<PAGE>
BARR ROSENBERG SERIES Trust
JAPAN SERIES
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
November 18, 1997
Dear Fellow Shareholders:
During the last six months, net assets of the U.S. Small Capitalization Fund
have grown at an unprecedented rate--from $85 million to $303 million, an
increase of 256%. The Adviser and Select shares have reached sufficient size to
be assigned a NASDAQ symbol: LIFUX for the Adviser shares and BRSCX for the
Select shares.
Net assets of the International Small Capitalization Fund have grown
steadily since its inception in September 1996 reaching $27 million. The
Institutional shares have been assigned the NASDAQ symbol ICSIX and are listed
in the newspaper under "BarIntSCp".
We have added new features to the web site (www.riem.com) and the 800 number
(800-447-3332) which are designed to provide you with valuable information about
your mutual funds. The following table summarizes the information available to
you.
<TABLE>
<CAPTION>
WEB SITE 800 NUMBER
--------- ------------
<S> <C> <C>
Daily prices (NAV) X X
Performance information X X
Portfolio composition X
Shareholder account balances X
Recent articles X
</TABLE>
Please utilize these resources and let us know if they are meeting your
needs for information and service.
We are thankful for the confidence you have placed in us and will strive to
continue to earn your trust.
Sincerely,
[/S/ RICHARD L. SAALFELD]
R.L. Saalfeld
President and Chief Executive Officer
Barr Rosenberg Mutual Funds
1
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
This period featured a technology led market decline during the month of
April followed by a steady rise in the market from May through September. Small
cap stocks started to outperform large cap stocks during the month of August. On
August 8,1997, major stock indexes fell after news of unexpectedly strong
economic data brought back inflation fears. In addition, profit warnings from
several large cap companies added to the uncertainty. With the sell off, many
investors became bargain hunters and found buys among beaten-down small cap
companies. Technology stocks also began to rally helping both the large cap and
small cap indexes.
In September, low inflation and strong profit growth expectations for small
companies helped the Russell 2000(1) set several consecutive new highs. From
early August to the middle of September, the Russell 2000 rose 7% while the S&P
500(2) gained 1%, and the Dow Jones Industrials gained 2%. Some of the reasons
for the outperformance included:
- Investors took profits in large cap stocks while looking for bargains
in small cap stocks.
- The dollar has gained over 11% this year against European currencies. A
strong dollar reduces the revenues of large cap multinationals when
profits are converted to dollars. Most small cap stocks do not have
large international exposures so they are less affected by the dollar.
- The recent capital gains tax cut will benefit owners of fast growing
small companies.
Some of our individual stock picks that stood out include:
- Spire Corp (SPIR); manufacturers of semiconductors and wafers (YTD
return of 577%).
- Asyst Technology (ASYT); designers and manufacturers of
mini-environment systems (YTD return of 451%).
- Trans World Entertainment (TWMC); operators of music and video stores
(YTD return of 278%).
- Plexus Corp (PLXS); provides services for the design of electronic
products and assemblies (YTD return of 277%).
- Scan Optics (SOCR); produces information-processing systems (YTD return
of 260%).
- Polymedica (PM); manufacturers of pharmaceuticals and health-care
products (YTD return of 254%).
STOCK SELECTION PROCESS
We consider ourselves "bargain shoppers" of small cap stocks. Using various
models designed by Barr Rosenberg, we are able to find undervalued stocks and
place them in a risk-adjusted portfolio. Our goal is to create a portfolio that
will outperform the Fund's benchmark, the Russell 2000 Index.
- --------------
(1)The Russell 2000 is an unmanaged index of approximately 2000 small
capitalization companies with market capitalization up to $2.6 billion.
(2)The S&P 500 is an unmanaged, broad based index of 500 widely held common
stocks.
2
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES (CONTINUED)
- --------------------------------------------------------------------------------
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 approximately 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-term
enthusiasm for individual companies, using broker 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 forecasted risk.
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.
- --------------
Small capital funds typically carry additional risks since smaller companies
generally have experienced a greater degree of volatility than average.
3
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS--97.1%
AEROSPACE/DEFENSE--0.6%
1,000 Allied Research Corp.*............................ $ 12,938
35,900 Avondale Industries Inc.*......................... 946,863
8,250 Cubic Corp........................................ 311,438
1,900 DBA Systems Inc.*................................. 14,725
1,600 DRS Technologies*................................. 23,200
10,267 Herley Industries Inc.*........................... 139,883
3,600 Lowrance Electronics Inc.*........................ 19,800
3,600 Rohr Inc.*........................................ 111,375
2,400 Safety Components International Inc.*............. 38,400
25,000 United Industrial Corp............................ 246,875
------------
1,865,497
------------
AIRLINES--1.1%
35,700 Airborne Freight Corp............................. 2,162,081
72,700 America West Airlines Inc., Class B*.............. 1,058,694
9,800 Petroleum Helicopter Inc.......................... 225,400
------------
3,446,175
------------
AUTOMOTIVE--1.7%
23,200 Borg-Warner Automotive Inc........................ 1,319,500
13,700 Defiance Inc...................................... 99,325
7,300 Durakon Industries Inc.*.......................... 63,875
20,300 Excel Industries Inc.............................. 404,731
9,400 Monaco Coach Corp.*............................... 222,075
28,700 SPX Corp.......................................... 1,682,538
47,900 Standard Products Co.............................. 1,260,369
3,600 Supreme Industries Inc.*.......................... 33,300
4,900 Thor Industries Inc............................... 150,063
1,800 Transpro Inc...................................... 19,575
------------
5,255,351
------------
BANKING--8.8%
41,000 Aames Financial Corp.............................. 663,688
100 ABC Bancorp....................................... 1,667
600 Abington Bancorp Inc.............................. 19,200
5,800 Alabama National Bankcorp......................... 140,288
36,200 Albank Financial Corp............................. 1,529,450
52,400 Americredit Corp.*................................ 1,493,400
5,400 Anchor Bancorp Wisconsin Inc...................... 157,275
6,500 Arrow Financial Corp.............................. 193,375
7,800 Associated Banc-Corp.............................. 351,488
55,300 Astoria Financial Corp............................ 2,782,281
7,300 BancFirst Corp.................................... 240,900
1,900 Bancorp South Inc................................. 66,975
21,300 Banknorth Group Inc............................... 1,163,513
5,200 BOK Financial Corp.*.............................. 203,450
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
1,700 Broad National Bancorp............................ $ 32,725
16,350 BSB Bancorp Inc................................... 449,625
4,900 Cape Cod Bank & Trust Co.......................... 167,825
70 Capitol Bancorp Ltd............................... 1,785
2,400 Cardinal Bankshares Inc........................... 129,300
4,200 CB Bancshares Inc................................. 185,850
5,600 Central Co-Operative Bank......................... 126,000
1,400 Citizens Banking Corp. Michigan................... 61,600
9,900 Civic Bancorp*.................................... 167,063
1,300 Columbia Bancorp.................................. 37,700
12,000 Commercial Bank of New York....................... 295,500
15,400 Community First Bankshares........................ 746,900
5,000 Corus Bankshares Inc.............................. 180,625
1,000 CPB Inc........................................... 43,250
1,338 CVB Financial Corp................................ 33,617
14,200 D & N Financial Corp.............................. 299,975
800 Deposit Guaranty Corp............................. 26,650
1,400 Equitable Federal Savings Bank*................... 58,800
2,000 FFVA Financial Corp............................... 63,250
8,600 FFY Financial Corp................................ 239,725
2,500 First Bancshares Inc.............................. 55,625
3,700 First Citizens Bancshares Inc., Class A........... 373,700
300 First Citizens Corp............................... 10,500
3,500 First Colonial Group Inc.......................... 112,875
3,500 First Essex Bancorp Inc........................... 71,313
6,700 First Hawaiian Inc................................ 266,325
1,000 First Merchants Banking........................... 32,375
700 First Mutual Savings Bank of Bellevue............. 18,725
14,800 First Palm Beach Bancorp.......................... 515,225
3,900 First State Bancorp............................... 75,563
2,100 Firstplus Financial Group*........................ 117,863
9,555 FNB Corp.......................................... 302,177
7,000 FNB Rochester Corp................................ 113,750
913 Foothill Independent Bancorp...................... 14,037
8,000 GBC Bancorp of California......................... 392,000
1,950 Granite State Bankshares Inc...................... 40,463
3,000 Hallmark Capital Corp.*........................... 77,250
7,350 Haven Bancorp Inc................................. 314,213
2,800 Hingham Institution for Savings................... 76,650
1,200 Home Port Bancorp Inc............................. 28,350
4,800 Homecorp Inc.*.................................... 82,800
1,800 Hubco Inc......................................... 57,038
3,689 Imperial Bancorp*................................. 137,876
1,875 Independent Bankshares Inc........................ 33,984
</TABLE>
See accompanying notes to the financial statements.
4
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
3,100 Irwin Financial Corp.............................. $ 115,475
5,900 JSB Financial Inc................................. 288,731
600 Kankakee Bancorp Inc.............................. 18,900
4,500 Keystone Heritage Group Inc....................... 229,500
4,300 Lakeview Financial Corp........................... 169,850
2,100 Letchworth Independent Bancshares Corp............ 94,500
5,000 Mahaska Investment Co............................. 162,500
5,900 Mainstreet Bankgroup Inc.......................... 171,100
8,533 Massbank Corp..................................... 405,333
5,200 Mid-America Bancorp............................... 171,600
21,200 MLF Bancorp Inc................................... 580,350
4,200 National Bank of Alaska........................... 394,800
6,900 NBT Bancorp Inc................................... 181,988
1,000 New Hampshire Thrift Bancshares Inc............... 20,750
2,000 New Milford Bank.................................. 33,750
8,800 Newmil Bancorp Inc................................ 125,400
6,000 Northrim Bank of Alaska........................... 64,500
3,300 Norwich Financial Corp............................ 95,700
9,900 Onbancorp Inc..................................... 566,775
1,875 One Valley Bancorp................................ 69,375
6,100 Pacific Bank N.A.................................. 240,950
10,900 Palfed Inc........................................ 268,413
5,900 PennFed Financial Services Inc.................... 185,850
5,500 Peoples Bancshares Inc............................ 110,000
200 Peoples Bank Corporation Indianapolis............. 6,300
13,900 Peoples Heritage Finance Group Inc................ 588,144
25,700 Poughkeepsie Financial Corp....................... 237,725
7,980 Progress Financial Corp........................... 115,710
4,500 Progressive Bank Inc.............................. 154,125
26,400 Reliance Bancorp Inc.............................. 871,200
8,932 Royal Bancshares of Pennsylvania, Class A......... 150,728
2,500 Sandwich Cooperative Bank of Massachusetts........ 92,500
2,700 Sho-Me Financial Corp.*........................... 114,750
3,700 Simmons First National Corp....................... 133,200
2,000 Skaneateles Bancorp Inc........................... 57,000
2,900 Southwest Bancorp................................. 62,350
1,483 Sovereign Bancorp Inc............................. 25,953
15,600 Sterling Bancorp.................................. 354,900
3,800 Student Loan Corp................................. 177,650
7,600 Suffolk Bancorp................................... 225,150
7,200 Sumitomo Bank of California....................... 311,400
44,800 TR Financial Corp................................. 1,428,000
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
6,300 UMB Financial Corp................................ $ 321,300
5,400 Vermont Financial Services Corp................... 291,600
3,700 Westbank Corp..................................... 39,081
15,300 WFS Financial Inc.*............................... 332,775
------------
26,533,023
------------
BEVERAGES--0.1%
5,700 Coors (Adolph) Co., Class B....................... 215,888
------------
CHEMICALS--0.8%
8,700 Bairnco Corp...................................... 88,088
8,000 The Carbide/Graphite Group Inc.*.................. 272,000
6,500 MacDermid Inc..................................... 566,313
4,300 Melamine Chemicals Inc.*.......................... 68,800
2,000 Pioneer Companies Inc., Class A*.................. 15,375
50,700 The Scotts Co.*................................... 1,330,875
100 Sybron Chemicals Inc.*............................ 2,525
------------
2,343,976
------------
COMMERCIAL/INFORMATION SERVICES--8.5%
6,900 ABM Industries Inc................................ 182,419
12,500 ACNielsen Corp.*.................................. 300,000
15,900 Activision Inc.*.................................. 238,500
38,200 American Business*................................ 1,036,175
5,200 Analysis & Technology Inc......................... 127,400
10,000 Analysts International Corp....................... 387,500
6,800 ASA International Ltd*............................ 16,150
10,203 Baker (Michael) Corp.*............................ 108,407
7,600 Berlitz International Inc.*....................... 200,450
37,200 Borg-Warner Security Corp.*....................... 725,400
1,000 Butler International Inc.*........................ 17,125
28,400 CDI Corp.*........................................ 1,072,100
10,600 CFI Proservices Inc.*............................. 170,925
1,800 Comnet Corp.*..................................... 12,825
9,400 Computer Data Systems Inc......................... 400,675
14,300 Computer Task Group Inc........................... 599,706
15,400 Datawatch Corp.*.................................. 35,613
3,800 Duff & Phelps Credit Rating Co.................... 121,600
12,600 Failure Group Inc.*............................... 94,500
7,350 FDP Corp.......................................... 75,338
7,900 General Automation Inc.*.......................... 14,813
5,400 General Employment Enterprises Inc.*.............. 95,175
2,500 Group 1 Software Inc.*............................ 16,406
2,000 GSE Systems Inc.*................................. 7,750
2,500 Harbinger Corp.*.................................. 90,938
15,000 HCIA Inc.*........................................ 202,500
</TABLE>
See accompanying notes to the financial statements.
5
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
COMMERCIAL/INFORMATION SERVICES (CONTINUED)
300 Healthcare Services Group Inc.*................... $ 3,750
89,900 Information Resources Inc.*....................... 1,584,488
12,600 Interim Services Inc.*............................ 354,375
50,700 Intersolv Inc.*................................... 785,850
11,800 Keane Inc.*....................................... 374,650
35,500 Kelly Services Inc., Class A...................... 1,189,250
11,600 LCS Industries.................................... 220,400
15,100 MacNeal-Schwendler Corp........................... 186,863
5,600 Mapinfo Corp.*.................................... 56,000
15,800 Market Facts Inc.................................. 372,288
5,600 Marlton Technologies Inc.*........................ 32,900
1,350 Medquist Inc.*.................................... 31,556
5,600 M/A/R/C Inc....................................... 133,000
40,000 National Computer Systems Inc..................... 1,415,000
16,100 National Data Corp................................ 660,100
15,400 National Technical Systems Inc.................... 155,925
6,100 Norrell Corp...................................... 209,688
4,700 On Technology Corp.*.............................. 17,184
21,100 Personnel Group of America Inc.*.................. 722,675
4,200 Personnel Management Inc.*........................ 50,925
8,850 Pinkertons Inc.*.................................. 203,550
15,400 Policy Management Systems Corp.*.................. 957,688
9,700 Quality Systems Inc.*............................. 70,325
102,800 Sequent Computer*................................. 2,550,725
3,100 SofTech Inc....................................... 5,619
6,400 SPS Transaction Services Inc.*.................... 141,600
20,800 Stone & Webster Inc............................... 1,141,400
22,000 Systems & Computer Technology Corp.*.............. 991,375
13,900 Techforce Corp.*.................................. 119,888
11,700 Union Corp.*...................................... 280,800
19,200 Viasoft Inc.*..................................... 950,400
25,400 Viewlogic Systems Inc.*........................... 604,838
8,100 Volt Information Sciences Inc.*................... 513,338
800 Vse Corp.......................................... 9,800
17,800 Wall Data Inc.*................................... 342,650
96,500 Wang Laboratories Inc.*........................... 2,032,531
------------
25,823,784
------------
CONSTRUCTION MATERIALS--1.5%
3,600 Ameron Inc........................................ 234,900
18,400 Florida Rock Industries........................... 1,094,800
16,500 Libbey Inc........................................ 588,844
6,700 Mestek Inc.*...................................... 128,975
61,900 Texas Industries Inc.............................. 2,626,881
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS (CONTINUED)
100 United States Lime & Minerals Inc................. $ 813
------------
4,675,213
------------
COSMETICS--0.1%
4,600 Beauticontrol Cosmetics Inc....................... 40,538
6,488 Del Laboratories Inc.............................. 241,678
------------
282,216
------------
DRUGS--0.7%
43,400 Alpharma Inc...................................... 971,075
10,000 Gamma Biologicals Inc............................. 57,500
5,720 New Brunswick Scientific Inc...................... 40,040
8,500 Nutramax Products Inc.*........................... 120,063
1,000 PDK Labs Inc.*.................................... 4,875
46,500 Perrigo*.......................................... 732,375
4,700 Pharmaceutical Product Development Inc.*.......... 95,763
16,300 Polymedica Corp.*................................. 220,050
------------
2,241,741
------------
DURABLE GOODS--0.3%
26,800 Huffy Corp........................................ 442,200
15,300 National RV Holdings*............................. 325,125
4,688 Rexhall Industries Inc.*.......................... 26,663
------------
793,988
------------
ELECTRONICS--9.3%
2,200 ACT Manufacturing Inc.*........................... 73,150
12,100 Aeroflex Inc...................................... 122,513
3,100 American Technical Ceramics Corp.*................ 57,350
4,500 Applied Magnetics Corp.*.......................... 141,750
23,500 Applied Signal Technology Inc.*................... 227,656
43,900 ATL Ultrasound Inc.*.............................. 2,052,324
1,900 Badger Meter Inc.................................. 93,219
15,100 Bel Fuse Inc.*.................................... 286,900
5,400 Berg Electronics Corp.*........................... 290,250
20,800 BI Inc.*.......................................... 154,700
2,000 BioLogic Systems Corp.*........................... 13,000
9,000 Cobra Electronics Corp.*.......................... 66,375
34,200 Coherent Inc.*.................................... 1,893,825
6,000 CTS Corp.......................................... 570,000
43,600 Dallas Semiconductor Corp......................... 1,951,100
28,600 Datascope*........................................ 629,200
1,700 Datum Inc.*....................................... 77,563
1,000 Espey Manufacturing & Electronics Corp............ 16,875
</TABLE>
See accompanying notes to the financial statements.
6
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
4,900 Frequency Electronic Inc.......................... $ 110,250
2,900 Giga-Tronics Inc.*................................ 29,000
25,500 Hadco Corp.*...................................... 1,380,984
6,300 Harmon Industries Inc............................. 166,950
13,800 Hurco Companies Inc.*............................. 115,575
60,400 Hutchinson Technology Inc.*....................... 2,027,175
16,200 IEC Electronics Corp.*............................ 317,925
47,900 Innovex Inc....................................... 1,544,775
4,900 Kewaunee Scientific Corp.......................... 61,250
3,200 K Tron International Inc.*........................ 46,400
17,200 Magnetek Inc.*.................................... 384,850
11,200 Marquette Medical Systems, Class A*............... 347,200
6,500 Medstone International Inc.*...................... 64,188
2,200 Meridian Medical Technology Inc.*................. 16,638
5,700 MFRI Inc.*........................................ 58,425
24,400 Microsemi Corp.*.................................. 420,900
3,700 Mine Safety Appliances Co......................... 259,000
4,600 Moore Products Co.*............................... 109,250
25,300 Mosaix Inc.*...................................... 270,394
8,250 Movado Group Inc.................................. 169,125
19,800 MTS Systems Corp.................................. 722,700
9,300 Napco Security Systems Inc.*...................... 61,613
4,800 Newport Corp...................................... 74,400
9,700 Norstan Inc.*..................................... 208,550
12,800 Optical Coating Laboratory Inc.................... 165,600
4,200 Parlex Corp.*..................................... 84,000
35,700 Plexus Corp.*..................................... 1,253,963
85,100 PMC-Sierra Inc.*.................................. 2,170,050
2,500 Quixote Corp...................................... 22,188
10,000 Read Rite Corp.*.................................. 245,000
8,600 Reliability Inc.*................................. 371,950
11,100 Robinson Nugent Inc............................... 56,888
600 Sage Laboratories................................. 7,950
2,800 SBS Technologies Inc.*............................ 66,850
5,500 Scherer Healthcare Inc.*.......................... 17,875
12,000 Siliconix Inc.*................................... 547,500
13,500 SL Industries Inc................................. 182,250
10,100 Spacelabs Inc.*................................... 220,938
1,900 Span-America Medical Systems Inc.................. 11,638
1,300 Sunrise Medical Inc.*............................. 20,313
3,300 TCI International Inc.*........................... 20,213
2,500 Technical Communications Corp.*................... 17,500
12,600 Teleflex Inc...................................... 436,275
2,300 Trio Tech International*.......................... 30,475
47,300 Uniphase Corp.*................................... 3,760,279
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
6,700 Vicon Industries Inc.*............................ $ 56,113
8,500 Video Display Corp.*.............................. 62,688
17,900 VlSI Technology Inc.*............................. 620,906
------------
28,134,669
------------
FINANCIAL SERVICES--2.9%
10,100 Advest Group Inc.................................. 265,756
7,500 Allied Capital Corp............................... 127,500
400 American Financial Enterprises Inc................ 17,200
11,700 Atlanta Sosnoff Capital Corp...................... 137,475
7,950 Charles JW Financial Services Inc.*............... 65,588
6,600 Cooper Life Sciences*............................. 173,250
860 Eagle Financial Corp.............................. 34,400
15,200 Eaton Vance Corp.................................. 543,400
7,312 Electro Rent*..................................... 236,726
4,000 First Cash Inc.*.................................. 31,500
2,232 Grand Premier Financial........................... 28,737
3,900 IHOP Corp.*....................................... 139,425
3,500 Interra Financial Inc............................. 210,219
1,500 Interstate/Johnson Lane Inc....................... 46,688
15,700 Jefferies Group Inc............................... 1,146,100
2,220 North County Bancorp*............................. 26,640
5,000 PLM International Inc.*........................... 28,750
8,200 Prime Capital Corp.*.............................. 50,225
4,200 PS Group Holdings Inc............................. 56,963
41,500 Quick & Reilly.................................... 1,553,656
46,400 Raymond James Financial Inc....................... 1,670,400
7,500 Refac Technology Development Corp................. 83,438
1,400 Resource America Inc., Class A.................... 72,100
7,900 SEI Corp.......................................... 260,700
4,500 Sherwood Group Inc.*.............................. 66,375
20,790 Southwest Securities Group Inc.................... 478,170
9,600 Stifel Financial Corp............................. 126,000
34,200 Union Acceptance Corp., Class A *................. 350,550
400 United Companies Financial Corp................... 12,600
6,100 Value Line Inc.................................... 239,425
5,900 White River Corp.*................................ 389,400
------------
8,669,356
------------
FOOD--2.2%
3,000 Darling International Inc.*....................... 86,250
65,900 Dean Foods Co..................................... 3,047,875
61,000 Earthgrains Co.................................... 2,623,000
3,100 Lance Inc......................................... 64,325
3,000 Pilgrim's Pride Corp.............................. 44,625
1,100 Scope Industries Inc.............................. 66,481
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
100 Seaboard Corp..................................... $ 30,900
20,800 Smithfield Foods Inc.*............................ 624,000
------------
6,587,456
------------
FOREST PRODUCTS & PAPERS--2.4%
22,800 American Woodmark................................. 413,250
5,800 Baltek Corp.*..................................... 50,750
1,000 Carmel Container Systems Ltd*..................... 8,500
62,200 Chesapeake Corp................................... 2,254,750
2,800 CSS Industries Inc.*.............................. 101,850
15,300 Fibermark Inc.*................................... 318,431
3,400 Holopak Technologies Inc.*........................ 11,900
30,800 Mosinee Paper Corp................................ 1,043,350
23,000 Pope & Talbot Inc................................. 487,313
101,200 Rock-Tenn Co...................................... 2,017,675
8,200 THT Inc.*......................................... 24,088
1,800 TJ International Inc.............................. 46,013
8,600 Tranzonic Companies............................... 250,475
6,900 Tufco Technologies Inc.*.......................... 71,588
12,400 Ultra Pac Inc.*................................... 106,950
7,000 Wausau Paper Mills................................ 171,500
------------
7,378,383
------------
HEALTH--2.9%
10,900 Advocat Inc.*..................................... 132,163
25,600 Apogee Inc.*...................................... 80,000
58,700 Apria Healthcare Group Inc.*...................... 792,450
6,700 Caretenders Healthcorp*........................... 55,275
4,100 Equimed Inc.*..................................... 81,488
2,000 Grancare Inc.*.................................... 23,625
30,300 Hanger Orthopedic Group Inc.*..................... 452,606
20,900 Home Health Corporation of America*............... 271,700
5,000 Horizon Healthcare*............................... 125,000
36,300 Horizon/CMS Healthcare Corp.*..................... 812,213
1,000 In Home Health Inc.*.............................. 1,813
34,500 Integrated Health Services Inc.................... 1,153,594
7,700 Life Technologies Inc............................. 232,925
9,100 Living Centers of America Inc.*................... 370,825
10,200 National Home Health Care Corp.*.................. 50,363
1,700 Novacare Inc.*.................................... 29,325
10,100 Option Care Inc.*................................. 41,663
18,600 Osteotech Inc.*................................... 374,325
2,700 Physicians Resource Group Inc.*................... 30,544
4,300 Sheridan Healthcare*.............................. 56,975
21,200 Staff Builders Inc.*.............................. 51,675
9,500 Summit Care Corp.*................................ 140,125
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
122,100 Sun Healthcare Group*............................. $ 2,510,681
21,000 Universal Health Services Inc., Class B*.......... 908,250
8,400 U.S. Homecare Corp.*.............................. 12,075
------------
8,791,678
------------
HOMEBUILDERS--2.1%
8,100 Abrams Industries Inc............................. 44,550
3,700 Captital Pacific Holdings Inc.*................... 12,025
8,300 Centex Corp....................................... 484,513
2,500 C.H. Heist Corp.*................................. 18,438
13,700 Dominion Homes Inc.*.............................. 119,875
5,100 Engle Homes Inc................................... 70,125
33,600 Granite Construction Inc.......................... 777,000
3,000 Layne Christensen Co.*............................ 63,000
31,600 Lennar Corp....................................... 1,343,000
4,900 Liberty Homes Inc., Class A....................... 45,938
5,699 MYR Group Inc..................................... 134,283
6,200 M/I Schottenstein Homes*.......................... 95,713
26,700 Pacific Greystone Corp.*.......................... 530,663
5,500 Pitt-Des Moines Inc............................... 204,188
4,680 Schult Homes Corp................................. 88,335
11,300 Skyline Corp...................................... 337,588
21,500 Southern Energy Homes Inc.*....................... 227,094
6,700 Utilx Corp.*...................................... 30,988
91,900 Walter Industries Inc.*........................... 1,832,256
------------
6,459,572
------------
HOUSEHOLD PRODUCTS--1.9%
18,700 ACX Technologies Inc.*............................ 497,888
600 American Biltrite Inc............................. 14,025
2,800 Anderson Group Inc.*.............................. 24,500
15,800 Carter-Wallace Inc................................ 260,700
3,400 Cherry Corp.*..................................... 66,300
7,200 Continental Can Co. Inc.*......................... 190,800
5,700 Escalade Inc.*.................................... 66,975
20,600 Ethan Allen Interiors Inc......................... 638,600
4,100 Furon Co.......................................... 168,356
15,800 Genlyte Group Inc.*............................... 268,600
17,400 Kimball International Inc., Class A............... 730,800
400 La-Z-Boy Inc...................................... 14,800
6,100 Mikasa Inc........................................ 84,638
5,300 Oneida Ltd........................................ 188,150
6,100 Patrick Industries Inc............................ 93,788
7,900 Plasti-Line Inc................................... 100,725
9,300 Stanley Furniture Co.*............................ 248,775
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
HOUSEHOLD PRODUCTS (CONTINUED)
9,100 TAB Products Co................................... $ 101,238
8,100 Thomas Industries Inc............................. 243,000
1,700 Trans-Lux Corp.................................... 26,138
17,100 Tredegar Industries Inc........................... 1,201,275
8,300 Virco Manufacturing Corp.......................... 299,838
11,300 Wynn's International Inc.......................... 375,725
------------
5,905,634
------------
INSURANCE--4.0%
10,200 American Annuity Group Inc........................ 219,300
3,000 American Indemnity Financial Corp................. 45,000
3,900 Capital Re Corp................................... 237,900
300 Citizens Corp..................................... 8,681
4,000 Donegal Group Inc................................. 81,000
22,300 EMC Insurance Group Inc........................... 303,838
11,000 Enhance Financial Services Group Inc.............. 602,250
30,500 Financial Security Assurance Holdings, Ltd........ 1,418,250
28,698 First American Financial Corp..................... 1,721,880
9,600 Harleysville Group Inc............................ 403,200
100 Intercontinental Life Corp.*...................... 2,000
9,200 Kansas City Life Insurance Co..................... 768,200
16,000 Liberty Corp...................................... 724,000
5,000 Liberty Financial Companies Inc................... 262,500
900 MCM Corp.......................................... 2,700
8,300 National Insurance Group.......................... 89,225
2,300 Newport Western Life Insurance, Class A*.......... 236,900
6,000 Nymagic Inc....................................... 156,000
8,000 Professionals Insurance Co. Management Group*..... 312,000
36,100 PXRE Corp......................................... 1,139,406
800 Reliable Life Insurance Co., Class A.............. 126,800
63,400 Reliance Group Holdings Inc....................... 859,863
7,000 RLI Corp.......................................... 315,000
15,300 Standard Management Corp.*........................ 119,531
14,900 Stewart Information Services Corp................. 392,988
300 Vesta Insurance Group Inc......................... 17,100
4,300 Washington National Corp.......................... 139,481
31,500 WR Berkley Corp................................... 1,356,469
------------
12,061,462
------------
MACHINERY & EQUIPMENT--3.0%
10,500 Allied Products Corp.............................. 259,875
6,900 Amistar Corp.*.................................... 29,325
600 Astrotech International Corp.*.................... 7,575
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
MACHINERY & EQUIPMENT (CONTINUED)
13,200 Brown & Sharpe Manufacturing Co.*................. $ 187,275
1,900 Continental Materials Corp.*...................... 45,600
2,300 Devlieg-Bullard Inc.*............................. 11,356
1,000 Farrel Corp....................................... 4,375
4,400 Franklin Electric Co. Inc......................... 246,400
7,800 Gardner Denver Machinery Inc.*.................... 262,763
13,700 Gehl Co.*......................................... 306,538
3,200 Gencor Industries Inc............................. 43,200
18,400 Gleason Corp...................................... 506,000
9,600 Gorman-Rupp Co.................................... 190,800
2,600 Hardinge Inc...................................... 89,375
6,700 Haskel International Inc., Class A................ 93,800
4,800 Hein-Werner Corp.*................................ 36,600
6,100 Intevac Inc.*..................................... 86,163
18,700 Katy Industries Inc............................... 336,600
4,300 Kennametal Inc.................................... 208,550
7,000 Kulicke & Soffa Industries*....................... 324,188
29,900 Lincoln Electric Co............................... 1,259,538
3,600 Oilgear Co........................................ 66,600
4,400 Portec Inc........................................ 56,925
13,100 Powell Industries Inc.*........................... 203,050
96,900 Premark International Inc......................... 3,100,800
4,200 Quipp Inc.*....................................... 71,925
2,500 Research Inc...................................... 23,125
11,000 Selas Corporation of America...................... 138,875
5,800 Shiloh Industries Inc.*........................... 110,200
8,100 Starrett LS Co.................................... 297,675
8,800 Transtechnology Corp.............................. 234,850
5,700 Twin Disc Inc..................................... 166,725
------------
9,006,646
------------
MACHINERY--3.4%
18,600 Ampco-Pittsburgh Corp............................. 348,750
20,000 Astec Industries Inc.*............................ 337,500
28,400 Asyst Technologies Inc.*.......................... 1,261,138
20,600 Ball Corp......................................... 717,138
21,700 Barnes Group Inc.................................. 614,381
14,400 Butler Manufacturing Co........................... 486,000
2,600 Chicago Rivet & Machine Co........................ 85,800
19,500 Detroit Diesel Corp.*............................. 470,438
9,100 Drew Industries Inc.*............................. 125,125
6,200 Engineered Support Systems........................ 138,725
11,700 Farr Co.*......................................... 210,600
1,600 Federal Screw Works............................... 94,200
5,600 General Magnaplate Corp........................... 40,600
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
3,300 Graham Corp.*..................................... $ 64,350
88,300 Griffon Corp.*.................................... 1,434,875
14,600 Lufkin Industries Inc............................. 447,125
15,800 Manitowoc Co. Inc................................. 563,863
19,600 Nacco Industries Inc.............................. 2,304,225
6,400 Nortek Inc.*...................................... 166,000
6,300 Quad Systems Corp.*............................... 51,581
7,300 Valmont Industries................................ 155,581
3,100 Westwood Corp..................................... 6,006
1,400 Zurn Industries Inc............................... 48,475
------------
10,172,476
------------
METALS--1.6%
4,800 Brush Wellman Inc................................. 123,300
6,100 Chaparral Steel Co................................ 93,406
11,900 Chase Industries Inc.*............................ 342,125
24,000 Cleveland-Cliffs Inc.............................. 1,047,000
1,200 Curtiss-Wright Corp............................... 92,850
14,700 Encore Wire Corp.*................................ 472,238
1,400 Foster (L.B.) Corp.*.............................. 7,613
10,000 Handy & Harman.................................... 228,750
11,000 Lindberg Corp..................................... 132,000
23,100 Mueller Industries Inc.*.......................... 1,049,606
9,500 Quanex Corp....................................... 333,094
16,400 Roanoke Electric Steel Corp....................... 364,900
12,100 Rouge Industries Inc.............................. 189,063
13,700 Steel of West Virginia Inc.*...................... 149,844
9,100 Webco Industries Inc.*............................ 72,800
------------
4,698,589
------------
MULTIMEDIA--2.2%
18,800 Advantage Media Group*............................ 65,800
27,700 American Media Inc., Class A*..................... 235,450
20,800 Bowne & Co........................................ 730,600
4,400 Courier Corp...................................... 91,300
10,500 Graphic Industries................................ 193,594
2,700 Grey Advertising.................................. 928,800
18,300 Hollinger International Inc....................... 244,763
14,800 Jostens Inc....................................... 401,450
5,100 K-Tel International Inc.*......................... 31,238
21,900 Media General Inc., Class A....................... 867,788
13,900 Merrill Corp...................................... 639,400
1,600 Metatec Corp.*.................................... 8,400
3,000 Nelson (Thomas) Inc............................... 41,625
11,900 Plenum Publishing Corp............................ 571,200
6,300 Pulitzer Publishing Co............................ 355,950
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
MULTIMEDIA (CONTINUED)
10,100 Standard Register Co.............................. $ 336,456
300 United Television Inc............................. 31,275
37,400 United Video Satellite Group Inc., Class A*....... 1,037,850
------------
6,812,939
------------
OFFICE EQUIPMENT--2.4%
20,000 Avid Technology*.................................. 650,000
32,700 Baldwin Technology Company Inc., Class A*......... 173,719
17,600 BancTec Inc.*..................................... 468,600
800 Computer Network Tech Corp.*...................... 4,400
14,800 Cornerstone Imaging Inc.*......................... 99,900
6,500 Dataram Corp.*.................................... 61,750
10,300 Equinox Systems Inc.*............................. 142,913
4,500 General Binding Corp.............................. 134,438
27,200 Genicom Corp.*.................................... 299,200
22,800 Gradco Systems*................................... 202,350
8,500 Key Tronic Corp.*................................. 42,500
62,000 Network Equipment Technologies Inc.*.............. 1,081,125
13,300 Printronix Inc.*.................................. 262,675
1,000 Rainbow Technologies Inc.*........................ 23,000
14,200 Scan Optics Inc.*................................. 175,725
5,150 STB Systems Inc.*................................. 187,975
44,600 Stratus Computer Inc.*............................ 2,157,525
47,800 Telxon Corp....................................... 1,171,100
------------
7,338,895
------------
OIL/GAS--6.1%
1,900 Adams Resources & Energy Inc...................... 26,600
36,700 American Oilfield Divers Inc.*.................... 566,556
15,400 American Resources of Delaware*................... 44,275
700 Aquila Gas Pipeline Corp.......................... 9,013
7,400 Clayton Williams Energy Inc.*..................... 120,250
12,400 Cliffs Drilling Co.*.............................. 863,350
100 Convest Energy Corp.*............................. 988
100 Dawson Geophysical Co.*........................... 2,413
6,000 Hallwood Consolidated Resources Corp.............. 127,500
8,700 Helmerich & Payne................................. 696,000
2,800 Hugoton Energy Corp.*............................. 32,550
40 ICO Inc........................................... 313
12,400 Key Energy Group Inc.*............................ 403,775
82,200 Marine Drilling Companies Inc.*................... 2,568,750
3,100 Marine Petroleum Trust............................ 58,900
</TABLE>
See accompanying notes to the financial statements.
10
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
OIL/GAS (CONTINUED)
5,300 Maynard Oil Co.*.................................. $ 72,213
6,700 Mitchell Energy & Development, Class B............ 189,275
108,400 Parker Drilling Co.*.............................. 1,646,325
10,400 Penn-Virginia Corp................................ 310,050
1,500 Petrocorp Inc.*................................... 13,875
20,600 Petroleum Development Corp.*...................... 171,238
56,800 Pool Energy Services Co.*......................... 1,924,100
73,300 Pride International Inc.*......................... 2,492,200
3,600 Prima Energy Corp.*............................... 84,600
2,000 Primeenergy Corp.*................................ 17,500
11,700 RPC Inc........................................... 326,138
17,100 Tom Brown Inc.*................................... 423,225
72,800 Tuboscope Vetco International Corp.*.............. 2,284,100
62,200 Veritas DGC Inc.*................................. 2,647,388
1,900 Wilshire Oil of Texas............................. 13,063
15,400 Wiser Oil Co...................................... 263,725
------------
18,400,248
------------
OTHER UTILITIES--0.9%
113,000 Allied Waste Industries Inc.*..................... 2,161,125
7,100 Atrion Corp....................................... 97,625
5,100 GZA GeoEnvironmental Technologies Inc.*........... 21,675
17,300 International Technology Corp.*................... 147,050
4,300 Newpark Resources Inc.*........................... 169,044
15,300 TRC Companies Inc.*............................... 59,288
------------
2,655,807
------------
REAL ESTATE ASSETS--5.1%
18,600 Allied Capital Commercial Corp.................... 458,025
1,800 Angeles Mortgage Investment Trust, Class A........ 31,725
19,600 Bay Apartment Communities......................... 782,775
11,000 Cardinal Realty Services Inc.*.................... 298,375
28,500 Colonial Properties Trust......................... 851,438
20,700 Commercial Assets Inc............................. 147,488
1,600 DeWolfe Companies Inc.*........................... 9,400
57,100 Excel Realty Trust Inc............................ 1,791,513
14,000 FM Properties Inc.*............................... 69,125
5,900 Forest City Enterprises, Class A.................. 339,250
6,000 Franchise Finance Corporation of America.......... 165,375
1,400 Franklin Select Realty Trust...................... 8,313
25,200 General Growth Properties......................... 932,400
68,300 Hospitality Properties Trust...................... 2,416,113
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
17,200 Imperial Credit Mortgage Holdings................. $ 475,150
2,000 Kaiser Ventures Inc.*............................. 29,750
2,500 Kennedy-Wilson Inc.*.............................. 45,000
1,700 Lexington Corporate Properties Inc................ 26,563
5,400 Mays (J.W.) Inc.*................................. 43,875
110 New Mexico & Arizona Land Co.*.................... 1,774
13,900 Omega Healthcare Investors Inc.................... 500,400
27,000 Price Enterprises Inc............................. 518,063
700 Realty Income Corp................................ 18,856
3,400 Resurgence Properties Inc.*....................... 20,825
23,600 Shurgard Storage Centers.......................... 690,300
14,000 Sovran Self Storage Inc........................... 441,000
10,900 Talley Industries Inc.*........................... 134,206
107,600 Taubman Centers Inc............................... 1,378,625
2,000 Thackeray Corp.*.................................. 7,500
57,500 Thornburg Mortgage Asset Corp..................... 1,207,500
10,900 United Capital Corp.*............................. 190,750
17,200 Vacation Break USA Inc.*.......................... 382,700
45,100 Walden Residential Properties Inc................. 1,138,775
------------
15,552,927
------------
RETAIL\WHOLESALE--8.5%
1,500 Aceto Corp........................................ 28,125
6,600 Advanced Marketing Services Inc.*................. 89,100
59,800 Ames Department Stores Inc.*...................... 897,000
111,200 Anixter International Inc.*....................... 1,911,250
18,750 Applied Industrial Technology Inc................. 645,703
1,100 Arden Group Inc.*................................. 89,100
43,500 Audiovox Corp., Class A*.......................... 443,156
15,700 Banner Aerospace Inc.*............................ 160,925
3,100 Barry's Jewelers Inc.*............................ 581
3,552 Bell Industries Inc.*............................. 59,940
14,400 Bell Microproducts Inc.*.......................... 160,200
31,000 Bj'S Wholesale Club Inc.*......................... 904,813
1,700 Building Material Holding Corp.*.................. 22,206
23,100 Burlington Coat Factory Warehouse................. 487,988
18,600 Cameron Ashley Building Products*................. 339,450
22,900 Cash America International Inc.................... 257,625
13,400 Catherine Stores Co.*............................. 77,888
4,300 Chemi-Trol Chemical Co............................ 55,900
24,300 Cole National Corp., Class A*..................... 1,009,969
21,900 Damark International Inc.*........................ 307,969
8,800 D.I.Y. Home Warehouse Inc.*....................... 27,500
5,900 DM Management Co.*................................ 81,863
37,900 Dominick's Supermarkets Inc.*..................... 1,144,106
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
RETAIL\WHOLESALE (CONTINUED)
3,300 Drug Emporium Inc.*............................... $ 14,438
7,400 Evans Inc.*....................................... 22,200
24,600 Ezcorp Inc., Class A*............................. 255,225
15,800 Fabric Centers of America, Class A*............... 365,375
41,900 Filene's Basement Corp.*.......................... 348,294
37,400 Fingerhut Companies............................... 841,500
2,000 Finlay Enterprises Inc.*.......................... 38,500
2,600 Fisher Scientific................................. 122,038
18,900 Fred Meyer Inc.*.................................. 1,006,425
4,200 Gantos Inc.*...................................... 12,731
14,836 Genovese Drug Stores, Class A..................... 272,612
23,000 Goody's Family Clothing Inc.*..................... 741,750
5,800 Hancock Fabrics Inc............................... 77,938
3,800 Handleman Co...................................... 24,700
3,700 Haverty Furniture Companies Inc................... 52,263
30,800 Herbalife International Inc....................... 804,650
31,000 Homebase Inc.*.................................... 279,000
8,700 Insurance Auto Auctions Inc.*..................... 108,750
7,600 Jos A Bank Clothiers Inc.*........................ 43,225
8,600 Krug International Corp.*......................... 48,375
16,100 Lands' End Inc.................................... 496,081
21,200 Longs Drug Stores Inc............................. 565,775
2,100 Mac Frugals Bargains Close-Outs Inc.*............. 64,050
13,800 Marsh Supermarkets Inc............................ 222,525
48,200 MicroAge Inc.*.................................... 1,397,800
4,300 Moore Medical Corp.*.............................. 44,075
14,600 Natural Wonders Inc.*............................. 96,725
5,700 Noland Co......................................... 136,444
16,600 Paul Harris Stores Inc.*.......................... 458,575
16,000 Perfumania Inc.*.................................. 60,000
3,700 Pharmhouse Corp.*................................. 24,050
1,974 Philip Services Corp.*............................ 36,026
5,800 Piercing Pagoda Inc.*............................. 184,150
800 Playboy Enterprises Inc., Class A*................ 10,650
10,000 Play By Play Toys & Novelties Inc.*............... 230,000
12,700 Programmer's Paradise Inc.*....................... 168,275
600 Rag Shops Inc.*................................... 1,875
5,874 Reeds Jewelers Inc.*.............................. 39,650
4,300 Republic Automotive Parts Inc.*................... 73,100
12,900 Rexel Inc.*....................................... 277,350
37,300 Ross Stores Inc................................... 1,272,863
15,600 Ruddick Corp...................................... 251,550
5,850 Schultz Sav-o Stores Inc.......................... 92,138
9,400 Seaway Food Town Inc.............................. 166,850
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
RETAIL\WHOLESALE (CONTINUED)
2,000 Security Capital Corp............................. $ 221,250
5,700 Shoe Carnival Inc.*............................... 51,300
12,300 Software Spectrum Inc.*........................... 219,863
7,300 Sound Advice Inc.*................................ 16,425
8,700 Speizman Industries Inc.*......................... 76,125
14,600 Sport Chalet Inc.*................................ 48,819
52,500 Stanhome Inc...................................... 1,552,031
28,400 Syms Corp.*....................................... 418,900
20,300 Syncor International Corp.*....................... 295,619
35,900 The Dress Barn Inc.*.............................. 861,600
20,600 Trans World Entertainment Corp.*.................. 561,350
6,700 Ultimate Electronics Inc.*........................ 32,663
1,294 United Stationers Inc............................. 48,849
6,400 Village Supermarket Inc., Class A*................ 56,000
6,000 Western Beef Inc.*................................ 57,750
2,100 Wolohan Lumber Co................................. 27,825
------------
25,599,292
------------
SERVICES--2.1%
24,300 ADVO Inc.*........................................ 443,475
1,000 ATC Group Services Inc.*.......................... 10,563
40,400 Automobile Protection Corp.*...................... 204,525
17,200 Chemed Corp....................................... 662,200
13,000 Children's Discovery*............................. 100,750
13,400 CPI Corp.......................................... 341,700
27,100 Datastream Systems Inc.*.......................... 1,013,709
17,000 Emcon Inc.*....................................... 89,250
1,300 Intelligent Systems Corp.*........................ 7,638
124,200 Intergraph Corp.*................................. 1,350,675
11,500 Liberty Technologies Inc.*........................ 44,563
8,610 Monro Muffler Brake Inc.*......................... 131,303
49,800 Regis Corp........................................ 1,257,450
17,600 Sotheby's Holdings Inc............................ 357,500
6,700 Spire Corp.*...................................... 105,525
18,100 URS Corp.*........................................ 309,963
------------
6,430,789
------------
SOAP--0.3%
19,100 Block Drug Company Inc., Class A.................. 912,025
------------
TELECOMMUNICATIONS--0.4%
39,300 Atlantic Tele-Network Inc.*....................... 510,900
15,300 CMC Industries Inc.*.............................. 167,344
4,400 Davel Communication Group*........................ 101,200
1,700 Hector Communications Corp.*...................... 16,150
1,100 Total-Tel USA Communications Inc.*................ 22,413
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
25,400 USLD Communications Corp.*........................ $ 509,588
------------
1,327,595
------------
TEXTILES--1.8%
6,500 Decorator Industries Inc.......................... 63,375
19,300 Dixie Group Inc.*................................. 260,550
7,800 Dyersburg Corp.................................... 93,600
34,300 Fieldcrest Cannon Inc.*........................... 1,183,350
1,900 G-III Apparel Group, Ltd.*........................ 11,400
1,500 Hallwood Group Inc.*.............................. 43,125
8,300 Hampton Industries*............................... 78,850
3,000 Jaclyn Inc.*...................................... 14,438
11,000 Kellwood Co....................................... 389,813
16,800 Maxwell Shoe Company Inc., Class A*............... 252,000
2,500 McRae Industries, Class A......................... 24,063
8,100 Mohawk Industries Inc.*........................... 221,738
14,800 Norton McNaughton Inc.*........................... 80,475
10,800 Oshkosh B'Gosh.................................... 282,150
12,800 Oxford Industries Inc............................. 433,600
10,800 Quaker Fabric Corp.*.............................. 244,350
9,800 Samsonite Corp.*.................................. 429,975
12,700 Springs Industries, Class A....................... 666,750
31,100 U.S. Home & Garden Inc.*.......................... 153,556
24,100 Vans Inc.*........................................ 385,600
600 Weyco Group Inc................................... 50,400
------------
5,363,158
------------
TRANSPORTATION--1.9%
8,500 B & H Ocean Carriers Ltd*......................... 32,938
7,600 Boyd Brothers Transportation*..................... 77,900
65,000 Consolidated Freightways*......................... 1,145,625
900 Florida East Coast Industries Inc................. 100,350
10,700 Intrav Inc........................................ 125,725
5,400 Mark VII Inc.*.................................... 157,950
5,400 MTL Inc.*......................................... 148,500
2,900 Oglebay Norton Co................................. 172,913
5,400 Old Dominion Freight Line*........................ 103,950
37,000 Roadway Express Inc............................... 1,012,875
77,800 Yellow Corp.*..................................... 2,533,363
------------
5,612,089
------------
TRAVEL/ENTERTAINMENT--4.4%
2,100 Ark Restaurants Corp.*............................ 23,100
1,300 Back Bay Restaurant Group*........................ 8,450
3,000 Benihana Inc.*.................................... 39,750
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT (CONTINUED)
18,100 Bertucci's Inc.*.................................. $ 114,256
15,200 BFX Hospitality Group Inc.*....................... 59,850
34,200 Bob Evans Farms Inc............................... 649,800
84,700 Brinker International Inc.*....................... 1,508,719
23,300 Budget Group Inc.*................................ 768,900
131,000 Buffets Inc.*..................................... 1,416,438
21,100 Carmike Cinemas Inc., Class A*.................... 633,000
10,700 Chart House Enterprises Inc.*..................... 85,600
8,200 CKE Restaurants Inc............................... 344,400
13,400 Cruise America Inc.*.............................. 107,200
14,200 Davco Restaurants*................................ 253,825
19,700 Doubletree Corp.*................................. 950,525
4,600 El Chico Restaurants*............................. 51,175
3,900 Elxsi Corp.*...................................... 39,975
294 Frischs Restaurants Inc........................... 4,006
12,500 Garden Fresh Restaurant Corp.*.................... 184,375
7,900 Inland Casino Corp.*.............................. 47,400
41,700 Lone Star Steakhouse & Saloon*.................... 870,488
24,600 Luby's Cafeteria Inc.............................. 511,988
1,300 Max & Erma's Restaurant Inc.*..................... 9,181
27,000 Movie Gallery*.................................... 108,000
10,000 Nathan's Famous Inc.*............................. 40,625
27,700 NPC International Inc.*........................... 349,713
18,300 O'Charleys Inc.*.................................. 315,675
21,500 Piccadilly Cafeterias Inc......................... 299,656
4,600 Quality Dining Inc.*.............................. 25,300
9,700 Quintel Entertainment Inc.*....................... 111,550
7,900 Rare Hospitality International Inc.*.............. 76,038
4,500 Reading Entertainment Inc.*....................... 56,250
900 Riviera Holdings Corp.*........................... 12,938
17,100 Ruby Tuesday Inc.*................................ 436,050
142,400 Ryan's Family Steak Houses Inc.*.................. 1,308,300
12,200 Sbarro Inc........................................ 341,600
44,400 Showbiz Pizza*.................................... 1,021,200
700 Skyline Chili Inc................................. 4,681
2,200 Sonesta International Hotels Corp................. 21,450
16,700 Spaghetti Warehouse Inc.*......................... 115,856
35,900 Taco Cabana Inc.*................................. 197,450
39,300 Video Update Inc., Class A*....................... 144,919
------------
13,669,652
------------
UTILITIES--1.1%
900 California Water Service Co....................... 44,494
3,400 Central Hudson Gas................................ 121,763
1,000 Connecticut Services Inc.......................... 28,375
</TABLE>
See accompanying notes to the financial statements.
13
<PAGE>
BARR ROSENBURG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ----------- ------------
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
1,800 Dominguez Services Corp........................... $ 46,350
15,700 Eastern Enterprises............................... 585,806
1,000 Essex County Gas Co............................... 28,750
500 Fluor Daniel/GTI Inc.*............................ 4,313
14,200 Harding Lawson Associates Group*.................. 138,450
17,400 NSC Corp.......................................... 36,975
6,600 Providence Energy Corp............................ 129,525
73,000 Public Service Company of New Mexico.............. 1,409,813
800 Roanoke Gas Co.................................... 14,400
3,700 SJW Corp.......................................... 207,663
8,600 Southern California Water Co...................... 192,425
3,300 Southwest Water Co................................ 44,550
8,100 Washington Gas Light Co........................... 207,563
------------
3,241,215
------------
TOTAL COMMON STOCKS (COST $243,532,520)--97.1%.... 294,259,404
------------
Shares Market Value
- ----------- ------------
RIGHTS--0.0%
1,900 Alpharma Inc. Rights (cost $0).................... $ 10,688
------------
Par
- -----------
SHORT TERM OBLIGATIONS--3.8%
$11,435,000 Repurchase Agreements with State Street Bank dated
9/30/97, due 10/1/97 at 5.00%, collateralized by
U.S. Treasury Bond due 5/15/17, market value
$11,664,750 (repurchase proceeds: $11,436,588)
(cost $11,435,000).............................. 11,435,000
------------
TOTAL INVESTMENTS (COST-- $254,967,520)--100.9%... 305,705,092
OTHER ASSETS LESS LIABILITIES--.9%................ (2,740,779)
------------
NET ASSETS--100.0%................................ $302,964,313
------------
------------
</TABLE>
- --------------------
* Non-income producing security
See accompanying notes to the financial statements.
14
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
In local currency, the TOPIX(1) returned 1.45% during the period April 1997
to September 1997. The market return was a favorable 13.18% during the first
three months of the period and an unfavorable -10.36% during the last three
months.
The Japanese equity market over the past 12 months has taken a dramatic
shift toward quality stocks. This "flight-to-quality" is a consequence of
investors' losing confidence in the equity market. We can see the trend most
clearly in the liquid large cap stocks with above average change in earnings
over the trailing 12 months. These stocks have higher price and earnings
momentum. This recent trend is interesting because historical evidence suggests
that quality stocks typically experience below average performance relative to
the TOPIX, as the fundamentals cannot support the high valuations. Being a
value-oriented manager, we cannot justify holding such stocks.
The key issue, at this point, is whether the price momentum trend will
continue into the future. We don't think so. We believe that investors will lose
patience with these stocks because their earnings growth will be unable to meet
the high expectations, which are reflected in the stock prices of such
companies.
- --------------
(1)The Tokyo Stock Price Index (TOPIX) is an unmanaged index of approximately
1,300 Japanese companies.
International investing involves increased risk and volatility.
15
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ------- ------------
COMMON STOCK--99.9%
AEROSPACE/DEFENSE--3.6%
7,000 Mitsubishi Heavy Industries, Ltd.................. $ 38,325
------------
AUTOMOTIVE--1.8%
2,000 Daihatsu Motor Co., Ltd........................... 8,846
3,000 Mazda Motor Corp.*................................ 10,635
------------
19,481
------------
AUTO PARTS--2.2%
2,000 Izumi Industries, Ltd............................. 5,964
2,000 NGK Spark Plug Co., Ltd........................... 17,891
------------
23,855
------------
BANKING--16.8%
3,000 The Bank of Tokyo--Mitsubishi, Ltd................ 57,152
1,000 The Industrial Bank of Japan, Ltd................. 12,424
2,000 Mitsui Trust & Banking Co., Ltd................... 9,956
2,000 The Miyazaki Bank, Ltd............................ 7,968
3,000 The Sakura Bank, Ltd.............................. 14,338
5,000 The Sanwa Bank, Ltd............................... 61,294
2,000 The Toyo Trust & Banking Co., Ltd................. 15,555
------------
178,687
------------
BUILDING MATERIALS--1.5%
2,000 Ishikawajima Construction Materials Co., Ltd...... 6,080
2,000 Shin Nikkei Co., Ltd.............................. 3,562
2,000 Tokuyama Corp..................................... 6,709
------------
16,351
------------
CHEMICALS--1.5%
2,000 Asahi Chemical Industries Co., Ltd................ 10,089
2,000 Mitsui Petrochemical Industries, Ltd.............. 5,864
------------
15,953
------------
CONSTRUCTION--1.2%
2,000 Azel Corp......................................... 6,013
2,000 Maeda Corp........................................ 7,173
------------
13,186
------------
ELECTRICAL EQUIPMENT--10.3%
3,000 Fuji Electric Co., Ltd............................ 9,095
1,000 Furukawa Electric Co., Ltd........................ 5,011
6,000 Hitachi, Ltd...................................... 52,183
4,000 Mitsubishi Electric Corp.......................... 15,738
2,000 Nippon Chemi-Con Corp............................. 7,587
4,000 Toshiba Corp...................................... 20,277
------------
109,891
------------
Shares Market Value
- ------- ------------
COMMON STOCK (CONTINUED)
ELECTRONICS--22.0%
2,000 Alpine Electronics, Inc........................... $ 21,536
3,000 Alps Electric Co., Ltd............................ 33,794
4,000 Clarion Co., Ltd.*................................ 13,915
3,000 Hokuriku Electric Power Co........................ 6,709
5,000 Matsushita Electric Industrial Co., Ltd........... 90,284
1,000 NEC Corp.......................................... 12,176
1,000 Nippon Mic Co., Ltd............................... 8,035
2,000 New Japan Radio Co., Ltd.......................... 12,424
1,000 Oki Electric Industry Co., Ltd.................... 3,073
2,000 Tamura Corp....................................... 9,691
2,000 Victor Co. of Japan, Ltd.......................... 23,027
------------
234,664
------------
ENTERTAINMENT--0.4%
200 Daiichi Kosho Co., Ltd............................ 3,893
------------
FINANCIAL SERVICES--1.5%
1,000 First Credit Corp................................. 3,230
1,000 The Nomura Securities Co., Ltd.................... 13,004
------------
16,234
------------
HOLDING COMPANY--5.4%
3,000 Itochu Corp....................................... 10,387
4,000 Marubeni Corp..................................... 13,253
3,000 Mitsui & Co., Ltd................................. 23,582
3,000 Nissho Iwai Corp.................................. 10,337
------------
57,559
------------
INSURANCE--1.6%
3,000 Mitsui Marine & Fire Insurance Co., Ltd........... 17,394
------------
MACHINERY & EQUIPMENT--2.5%
2,000 Amada Sonoike Co., Ltd............................ 6,295
2,000 Furukawa Co., Ltd................................. 4,324
1,000 Yamaha Corp....................................... 15,572
------------
26,191
------------
METALS--0.8%
3,000 Mitsubishi Materials Corp......................... 8,995
------------
MINING--0.6%
2,000 Dowa Mining Co., Ltd.............................. 6,212
------------
MISCELLANEOUS MATERIALS & COMMODITIES--2.8%
3,000 Asahi Glass Co., Ltd.............................. 23,308
3,000 Nippon Sheet Glass Co., Ltd....................... 6,312
------------
29,620
------------
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market Value
- ------- ------------
COMMON STOCK (CONTINUED)
OIL--0.6%
4,000 Japan Energy Corp................................. $ 6,527
------------
PHARMACEUTICALS--2.9%
1,000 Chugai Pharmaceutical Co., Ltd.................... 8,614
1,000 Dai-Ichi Pharmaceutical Co., Ltd.................. 14,744
1,000 Hisamitsu Pharmaceutical Co., Inc................. 7,455
------------
30,813
------------
PHOTOGRAPHY SUPPLIES--4.9%
1,000 Fuji Photo Film Co., Ltd.......................... 41,249
2,000 Konica Corp....................................... 10,668
------------
51,917
------------
REAL ESTATE ASSETS--1.9%
2,000 Chisan-Tokan Co., Ltd............................. 1,988
1,000 Recruit Cosmos Co., Ltd........................... 2,319
2,000 Sumitomo Realty & Development Co., Ltd............ 15,820
------------
20,127
------------
RETAIL/DEPARTMENT STORE--1.0%
2,000 Matsuzakaya Co., Ltd.............................. 10,437
------------
STEEL--0.9%
2,000 Chubu Steel Plate Co., Ltd........................ 5,467
3,000 NKK Corp.......................................... 4,026
------------
9,493
------------
TELECOMMUNICATIONS--2.6%
3 Nippon Telegraph and Telephone Corp............... 27,582
------------
Shares Market Value
- ------- ------------
COMMON STOCK (CONTINUED)
TELECOMMUNICATION EQUIPMENT--3.0%
1,000 Matsushita Communication Industrial Co., Ltd...... $ 31,889
------------
TEXTILES--2.5%
3,000 Kanebo, Ltd.*..................................... 3,404
2,000 Nisshinbo Industries, Inc......................... 13,236
3,000 Teijin Ltd........................................ 9,443
------------
26,083
------------
TIRE & RUBBER--0.5%
1,000 Sumitomo Rubber Industries, Ltd................... 5,674
------------
TRANSPORTATION--0.9%
1,000 Seino Transportation Co., Ltd..................... 9,028
------------
UTILITIES--1.5%
1,000 Kyushu Electric Power Co., Ltd.................... 16,483
------------
WHOLESALE/DISTRIBUTION--0.2%
2,000 Toshoku, Ltd...................................... 1,806
------------
TOTAL INVESTMENTS (COST $1,289,102)
--99.9%......................................... 1,064,350
OTHER ASSETS LESS LIABILITIES--0.1%............... 1,217
------------
NET ASSETS--100.0%................................ $ 1,065,567
------------
------------
</TABLE>
- ------------------
* Non-income producing security
See accompanying notes to the financial statements.
17
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
During the volatile climate of April 1997 through September 1997, the
Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRIexUS)(1), the benchmark for the Fund, lost 2.38%. During the same period,
international large stocks, as measured by the Morgan Stanley Capital
International Europe, Australasia and Far East Index (EAFE), gained 12.32%.
MARKET COMMENTARY
The currency crisis in Southeast Asia, the continued strength of the U.S.
dollar and the unusually wide performance spread between large and small stocks
have been the predominant themes in international markets lately.
The devaluation of the Thai Baht triggered a loss of confidence in the Asian
markets, resulting in an exodus in both domestic and foreign capital. The lack
of proper supervision and regulation in the banking system was blamed for
causing this debacle. From April 1997 though September 1997, the Pacific ex
Japan region suffered an 18% drop in value. Malaysia experienced the sharpest
decline of 51%. Singapore had a loss of 11%. The weakness in world commodity
prices and the fear that the Asian currency crisis might spread south caused the
Australian small stock market to lose 24% over the same period. Hong Kong was
the only developed Asian market that posted positive gains for the last six
months. On July 1, 1997, Hong Kong officially ceased to be a British colony and
is now part of China. The transition was smooth. Despite the political risk and
the neighboring currency and market crises, the peg of the Hong Kong dollar to
the U.S. dollar remained intact, and the market went up by 26% over this period.
Japan was plagued by the continuous weakness in its domestic economy, and
investors' confidence remained low. This resulted in a strong "flight to
quality" sentiment during the past six months as investors reallocated their
investments from smaller issues to larger stocks. From April 1997 to September
1997, small stocks in Japan had a return of -18%(2) while large Japanese stocks,
as measured by the Morgan Stanley Capital International Index, returned a gain
of 8%. This unusually wide performance spread between small and large stocks
will likely narrow when investors start to regain confidence in the overall
Japanese market.
In Europe, the region as a whole reaped a 5.2% gain from April 1997 to
September 1997. Corporations continued to benefit from the low interest rates
and the strong U.S. dollar. European nations were striving to meet the EMU
criteria. Spain and Italy have made substantial progress in controlling their
domestic deficits. This helped small stocks in both markets to gain a 22%(2)
return over the past six months. In France, small stocks were penalized and lost
8%(2), as investors became cautious following the results of the French election
in May. Throughout Europe, small stocks have been underperforming large stocks.
The strong U.S. dollar helped non-U.S. products to become relatively cheaper and
more attractive. This improved the sales of the export-oriented companies, which
translated into good stock performance. Since export-oriented companies usually
tend to be large capitalization firms, large stocks received a more immediate
benefit from the strong U.S. dollar than small stocks. As domestic sentiment
continues to improve across Europe, domestic consumption should pick up, and
small stocks may reap the benefit.
- --------------
(1)The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S. is
an unmanaged index of non-U.S. small capitalization companies with market
capitalization up to $2 billion. The index 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.
(2)Based on the individual country indices of the CRIexUS.
18
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES (CONTINUED)
- --------------------------------------------------------------------------------
Canada has been enjoying a healthy and growing economy. The government has
been very successful in controlling inflation. The investment climate has been
one of the best in years. Value stocks, in particular, have been rewarded. The
small stocks market continued its rally, delivering a 24%(2) return over the
past six months.
The U.S. dollar strengthened against most other currencies from April 1997
through September 1997. The Japanese Yen was an exception; it appreciated 3%
against the U.S. dollar. Among the 21 developed markets, the Malaysian Ringgit
suffered the largest depreciation against the U.S. dollar by losing 24% over the
period.
PORTFOLIO REPORT
Our portfolio closely tracked the country and industry sector exposures of
the benchmark with diversification across 21 markets and over 500 holdings. As
of September 30, 1997, the top 10 holdings accounted for about 10% of the total
portfolio. Approximately 64% of the holdings were invested in Europe.
Retail/Wholesale, Metals and Machinery Products together represented 20% of the
portfolio. The price-to-earnings ratio of the portfolio was 21, and the median
market capitalization of the holdings was approximately $320 million.
One of our largest holdings, OCP Construcciones, a Spanish building and
construction company, had a 200% return during the period. Another one of our
best performing holdings, Elec & Eltec International of Singapore, which is
engaged primarily in the design, development and manufacturing of printed
circuit boards, had close to an 88% return. One of our life insurance holdings,
the London Insurance Group in Canada, went up almost 80%.
OUTLOOK
We remain optimistic about the long-term prospects of international small
stock investing. Globally, performance of small stocks has been lagging that of
large stocks lately, but we believe such a large performance differential is not
sustainable. We at Rosenberg strive to provide investors with added reward and
diversification to their portfolios through our disciplined and systematic
approach to investing. The International Small Capitalization Fund offers
investors the opportunity to take advantage of the potential growth and added
diversification presented by the international small stock market.
- --------------
International investing involves increased risk and volatility. Small capital
funds typically carry additional risks since smaller companies generally have
experienced a greater degree of market volatility than average.
19
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS--96.3%
AUSTRALIA--2.6%
26,701 Aberfoyle Ltd. (Metals)........................... $ 73,474
8,000 Adelaide Brighton Ltd. (Construction Materials)... 10,978
1,000 Atkins Carlyle Ltd. (Retail / Wholesale).......... 3,512
13,500 Australia Oil and Gas Corp. Ltd. (Oil / Gas
Exploration).................................... 22,680
1,100 AWA Ltd.* (Electronics)........................... 629
8,200 Bougainville Copper Ltd.* (Metals)................ 2,613
14,600 Bridgestone Australia Ltd. (Chemicals)............ 33,832
3,400 Country Road Ltd. (Textiles)...................... 3,816
4,000 Faulding (F.H.) & Co. (Pharmaceutical)............ 23,896
1,300 Finemore Holdings Ltd. (Transportation)........... 2,902
13,623 George Weston Foods Ltd. (Food)................... 95,689
18,900 GWA International Ltd. (Manufacturing)............ 41,743
36,640 Hardie (James) Industries Ltd. (Homebuilders)..... 135,395
600 Leighton Holdings Ltd. (Homebuilders)............. 3,172
15,400 Metal Manufactures Ltd. (Electronics)............. 30,076
5,800 Mount Leyshon Gold Mines Ltd. (Real Estate
Assets)......................................... 6,510
11,400 Normandy Mining Ltd. (Real Estate Assets)......... 14,446
4,100 OPSM Protector Ltd. (Electronics)................. 12,084
51,600 Orbital Engine Corp. Ltd.* (Financial Services)... 31,013
3,900 Pacific Magazines and Printing Ltd. (Printing /
Publishing)..................................... 9,461
6,900 Permanent Trustee Co. Ltd. (Financial Services)... 26,731
1,200 Reece Australia Ltd. (Retail / Wholesale)......... 8,385
1,400 RGC Ltd. (Minerals)............................... 3,889
7,850 Rothmans Holdings Ltd. (Tobacco).................. 44,282
8,900 Rural Press Ltd. (Publishing)..................... 29,131
26,000 Spicers Paper Ltd. (Forest Products & Paper)...... 43,115
1,000 Sunraysia Television Ltd. (Multimedia)............ 6,517
105 Telecasters North Queensland Ltd. (Multimedia).... 559
700 Villa World Ltd. (Real Estate Assets)............. 694
-----------
Total Australia................................... 721,224
-----------
BELGIUM--0.3%
40 BQE National Belgique (Banking)................... 58,171
350 Cobepa, Cie Benelux Paribas SA (Financial
Services)....................................... 15,174
-----------
Total Belgium..................................... 73,345
-----------
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
CANADA--6.6%
2,600 Acklands Ltd.* (Retail / Wholesale)............... $ 33,375
400 Agra Industries Ltd. (Information Services)....... 3,327
900 Agrium Inc. (Retail / Wholesale).................. 10,805
2,200 Alliance Forest Products Inc.* (Forest Products &
Paper).......................................... 52,265
2,400 Anderson Exploration Ltd.* (Oil / Gas
Exploration).................................... 29,853
2,300 Atco Ltd.--Class I (Utilities).................... 52,146
600 BC Gas Inc. (Utilities)........................... 10,870
500 Bruncor Inc. (Communications)..................... 13,018
300 Cabre Exploration Ltd.* (Oil / Gas Exploration)... 5,804
6,000 Cambior Inc. (Real Estate Assets)................. 67,474
2,800 Campbell Resources Inc.* (Real Estate Assets)..... 1,984
4,600 Canadian Tire Corp.--Class A (Rubber / Tires)..... 100,302
1,000 Canfor Corp. (Forest Products & Paper)............ 9,655
5,900 Cascades Inc. (Forest Products & Paper)........... 43,522
1,700 CCL Industries Inc.--Class B (Soap)............... 20,470
1,100 Chieftain International Inc.* (Oil / Gas
Exploration).................................... 29,434
2,000 C-MAC Industries Inc.* (Electronics).............. 30,157
800 Cognos Inc.* (Information Services)............... 18,919
2,900 Cott Corp. (Beverages)............................ 29,467
6,600 Dominion Textile Inc. (Textiles).................. 58,470
1,700 Domtar Inc. (Forest Products & Paper)............. 14,200
1,300 Dundee BanCorp. Inc.* (Financial Services)........ 38,217
2,000 Emco Ltd.* (Construction Materials)............... 22,202
8,200 Encal Energy Ltd.* (Oil / Gas Exploration)........ 31,726
400 Ensign Resource Service Group Inc. (Oil / Gas
Exploration).................................... 13,596
1,400 Euro-Nevada Mining Corp. (Real Estate Assets)..... 24,552
1,300 Fahnestock Viner Holdings Inc.--Class A (Financial
Services)....................................... 24,444
500 Fortis Inc. (Utilities)........................... 13,343
1,300 Franco Nevada Mining Corp. (Real Estate Assets)... 30,602
2,050 Gulf Canada Resources Ltd.* (Oil / Gas
Exploration).................................... 18,606
1,800 Inmet Mining Corp.* (Real Estate Assets).......... 9,047
4,100 Intrawest Corp. (Real Estate Assets).............. 75,165
500 Jannock Ltd. (Metals)............................. 7,467
900 Kinross Gold Corp.* (Real Estate Assets).......... 4,979
</TABLE>
See accompanying notes to the financial statements.
20
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
2,400 Laurentian Bank Of Canada (Banking)............... $ 51,376
1,100 Le Groupe Videotron ltee (Communications)......... 7,955
600 London Insurance Group Inc. (Insurance)........... 14,710
1,600 Maritime Telegraph & Telephone Co. Inc.
(Communications)................................ 34,251
3,600 Midland Walwyn Inc. (Financial Services).......... 56,236
4,700 Miramar Mining Corp.* (Real Estate Assets)........ 18,525
1,700 Molson Co. Ltd. (Brewery)......................... 31,043
700 Newtel Enterprises Ltd. (Communications).......... 13,947
3,700 Noranda Forest Inc. (Construction Materials)...... 25,153
1,000 Northstar Energy Corp.* (Oil Exploration &
Production)..................................... 8,497
300 Pacific Forest Products Ltd.* (Forest Products &
Paper).......................................... 6,238
900 Penn West Petroleum Ltd.* (Oil / Gas
Exploration).................................... 12,692
7,200 Poco Petroleum Ltd.* (Oil / Gas Exploration)...... 70,815
1,000 Precision Drilling Corp.* (Oil / Gas
Exploration).................................... 31,170
700 Quebec-Telephone (Communications)................. 13,238
2,800 Sears Canada Inc. (Retail / Wholesale)............ 49,206
3,200 Shaw Communications Inc.--Class B
(Communications)................................ 29,622
1,000 SNC Group Inc. (Aerospace / Defense).............. 10,812
1,000 Southam Inc. (Multimedia)......................... 19,526
2,400 St. Laurent Paper Board Inc.* (Forest Products &
Paper).......................................... 39,920
9,000 Stelco Inc. (Metals).............................. 70,945
1,700 Teleglobe Inc. (Information Services)............. 60,734
1,800 Toromont Industries Ltd. (Machinery &
Equipment)...................................... 44,259
400 Torstar Corp.--Class B (Multimedia)............... 13,871
500 Ulster Petroleums Ltd.* (Oil / Gas Exploration)... 5,333
2,000 United Dominion Industries Ltd. (Metals).......... 56,409
200 West Fraser Timber Co. Ltd. (Forest Products &
Paper).......................................... 6,653
4,800 Westburne Inc.* (Wholesale / Distribution)........ 58,145
-----------
Total Canada...................................... 1,810,744
-----------
DENMARK--2.3%
500 Aalborg Portland Holding A/S (Construction
Materials)...................................... 61,712
1,000 Foriskringsselskabet Codan A/S (Insurance)........ 137,551
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
DENMARK (CONTINUED)
2,600 Jyske Bank-Reg A/S (Banking)...................... $ 243,964
400 Lauritzen (J.) Holding A/S* (Transportation)...... 41,042
3,000 Monberg & Thorsen A/S (Retail / Wholesale)........ 140,525
-----------
Total Denmark..................................... 624,794
-----------
FINLAND--2.7%
5,400 Huhtamaki (Food).................................. 212,468
3,900 Instrumentarium Group (Medical Products).......... 132,793
11,400 Kesko OY (Retail / Wholesale)..................... 160,657
18,400 Mesta Serla--B Shares (Forest Products & Paper)... 169,506
5,800 Rautaruukki OY (Metals)........................... 62,537
-----------
Total Finland..................................... 737,961
-----------
FRANCE--7.9%
2,000 Bertrand Faure SA (Household Products)............ 130,777
380 Bongrain SA (Food)................................ 142,207
2,975 Cie des Signaux SA (Information Services)......... 112,587
1,150 Cie Generale de Geophysique* (Oil / Gas
Exploration).................................... 157,024
480 Cie Plastic-Omnium SA (Plastics).................. 46,930
2,000 Club Mediterranee SA* (Hotels / Motels)........... 165,874
1,433 Compagnie Fives-Lillie* (Metals).................. 100,973
4,350 De Dietrich et Compagnie SA (Transportation)...... 191,387
2,000 Dollfus-Mieg & Cie SA* (Textiles)................. 31,927
484 Elf Gabon (Oil / Gas Exploration)................. 112,510
10 Europe 1 Communication (Information Services)..... 2,200
550 Gascogne SA (Forest Products & Paper)............. 52,476
708 Generali France Assurances* (Insurance)........... 147,515
3,600 Groupe GTM (Engineering).......................... 239,710
90 Immobanque (Real Estate Management)............... 9,558
155 Manitou (Metals).................................. 19,988
2,397 Publicis (Multimedia)............................. 226,276
2,675 Societe Financiere Interbail SA (Real Estate
Assets)......................................... 81,167
196 Sogeparc SA* (Real Estate Management)............. 12,175
2,190 Sommer-Allibert (Plastics)........................ 83,063
200 Taittinger (Hotels / Motels)...................... 106,200
-----------
Total France...................................... 2,172,524
-----------
GERMANY--8.9%
40 Aachener & Meunch Lebensvers (Insurance).......... 17,099
</TABLE>
See accompanying notes to the financial statements.
21
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
5,000 AGIV AG* (Machinery & Equipment).................. $ 121,448
5,560 Andreae-Noris Zahn AG (Pharmaceutical)............ 203,048
270 Baywa AG (Retail / Wholesale)..................... 53,505
660 Binding Brauerei AG (Brewery)..................... 177,501
480 DBV Holding AG (Insurance)........................ 176,108
330 Dyckerhoff AG (Construction Materials)............ 117,711
4,000 Fag Kugelfischer (Metals)......................... 73,831
890 Fresenius AG (Medical Products)................... 150,921
670 Holsten-Brauerei AG (Brewery)..................... 144,532
3,930 Kloeckner-Werke AG* (Metal Fabrication)........... 257,670
38 Koelnisch Rueckversicherungs (Insurance).......... 36,576
560 KSB AG* (Machinery & Equipment)................... 163,924
690 Oberland Glas AG (Construction Materials)......... 111,342
4,000 Rheinmetall Berlin (Metals)....................... 86,514
2,040 Sixt AG (Auto Rental)............................. 195,200
190 Strabag AG* (Homebuilders)........................ 15,061
330 Ueberlandwerke Unterfranken AG (Utilities)........ 56,053
920 Villeroy & Boch AG* (Appliances).................. 156,269
800 Walter Bau AG (WTB) (Homebuilders)................ 115,503
-----------
Total Germany..................................... 2,429,816
-----------
HONG KONG--3.5%
94,000 Associated International Hotels (Hotels /
Motels)......................................... 63,165
89,257 CDL Hotels International (Hotels / Motels)........ 32,296
36,000 Chinney Investment (Homebuilders)................. 11,630
224,000 Chuang's Consortium International Ltd. (Real
Estate Assets).................................. 52,392
720 Concord Land Development Co. Ltd. (Real Estate
Assets)......................................... 949
2,000 Harbour Center Development (Hotels / Motels)...... 3,127
140,160 HKR International Ltd. (Real Estate Assets)....... 165,725
8,000 Jardine International Motor (Retail /
Wholesale)...................................... 8,632
70,000 Lai Sun Garmet International (Real Estate
Assets)......................................... 85,481
66,000 Lam Soon Hong Kong* (Metals)...................... 34,115
6,000 Lane Crawford International (Real Estate
Assets)......................................... 8,141
170,000 Laws International Holdings Ltd. (Textiles)....... 34,710
10,000 Lee Hing Development (Financial Services)......... 4,103
55,000 Mingly Corp. (Real Estate Assets)................. 17,058
6,000 New Asia Realty & Trust Co. (Real Estate
Assets)......................................... 21,399
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
36,000 Pacific Concord Holdings (Retail / Wholesale)..... $ 20,585
16,000 Peregrine Investment Holdings Ltd. (Financial
Services)....................................... 27,189
20,000 Playmates Toy Holdings (Household Products)....... 3,205
4,000 Pokfulam Development Co. (Real Estate Assets)..... 2,636
22,000 Prestige Property Holdings (Real Estate Assets)... 4,122
24,000 Realty Development Corp. (Real Estate Assets)..... 89,009
94,000 Tai Cheung Holdings Ltd. (Real Estate Assets)..... 66,201
16,000 Wing Lung Bank Ltd. (Banking)..................... 94,902
52,000 Wing On Co. International Ltd. (Real Estate
Assets)......................................... 56,445
23,600 Yue Yuen Industrial Holdings (Shoes / Leather).... 60,689
-----------
Total Hong Kong................................... 967,906
-----------
ITALY--4.1%
3,730 Avir Finanziaria SpA* (Household Products)........ 43,230
32,000 BCA di Legnano (Banking).......................... 131,661
15,000 Banca Popolare di Milano (Banking)................ 87,793
127,000 Banca Toscana (Banking)........................... 273,775
44,860 Comau Finanziaria SpA (Metals).................... 132,450
304,000 Finmeccanica SpA* (Aerospace / Defense)........... 202,414
5,000 Italmobiliare SpA (Holding Companies)............. 88,807
348,100 SMI SpA* (Financial Services)..................... 148,265
-----------
Total Italy....................................... 1,108,395
-----------
JAPAN--16.2%
9,000 Aichi Machine Industry Co. Ltd. (Automobiles)..... 34,888
7,000 Aida Engineering Ltd. (Metals).................... 34,730
4,000 Amada Metrecs Co. Ltd. (Machinery & Equipment).... 30,150
10,000 Amada Sonoike Co. Ltd. (Metals)................... 31,475
1,000 Aseed Co. Ltd. (Retail / Wholesale)............... 6,370
2,000 Asti Corp. (Electronics).......................... 9,940
11,000 Azel Corp. (Homebuilders)......................... 33,074
600 Bank Of Iwate Ltd. (Banking)...................... 34,788
9,000 Biwako Bank Ltd. (Banking)........................ 34,291
4,000 Bunka Shutter Co. Ltd. (Construction Materials)... 14,346
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
3,000 Canon Components Inc. (Electronics)............... $ 18,140
900 Capcom Co. Ltd. (Software)........................ 14,313
15,000 Central Glass Co. (Construction Materials)........ 31,807
4,000 Chain Store Okuwa (Retail / Wholesale)............ 37,108
16,000 Chisan-Tokan Co. Ltd. (Real Estate Assets)........ 15,903
9,000 Chubu Steel Plate (Metals)........................ 24,600
2,000 Chukyo Coca-Cola Bottling Co. Ltd. (Beverages).... 15,738
2,000 Chuo Bussan Corp. (Retail / Wholesale)............ 8,117
11,000 Clarion Co. Ltd.* (Retail / Wholesale)............ 38,267
4,000 CMK Corp. (Electronics)........................... 47,378
2,000 Coco's Japan Co. Ltd. (Hotels / Motels)........... 10,685
12,000 Daihen Corp. (Metals)............................. 26,439
22,000 Dai-Ichi Katai Denki Co. Ltd.* (Retail /
Wholesale)...................................... 20,956
1,900 Daiichi Kosho Co. Ltd. (Hotels / Motels).......... 36,983
3,000 Daiichi Kyoken Co. (Information Services)......... 13,741
5,000 Daishinku Corp. (Electronics)..................... 29,653
3,000 Daisyo Corp. (Hotels / Motels).................... 18,985
2,000 Denkyosha Co. (Retail / Wholesale)................ 11,845
8,000 Dia Kensetsu Co. Ltd. (Real Estate Assets)........ 33,132
6,000 Eiden Sakakiya Co. Ltd. (Retail / Wholesale)...... 36,528
2,000 Enix Corp. (Multimedia)........................... 39,758
4,000 Exedy Corp. (Automobiles)......................... 36,114
11,000 First Credit Corp. (Banking)...................... 35,534
9,000 France Bed Co. Ltd. (Home Furnishings)............ 30,639
7,000 Fuji Ltd. (Real Estate Assets).................... 18,322
3,000 Fuji Denki Reiki Co. Ltd. (Retail / Wholesale).... 13,617
12,000 Fuji Seiko Ltd.* (Machinery & Equipment).......... 38,267
3,000 Fujicco Co. (Food)................................ 27,334
2,000 Fujitsu Kiden Ltd. (Electronics).................. 12,656
2,000 Fukuda Denshi Co. (Electronics)................... 29,819
2,000 Furuno Electric Co. (Electronics)................. 7,620
9,000 Godo Steel Ltd. (Metals).......................... 14,984
5,000 Hankyu Realty (Real Estate Assets)................ 31,475
5,500 Haruyama Trading Co. (Retail / Wholesale)......... 37,812
3,000 Higashi Nihon House Co. (Construction
Materials)...................................... 21,867
4,000 Hisamitsu Pharmaceutical (Pharmaceutical)......... 29,819
4,000 Hitachi Information Systems Ltd. (Information
Services)....................................... 43,071
2,000 Hitachi Plant Engineering & Construction Co.
(Homebuilders).................................. 5,848
3,000 Hokkai Can Co. (Metals)........................... 9,815
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
14,000 Hokuriku Electric Industry (Electronics).......... $ 31,310
5,000 Hosoda Corp. (Real Estate Assets)................. 25,677
2,000 Hotel New Hankyu (Hotels / Motels)................ 6,013
5,000 Idec Izumi Corp. (Electronics).................... 29,984
1,000 Inaba Denkisangyo Co. (Wire & Cable).............. 10,602
4,000 Intec Inc. (Information Services)................. 39,095
12,000 Ishizuka Glass Co. (Construction Materials)....... 21,867
4,000 Japan Engineering Consultants (Engineering)....... 10,271
3,000 Japan Industrial Land Development Co.
(Homebuilders).................................. 14,164
5,000 Japan Logistic Systems Corp. (Transportation)..... 16,566
1,000 Jois Co. Ltd. (Retail / Wholesale)................ 7,869
5,000 Juel Veriteohkubo (Retail / Wholesale)............ 17,601
1,000 Kagawa Bank (Banking)............................. 6,411
8,000 Kaken Pharmaceutical (Pharmaceutical)............. 27,632
1,100 Kaneko Seeds Co. Ltd. (Food)...................... 8,656
5,000 Kansaidenpa Corp. (Retail / Wholesale)............ 34,126
4,000 Kansei Corp. (Automobiles)........................ 24,683
7,000 Kanseki Co. Ltd. (Retail / Wholesale)............. 16,814
6,000 Kasumi Co. Ltd. (Retail / Wholesale).............. 29,322
3,000 Katakura Industries (Real Estate Assets).......... 16,177
6,000 Kato Works Co. Ltd. (Metals)...................... 13,021
7,000 Kimmon Mfg Co. Ltd. (Electronics)................. 12,930
9,000 King Co. Ltd. (Textiles).......................... 17,593
4,000 Kinseki (Electronics)............................. 35,120
4,000 Koken Ltd. (Construction Materials)............... 27,499
3,000 Komatsu Forklift Co. Ltd. (Machinery &
Equipment)...................................... 8,772
2,200 Kuramoto Seisakusho Co. Ltd. (Manufacturing)...... 14,578
5,000 Kyosei Rentemu Co. Ltd. (Equipment Leasing)....... 29,570
4,000 Laox Co. Ltd. (Retail / Wholesale)................ 31,840
5,000 Life Co. Ltd. (Financial Services)................ 8,366
4,000 Life Corp. (Retail / Wholesale)................... 20,873
5,000 Maeda Seiskusho (Metals).......................... 28,949
13,000 Marudai Food Co. Ltd.* (Food)..................... 33,919
6,000 Matsuyandenki Co. Ltd. (Retail / Wholesale)....... 35,534
2,000 Metalart Corp. (Metals)........................... 3,313
8,000 Mikuni Corp. (Automobiles)........................ 19,879
10,000 Mitani Sekisan Co. (Construction Materials)....... 33,960
4,000 Mitsuba Corp. (Automobiles)....................... 25,511
4,000 Mitsui Real Estate Sales Co. (Commercial
Services)....................................... 36,445
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
9,000 Miyazaki Bank (Banking)........................... $ 35,857
1,000 Moriya Corp. (Homebuilders)....................... 4,473
1,000 Nagano Tokyu Department Store (Retail /
Wholesale)...................................... 6,734
2,000 Nakamichi Leasing Co. (Banking)................... 11,430
7,000 Nakayama Steel Works Ltd. (Metals)................ 15,539
3,000 Nanbu Plastics Co. Ltd. (Plastics)................ 19,134
5,000 Nifco Inc. (Chemicals)............................ 35,161
2,500 Nihon Dempa Kogyo Co. (Electronics)............... 27,127
2,000 Nihon Electric Wire & Cable (Metals).............. 12,921
6,000 Nikken Chemicals Co. Ltd. (Pharmaceutical)........ 22,364
6,000 Nippon Avionics* (Electronics).................... 20,128
9,000 Nippon Chemi-Con Corp. (Electronics).............. 34,142
12,000 Nippon Columbia Co. Ltd.* (Multimedia)............ 25,942
13,000 Nippon Flour Mills (Food)......................... 32,411
4,000 Nippon Konpo Unyu Soko (Transportation)........... 26,472
13,000 Nippon Metal Industry (Metals).................... 20,567
1,000 Nippon Mic (Software)............................. 8,034
6,000 Nippon Shinyaku Co. Ltd. (Pharmaceutical)......... 36,776
5,000 Nippon Steel Chemical Co. Ltd.* (Chemicals)....... 8,159
3,000 Nissei Plastic Industrial Co. (Metals)............ 26,837
5,000 Nissho Corporation (Electronics).................. 38,723
7,000 Nittetsu Mining (Metals).......................... 38,847
1,000 North Pacific Bank (Banking)...................... 4,224
2,000 Ohmoto Gumi Co. Ltd. (Homebuilders)............... 13,418
10,000 Ohtsu Tire & Rubber Co. (Rubber / Tires).......... 19,879
8,000 Okabe Co. (Construction Materials)................ 43,071
12,000 Okamoto Machine Tool Works Ltd. (Metals).......... 27,831
3,000 Osaka Organic Chemical Industry Ltd.
(Chemicals)..................................... 24,849
5,000 Parco (Retail / Wholesale)........................ 26,878
5,000 Recruit Cosmos Co. (Real Estate Assets)........... 11,596
12,000 Renown Look Inc. (Textiles)....................... 19,581
3,000 Riken Keiki Co. Ltd. (Electronics)................ 12,424
2,000 Royal Hotel Ltd. (Hotels / Motels)................ 9,111
7,000 Sakai Chemical Industry Co. (Chemicals)........... 17,742
5,000 Sankyo Seiki Manufacturing Co. Ltd.*
(Electronics)................................... 33,132
3,000 Sanseido Co. Ltd. (Retail / Wholesale)............ 20,376
2,000 Sanyo Coca-Cola Bottling (Beverages).............. 24,021
20,000 Sanyo Special Steel Co. (Metals).................. 32,469
3,000 Sawai Pharmaceutical Co. Ltd. (Pharmaceutical).... 21,867
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
12,000 Seibu Electric Industrial (Telecommunications).... $ 49,698
9,000 Seibu Electric & Machinery (Metals)............... 30,117
5,000 Senko Corp. (Transportation)...................... 15,779
5,000 Shibusawa Warehouse (Transportation).............. 19,051
14,000 Shin Nikkei Co. Ltd. (Construction Materials)..... 24,932
5,000 Shindengen Electric Manufacturing (Electronics)... 35,824
2,000 Shingakukai Co. (Information Services)............ 7,256
3,000 Shinki Co. Ltd. (Financial Services).............. 60,873
14,000 Shinko Kogyo Co. Ltd. (Metals).................... 48,704
12,000 Showa Electric Wire & Cable (Metals).............. 25,048
2,000 Showa Manufacturing Co. (Metals).................. 8,101
4,000 Sintokogio (Metals)............................... 21,536
3,000 Software Research Associates Inc. (Information
Services)....................................... 21,569
5,000 Sogo Co. Ltd.* (Retail / Wholesale)............... 10,147
10,000 Sogo Denki (Retail / Wholesale)................... 13,915
8,000 Sotetsu Rosen Co. Ltd. (Retail / Wholesale)....... 44,198
4,000 SPK Corp. (Automobiles)........................... 32,436
4,000 Starts Corp. (Real Estate Assets)................. 33,132
25,000 Sumitomo Coal Mining Co. Ltd. (Diversified)....... 46,799
4,000 Sumitomo Precision Products (Metals).............. 17,063
9,000 Sumitomo Warehouse (Real Estate Assets)........... 41,299
3,000 Sumitomo Wiring Systems Ltd. (Automobiles)........ 22,861
3,000 Sun Wave Corp. (Construction Materials)........... 15,903
10,000 Sunstar Inc. (Medical Supplies)................... 45,059
6,000 Suzuden Corp. (Electronics)....................... 20,376
14,000 Takara (Toys)..................................... 47,544
3,000 Taki Chemical Co. (Chemicals)..................... 9,343
12,000 Takiron Co. Ltd. (Construction Materials)......... 31,707
7,000 Tamura Corp. (Electronics)........................ 33,919
2,000 Tenma Corp. (Plastics)............................ 25,014
3,000 Tenox Corp. (Homebuilders)........................ 11,679
7,000 Titan Kogyo K.K. Co.* (Chemicals)................. 15,945
6,000 Tochigi Bank (Banking)............................ 36,776
4,000 Toho Store Co. Ltd. (Retail / Wholesale).......... 22,530
9,000 Tohuku Telecommunication (Telecommunications)..... 26,091
11,000 Tokico Ltd. (Automobiles)......................... 23,234
4,000 Tokushima Bank Ltd. (Banking)..................... 30,183
2,000 Tokyo Printing Ink Manufacturing (Chemicals)...... 6,378
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
5,000 Tokyo Radiator Manufacturing (Automobiles)........ $ 8,904
8,000 Tokyo Rika Manufacturing (Metals)................. 17,825
8,000 Tokyo Soir (Textiles)............................. 17,096
5,000 Tokyo Tanabe Co. (Pharmaceutical)................. 29,156
5,000 Tokyu Store Chain (Retail / Wholesale)............ 29,819
1,000 Tomiya Apparel (Textiles)......................... 2,485
3,000 Tomoku Co. Ltd. (Forest Products & Paper)......... 7,976
4,000 Torigoe Flour Milling (Food)...................... 12,822
3,000 Toyo Tire & Rubber (Chemicals).................... 8,871
6,000 Toyoda Gosei (Rubber / Tires)..................... 35,832
3,000 Toyokuni Electric Cable (Metals).................. 13,145
4,000 Traveler Corp. (Retail / Wholesale)............... 19,382
2,000 Tsurukame Corp. (Retail / Wholesale).............. 4,970
11,000 Tsurumi Soda Co. Ltd. (Chemicals)................. 32,800
5,000 Tsutsunaka Plastic Industry (Chemicals)........... 22,364
2,000 T. Hasegawa Co. Ltd.* (Cosmetics & Toiletries).... 39,758
8,000 U-Shin Ltd. (Automobiles)......................... 42,077
4,200 Wesco Inc. (Information Services)................. 15,655
3,000 Yamaka Electric Inc. (Homebuilders)............... 18,885
3,000 Yellow Hat Ltd. (Retail / Wholesale).............. 35,534
17,000 Yuasa Funashoku Co. Ltd. (Retail / Wholesale)..... 33,090
3,000 Yurtec Corp. (Engineering)........................ 16,276
-----------
Total Japan....................................... 4,438,241
-----------
MALAYSIA--2.8%
24,000 Amsteel Corp. BHD (Real Estate Assets)............ 10,588
6,000 Antah Holdings BHD (Oil / Gas Exploration)........ 3,850
5,333 Austral Amalgamated BHD (Financial Services)...... 2,731
4,000 Austral Enterprises (Food)........................ 6,232
5,000 Batu Kawan BHD (Chemicals)........................ 9,409
35,000 Berjaya Group BHD (Diversified Operations)........ 18,032
20,000 Berjaya Land BHD (Hotels / Motels)................ 26,901
35,000 Boustead Holdings BHD (Food)...................... 55,606
23,000 Cement Industries ofMalaysia (Construction
Materials)...................................... 33,064
5,000 Cold Storage (Malaysia) BHD (Retail /
Wholesale)...................................... 4,411
10,000 Esso Malaysia BHD (Oil / Gas Exploration)......... 17,276
22,000 Faber Group BHD* (Transportation)................. 11,198
18,000 Far East Holdings BHD (Food)...................... 16,048
26,000 Gadek (Malaysia) BHD (Information Services)....... 50,130
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
3,000 IOI Properties (Real Estate Assets)............... $ 2,888
26,000 Island & Peninsular BHD (Real Estate Assets)...... 29,036
12,000 Keck Seng (Malaysia) BHD (Food)................... 9,995
5,000 Kinta Kellas plc (Information Services)........... 2,668
16,000 Kuala Sidim BHD (Food)............................ 26,654
64,000 Lion Land BHD (Real Estate Assets)................ 35,736
34,750 Malayan Cement BHD (Construction Materials)....... 35,805
22,400 Malayan United Industries BHD (Retail /
Wholesale)...................................... 9,813
13,000 Malaysia Helicopter Services BHD (Real Estate
Assets)......................................... 5,976
20,000 Malaysia Mining Corp. BHD (Metals)................ 14,931
1,000 Malaysian Pacific Industries BHD (Electronics).... 3,579
1,000 Matsushita Electric Co. (Durable Goods)........... 5,368
5,000 MBF Capital BHD (Banking)......................... 4,165
94,000 Multi-Purpose Holdings BHD (Holding Company)...... 70,174
18,000 New Straits Times Press BHD (Multimedia).......... 54,418
3,000 Olympia Industries BHD (Financial Services)....... 1,527
4,200 Oriental Holdings BHD (Retail / Wholesale)........ 17,103
25,000 Pan-Malaysia Cement Works BHD (Construction
Materials)...................................... 22,983
51,000 Paramount Corp. BHD (Real Estate Assets).......... 28,320
11,000 Pelangi BHD (Real Estate Assets).................. 9,332
24,000 Rekapacific BHD (Construction Materials).......... 11,476
10,000 Sarawak Enterprise Corp. (Financial Services)..... 6,663
18,000 Sime UEP Properties BHD (Real Estate Assets)...... 20,435
16,000 Sistem Televisyen Malaysia BHD (Multimedia)....... 17,177
12,000 TA Enterprise BHD (Financial Services)............ 7,071
11,000 Tan Chong Motor Holdings BHD (Automobiles)........ 9,060
16,000 Uniphone Telecommunications BHD (Electronics)..... 8,046
12,000 United Plantations BHD (Food)..................... 18,695
-----------
Total Malaysia.................................... 754,570
-----------
NETHERLANDS--4.8%
3,040 Apothekers Cooperatie Opg-CV (Retail /
Wholesale)...................................... 96,270
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
NETHERLANDS (CONTINUED)
1,180 Gist--Brocade--Cva (Food)......................... $ 33,038
4,520 Koninklijke Hoogovens NV (Metals)................. 292,862
2,190 Konin Bijenkorf Beheer (Retail / Wholesale)....... 140,025
5,000 Koninklijke Nedlloyd Groep NV (Transportation).... 167,637
1,750 Koninklijke Pakhoed NV (Transportation)........... 62,016
900 Nedap NV (Security Services)...................... 24,882
3,650 Stork NV (Homebuilders)........................... 161,822
500 Telegraaf Holdingsmaatschappij de Telegraaf
(Multimedia).................................... 10,556
6,670 VIB NV (Real Estate Assets)....................... 173,002
2,200 Wereldhave NV (Retail / Wholesale)................ 140,886
-----------
Total Netherlands................................. 1,302,996
-----------
NEW ZEALAND--0.3%
7,250 DB Group Ltd. (Brewery)........................... 11,369
31,200 Hallenstein Glasson Holdings Ltd. (Retail /
Wholesale)...................................... 48,325
1,400 Independent News Ltd. (Retail / Wholesale)........ 8,065
800 New Zealand Refining Ltd. Co. (Oil Refining)...... 13,825
2,000 Progressive Enterprises Ltd. (Retail /
Wholesale)...................................... 2,394
-----------
Total New Zealand................................. 83,978
-----------
NORWAY--2.4%
1,020 Aker RGI ASA-B (Construction Materials)........... 17,405
3,300 Kvaerner ASA--Class A (Machinery & Equipment)..... 194,994
5,800 Norske Skogindustrier ASA (Forest Products &
Paper).......................................... 199,577
3,700 Petroleum Geo-Services ASA* (Oil / Gas
Exploration).................................... 250,197
-----------
Total Norway...................................... 662,173
-----------
SINGAPORE--2.1%
2,000 Auric Pacific Group Ltd. (Retail / Wholesale)..... 2,457
12,000 Chuan Hup Holdings Ltd. (Transportation).......... 6,745
12,000 Elec & Eltek International Co. Ltd.
(Electronics)................................... 105,600
2,000 Focal Finance Ltd. (Banking)...................... 3,137
5,000 GP Batteries International Ltd. (Metals).......... 15,490
51,000 Hour Glass Ltd. (Retail / Wholesale).............. 30,000
4,000 HWA Hong Corp. (Transportation)................... 4,366
15,000 Intraco Ltd. (Retail / Wholesale)................. 12,941
21,000 IPCO International Ltd. (Homebuilders)............ 54,600
16,000 Isetan (Singapore) (Retail / Wholesale)........... 30,745
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
SINGAPORE (CONTINUED)
35,000 MCL Land Ltd. (Real Estate Assets)................ $ 44,607
16,000 Resources Development Corp. (Construction
Materials)...................................... 37,856
5,000 Singapore Reinsurance (Insurance)................. 4,640
26,000 Singapore Technologies Aerospace (Aerospace /
Defense)........................................ 77,488
14,000 Singapore Technologies Industrial (Information
Services)....................................... 25,346
8,000 ST Computer Systems & Service Ltd. (Information
Services)....................................... 7,372
48,000 Trans-Island Bus Service (Transportation)......... 35,137
2,000 United Industrial CP (Real Estate Assets)......... 1,386
30,000 WBL Corp. Ltd. (Photography Supplies)............. 76,862
-----------
Total Singapore................................... 576,775
-----------
SPAIN--3.4%
3,710 Banco Pastor SA (Banking)......................... 264,876
7,270 Dragados & Construcciones SA (Homebuilders)....... 162,536
4,710 Sociedad Financiera y Minera SA (Construction
Materials)...................................... 104,039
3,000 OCP Construcciones SA (Homebuilders).............. 288,796
34,582 Sarrio SA (Forest Products & Paper)............... 121,479
-----------
Total Spain....................................... 941,726
-----------
SWEDEN--2.6%
2,500 Bergman & Beving AB* (Electronics)................ 48,302
12,600 Celsius AB--B Shares (Aerospace / Defense)........ 226,826
1,900 NCC AB--A Shares (Homebuilders)................... 22,427
10,400 Ratos Forvaltnin--Class B (Retail / Wholesale).... 98,754
5,400 SKF AB Shares (Metals)............................ 157,390
2,800 Svedala Industri AB (Metals)...................... 65,361
3,400 SSAB--Series A (Metals)........................... 70,175
800 SSAB--Series B (Metals)........................... 16,565
-----------
Total Sweden...................................... 705,800
-----------
SWITZERLAND--5.2%
160 Ascom Holding AG* (Communications)................ 224,201
200 Basler Kantonalbk (Banking)....................... 56,188
220 Bucher Holding AG (Metals)........................ 224,958
40 Hero Ag-Bearer (Food)............................. 22,172
30 Kuoni Reisen Holding Ag (Travel Services)......... 119,606
440 Movenpick Holdings Ag-Bearer Shares (Hotels /
Motels)......................................... 145,427
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
1,730 Oerlikon-Buhrle HD (Financial Services)........... $ 224,548
80 Publicitas Holdings (Information Services)........ 18,784
160 Sairgroup* (Airlines)............................. 214,285
90 Schindler-Holding AG (Metals)..................... 112,169
140 Sibra Holding SA* (Brewery)....................... 52,153
-----------
Total Switzerland................................. 1,414,491
-----------
UNITED KINGDOM--17.6%
40,000 600 Group plc (Metals)............................ 95,955
48,000 Allied Textile Companies plc (Textiles)........... 125,226
100,000 AMEC plc (Homebuilders)........................... 242,310
24,000 Anglican Group plc (Construction Materials)....... 90,915
32,000 Bladgen Industries (Metals)....................... 85,293
12,000 Bullough plc (Metals)............................. 19,094
32,000 Cape (Construction Materials)..................... 79,349
68,000 Care First Group plc (Nursing Homes).............. 107,650
548 Charter plc (Diversified Manufacturing)........... 7,301
80,000 Chloride Group plc (Electronics).................. 46,200
34,000 Concentric plc (Information Services)............. 70,577
86,000 Dawson International (Textiles)................... 105,583
30,000 Delta plc (Electronics)........................... 165,983
69,000 Dowding & Mills plc (Electronics)................. 83,040
25,000 EIS Group plc (Electronics)....................... 113,078
12,000 Exco (Banking).................................... 6,301
76,000 Haden Maclellan HD (Metals)....................... 128,295
36,000 Hambros plc (Financial Services).................. 137,535
145,500 Iceland Group plc (Retail / Wholesale)............ 244,443
14,000 Jardine Lloyd Thompson Group (Insurance).......... 41,500
34,000 Johnson Group Cleaners plc (Information
Services)....................................... 120,283
31,000 Kwik Save Group plc (Food)........................ 174,520
10,000 Laird Group plc (Diversified Manufacturing)....... 75,439
14,000 London Forfaiting Co. plc (Banking)............... 99,170
44,000 London Pacific Group Ltd. (Financial Services).... 148,552
Shares Market
- ------- Value
-----------
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
3,000 London & Manchester Group plc (Insurance)......... $ 22,123
12,000 Macro 4 plc (Information Services)................ 65,424
82,000 Matthews (Bernard) plc (Food)..................... 139,086
11,000 McAlpine (Alfred) Group plc (Homebuilders)........ 25,144
19,000 Meyer International plc (Construction
Materials)...................................... 131,058
3,000 Micro Focus Group* (Information Services)......... 105,890
90,000 Mowlem (John) & Co. plc (Homebuilders)............ 154,109
6,000 Nestor Healthcare Group plc (Human Resources)..... 15,944
122,000 Norcros plc (Ceramic Products).................... 135,985
24,000 Northern Ireland Electricity plc (Electric
Distribution)................................... 186,482
20,000 Oxford Instruments plc (Scientific Instruments)... 135,209
32,000 Perkins Foods plc (Retail / Wholesale)............ 48,074
306,000 Premier Oil plc (Oil / Gas Exploration)........... 253,333
107,000 Readicut International plc (Textiles)............. 64,386
168,000 Signet Group plc* (Retail / Wholesale)............ 90,915
16,000 Wagon Industrial Holdings (Metals)................ 64,875
50,000 Watmoughs Holdings plc (Printing)................. 156,694
88,000 Willis Corroon Group plc (Insurance).............. 182,670
88,000 Wilson (Connolly) Holdings plc (Homebuilders)..... 236,689
-----------
Total United Kingdom.............................. 4,827,682
-----------
TOTAL INVESTMENTS (COST $27,285,882)
--96.3%......................................... 26,355,141
OTHER ASSETS LESS LIABILITIES--3.7%............... 1,001,724
-----------
NET ASSETS--100.0%................................ $27,356,865
-----------
-----------
</TABLE>
- ------------------
* Non-income producing security
See accompanying notes to the financial statements.
27
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
------------- ------------- -------------------
<S> <C> <C> <C>
ASSETS:
Investments at value (cost $243,532,520, $1,289,102, and $27,285,882,
respectively)......................................................... $294,270,092 $ 1,064,350 $26,355,141
Repurchase agreements (cost $11,435,000, $0, and $0, respectively)...... 11,435,000 -- --
Foreign currency, at value (cost $0, $12,018, and $1,832,093,
respectively)......................................................... -- 12,020 1,849,109
Receivable for forward foreign currency contracts....................... -- -- 359,608
Cash.................................................................... 760 1,468 438,285
Receivable for fund shares sold......................................... 264,165 -- --
Receivable for investments sold......................................... 3,550,126 -- 219,473
Dividends and interest receivable....................................... 282,614 3,645 137,227
Receivable from Manager................................................. 50,286 66,530 174,823
Reclaim receivable...................................................... -- -- 11,331
Prepaid expenses........................................................ 51,886 486 11,195
------------- ------------- -------------------
Total Assets........................................................ 309,904,929 1,148,499 29,556,192
------------- ------------- -------------------
LIABILITIES:
Payable for investments purchased....................................... 6,209,551 -- 1,732,010
Payable for capital shares redeemed..................................... -- 12 --
Payable for forward foreign currency contracts.......................... -- -- 360,000
Accrued:
Advisory fee.......................................................... 470,763 -- --
Administration fee.................................................... 84,820 -- --
Shareholder Service fee (Adviser Shares).............................. 4,240 -- --
Shareholder Service fee (Select Shares)............................... 2,575 6 127
12b-1 fee (Select Shares)............................................. 2,776 6 147
Audit fees............................................................ 20,788 10,048 12,480
Custodian fees........................................................ 16,723 28,148 9,589
Fund accounting fees.................................................. 46,339 32,502 20,210
Transfer agent fees................................................... 23,130 10,607 642
Other expenses........................................................ 58,911 1,603 5,908
Other payables........................................................ -- -- 58,214
------------- ------------- -------------------
Total Liabilities................................................... 6,940,616 82,932 2,199,327
------------- ------------- -------------------
NET ASSETS.............................................................. $302,964,313 $ 1,065,567 $27,356,865
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding--Institutional Shares .... 28,964,608 176,614 2,647,879
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Institutional Shares......................... $ 9.64 $ 5.92 $ 10.13
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding--Adviser Shares............... 1,256,782 -- --
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Adviser Shares............................... $ 9.64 -- --
------------- ------------- -------------------
------------- ------------- -------------------
Shares of beneficial interest outstanding-Select Shares................. 1,204,953 3,266 52,364
------------- ------------- -------------------
------------- ------------- -------------------
Net Asset Value Per Share--Select Shares................................ $ 9.63 $ 5.92 $ 10.13
------------- ------------- -------------------
------------- ------------- -------------------
NET ASSETS CONSIST OF:
Paid-in Capital......................................................... $234,341,779 $ 1,811,967 $27,620,197
Accumulated undistributed net investment income/(loss).................. 436,477 (72,653) 108,075
Accumulated net realized gain/(loss) on investments, futures and foreign
currency transactions................................................. 17,448,485 (449,002) 544,175
Net unrealized appreciation/(depreciation) on investments............... 50,737,572 (224,752) (930,741)
Net unrealized appreciation/(depreciation) on foreign currencies and
foreign currency transactions......................................... -- 7 15,159
------------- ------------- -------------------
NET ASSETS.............................................................. $302,964,313 $ 1,065,567 $27,356,865
------------- ------------- -------------------
------------- ------------- -------------------
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL INTERNATIONAL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
------------- ------------- -------------------
<S> <C> <C> <C>
Investment income:
Dividends (Net of withholding taxes of $0, $675, and $28,366,
respectively)..................................................... $ 969,245 $ 4,216 $ 286,443
Interest............................................................ 192,775 -- --
Security lending fees............................................... 33,027 -- --
------------- ------------- ----------
Total Income...................................................... 1,195,047 4,216 286,443
------------- ------------- ----------
Expenses:
Advisory fee........................................................ 763,381 5,938 96,372
Administration fee.................................................. 127,230 891 14,456
Shareholder Service fee (Adviser Shares)............................ 4,240 -- --
Shareholder Service fee (Select Shares)............................. 7,050 27 427
12b-1 fee (Select Shares)........................................... 14,100 54 855
Audit fees.......................................................... 13,112 8,471 10,280
Custodian fees...................................................... 52,261 38,892 61,445
Fund accounting fees................................................ 35,494 27,774 41,088
Legal fees.......................................................... 29,778 4,935 3,833
Registration fees................................................... 22,820 34,719 12,919
Transfer agent fees................................................. 27,853 12,802 5,555
Trustees' fees...................................................... 29,201 1,411 4,767
Other expenses...................................................... 67,776 508 11,245
------------- ------------- ----------
Total expenses before waivers/reimbursements by Manager and
Administrator................................................... 1,194,296 136,422 263,242
Less expenses waived/reimbursed by Manager and Administrator...... (219,573) (127,517) (111,817)
------------- ------------- ----------
Net expenses.......................................................... 974,723 8,905 151,425
------------- ------------- ----------
Net investment income/(loss).......................................... 220,324 (4,689) 135,018
------------- ------------- ----------
Net realized gain/(loss) on:
Investments and futures contracts................................... 7,213,034 (52,545) 503,249
Foreign currency transactions....................................... -- (563) 5,972
Net change in unrealized appreciation/(depreciation) on :
Investments and futures contracts................................... 45,199,221 3,198 (972,090)
Foreign currencies and foreign currency transactions................ -- (26) 16,604
------------- ------------- ----------
Net realized and unrealized gain/(loss) on investments, futures,
foreign currencies and foreign currency contracts................... 52,412,255 (49,936) (446,265)
------------- ------------- ----------
Net increase/(decrease) in net assets resulting from operations....... $52,632,579 $ (54,625) $ (311,247)
------------- ------------- ----------
------------- ------------- ----------
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES
-----------------------------------
SIX MONTHS ENDED
SEPTEMBER 30, 1997 YEAR ENDED
(UNAUDITED) MARCH 31, 1997
------------------ --------------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income/(loss)............................ $ 220,324 $ 220,107
Net realized gain/(loss) on investments................. 7,213,034 17,711,789
Net change in unrealized appreciation/(depreciation) on
investments........................................... 45,199,221 (7,399,127)
------------------ --------------
Net increase in net assets resulting from operations........ 52,632,579 10,532,769
------------------ --------------
Distributions to shareholders from:
Net investment income
Institutional Shares.................................... -- (303,002)
Adviser Shares.......................................... -- --
Select Shares........................................... -- (737)
------------------ --------------
-- (303,739)
------------------ --------------
Net realized gain on investment
Institutional Shares.................................... -- (11,414,463)
Adviser Shares.......................................... -- --
Select Shares........................................... -- (27,774)
------------------ --------------
-- (11,442,237)
------------------ --------------
Net decrease in net assets resulting from
distributions......................................... -- (11,745,976)
------------------ --------------
Increase from capital share transactions:
Proceeds from sales of shares
Institutional Shares.................................... 151,748,562 37,301,805
Adviser Shares.......................................... 11,207,507 214,705
Select Shares........................................... 7,533,006 2,444,377
------------------ --------------
170,489,075 39,960,887
------------------ --------------
Issued on reinvestment of distributions
Institutional Shares.................................... -- 11,649,326
Adviser Shares.......................................... -- --
Select Shares........................................... -- 28,511
------------------ --------------
-- 11,677,837
------------------ --------------
Cost of shares redeemed
Institutional Shares.................................... (4,361,426) (25,851,211)
Adviser Shares.......................................... (433,380) --
Select Shares........................................... (61,233) (13,123)
------------------ --------------
(4,856,039) (25,864,334)
------------------ --------------
Increase in net assets from subscription/redemption fees
(note 7)................................................... -- 91,993
------------------ --------------
Net increase (decrease) in net assets from capital share
transactions............................................ 165,633,036 25,866,383
------------------ --------------
Total increase (decrease) in net assets..................... 218,265,615 24,653,176
Net assets:
Beginning of period....................................... 84,698,698 60,045,522
------------------ --------------
End of period............................................. $302,964,313 $ 84,698,698
------------------ --------------
------------------ --------------
</TABLE>
See accompanying notes to the financial statements.
30
<PAGE>
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL
JAPAN SERIES CAPITALIZATION SERIES
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, 1997 YEAR ENDED SEPTEMBER 30, 1997 MARCH 31,
(UNAUDITED) MARCH 31, 1997 (UNAUDITED) 1997*
------------------ -------------- ------------------ --------------
<S> <C> <C> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment income/(loss).................. $ (4,689) $ (8,122) $ 135,018 $ 3,836
Net realized gain/(loss) on investments and
futures contracts........................... (52,545) (85,833) 503,249 22,948
Net realized gain/(loss) on foreign currency
transactions................................ (563) (2,916) 5,972 (18,950)
Net change in unrealized
appreciation/(depreciation) on investments
and futures contracts....................... 3,198 (303,816) (972,090) 41,349
Net change in unrealized
appreciation/(depreciation) on foreign
currencies and foreign currency
transactions................................ (26) 184 16,604 (1,445)
---------- -------------- ------------------ --------------
Net increase in net assets resulting from
operations....................................... (54,625) (400,503) (311,247) 47,738
---------- -------------- ------------------ --------------
Distributions to shareholders from:
Net investment income
Institutional Shares.......................... -- (6,516) -- --
Adviser Shares................................ -- --
Select Shares................................. -- (51) -- --
---------- -------------- ------------------ --------------
-- (6,567) -- --
---------- -------------- ------------------ --------------
Net realized gain on investment
Institutional Shares.......................... -- (3,887) -- --
Adviser Shares................................ -- --
Select Shares................................. -- (30) -- --
---------- -------------- ------------------ --------------
-- (3,917) -- --
---------- -------------- ------------------ --------------
Net decrease in net assets resulting from
distributions............................... -- (10,484) -- --
---------- -------------- ------------------ --------------
Increase from capital share transactions:
Proceeds from sales of shares
Institutional Shares.......................... 90,000 28,862 14,705,628 13,079,322
Adviser Shares................................ -- --
Select Shares................................. 11,098 14,937 437,899 182,551
---------- -------------- ------------------ --------------
101,098 43,799 15,143,527 13,261,873
---------- -------------- ------------------ --------------
Issued on reinvestment of distributions
Institutional Shares.......................... -- 10,403 -- --
Adviser Shares................................ -- -- -- --
Select Shares................................. -- 81 -- --
---------- -------------- ------------------ --------------
-- 10,484 -- --
---------- -------------- ------------------ --------------
Cost of shares redeemed
Institutional Shares.......................... -- -- (439,461) (332,298)
Adviser Shares................................ -- -- -- --
Select Shares................................. (2,884) -- (80,039) --
---------- -------------- ------------------ --------------
(2,884) -- (519,500) (332,298)
---------- -------------- ------------------ --------------
Increase in net assets from
subscription/redemption fees (note 7)............ -- 310 -- 66,772
---------- -------------- ------------------ --------------
Net increase (decrease) in net assets from
capital share transactions.................... 98,214 54,593 14,624,027 12,996,347
---------- -------------- ------------------ --------------
Total increase (decrease) in net assets........... 43,589 (356,394) 14,312,780 13,044,085
Net assets:
Beginning of period............................. 1,021,978 1,378,372 13,044,085 --
---------- -------------- ------------------ --------------
End of period................................... $1,065,567 $1,021,978 $27,356,865 $13,044,085
---------- -------------- ------------------ --------------
---------- -------------- ------------------ --------------
</TABLE>
- ------------------
*From Commencement of Operations on September 23, 1996.
See accompanying notes to the financial statements.
31
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR ENDED MARCH 31,
SEPTEMBER 30, 1997 -----------------------------------------
(UNAUDITED) 1997 1996 1995 1994
------------------ -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period.............. $ 7.13 $ 7.60 $ 6.97 $ 7.36 $ 12.33
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income/(loss).................. 0.01 0.04 0.03 0.01 0.08
Net realized and unrealized gain/ (loss) on
investments................................. 2.50 1.39 2.34 0.78 1.28
-------- -------- -------- -------- --------
Total from investment operations.............. 2.51 1.43 2.37 0.79 1.36
-------- -------- -------- -------- --------
Distributions to shareholders from:
Net investment income......................... -- (0.05) (0.01) (0.08) (0.14)
Net realized gain on investments.............. -- (1.85) (1.73) (1.10) (6.19)
-------- -------- -------- -------- --------
Total distributions to shareholders........... -- (1.90) (1.74) (1.18) (6.33)
-------- -------- -------- -------- --------
Net asset value, end of period.................... $ 9.64 $ 7.13 $ 7.60 $ 6.97 $ 7.36
-------- -------- -------- -------- --------
-------- -------- -------- -------- --------
Total return...................................... 35.20% 19.53% 35.69% 12.21% 12.83%
Net assets, end of period (000)................... $279,249 $82,116 $60,046 $56,910 $52,500
Ratio of expenses to average net assets........... 1.14%* 1.07% 0.90% 0.90% 0.90%
Ratio of net investment income/(loss) to average
net assets...................................... 0.27%* 0.35% 0.47% 0.60% 0.60%
Ratio of expenses to average net assets (a)....... 1.38%* 1.54% 1.15% 1.17% 1.14%
Ratio of net investment income/(loss) to average
net assets (a).................................. 0.03%* (0.12)% 0.22% 0.33% 0.36%
Portfolio turnover rate........................... 31.35% 126.83% 71.87% 57.27% 59.61%
Average commission rate........................... $ 0.0331 $0.0327 -- -- --
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
See accompanying notes to the financial statements.
32
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR
SEPTEMBER 30, 1997 ENDED
(UNAUDITED) MARCH 31, 1997 (1)
------------------ ------------------
<S> <C> <C>
ADVISER SHARES
Net asset value, beginning of period.............. $ 7.14 $ 7.38
------- -------
Income from investment operations:
Net investment income/(loss).................. -- 0.02
Net realized and unrealized gain/(loss) on
investments................................. 2.50 (0.26)
------- -------
Total from investment operations.............. 2.50 (0.24)
------- -------
Distributions to shareholders from:
Net investment income......................... -- --
Net realized gain on investments.............. -- --
------- -------
Total distributions to shareholders........... -- --
------- -------
Net asset value, end of period.................... $ 9.64 $ 7.14
------- -------
------- -------
Total return...................................... 35.01% (3.25)%
Net assets, end of period (000)................... $12,109 $ 208
Ratio of expenses to average net assets........... 1.39%* 1.15%*
Ratio of net investment income/(loss) to average
net assets...................................... 0.02%* 0.46%*
Ratio of expenses to average net assets (a)....... 1.63%* 1.54%*
Ratio of net investment income/(loss) to average
net assets (a).................................. (0.22)%* 0.07%*
Portfolio turnover rate........................... 31.35% 126.83%
Average commission rate........................... $0.0331 $0.0327
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(1) Period from January 21, 1997 (inception date) to March 31, 1997.
See accompanying notes to the financial statements.
33
<PAGE>
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR
SEPTEMBER 30, 1997 ENDED
(UNAUDITED) MARCH 31, 1997 (1)
------------------ ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period.............. $ 7.13 $ 8.49
------- -------
Income from investment operations:
Net investment income/(loss).................. -- 0.07
Net realized and unrealized gain/(loss) on
investments................................. 2.50 0.47
------- -------
Total from investment operations.............. 2.50 0.54
------- -------
Distributions to shareholders from:
Net investment income......................... -- (0.05)
Net realized gain on investments.............. -- (1.85)
------- -------
Total distributions to shareholders........... -- (1.90)
------- -------
Net asset value, end of period.................... $ 9.63 $ 7.13
------- -------
Total return...................................... 35.06% 6.84%
Net assets, end of period (000)................... $11,606 $ 2,375
Ratio of expenses to average net assets........... 1.34%* 1.15%*
Ratio of net investment income/(loss) to average
net assets...................................... 0.07%* 0.46%*
Ratio of expenses to average net assets (a)....... 2.13%* 1.54%*
Ratio of net investment income/(loss) to average
net assets (a).................................. (0.72)%* 0.07%*
Portfolio turnover rate........................... 31.35% 126.83%
Average commission rate........................... $0.0331 $0.0327
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(1) Period from October 22, 1996 (inception date) to March 31, 1997.
See accompanying notes to the financial statements.
34
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR ENDED MARCH 31,
SEPTEMBER 30, 1997 ------------------------------------------
(UNAUDITED) 1997 1996 1995 1994
------------------ --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period.............. $ 6.20 $ 8.77 $ 8.96 $ 8.25 $ 6.94
------- --------- -------- -------- --------
Income from investment operations:
Net investment income/(loss).................. (0.03) (0.05) 0.04 0.10 (0.01)
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions................................ (0.25) (2.45) (0.15) 0.63 1.41
------- --------- -------- -------- --------
Total from investment operations.............. (0.28) (2.50) (0.11) 0.73 1.40
------- --------- -------- -------- --------
Distributions to shareholders from:
Net investment income......................... -- (0.04) -- -- --
Net realized gain on investment and foreign
currency transactions....................... -- (0.03) (0.08) (0.02) (0.09)
------- --------- -------- -------- --------
Total distributions to shareholders........... -- (0.07) (0.08) (0.02) (0.09)
------- --------- -------- -------- --------
Net asset value, end of period.................... $ 5.92 $ 6.20 $ 8.77 $ 8.96 $ 8.25
------- --------- -------- -------- --------
------- --------- -------- -------- --------
Total return...................................... (4.52)% (28.68)% (1.20)% 8.86% 20.35%
Net assets, end of period (000)................... $ 1,046 $ 1,009 $ 1,378 $ 1,385 $ 1,258
Ratio of expenses to average net assets........... 1.50%* 1.42% 1.00% 1.00% 1.00%
Ratio of net investment income/(loss) to average
net assets...................................... (0.79)%* (0.63)% (0.22)% (0.20)% (0.26)%
Ratio of expenses to average net assets (a)....... 22.96%* 13.33% 7.16% 7.02% 7.63%
Ratio of net investment income/(loss) to average
net assets (a).................................. (22.25)%* (12.54)% (6.38)% (6.22)% (6.89)%
Portfolio turnover rate........................... 47.95% 51.70% 60.60% 57.10% 74.60%
Average commission rate........................... $0.0116 $ 0.0165 -- -- --
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
See accompanying notes to the financial statements.
35
<PAGE>
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE YEAR
SEPTEMBER 30, 1997 ENDED
(UNAUDITED) MARCH 31, 1997 (1)
------------------ ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period.............. $ 6.20 $ 8.08
------- -------
Income from investment operations:
Net investment income/(loss).................. (0.03) (0.01)
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions................................ (0.25) (1.80)
------- -------
Total from investment operations.............. (0.28) (1.81)
------- -------
Distributions to shareholders from:
Net investment income......................... -- (0.04)
Net realized gain on investment and foreign
currency transactions....................... -- (0.03)
------- -------
Total distributions to shareholders........... -- (0.07)
------- -------
Net asset value, end of period.................... $ 5.92 $ 6.20
------- -------
------- -------
Total return...................................... (4.52)% (22.59)%
Net assets, end of period (000)................... $ 20 $ 13
Ratio of expenses to average net assets........... 1.61%* 1.50%*
Ratio of net investment income/(loss) to average
net assets...................................... (0.90)%* 0.00%*
Ratio of expenses to average net assets (a)....... 23.71%* 13.33%*
Ratio of net investment income/(loss) to average
net assets (a).................................. (23.00)%* (11.83)%*
Portfolio turnover rate........................... 47.95% 51.70%
Average commission rate........................... $0.0116 $0.0165
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(1) Period from October 22, 1996 (inception date) to March 31, 1997.
See accompanying notes to the financial statements.
36
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED
SEPTEMBER 30, 1997 FOR THE YEAR ENDED
(UNAUDITED) MARCH 31, 1997 (1)
------------------ ------------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period.............. $ 10.13 $ 10.00
------- -------
Income from investment operations:
Net investment income/(loss).................. 0.05 0.02
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions................................ (0.05) 0.11
------- -------
Total from investment operations.............. -- 0.13
------- -------
Distributions to shareholders from:
Net investment income......................... -- --
Net realized gain on investment and foreign
currency transactions....................... -- --
------- -------
Total distributions to shareholders........... --
------- -------
Net asset value, end of period.................... $ 10.13 $ 10.13
------- -------
------- -------
Total return...................................... 0.00% 1.30%
Net assets, end of period (000)................... $26,826 $12,859
Ratio of expenses to average net assets........... 1.49%* 1.50%*
Ratio of net investment income/(loss) to average
net assets...................................... 1.40%* 0.11%*
Ratio of expenses to average net assets (a)....... 2.64%* 7.46%*
Ratio of net investment income/(loss) to average
net assets (a).................................. 0.25%* (5.85)%*
Portfolio turnover rate........................... 33.64% 6.71%
Average commission rate........................... $0.0075 $0.0108
</TABLE>
- --------------
* Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(1) Period from September 23, 1996 (inception date) to March 31, 1997.
See accompanying notes to the financial statements.
37
<PAGE>
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS ENDED FOR THE PERIOD
SEPTEMBER 30, 1997 ENDED
(UNAUDITED) MARCH 31, 1997 (1)
------------------ ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period.............. $ 10.13 $ 10.04
------- -------
Income from investment operations:
Net investment income/(loss).................. 0.05 0.02
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions................................ (0.05) 0.07
------- -------
Total from investment operations.............. -- 0.09
------- -------
Distributions to shareholders from:
Net investment income......................... -- --
Net realized gain on investment and foreign
currency transactions....................... -- --
------- -------
Total distributions to shareholders........... -- --
------- -------
Net asset value, end of period.................... $ 10.13 $ 10.13
------- -------
------- -------
Total return...................................... 0.00% 0.90%
Net assets, end of period (000)................... $ 531 $ 185
Ratio of expenses to average net assets........... 1.67%* 1.50%*
Ratio of net investment income/(loss) to average
net assets...................................... 1.22%* 0.44%*
Ratio of expenses to average net assets (a)....... 3.39%* 7.46%*
Ratio of net investment income/(loss) to average
net assets (a).................................. (0.50)%* (5.52)%*
Portfolio turnover rate........................... 33.64% 6.71%
Average commission rate........................... $0.0075 $0.0108
</TABLE>
- --------------
*Annualized
(a) During the period, certain fees were voluntarily reduced and/or reimbursed.
If such voluntary fee reductions and/or reimbursements had not occurred, the
ratios would have been as indicated.
(1) Period from October 29, 1996 (inception date) to March 31, 1997.
See accompanying notes to the financial statements.
38
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1997 (UNAUDITED)
- --------------------------------------------------------------------------------
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.
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual amounts could differ from those estimates. Following is a
summary of significant accounting policies consistently followed by the Trust in
the preparation of its financial statements.
SECURITY VALUATION
Portfolio securities listed on a national exchange or exchanges for which
market quotations are available are valued at their last quoted sale price
on each business day. If there is no such reported sale, the most recently
quoted bid price is used. Debt obligations with sixty days or less remaining
until maturity are valued at their amortized cost. Unlisted securities for
which market quotations are readily available are valued at the most recent
quoted bid price. Securities quoted in foreign currencies are translated
into U.S. dollars based upon the prevailing exchange rate at the close of
each business day. Other assets and securities for which no quotation is
readily available are valued at fair value as determined in good faith by
the Trustees.
SECURITY TRANSACTIONS AND RELATED INVESTMENT INCOME
Security transactions are accounted for on the trade date (the date the
order to buy or sell is executed). Corporate actions (including cash
dividends) are recorded on the ex-date or as soon after the ex-date as the
fund becomes aware of such action, net of any non-refundable tax
withholdings. Interest income is recorded on the accrual basis and is
adjusted for the accretion of discounts. In determining the net gain or loss
on securities sold, the cost of securities is determined on the identified
cost basis.
FOREIGN CURRENCY TRANSACTIONS
All monetary items denominated in foreign currencies are translated to U.S.
dollars based upon the prevailing exchange rate at the close of each
business day. Net realized gains and losses on foreign currency transactions
represent net gains and losses from currency gains and losses realized
between the trade and settlement dates on securities transactions, and the
difference between the amount of net investment income accrued and the U.S.
dollar amount actually received. Further, the effects of changes in foreign
currency exchange rates on investments in securities are not segregated in
the Statement of Operations from the effects of changes in market prices of
those securities, but are included with the net realized and unrealized gain
or loss on investments.
39
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
FORWARD FOREIGN CURRENCY CONTRACTS
Forward foreign currency contracts are valued at the daily exchange rate of
the underlying currency. The forward foreign currency exchange contracts are
adjusted by the daily exchange rate of the underlying currency and any gains
or losses are recorded for financial statement purposes as unrealized
appreciation or depreciation until the contract settlement date. Gains or
losses from the purchase or sale of forward foreign currency contracts are
recorded as realized on the settlement date.
As of September 30, 1997 the International Small Capitalization Series had
the following long forward foreign currency contracts:
<TABLE>
<CAPTION>
SETTLEMENT UNREALIZED
CURRENCY DATE AMOUNT VALUE LOSS
- --------------------------------------------------------------------- ----------- --------- ---------- -------------
<S> <C> <C> <C> <C>
British Pounds....................................................... 10/1/97 216,423 $ 349,610 $ (390)
British Pounds....................................................... 10/1/97 6,189 9,998 (2)
--------- ---------- -----
Total.............................................................. 222,612 $ 359,608 $ (392)
--------- ---------- -----
--------- ---------- -----
</TABLE>
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
40
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
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 September 30,
1997.
NOTE 2 -- MANAGEMENT, ADMINISTRATIVE, DISTRIBUTION AND SHAREHOLDER SERVICE
AGREEMENTS. Rosenberg Institutional Equity Management (the "Manager") provides
advisory and management services to the Funds under separate management
contracts. The Manager is entitled to a fee, computed daily and paid quarterly,
at the annual rate of 0.90% of the average net assets of the U.S. Small
Capitalization Series and 1.00% of the average net assets of the Japan Series
and the International Small Capitalization Series. The Manager has voluntarily
agreed to waive fees and reimburse the Funds to the extent necessary to limit
the Funds' annual expenses to 1.15% of the average net assets of the U.S. Small
Capitalization Series and 1.50% of the average net assets of the Japan Series
and International Small Capitalization Series. For the six months ended
September 30, 1997, the amount of such waivers totaled $84,820, $5,938 and
$96,372 for the U.S. Small Capitalization Series, Japan Series, and
International Small Capitalization Series, respectively. For the six months
ended September 30, 1997 the amount of such reimbursements totaled $76,744 and
$120,620 for the U.S. Small Capitalization Series and Japan Series,
respectively.
BISYS Fund Services ("BISYS" or the "Administrator"), a wholly-owned
subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and
generally assists the Trust in all aspects of its administration and operation.
The Administrator is entitled to a fee, computed daily and paid monthly, at an
annual rate of 0.15% of the average net assets of the Funds. The Administrator
has voluntarily waived a portion of its fees in the U.S. Small Capitalization
Fund. In addition, the Administrator has agreed to waive all fees in the Japan
Series and International Small Capitalization Series until the respective Fund's
net assets reach $25 million. For the six months ended September 30, 1997, the
amount of such waivers totaled $42,410, $891 and $14,456 for the U.S. Small
Capitalization Series, Japan Series and International Small Capitalization
Series, respectively.
The Select Shares of each Fund are sold on a continuous basis by the
Company's distributor, Barr Rosenberg Funds Distributor, Inc. (the
"Distributor"), a wholly owned subsidiary of BISYS. Solely for the purpose of
compensating the Distributor for services and expenses primarily intended to
result in the sale of Select Shares of the Funds, such shares are subject to an
annual Distribution Fee of up to 0.50% of the average daily net assets
attributable to such shares in accordance with a Distribution Plan (the
"Distribution Plan") adopted by the Trust pursuant to Rule 12b-1 under the 1940
Act. Currently, each Fund pays the Distributor 0.25% of the Fund's average daily
net assets attributable to Select Shares. For the six months ended September 30,
1997, the U.S. Small Capitalization Series, Japan Series and International Small
Capitalization Series incurred charges of $14,100, $54 and $855, respectively,
pursuant to the Distribution Plan. Of these amounts, the Distributor retained
$1,839, $5, and $70, and waived $11,324, $48, and $708 for the U.S. Small
Capitalization Series, Japan Series and International Small Capitalization
Series, respectively.
Various service organizations act as the shareholder servicing agents of the
Select and Adviser Shares of the Funds. Such shares are subject to an annual
Shareholder Service Fee of up to 0.25% of the average daily net assets
attributable to such shares in accordance with a Service Plan adopted by the
Trust. For the six months ended September 30, 1997, the Shareholder Service Fee
attributable to the Adviser Shares was charged in full while a portion of the
fee attributable to the Select Shares was waived. Such waivers totaled $4,275,
$20 and $281 in the U.S. Small Capitalization Series, Japan Series and
International Small Capitalization Series, respectively.
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,
41
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
$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.
At September 30, 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........................... $ 53,140,252 $(2,402,680) $ 50,737,572 $ 254,967,520
Japan Series............................................... $ 61,124 $ (285,876) $ (224,752) $ 1,289,102
International Small Capitalization Series.................. $ 2,010,726 $(2,941,467) $ (930,741) $ 27,285,882
</TABLE>
NOTE 4 -- SECURITY PURCHASES AND SALES. For the period ended September 30,
1997, (excluding short term securities and foreign currency):
<TABLE>
<CAPTION>
PURCHASES OF SALES OF
PORTFOLIO PORTFOLIO
SECURITIES SECURITIES
------------------- -------------------
<S> <C> <C>
U.S. Small Capitalization Series................................................. $ 218,530,686 $ 52,259,127
Japan Series..................................................................... $ 681,786 $ 545,314
International Small Capitalization Series........................................ $ 22,003,291 $ 6,228,782
</TABLE>
NOTE 5 -- PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess
of 10% of the relevant Fund's shares outstanding at September 30, 1997, held the
following aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
% OF FUND'S SHARES
-----------------------
<S> <C>
U.S. Small Capitalization Series.................................................. 46%
Japan Series...................................................................... 89%
International Small Capitalization Series......................................... 76%
</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.
42
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
Transactions in shares of each of the Funds was as follows:
<TABLE>
<CAPTION>
SIX MONTHS ENDED
SEPTEMBER 30, 1997 YEAR ENDED
(UNAUDITED) MARCH 31, 1997
--------------------------------------- ---------------------------------------
INTERNATIONAL INTERNATIONAL
U.S. SMALL SMALL U.S. SMALL SMALL
CAPITALIZATION JAPAN CAPITALIZATION CAPITALIZATION JAPAN CAPITALIZATION
SERIES SERIES SERIES SERIES SERIES SERIES(1)
-------------- ------ -------------- -------------- ------ --------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold:
Institutional....................... 17,964,883 13,948 1,418,440 4,959,032 4,038 1,302,391
Adviser............................. 1,274,031 -- -- 29,170 -- --
Select.............................. 879,224 1,665 41,861 330,552 2,037 18,227
-------------- ------ -------------- -------------- ------ --------------
20,118,138 15,613 1,460,301 5,318,754 6,075 1,320,618
-------------- ------ -------------- -------------- ------ --------------
Issued upon reinvestment of
distributions:
Institutional....................... -- -- -- 1,680,999 1,400 --
Adviser............................. -- -- -- -- -- --
Select.............................. -- -- -- 4,085 11 --
-------------- ------ -------------- -------------- ------ --------------
-- -- -- 1,685,084 1,411 --
-------------- ------ -------------- -------------- ------ --------------
Shares redeemed:
Institutional....................... (510,131) -- (39,839) (3,032,383) -- (33,113)
Adviser............................. (46,419) -- -- -- -- --
Select.............................. (7,166) (447) (7,724) (1,742) -- --
-------------- ------ -------------- -------------- ------ --------------
(563,716) (447) (47,563) (3,034,125) -- (33,113)
-------------- ------ -------------- -------------- ------ --------------
Net increase/(decrease)
Institutional....................... 17,454,752 13,948 1,378,601 3,607,648 5,438 1,269,278
Adviser............................. 1,227,612 -- -- 29,170 -- --
Select.............................. 872,058 1,218 34,137 332,895 2,048 18,227
-------------- ------ -------------- -------------- ------ --------------
19,554,422 15,166 1,412,738 3,969,713 7,486 1,287,505
-------------- ------ -------------- -------------- ------ --------------
-------------- ------ -------------- -------------- ------ --------------
</TABLE>
(1) 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 September 30, 1997, the value of securities loaned amounted to $8,081,372
against which cash collateral of $8,633407 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.
43
<PAGE>
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED) (UNAUDITED)
- --------------------------------------------------------------------------------
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 September 30, 1997, the Japan Series
had the following industry concentrations in excess of 10% of its net assets:
Electronics, 22.0%, Banking, 16.8% and Electrical Equipment, 10.3%. The
International Small Capitalization Series had the following country
concentrations in excess of 10% of its net assets: United Kingdom, 17.6% and
Japan, 16.2%.
44
<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
SEMI-ANNUAL REPORT
-------------------------
SEPTEMBER 30, 1997
-------------------------
(BRG-0020)
