inc............................... 87,000
16,000 Culligan Water Technologies*...................... 626,000
3,700 Curtiss-Wright Corp............................... 197,950
4,000 Detroit Deisel Corp*.............................. 65,500
2,300 Devlieg-Bullard Inc*.............................. 6,756
7,800 Drew Industries Inc.*............................. 84,825
8,100 Energy Ventures Inc.*............................. 499,163
1,200 Federal Screw Works............................... 45,300
4,800 Franklin Electric Co. Inc......................... 213,600
3,400 Gehl Co.*......................................... 36,125
1,600 Gencor Industries Inc............................. 24,200
2,500 General Magnaplate Corp........................... 15,313
8,900 Graco Inc......................................... 255,875
32,500 Griffon Corp*..................................... 390,000
2,600 Hardinge Inc...................................... 67,600
1,050 Hein-Werner Corp*................................. 6,694
5,200 JLG Industries Inc................................ 102,050
20,200 Lincoln Electric Co............................... 737,300
8,200 Lufkin Industries Inc............................. 176,300
6,700 Mestek Inc.*...................................... 108,875
</TABLE>
8
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
16,300 Moog Inc.*........................................ $ 381,013
8,700 Motivepower Industries Inc.*...................... 94,613
900 Mueller (Paul) Co................................. 33,075
100 Nacco Industries Inc.............................. 4,925
9,200 Nortek Inc.*...................................... 180,550
2,100 Oilgear Co........................................ 33,075
4,400 Portec Inc........................................ 43,450
9,900 Powell Industries Inc.*........................... 131,175
12,100 Premark International Inc......................... 240,488
2,600 Quipp Inc.*....................................... 24,375
1,900 Research Inc...................................... 10,925
11,700 RPC Inc.*......................................... 168,188
2,900 Selas Corp of America............................. 46,400
5,200 Shiloh Industries Inc.*........................... 74,100
9,100 SPX Corp*......................................... 412,913
400 Starrett LS Co.................................... 11,450
4,300 Varco International Inc.*......................... 107,500
17,500 Watts Industries Inc.--Class A.................... 406,875
-----------
7,286,111
-----------
MANUFACTURING--0.0%
2,500 McRae Industries--Class A......................... 20,938
-----------
METALS--3.1%
12,600 ACX Technologies Inc.*............................ 242,550
3,600 Belden Inc........................................ 128,250
2,200 Birmingham Steel Corp............................. 38,500
4,800 Brush Wellman Inc................................. 87,000
1,200 Chaparral Steel Co................................ 14,700
8,200 Chase Brass Industries Inc.*...................... 166,050
9,600 Cleveland-Cliffs Inc.............................. 405,600
1,400 Foster (L.B.) Corp.*.............................. 5,775
12,100 Handy & Harman.................................... 181,500
6,900 Lindberg Corp..................................... 62,100
18,600 Mueller Industries Inc.*.......................... 727,725
5,500 Roanoke Electric Steel Corp....................... 81,125
17,500 Texas Industries.................................. 481,250
-----------
2,622,125
-----------
MULTIMEDIA--4.5%
27,700 American Media Inc.--Class A*..................... 162,738
15,100 Bowne & Co........................................ 409,588
1,900 Catalina Marketing Corp*.......................... 77,188
3,900 Courier Corp...................................... 66,788
100 Devon Group Inc.*................................. 2,950
11,700 Graphic Industries................................ 134,550
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
MULTIMEDIA (CONTINUED)
800 Grey Advertising.................................. $ 215,200
28,100 Harland (John H.) Co.............................. 667,375
12,200 Harte Hanks Communications........................ 355,325
5,400 Houghton Mifflin Co............................... 291,600
5,100 K-Tel International Inc.*......................... 40,800
9,600 Media General Inc................................. 272,400
2,100 Playboy Enterprises Inc.*......................... 30,713
3,600 Plenum Publishing Corp............................ 126,900
5,200 Pulitzer Publishing Co............................ 224,900
3,800 Scholastic Corp.*................................. 107,350
9,500 Standard Register Co.............................. 311,125
300 United Television, Inc............................ 26,288
12,100 World Color Press Inc.*........................... 246,538
-----------
3,770,316
-----------
OFFICE EQUIPMENT--2.0%
29,700 Baldwin Technology Company, Inc.*................. 92,813
17,600 BancTec Inc.*..................................... 448,800
4,200 Dataram Corp*..................................... 38,325
4,900 General Binding Corp.............................. 148,225
10,700 Genicom Corp*..................................... 46,813
12,200 Gradco Systems*................................... 38,888
13,500 Par Technology*................................... 136,688
5,800 Scan Optics Inc.*................................. 35,525
22,800 Stratus Computer Inc.............................. 706,800
2,800 Tridex Corp*...................................... 42,000
-----------
1,734,877
-----------
OIL--3.0%
5,500 Aquila Gas Pipeline Corp.......................... 78,375
10,200 Falcon Drilling Company Inc.*..................... 377,400
100 Hallwood Consolidated Resources Corp*............. 7,200
7,600 Helmerich & Payne................................. 351,500
4,200 Howell Corp....................................... 57,225
3,000 ICO Inc........................................... 17,531
11,500 Key Energy Group Inc.*............................ 163,875
2,900 Marine Petroleum Trust............................ 44,950
4,600 Maynard Oil Co*................................... 63,250
4,400 McFarland Energy*................................. 53,350
600 Parker & Parsley Petroleum Company................ 17,700
7,400 Parker Drilling Co*............................... 61,975
1,500 Petrocorp Inc.*................................... 12,750
15,400 Pool Energy Services Co.*......................... 227,150
5,000 Snyder Oil Corp................................... 80,625
8,500 Tuboscope Vetco International Corp*............... 115,813
9,700 Veritas DGC Inc.*................................. 191,575
</TABLE>
9
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
9,900 Vintage Petroleum Inc............................. $ 297,000
9,000 Wiser Oil Co...................................... 158,625
5,400 Zeigler Coal Holdings............................. 128,250
-----------
2,506,119
-----------
REAL ESTATE ASSETS--4.2%
12,700 Allied Capital Comercial Corp..................... 306,388
1,700 Bay Apartments Communities........................ 60,988
3,300 Cardinal Realty Services Inc.*.................... 88,275
2,700 Colonial Properties Trust......................... 78,300
8,800 Commercial Assets Inc............................. 56,100
46,100 CWM Mortgage Holdings Inc......................... 893,188
1,700 First Industrial Realty Trust..................... 53,763
14,000 FM Properties Inc.*............................... 42,000
4,350 Forest City Enterprises--Class A.................. 184,875
1,400 Franklin Select Realty Trust...................... 8,313
3,400 General Growth Properties......................... 107,950
20,800 Highwoods Properties Inc.......................... 696,755
1,700 Kennedy-Wilson Inc.*.............................. 19,550
2,300 Mays (J.W.) Inc.*................................. 19,550
100 New Mexico & Arizona Land Company*................ 1,388
7,600 OMEGA Healthcare Investors, Inc................... 237,500
700 Realty Income Corp................................ 16,100
2,900 Regency Realty Corp............................... 77,575
12,100 Talley Industries Inc.*........................... 95,288
16,800 Taubman Centers Inc............................... 218,400
2,000 Thackeray Corp*................................... 4,500
15,900 Thornburg Mortgage Asset Corp..................... 302,100
4,000 United Capital Corp.*............................. 51,000
-----------
3,619,846
-----------
RETAIL/WHOLESALE--8.8%
1,500 Aceto Corp........................................ 20,063
6,600 Advanced Marketing Services Inc................... 61,875
20,600 Ames Department Stores Inc.*...................... 187,975
37,700 Anixter International Inc.*....................... 466,538
200 Applied Industrial Technology, Inc................ 7,000
1,100 Arden Group Inc.*................................. 59,400
100 Barnes & Noble Inc.*.............................. 3,550
3,100 Barry's Jewelers Inc.*............................ 6,200
9,464 Bell Industries*.................................. 170,352
6,400 Bell Microproducts Inc.*.......................... 78,400
11,800 Bon-Ton Stores Inc.*.............................. 70,800
15,500 Burlington Coat Factory Warehouse*................ 279,000
7,700 Cameron Ashley Building Products*................. 104,913
39,200 Cascade International*(a)......................... --
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
22,900 Cash America International Inc.................... $ 223,275
7,600 Catherine Stores Co.*............................. 37,050
4,200 Cole National Corp*............................... 133,350
13,400 CPI Corp.......................................... 226,125
6,200 D.I.Y. Home Warehouse, Inc.*...................... 26,350
3,500 DM Management Company*............................ 24,500
3,300 Drug Emporium Inc.*............................... 16,088
11,300 Eagle Food Centers*............................... 54,381
7,400 Evans Inc.*....................................... 5,550
9,900 Ezcorp Inc.--Class A*............................. 77,963
600 Fabric Centers of America--Class B*............... 10,875
37,400 Fingerhut Companies............................... 523,600
14,936 Genovese Drug Stores--Class A..................... 181,099
9,500 Haverty Furniture Cos., Inc....................... 109,250
8,700 Insurance Auto Auctions, Inc.*.................... 57,638
10,600 Katy Industries................................... 165,625
700 Lands' End Inc.*.................................. 18,550
1,100 Liuski International Inc.*........................ 1,719
21,200 Longs Drug Stores................................. 498,200
10,100 Marsh Supermarkets Inc............................ 131,300
17,700 Meyer (Fred) Inc.*................................ 730,125
4,300 Moore Medical Corp*............................... 36,013
17,400 Nash Finch Co..................................... 332,775
5,700 Noland Co......................................... 122,550
200 Patrick Industries Inc............................ 2,950
3,700 Pharmhouse Corp*.................................. 29,600
5,400 Proffitt's Inc.*.................................. 203,850
600 Rag Shops Inc.*................................... 2,213
5,874 Reeds Jewelers Inc.*.............................. 35,244
4,300 Republic Automotive Parts Inc.*................... 75,250
12,900 Rexel Inc......................................... 233,813
5,700 Riser Foods Inc................................... 188,813
15,600 Ruddick Corp...................................... 241,800
4,200 Schultz Sav-o Stores Inc.......................... 70,875
3,200 Seaway Food Town Inc.............................. 96,000
1,800 Shelter Components Corp........................... 19,575
7,300 Sound Advice Inc.*................................ 12,775
1,000 Sports Chalet Inc.*............................... 2,500
13,600 Stanhome Inc...................................... 338,300
6,800 Syms Corp*........................................ 62,050
10,600 Trans World Entertainment Corp*................... 119,250
6,700 Ultimate Electronics Inc.*........................ 25,125
1,294 United Stationers Inc.*........................... 25,799
3,900 Village Supermarket Inc.--Class A*................ 33,150
9,400 Waban Inc.*....................................... 262,025
</TABLE>
10
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
6,000 Western Beef Inc.*................................ $ 76,500
2,100 Wolohan Lumber Co................................. 25,463
-----------
7,442,937
-----------
SOAP--0.0%
721 Block Drug Company, Inc.--Class A................. 31,724
-----------
TELECOMMUNICATIONS--0.4%
16,400 Aliant Communications Inc......................... 270,600
4,400 Davel Communication Group*........................ 68,200
1,400 Total-Tel USA Communications Inc.*................ 17,850
-----------
356,650
-----------
TEXTILES--1.4%
5,600 Burlington Industries Inc.*....................... 64,400
200 Decorator Industries Inc.......................... 2,350
11,000 Dixie Yarns Inc.*................................. 70,125
5,100 Dyersburg Corp.................................... 36,975
1,000 Florsheim Group Inc.*............................. 8,250
8,800 Genesco Inc.*..................................... 99,000
5,500 Hampshire Group Ltd*.............................. 77,000
1,500 Hampton Industries*............................... 9,750
11,000 Kellwood Co....................................... 275,000
2,000 Maxwell Shoe Company Inc.--Class A................ 15,750
10,000 Mohawk Industries Inc.*........................... 208,750
70 Nitches Inc....................................... 429
7,200 Oxford Industries Inc............................. 191,700
3,400 Springs Industries--Class A....................... 152,150
200 Weyco Group Inc................................... 9,200
-----------
1,220,829
-----------
TRANSPORATION--1.1%
5,000 Caliber System Inc................................ 132,500
900 Florida East Coast Industries, Inc................ 88,200
2,300 Oglebay Norton Co................................. 94,300
9,600 Old Dominion Freight Line*........................ 118,800
15,300 Pittston Burlington Group......................... 321,300
11,000 Roadway Express Inc............................... 213,125
-----------
968,225
-----------
UTILITIES--2.0%
5,800 Allied Waste Industries Inc.*..................... 46,400
2,800 Atrion Corp....................................... 37,100
Shares Market
- ---------- Value
-----------
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
5,200 California Water Service Company.................. $ 202,800
3,400 Central Hudson Gas................................ 111,775
7,200 Commonwealth Energy............................... 150,300
1,000 Connecticut Services Inc.......................... 29,250
1,800 Dominguez Services Corp........................... 44,100
15,700 Eastern Enterprises............................... 484,738
500 Fluor Daniel/GTI Inc*............................. 3,750
6,900 Harding Lawson Associates Group*.................. 47,438
4,100 Newpark Resources Inc.*........................... 179,375
14,500 NSC Corp.......................................... 34,432
3,100 SJW Corp.......................................... 154,225
455 Southern Union Co.*............................... 10,408
2,400 Southwest Gas Corp................................ 41,700
1,500 Southwest Water Co................................ 21,000
2,400 TRC Cos. Inc*..................................... 9,300
8,100 Washington Gas & Light............................ 182,250
100 Western Gas Resources............................. 1,800
-----------
1,792,141
-----------
TOTAL COMMON STOCKS (IDENTIFIED COST
$72,230,266)--91.8%............................. 77,768,617
-----------
Par
- ----------
SHORT TERM OBLIGATIONS--7.6%
$6,425,000 Repurchase agreement with State Street Bank dated
3/31/97, due 4/01/97 at 5.00%, collateralized by
U.S. Treasury Bond at 6.00% due 09/30/98, market
value $6,556,191 (repurchase proceeds:
$6,425,892) (cost $6,425,000)................... 6,425,000
-----------
TOTAL INVESTMENTS (IDENTIFIED COST
$78,655,266)--99.4%............................. 84,193,617
OTHER ASSETS LESS LIABILITIES--0.6%............... 505,081
-----------
NET ASSETS--100.0%................................ $84,698,698
-----------
-----------
</TABLE>
- --------------------
* Non-Income Producing Security
(a) Bankrupt security; valued by Management (Note 1)
(b) ADR--American Depository Receipt
11
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
Several key factors influenced the Japanese equity market during fiscal year
1997 -- instability of the financial sector, depreciation of the yen and a
shake-up of the economy resulting in a Darwinian struggle of the fittest.
The Nikkei 225 Index reached its high, at 22,667, in June 1996 because of
stronger than expected corporate earnings. It subsequently dropped in July and
August on fears of a correction in the U.S. market and a rising domestic
interest rate. The Index recovered in October, with selected blue chips leading
the rally. Concerns about the stability of the financial system and a tight
fiscal policy reached a climax in January 1997, and the Index plummeted to
17,303. Meanwhile, fundamental changes in the structure of the economy resulted
in banks, brokerage, insurance and construction companies suddenly becoming
vulnerable. Shares of these companies traded as if they were speculative rather
than quality stocks. The Index did not fall further thanks to pension and trust
funds buying at the low and the good performance of a small group of global
companies (the so called "nifty-fifty" type of stock).
The total return of the Institutional shares of the Japan Series for year
ended March 31, 1997, was -28.68%, which is 1.51% lower than the Tokyo Stock
Price Index (TOPIX) total return of -27.17%. Most of our underperformance
occurred during November and December. We lost 2.94% relative to the TOPIX in
those two months. Value-based strategies, including Rosenberg's, disappointed as
investors were snapping up stocks with price momentum. From October 1996 to
January 1997, stocks with high relative strength (that is, positive price
momentum) experienced strong positive returns, while high book-to-price stocks
("value" stocks) performed poorly during this period.
Table I breaks down the active return of -1.63% (the difference between the
total return of the Fund and the benchmark for the year ended March 31, 1997)
into four components: industries, risk indices, stock selection and expenses. A
description of each component follows.
TABLE I
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Risk Stock
Active = Indices + Industries + Selection + Expenses
-1.51 = -2.45 + 0.57 + 1.79 + -1.42
</TABLE>
The best performing industries were pharmaceutical, auto and electronics. On
average, we were slightly overweighted, with respect to the TOPIX, in all three
industries. The worst performing industries were banks, brokerage, paper,
transportation and construction. We were significantly underweighted in banks,
slightly overweighted in brokerage and paper and slightly underweighted in
transportation and construction. Our underweighting in banks has been in place
for about three years and is a consequence of our careful analysis of the
banking sector. Overall, our industry exposure contributed 0.57% to our active
return.
The best performing risk indices were relative strength, size and export
exposure. This means that the big export-oriented companies that had done well
continued to outperform the rest of the market. The worst performing risk
indices were leverage, earnings variation and systematic variance. This means
that those companies with a lot of debt and unpredictable earnings or price
behavior fared poorly. We were slightly underweighted in relative strength and
trading activity, slightly overweighted in leverage, earnings variation and
systematic variance and neutral in export exposure. We remain overweighted in
book-to-price and earnings-to-price and underweighted in size. Overall, our risk
exposures resulted in a 2.45% decline in our active return, with most of the
loss resulting from our smaller size exposure.
Our stock selection contributed 1.79% to our active return. Stock selection
refers to the quantitative models that we use to measure whether a stock is
undervalued or overvalued. As of March 31, 1997, Matsushita Electric was our
largest holding, and it provided a small positive contribution to our active
return. Hitachi, our second largest holding, suffered from a slump in
12
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES (CONTINUED)
- --------------------------------------------------------------------------------
semiconductor prices. Among automobile manufacturers, our biggest holding was
Honda, which replaced Nissan at the end of 1996. Honda was one of the top
performers in its industry. Among banks, our holdings of The Bank of
Tokyo-Mitsubishi and Tokai Bank outperformed their peers, even though the entire
industry experienced a downturn.
Trading volume during the fiscal year has been U-shaped. It was high at the
beginning of the period with average daily volume greater than 400 million
shares and hit the bottom in October and November 1996 at fewer than 300 million
shares a day. The thin market in November was extremely favorable to the
nifty-fifty stocks. Volume picked up again during the first quarter of 1997
despite investor pessimism at the end of 1996. This surge in volume was due to
investors buying at a perceived low. We believe that future increases in volume,
if any, would be a bullish signal.
The Japanese equity market has been tortured by the excesses created during
the bubble economy of the late 1980s. We believe a recovery has already been
underway, and that it is firmer than it has been in the last two years. In the
past, the government would step in to support ailing companies. This is no
longer always true. The role played by the government in restructuring of Nippon
Credit Bank (NCB) and the dissolution of Nissan Life Insurance was a welcomed
one. The result is that protectionism has been weakened. Given that banks
comprise more than 20% of the equity market, the long-term rewards from their
current short-term agony should benefit the entire market.
13
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
PORTFOLIO OF INVESTMENTS -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
----------
COMMON STOCKS--95.6%
AEROSPACE/DEFENSE--5.5%
7,000 Mitsubishi Heavy Industries Ltd................... $ 45,513
2,000 Sanoyas Hishino Meisho Corp....................... 10,355
----------
55,868
----------
AUTOMOBILES--3.7%
1,000 Honda Motor Ltd................................... 29,804
3,000 Mazda Motor Corp.*................................ 8,142
----------
37,946
----------
AUTO PARTS--0.9%
2,000 Izumi Industries.................................. 9,369
----------
BANKING--12.5%
2,000 Keiyo Bank........................................ 7,592
2,000 Mitsui Trust & Bank Banking Co.................... 11,469
3,000 Sakura Bank Ltd................................... 16,792
3,000 The Bank of Tokyo--Mitsubishi Ltd................. 46,765
2,000 The Toyo Trust & Bank............................. 13,779
4,000 Tokai Bank........................................ 31,177
----------
127,574
----------
BUILDING MATERIALS--2.4%
2,000 Isikawajima Construction.......................... 9,369
2,000 Nittan Valve Corp................................. 5,718
2,000 Tokuyama Corp..................................... 9,337
----------
24,424
----------
CHEMICALS--1.9%
2,000 Asahi Chemical Industries Co. Ltd................. 10,403
2,000 Mitsui Petrochemical Industries Co................ 9,369
----------
19,772
----------
COMPUTERS--0.8%
1,000 Nihon Unisys Co................................... 7,818
----------
ELECTRICAL EQUIPMENT--12.7%
3,000 Fuji Electric Co.................................. 11,897
6,000 Hitachi Ltd....................................... 53,308
6,000 Mitsubishi Electric Corporation................... 33,681
2,000 Nippon Chemi-Con Corporation...................... 8,642
4,000 Toshiba Corp...................................... 22,098
----------
129,626
----------
Shares Market
- ---------- Value
----------
COMMON STOCKS (CONTINUED)
ELECTRONICS--13.8%
1,000 Alps Electric Co. Ltd............................. $ 9,773
300 Fanuc Ltd......................................... 9,208
2,000 Japan Radio Co.................................... 18,092
5,000 Matsushita Electric Industrial Co................. 77,942
1,000 Oki Electric Industries Co........................ 4,773
1,000 Toko Inc.......................................... 4,442
2,000 Victor Co. of Japan............................... 17,285
----------
141,515
----------
ENGINEERING--4.3%
1,000 Kyowa Exeo Corp................................... 7,471
1,000 Maeda Corp........................................ 5,412
2,000 Nichiei Construction Co., Ltd..................... 11,566
2,000 Obayashi Corp..................................... 11,728
2,000 Zenitaka Corp.*................................... 7,382
----------
43,559
----------
ENTERTAINMENT--0.8%
250 Daichi Kosho Co. Ltd.............................. 8,440
----------
FINANCIAL SERVICES--2.5%
3,000 Daiwa Securities Co. Ltd.......................... 21,614
1,000 First Credit Corp................................. 4,192
----------
25,806
----------
HOLDING COMPANY--2.1%
4,000 Marubeni Corp..................................... 15,508
2,000 Nichimen Corp..................................... 5,880
----------
21,388
----------
INSURANCE--0.5%
1,000 Nippon Fire & Marine Insurance Co.*............... 4,685
----------
METALS--1.0%
3,000 Mitsubishi Materials Corp......................... 10,468
----------
OIL--2.4%
3,000 Cosmo Oil Company Ltd............................. 12,091
3,000 Nippon Oil Co..................................... 12,115
----------
24,206
----------
PHARMACEUTICAL--3.5%
1,000 Dai-Ichi Pharmaceutical Co., Ltd.................. 15,185
1,000 Takeda Chemical Industries Ltd.................... 20,919
----------
36,104
----------
</TABLE>
14
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ---------- Value
----------
COMMON STOCKS (CONTINUED)
PHOTOGRAPHY SUPPLIES--4.3%
1,000 Fuji Photo Film Co................................ $ 32,873
2,000 Konica Corp....................................... 10,968
----------
43,841
----------
REAL ESTATE ASSETS--2.9%
1,000 Mitsui Real Estate Sales Co....................... 11,308
1,000 Recruit Cosmos Co................................. 4,442
2,000 Sumitomo Realty & Development Co. Ltd............. 13,440
----------
29,190
----------
RETAIL/WHOLESALE--2.9%
1,000 Joshin Denki Co................................... 8,400
1,000 Marukyu Co.*...................................... 3,715
2,000 Nagasakiya Co., Ltd.*............................. 4,652
1,000 Tokyu Store Chain................................. 6,494
1,000 Tsuzuki Denki Co. Ltd............................. 6,874
----------
30,135
----------
STEEL--3.9%
2,000 Chubu Steel Plate Co., Ltd........................ 10,161
2,000 Godo Steel Ltd.................................... 5,783
3,000 Nippon Steel Co................................... 8,238
7,000 Sumitomo Metal Industries Ltd..................... 15,831
----------
40,013
----------
TELECOMMUNICATIONS--2.1%
3 Nippon Telegraph & Telephone
Corporation..................................... 21,105
----------
Shares Market
- ---------- Value
----------
COMMON STOCKS (CONTINUED)
TEXTILES--1.1%
3,000 Teijin Ltd........................................ $ 11,461
----------
TIRE & RUBBER--0.6%
2,000 Toyo Tire & Rubber Co............................. 5,961
----------
TRANSPORTATION--1.0%
3,000 Nippon Yusen Kabugniki Kaish...................... 10,613
----------
TRUCKING & LEASING--1.0%
1,000 Seino Transportation.............................. 9,773
----------
UTILITIES--3.3%
1,000 Hokkaido Electric Power Co........................ 16,073
1,000 Kyushu Electric Power Co.......................... 17,446
----------
33,519
----------
WIRE & CABLE PRODUCTS--1.2%
3,000 Furukawa Electric Co.............................. 13,278
----------
TOTAL INVESTMENTS (COST $1,205,407)
--95.6%......................................... 977,457
OTHER ASSETS LESS LIABILITIES--4.4%............... 44,521
----------
NET ASSETS--100.0%................................ $1,021,978
----------
----------
</TABLE>
- ------------------
* Non-Income Producing Security
15
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
The Barr Rosenberg International Small Capitalization Series rewarded
shareholders with strong relative gains from October 1996 through March 1997.
Institutional shares returned 1.30% from inception (September 23, 1996) to March
31, 1997, compared to -0.92% for the Cazenove Rosenberg Global Smaller Companies
Index excluding the U.S. (CRIexUS)(1), the benchmark for the Fund. During the
same period, international large stocks, as measured by the Morgan Stanley
Capital International Europe, Australasia and Far East Index (EAFE), returned
0.14%.
MARKET COMMENTARY
Low interest rates and the strong U.S. dollar buoyed the European market.
Europe as a whole reaped an impressive 13% return from October 1996 through
March 1997. With the lowest unemployment rate among the 14 developed European
countries and a well-controlled inflation rate, Norway outperformed other
countries in the area of small stocks. During the period, Norwegian small stocks
enjoyed a 29% return. Strong expected earnings growth and GNP growth also helped
the U.K. small stocks to post steady gains. In Germany, the economy was going
through structural changes as corporate restructuring and merger activity
continued to rise. This had a dampening effect on small stock performance. In
the Pacific region, Japan was plagued by the continued weakness in its domestic
economy. The negative market sentiment and the lack of growth in domestic demand
caused small stocks to suffer a 32% drop over the last 6 months. In Hong Kong,
political concerns did not have as significant an impact on small stocks as they
had on blue chips. Stable, healthy domestic demand and improved exports helped
small stocks to rise 10%. New Zealand and Malaysia also posted healthy gains. In
Singapore, the cyclical downturn in worldwide demand for consumer electronics
and the lack of interest in the domestic real estate sector continued to
negatively impact the market. Canada enjoyed a healthy and growing economy. Low
interest rates, growing corporate profits and a general optimism in the market
helped small stocks to sustain a 12% return during this period.
The U.S. dollar strengthened against most other currencies over the past six
months. The British pound was an exception, and it appreciated 5% against the
U.S. dollar. Among the 21 developed markets, the Swiss franc suffered the
largest depreciation against the U.S. dollar by losing 13% over the period.
PORTFOLIO REPORT
Superior bottom-up stock selection enabled our portfolio to outperform the
benchmark from October 1996 to March 1997. Our portfolio closely tracked the
country and industry sector exposures of the benchmark and diversified across 21
markets, with over 400 holdings. The top 10 holdings accounted for about 10% of
the total portfolio. Approximately 58% of our holdings were invested in Europe.
Consumer Durables represented 25% of the portfolio. The price-to-earnings ratio
of the portfolio was approximately 15, and the average market capitalization of
the holdings was approximately $575 million. One of our oil stocks, Ensign
Resource Services in Canada, went up by over 77% during the period. Bullough
PLC, one of the portfolio's U.K. machinery and office equipment companies, had a
75% return. Another one of our best performing holdings, the diversified
Malaysian company Berjaya Industrial, which is engaged in property development,
recreation and general retail and wholesale, also had its share price double.
- --------------
(1)The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
includes 21 developed countries: Australia, Austria, Belgium, Canada,
Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan,
Malaysia, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden,
Switzerland and U.K.
16
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES (CONTINUED)
- --------------------------------------------------------------------------------
OUTLOOK
We remain optimistic about the long-term prospects of international small
stock investing. We believe our systematic and disciplined approach provides
investors with an opportunity to add diversification to their domestic
portfolios as well as their international holdings. The International Small
Capitalization Fund also enables investors to take advantage of the potential
growth and added diversification offered by the international small stock
market.
17
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS--91.4%
AUSTRALIA--2.5%
8,000 Adelaide Brighton Ltd (Construction Materials).... $ 11,287
1,000 Atkins Carlyle Ltd (Retail / Wholesale)........... 3,253
10,500 Australian Oil & Gas (Oil / Gas Exploration)
Corp............................................ 17,450
1,100 AWA Limited* (Electronics)........................ 767
8,200 Bougainville Copper Ltd* (Metals)................. 3,857
12,894 Bridgestone Australia Ltd. (Chemicals)............ 34,366
6,090 Consolidated Rutile Ltd (Metals).................. 4,869
3,400 Country Road Ltd (Textiles)....................... 4,424
900 Defiance Mills Limited (Food)..................... 1,305
2,400 Faulding (FH) & Co (Pharmaceutical)............... 14,110
1,300 Finemore Holdings Limited (Transportation)........ 3,251
4,268 George Weston Foods Ltd (Food).................... 25,929
16,340 Hardie (James) Industries Ltd. (Homebuilders)..... 49,622
600 Leighton Holdings Limited (Homebuilders).......... 2,512
10,500 Metal Manufactures Ltd (Electronics).............. 26,010
5,800 Mount Leyshon Gold Mines Ltd (Real Estate
Assets)......................................... 9,548
11,400 Normandy Mining Ltd (Real Estate Assets).......... 15,469
4,100 OPSM Protector Ltd (Electronics).................. 9,481
51,600 Orbital Engine Corp Ltd* (Financial Services)..... 40,854
3,900 Pacific Magazines & Printing Ltd (Printing /
Publishing)..................................... 9,783
1,200 Reece Australia Ltd (Retail / Wholesale).......... 7,714
1,400 RGC Limited (Minerals)............................ 5,301
600 Rothmans Holdings Ltd (Tobacco)................... 3,908
5,100 Spicers Paper Ltd (Forest Products & Paper)....... 8,595
1,000 Sunraysia Television Ltd (Multimedia)............. 6,663
800 Telecast North Queensland Ltd. (Multimedia)....... 3,230
700 Villa World Ltd (Real Estate Assets).............. 610
----------
324,168
----------
BELGIUM--3.0%
20 BQE National Belgique (Banking)................... 31,317
590 Cobepa Cie BeneluxParibas S.A. (Financial
Services)....................................... 22,412
230 Colruyt SA (Retail / Wholesale)................... 94,040
130 D'ieteren Trading S.A. (Retail / Wholesale)....... 24,315
2,240 G.I.B. Holdings Ltd. (Retail / Wholesale)......... 102,629
150 Glaverbel S.A. (Construction Materials)........... 18,921
150 Sofina Corp. (Financial Services)................. 93,083
----------
386,717
----------
CANADA--6.1%
1,500 Acklands Limited* (Retail / Wholesale)............ 18,458
400 Agra Industries Ltd.* (Information Services)...... 3,721
900 Agrium Inc. (Retail / Wholesale).................. 11,401
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
700 Alliance Forest Products Inc* (Forest Products &
Paper).......................................... $ 14,314
200 Avenor Inc. (Forest Products & Paper)............. 3,257
600 BC Gas Inc. (Utilities)........................... 9,229
800 BC Sugar Refinery Ltd Class A (Food).............. 7,615
500 Bruncor Inc. (Communications)..................... 10,822
300 Cabre Exploration Ltd.* (Oil / Gas Exploration)... 4,452
1,700 Cambior Inc. (Real Estate Assets)................. 23,073
2,800 Campbell Resources Inc.* (Real Estate Assets)..... 2,229
4,100 Cascades, Inc. (Forest Products & Paper).......... 23,742
1,500 CCL Industries Inc. (Soap)........................ 16,232
400 Chieftain International Inc* (Gas / Oil
Exploration).................................... 8,006
1,700 C-MAC Industries Inc.* (Electronics).............. 14,582
400 Coca-Cola Beverages* (Food)....................... 4,025
800 Cognos Inc. (Information Services)................ 21,136
900 Counsel Corp (Health)............................. 11,726
3,700 Dominion Textile Inc. (Textiles).................. 17,676
100 Dundee Bancorp Inc*. (Financial Services)......... 1,954
8,200 Encal Energy* (Oil / Gas Exploration)............. 23,742
400 Ensign Resource Group Inc. (Oil / Gas
Exploration).................................... 7,383
700 Euro-Nevada Mining Corp (Real Estate Assets)...... 20,268
1,100 Fahnestock Viner Holdings Inc.--Class A (Financial
Services)....................................... 18,473
500 Fortis Inc. (Utilities)........................... 11,419
100 Franco Nevada Mining Corp. (Real Estate Assets)... 4,633
500 Intrawest Corp (Real Estate Assets)............... 8,324
500 Jannock Ltd (Metals).............................. 7,600
1,600 Laurentian Bank of Canada (Banking)............... 23,742
1,400 London Insurance Group, Inc. (Insurance).......... 19,254
700 Maritime Telegram & Telephone Co Ltd
(Communications)................................ 11,679
1,800 Metal Mining Corp* (Real Estate Assets)........... 10,424
1,400 Miramar Mining Corp* (Real Estate Assets)......... 5,878
2,700 Molson Companies Ltd (Brewery).................... 44,756
400 National Trustco Inc. (Banking)................... 6,659
700 Newtel Enterprises Ltd. (Communications).......... 12,262
300 Pacific Forest Products Ltd* (Forest Products &
Paper).......................................... 5,277
900 Penn West Petroleum Ltd* (Oil / Gas
Exploration).................................... 9,772
1,400 Poco Petroleum Ltd* (Oil / Gas Exploration)....... 12,971
</TABLE>
18
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
500 Precision Drilling Corp.* (Oil / Gas
Exploration).................................... $ 21,136
700 Quebec-Telephone* (Communications)................ 12,009
1,800 Ranger Oil Ltd (Oil / Gas Exploration)............ 17,003
6,800 Royal Oak Mines Inc.* (Real Estate Assets)........ 21,412
3,200 Shaw Communications Inc.--Class B
(Communications)................................ 22,584
300 SNC Group Inc. (Aerospace / Defense).............. 3,475
1,000 Southam Inc. (Multimedia)......................... 14,296
800 St Laurent Paper Board Inc.* (Forest Products &
Paper).......................................... 10,945
2,965 Stampeder Explorer Ltd* (Oil / Gas Exploration)... 14,487
9,000 Stelco Inc.* (Metals)............................. 48,208
800 Stone Consolidated Corp* (Forest Products &
Paper).......................................... 11,611
600 Teleglobe Inc. (Information Services)............. 17,416
400 Torstar Corp--Class B (Multimedia)................ 10,568
400 Trimark Financial Corp* (Financial Services)...... 11,727
500 Ulster Petroleum Ltd* (Oil / Gas Exploration)..... 3,583
2,000 United Dominion Industries Ltd (Metals)........... 49,005
600 Videotron Groupe Ltd (Communications)............. 4,995
200 West Fraser Timber Co Ltd (Forest Products &
Paper).......................................... 6,007
----------
792,633
----------
DENMARK--3.0%
300 Aalborg Portland A/S (Construction Materials)..... 37,996
600 Jyske Bank-Reg A/S (Banking)...................... 47,956
400 Korn-OG Foderstof/Kompagniet A/S (Retail /
Wholesale)...................................... 14,664
400 Lauritzen (J.) Holding A/S* (Transportation)...... 45,942
1,300 Monberg & Thorsen A/S (Retail / Wholesale)........ 61,360
500 Potague "B" (Information Services)................ 70,800
1,500 Tele Danmark A/S "B" (Communications)............. 78,824
300 Topdanmark A/S* (Insurance)....................... 36,816
----------
394,358
----------
FINLAND--1.8%
500 Asko Oy Group--Class A (Real Estate Assets)....... 44,924
4,200 Finnair Oy (Airlines)............................. 31,291
7,400 Kemira Oy (Chemicals)............................. 80,084
4,200 Kesko OY (Retail / Wholesale)..................... 61,480
3,100 Mesta Serla B Shares (Forest Products & Paper).... 22,533
----------
240,312
----------
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
FRANCE--4.6%
30 Axime Co. (Computers)............................. $ 3,550
375 Bains De Mer Monaco (Hotels / Motels)............. 38,310
120 Bongraine SA (Food)............................... 47,629
1,250 Cie Des Signaux SA (Information Services)......... 66,847
10 Cie Generale De Geophysique* (Oil / Gas
Exploration).................................... 900
450 Compagnie Fives-Lillie (Metals)................... 42,693
213 Concorde (LA)* (Insurance)........................ 35,610
550 DMC Dollfus-Mieg (Textiles)....................... 14,364
34 ECIA-Equip & Composa Pour (Automobiles)........... 5,805
175 Elf Gabon (Oil / Gas Exploration)................. 54,939
175 Europe 1 Communication (Information Services)..... 38,150
23 Esxacompta Clairef (Forest Products & Paper)...... 4,487
100 Gascogne (Forest Products & Paper)................ 8,883
200 GTM Entrepose (Homebuilders)...................... 10,980
42 Manitou (Metals).................................. 5,686
788 Publicis (Multimedia)............................. 82,881
276 Salins du Midi & Des Salines (Chemicals).......... 30,108
40 Sat (Sa De Telecomm) (Electronics)................ 13,069
1,732 Seita (Tobacco)................................... 62,529
100 Societe Financiere Interbail SA (Real Estate
Assets)......................................... 4,300
66 Taittinger (Hotels / Motels)...................... 26,267
----------
597,987
----------
GERMANY--5.1%
40 Aachener & Meunch Lebensvers (Insurance).......... 20,379
220 Andreae-Noris Zahn AG (Pharmaceutical)............ 81,755
270 Baywa AG (Retail / Wholesale)..................... 46,850
60 Binding Brauerei (Brewery)........................ 17,082
210 DBV Holding AG (Insurance)........................ 75,396
300 Fag Kugelfisher (Metals).......................... 4,855
290 Holsten Brauerei AG (Brewery)..................... 57,360
30 Koelnisch Rueckversicherungs (Insurance).......... 23,376
250 Oberland Glas AG (Construction Materials)......... 46,452
310 Rheinmetall Berlin (Metals)....................... 58,901
460 Ruetgers AG* (Chemicals).......................... 79,130
330 Schmalbach Lubeca* (Metals)....................... 69,624
190 Strabag AG* (Homebuilders)........................ 19,246
80 Volksfursorge Hldg (Insurance).................... 31,263
217 Walter Bau AG (WTB)(Homebuilders)................. 38,889
----------
670,558
----------
HONG KONG--2.6%
10,000 Associated Intl Hotels (Hotels / Motels).......... 6,581
36,000 CDL Hotels Intl (Hotels / Motels)................. 17,770
</TABLE>
19
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
36,000 Chimney Investment (Homebuilders)................. $ 7,712
720 Concord Land Development Co Ltd* (Real Estate
Assets)......................................... 453
2,000 Harbour Central Development (Hotels / Motels)..... 2,826
9,600 HKR Intl Ltd (Real Estate Assets)................. 12,698
8,000 Jardine Intl Motor (Retail / Wholesale)........... 9,911
20,000 Lai Sun Garment Intl (Real Estate Assets)......... 25,552
6,000 Lane Crawford Intl (Real Estate Assets)........... 8,595
68,000 Laws Intl Holdings Ltd (Textiles)................. 10,179
10,000 Lee Hing Development (Financial Services)......... 3,871
50,000 Mingly Corporation (Real Estate Assets)........... 16,454
6,000 New Asia Realty & Trust Co (Real Estate Assets)... 21,835
36,000 Pacific Concord HD (Retail / Wholesale)........... 16,144
20,000 Playmates Toy Holding (Household Products)........ 4,594
4,000 Pokfulam Development Co (Real Estate Assets)...... 2,917
22,000 Prestige Property Holding (Real Estate Assets).... 4,401
6,000 Realty Development Corp (Real Estate Assets)...... 22,261
10,000 Wing Lung Bank Ltd (Banking)...................... 68,719
28,000 Wing On Co Intl Ltd (Real Estate Assets).......... 31,436
118,000 Yue Yuen Industrial Holdings* (Shoes / Leather)... 48,729
----------
343,638
----------
ITALY--3.0%
7,000 BCA Di Legnano (Banking).......................... 25,890
16,360 Comau Finanziaria Spa (Metals).................... 51,485
10,000 Costa Crociere Spa (Transportation)............... 22,778
15,000 Editoriale L'Espresso Spa* (Multimedia)........... 51,656
500 Ericsson Spa (Electronics)........................ 7,088
89,000 Finmeccanica Spa* (Aerospace / Defense)........... 40,279
10,000 Serfi (Financial Services)........................ 56,287
20,000 Snia BPD (Chemicals).............................. 20,860
10,000 Toro Assicurazioni (Insurance).................... 119,886
----------
396,209
----------
JAPAN--17.7%
4,000 Aichi Machine Industries Co Ltd (Automobiles)..... 20,677
3,000 Aida Engineering Ltd (Metals)..................... 18,440
4,000 Amada Sonoike Co Ltd
(Metals)........................................ 15,669
3,000 Aseed Co Ltd (Real Estate Assets)................. 16,477
2,000 Asia Airy Survey Co (Information Services)........ 15,653
2,000 Asti Corporation (Electronics).................... 11,792
1,100 Bank of Iwate Ltd (Banking)....................... 50,642
3,000 Bunka Shutter Co Ltd (Construction Materials)..... 15,411
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
1,000 Cemedine Co. Ltd (Chemicals)...................... $ 3,594
3,000 Central Glass Co (Construction Materials)......... 7,754
2,000 Chain Store Okuwa (Retail / Wholesale)............ 21,485
5,000 Chubu Steel Plate (Metals)........................ 25,402
3,000 Chuetsu Pulp & Paper (Forest Products & Paper).... 9,450
2,000 Chuo Bussan Corp (Retail / Wholesale)............. 8,238
1,000 CMK Corporation (Electronics)..................... 9,854
2,000 Coco's Japan Co Lt (Hotels / Motels).............. 13,165
3,000 Computer Engineer & Consulting (Information
Services)....................................... 20,111
2,000 Comson Corp (Information Services)................ 2,504
12,000 Dai-Ichi Katei Denki Co Ltd* (Retail /
Wholesale)...................................... 26,460
5,000 Daido Hoxan Inc (Chemicals)....................... 18,213
375 Daiichi Kosho Co Limited (Hotels / Motels)........ 12,661
2,000 Daiichi Kyoken Co (Information Services).......... 7,932
2,000 Daiki Aluminum Industries* (Metals)............... 4,862
2,000 Daishinku Corp (Electronics)...................... 14,425
3,000 Daisyo Corp. (Hotels / Motels).................... 21,808
2,000 Denkyosha Co (Retail / Wholesale)................. 12,680
2,000 Descente Limited (Household Products)............. 9,692
3,000 Eiden Sakakiya Co Ltd (Retail / Wholesale)........ 22,680
2,000 Enix Corp (Multimedia)............................ 37,154
1,000 Exedy Corporation
(Automobiles)................................... 10,500
100 Ezaki Glico Co Ltd (Food)......................... 771
7,000 First Credit Corp. (Banking)...................... 29,343
2,300 Fuji Co Ltd
(Real Estate Assets)............................ 9,660
1,000 Fujicco Co (Food)................................. 11,308
2,000 Fujitsu Kiden Ltd.
(Electronics)................................... 18,254
2,000 Fukuda Denshi Co. (Electronics)................... 38,769
2,000 Furuno Electric Co (Electronics).................. 8,400
2,000 Godo Steel Ltd (Metals)........................... 5,783
2,000 Hamada Printing Press Co (Metals)................. 9,369
2,200 Haruyma Trading Co (Retail / Wholesale)........... 17,591
2,000 Higashi Nihon House Co. (Construction
Materials)...................................... 20,515
2,000 Hitachi Information Systems Ltd. (Information
Services)....................................... 18,254
2,000 Hitachi Plant Engineering & Construction Company
(Homebuilders).................................. 8,562
3,000 Hokkai Can Co (Metals)............................ 13,448
3,000 Hosoda Corporation (Real Estate Assets)........... 21,323
</TABLE>
20
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
2,000 Hotel New Hankyu Co. (Hotels / Motels)............ $ 7,269
3,000 Ichiyoshi Securities Co. (Financial Services)..... 8,481
2,000 Intec Inc (Information Services).................. 20,354
9,000 Ishizuka Glass Co (Construction Materials)........ 26,169
3,000 Isikawajima Construction (Construction
Materials)...................................... 14,054
1,000 Japan Industrial Land Development Co.
(Homebuilders).................................. 10,904
1,000 Jois Co Ltd (Retail / Wholesale).................. 8,028
5,000 Juel Veriteohkubo (Retail / Wholesale)............ 25,685
3,000 Kaneko Seeds Co Ltd (Food)........................ 25,685
2,000 Kansei Corp (Automobiles)......................... 14,231
3,000 Kanseki Co Ltd (Retail / Wholesale)............... 10,177
3,000 Kasumi Co Ltd (Retail / Wholesale)................ 17,664
3,000 Kato Works Co Ltd (Metal)......................... 11,025
3,000 Kawasho Corp (Retail / Wholesale)................. 8,578
7,000 Kimmon Mfg Co Ltd (Electronics)................... 23,690
7,000 King Co Ltd (Textiles)............................ 26,008
2,000 Konishi Co Ltd (Chemicals)........................ 32,954
2,000 Kotobukiya Co Ltd (Retail / Wholesale)............ 7,722
1,000 Kyowa Exeo Corporation (Homebuilders)............. 7,471
2,000 Laox Co Ltd (Retail / Wholesale).................. 24,231
2,000 Life Corp (Retail / Wholesale).................... 12,600
1,000 Maeda Seisakusho Co (Metals)...................... 7,229
2,000 Matsumura-Gumi Corp (Homebuilders)................ 5,573
3,000 Matsuyadenki Co Ltd (Retail / Wholesale).......... 22,050
2,000 Metalart Corp (Metals)............................ 4,927
8,000 Mikuni Corp (Automobiles)......................... 25,975
6,000 Mitani Sekisan Co. (Construction Materials)....... 20,838
2,000 Mitsuba Electric Mfg Co (Automobiles)............. 18,577
1,000 Mitsumi Electric Co
(Electronics)................................... 18,335
1,000 Moriya Corp (Homebuilders)........................ 4,701
3,000 Nagasakiya Co Ltd* (Retail / Wholesale)........... 6,978
2,400 Nakamichi Leasing Co
(Banking)....................................... 13,375
4,000 Nakayama Steel Works Ltd* (Metals)................ 15,831
3,000 Nettetsu Mining Co Ltd
(Metals)........................................ 17,688
3,000 Nichiei Construction Co Ltd (Real Estate
Assets)......................................... 17,349
2,000 Nifco Inc. (Chemicals)............................ 17,285
2,000 Nihon Elect. Wire & Cable (Metals)................ 14,538
5,000 Nippon Chemi-Con Corp (Electronics)............... 21,606
9,000 Nippon Columbia Co Ltd* (Multimedia).............. 31,984
2,100 Nippon Denwa Shisetsu (Homebuilders).............. 14,570
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
3,000 Nippon Konpo Unyu Soko (Transportation)........... $ 16,961
3,000 Nippon Shinyaku Co Ltd (Pharmaceutical)........... 22,413
1,000 Nissei Plastic Industrial Co (Metals)............. 9,046
2,000 Nissho Corporation
(Electronics)................................... 16,638
100 Nissin Company Limited (Banking).................. 1,898
2,000 Ohmoto Gumi Co Ltd (Homebuilders)................. 18,738
1,000 Okamoto Machine Tool Works Ltd. (Metals).......... 2,504
2,000 Osaka Organic Chemical Industry, Ltd.
(Chemicals)..................................... 17,769
3,000 Recruit Cosmos Co (Real Estate Assets)............ 13,327
3,000 Riken Keiki Co Ltd
(Electronics)................................... 15,992
2,000 Royal Hotel Ltd (Hotels / Motels)................. 10,177
3,000 Sakai Chemical Industry Co (Chemicals)............ 10,710
3,000 Sankyo Seiki Manufacturing* (Electronics)......... 15,047
5,000 Sanoyas Hishino Meisho Corp (Aerospace /
Defense)........................................ 25,886
2,000 Sawai Pharmaceutical Co Ltd (Pharmaceutical)...... 13,731
4,000 Seibu Electric & Machinery (Metals)............... 14,151
3,000 Senko Corporation Inc. (Transportation)........... 11,606
3,000 Shibusawa Warehouse (Transportation).............. 12,067
2,000 Shin Nikkei Co Ltd (Construction Materials)....... 6,058
2,000 Shindengen Electric Mfg (Electronics)............. 16,477
2,000 Shingakukai co (Information Services)............. 10,177
8,000 Shinko Kogyo Co Ltd (Metals)...................... 33,148
2,000 Showa Manufacturing (Metals)...................... 10,015
3,000 Sintokogio (Metals)............................... 19,166
1,000 Sodick Co Ltd* (Metals)........................... 8,400
2,000 Software Research Associates, Inc. (Information
Services)....................................... 15,346
3,000 Sogo Co Ltd* (Retail / Wholesale)................. 8,457
1,000 Sotetsu Rosen Co Ltd (Retail / Wholesale)......... 6,300
2,000 Starts Corporation (Real Estate Assets)........... 18,900
4,000 Sumitomo Precision Products (Metals).............. 22,745
4,000 Sumitomo Warehouse (Real Estate Assets)........... 20,031
2,000 Sumitomo Wiring Systems Ltd. (Automobiles)........ 16,961
2,000 Sun Wave Corp (Construction Materials)............ 16,800
3,000 Taisei Fire & Marine Insurance Co. (Insurance).... 9,934
3,000 Taki Chemical Co (Chemicals)...................... 10,637
2,000 Tamron Co Ltd (Photography Supplies).............. 9,773
4,000 Tamura Corp (Electronics)......................... 17,769
1,000 Tamura Electric Work Ltd. (Electronics)........... 4,289
1,500 Techmo Ltd (Hotels / Motels)...................... 19,869
3,000 Tenox Corporation (Homebuilders).................. 19,021
</TABLE>
21
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
2,000 The Biwako Bank Ltd (Banking)..................... $ 7,754
7,000 Titan Kogyo K.K. Co. (Chemicals).................. 22,050
3,000 Toa Corp (Electronics)............................ 15,629
4,000 Toho Store Co. Ltd (Retail / Wholesale)........... 28,108
1,000 Toko Electric Corp (Metals)....................... 3,958
3,000 Toko Inc (Electronics)............................ 13,327
2,000 Tokyo Printing Ink Mfg (Chemicals)................ 8,028
3,000 Tokyo Radiator Mfg (Automobiles).................. 10,419
3,000 Tokyo Rika Mfg (Metals)........................... 8,602
3,000 Tokyu Store Chain (Retail / Wholesale)............ 19,481
1,000 Tomiya Apparel (Textiles)......................... 3,917
2,000 Towa Pharmaceutical (Pharmaceutical).............. 22,292
3,000 Toyo Engineering Works (Metals)................... 12,866
1,000 Toyo Information Systems (Information Services)... 7,996
3,000 Toyo Tire & Rubber
(Chemicals)..................................... 8,941
2,000 Toyokuni Electric Cable
(Metals)........................................ 13,085
2,000 Toyota Auto Body Co (Automobiles)................. 17,769
2,000 Traveler Corp
(Retail / Wholesale)............................ 15,104
2,000 Tsurukame Corp (Retail / Wholesale)............... 6,542
2,000 Tsurumi Soda Co Ltd (Chemicals)................... 8,658
2,000 Tsutsunaka Plastic Industry (Chemicals)........... 10,048
5,000 U-Shin Ltd (Automobiles).......................... 25,846
1,000 USK Corporation (Real Estate Assets).............. 8,642
2,000 Wakita & Co (Financial Services).................. 21,485
1,600 Wesco Inc. (Information Services)................. 13,569
2,000 Yamaka Electronic Inc. (Homebuilders)............. 16,961
5,000 Yuasa Funashoku Co Ltd (Retail / Wholesale)....... 15,588
1,000 Zojirushi Corp (Durable Goods).................... 9,289
----------
2,304,012
----------
MALAYSIA--6.7%
24,000 Amsteel Corporation BHD (Real Estate Assets)...... 20,522
6,000 Antah Hldgs BHD (Oil / Gas Exploration)........... 9,487
4,000 Austral Amalgamated Tin (Financial Services)...... 6,550
4,000 Austral Enterprises (Food)........................ 8,309
5,000 Batu Kawan Berhard (Chemicals).................... 11,697
24,000 Berjaya Industrial (Hotels / Motels).............. 34,655
20,000 Berjaya Leisure BH (Hotels / Motels).............. 56,468
4,000 Cement Industries of Malaysia (Construction
Materials)...................................... 12,746
5,000 Cold Storage (Malay) BHD (Retail / Wholesale)..... 9,519
10,000 Esso Malaysia BHD (Oil / Gas Exploration)......... 27,427
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
22,000 Faber Group Berhad* (Transportation).............. $ 23,337
18,000 Far East Holdings Berhad
(Food).......................................... 29,621
4,000 Gadek (Malaysia) Berhad (Information Services).... 30,654
3,000 IOI Properties (Real Estate Assets)............... 9,922
11,000 Island & Penisular Berhad (Food).................. 40,374
12,000 Keck Seng (Malaysia) BHD (Food)................... 16,843
5,000 Kelang Container Terminal BHD (Transportation).... 13,209
5,000 Kinta Kellas Plc. (Information Services).......... 6,413
16,000 Kuala Sidim Berhad (Food)......................... 38,721
3,000 Leisure Management Berhad (Hotels / Motels)....... 15,004
36,000 Lion Land Berhad (Real Estate Assets)............. 40,076
32,000 Malayan Cement BHD (Construction Materials)....... 65,825
16,000 Malayan United Industries BH (Retail /
Wholesale)...................................... 12,584
13,000 Malaysian Helicopter Services BHD (Real Estate
Assets)......................................... 16,255
1,000 Malaysian Pacific Industries BHD (Electronics).... 4,033
4,000 Malaysian Plantation BHD (Financial Services)..... 8,067
2,666 Malaysian Plantation BHD--Rights* (Financial
Services)....................................... 430
1,000 Matsushita Electric Co (Durable Goods)............ 9,720
5,000 MBF Capital Berhad (Banking)...................... 8,833
13,000 Multi-Purpose Holding BHD (Holding Company)....... 27,266
8,000 Mycom BHD (Real Estate Assets).................... 10,584
9,000 New Straits Times Press Berhad (Multimedia)....... 55,177
3,000 Olympia Industries BHD (Financial Services)....... 3,037
4,200 Oriental Holdings BHD (Retail / Wholesale)........ 37,946
3,000 Paramount Corp Berhad (Real Estate Assets)........ 3,727
11,000 Pelangi Berhad (Real Estate Assets)............... 13,576
4,000 Sapura Telecom BHD (Electronics).................. 7,583
10,000 Sarawak Enterprise Corp (Financial Services)...... 16,537
9,000 Sime UEP Properties Berhad (Real Estate Assets)... 21,236
8,000 Sistem Televisyen Malaysia BHD (Multimedia)....... 16,779
12,000 TA Enterprise Berhad (Financial Services)......... 15,875
11,000 Tan Chong Motor BHD (Automobiles)................. 21,296
5,000 Uniphone Telecommunications BHD (Electronics)..... 6,413
12,000 United Plantation Berhad
(Food).......................................... 26,863
----------
871,196
----------
</TABLE>
22
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
NETHERLANDS--4.4%
1,640 Apotheker Cooperatie OPG-CV (Retail /
Wholesale)...................................... $ 50,272
180 Cap Volmac Group (Information Services)........... 6,525
1,180 Gist--Brocade--CVA (Food)......................... 38,625
990 Konin Bijenkorf Beh (Retail / Wholesale).......... 74,680
1,700 Koninklijke Hoogoven NV (Metals).................. 84,103
1,260 NKF Holdings NV (Metals).......................... 32,780
2,250 Stork NV (Homebuilders)........................... 94,967
3,330 VIB NV (Real Estate Assets)....................... 92,845
70 Wegener NV (Multimedia)........................... 7,016
1,460 Wereldhave NV (Retail / Wholesale)................ 89,275
----------
571,088
----------
NORWAY--0.9%
2,200 Aker RGI ASA--A Shares (Construction Materials)... 59,019
1,900 Norske Skogindustrie ASA (Forest Products &
Paper).......................................... 58,890
----------
117,909
----------
NEW ZEALAND--0.2%
29,000 DB Group Limited (Brewery)........................ 19,545
1,400 Independent News LT (Retail / Wholesale).......... 6,439
----------
25,984
----------
SINGAPORE--2.2%
2,000 Auric Pacific Group Ltd. (Retail / Wholesale)..... 3,280
12,000 Chuan Hup Holdings Ltd. (Transportation).......... 8,303
2,000 Focal Finance Ltd (Banking)....................... 3,736
5,000 GP Batteries Intl Ltd (Metals).................... 13,950
6,000 Hong Leong Finance (Banking)...................... 20,176
4,000 HWA Hong Corporation (Transportation)............. 6,642
6,000 Intraco Ltd (Retail / Wholesale).................. 8,427
8,000 Isetan (Singapore) (Retail / Wholesale)........... 15,499
26,000 Malayan Credit Ltd (Real Estate Assets)........... 44,074
9,000 Resources Development Corp (Construction
Materials)...................................... 25,531
9,000 Singapore Business Services (Multimedia).......... 47,949
5,000 Singapore Reinsurance (Insurance)................. 5,812
6,000 Singapore Tech Aero (Aerospace / Defense)......... 9,548
14,000 Singapore Tech Ind. (Information Services)........ 34,290
8,000 ST Computer Sys & Service (Information
Services)....................................... 5,701
2,000 UTD Industrial CP (Real Estate Assets)............ 1,619
12,000 WBL Corp Ltd (Photography Supplies)............... 29,060
----------
283,597
----------
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
SPAIN--3.0%
4,000 Asturiana De Zinc SA* (Metals).................... $ 51,915
3,000 Banco Pastor SA (Banking)......................... 171,404
5,000 Ebro Agricolas CIA (Food)......................... 94,166
1,200 OCP Construcciones SA (Homebuilders).............. 38,217
10,000 Sarrio SA (Forest Products & Paper)............... 35,551
----------
391,253
----------
SWEDEN--5.3%
10,500 Avesta-Sheffield (Metals)......................... 113,590
2,700 Bergman & Beving AB (Electronics)................. 84,222
600 Cardo AB (Metals)................................. 19,393
4,500 Celsius AB--B Shares (Aerospace / Defense)........ 86,312
1,800 Esselte AB--Class A (Retail)...................... 42,768
2,000 Marieberg Tidnings AB--A Shares (Multimedia)...... 54,687
5,900 NCC AB--A Shares (Homebuilders)................... 78,315
800 Ratos Forvaltnin AB (Retail / Wholesale).......... 31,538
800 Ratos Forvaltnin--Rights (Retail / Wholesale)*.... 85
5,400 SKF AB (Metals)................................... 141,922
400 SSAB (Metals)..................................... 7,274
1,800 Svedala Insustries (Metals)....................... 35,122
----------
695,228
----------
SWITZERLAND--4.4%
90 Ascom Hldg AG (Communications).................... 96,272
150 Basler Kantonalbank--PC (Banking)................. 38,317
50 Bucher Holding AG--Class B (Metals)............... 42,691
100 Logitech Intl (Photography Supplies).............. 19,020
780 Oerlikon--Buhrle HD* (Financial Services)......... 78,374
80 Publicitas Holdings (Information Services)........ 14,411
90 Schindler-Holding AG (Metals)..................... 102,764
140 Sibra Holding SA* (Brewery)....................... 28,183
120 Swissair--Registered* (Airlines).................. 106,955
200 Valora Holding AG (Hotels / Motels)............... 43,732
----------
570,719
----------
UNITED KINGDOM--14.9%
6,000 600 Group plc (Metals)............................ 12,709
63,000 Aegis Group plc (Multimedia)...................... 64,654
34,000 AMEC (Homebuilders)............................... 77,880
3,000 Anglican Group (Construction Materials)........... 11,995
58,000 APV PLC (Metals).................................. 63,332
71,000 Bardon Group plc (Construction Materials)......... 47,216
25,000 Bibby (J.) & Sons plc (Retail / Wholesale)........ 77,584
16,000 Bladgen Industries (Metals)....................... 50,574
12,000 Bullough plc (Metals)............................. 22,463
28,000 C.E. Health plc (Insurance)....................... 46,666
</TABLE>
23
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
PORTFOLIO OF INVESTMENTS (CONTINUED) -- MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
3,000 Cape (Construction Materials)..................... $ 8,251
30,000 Cloride Group plc (Electronics)................... 17,241
17,000 Concentric plc (Information Services)............. 39,359
38,000 Cordiant plc* (Multimedia)........................ 77,059
14,000 Dawson International (Textiles)................... 15,402
7,000 Eis Group plc (Electronics)....................... 40,344
12,000 Exco (Banking).................................... 11,724
13,000 George Wimpey plc (Homebuilders).................. 30,952
16,000 Grampian Holdings (Pharmaceutical)................ 32,446
22,000 Haden Maclellan HD (Metals)....................... 44,974
3,000 Hambros (Financial Services)...................... 11,699
14,000 Hogg Robinson plc (Transportation)................ 45,172
21,000 Howden Group plc (Metals)......................... 44,309
30,000 Iceland Group plc (Retail / Wholesale)............ 46,058
14,000 Jardine Lloyd Thompson Group (Insurance).......... 44,482
10,000 Johnson Group Cleaners plc (Information
Services)....................................... 47,618
3,000 Lex Service plc (Retail / Wholesale).............. 16,576
11,000 London & Manchester Group plc (Insurance)......... 75,318
3,000 London Forfaiting Co. plc
(Banking)....................................... 18,669
45,000 London Merchant Securities plc (Real Estate
Assets)......................................... 84,604
7,000 London Pacific Group Ltd (Financial Services)..... 25,229
4,000 Macro 4 plc (Information Services)................ 26,600
4,000 Manders plc (Chemicals)........................... 11,264
6,000 Marley (Household Products)....................... 12,414
Shares Market
- ------ Value
----------
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
14,000 Marston Thompson & Evershed plc
(Brewery)....................................... $ 66,072
22,000 Mathews (Berhard) plc (Food)...................... 46,239
3,000 Micro Focus Group* (Information Services)......... 61,698
28,000 Mowlem (John) & Co plc (Homebuilders)............. 52,872
10,000 National Home LNS (Banking)....................... 25,697
3,000 Nestor--BNA plc (Information Services)............ 6,527
42,000 Pentland Group plc (Retail / Wholesale)........... 77,929
4,000 Perkins Foods plc (Retail / Wholesale)............ 5,517
2,000 Portsmith & SundNew (Multimedia).................. 27,257
26,000 Premier Oil plc (Oil / Gas Exploration)........... 15,156
59,000 Readicut International plc (Textiles)............. 37,056
3,000 Scholl plc (Pharmaceutical)....................... 15,468
4,000 Sema Group plc (Information Services)............. 88,119
25,000 TC Group plc (Health)............................. 48,234
9,000 Wagon Indl Hldgs (Metals)......................... 42,265
2,000 Wolverhampton & Dudley Breweries plc (Brewery).... 21,970
----------
1,940,913
----------
TOTAL INVESTMENTS (COST $11,877,130)-- 91.4%...... 11,918,479
OTHER ASSETS LESS LIABILITIES--8.6%............... 1,125,606
----------
NET ASSETS--100.0%................................ $13,044,085
----------
----------
</TABLE>
* Non income producing security
24
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
------------- ------------- -------------------
<S> <C> <C> <C>
ASSETS:
Investments, at value (cost $72,230,266, $1,205,407 and $11,877,130,
respectively)......................................................... $77,768,617 $ 977,457 $11,918,479
Short-term investments (cost $6,425,000, $0 and $0, respectively)....... 6,425,000 -- --
Foreign currency, at value (cost: $0, $44,726 and $844,487,
respectively)......................................................... -- 44,759 852,497
Cash.................................................................... 397 9,607 934,407
Receivable for Fund shares sold......................................... 3,584,760 -- 206,630
Receivable for investments sold......................................... 934,617 20,791 17,021
Dividends and interest receivable....................................... 69,321 4,466 31,036
Receivable from Manager................................................. 17,045 33,264 174,823
Collateral for securities loaned, at value.............................. 3,427,810 -- --
------------- ------------- -------------------
Total assets........................................................ 92,227,567 1,090,344 14,134,893
------------- ------------- -------------------
LIABILITIES:
Payable for investments purchased....................................... 3,945,095 27,637 974,468
Payable for Fund shares repurchased..................................... 4,777 -- --
Accrued:
Advisory fee.......................................................... -- -- --
Audit/tax fee......................................................... 34,500 10,000 19,500
Custodian fee......................................................... 19,700 6,875 30,500
Transfer agent fees................................................... 7,125 4,735 4,400
Fund accounting fees.................................................. 25,568 11,521 18,866
Printing expenses..................................................... 20,031 5,460 13,462
Legal fee............................................................. 27,089 1,185 2,149
Trustees' fee......................................................... 10,171 207 1,122
Other................................................................. 7,003 746 26,341
Collateral on securities loaned, at value............................... 3,427,810 -- --
------------- ------------- -------------------
Total liabilities................................................... 7,528,869 68,366 1,090,808
------------- ------------- -------------------
NET ASSETS.............................................................. $84,698,698 $ 1,021,978 $13,044,085
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding--Institutional Shares .... 11,509,856 162,666 1,269,278
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Institutional Shares......................... $ 7.13 $ 6.20 $ 10.13
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding--Select Shares................ 332,895 2,048 18,227
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Select Shares................................ $ 7.13 $ 6.20 $ 10.13
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding--Adviser Shares............... 29,170 -- --
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Adviser Shares............................... $ 7.14 -- --
------------- ------------- -------------------
------------- ------------- -------------------
NET ASSETS CONSIST OF:
Paid-in capital......................................................... $71,758,998 $ 1,697,428 $12,989,938
Accumulated undistributed net investment income......................... 287,904 1,523 18,047
Accumulated net realized gain/(loss) on investments, futures and foreign
currency transactions................................................. 7,113,445 (449,056) (3,804)
Net unrealized appreciation/(depreciation) on investments............... 5,538,351 (227,950) 41,349
Net unrealized appreciation/(depreciation) on foreign currencies and
foreign currency transactions......................................... -- 33 (1,445)
------------- ------------- -------------------
NET ASSETS.............................................................. $84,698,698 $ 1,021,978 $13,044,085
------------- ------------- -------------------
------------- ------------- -------------------
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL INTERNATIONAL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES*
------------- ------------- -------------------
<S> <C> <C> <C>
Investment income:
Dividends (Net of withholding tax of $0, $1,421 and $2,495,
respectively)..................................................... $ 821,417 $ 8,421 $ 55,861
Interest............................................................ 30,826 30 --
Security lending fees (Net of related expenses)..................... 26,593 -- --
Miscellaneous....................................................... 11,330 -- 1,546
------------- ------------- ----------
890,166 8,451 57,407
------------- ------------- ----------
Expenses:
Advisory fee........................................................ 544,082 12,153 35,711
Audit/tax fees...................................................... 34,500 14,500 22,000
Custodian fee....................................................... 77,398 32,246 82,480
Fund accounting fees................................................ 61,341 35,771 63,686
Registration fees................................................... 31,899 31,899 26,292
Legal fee........................................................... 27,264 1,185 2,149
Reports to shareholders............................................. 23,364 7,964 15,016
Trustees' fee....................................................... 58,370 1,188 6,442
Transfer Agent...................................................... 17,128 11,869 7,577
Administration...................................................... 81,281 1,535 5,357
Miscellaneous....................................................... 21,078 18,494 2,752
------------- ------------- ----------
Total expenses before waivers/reimbursements by Manager and
Administrator................................................... 977,705 168,804 269,462
Less expenses waived/reimbursed by Manager and Administrator (307,646) (152,231) (215,891)
------------- ------------- ----------
Net expenses.......................................................... 670,059 16,573 53,571
------------- ------------- ----------
Net investment income/(loss).......................................... 220,107 (8,122) 3,836
------------- ------------- ----------
Net Realized and Unrealized Gain/(Loss) on Investments, Futures and
Foreign Currency Transactions:
Investments and closed futures contracts............................ 17,711,789 (85,833) 22,948
Foreign currency transactions....................................... -- (2,916) (18,950)
Net change in unrealized appreciation/(depreciation) on:
Investments and futures contracts................................... (7,399,127) (303,816) 41,349
Foreign currency transactions....................................... -- 184 (1,445)
------------- ------------- ----------
Net realized and unrealized gain/(loss) on investments................ 10,312,662 (392,381) 43,902
------------- ------------- ----------
Net increase/(decrease) in net assets resulting from operations....... $10,532,769 $ (400,503) $ 47,738
------------- ------------- ----------
------------- ------------- ----------
</TABLE>
- --------------
*From commencement of operations on September 23, 1996.
See accompanying notes to the financial statements.
26
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION
SERIES
----------------------------
YEAR ENDED MARCH 31,
----------------------------
1997 1996
-------------- ------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income................................................................... $ 220,107 $ 299,665
Net realized gain on investments........................................................ 17,711,789 16,565,303
Net change in unrealized appreciation/(depreciation) on investments..................... (7,399,127) 2,415,710
-------------- ------------
Net increase in net assets resulting from operations........................................ 10,532,769 19,280,678
-------------- ------------
Distributions to shareholders from:
Net investment income
Institutional Shares.................................................................... (303,002) (68,162)
Select Shares........................................................................... (737) --
Adviser Shares.......................................................................... -- --
-------------- ------------
(303,739) (68,162)
-------------- ------------
Net realized gain on investments
Institutional Shares.................................................................... (11,414,463) (13,123,399)
Select Shares........................................................................... (27,774) --
Adviser Shares.......................................................................... -- --
-------------- ------------
(11,442,237) (13,123,399)
-------------- ------------
Net decrease in net assets resulting from distributions............................... (11,745,976) (13,191,561)
-------------- ------------
Increase from capital share transactions:
Proceeds from sales of shares:
Institutional Shares.................................................................... 37,301,805 864,466
Select Shares........................................................................... 2,444,377 --
Adviser Shares.......................................................................... 214,705 --
-------------- ------------
39,960,887 864,466
-------------- ------------
Issued on reinvestment of distributions:
Institutional Shares.................................................................... 11,649,326 12,388,255
Select Shares........................................................................... 28,511 --
Adviser Shares.......................................................................... -- --
-------------- ------------
11,677,837 12,388,255
-------------- ------------
Cost of shares redeemed:
Institutional Shares.................................................................... (25,851,211) (16,243,000)
Select Shares........................................................................... (13,123) --
Adviser Shares.......................................................................... -- --
-------------- ------------
(25,864,334) (16,243,000)
-------------- ------------
Increase in net assets from subscription/redemption fees (Note 7)........................... 91,993 37,169
-------------- ------------
Net increase (decrease) in net assets from capital share transactions..................... 25,866,383 (2,953,110)
-------------- ------------
Total increase in net assets................................................................ 24,653,176 3,136,007
Net assets:
Beginning of period....................................................................... 60,045,522 56,909,515
-------------- ------------
End of period............................................................................. $ 84,698,698 $ 60,045,522
-------------- ------------
-------------- ------------
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL
JAPAN SERIES CAPITALIZATION
--------------------------- SERIES
--------------
YEAR ENDED MARCH 31, PERIOD ENDED
--------------------------- MARCH 31,
1997 1996 1997*
-------------- ----------- --------------
<S> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income/(loss)............................................. $ (8,122) $ (2,960) $ 3,836
Net realized gain/(loss) on investments and closed futures contracts..... (85,833) (14,977) 22,948
Net realized gain/(loss) on foreign currency transactions................ (2,916) (2,537) (18,950)
Net change in unrealized appreciation/(depreciation) on investments and
futures contracts...................................................... (303,816) 3,105 41,349
Net change in unrealized appreciation/(depreciation) on foreign
currencies and foreign currency transactions........................... 184 (961) (1,445)
-------------- ----------- --------------
Net increase/(decrease) in net assets resulting from operations.............. (400,503) (18,330) 47,738
-------------- ----------- --------------
Distributions to shareholders from:
Net investment income
Institutional Shares..................................................... (6,516) (12,014) --
Select Shares............................................................ (51) -- --
-------------- ----------- --------------
(6,567) (12,014) --
-------------- ----------- --------------
In excess of net investment income:
Institutional Shares..................................................... (3,887) -- --
Select Shares............................................................ (30) -- --
-------------- ----------- --------------
(3,917) -- --
-------------- ----------- --------------
Net decrease in net assets resulting from distributions................ (10,484) (12,014) --
-------------- ----------- --------------
Increase from capital share transactions:
Proceeds from sales of shares:
Institutional Shares..................................................... 28,862 -- 13,079,322
Select Shares............................................................ 14,937 -- 182,551
-------------- ----------- --------------
43,799 -- 13,261,873
-------------- ----------- --------------
Issued on reinvestment of distributions:
Institutional Shares..................................................... 10,403 12,014 --
Select Shares............................................................ 81 -- --
-------------- ----------- --------------
10,484 12,014 --
-------------- ----------- --------------
Cost of shares redeemed:
Institutional Shares..................................................... -- -- (332,298)
Select Shares............................................................ -- -- --
-------------- ----------- --------------
-- -- (332,298)
-------------- ----------- --------------
Increase in net assets from subscription/redemption fees (Note 7)............ 310 -- 66,772
-------------- ----------- --------------
Proceeds of Capital Contribution by Manager.................................. -- 12,065 --
-------------- ----------- --------------
Net increase in net assets from capital share transactions................. 54,593 24,079 12,996,347
-------------- ----------- --------------
Total increase (decrease) in net assets...................................... (356,394) (6,265) 13,044,085
Net assets:
Beginning of period........................................................ 1,378,372 1,384,637 --
-------------- ----------- --------------
End of period.............................................................. $ 1,021,978 $ 1,378,372 $ 13,044,085
-------------- ----------- --------------
-------------- ----------- --------------
</TABLE>
- ----------------
*From Commencement of Operations on September 23, 1996.
See accompanying notes to the financial statements.
28
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1997
- --------------------------------------------------------------------------------
NOTE 1. -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES. Barr 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. Each Fund
is authorized to issue three classes of shares: Institutional Shares, Select
Shares and Adviser Shares (currently, Adviser Shares are offered only in the
U.S. Small Capitalization Series). The classes differ primarily with respect to
the level of Shareholder Service Fee and Distribution Fee borne by each class.
In addition, an investor's eligibility to purchase each of the three classes of
shares generally depends on the amount invested in a particular Fund and on
whether the investor makes the investment in the Fund directly or through a
financial adviser. The Trust was established as a Massachusetts business trust
under the laws of Massachusetts on April 1, 1988.
During the fiscal year ended March 31, 1997, there were no Shareholder
Service Fees or Distribution Fees incurred by any of the Funds.
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. Certain amounts for the year ended
March 31, 1996 have been reclassified to conform to 1997 financial statement
presentation.
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
29
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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.
DETERMINATION OF NET ASSET VALUE AND CALCULATION OF EXPENSES
Expenses specific to an individual Fund are charged to that Fund. Common
expenses are allocated to each Fund based on their relative shares
outstanding. In calculating net asset value per share of each class,
investment income, realized and unrealized gains and losses and expenses
other than class specific expenses are allocated daily to each class of
shares based upon the proportion of shares outstanding attributed to each
class at the beginning of each day. Distribution expenses are solely borne
by and charged to the Select Shares; Shareholder Service fees may only be
charged to the Select Shares and Adviser Shares.
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 and the International Small Capitalization Series pursue
their respective objectives by investing in foreign 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. There were no open futures contracts as of March 31, 1997.
NOTE 2 -- MANAGEMENT AND ADMINISTRATION FEES. 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 an annual rate based on a percentage of the Fund's average
daily net assets. The annual rate in effect for the period April 1, 1996 through
August 5, 1996 was .80% of the Fund's average daily net assets. For the period
August 6, 1996 through March 31, 1997, that rate increased to .90%. 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,
30
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
brokerage commissions and transfer taxes) to 1.15% of the Fund's average daily
net assets for the period August 6, 1996 through March 31, 1997 (for the period
April 1, 1996 through August 5, 1996, the limitation was .90% 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 an annual rate based on a
percentage of the Fund's average daily net assets. For the Japan Series, the
annual rate in effect for the period April 1, 1996 through August 5, 1996 was
.90% of the Fund's average daily net assets. For the period August 6, 1996
through March 31, 1997, that rate increased to 1.00%. The annual rate for the
International Small Capitalization Series is 1.00% of the Fund's average daily
net assets. The Manager has agreed with the Japan 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
for the period August 6, 1996 through March 31, 1997 (for the period April 1,
1996 through August 5, 1996, the limitation was 1.00% of the Fund's average
daily net assets). Similarly, the Manager has agreed with the International
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 1.50% (annualized) of the Fund's average
daily net assets.
During the fiscal years ended March 31, 1996 and March 31, 1995, the
Manager, who was also the sole Institutional Class shareholder in the Japan
Series, received 1,341 and 1,741 Institutional shares, respectively, of the Fund
in return for the forgiveness of certain amounts owed by the Fund to the Manager
at March 31, 1995 and March 31, 1994, respectively.
In addition, in accordance with the Administration Agreement between BISYS
Fund Services Limited Partnership and the Japan Series and International Small
Capitalization Series, no administration fees will be charged until the
respective Fund's net assets reach $25 million.
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 investments, to its shareholders. Therefore, no provision is
made for federal income taxes. As of March 31, 1997, the Japan Series had a
capital loss carryover of approximately $365,157 available to offset future
realized capital gains, of which $258,946, $69,379, $15,997 and $20,835 will
expire on March 31 of the years 2000, 2001, 2002, and 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, and the end of its fiscal year. The Japan Series has elected
to defer to its fiscal year ending March 31, 1998 approximately $83,902 of
losses occurring during the period November 1, 1996 to March 31, 1997.
For federal tax purposes at March 31, 1997 the amounts of unrealized
appreciation/depreciation and the cost of portfolio securities were as follows:
<TABLE>
<CAPTION>
NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION/ COST OF
APPRECIATION DEPRECIATION DEPRECIATION SECURITIES
------------- ------------- --------------- -------------
<S> <C> <C> <C> <C>
U.S. Small Capitalization Series............................. $ 9,125,914 $(3,626,825) $ 5,499,089 $ 72,269,528
Japan Series................................................. $ 30,805 $ (258,755) $ (227,950) $ 1,205,407
International Small Capitalization Series.................... $ 766,372 $ (799,818) $ (33,446) $ 11,951,925
</TABLE>
31
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
NOTE 4 -- SECURITY PURCHASES AND SALES. For the period ended March 31, 1997
(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................................................. $ 87,155,366 $ 79,237,384
Japan Series..................................................................... $ 667,735 $ 649,065
International Small Capitalization Series........................................ $ 12,345,956 $ 491,774
</TABLE>
NOTE 5 -- PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess
of 10% of the relevant Fund's shares outstanding at March 31, 1997 held the
following aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
FUND % OF FUND'S SHARES
- ---------------------------------------------------------------------------------- -----------------------
<S> <C>
U.S. Small Capitalization......................................................... 68%
Japan............................................................................. 97%
International Small Capitalization................................................ 87%
</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.
NOTE 7 -- SALES AND REDEMPTIONS OF SHARES. Effective March 27, 1997, the
purchase premiums and redemption premiums charged by each of the Funds on
purchases and redemptions of fund shares were eliminated. Prior to that date,
the premium charged on both purchases and redemptions was .25% of the net asset
value of shares purchased or redeemed from the U.S. Small Capitalization Series
and .50% of the net asset value of shares purchased or redeemed from the Japan
Series and the International Small Capitalization Series. All purchase and
redemption premiums were paid to, and retained by, the relevant Fund. Purchase
and redemption premiums were not charged on in-kind transactions and reinvested
distributions or dividends.
The following table sets forth the total premium amounts retained by each
Fund during the last two fiscal years:
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
--------------------
1997 1996
--------- ---------
<S> <C> <C>
U.S. Small Capitalization Series..................................................................... $ 91,993 $ 37,169
Japan Series......................................................................................... $ 310 --
International Small Capitalization Series*........................................................... $ 66,772 --
</TABLE>
32
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
Transactions in shares of each of the Funds for the last two fiscal years
was as follows:
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
MARCH 31, 1997 MARCH 31, 1996
--------------------------------------- ------------------------
U.S. SMALL INT'L SMALL U.S. SMALL
CAPITALIZATION JAPAN CAPITALIZATION CAPITALIZATION JAPAN
SERIES SERIES SERIES* SERIES SERIES
------------- --------- ------------- ------------- ---------
<S> <C> <C> <C> <C> <C>
Shares sold:
Institutional...................................... 4,959,032 4,038 1,302,391 117,734 --
Select............................................. 330,552 2,037 18,227 -- --
Adviser............................................ 29,170 -- -- -- --
------------- --------- ------------- ------------- ---------
5,318,754 6,075 1,320,618 117,734 --
------------- --------- ------------- ------------- ---------
Capital contribution -- -- -- -- 1,341
------------- --------- ------------- ------------- ---------
Issued upon reinvestment of dividends:
Institutional...................................... 1,680,999 1,400 -- 1,744,825 1,405
Select............................................. 4,085 11 -- -- --
Adviser............................................ -- -- -- -- --
------------- --------- ------------- ------------- ---------
1,685,084 1,411 -- 1,744,825 1,405
------------- --------- ------------- ------------- ---------
Shares redeemed:
Institutional...................................... (3,032,383) -- (33,113) (2,124,487) --
Select............................................. (1,742) -- -- -- --
Adviser............................................ -- -- -- -- --
------------- --------- ------------- ------------- ---------
(3,034,125) -- (33,113) (2,124,487) --
------------- --------- ------------- ------------- ---------
Net Increase/(Decrease):
Institutional...................................... 3,607,648 5,438 1,269,278 (261,928) 2,746
Select............................................. 332,895 2,048 18,227 -- --
Adviser............................................ 29,170 -- -- -- --
------------- --------- ------------- ------------- ---------
3,969,713 7,486 1,287,505 (261,928) 2,746
------------- --------- ------------- ------------- ---------
------------- --------- ------------- ------------- ---------
</TABLE>
* The Fund commenced operations on September 23, 1996
NOTE 8 -- SECURITY LENDING PROGRAM. Under the Security Lending Program,
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 March 31, 1997, the value of securities loaned amounted to $3,137,776
against which cash collateral of $3,427,810 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. Lines of credit in the amount of $250,000 for the
Japan Series and $2,000,000 for the International Small Capitalization Series
have been established by the custodian for the purposes of foreign exchange
contracts. The maximum daily settlement amount under the line of credit is
$125,000 for the Japan Series and $1,000,000 for the International Small
Capitalization Series.
NOTE 10 -- CONCENTRATION OF CREDIT. At March 31, 1997, the Japan Series had
the following industry concentrations in excess of 10% of its net assets:
Banking--12.5%; Electrical Equipment--12.7% and Electronics--13.8%. In addition,
the International Small Capitalization Series had in excess of 10% of its net
assets invested in Japan (17.7%) and the United Kingdom (14.9%).
33
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES
----------------------------------------------------------------------------------
FOR THE YEAR ENDED MARCH 31,
----------------------------------------------------------------------------------
1997
--------------------------------------
INSTITUTIONAL SELECT ADVISER
SHARES SHARES (1) SHARES (2) 1996 1995 1994 1993
------------ ----------- ----------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value at beginning of
period............................... $ 7.60 $ 8.49 $ 7.38 $ 6.97 $ 7.36 $ 12.33 $ 12.04
------------ ----------- ----------- --------- --------- --------- ---------
Income from Investment Operations:
Net investment income*............. 0.04 0.07 0.02 0.03 0.01 0.08 0.13
Net realized and unrealized gain on
investments and foreign
currency......................... 1.39 0.47 (0.26) 2.34 0.78 1.28 2.31
------------ ----------- ----------- --------- --------- --------- ---------
Total from investment operations... 1.43 0.54 (0.24) 2.37 0.79 1.36 2.44
------------ ----------- ----------- --------- --------- --------- ---------
Distributions to shareholders from:
Net investment income.............. (0.05) (0.05) -- (0.01) (0.08) (0.14) (0.10)
Net realized gain on investments... (1.85) (1.85) -- (1.73) (1.10) (6.19) (2.05)
------------ ----------- ----------- --------- --------- --------- ---------
(1.90) (1.90) -- (1.74) (1.18) (6.33) (2.15)
------------ ----------- ----------- --------- --------- --------- ---------
Net asset value at end of period....... $ 7.13 $ 7.13 $ 7.14 $ 7.60 $ 6.97 $ 7.36 $ 12.33
------------ ----------- ----------- --------- --------- --------- ---------
------------ ----------- ----------- --------- --------- --------- ---------
Total return**......................... 19.53% 6.84% (3.25)% 35.69% 12.21% 12.83% 22.51%
Net assets, end of period (000)........ $ 82,116 $ 2,375 $ 208 $ 60,046 $ 56,910 $ 52,500 $ 69,458
Ratio of net expenses to average daily
net assets (a)....................... 1.07% 1.15%+ 1.15%+ 0.90% 0.90% 0.90% 0.90%
Ratio of expenses to average daily net
assets before waiver/reimbursement... 1.54% 1.54%+ 1.54%+ 1.15% 1.17% 1.14% 1.03%
Ratio of net investment income to
average daily net assets............. 0.35% 0.46%+ 0.46%+ 0.47% 0.60% 0.60% 0.59%
Portfolio turnover rate................ 126.83% 126.83% 126.83% 71.87% 57.27% 59.61% 32.61%
Average commission rate................ $ 0.0327 $ 0.0327 $ 0.0327 -- -- -- --
</TABLE>
- --------------
* Net of fees and expenses waived/reimbursed by the Manager (and Administrator
for 1997) in the amount of $0.04, $0.04, $0.04, $0.02, $0.01, $0.05 and $0.03
per share, respectively.
** Total return would have been lower had certain fees and expenses not been
waived/reimbursed by the Manager (and Administrator for 1997).
+ Computed on an annualized basis.
(a) Difference in expense ratios between classes for 1997 is due to the change
in the maximum expense ratio charged to the Fund during the year and the
introduction of the Select and Adviser Shares after such change.
(1) Shares of the Class were first offered for sale to investors on October 22,
1996.
(2) Shares of the Class were first offered for sale to investors on January 21,
1997.
See accompanying notes to the financial statements.
34
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
JAPAN SERIES
---------------------------------------------------------------
FOR THE YEAR ENDED MARCH 31,
---------------------------------------------------------------
1997
-----------------------------
INSTITUTIONAL SELECT SHARES
SHARES (1) 1996 1995 1994 1993
------------- ------------- ------ ------ ------ -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value at beginning
of period................... $ 8.77 $ 8.08 $ 8.96 $ 8.25 $ 6.94 $ 6.15
------------- ------------- ------ ------ ------ -------
Income from Investment
Operations:
Net investment income*.... (0.05)(a) (0.01)(a) 0.04 0.10 (0.01) 0.02
Net realized and
unrealized gain on
investments and foreign
currency................ (2.45) (1.80) (0.15) 0.63 1.41 0.84
------------- ------------- ------ ------ ------ -------
Total from investment
operations.............. (2.50) (1.81) (0.11) 0.73 1.40 0.86
------------- ------------- ------ ------ ------ -------
Distributions to shareholders
from:
Net investment income..... (0.04) (0.04) -- -- -- (0.07)
In excess of net
investment income....... (0.03) (0.03) (0.08) (0.02) (0.09) --
------------- ------------- ------ ------ ------ -------
(0.07) (0.07) (0.08) (0.02) (0.09) (0.07)
------------- ------------- ------ ------ ------ -------
Net asset value at end of
period...................... $ 6.20 $ 6.20 $ 8.77 $ 8.96 $ 8.25 $ 6.94
------------- ------------- ------ ------ ------ -------
------------- ------------- ------ ------ ------ -------
Total return**................ (28.68)% (22.59)% (1.20)% 8.86% 20.35% 14.24%
Net assets, end of period
(000)....................... $ 1,009 $ 13 $1,378 $1,385 $1,258 $ 1,044
Ratio of net expenses to
average daily net assets
(b)......................... 1.42% 1.50%+ 1.00% 1.00% 1.00% 0.70%
Ratio of expenses to average
daily net assets before
waiver/reimbursement........ 13.33% 13.33%+ 7.16% 7.02% 7.63% 10.70%
Ratio of net investment
income/(loss) to average
daily net assets............ (0.63)% 0.00%+ (0.22)% (0.20)% (0.26)% 0.37%
Portfolio turnover rate....... 51.70% 51.70% 60.60% 57.10% 74.60% 162.10%
Average commission rate....... $0.0165 $0.0165 -- -- -- --
</TABLE>
- --------------
* Net of fees and expenses waived/reimbursed by the Manager (and Administrator
for 1997) in the amount of $0.95, $0.95, $0.38, $0.67, $0.49 and $0.59 per
share, respectively.
** Total return would have been lower had certain fees and expenses not been
waived/reimbursed by the Manager (and Administrator for 1997).
(a) Calculated based on the average shares outstanding during the period.
(b) Difference in expense ratios between classes for 1997 is due to the change
in the maximum expense ratio charged to the Fund during the year and the
introduction of the Select Shares after such change.
+ Computed on an annualized basis.
(1) Shares of the Class were first offered for sale to investors on October 22,
1996.
See accompanying notes to the financial statements.
35
<PAGE>
BARR ROSENBERG SERIES TRUST
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL CAPITALIZATION FUND
- -----------------------------------------------------------------------------------------------------
<S> <C> <C>
SEPTEMBER 23, 1996
(COMMENCEMENT OF OPERATIONS)
THROUGH MARCH 31, 1997
- -----------------------------------------------------------------------------------------------------
<CAPTION>
INSTITUTIONAL SELECT
SHARES SHARES (1)
------------- -------------
<S> <C> <C>
Net asset value at beginning of period................................ $ 10.00 $ 10.04
------------- -------------
Income from Investment Operations:
Net investment income*............................................ 0.02 (a) 0.02 (a)
Net realized and unrealized gain on investments and foreign
currency........................................................ 0.11 0.07
------------- -------------
Total from investment operations.................................. 0.13 0.09
------------- -------------
Net asset value at end of period...................................... $ 10.13 $ 10.13
------------- -------------
------------- -------------
Total return**........................................................ 1.30 % 0.90 %
Net assets, end of period (000)....................................... $ 12,859 $ 185
Ratio of net expenses to average daily net assets..................... 1.50 %+ 1.50 %+
Ratio of expenses to average daily net assets before
waiver/reimbursement................................................ 7.46 %+ 7.46 %+
Ratio of net investment income to average daily net assets............ 0.11 %+ 0.44 %+
Portfolio turnover rate............................................... 6.71 % 6.71 %
Average commission rate............................................... $ 0.0108 $ 0.0108
</TABLE>
- --------------
(1) Shares of the Class were first offered for sale to investors on October 29,
1996.
* Net of fees and expenses waived/reimbursed by the Manager and Administrator
in the amount of $0.31 and $0.31, respectively.
** Total return would have been lower had certain fees and expenses not been
waived/reimbursed by the Manager and Administrator.
(a) Calculated based on the average shares outstanding during the period.
+ Computed on an annualized basis.
See accompanying notes to the financial statements.
36
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Barr Rosenberg Series Trust
and the Shareholders of U.S. Small Capitalization
Series, Japan Series and International Small Capitalization Series
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of U.S. Small Capitalization Series,
Japan Series, and International Small Capitalization Series, each a series of
Barr Rosenberg Series Trust (the "Trust") at March 31, 1997, the results of each
of their operations, the changes in each of their net assets and their financial
highlights for the periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Trust's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 1997 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
May 23, 1997
<PAGE>
BARR ROSENBERG SERIES TRUST
Manager
- -------
Rosenberg Institutional Equity Management
Four Orinda Way, Building E
Orinda, CA 94563
Administrator
- ------------
BISYS Fund Services Limited Partnership
3435 Stelzer Road
Columbus, Ohio 43219
Transfer and Shareholder Servicing Agent
- ------------------------------------
BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, Ohio 43219
Distributor
- ---------
Barr Rosenberg Funds Distributor, Inc.
c/o BISYS Fund Services, Inc.
3435 Stelzer Road
Columbus, OH 43219
Custodian
- --------
State Street Bank and Trust Company
Mutual Funds Division
Boston, MA 02110
Independent Accountants
- ----------------------
Price Waterhouse LLP
160 Federal Street
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
ANNUAL REPORT
-------------------------
MARCH 31, 1997
-------------------------
