<PAGE> 1
BARR ROSENBERG SERIES Trust
----------------------------------------------------
JAPAN SERIES
MARKET NEUTRAL FUND
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
April 24, 1998
Dear Fellow Shareholder:
In August 1996, we embarked on a mission to expand the distribution of our
existing funds to targeted niche markets. We also wanted to enhance our
investment offerings by introducing innovative, new funds. While we manage your
funds for the long term, it is useful to comment briefly on a number of
achievements during the last year.
The net assets of the funds grew substantially. As of March 31, 1998, total
net assets of the funds were $834 million, compared to $60 million in August
1996 when the funds were first offered to the public. As a result of the rapid
growth in our U.S. Small Capitalization Fund, we closed the Fund to new
investors effective February 20, 1998, when net assets of the Fund reached $500
million. The Fund is open to existing shareholders until further notice. The
decision to close the Fund was taken after careful consideration was given to
our existing shareholders as well as future shareholders in all our funds.
The funds benefited from a significant amount of media coverage, including
stories in The Wall Street Journal, Money, Barron's, Kiplinger's Personal
Finance, The New York Times, Morningstar Investor, Lipper, No-Load Analyst,
Business Week, Fortune, Worth, the San Francisco Chronicle, the Chicago Tribune,
U.S. News and World Report, Forbes, USA Today, Smart Money, Morgan Stanley
Research Reports, Louis Rukeyser, Individual Investor, Financial Planning and
Smart Money, as well as on CNBC and public television. This support is important
because we do not advertise our funds as many other mutual fund companies do.
We launched the Barr Rosenberg Market Neutral Fund on December 16, 1997, as
the first long/short equity mutual fund. This innovative fund gained over $200
million in net assets during its first three months. Continuing our record of
introducing state of the art investment products, we launched a related fund,
the Barr Rosenberg Double Alpha Market Fund, in April 1998.
The accomplishments of the last year would not have been possible without
the full support and guidance of the Trust's independent Trustees, William F.
Sharpe and Nils Hakansson. We are also proud of the team supporting our mutual
fund activities. This highly motivated group includes staff from portfolio
management, operations, client service, trading, marketing and sales, legal and
office support. They work diligently to provide superior service to you, our
shareholders.
We thank you for your continued support of the Barr Rosenberg Mutual Funds.
If you have any suggestions to improve service, please let me know. My e-mail
address is [email protected].
Sincerely,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President & CEO
Barr Rosenberg Mutual Funds
For more complete information about the Barr Rosenberg Funds, including
management fees and expenses, please call 1-800-447-3332 for a prospectus.
Please read it carefully before investing.
1
<PAGE> 2
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
Small capitalization stocks rose strongly in the year ended March 31,1998,
but continued to lag large capitalization stocks. For the year ended March
31,1998, the Russell 2000(1) rose 42.01% while the S&P 500(2) rose 48.02%. A
rally in small cap stocks that began during the third quarter of 1997 was not
sustained as the S&P 500 topped the Russell 2000 by 6.2% during the fourth
quarter of 1997 and by 3.9% during the first quarter of 1998. The market in
general was most affected by the Asian crisis, which caused a general sell-off
of stocks in late 1997. However, many of these stocks started to recover during
the first few months of 1998 as fears for the Asian economies receded.
While the U.S. Small Capitalization Fund maintains industry weights close
to its benchmark, the Russell 2000, the portfolio was helped during the year by
slight over-weightings (less than 2% relative to the Russell 2000) in Service
and Financial (non-bank) industries. The performance of the portfolio relative
to the Russell 2000 also was aided during the period by a modestly higher
earnings-to-price and book-to-price profile than the Russell 2000. Some of our
individual stock picks that stood out over the past year include:
- Trans World Entertainment (TWMC); operators of music and video stores
(trailing 12 month return of 245%).
- Reliability Inc. (REAL); manufacturers of integrated circuit (IC) testing
equipment (trailing 12 month return of 229%).
- Allied Waste Industries (AWIN); providers of solid-waste-management
services (trailing 12 month return of 212%).
- Applied Signal Technologies (APSG); designers of signal-reconnaissance
equipment (trailing 12 month return of 206%).
- Lennar Corp. (LEN); manufacturers of multifamily housing (trailing 12
month return of 201%).
- ---------------
(1) The Russell 2000 is an unmanaged index of approximately 2000 small
capitalization companies with market capitalization up to $4.25 billion.
(2) The S&P 500 is an unmanaged, broad based index of 500 widely held common
stocks.
Small capitalization funds typically carry additional risks since smaller
companies have experienced a greater degree of volatility than average.
2
<PAGE> 3
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS--98.1%
AIRCRAFT--0.4%
47,400 Triumph Group, Inc.*....... $ 2,103,375
------------
AIRLINES--1.1%
26,600 Airborne Freight Corp...... 1,000,825
83,100 Alaska Air Group, Inc.*.... 4,502,981
41,500 Amtran, Inc.*.............. 674,375
9,800 Petroleum Helicopter,
Inc...................... 215,600
------------
6,393,781
------------
AUTOS--0.8%
21,200 Borg-Warner Automotive,
Inc...................... 1,359,450
12,700 Defiance, Inc.............. 104,775
25,500 Excel Industries, Inc...... 525,938
8,900 Federal-Mogul Corp......... 473,369
17,100 Safety Components
International, Inc.*..... 269,325
60,500 Standard Products Co....... 1,992,718
3,780 Supreme Industries,
Inc.*.................... 47,959
------------
4,773,534
------------
BANKING--9.7%
100 ABC Bancorp................ 1,750
5,000 Alabama National Bancorp... 163,750
58,100 Albank Financial Corp...... 2,912,262
20,000 Ambanc Holding Company,
Inc...................... 380,000
39,000 Americredit Corp.*......... 1,072,500
1,600 Ampal-American Israel
Corp.*................... 9,100
5,400 Anchor Bancorp Wisconsin,
Inc...................... 237,600
6,825 Arrow Financial Corp....... 213,281
38,500 Associated Banc-Corp....... 2,076,594
55,300 Astoria Financial Corp..... 3,418,230
7,400 BancFirst Corp............. 294,150
23,700 Banknorth Group, Inc....... 1,730,100
7,600 BNC Corp, Inc.*............ 149,150
5,356 BOK Financial Corp.*....... 261,775
1,785 Broad National Bancorp..... 40,163
16,350 BSB Bancorp, Inc........... 506,850
4,900 Cape Cod Bank & Trust
Co....................... 215,600
77 Capitol Bancorp, Ltd....... 2,214
12,200 Carver Bancorp, Inc........ 181,475
4,200 CB Bancshares, Inc......... 152,775
6,300 Central Co-Operative
Bank..................... 196,088
17,800 Citizens Banking Corp.
Michigan................. 635,238
22,695 Civic Bancorp*............. 417,021
1,300 Columbia Bancorp........... 46,150
26,000 Commercial Bank of New
York..................... 656,500
53,000 Commercial Federal Corp.... 1,927,875
18,500 Community Bank System,
Inc...................... 629,000
900 Contifinancial Corp.*...... 27,450
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
43,900 Corus Bankshares, Inc...... $ 1,926,113
2,000 CPB, Inc................... 38,500
9,057 CVB Financial Corp......... 235,482
15,620 D & N Financial Corp....... 437,360
22,600 Delta Financial Corp.*..... 391,263
14,800 Dime Community Bancorp,
Inc...................... 362,600
14,700 Downey Financial Corp...... 475,913
2,800 Equitable Federal Savings
Bank*.................... 89,600
8,600 FFY Financial Corp......... 287,025
8,500 Financial Bancorp, Inc..... 212,500
5,000 First Bancshares, Inc...... 77,500
48,700 First Citizens Bancshares,
Inc., Class A............ 5,576,149
1,150 First Citizens Corp........ 38,525
3,500 First Colonial Group,
Inc...................... 126,000
8,200 First Hawaiian, Inc........ 328,000
1,000 First Merchants Banking.... 41,500
1,050 First Mutual Savings Bank
of Bellevue.............. 18,900
10,600 First Oak Brook Bank....... 530,000
6,100 First Palm Beach Bancorp... 245,525
5,600 First State Bancorp........ 142,800
57,600 FirstBank Puerto Rico...... 2,653,199
9,555 FNB Corp................... 370,256
17,200 FNB Rochester Corp......... 391,300
913 Foothill Independent
Bancorp*................. 15,692
8,235 Fulton Financial Corp...... 269,696
36,600 GBC Bancorp of
California............... 2,445,337
750 Granite State Bankshares,
Inc...................... 20,484
6,000 Hallmark Capital Corp.*.... 93,000
11,900 Harbor Florida Bancorp,
Inc...................... 140,036
14,100 Hawthorne Financial
Corp.*................... 278,475
31,700 HF Bancorp, Inc.*.......... 538,900
2,800 Hingham Institution for
Savings.................. 103,600
3,400 Home Port Bancorp, Inc..... 90,100
13,400 Imperial Credit Industries,
Inc.*.................... 317,413
1,875 Independent Bankshares,
Inc...................... 32,109
11,200 Irwin Financial Corp....... 630,000
40,800 JSB Financial, Inc......... 2,282,250
1,100 Kankakee Bancorp, Inc...... 40,975
7,200 Lakeview Financial Corp.... 172,800
2,100 Letchworth Independent
Bancshares Corp.......... 117,600
6,100 MAF Bancorp, Inc........... 232,181
8,333 Mahaska Investment Co...... 176,035
8,533 Massbank Corp.............. 427,717
5,356 Mid-America Bancorp........ 172,062
</TABLE>
See accompanying notes to the financial statements.
3
<PAGE> 4
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
4,200 National Bank of Alaska.... $ 638,400
7,245 NBT Bancorp, Inc........... 202,860
1,000 New Hampshire Thrift
Bancshares, Inc.......... 21,500
8,800 Newmil Bancorp, Inc........ 118,800
2,000 NMBT Corp.................. 40,000
15,750 North County Bancorp*...... 245,109
6,300 Northrim Bank of Alaska.... 86,625
1,875 One Valley Bancorp......... 70,898
9,700 Pacific Bank N.A........... 516,525
12,800 PennFed Financial Services,
Inc...................... 232,000
16,100 Peoples Bancshares, Inc.... 402,500
200 Peoples Bank Corporation
Indianapolis............. 7,400
4,300 Peoples Heritage Finance
Group, Inc............... 207,475
4,500 PonceBank.................. 113,625
17,100 Poughkeepsie Financial
Corp..................... 192,375
5,300 Professional Bancorp,
Inc.*.................... 102,688
4,080 Progress Financial Corp.... 72,930
4,500 Progressive Bank, Inc...... 190,688
12,500 PVF Capital Corp.*......... 300,000
12,800 Redwood Empire Bancorp*.... 241,600
26,400 Reliance Bancorp, Inc...... 1,023,000
8,932 Royal Bancshares of
Pennsylvania, Class A.... 178,640
2,500 Sandwich Bancorp, Inc...... 158,125
61,100 Silicon Valley
Bancshares*.............. 3,730,918
3,700 Simmons First National
Corp., Class A........... 172,513
3,000 Skaneateles Bancorp,
Inc...................... 58,688
2,900 Southwest Bancorp.......... 81,200
18,200 Sterling Bancorp........... 493,675
7,600 Suffolk Bancorp............ 238,450
8,400 Sumitomo Bank of
California............... 315,000
14,615 UMB Financial Corp......... 891,515
123,300 UST Corp................... 3,498,637
3,000 Vermont Financial Services
Corp..................... 82,875
3,700 Westbank Corp.............. 61,050
16,400 WFS Financial, Inc.*....... 168,100
------------
57,303,497
------------
BUILDING--2.3%
22,600 AMREP Corp.*............... 218,938
30,900 Beazer Homes USA, Inc.*.... 793,744
2,500 C.H. Heist Corp.*.......... 19,688
81,300 Champion Enterprises,
Inc.*.................... 2,169,693
20,300 Dominion Homes, Inc.*...... 274,050
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING (CONTINUED)
5,100 Engle Homes, Inc........... $ 85,425
18,298 Fairfield Communities,
Inc.*.................... 403,700
120,900 Fleetwood Enterprises,
Inc...................... 5,629,405
21,400 Granite Construction,
Inc...................... 599,200
5,300 Insituform East, Inc....... 12,919
61,984 Lennar Corp................ 2,134,573
4,900 Liberty Homes, Inc., Class
A........................ 47,163
6,200 M/I Schottenstein Homes.... 135,625
2,100 Morrison Knudsen Corp.*.... 23,494
9,498 MYR Group, Inc............. 107,446
9,200 Perini Corp.*.............. 82,800
6,300 Pitt-Des Moines, Inc....... 302,400
4,920 Schult Homes Corp.......... 109,470
11,300 Skyline Corp............... 344,650
2,100 U.S. Home Corp.*........... 96,206
8,900 Walter Industries, Inc.*... 190,238
------------
13,780,827
------------
CHEMICALS--1.0%
13,200 American Vanguard, Inc..... 122,100
8,700 Bairnco Corp............... 95,700
8,900 Detrex Corp.*.............. 144,625
178,300 Ferro Corp................. 5,237,563
3,000 Fuller (H. B.) Co.......... 179,625
35,417 Pioneer Companies, Inc.,
Class A*................. 323,180
------------
6,102,793
------------
CONSTRUCTION
MATERIALS--0.8%
3,600 Ameron International,
Inc...................... 210,375
81,300 CalMat Co.................. 2,245,913
5,000 Continental Materials
Corp.*................... 140,625
5,300 Donnelly Corp.............. 99,375
61,900 Florida Rock Industries.... 1,768,019
100 United States Lime &
Minerals, Inc............ 781
------------
4,465,088
------------
DEFENSE--0.5%
53,700 Avondale Industries,
Inc.*.................... 1,543,875
8,250 Cubic Corp................. 193,875
6,766 Herley Industries, Inc.*... 94,301
24,500 Primex Technologies,
Inc...................... 1,127,000
------------
2,959,051
------------
DRUGS--0.4%
75,100 Alpharma, Inc., Class A.... 1,628,731
87,800 Copley Pharmaceutical,
Inc.*.................... 614,600
13,200 Gamma Biologicals, Inc..... 61,875
</TABLE>
See accompanying notes to the financial statements.
4
<PAGE> 5
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
5,720 New Brunswick Scientific,
Inc.*.................... $ 57,200
16,300 Polymedica Corp.*.......... 199,675
------------
2,562,081
------------
DURABLES--0.1%
39,300 Huffy Corp................. 636,169
4,688 Rexhall Industries,
Inc.*.................... 23,147
4,900 Thor Industries, Inc....... 200,594
------------
859,910
------------
ELECTRIC UTILITIES--0.2%
3,400 Central Hudson Gas......... 148,325
41,900 Public Service Company of
New Mexico............... 1,023,931
------------
1,172,256
------------
ELECTRONICS--7.6%
7,100 Active Voice Corp.*........ 93,188
29,500 Acuson Corp.*.............. 534,688
5,200 Aeroflex, Inc.*............ 68,900
52,900 Alpha Industries, Inc.*.... 816,644
3,100 American Technical Ceramics
Corp.*................... 34,488
3,500 AMX Corp.*................. 30,625
22,000 Applied Signal Technology,
Inc.*.................... 396,000
68,400 ATL Ultrasound, Inc.*...... 3,479,849
23,000 Aydin Corp.*............... 286,063
1,900 Badger Meter, Inc.......... 68,163
800 Beckman Coulter, Inc.*..... 45,850
25,100 Bel Fuse, Inc.*............ 574,163
2,000 BioLogic Systems Corp.*.... 9,500
14,700 Burr-Brown Corp.*.......... 367,500
20,000 Centigram Communications
Corp.*................... 265,000
39,000 CMC Industries, Inc.*...... 399,750
34,800 Cobra Electronics Corp.*... 217,500
8,500 Cognitronics Corp.*........ 138,656
68,400 Coherent, Inc.*............ 1,654,425
49,400 Cohu, Inc.................. 1,877,199
42,600 Comdial Corp.*............. 468,600
56,500 CTS Corp................... 1,917,468
25,200 Dallas Semiconductor
Corp..................... 847,350
25,600 Data I/O Corp.*............ 132,800
60,900 Datascope Corp.*........... 1,583,400
1,000 Datron Systems,
Inc.--California*........ 8,250
900 Diodes, Inc.*.............. 8,888
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
1,000 Espey Manufacturing &
Electronics Corp......... $ 15,250
67,700 Fluke Corp................. 1,616,338
2,650 Frequency Electronic,
Inc...................... 38,425
5,400 General Microwave Corp.*... 45,225
2,900 Giga-Tronics, Inc.*........ 18,850
9,450 Harmon Industries, Inc..... 192,544
12,800 Hurco Companies, Inc.*..... 100,800
15,200 IEC Electronics Corp.*..... 138,700
55,000 Integrated Circuit Systems,
Inc.*.................... 1,151,563
84,300 Invacare Corp.............. 2,191,799
3,200 K Tron International,
Inc.*.................... 54,800
34,800 Keithley Instruments,
Inc...................... 289,275
12,600 Kewaunee Scientific
Corp..................... 144,900
72,600 Marquette Medical
Systems*................. 2,014,649
6,500 Medstone International,
Inc.*.................... 64,188
14,100 Meridian Medical
Technology, Inc.*........ 197,400
5,700 MFRI, Inc.*................ 48,450
50,600 Microsemi Corp.*........... 834,900
3,700 Mine Safety Appliances
Co....................... 255,300
7,500 Minntech Corp.............. 94,219
12,800 Moore Products Co.......... 420,800
17,300 Mosaix, Inc.*.............. 203,275
60,350 Movado Group, Inc.......... 1,742,606
37,600 MTS Systems Corp........... 601,600
9,300 Napco Security Systems,
Inc.*.................... 48,825
4,800 Newport Corp............... 94,800
43,800 Norstan, Inc.*............. 1,084,050
12,000 Optek Technology, Inc.*.... 307,500
12,800 Optical Coating Laboratory,
Inc...................... 164,800
10,000 Programming & Systems,
Inc.* (a)................ --
10,000 Read Rite Corp.*........... 138,125
30,200 Reliability, Inc.*......... 362,400
24,900 Relm Wireless Corp.*....... 143,175
91,900 Respironics, Inc.*......... 2,659,355
11,100 Robinson Nugent, Inc....... 59,663
5,500 Scherer Healthcare,
Inc.*.................... 20,625
47,600 Siliconix, Inc.*........... 1,784,999
49,900 Spacelabs Medical, Inc.*... 1,104,038
1,900 Span-America Medical
Systems, Inc............. 14,013
25,600 Sunrise Medical, Inc.*..... 408,000
1,400 Tech-Sym Corp.*............ 39,375
11,800 Teleflex, Inc.............. 495,600
</TABLE>
See accompanying notes to the financial statements.
5
<PAGE> 6
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
7,300 Thermo Optek Corp.*........ $ 127,750
15,100 Thermoquest Corp.*......... 271,800
9,300 Trident Microsystems,
Inc.*.................... 69,169
152,600 Uniphase Corp.*............ 6,418,737
23,100 Unit Instruments, Inc.*.... 196,350
11,100 Vicon Industries, Inc.*.... 129,038
8,500 Video Display Corp.*....... 83,938
------------
45,026,888
------------
FINANCIAL INVESTMENTS--0.7%
36,235 Allied Capital Corp........ 1,003,256
10,900 Cooper Life Sciences*...... 427,144
100 Echelon International
Corporation, Inc.*....... 2,213
10,712 Electro Rent Corp.*........ 511,498
10,400 Penn-Virginia Corp......... 302,900
3,300 Prime Capital Corp.*....... 17,738
22,900 PS Group Holdings, Inc..... 296,269
16,700 Refac Technology
Development Corp.*....... 158,650
12,200 White River Corp.*......... 1,097,999
------------
3,817,667
------------
FOOD--1.6%
38,300 Chock Full o' Nuts
Corp.*................... 296,825
10,300 Darling International,
Inc.*.................... 88,838
59,900 Dean Foods Co.............. 3,013,719
105,200 Earthgrains Co............. 4,648,524
66,400 M & F Worldwide Corp.*..... 601,750
1,100 Scope Industries, Inc...... 69,369
1,100 Seaboard Corp.............. 401,500
------------
9,120,525
------------
HEALTH--1.3%
50,000 Apogee, Inc.*.............. 112,500
9,900 Caretenders Healthcorp*.... 76,725
22,500 Equimed, Inc.*............. 433,125
74,000 Hanger Orthopedic Group,
Inc.*.................... 1,244,125
9,700 Home Health Corporation of
America*................. 26,978
500 Horizon Healthcare
Corp.*................... 12,188
10,506 National Home Health Care
Corp.*................... 43,337
9,200 Novacare, Inc.*............ 136,850
39,600 Option Care, Inc.*......... 168,300
2,700 Physicians Resource Group,
Inc.*.................... 9,956
139,100 Quest Diagnostics, Inc.*... 2,338,619
32,800 Sheridan Healthcare,
Inc.*.................... 557,600
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
19,200 Staff Builders, Inc., Class
A*....................... $ 43,200
133,000 Sun Healthcare Group,
Inc.*.................... 2,477,124
8,400 U.S. Homecare Corp.*....... 2,363
------------
7,682,990
------------
HOUSEHOLD--1.9%
62,200 ACX Technologies, Inc.*.... 1,488,912
10,000 American Biltrite, Inc..... 301,250
6,500 Andersen Group, Inc.*...... 50,375
3,400 Cherry Corp., Class B*..... 59,500
14,300 Continental Can Co.,
Inc.*.................... 558,594
4,000 Daktronics, Inc.*.......... 34,000
16,600 Escalade, Inc.*............ 334,075
8,200 Furon Co................... 194,238
14,800 Genlyte Group, Inc.*....... 284,900
17,200 Johnson Worldwide
Associates, Inc., Class
A*....................... 288,100
18,700 Katy Industries, Inc....... 355,300
122,000 Kimball International,
Inc., Class B............ 2,805,999
400 La-Z-Boy, Inc.............. 19,975
6,100 Mikasa, Inc................ 82,350
3,333 Nexus Corp.* (a)........... --
23,600 Norwood Promotional
Products, Inc.*.......... 469,050
7,950 Oneida, Ltd................ 242,475
6,100 Patrick Industries, Inc.... 94,931
24,200 Play By Play Toys &
Novelties, Inc.*......... 456,775
1,000 Quixote Corp............... 10,000
45,500 Riddell Sports, Inc.*...... 250,250
12,500 SL Industries, Inc......... 178,906
9,300 Stanley Furniture Co.,
Inc.*.................... 370,838
9,100 TAB Products Co............ 121,713
12,150 Thomas Industries, Inc..... 270,338
1,700 Trans-Lux Corp............. 23,163
17,100 Tredegar Industries,
Inc...................... 1,238,680
12,450 Virco Manufacturing
Corp..................... 300,356
1,000 West Co., Inc.............. 30,125
16,950 Wynn's International,
Inc...................... 385,613
------------
11,300,781
------------
INSURANCE--4.0%
59,100 Acceptance Insurance
Companies, Inc.*......... 1,407,319
400 American Financial Group... 17,350
25,000 Arthur J. Gallagher &
Co....................... 1,082,813
300 Citizens Corp.............. 9,338
</TABLE>
See accompanying notes to the financial statements.
6
<PAGE> 7
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,000 Crawford & Co., Class B.... $ 37,750
4,000 Donegal Group, Inc......... 93,500
24,000 E.W. Blanch Holdings,
Inc...................... 921,000
22,300 EMC Insurance Group,
Inc...................... 298,263
72,060 Fidelity National
Financial, Inc........... 2,648,205
32,800 Financial Security
Assurance Holdings,,
Ltd...................... 1,791,700
77,300 First American Financial
Corp..................... 4,947,199
4,400 Intercontinental Life
Corp.*................... 97,350
9,200 Kansas City Life Insurance
Co....................... 795,800
34,200 LandAmerica Financial
Group, Inc............... 1,547,550
16,000 Liberty Corp............... 816,000
7,500 Liberty Financial
Companies, Inc........... 296,719
9,800 National Insurance Group... 105,350
6,100 National Western Life
Insurance, Class A*...... 643,931
6,000 Nymagic, Inc............... 177,750
8,000 Professionals Insurance Co.
Management Group*........ 334,000
50,200 PXRE Corp.................. 1,556,200
800 Reliable Life Insurance
Co., Class A............. 89,600
14,200 Standard Management
Corp.*................... 105,613
13,900 Stewart Information
Services Corp............ 427,425
250,000 Willis Corroon Group
PLC--SP ADR.............. 3,343,749
------------
23,591,474
------------
LIQUOR & TOBACCO--0.1%
20,000 Coors (Adolph) Co., Class
B........................ 700,000
9,700 Swisher International
Group, Inc., Class A*.... 126,100
------------
826,100
------------
MACHINERY--6.2%
10,500 Allied Products Corp....... 244,781
9,700 Amistar Corp.*............. 36,375
40,600 Ampco-Pittsburgh Corp...... 751,100
30,800 Astec Industries, Inc.*.... 785,400
700 Ball Corp.................. 22,925
21,700 Barnes Group, Inc.......... 722,881
1,300 Brown & Sharpe
Manufacturing Co.*....... 15,438
3,700 BTU International, Inc.*... 16,188
14,400 Butler Manufacturing Co.... 518,400
4,300 Chemi-Trol Chemical Co..... 97,019
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
3,600 Chicago Rivet & Machine
Co....................... $ 167,400
9,800 Cincinnati Milacron,
Inc...................... 312,375
26,700 Dayton Superior Corp.*..... 539,006
2,300 Devlieg-Bullard, Inc.*..... 6,038
13,300 Engineered Support
Systems.................. 319,200
44,500 ESCO Electronics Corp.*.... 734,250
10,700 Farr Co.*.................. 205,975
20,200 Farrel Corp................ 123,725
1,900 Federal Screw Works........ 108,300
9,300 Franklin Electric Co.,
Inc...................... 637,050
900 Gardner Denver Machinery,
Inc.*.................... 26,663
12,700 Gehl Co.*.................. 271,463
21,300 Gencor Industries, Inc..... 619,031
11,200 General Magnaplate Corp.... 85,400
17,400 Gleason Corp............... 610,088
9,600 Gorman-Rupp Co............. 187,200
9,600 Graham Corp.*.............. 156,600
130,600 Griffon Corp.*............. 2,073,275
6,800 Hardinge, Inc.............. 232,050
6,700 Haskel International, Inc.,
Class A.................. 67,000
5,040 Hein-Werner Corp.*......... 35,280
50,300 Johnstown America
Industries, Inc.*........ 823,663
27,100 Kennametal, Inc............ 1,426,138
120,400 Lincoln Electric Co........ 5,493,249
29,100 Lufkin Industries, Inc..... 945,750
6,700 Mestek, Inc.*.............. 144,469
1,200 Middleby Corp.*............ 8,550
33,600 Nacco Industries, Inc.,
Class A.................. 4,502,399
1,100 Nortek, Inc.*.............. 35,200
5,550 Oilgear Co................. 98,513
4,400 Portec, Inc................ 67,925
13,100 Powell Industries, Inc.*... 140,006
92,400 Premark International,
Inc...................... 3,060,749
7,400 Quipp, Inc.*............... 113,775
18,000 Raytech Corp.*............. 92,250
3,125 Research, Inc.............. 15,625
10,000 Selas Corporation of
America.................. 100,000
5,800 Shiloh Industries, Inc.*... 130,500
9,200 SPX Corp.*................. 702,075
8,100 Starrett (L.S.) Co., Class
A........................ 314,888
2,600 Tecumseh Products Co.,
Class B.................. 146,575
1,500 Toro Co.................... 57,469
8,800 Transtechnology Corp....... 265,100
15,700 Twin Disc, Inc............. 506,325
101,400 Varco International,
Inc.*.................... 2,611,049
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE> 8
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
63,400 Varlen Corp................ $ 2,440,899
3,410 Westwood Corp.............. 4,689
29,800 Zurn Industries, Inc....... 1,411,775
------------
36,387,481
------------
MEDIA--3.6%
11,100 Advantage Media Group*..... 23,588
60,300 Bowne & Co., Inc........... 2,494,912
9,000 Courier Corp............... 256,500
500 Devon Group, Inc.*......... 29,375
50,600 Franklin Covey Co.*........ 1,230,213
4,600 Grey Advertising........... 1,706,600
129,500 Houghton Mifflin Co........ 4,127,812
14,300 K-Tel International,
Inc.*.................... 100,994
57,500 Media General, Inc., Class
A........................ 2,828,280
26,800 Merrill Corp............... 589,600
1,600 Metatec Corp.*............. 7,600
12,500 Plenum Publishing Corp..... 815,625
28,066 Pulitzer Publishing Co..... 2,241,772
18,700 Sinclair Broadcast Group,
Inc., Class A*........... 1,077,588
23,600 Standard Register Co....... 800,925
44,400 Standex International
Corp..................... 1,359,750
40,800 TMP Worldwide, Inc.*....... 1,300,500
------------
20,991,634
------------
METALS--4.3%
4,800 Brush Wellman, Inc......... 136,800
10,900 Chase Industries, Inc.*.... 337,219
49,400 Cleveland-Cliffs, Inc...... 2,655,250
3,600 Curtiss-Wright Corp........ 139,500
34,600 Encore Wire Corp.*......... 1,120,175
1,400 Foster (L.B.) Corp.*....... 7,525
5,800 General Housewares Corp.... 64,163
19,400 Insilco Corp.*............. 834,200
16,000 Lindberg Corp.............. 282,000
416,400 LTV Corp................... 5,465,249
48,200 Mueller Industries,
Inc.*.................... 3,051,662
74,400 NS Group, Inc.*............ 1,088,100
24,600 Roanoke Electric Steel
Corp..................... 507,375
9,800 Rouge Industries, Inc.,
Class A.................. 152,513
15,700 Steel of West Virginia,
Inc.*.................... 160,925
47,400 Superior TeleCom, Inc...... 1,978,950
104,200 Texas Industries, Inc...... 6,024,062
35,900 Wolverine Tube, Inc.*...... 1,440,488
------------
25,446,156
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS
FINANCIAL--3.0%
10,100 Advest Group, Inc.......... $ 248,713
16,900 Atalanta Sosnoff Capital
Corp..................... 178,506
18,600 Charles (J. W.) Financial
Services, Inc.*.......... 215,063
75,000 Eaton Vance Corp........... 3,614,062
28,400 Everen Capital Corp........ 1,253,150
1,500 Interstate/Johnson Lane,
Inc...................... 45,750
82,500 Jefferies Group, Inc....... 4,661,249
6,900 John Nuveen Co., Class A... 252,713
4,500 National Discount
Brokers*................. 52,313
114,700 Raymond James Financial,
Inc...................... 4,996,618
1,900 Ryan Beck & Co............. 19,475
50,390 Southwest Securities Group,
Inc...................... 1,392,024
19,110 Stifel Financial Corp...... 324,870
9,800 Value Line, Inc............ 420,175
------------
17,674,681
------------
OFFICE MACHINERY--2.3%
79,800 Baldwin Technology Company,
Inc., Class A*........... 438,900
101,100 BancTec, Inc.*............. 2,489,587
15,400 Dataram Corp.*............. 182,875
69,700 Digi International,
Inc.*.................... 1,921,105
18,400 Equinox Systems, Inc.*..... 393,300
27,000 General Binding Corp....... 879,188
47,700 Genicom Corp.*............. 578,363
50,600 Gerber Scientific, Inc..... 1,318,763
25,925 Gradco Systems, Inc.*...... 184,716
13,600 Key Tronic Corp.*.......... 42,500
39,400 Network Equipment
Technologies, Inc.*...... 640,250
38,200 Pinnacle Systems, Inc.*.... 1,446,825
13,300 Printronix, Inc.*.......... 222,775
53,500 PSC, Inc.*................. 611,906
4,000 Rainbow Technologies,
Inc.*.................... 103,000
33,200 Scan Optics, Inc.*......... 197,125
33,300 Stratus Computer, Inc.*.... 1,467,281
18,600 Thrustmaster, Inc.*........ 237,150
------------
13,355,609
------------
OIL--0.7%
49,300 American Resources of
Delaware*................ 135,575
10,800 Clayton Williams Energy,
Inc.*.................... 137,700
35,800 Devon Energy Corp.......... 1,391,725
17,800 Evergreen Resources,
Inc.*.................... 304,825
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE> 9
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
6,000 Hallwood Consolidated
Resources Corp.*......... $ 87,000
39,400 Houston Exploration Co.*... 849,563
3,100 Marine Petroleum Trust..... 55,800
25,600 Maynard Oil Co.*........... 281,600
23,000 Mitchell Energy &
Development, Class B..... 609,500
3,500 Petrocorp, Inc.*........... 28,875
24,000 Petroleum Development
Corp.*................... 142,500
3,600 Prima Energy Corp.*........ 64,800
------------
4,089,463
------------
OIL SERVICES--2.3%
53,600 American Oilfield Divers,
Inc.*.................... 773,850
25,000 Dawson Geophysical Co.*.... 396,875
4,000 Holly Corp................. 108,500
40 ICO, Inc.*................. 193
112,500 Oceaneering International,
Inc.*.................... 2,221,875
80,000 Pool Energy Services
Co.*..................... 1,870,000
36,400 RPC, Inc................... 445,900
108,500 Seitel, Inc.*.............. 1,641,063
114,800 Veritas DGC, Inc.*......... 5,804,574
------------
13,262,830
------------
OTHER UTILITIES--2.7%
380,200 Allied Waste Industries,
Inc.*.................... 9,493,118
7,100 Atrion Corp................ 79,875
1,800 California Water Sevice.... 48,713
1,000 Connecticut Services,
Inc...................... 32,625
2,700 Dominguez Services Corp.... 51,300
12,700 Eastern Enterprises........ 546,099
1,000 Essex County Gas Co........ 46,125
500 Fluor Daniel/GTI, Inc.*.... 4,813
13,600 GZA GeoEnvironmental
Technologies, Inc.*...... 68,000
15,600 Harding Lawson Associates
Group*................... 145,275
10,400 NSC Corp................... 20,800
6,600 Providence Energy Corp..... 138,188
800 Roanoke Gas Co............. 17,800
3,700 SJW Corp................... 260,388
8,600 Southern California Water
Co....................... 223,600
3,465 Southwest Water Co......... 53,708
15,300 TRC Companies, Inc.*....... 75,544
8,100 Washington Gas Light Co.... 221,738
89,400 Wicor, Inc................. 4,324,724
------------
15,852,433
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER--1.1%
10,000 ABT Building Products
Corp.*................... $ 165,000
27,600 American Woodmark Corp..... 717,600
11,300 Baltek Corp.*.............. 108,056
1,000 Carmel Container Systems
Ltd.*.................... 6,875
2,800 CSS Industries, Inc.*...... 91,875
28,600 Drypers Corp.*............. 196,625
20,300 Fibermark, Inc.*........... 473,244
3,400 Holopak Technologies,
Inc.*.................... 10,200
4,800 Rayonier, Inc.............. 219,300
166,700 Rock-Tenn Co., Class A..... 2,656,781
8,200 THT, Inc.*................. 29,213
23,600 TJ International, Inc...... 755,200
6,900 Tufco Technologies,
Inc.*.................... 60,375
12,400 Ultra Pac, Inc.*........... 189,100
43,120 Wausau-Mosinee Paper
Corp..................... 994,455
------------
6,673,899
------------
REAL ESTATE ASSETS--7.0%
14,500 Abrams Industries, Inc..... 114,188
91,600 American General
Hospitality Corp......... 2,536,175
12,200 Angeles Mortgage Investment
Trust, Class A........... 228,750
102,700 Brandywine Realty Trust.... 2,445,544
70,600 Capstone Capital Corp...... 1,716,463
57,200 CB Commercial Real Estate
Services Group, Inc.*.... 2,288,000
1,900 CBL & Associates
Properties, Inc.......... 46,550
45,200 Commercial Assets, Inc..... 299,450
1,700 DeWolfe Companies, Inc.*... 10,625
19,500 Essex Property Trust,
Inc...................... 669,094
80,200 Excel Realty Trust, Inc.... 2,857,125
16,500 FAC Realty Trust, Inc.*.... 161,906
92,100 Felcor Suite Hotels,
Inc...................... 3,413,455
148,600 First Industrial Realty
Trust, Inc............... 5,349,599
900 Florida East Coast
Industries, Inc.......... 100,013
3,400 FM Properties, Inc.*....... 19,550
1,400 Franklin Select Realty
Trust.................... 9,100
31,100 Highwoods Properties,
Inc...................... 1,098,219
93,700 Hospitality Properties
Trust.................... 3,320,493
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE> 10
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS
(CONTINUED)
11,900 ILX Resorts, Inc.*......... $ 81,813
25,800 Impac Mortgage Holdings,
Inc...................... 440,213
8,600 INMC Mortgage Holdings,
Inc...................... 215,000
128,200 Innkeepers USA Trust....... 2,099,275
2,000 Kaiser Ventures, Inc.*..... 26,375
7,000 Kennedy-Wilson, Inc.*...... 240,625
36,000 Lexford Residential
Trust*................... 724,500
3,100 LNR Property............... 82,925
10,300 Mays (J.W.), Inc.*......... 139,050
110 New Mexico & Arizona Land
Co.*..................... 1,519
13,900 Omega Healthcare Investors,
Inc...................... 542,100
123,000 Prentiss Properties
Trust.................... 3,213,375
27,000 Price Enterprises, Inc..... 516,375
700 Realty Income Corp......... 19,031
3,400 Resurgence Properties,
Inc...................... 4,675
57,100 Security Capital
Atlantic................. 1,199,100
44,600 Shurgard Storage Centers,
Class A.................. 1,254,375
14,000 Sovran Self Storage,
Inc...................... 415,625
117,500 Taubman Centers, Inc....... 1,534,844
23,200 Thornburg Mortgage Asset
Corp..................... 368,300
10,900 United Capital Corp.*...... 257,513
42,600 Walden Residential
Properties, Inc.......... 1,075,650
1,957 Wilshire Oil of Texas...... 11,008
------------
41,147,565
------------
RETAIL/WHOLESALE--7.8%
1,500 Aceto Corp................. 33,000
16,700 Advanced Marketing
Services, Inc.*.......... 313,125
86,600 Ames Department Stores,
Inc.*.................... 1,829,424
80,900 Anixter International,
Inc.*.................... 1,491,594
4,000 Arden Group, Inc., Class
A*....................... 568,000
3,552 Bell Industries, Inc.*..... 50,172
14,400 Bell Microproducts,
Inc.*.................... 108,000
170,200 BJ's Wholesale Club,
Inc.*.................... 6,637,799
32,200 Bon-Ton Stores, Inc.*...... 491,050
102,220 Burlington Coat Factory
Warehouse................ 1,776,072
17,600 Cameron Ashley Building
Products*................ 322,300
1,200 Carr-Gottstein Foods
Co.*..................... 6,525
15,000 Cash America International,
Inc...................... 243,750
34,500 Catherines Stores Corp.*... 271,688
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
7,600 Cole National Corp., Class
A*....................... $ 293,550
1,100 Crowley Milner & Co.*...... 7,700
16,100 D & K Healthcare
Resources*............... 217,350
8,800 D.I.Y. Home Warehouse,
Inc.*.................... 24,750
500 DEB Shops, Inc............. 3,500
6,600 Discount Auto Parts,
Inc.*.................... 160,050
57,800 Dominick's Supermarkets,
Inc.*.................... 2,629,899
7,300 Dress Barn, Inc.*.......... 209,875
64,900 Drug Emporium, Inc.*....... 271,769
7,400 Evans, Inc.*............... 7,863
49,700 Ezcorp, Inc., Class A*..... 590,188
6,000 Fabric Centers of America,
Class A*................. 186,750
1,300 Fingerhut Companies........ 33,719
1,600 Foodarama Supermarkets*.... 58,800
53,500 Friedman's, Inc., Class
A*....................... 1,086,719
15,219 Genovese Drug Stores, Class
A........................ 336,720
26,300 Goody's Family Clothing,
Inc.*.................... 1,163,775
5,400 Government Technology
Services*................ 29,025
5,800 Hancock Fabrics, Inc....... 90,263
3,700 Haverty Furniture
Companies, Inc........... 69,375
14,333 Herbalife International,
Class A.................. 361,908
22,566 Herbalife International,
Class B.................. 534,532
31,000 Homebase, Inc.*............ 259,625
3,600 IIC Industries, Inc.*...... 38,981
8,700 Insurance Auto Auctions,
Inc.*.................... 95,700
78,900 International Multi-Foods
Corp..................... 2,362,068
1,700 Jan Bell Marketing,
Inc.*.................... 8,075
7,600 Jos. A. Bank Clothiers,
Inc.*.................... 57,000
8,600 Krug International
Corp.*................... 47,300
65,700 Linens 'N Things, Inc.*.... 3,609,393
13,800 Marsh Supermarkets, Inc.,
Class A.................. 215,625
2,500 McRae Industries, Class
A........................ 19,688
9,600 Moore Medical Corp.*....... 109,200
5,700 Noland Co.................. 133,950
14,100 Pamida Holdings*........... 70,500
13,500 Perfumania, Inc.*.......... 35,438
1,000 Pharmhouse Corp.*.......... 5,250
23,500 Piercing Pagoda, Inc.*..... 734,375
25,600 Programmer's Paradise,
Inc.*.................... 243,200
600 Rag Shops, Inc.*........... 1,688
</TABLE>
See accompanying notes to the financial statements.
10
<PAGE> 11
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
11,748 Reeds Jewelers, Inc.*...... $ 45,524
4,300 Republic Automotive Parts,
Inc.*.................... 77,938
72,700 Ruddick Corp............... 1,349,494
5,850 Schultz Sav-o Stores,
Inc...................... 97,988
9,400 Seaway Food Town, Inc...... 263,200
5,700 Shoe Carnival, Inc.*....... 61,275
34,700 Shopko Stores, Inc.*....... 1,099,556
21,300 Software Spectrum, Inc.*... 463,275
7,300 Sound Advice, Inc.*........ 21,672
11,000 Speizman Industries,
Inc.*.................... 78,375
16,500 Sport Chalet, Inc.*........ 82,500
70,600 Stanhome, Inc.............. 1,901,787
29,000 Syms Corp.*................ 409,625
19,500 Syncor International
Corp.*................... 354,656
44,300 Trans World Entertainment
Corp.*................... 1,229,325
6,700 Ultimate Electronics,
Inc.*.................... 23,450
12,600 Unapix Entertainment,
Inc.*.................... 58,275
55,400 United Retail Group,
Inc.*.................... 349,713
28,200 United Stationers, Inc.*... 1,743,113
46,400 Value City Department
Stores, Inc.*............ 785,900
10,700 Village Supermarket, Inc.,
Class A*................. 137,763
6,000 Western Beef, Inc.*........ 45,750
169,200 Zale Corp.*................ 4,885,649
------------
46,123,438
------------
SERVICES--15.2%
6,900 ABM Industries, Inc........ 214,331
280,700 A. C. Nielsen Corp.*....... 7,421,005
64,000 Activision, Inc.*.......... 688,000
113,800 ADVO, Inc.*................ 3,143,725
38,200 American Business
Information, Class A*.... 501,375
90,000 American Business
Information, Class B*.... 1,282,500
7,800 Analysis & Technology,
Inc...................... 167,700
20,000 Analysts International
Corp..................... 585,000
42,300 Ardent Software, Inc.*..... 613,350
11,600 ASA International Ltd.*.... 21,750
49,100 Automobile Protection
Corp.*................... 653,644
30,900 Baker (Michael) Corp.*..... 305,138
34,600 Barra, Inc.*............... 986,100
8,500 Berlitz International,
Inc.*.................... 230,031
1,000 Butler International,
Inc.*.................... 22,000
49,500 CDI Corp.*................. 2,131,594
28,300 Chemed Corp................ 1,160,300
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
12,000 Children's Discovery
Centers*................. $ 144,188
11,900 CPI Corp................... 301,219
20,600 Datastream Systems,
Inc.*.................... 455,775
150,700 Discreet Logic, Inc.*...... 2,458,294
3,800 Duff & Phelps Credit Rating
Co....................... 191,425
44,600 Education Management
Corp.*................... 1,516,400
45,000 Emcon, Inc.*............... 219,375
35,600 Exponent, Inc.*............ 356,000
7,350 FDP Corp................... 81,309
5,600 General Automation,
Inc.*.................... 7,350
8,200 Group 1 Software, Inc.*.... 61,500
26,200 GT Interactive Software
Corp.*................... 186,675
57,800 Harbinger Corp.*........... 2,181,950
300 Healthcare Services Group,
Inc.*.................... 4,350
57,900 Infinium Software, Inc.*... 1,154,381
145,900 Information Resources,
Inc.*.................... 2,370,875
154,600 Intergraph Corp.*.......... 1,309,269
173,000 Interim Services, Inc.*.... 5,838,750
27,800 International Microcomputer
Software, Inc.*.......... 437,850
105,100 Intersolv, Inc.*........... 1,885,231
82,900 Kelly Services, Inc., Class
A........................ 3,108,750
24,000 LCS Industries............. 387,000
9,800 Liberty Technologies,
Inc.*.................... 33,075
1,100 M/A/R/C, Inc............... 16,431
15,100 MacNeal-Schwendler
Corp.*................... 178,369
5,600 Mapinfo Corp.*............. 65,100
1,200 Market Facts, Inc.*........ 23,700
5,600 Marlton Technologies,
Inc.*.................... 39,900
64,500 Metromail Corp.*........... 2,233,313
16,000 Midway Games, Inc.*........ 367,000
8,610 Monro Muffler Brake,
Inc.*.................... 143,141
210,600 National Computer Systems,
Inc...................... 4,738,500
18,000 National Technical Systems,
Inc...................... 149,906
20,000 Norrell Corp............... 451,250
12,100 Opinion Research Corp.*.... 74,869
33,800 PCA International, Inc..... 760,500
120,800 Personnel Group of America,
Inc.*.................... 2,748,200
4,200 Personnel Management,
Inc.*.................... 58,800
8,850 Pinkertons, Inc.*.......... 204,103
119,600 Platinum Technology,
Inc.*.................... 3,079,700
54,200 Policy Management Systems
Corp.*................... 4,352,938
61,300 Progress Software Corp.*... 1,839,000
37,800 Regis Corp................. 1,134,000
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE> 12
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
36,200 Renaissance Worldwide,
Inc.*.................... $ 993,238
7,900 SEI Investment Co.......... 539,175
43,700 Siebel Systems, Inc.*...... 1,256,375
74,000 Snyder Communications,
Inc.*.................... 3,468,750
3,100 SofTech, Inc.*............. 13,563
1,600 Spire Corp.*............... 20,400
37,700 SPS Transaction Services,
Inc.*.................... 1,046,175
35,700 Stone & Webster, Inc....... 1,668,975
31,400 Symix Systems, Inc.*....... 565,200
74,200 Systems & Computer
Technology Corp.*........ 3,060,750
13,900 Techforce Corp.*........... 121,191
29,200 Thomas Group, Inc.*........ 262,800
62,396 Titan Corp.*............... 409,474
6,250 Trio Tech International*... 33,203
37,300 Unifirst Corp.............. 1,044,400
17,100 URS Corp.*................. 269,325
3,900 Wang Laboratories, Inc.*... 120,656
79,900 Yahoo!, Inc.*.............. 7,385,758
------------
89,756,662
------------
SOAPS & COSMETICS--0.2%
22,866 Block Drug Company, Inc.,
Class A.................. 960,372
39,200 Cascade International,
Inc.* (a)................ --
8,650 Del Laboratories, Inc...... 276,800
30,200 Scott's Liquid Gold,
Inc...................... 94,375
------------
1,331,547
------------
TELEPHONE--0.5%
24,400 Atlantic Tele-Network,
Inc.*.................... 268,400
1,600 Commonwealth Telephone
Enterprise*.............. 45,000
2,900 Emerging Communications
Corp.*................... 20,300
11,000 Hector Communications
Corp.*................... 130,625
2,000 Pricellular Corp., Class
A*....................... 25,500
5,100 Primus Telecommunications
Group*................... 147,900
53,200 United Video Satellite
Group, Inc., Class A*.... 2,261,000
------------
2,898,725
------------
TEXTILES--2.6%
29,100 Burlington Industries,
Inc.*.................... 511,069
16,000 Concord Fabrics, Inc.,
Class A*................. 150,000
10,300 Decorator Industries,
Inc...................... 108,150
52,900 Dixie Group, Inc........... 611,656
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
7,800 Dyersburg Corp............. $ 60,938
30,900 G-III Apparel Group,
Ltd.*.................... 185,400
10,000 Guilford Mills, Inc........ 295,000
43,900 Haggar Corp................ 647,525
1,500 Hallwood Group, Inc.*...... 48,750
8,300 Hampton Industries*........ 61,213
4,000 Jaclyn, Inc.*.............. 20,000
103,400 Kellwood Co................ 3,192,475
20,700 Maxwell Shoe Company, Inc.,
Class A*................. 327,319
12,150 Mohawk Industries, Inc.*... 382,725
14,800 Norton McNaughton, Inc.*... 71,225
38,000 Oshkosh B'Gosh, Inc., Class
A........................ 1,517,625
11,800 Oxford Industries, Inc..... 370,225
9,226 Pillowtex Corp............. 446,884
8,500 Polymer Group, Inc.*....... 111,031
15,200 Quaker Fabric Corp.*....... 387,600
60,400 Springs Industries, Class
A........................ 3,318,224
30,700 Supreme International
Corp.*................... 383,750
25,300 Timberland Co., Class A*... 1,808,950
31,200 Vans, Inc.*................ 331,500
2,000 Weyco Group, Inc........... 44,000
------------
15,393,234
------------
TRANSPORTATION--0.9%
12,200 B & H Ocean Carriers
Ltd.*.................... 53,375
9,700 Boyd Brothers
Transportation*.......... 89,725
16,200 Consolidated
Freightways*............. 275,400
14,400 Intrav, Inc................ 208,800
27,100 Kitty Hawk, Inc.*.......... 596,200
10,800 Mark VII, Inc.*............ 194,400
6,150 Marten Transport, Ltd.*.... 112,238
4,400 MTL, Inc.*................. 169,400
15,500 Oglebay Norton Co.......... 639,375
5,400 Old Dominion Freight
Line*.................... 92,475
97,900 Pittston Burlington
Group.................... 1,529,687
39,700 Roadway Express, Inc....... 975,131
12,000 Yellow Corp.*.............. 229,500
------------
5,165,706
------------
TRAVEL/ENTERTAINMENT--3.2%
18,900 Ark Restaurants Corp.*..... 217,350
16,300 Back Bay Restaurant
Group*................... 120,213
3,000 Benihana, Inc.*............ 39,563
17,100 Bertucci's, Inc.*.......... 131,456
10,300 BFX Hospitality Group,
Inc.*.................... 25,106
32,200 Bob Evans Farms, Inc....... 682,238
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE> 13
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
70,865 Budget Group, Inc., Class
A*....................... $ 2,657,437
174,100 Buffets, Inc.*............. 2,393,874
14,200 Davco Restaurants, Inc.*... 280,450
3,900 Elxsi Corp.*............... 56,063
19,600 Garden Fresh Restaurant
Corp.*................... 366,275
59,900 Host Marriott Services
Corp.*................... 846,088
18,600 Inland Entertainment
Corp.*................... 52,313
41,700 Lone Star Steakhouse &
Saloon*.................. 946,068
25,400 Luby's Cafeteria, Inc...... 482,600
2,700 Main Street & Main,
Inc.*.................... 8,775
450 Marcus Corp................ 7,931
1,300 Max & Erma's Restaurant,
Inc.*.................... 8,531
600 Monarch Casino & Resort.... 3,525
65,300 Movie Gallery, Inc.*....... 497,913
10,000 Nathan's Famous, Inc.*..... 40,000
27,700 NPC International, Inc.*... 367,025
21,500 Piccadilly Cafeterias,
Inc...................... 271,438
5,000 PLM International, Inc.*... 29,688
15,400 Premier Parks, Inc.*....... 893,200
6,200 Quintel Entertainment,
Inc.*.................... 34,100
33,500 Reading Entertainment,
Inc.*.................... 443,875
87,200 Red Roof Inns, Inc.*....... 1,591,399
900 Riviera Holdings Corp.*.... 9,788
16,100 Ruby Tuesday, Inc.......... 507,150
240,200 Ryan's Family Steak Houses,
Inc.*.................... 2,176,812
12,200 Sbarro, Inc................ 359,900
27,600 Showbiz Pizza*............. 919,424
700 Skyline Chili, Inc.*....... 4,769
8,300 Sonesta International
Hotels Corp., Class A.... 112,050
16,700 Spaghetti Warehouse,
Inc.*.................... 115,856
1,000 Supertel Hospitality,
Inc.*.................... 12,250
74,500 Taco Cabana, Inc., Class
A*....................... 512,188
100 UNO Restaurant Corp.*...... 713
11,700 VICORP Restaurants,
Inc.*.................... 214,988
65,900 Video Update, Inc., Class
A*....................... 226,531
3,700 Wall Street Deli, Inc.*.... 12,950
------------
18,679,863
------------
TOTAL COMMON STOCKS (COST
$496,185,256)--98.1%..... 578,073,544
============
MARKET VALUE
------------
REPURCHASE AGREEMENTS--3.2%
BANKING--3.2%
State Street Bank, dated 3/31/98, due
4/1/98 at 5.00% with a maturity value of
$18,737,602 (Collateralized by
$13,760,000 U.S. Treasury Note, 9.125%,
5/15/18, market value--$19,114,374)...... $18,735,000
------------
TOTAL REPURCHASE AGREEMENTS (COST
$18,735,000)............................. 18,735,000
------------
SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED--2.6%
Seven Seas Prime, 5.45%.................. 1,296,325
Dreyfus Government, 5.39%................ 112,700
Federated Treasury Obligations, 5.72%.... 15,192
ACM Prime, 5.46%......................... 594,260
AMR, 5.40%............................... 5,823,056
Goldman Financial Square Prime, 5.51%.... 48,507
PNC Temp Fund, 5.44%..................... 126,271
PNC Treasury Fund, 5.58%................. 4,708,531
JANUS Government, 5.76%.................. 279,976
JANUS Money Market Fund, 5.60%........... 2,079,663
SEI Prime Obligation, 5.51%.............. 327,039
------------
TOTAL SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED...................... 15,411,520
============
TOTAL INVESTMENTS (COST $530,331,776)(B)
- --103.9%................................. 612,220,064
COLLATERAL AS SECURITIES
LOANED--(2.6%)........................... (15,411,520)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS--(1.3%)........................... (7,745,592)
------------
TOTAL NET ASSETS--100.0%................. $589,062,952
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) At March 31, 1998, the aggregate cost of investment securities for income
tax purposes was $531,132,367. Cost for federal income tax purposes differs
from value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized
appreciation.......... $ 90,554,654
Unrealized
depreciation.......... (9,466,957)
------------
Net unrealized
appreciation.......... $ 81,087,697
============
</TABLE>
See accompanying notes to the financial statements.
13
<PAGE> 14
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
Value stocks were seriously battered in 1997, in most part due to the
hysteria triggered by mishandled financial systems and badly timed fiscal
policies. In this environment, value stocks behaved more like speculative assets
requiring significant pricing discounts. Based on a BARRA-like attribution
analysis over the period, momentum stocks (high relative strength) outperformed
value stocks (high book to price) by more than 7% on an annualized basis, a very
rare case in the last 25 years. Because our investment strategies tend to favor
stocks with negative relative strength and a value bias, Rosenberg's investment
strategies experienced significant losses from these unusual market pressures
during this period.
We do not plan to change Rosenberg's strategy for the Japan Fund in 1998. A
sudden but short reversal of fortune by value stocks in January and February
this year convinced us that a shift of our long-term strategy would only add
another dimension of risk to the Fund's performance. We believe that equity
markets are globally traded based on rational pricing justified by underlying
fundamental and earnings prospects. The Japanese equity market is no exception
to this long-term investment principle.
- ---------------
International investing involves increased risk and volatility.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS--100.3%
AUTOS--6.7%
2,000 Aisan Industry Co., Ltd.... $ 7,799
2,000 Daihatsu Motor Co., Ltd.... 7,724
700 Exedy Corp................. 4,210
1,000 Honda Motor Co., Ltd....... 35,995
1,000 Yachiyo Industry Co.,
Ltd...................... 5,812
------------
61,540
------------
BANKING--12.9%
4,000 The Bank of
Tokyo -- Mitsubishi,
Ltd...................... 48,594
1,000 The Chugoku Bank, Ltd...... 13,423
1,000 The Industrial Bank of
Japan, Ltd............... 6,824
2,000 The Mitsui Trust & Banking
Co., Ltd................. 4,694
5,000 The Sanwa Bank, Ltd........ 44,619
------------
118,154
------------
BUILDING--1.3%
2,000 Maeda Corp................. 6,149
2,000 SXL Corp................... 5,474
------------
11,623
------------
CHEMICALS--3.7%
2,000 Asahi Chemical Industry
Co., Ltd................. 7,469
2,000 Hitachi Chemical Co.,
Ltd...................... 12,208
1,000 Sumitomo Rubber Industries,
Ltd...................... 5,197
3,000 Teijin Ltd................. 8,886
------------
33,760
------------
COMPUTER--4.5%
3,000 Fujitsu Ltd................ 31,271
1,000 NEC Corp................... 10,049
------------
41,320
------------
DRUGS--5.9%
1,000 Dai-Ichi Pharmaceutical
Co., Ltd................. 12,673
1,000 Hisamitsu Pharmaceutical
Co., Inc................. 6,944
1,000 Yamanouchi Pharmaceutical
Co., Inc................. 22,947
2,000 Yoshitomi Pharmaceutical
Industries, Ltd.......... 11,594
------------
54,158
------------
ELECTRIC UTILITIES--3.9%
1,000 Kansai Electric Power Co.
Inc...................... 16,798
1,000 The Tokyo Electric Power
Co., Inc................. 18,897
------------
35,695
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS--23.8%
3,000 Alps Electric Co., Ltd..... $ 25,422
2,000 Alpine Electronics, Inc.... 17,548
1,000 Matsushita Communication
Industrial Co., Ltd...... 32,021
4,000 Matsushita Electric
Industrial Co., Ltd...... 64,191
2,000 New Japan Radio Co., Ltd... 5,774
2,000 Nippon Chemi-Con Corp...... 6,839
500 Sony Corp.................. 42,369
2,000 Tamura Corp................ 7,349
2,000 Victor Co. of Japan, Ltd... 16,198
------------
217,711
------------
FOOD--0.4%
3,000 Maruha Corp................ 3,555
------------
HOUSEHOLD--1.1%
1,000 Yamaha Corp................ 9,749
------------
INSURANCE--1.4%
2,000 The Dai-Tokyo Fire & Marine
Insurance Co., Ltd....... 7,859
1,000 The Nichido Fire & Marine
Insurance Co., Ltd....... 5,399
------------
13,258
------------
LIQUOR & TOBACCO--2.0%
2,000 Kirin Brewery Co., Ltd..... 17,848
------------
MACHINERY--4.2%
2,000 Amada Sonoike Co., Ltd..... 5,399
3,000 Fuji Electric Co. Ltd...... 10,281
3,000 Furukawa Co., Ltd.......... 4,927
2,000 Sintokogio, Ltd............ 8,549
1,000 THK Co., Ltd............... 9,674
------------
38,830
------------
MEDIA--1.3%
200 Asahi Broadcasting Corp.... 11,548
------------
METALS--3.4%
3,000 Dowa Mining Co., Ltd....... 7,941
2,000 Hitachi Metals, Ltd........ 7,949
3,000 Mitsubishi Cable
Industries, Ltd.......... 6,817
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
3,000 Mitsubishi Materials
Corp..................... $ 5,759
3,000 NKK Corp................... 2,700
------------
31,166
------------
MISCELLANEOUS
FINANCIAL--3.9%
3,000 The Nomura Securities Co.,
Ltd...................... 35,320
------------
OFFICE MACHINERY--5.8%
3,000 Asahi Optical Co., Ltd..... 6,862
1,000 Fuji Photo Film Co., Ltd... 37,195
2,000 Konica Corp................ 9,089
------------
53,146
------------
OIL DISTRIBUTION--1.3%
2,000 Showa Shell Sekiyu K.K..... 12,028
------------
PAPER--1.2%
2,000 Daio Paper Corp............ 11,114
------------
REAL ESTATE ASSETS--1.3%
2,000 Sumitomo Realty &
Development Co., Ltd..... 11,788
------------
RETAIL/WHOLESALE--4.0%
4,000 Itochu Corp................ 9,599
3,000 Mitsui & Co., Ltd.......... 19,078
3,000 Nissho Iwai Corp........... 8,211
------------
36,888
------------
SERVICES--2.5%
1,000 Hitachi Information Systems
Ltd...................... 9,749
2,000 Intec Inc.................. 13,348
------------
23,097
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION--3.8%
2,000 Seino Transportation Co.,
Ltd...................... $ 13,303
3,000 Tobu Railway Co., Ltd...... 9,696
3,000 Tokyu Corp................. 12,148
------------
35,147
------------
TOTAL COMMON STOCKS (COST
$1,069,041)--100.3%...... 918,443
------------
TOTAL INVESTMENTS (COST
$1,069,041)
(A)--100.3%.............. 918,443
LIABILITIES IN EXCESS OF
OTHER ASSETS--(0.3)%..... (2,553)
------------
TOTAL NET ASSETS--100.0%... $ 915,890
============
</TABLE>
- ---------------
(a) At March 31, 1998, the aggregate cost of investment securities for income
tax purposes was $1,069,041. Cost for federal income tax purposes differs
from value by net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation.... $ 48,241
Unrealized depreciation.... (198,839)
---------
Net unrealized
depreciation............. $(150,598)
=========
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE> 17
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The international markets have gone through a tumultuous year. For the year
ended March 31,1998, international small stocks, as measured by the Cazenove
Rosenberg Global Smaller Companies Index excluding the U.S. (CRIexUS),(1) gained
0.46%. During the same period, international large stocks, as measured by the
Morgan Stanley Capital International Europe, Australasia, and Far East Standard
Index (MSCI Standard EAFE), gained 18.92%. The imminent Economic Monetary Union
(EMU) in Europe, the continued weakness in the Asian markets and the
long-awaited small stock recovery have been the predominant themes in
international markets lately.
In an effort to qualify for EMU entry, European countries have been making
remarkable progress in reducing domestic inflation and deficits. Companies
across Europe are benefiting from falling interest rates, and domestic sentiment
continues to improve. The financial crisis in Asia has not yet impacted the
European markets. In 1997, small stocks in Europe gained only 6%, while large
stocks posted gains of over 24%.(2) In 1998, the performance gap between large
and small European stocks has narrowed significantly. During the first quarter,
European small stocks returned 20%; comparable to the returns posted by large
European companies. Large companies have been the immediate beneficiaries of the
strong U.S. dollar since 1997. Small companies are now reaping the benefit as
domestic sentiment continues to climb and domestic consumption accelerates. For
the year ended March 31, 1998, small stocks in Italy returned an impressive
116%, followed by a 47% gain in Spain. Both countries have been successful in
reforming their economies, and this has propelled these markets to reach new
heights.
The picture is much gloomier for the markets in Asia. In Japan, the
numerous enacted financial stimulus packages failed to address the fundamental
problem of the economy, and investors have been responding with indifference and
disappointment. To emerge from its 10-year malaise, Japan will need to take
bolder steps to overhaul its economic structure. Due to low investors'
confidence, Japanese small stocks were severely penalized relative to large
stocks in 1997. In 1998, we are observing a strong reversal. In the first
quarter of 1998, Japanese small stocks returned 16%, surpassing the 2% gain from
large stocks. Comparing the valuation ratios between small and large stocks,
despite the recent rally, small stocks are still trading at below the historical
average. The rest of Asia is still struggling through the economic crisis. While
the various Asian currencies have stabilized, the economic recoveries are still
fragile. Real estate prices are plummeting, domestic consumption is falling and
unemployment rates are rising. The near-term prospects for the region remain
bleak. Fundamentally, Hong Kong and Singapore are strongest in Asia and should
be the first to emerge from the crisis. For the year ended March 31, 1998, small
stocks for the Pacific ex Japan region lost 46%. Malaysian small stocks suffered
the most by losing 56%.
The Canadian economy continued its steady growth path during the year ended
March 31, 1998. The unemployment rate has been falling and inflation remains
low. The investment climate remains favorable and consumer sentiment is high.
Value stocks are marching into their 3rd year rally. Small stocks have also
performed well. For the year ended March 31, 1998, small stocks in Canada
delivered a 21% return.
- ---------------
(1) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRlexUS) is the benchmark for the Barr Rosenberg International Small
Capitalization Fund. It is an unmanaged index of non-U.S. small
capitalization companies with market capitalization up to $4 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) Large stock returns are based on individual country and regional MSCI
Standard Indices; small stock returns are based on individual country and
regional CRlexUS.
17
<PAGE> 18
The U.S. dollar strengthened against most other currencies from April 1997
through March 1998. The British pound was the exception; it appreciated 2%
against the U.S. dollar. Among the currencies of the 21 developed markets, the
Malaysian Ringgit suffered the largest depreciation against the U.S. dollar by
losing 32% over this period.
PORTFOLIO REPORT
The Barr Rosenberg International Small Capitalization Fund follows a
systematic and disciplined approach to international investing. Our portfolio
closely tracks the country and industry exposures of the benchmark with
diversification over 20 developed markets and over 500 holdings. As of March 31,
1998, the top 10 holdings accounted for about 12% of the total portfolio.
Approximately 71% of the holdings were invested in Europe. Banks and Credit
Institutions together with Metal and Machinery Products represented 20% of the
portfolio. The price-to-positive-earnings ratio of the portfolio was at 19, and
the median market capitalization of the holdings was approximately $260 million.
One of our holdings, Ericsson SpA, an Italian company which is a world
leader in telephone switching equipment, cellular phone and data communication
systems, had a 386% return for the year ended March 31, 1998. Another one of our
best performing holdings, Geac Computer in Canada, which is engaged in the
design and development of computer systems and software products, had a 250%
return. One of our Japanese holdings, Foster Electric, a leader in the
manufacturing of speakers and microphones, went up over 30% for the same period.
OUTLOOK
We are excited about the prospects of international small stock investing.
We have seen encouraging growth from international small stocks thus far in
1998. During the first quarter, international small stocks emerged as one of the
best performing asset categories, delivering gains of 18%. Investors are
noticing the attractiveness of non-U.S. small stocks. We at Rosenberg strive to
provide investors with added reward and diversification to their portfolios. 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.
18
<PAGE> 19
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS--98.6%
AUSTRALIA--2.2%
2,499 Aberfoyle, Ltd. (Metals)... $ 3,667
8,000 Adelaide Brighton, Ltd.
(Construction
Materials)............... 6,260
1,000 Atkins Carlyle, Ltd.
(Retail/Wholesale)....... 2,752
13,500 Australia Oil and Gas
Corp., Ltd. (Oil)........ 15,667
8,000 Australian Foundation
Investment Co., Ltd.
(Financial
Investments)............. 14,430
1,100 AWA, Ltd.* (Machinery)..... 474
8,200 Bougainville Copper, Ltd.*
(Metals)................. 2,230
14,600 Bridgestone Australia, Ltd.
(Chemicals).............. 30,983
56,500 Davids, Ltd.* (Retail/
Wholesale)............... 39,342
33,900 Eltin, Ltd. (Metals)....... 30,799
11,999 Faulding (F.H.) & Co.
(Drugs).................. 60,475
1,300 Finemore Holdings, Ltd.
(Transportation)......... 2,241
8,819 George Weston Foods, Ltd.
(Food)................... 52,050
7,700 GWA International, Ltd.
(Construction
Materials)............... 16,085
20,900 Hardie (James) Industries,
Ltd. (Building).......... 63,894
14,000 Incitec, Ltd.
(Chemicals).............. 52,270
13,400 Leighton Holdings, Ltd.
(Building)............... 53,318
15,400 Metal Manufactures, Ltd.
(Electronics)............ 21,753
5,800 Mount Leyshon Gold Mines,
Ltd. (Real Estate
Assets).................. 5,039
5,300 OPSM Protector, Ltd.
(Electronics)............ 12,126
51,600 Orbital Engine Corp., Ltd.*
(Financial
Investments)............. 33,534
1,200 Reece Australia, Ltd.
(Retail/Wholesale)....... 8,037
13,900 RGC, Ltd. (Construction
Materials)............... 17,053
19,300 Rothmans Holdings, Ltd.
(Liquor & Tobacco)....... 127,989
3,857 Soul Pattinson & Company,
Ltd. (Drugs)............. 74,560
26,000 Spicers Paper, Ltd.
(Paper).................. 25,001
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
AUSTRALIA (CONTINUED)
15,000 Spotless Group, Ltd.
(Services)............... $ 32,528
1,000 Sunraysia Television, Ltd.
(Media).................. 7,958
25,900 Westralian Sands, Ltd.
(Metals)................. 66,298
------------
878,813
------------
BELGIUM--1.6%
40 BQE National Belgique
(Banking)................ 65,480
7,810 Cobepa, Cie Benelux Paribas
(Financial
Investments)............. 420,709
1,175 Glaverbel SA (Construction
Materials)............... 150,922
------------
637,111
------------
CANADA--6.4%
3,700 Acktion Co.* (Retail/
Wholesale)............... 43,189
400 AGRA, Inc. (Services)...... 3,347
3,300 Alliance Forest Products,
Inc.* (Paper)............ 67,293
2,300 Atco, Ltd., Class I
(Electric Utilities)..... 59,112
2,100 Brookfield Properties (Real
Estate Assets)........... 33,446
2,000 C-MAC Industries, Inc.*
(Electronics)............ 34,315
300 Cabre Exploration, Ltd.*
(Oil).................... 3,333
6,200 Cambior, Inc. (Real Estate
Assets).................. 42,071
8,300 Cambridge Shopping Centres
(Real Estate Assets)..... 84,043
2,800 Campbell Resources, Inc.*
(Real Estate Assets)..... 1,260
5,900 Cascades, Inc. (Paper)..... 44,806
1,000 CCL Industries, Inc., Class
B (Soaps & Cosmetics).... 13,009
1,100 Chieftain International,
Inc.* (Oil).............. 26,337
2,400 Chum, Ltd., Class B
(Media).................. 77,630
2,900 Cott Corp. (Food).......... 22,125
4,400 Dofasco, Inc. (Metals)..... 78,586
15,600 Domtar, Inc. (Paper)....... 117,923
400 E-L Financial Corp., Ltd.
(Insurance).............. 75,380
2,000 Emco, Ltd.*
(Retail/Wholesale)....... 22,009
8,200 Encal Energy, Ltd.*
(Oil).................... 29,983
1,000 Ensign Resource Service
Group, Inc. (Oil
Services)................ 23,029
</TABLE>
See accompanying notes to the financial statements.
19
<PAGE> 20
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
1,400 Euro-Nevada Mining Corp.
(Real Estate Assets)..... $ 23,627
2,900 Fahnestock Viner Holdings,
Inc., Class A
(Miscellaneous
Financial)............... 51,490
2,000 Finning International, Inc.
(Retail/Wholesale)....... 22,150
400 Fortis, Inc. (Electric
Utilities)............... 12,966
1,300 Franco Nevada Mining Corp.
(Real Estate Assets)..... 30,166
2,700 Geac Computer, Ltd.*
(Services)............... 112,965
2,050 Gulf Canada Resources,
Ltd.* (Oil).............. 11,892
12,600 Inmet Mining Corp.* (Real
Estate Assets)........... 50,502
3,800 Laurentian Bank of Canada
(Banking)................ 85,506
1,600 Maritime Telegraph &
Telephone Co., Inc.
(Telephone).............. 44,159
5,700 Midland Walwyn, Inc.
(Miscellaneous
Financial)............... 76,153
7,400 Mitel Corp.*
(Electronics)............ 96,004
200 Mullen Transportation*
(Transportation)......... 2,756
700 Newtel Enterprises, Ltd.
(Telephone).............. 20,181
10,300 Noranda Forest, Inc.
(Paper).................. 67,719
700 Northstar Energy Corp.*
(Oil) (b)................ 4,627
900 Penn West Petroleum, Ltd.*
(Oil).................... 10,062
7,200 Poco Petroleum, Ltd.*
(Oil).................... 77,714
4,000 Precision Drilling Corp.*
(Oil Services)........... 84,240
700 QuebecTel Group, Inc.
(Telephone).............. 17,720
2,800 Remington Energy, Ltd.*
(Oil).................... 32,191
500 Rothmans, Inc. (Liquor &
Tobacco)................. 68,559
6,800 Sears Canada, Inc.
(Retail/Wholesale)....... 120,974
11,700 Shaw Communications, Inc.,
Class B (Telephone)...... 174,004
1,000 SNC Group, Inc.
(Defense)................ 9,844
1,000 Southam, Inc. (Media)...... 20,216
3,300 St. Laurent Paper Board,
Inc.* (Paper)............ 39,680
11,900 Stelco, Inc., Class A
(Metals)................. 109,617
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
1,700 Teleglobe, Inc.
(Services)............... $ 78,716
1,800 Toromont Industries, Ltd.
(Retail/Wholesale)....... 52,400
500 Ulster Petroleums, Ltd.*
(Oil).................... 4,307
50 United Dominion Industries,
Ltd. (Machinery)......... 1,617
200 West Fraser Timber Co.,
Ltd. (Paper)............. 5,611
4,800 Westburne, Inc.*
(Retail/Wholesale)....... 61,429
------------
2,583,990
------------
DENMARK--2.4%
500 Aalborg Portland Holding
A/S (Construction
Materials)............... 58,514
4,500 Aktieselskabet Potagua A/S
(Services)............... 141,071
5,000 BG Bank A/S* (Banking)..... 304,981
2,600 Jyske Bank, Reg A/S
(Banking)................ 300,583
400 Lauritzen (J.) Holding A/S*
(Transportation)......... 41,421
3,000 Monberg & Thorsen A/S
(Retail/Wholesale)....... 131,718
------------
978,288
------------
FINLAND--3.1%
200 Huhtamaki 'I' (Food)....... 10,869
7,100 Instrumentarium Group 'A'
(Electronics)............ 421,256
31,200 Kemira Oy (Chemicals)...... 325,202
1,500 Kone Corp. (Machinery)..... 203,118
34,900 Mesta Serla, B Shares
(Paper).................. 310,913
------------
1,271,358
------------
FRANCE--8.6%
550 Bongrain SA (Food)......... 280,518
78 Centenaire-Blanzy SA
(Metals)................. 7,189
1,623 Cie Plastic-Omnium SA
(Household).............. 218,996
500 Colas SA (Building)........ 86,350
77 Compagnie Du Cambodge
(Aircraft)............... 30,076
5,170 De Dietrich et Compagnie SA
(Machinery).............. 325,436
2,000 Dollfus-Mieg & Cie SA*
(Textiles)............... 49,034
484 Elf Gabon (Oil Services)... 89,837
</TABLE>
See accompanying notes to the financial statements.
20
<PAGE> 21
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
835 Equipments et Composants
pour l'Industrie
Automobile (Autos)....... $ 221,025
1,836 Europe 1 Communication
(Media).................. 488,359
3,488 Fonciere Euris SA (Real
Estate Assets)........... 197,040
58 Fromageries Bel SA
(Food)................... 45,871
230 Galeries Lafayette
(Retail/Wholesale)....... 159,553
550 Gascogne SA (Paper)........ 50,156
963 Generali France Assurances*
(Insurance).............. 233,301
4,400 Groupe GTM (Building)...... 342,302
2,131 Havas Advertising SA
(Media).................. 321,248
223 Labinal (Autos)............ 75,261
8,066 Metaleurop SA* (Metals).... 93,995
338 Sucriere de Pithviers Le
Vieil (Food)............. 171,300
------------
3,486,847
------------
GERMANY--8.3%
40 Aachener & Meunch
Lebensvers (Insurance)... 22,062
17,880 AGIV AG* (Building)........ 384,801
6,290 Andreae-Noris Zahn AG
(Retail/Wholesale)....... 224,480
270 Baywa AG
(Retail/Wholesale)....... 43,799
1,060 Binding Brauerei AG (Liquor
& Tobacco)............... 237,869
680 Buderus AG (Machinery)..... 307,764
650 DBV Holding AG
(Insurance).............. 263,257
259 Dyckerhoff AG (Construction
Materials)............... 74,227
890 Fresenius AG (Drugs)....... 182,395
1,090 Holsten-Brauerei AG (Liquor
& Tobacco)............... 218,078
4,430 Kloeckner-Werke AG*
(Household).............. 324,584
38 Koelnisch
Rueckversicherungs
(Insurance).............. 42,123
8,000 Kolbenschmidt Pierburg AG*
(Machinery).............. 205,479
560 KSB AG* (Machinery)........ 142,018
117 KWS Kleinwanzlebener
Saatzucht AG (Food)...... 89,205
50 Neckarwerke Stuttgart AG
(Electric Utilities)..... 14,600
998 Oberland Glas AG
(Construction
Materials)............... 157,039
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
2,040 Sixt AG
(Travel/Entertainment)... $ 263,640
140 Ueberlandwerke Unterfranken
AG (Electric
Utilities)............... 24,225
920 Villeroy & Boch AG*
(Household).............. 131,831
202 Walter Bau AG (WTB)
(Building)............... 25,013
------------
3,378,489
------------
HONG KONG--2.1%
94,000 Associated International
Hotels
(Travel/Entertainment)... 37,306
109,257 CDL Hotels International
(Travel/Entertainment)... 40,541
9,000 China Motor Bus Co.
(Transportation)......... 78,407
224,000 Chuang's Consortium
International, Ltd. (Real
Estate Assets)........... 16,768
720 Concord Land Development
Co., Ltd. (Real Estate
Assets).................. 195
16,000 Grande Holdings, Ltd.
(Office Machinery)....... 4,440
20,000 Harbour Center Development
(Travel/Entertainment)... 16,004
175,360 HKR International, Ltd.
(Real Estate Assets)..... 121,086
6,000 Hong Kong Aircraft
Engineering Company, Ltd.
(Aircraft)............... 11,616
14,000 Jardine International Motor
(Retail/Wholesale)....... 8,809
66,000 Lam Soon Hong Kong*
(Machinery).............. 18,314
170,000 Laws International
Holdings, Ltd.
(Textiles)............... 28,084
10,000 Lee Hing Development
(Miscellaneous
Financial)............... 2,465
55,000 Mingly Corp. (Real Estate
Assets).................. 9,015
10,000 New Asia Realty & Trust Co.
(Real Estate Assets)..... 19,295
84,000 Peregrine Investment
Holdings, Ltd.
(Miscellaneous
Financial)............... 46,618
36,000 Pokfulam Development Co.
(Real Estate Assets)..... 13,242
22,000 Prestige Property Holdings
(Real Estate Assets)..... 2,186
</TABLE>
See accompanying notes to the financial statements.
21
<PAGE> 22
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
24,000 Realty Development Corp.
(Real Estate Assets)..... $ 57,614
328,000 Shun Tak Holdings, Ltd.
(Transportation)......... 76,200
94,000 Tai Cheung Holdings, Ltd.
(Real Estate Assets)..... 31,847
20,000 Wing Lung Bank, Ltd.
(Banking)................ 85,700
52,000 Wing On Co. International,
Ltd.
(Retail/Wholesale)....... 34,228
90,000 YGM Trading Ltd.
(Retail/Wholesale)....... 54,594
23,600 Yue Yuen Industrial
Holdings (Textiles)...... 45,993
------------
860,567
------------
ITALY--8.2%
191,670 Banca Nazionale
dell'Agricoltura*
(Banking)................ 424,269
50,000 Banca Popolare di Milano
(Banking)................ 453,954
127,000 Banca Toscana (Banking).... 584,534
6,000 BCA di Legnano (Banking)... 42,296
47,810 Comau Finanziaria SpA
(Metals)................. 201,955
500 Ericsson SpA
(Electronics)............ 34,424
479,000 Finmeccanica SpA*
(Defense)................ 656,931
5,000 Italmobiliare SpA
(Banking)................ 198,862
155,200 Magneti Marelli (Autos).... 481,043
50,100 Montefibre SpA
(Textiles)............... 56,205
209,000 SMI SpA* (Metals).......... 200,072
------------
3,334,545
------------
IRELAND--0.5%
95,000 Anglo Irish Bank Corp.
(Banking)................ 222,722
------------
222,722
------------
JAPAN--14.8%
9,000 Aichi Machine Industry Co.,
Ltd. (Autos)............. 22,002
2,000 Aida Engineering, Ltd.
(Machinery).............. 8,174
18,000 Amada Sonoike Co., Ltd.
(Machinery).............. 48,594
6,000 Amatsuji Steel Ball
Manufacturing Co, Ltd.
(Machinery).............. 48,144
500 Asahi Broadcasting Corp.
(Media).................. 28,871
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
22,000 Asahi Opical Co., Ltd.
(Office Machinery)....... $ 50,318
2,000 Asti Corp. (Electronics)... 8,204
7,000 Azel Corp. (Real Estate
Assets).................. 17,848
500 The Bank Of Iwate, Ltd.
(Banking)................ 25,834
1,000 The Bank Of Okinawa, Ltd.
(Banking)................ 22,272
20,000 The Biwako Bank, Ltd.
(Banking)................ 66,741
8,000 Canon Components, Inc.
(Electronics)............ 32,936
37,000 Central Glass Co., Ltd.
(Construction
Materials)............... 61,319
8,000 Chain Store Okuwa Co., Ltd.
(Retail/Wholesale)....... 61,192
3,400 The Chiba Kogyo Bank, Ltd.
(Banking)................ 57,877
4,000 Chubu Steel Plate Co., Ltd.
(Metals)................. 7,319
29,000 Chuetsu Pulp & Paper
Company, Ltd. (Paper).... 58,717
5,000 Cleanup Corp.
(Household).............. 21,035
4,000 CMK Corp. (Electronics).... 39,595
1,400 Daiichi Kosho Co., Ltd.
(Travel/Entertainment)... 19,002
11,000 Daika Corp. (Retail/
Wholesale)............... 29,284
1,760 Daiseki Co., Ltd.
(Services)............... 16,630
3,000 Daisyo Corp.
(Travel/Entertainment)... 19,977
21,000 Daiwa Seiko, Inc.
(Household).............. 50,393
2,000 Denkyosha Co., Ltd.
(Retail/Wholesale)....... 9,344
17,000 Dia Kensetsu Co., Ltd.*
(Real Estate Assets)..... 50,993
8,000 Diamond Lease Co., Ltd.
(Financial
Investments)............. 53,933
10,000 Eiden Sakakiya Co., Ltd.
(Retail/Wholesale)....... 39,745
7,200 Exedy Corp. (Autos)........ 43,302
3,000 Fast Retailing Co., Ltd.
(Retail/Wholesale)....... 29,246
25,000 First Credit Corp.
(Banking)................ 61,867
2,000 Forval Corp. (Telephone)... 19,647
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE> 23
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
15,000 Foster Electric Co., Ltd.
(Electronics)............ $ 72,553
9,000 France Bed Co., Ltd.
(Household).............. 27,266
9,000 Fuji Corp., Ltd. (Real
Estate Assets)........... 20,720
12,000 Fuji Seiko, Ltd.
(Machinery).............. 34,195
3,000 Fujicco Co., Ltd. (Food)... 33,746
3,400 Fujitsu Business Systems
Ltd. (Services).......... 45,894
3,000 Fujitsu Kiden, Ltd.
(Electronics)............ 16,175
2,000 Fukuda Denshi Co., Ltd.
(Electronics)............ 24,147
20,000 Furubayashi Shiko Co., Ltd.
(Paper).................. 28,496
6,000 Gakuikusha Corp.
(Services)............... 14,623
5,500 Geomatec Co., Ltd.
(Electronics)............ 49,493
2,000 H.I.S. Co., Ltd.
(Travel/Entertainment)... 35,245
7,000 Hankyu Realty Co., Ltd.
(Real Estate Assets)..... 35,958
8,000 Higashi Nihon House Co.,
Ltd. (Building).......... 41,934
2,000 Hiroshima Kensetsu
Telecommunication
Construction Co., Ltd.
(Building)............... 5,879
9,000 Hisamitsu Pharmaceutical
Co., Inc. (Drugs)........ 62,497
7,000 Hitachi Information
Systems, Ltd.
(Services)............... 68,241
2,000 Hokkaido Coca-Cola Bottling
Co., Ltd. (Food)......... 17,998
5,000 Hosoda Corp. (Real Estate
Assets).................. 20,247
2,000 Hotel New Hankyu Co., Ltd.
(Travel/Entertainment)... 4,709
9,000 Idec Izumi Corp.
(Electronics)............ 52,306
11,000 Iino Kaiun Kaisha, Ltd.
(Transportation)......... 21,035
2,000 INES Corp. (Services)...... 14,548
8,000 Intec, Inc. (Services)..... 53,393
3,000 Iriso Electronics Co., Ltd.
(Electronics)............ 5,984
8,000 Ishizuka Glass Co., Ltd.
(Construction
Materials)............... 14,398
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
32,000 The Japan Central Real
Estate Co., Ltd.* (Real
Estate Assets) .......... $ 35,995
4,000 Japan Engineering
Consultants Co., Ltd.
(Services)............... 10,949
7,000 Japan Industrial Land
Development Co., Ltd.
(Building)............... 18,635
5,000 Japan Logistic Systems
Corp. (Transportation)... 13,873
1,000 Jois Co., Ltd. (Retail/
Wholesale)............... 6,674
19,000 Juntendo
(Retail/Wholesale)....... 42,744
1,000 The Kagawa Bank, Ltd.
(Banking)................ 5,099
8,000 Kaken Pharmaceutical Co.,
Ltd. (Drugs)............. 23,157
7,000 Kansaidenpa Corp.
(Retail/Wholesale)....... 22,310
11,000 Kansei Corp. (Autos)....... 56,917
7,000 Kanseki Co., Ltd.
(Retail/Wholesale)....... 11,548
12,000 Kasumi Co., Ltd.
(Retail/Wholesale)....... 47,604
11,000 Katakura Industries Co.,
Lyd. (Real Estate
Assets).................. 59,475
3,000 Kimmon Mfg Co., Ltd.
(Electronics)............ 4,837
7,000 King Co., Ltd.
(Textiles)............... 11,548
4,000 Kinseki, Ltd.
(Electronics)............ 22,347
1,500 The Kita-Nippon Bank, Ltd.
(Banking)................ 67,491
13,000 Kobe Diesel Co., Ltd.
(Machinery).............. 29,246
4,000 Koken, Ltd.* (Machinery)... 26,067
2,000 Konaka Co., Ltd.
(Retail/Wholesale)....... 8,249
8,600 Kuramoto Seisakusho Co.,
Ltd. (Electronics)....... 37,405
8,000 Kyosei Rentemu Co., Ltd.
(Financial
Investments)............. 33,895
10,000 Kyudenko Corp.
(Building)............... 66,291
19,000 Marudai Food Co., Ltd.
(Food)................... 50,011
23,000 Mikuni Corp. (Autos)....... 35,358
10,000 Mitani Sekisan Co., Ltd.
(Construction
Materials)............... 25,347
11,000 Mitsuba Corp. (Autos)...... 59,227
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE> 24
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
7,000 Mitsubishi Pencil Co., Ltd.
(Office Machinery)....... $ 64,041
7,000 Mitsubishi Plastics, Inc.
(Construction
Materials)............... 11,443
34,000 Mitsubishi Shindoh Co.,
Ltd.* (Metals)........... 59,407
7,000 Mitsui Home Co., Ltd.
(Building)............... 46,456
2,000 Miura Co., Ltd.
(Machinery).............. 19,647
11,000 The Miyazaki Bank, Ltd.
(Banking)................ 44,214
1,000 Nagano Tokyu Department
Store Co., Ltd.
(Retail/Wholesale)....... 4,687
2,000 Nakamichi Corp.
(Durables)............... 3,090
2,000 Nakamichi Leasing Co., Ltd.
(Financial
Investments)............. 7,274
3,000 Nanbu Plastics Co., Ltd.
(Household).............. 7,649
7,000 New Japan Radio Co., Ltd.
(Electronics)............ 20,210
11,000 Nifco Inc. (Chemicals)..... 79,189
6,200 Nihon Dempa Kogyo Co., Ltd.
(Electronics)............ 45,099
2,000 Nihon Electric Wire & Cable
Co., Ltd. (Metals)....... 8,189
14,000 Nihon Inter Electronics
Corp. (Electronics)...... 34,645
13,000 Nikken Chemicals Co., Ltd.
(Drugs).................. 41,822
3,000 Nikkodo Co., Ltd.*
(Travel/Entertainment)... 3,937
4,000 Nippon Avionics Co., Ltd.*
(Electronics)............ 11,998
22,000 Nippon Chemi-Con Corp.
(Electronics)............ 75,230
9,000 Nippon Chemical Industrial
Co., Ltd. (Chemicals).... 29,561
6,000 Nippon Columbia Co., Ltd.
(Media).................. 9,899
13,000 Nippon Densetsu Kogyo Co.,
Ltd. (Building).......... 54,690
4,000 Nippon Konpo Unyu Soko Co.,
Ltd. (Transportation).... 24,447
1,000 Nippon Mic Co., Ltd.
(Services)............... 4,799
4,000 Nippon Seiki Co., Ltd.
(Autos).................. 26,696
12,000 Nippon Shinyaku Co., Ltd.
(Drugs).................. 55,793
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
16,000 Nippon Tungsten Co., Ltd.
(Electronics)............ $ 47,514
5,000 Nippon Typewriter Co., Ltd.
(Office Machinery)....... 15,635
3,000 Nissei Plastic Industrial
Co., Ltd. (Machinery).... 18,673
8,000 Nissha Printing Co., Ltd.
(Media).................. 48,714
5,000 Nissho Corp.
(Electronics)............ 37,870
2,100 Nissin Co., Ltd.
(Banking)................ 43,307
18,000 Nittetsu Mining (Metals)... 72,890
2,000 Ohmoto Gumi Co., Ltd.
(Building)............... 11,249
16,000 The Ohtsu Tire & Rubber
Co., Ltd. (Chemicals).... 32,396
16,000 Okabe Co., Ltd.
(Construction
Materials)............... 69,591
2,100 The Okinawa Electric Power,
Inc. (Electric
Utilities)............... 33,543
2,000 Onamba Co., Ltd.
(Metals)................. 3,555
3,000 Osaka Organic Chemical
Industry, Ltd.
(Chemicals).............. 21,822
8,000 Parco Co., Ltd.
(Retail/Wholesale)....... 30,116
5,000 Pilot Corp. (Household).... 18,185
5,000 Recruit Cosmos Co., Ltd.
(Real Estate Assets)..... 10,311
4,000 Riken Keiki Co., Ltd.
(Electronics)............ 15,298
2,200 Sanyo Coca-Cola Bottling
Co., Ltd. (Food)......... 21,117
30,000 Sanyo Special Steel Co.,
Ltd. (Metals)............ 40,045
9,000 Seibu Electric & Machinery
Co., Ltd. (Machinery).... 19,572
12,360 Seibu Electric Industrial
Co., Ltd. (Building)..... 49,124
10,000 Seirei Industry Co., Ltd.
(Machinery).............. 15,598
15,000 Seiyo Food Systems Inc.
(Travel/Entertainment)... 57,592
18,000 Senko Co., Ltd.
(Transportation)......... 39,010
30,000 Settsu Corp.* (Paper)...... 22,722
9,000 Shindengen Electric
Manufacturing Co., Ltd.
(Electronics)............ 56,962
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE> 25
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
2,000 Shingakukai Co., Ltd.
(Services)............... $ 8,699
3,000 Shinki Co., Ltd.
(Banking)................ 44,094
2,000 Shinko Kosan, Ltd. (Real
Estate Assets)........... 4,799
12,000 Sintokogio, Ltd.
(Machinery).............. 51,293
10,000 Snow Brand Food Co., Ltd.
(Food)................... 21,822
3,000 Software Research
Associates, Inc.
(Services)............... 16,490
9,000 Sogo Co., Ltd.*
(Retail/Wholesale)....... 15,253
27,000 Sogo Denki Co., Ltd.*
(Retail/Wholesale)....... 20,652
21,000 Sokkia Co., Ltd.
(Electronics)............ 53,543
15,000 Somar Corp. (Retail/
Wholesale)............... 37,120
8,000 Sotetsu Rosen Co., Ltd.
(Retail/Wholesale)....... 36,595
8,000 Starts Corp. (Real Estate
Assets).................. 47,694
9,000 Sumitomo Wiring Systems,
Ltd. (Autos)............. 53,790
14,000 Sunstar Inc. (Soaps &
Cosmetics)............... 47,244
6,000 Suzuden Corp. (Retail/
Wholesale)............... 21,147
18,000 SXL Corp. (Building)....... 49,268
2,000 T. Hasegawa Co., Ltd.
(Chemicals).............. 38,995
12,000 Takiron Co., Ltd.
(Construction
Materials)............... 36,085
16,000 Tamura Corp.
(Electronics)............ 58,792
3,000 Tenox Corp. (Building)..... 8,616
3,000 THK Co., Ltd.
(Machinery).............. 29,021
7,000 Titan Kogyo K.K.
(Chemicals).............. 17,375
12,000 The Tochigi Bank, Ltd.
(Banking)................ 59,392
4,000 Toho Store Co., Ltd.
(Retail/Wholesale)....... 16,798
23,000 Tohto Suisan Co., Ltd.
(Retail/Wholesale)....... 37,083
11,000 Tokico Ltd. (Autos)........ 21,200
4,000 The Tokushima Bank, Ltd.
(Banking)................ 27,596
4,000 Tokyo Leasing Co., Ltd.*
(Financial
Investments)............. 13,468
9,000 Tokyo Radiator
Manufacturing Co., Ltd.
(Autos).................. 14,983
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
9,000 Tokyo Rika Manufacturing
Co., Ltd. (Metals)....... $ 18,223
5,000 Tokyo Tanabe Co., Ltd.
(Drugs).................. 16,648
13,000 Tokyu Store Chain Co., Ltd.
(Retail/Wholesale)....... 62,392
14,000 Tomiya Apparel Co., Ltd.
(Textiles)............... 26,247
6,000 Tonichi Cable, Ltd.
(Metals)................. 17,548
22,000 Tosho Printing Co., Ltd.
(Media).................. 60,382
33,000 Toyo Tire & Rubber Co.,
Ltd. (Chemicals)......... 70,528
6,000 Toyoda Gosei Co., Ltd.
(Autos).................. 18,808
3,000 Toyokuni Electric Cable
Co., Ltd. (Metals)....... 10,349
4,000 Traveler Corp. (Retail/
Wholesale)............... 14,158
17,000 Tsurumi Soda Co., Ltd.
(Chemicals).............. 44,747
5,000 Tsutsunaka Plastic Industry
Co., Ltd. (Chemicals).... 16,273
8,000 U-Shin Ltd. (Autos)........ 29,996
5,000 Ube-Nitto Kasei Co., Ltd.
(Chemicals).............. 18,710
7,000 Wako Electric Co., Ltd.
(Electronics)............ 86,090
4,200 Wesco Inc. (Services)...... 11,779
24,000 Yamamura Glass Co., Ltd.
(Construction
Materials)............... 45,354
8,000 Yaskawa Electric Corp.
(Machinery).............. 24,777
5,600 Yellow Hat, Ltd.
(Services)............... 44,934
17,000 Yuasa Funashoku Co., Ltd.
(Retail/Wholesale)....... 29,321
2,000 The Zenitaka Corp.
(Building)............... 6,599
------------
6,013,627
------------
MALAYSIA--1.7%
24,000 Amsteel Corp. BHD*
(Metals)................. 5,605
6,000 Antah Holdings BHD (Oil
Services)................ 1,863
140,000 Asia Pacific Land BHD (Real
Estate Assets)........... 25,962
5,333 Austral Amalgamated BHD
(Financial
Investments)............. 1,194
4,000 Austral Enterprises
(Food)................... 4,967
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE> 26
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
35,000 Berjaya Group BHD
(Retail/Wholesale)....... $ 10,962
20,000 Berjaya Land BHD
(Travel/Entertainment)... 20,770
35,000 Boustead Holdings BHD
(Food)................... 35,578
23,000 Cement Industries of
Malaysia (Construction
Materials)............... 19,715
30,000 Dijaya Corp. (Paper)....... 11,539
3,000 Esso Malaysia BHD (Oil
Sevices)................. 3,544
22,000 Faber Group BHD*
(Travel/Entertainment)... 5,137
18,000 Far East Holdings BHD
(Food)................... 9,495
26,000 Gadek BHD (Agriculture).... 23,429
51,000 Highlands & Lowlands BHD
(Food)................... 57,727
3,000 IOI Properties (Real Estate
Assets).................. 2,571
10,000 Island & Peninsular BHD
(Real Estate Assets)..... 8,242
12,000 Keck Seng BHD (Food)....... 5,934
27,000 Kinta Kellas plc
(Services)............... 5,897
26,000 Kuala Sidim BHD (Food)..... 39,644
106,000 Kulim (M) BHD (Food)....... 72,803
64,000 Lion Land BHD (Real Estate
Assets).................. 13,187
750 Malayan Cement BHD
(Construction
Materials)............... 622
175,400 Malayan United Industries
BHD (Retail/Wholesale)... 38,309
13,000 Malaysia Helicopter
Services BHD (Real Estate
Assets).................. 3,822
20,000 Malaysia Mining Corp. BHD
(Metals)................. 12,912
1,000 Malaysian Pacific
Industries BHD
(Electronics)............ 2,940
1,100 Matsushita Electric Co.
(Durables)............... 4,412
5,000 MBF Capital BHD
(Banking)................ 2,143
94,000 Multi-Purpose Holdings BHD
(Travel/Entertainment)... 41,578
3,000 Olympia Industries BHD
(Travel/Entertainment)... 631
25,000 Pan-Malaysia Cement Works
BHD (Construction
Materials)............... 8,997
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
51,000 Paramount Corp. BHD
(Services)............... $ 14,151
24,000 Rekapacific BHD*
(Travel/Entertainment)... 5,506
100,000 Sarawak Enterprise Corp.
(Miscellaneous
Financial)............... 50,825
840 Silverstone BHD* (Durables)
(a)...................... --
18,000 Sime UEP Properties BHD
(Real Estate Assets)..... 17,407
12,000 TA Enterprise BHD
(Financial
Investments)............. 4,352
84,000 Talam Corporation BHD (Real
Estate Assets)........... 24,693
11,000 Tan Chong Motor Holdings
BHD (Autos).............. 7,948
98,000 Uniphone Telecommunications
BHD (Electronics)........ 29,078
12,000 United Plantations BHD
(Food)................... 15,231
------------
671,322
------------
NETHERLANDS--5.1%
2,800 Konin Bijenkorf Beheer
(Retail/Wholesale)....... 196,769
21,200 Koninklijke Bols Wessanen
NV (Food)................ 336,609
7,700 Koninklijke Hoogovens NV
(Metals)................. 372,316
14,570 Koninklijke Nedlloyd Groep
NV (Transportation)...... 350,154
3,680 Samas Groep N.V.
(Retail/Wholesale)....... 216,245
3,190 Stork NV (Building)........ 115,837
9,780 VIB NV (Real Estate
Assets).................. 269,754
3,890 Wereldhave NV (Real Estate
Assets).................. 222,427
------------
2,080,111
------------
NEW ZEALAND--0.2%
7,250 DB Group, Ltd. (Food)...... 10,622
31,200 Hallenstein Glasson
Holdings, Ltd.
(Retail/Wholesale)....... 26,391
12,625 Independent News, Ltd.
(Media).................. 56,536
------------
93,549
------------
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE> 27
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NORWAY--3.5%
1,020 Aker RGI ASA-B
(Construction
Materials)............... $ 16,055
46,100 Color Line ASA
(Transportation)......... 139,073
16,300 Dyno Industrier ASA
(Chemicals).............. 293,972
10,300 Kvaerner ASA, Class A
(Defense)................ 464,740
5,800 Norske Skogindustrier ASA
(Paper).................. 175,734
17,800 Schibsted ASA (Media)...... 315,188
------------
1,404,762
------------
SINGAPORE--1.2%
12,000 huan Hup Holdings, Ltd.
(Transportation)......... 3,938
13,200 Elec & Eltek International
Co., Ltd. (Miscellaneous
Financial)............... 78,540
2,000 Focal Finance, Ltd.
(Banking)................ 1,994
5,000 GP Batteries International,
Ltd. (Machinery)......... 16,409
51,000 Hour Glass, Ltd.
(Household).............. 19,895
4,000 HWA Hong Corp.
(Transportation)......... 3,294
15,000 Intraco, Ltd.
(Retail/Wholesale)....... 8,359
16,800 IPCO International, Ltd.*
(Building)............... 23,688
16,000 Isetan (Singapore)
(Retail/Wholesale)....... 19,815
35,000 MCL Land, Ltd. (Real Estate
Assets).................. 26,007
26,000 Overseas Union Trust, Ltd.
(Banking)................ 29,462
5,000 Prima, Ltd. (Food)......... 9,598
19,000 Resources Development Corp.
(Construction
Materials)............... 25,883
5,000 Singapore Reinsurance
(Insurance).............. 2,910
8,000 ST Computer System &
Service, Ltd.
(Services)............... 7,331
49,000 Times Publishing (Media)... 97,701
48,000 Trans-Island Bus Service
(Transportation)......... 28,088
2,000 United Industrial CP (Real
Estate Assets)........... 873
69,000 WBL Corp., Ltd. (Office
Machinery)............... 76,906
------------
480,691
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SPAIN--1.9%
3,710 Banco Pastor SA
(Banking)................ $ 446,352
3,330 Cristaleria Espanola SA
(Construction
Materials)............... 296,923
3,000 Tableros De Fibras, Series
'B' (Paper).............. 47,768
------------
791,043
------------
SWEDEN--3.1%
16,100 Celsius AB, B Shares
(Defense)................ 332,301
2,000 Custos AB (Real Estate
Assets).................. 52,413
10,400 Ratos Forvaltnin, Class B
(Retail/Wholesale)....... 111,880
1,600 SAS Sverige AB (Financial
Investments)............. 24,017
5,400 SKF AB (Machinery)......... 128,004
20,200 SSAB, Series A (Metals).... 373,967
800 SSAB, Series B (Metals).... 14,711
10,400 Svedala Industri AB
(Machinery).............. 209,450
------------
1,246,743
------------
SWITZERLAND--5.2%
160 scom Holding AG*
(Electronics)............ 334,277
430 Berner Allgemeine
Holdinggesellschaft*
(Insurance).............. 259,498
220 Bucher Holding AG
(Household).............. 226,569
100 Centralschweiz Kraftwerke
(Electric Utilities)..... 83,963
140 Feldschloesschen Hurlimann
(Liquor & Tobacco)....... 63,366
100 Generali (Schweiz) Holding
(Insurance).............. 28,534
40 Hero Ag-Bearer (Food)...... 25,320
1,000 Oerlikon-Buhrle HD
(Defense)................ 176,125
550 Rieter Holdings, Ltd.
(Machinery).............. 310,630
280 Schindler-Holding AG
(Machinery).............. 413,254
200 Zuercher Ziegeleien Holding
(Construction
Materials)............... 170,550
------------
2,092,086
------------
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE> 28
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM--18.5%
40,000 600 Group plc
(Machinery).............. $ 86,075
48,000 Allied Textile Cos. plc
(Textiles)............... 129,815
66,000 Alvis plc (Defense)........ 164,128
143,000 AMEC plc (Building)........ 377,162
126,000 Babcock International Group
plc (Building)........... 154,030
62,000 Barratt Developments plc
(Building)............... 333,798
32,000 Bladgen Industries
(Machinery).............. 84,400
141,000 Body Shop International plc
(Soaps & Cosmetics)...... 285,704
12,000 Bullough plc (Machinery)... 19,593
43,000 Cape (Construction
Materials)............... 99,731
94,000 Chloride Group plc
(Electronics)............ 68,868
34,000 Concentric plc
(Machinery).............. 66,616
187,000 Dawson International
(Textiles)............... 159,707
30,000 Delta plc (Machinery)...... 149,709
154,000 Dowding & Mills plc
(Services)............... 180,522
48,000 EIS Group plc (Aircraft)... 227,880
12,000 Exco plc (Miscellaneous
Financial)............... 5,024
99,000 Haden Maclellan HD
(Machinery).............. 218,008
132,000 Hickson International plc
(Chemicals).............. 201,153
75,250 Iceland Group plc
(Retail/Wholesale)....... 247,617
89,000 James Finley plc (Food).... 185,554
46,000 Johnson Group Cleaners plc
(Services)............... 222,236
31,000 Kwik Save Group plc
(Retail/Wholesale)....... 216,216
22,000 Laird Group plc
(Household).............. 176,285
44,000 London Pacific Group, Ltd.
(Insurance).............. 147,365
21,000 Macro 4 plc (Services)..... 131,875
27,000 Mansfield Brewery plc
(Liquor & Tobacco)....... 132,252
24,000 Marshalls plc (Construction
Materials)............... 58,075
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
6,000 Marston, Thompson &
Evershed plc (Liquor &
Tobacco)................. $ 32,152
99,000 Matthews (Bernard) plc
(Food)................... 151,694
138,601 Mowlem (John) & Co. plc
(Building)............... 286,645
122,000 Norcros plc (Construction
Materials)............... 150,162
34,000 Oxford Instruments plc
(Electronics)............ 180,204
5,000 Paragon Group Co. plc
(Banking)................ 3,265
203,000 Pentland Group plc
(Retail/Wholesale)....... 407,933
50,000 Photo-Me International plc
(Services)............... 190,486
628,300 Premier Oil plc (Oil)...... 410,339
107,000 Readicut International plc
(Textiles)............... 74,809
67,000 Renold plc (Machinery)..... 263,666
168,000 Signet Group plc*
(Retail/Wholesale)....... 114,643
25,200 Viridian Group plc
(Electric Utilities)
(b)...................... 221,972
28,000 Viridian Group plc, 1.00%,
2/14/03 (a)(b)........... 222
7,000 Wagon Industrial Holdings
(Machinery).............. 36,808
20,000 Weir Group plc
(Machinery).............. 90,931
51,000 Willis Corroon Group plc
(Insurance).............. 134,939
25,000 Wolverhampton & Dudley
Breweries plc (Liquor &
Tobacco)................. 221,885
------------
7,502,153
------------
TOTAL COMMON STOCKS (COST
$39,184,296)-98.6%....... 40,008,817
============
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE> 29
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
PREFERRED STOCKS--0.0%
CANADA--0.0%
450 Intrawest Corp. (Real
Estate Assets)........... $ 918
400 Lafarge Canada, Inc.*
(Construction
Materials)............... 15,259
------------
TOTAL PREFERRED STOCKS
(COST $12,699)........... 16,177
------------
WARRANTS--0.0%
SINGAPORE--0.0%
6,300 IPCO International Wts. @
1.30, 12/17/02
(Building)............... 2,804
------------
TOTAL WARRANTS (COST
$6,300).................. 2,804
------------
TOTAL INVESTMENTS (COST
$39,203,295)(C)--98.6%... 40,027,798
OTHER ASSETS IN EXCESS OF
LIABILITIES--1.4%........ 564,729
------------
TOTAL NET ASSETS--100.0%... $ 40,592,527
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Fair value security; valued by Management (Note 2).
(b) Every 10 shares of Northern Ireland Electricity plc, was exchanged for 9
shares of Viridian Group plc and 10 unsecured variable rate notes of the new
company.
(c) At March 31, 1998, the aggregate cost of investment securities for income
tax purposes was $39,298,557. Cost for federal income tax purposes differs
from value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation... $ 4,797,327
Unrealized depreciation... (4,068,086)
-----------
Net unrealized
appreciation............ $ 729,241
===========
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The Barr Rosenberg Market Neutral Fund finished its first full quarter of
operations with a 0% return for both Institutional and Investor shares (-0.3%
and -0.4%, respectively since inception in December 1997). Watching the
performance of the Fund on a day to day basis, one thing is quite striking--the
Fund's performance is not related to the performance of the equity market. That
is, this Fund really is market neutral. This lack of correlation with the market
is evidence that the risk control procedures in place are functioning as
intended. While the flat first quarter results are disappointing, they are not
cause for concern. There will be some volatility in the strategy's returns, and
we can expect to see quarters where the performance is flat or negative. The
goal of the Market Neutral Fund is to provide a total return greater than the
return on U.S. government 90-day T-bills(1). Assuming a targeted excess return
of 6% and an annual standard deviation of 7%, we would expect that 1 out of
every 5 quarters would have returns that are 0 or negative. While there is no
guarantee, we believe the Fund will achieve its target in the long run.
PORTFOLIO REPORT
The portfolio consists of over 500 long securities and 500 short
securities. Proprietary Rosenberg models are used to evaluate whether and to
what degree securities are undervalued or overvalued. The most undervalued
securities are purchased, and the most overvalued securities are sold short. The
portfolio is constructed so that the longs and shorts are roughly mirror images
in terms of risk characteristics. The portfolio has approximately the same
dollar value long and short, little exposure to the equity and bond markets and
minimal exposure to industries.
Since our appraisal model focuses on the fundamentals of a company, there
is a natural alignment between our measure of "undervalued" and recognized
measures of value like book to price and earnings to price. The portfolio will
have persistent modest exposures to value characteristics. During the first
quarter of 1998, the market rewarded stocks with growth characteristics and
penalized stocks with value characteristics. Historically, over long periods of
time, the market rewarded value characteristics.(2) Over shorter periods of
time, the Fund's modest exposures to these characteristics may detract from
current performance.
- ---------------
(1)Since the risk in the Barr Rosenberg Market Neutral Fund relates specifically
to Rosenberg's stock selection techniques and not to any systematic or
economy-wide factors, we believe the proper benchmark is an asset that also
has the least exposure to systematic influences. U. S. government 90-day
T-bills are such an asset. An investment in a 90-day T-bill is different from
an investment in the Fund because T-bills have a fixed rate of return, and
investors in T-bills do not bear the risk of losing their investment.
Investment in shares of the Market Neutral Fund is more volatile than some
other forms of investment. Since the Fund has both a long and a short
portfolio, an investment in the Market Neutral Fund will involve the risks
associated with twice the number of investment decisions that are made for a
typical stock mutual fund.
(2)Based on analysis done by Rosenberg Institutional Equity Management.
30
<PAGE> 31
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS--93.1%
AIRCRAFT--1.2%
2,200 Ducommun, Inc.*............ $ 64,350
16,600 Goodrich (B.F.) Co......... 847,638
21,200 Sundstrand Corp............ 1,282,599
3,500 Triumph Group, Inc.*....... 155,313
------------
2,349,900
------------
AIRLINES--0.8%
9,300 Alaska Air Group, Inc.*.... 503,944
800 Amtran, Inc.*.............. 13,000
27,900 CNF Transportation, Inc.... 1,002,656
600 UAL Corp.*................. 55,763
------------
1,575,363
------------
AUTOS--1.4%
12,700 Borg-Warner Automotive,
Inc...................... 814,388
6,300 Federal-Mogul Corp......... 335,081
39,600 Navistar International
Corp.*................... 1,386,000
1,600 Oshkosh Truck Corp......... 30,400
3,000 Safety Components
International, Inc.*..... 47,250
7,100 Standard Products Co....... 233,856
------------
2,846,975
------------
BANKING--4.1%
1,900 Albank Financial Corp...... 95,238
4,400 Ambanc Holding Company,
Inc...................... 83,600
1,500 Ampal-American Israel
Corp.*................... 8,531
19,500 Associated Banc-Corp....... 1,051,780
3,300 Bando McGlocklin Capital
Corp..................... 37,950
1,400 BNC Corp., Inc.*........... 27,475
1,800 Carver Bancorp, Inc........ 26,775
1,500 Central Co-Operative
Bank..................... 46,688
5,300 Civic Bancorp*............. 97,388
2,700 Columbia Banking System,
Inc.*.................... 86,063
4,200 Commercial Bank of New
York..................... 106,050
400 Contifinancial Corp.*...... 12,200
11,400 Delta Financial Corp.*..... 197,363
3,200 Dime Community Bancorp,
Inc...................... 78,400
1,600 Financial Bancorp, Inc..... 40,000
6,600 First Republic Bank*....... 237,600
700 FirstBank Puerto Rico...... 32,244
1,200 FNB Rochester Corp......... 27,300
41,400 GreenPoint Financial
Corp..................... 1,487,812
3,500 Harbor Florida Bancorp,
Inc...................... 41,187
2,700 Hawthorne Financial
Corp.*................... 53,325
3,100 HF Bancorp, Inc.*.......... 52,700
23,200 Imperial Credit Industries,
Inc.*.................... 549,550
6,600 JSB Financial, Inc......... 369,188
2,900 Lakeview Financial Corp.... 69,600
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
2,500 North County Bancorp*...... $ 38,906
1,600 Pacific Bank N.A........... 85,200
39,300 Pacific Century Financial
Corp..................... 935,830
1,200 Pacific Crest Capital,
Inc.*.................... 22,350
5,400 PennFed Financial Services,
Inc...................... 97,875
2,000 Peoples Bancshares, Inc.... 50,000
11,500 Peoples Heritage Finance
Group, Inc............... 554,875
2,200 PVF Capital Corp.*......... 52,800
4,600 RedFed Bancorp, Inc.*...... 92,000
600 Redwood Empire Bancorp*.... 11,325
6,700 Reliance Bancorp, Inc...... 259,625
2,300 SierraWest Bancorp......... 89,700
1,300 Southern Pacific Funding
Corp.*................... 19,988
1,400 Sterling Bancorp........... 37,975
20,100 UST Corp................... 570,337
3,000 Wainwright Bank & Trust
Co....................... 29,063
13,740 Washington Federal, Inc.... 381,285
4,600 WFS Financial, Inc.*....... 47,150
------------
8,292,291
------------
BUILDING--1.4%
3,500 Beazer Homes USA, Inc.*.... 89,906
31,000 Champion Enterprises,
Inc.*.................... 827,313
1,100 Dominion Homes, Inc.*...... 14,850
22,600 Fleetwood Enterprises,
Inc...................... 1,052,312
5,900 M.D.C. Holdings, Inc....... 104,725
19,700 Oakwood Homes Corp......... 721,513
------------
2,810,619
------------
CHEMICALS--1.6%
9,500 Bairnco Corp............... 104,500
700 Detrex Corp.*.............. 11,375
22,900 Ferro Corp................. 672,688
10,600 FMC Corp.*................. 832,099
9,200 Fuller (H. B.) Co.......... 550,850
2,100 Lubrizol Corp.............. 80,850
29,900 NL Industries, Inc.*....... 521,381
7,300 Pioneer Companies, Inc.,
Class A*................. 66,613
3,400 Rohm & Haas Co............. 351,263
------------
3,191,619
------------
COMPUTER--0.7%
29,600 Gateway 2000, Inc.*........ 1,389,350
------------
CONSTRUCTION
MATERIALS--2.3%
3,100 Align-Rite International,
Inc.*.................... 48,825
3,500 Ameron International,
Inc...................... 204,531
</TABLE>
See accompanying notes to the financial statements.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS (CONTINUED)
15,000 CalMat Co.................. $ 414,375
100 Continental Materials
Corp.*................... 2,813
6,300 Donnelly Corp.............. 118,125
9,400 Dravo Corp.*............... 101,638
11,000 Florida Rock Industries.... 314,188
35,900 Lafarge Corp............... 1,377,662
16,550 Lancaster Colony Corp...... 702,340
11,100 Libbey, Inc................ 413,475
10,700 Martin Marietta Materials,
Inc...................... 462,106
4,900 Vulcan Materials Co........ 536,550
------------
4,696,628
------------
DEFENSE--0.5%
10,200 Avondale Industries,
Inc.*.................... 293,250
4,800 Esterline Technologies
Corp.*................... 202,500
13,200 Kaman Corp., Class A....... 242,550
3,700 Primex Technologies, Inc... 170,200
11,500 United Industrial Corp..... 148,781
------------
1,057,281
------------
DRUGS--2.8%
9,600 Akorn, Inc.*............... 58,800
1,410 Allergan Specialty Therapy,
Class A*................. 17,096
28,200 Allergan, Inc.............. 1,071,600
17,800 Alpharma, Inc., Class A.... 386,038
29,700 Bausch & Lomb, Inc......... 1,356,918
7,300 Bradley Pharmaceuticals,
Inc., Class A*........... 16,425
1,300 Collagen Corp.............. 28,763
16,500 Copley Pharmaceutical,
Inc.*.................... 115,500
8,300 Diagnostic Products Corp... 231,363
2,900 Gamma Biologicals, Inc..... 13,594
4,800 Hi-Tech Pharmacal Company,
Inc.*.................... 34,500
14,500 Life Technologies, Inc..... 558,250
21,900 Mallinckrodt, Inc.......... 865,050
1,900 New Brunswick Scientific,
Inc.*.................... 19,000
6,900 Nutramax Products, Inc.*... 86,681
1,800 PDK Labs, Inc.*............ 11,250
46,400 Perrigo Co.*............... 568,400
18,100 Roberts Pharmaceutical
Corp.*................... 257,925
------------
5,697,153
------------
DURABLES--1.4%
4,300 Brunswick Corp............. 149,963
9,600 Coachmen Industries, Inc... 259,200
5,100 National RV Holdings*...... 184,238
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES (CONTINUED)
13,400 Royal Appliance
Manufacturing Co.*....... $ 80,400
5,700 SMC Corp.*................. 55,575
29,500 Whirlpool Corp............. 2,022,593
------------
2,751,969
------------
ELECTRIC UTILITIES--1.9%
13,100 Boston Edison Co........... 549,381
39,000 New York State Electric &
Gas Corp................. 1,555,124
33,600 Niagara Mohawk Power
Corp.*................... 436,800
20,900 PP&L Resources, Inc........ 493,763
27,600 Public Service Company of
New Mexico............... 674,475
3,400 SCANA Corp................. 105,188
------------
3,814,731
------------
ELECTRONICS--6.5%
400 Active Voice Corp.*........ 5,250
18,000 Acuson Corp.*.............. 326,250
6,500 Aeroflex, Inc.*............ 86,125
6,000 Aetrium, Inc.*............. 87,000
9,200 Alpha Industries, Inc.*.... 142,025
5,900 Applied Signal Technology,
Inc.*.................... 106,200
9,800 ATL Ultrasound, Inc.*...... 498,574
15,400 Beckman Coulter, Inc.*..... 882,612
4,300 Bel Fuse, Inc.*............ 98,363
50 Burr-Brown Corp.*.......... 1,250
1,600 C. P. Clare Corp.*......... 22,200b
9,700 Cidco, Inc.*............... 91,544
5,400 CMC Industries, Inc.*...... 55,350
5,000 CNS, Inc.*................. 27,813
5,700 Cobra Electronics Corp.*... 35,625
2,600 Cognitronics Corp.*........ 42,413
13,600 Coherent, Inc.*............ 328,949
6,300 Cohu, Inc.................. 239,400
9,000 Comdial Corp.*............. 99,000
1,000 CTS Corp................... 33,938
17,700 Dallas Semiconductor
Corp..................... 595,162
4,800 Data I/O Corp.*............ 24,900
700 Datron Systems, Inc.-
California*.............. 5,775
7,200 Exar Corp.*................ 155,700
6,600 Fluke Corp................. 157,575
80,200 General Instrument
Corp.*................... 1,679,187
5,100 ICU Medical, Inc.*......... 77,138
4,200 IEC Electronics Corp.*..... 38,325
</TABLE>
See accompanying notes to the financial statements.
32
<PAGE> 33
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
5,900 Integrated Circuit Systems,
Inc.*.................... $ 123,531
20,500 Invacare Corp.............. 532,999
2,000 Invivo Corp.*.............. 22,000
5,400 ITI Technologies, Inc.*.... 140,400
1,800 K Tron International,
Inc.*.................... 30,825
1,800 Kewaunee Scientific Corp... 20,700
4,200 Lumisys, Inc.*............. 18,375
8,500 Marquette Medical
Systems*................. 235,875
4,400 Merix Corp.*............... 77,550
5,800 Microsemi Corp.*........... 95,700
2,100 Moore Products Co.......... 69,038
11,500 Mosaix, Inc.*.............. 135,125
9,200 Movado Group, Inc.......... 265,650
8,600 Newport Corp............... 169,850
1,900 Optek Technology, Inc.*.... 48,688
9,900 Optical Coating Laboratory,
Inc...................... 127,463
2,000 Reliability, Inc.*......... 24,000
4,900 Relm Wireless Corp.*....... 28,175
13,400 Respironics, Inc.*......... 387,762
1,500 Safety 1st, Inc.*.......... 12,563
4,500 Snap-on, Inc............... 205,313
5,900 Spacelabs Medical, Inc.*... 130,538
1,000 Span-America Medical
Systems, Inc............. 7,375
15,500 Sunrise Medical, Inc.*..... 247,031
11,000 Symmetricom, Inc.*......... 78,375
30,300 Tektronix, Inc............. 1,352,137
19,800 Uniphase Corp.*............ 832,837
3,200 Unit Instruments, Inc.*.... 27,200
44,300 United States Surgical
Corp..................... 1,461,899
2,500 Vicon Industries, Inc.*.... 29,063
4,200 Video Display Corp.*....... 41,475
1,500 Vital Signs, Inc........... 33,938
14,100 VLSI Technology, Inc.*..... 264,375
------------
13,221,468
------------
FINANCIAL INVESTMENTS--0.7%
1,900 Cooper Life Sciences*...... 74,456
700 IHOP Corp.*................ 26,863
2,700 PS Group Holdings, Inc..... 34,931
31,600 Weatherford Enterra,
Inc.*.................... 1,341,025
------------
1,477,275
------------
FOOD--1.3%
4,100 Chock Full o' Nuts
Corp.*................... 31,775
8,600 Darling International,
Inc.*.................... 74,175
9,400 Dean Foods Co.............. 472,938
14,100 Earthgrains Co............. 623,043
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
6,200 Grist Mill Co.*............ $ 91,063
3,200 J & J Snack Foods Corp.*... 62,600
14,400 M & F Worldwide Corp.*..... 130,500
1,100 Pilgrim's Pride Corp....... 16,019
11,600 Smithfield Foods, Inc.*.... 400,200
17,200 Triarc Companies, Inc.*.... 451,500
13,600 Zapata Corp................ 192,100
------------
2,545,913
------------
HEALTH--1.5%
1,600 Apogee, Inc.*.............. 3,600
2,900 Caretenders Healthcorp*.... 22,475
1,800 Dianon Systems, Inc.*...... 17,550
3,100 Equimed, Inc.*............. 59,675
13,500 Hanger Orthopedic Group,
Inc.*.................... 226,969
9,100 Home Health Corporation of
America*................. 25,309
15,800 Medical Resources, Inc.*... 83,444
2,500 National Home Health Care
Corp.*................... 10,313
7,400 Novacare, Inc.*............ 110,075
5,000 Pediatric Services Of
America*................. 106,875
18,400 Quest Diagnostics, Inc.*... 309,350
24,000 Quorum Health Group,
Inc.*.................... 806,999
7,900 Res-Care, Inc.*............ 294,275
7,100 Sheridan Healthcare,
Inc.*.................... 120,700
2,000 Staff Builders, Inc., Class
A*....................... 4,500
20,900 Sun Healthcare Group,
Inc.*.................... 389,263
7,800 Universal Health Services,
Inc., Class B*........... 450,450
------------
3,041,822
------------
HOUSEHOLD--2.0%
17,500 ACX Technologies, Inc.*.... 418,906
700 Baldwin Piano & Organ
Co.*..................... 11,200
17,200 Carter-Wallace, Inc........ 312,825
1,400 Continental Can Co.,
Inc.*.................... 54,688
4,000 Daktronics, Inc.*.......... 34,000
2,300 Escalade, Inc.*............ 46,288
15,200 Ethan Allen Interiors,
Inc...................... 908,199
1,000 First Years, Inc........... 35,125
12,900 Furon Co................... 305,569
7,800 Genlyte Group, Inc.*....... 150,150
5,900 Hunt Corp.................. 144,919
8,300 Johnson Worldwide
Associates, Inc., Class
A*....................... 139,025
7,800 LADD Furniture, Inc.*...... 187,200
</TABLE>
See accompanying notes to the financial statements.
33
<PAGE> 34
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
10,300 National Service
Industries, Inc.......... $ 605,769
4,600 Norwood Promotional
Products, Inc.*.......... 91,425
4,800 Patrick Industries, Inc.... 74,700
3,400 Play By Play Toys &
Novelties, Inc.*......... 64,175
3,600 Reunion Industries,
Inc.*.................... 18,000
9,400 Riddell Sports, Inc.*...... 51,700
6,700 Shelby Williams Industries,
Inc...................... 99,034
4,200 Southwall Technologies,
Inc.*.................... 30,450
3,000 Stanley Furniture Co.,
Inc.*.................... 119,625
6,300 Winsloew Furniture,
Inc.*.................... 138,600
------------
4,041,572
------------
INSURANCE--1.5%
10,100 Acceptance Insurance
Companies, Inc.*......... 240,506
7,300 EMC Insurance Group, Inc... 97,638
21,600 Everest Reinsurance
Holdings, Inc............ 888,299
8,930 Fidelity National
Financial, Inc........... 328,178
3,500 First American Financial
Corp..................... 224,000
10,700 HealthPlan Services Corp... 281,544
2,800 Highlands Insurance
Group*................... 75,250
4,200 Kaye Group, Inc............ 30,450
1,100 LandAmerica Financial
Group, Inc............... 49,775
5,000 PXRE Corp.................. 155,000
3,400 Standard Management
Corp.*................... 25,288
1,200 Stewart Information
Services Corp............ 36,900
50,500 Willis Corroon Group PLC-SP
ADR...................... 675,437
------------
3,108,265
------------
LIQUOR & TOBACCO--0.2%
3,300 Coors (Adolph) Co., Class
B........................ 115,500
21,200 Swisher International
Group, Inc., Class A*.... 275,600
------------
391,100
------------
MACHINERY--5.7%
16,600 Agco Corp.................. 492,813
4,600 American Buildings Co.*.... 138,575
2,000 Amistar Corp.*............. 7,500
7,600 Ampco-Pittsburgh Corp...... 140,600
300 Applied Science &
Technology, Inc.*........ 4,725
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
5,500 Astec Industries, Inc.*.... $ 140,250
16,600 Ball Corp.................. 543,623
22,400 Camco International Inc.... 1,355,199
22,600 Cummins Engine Company,
Inc...................... 1,245,824
4,600 Dayton Superior Corp.*..... 92,863
2,900 Engineered Support
Systems.................. 69,600
8,100 ESCO Electronics Corp.*.... 133,650
4,900 Gardner Denver Machinery,
Inc.*.................... 145,163
2,500 Gehl Co.*.................. 53,438
3,800 Gencor Industries, Inc..... 110,438
800 Graham Corp.*.............. 13,050
20,000 Griffon Corp.*............. 317,500
3,000 Haskel International, Inc.,
Class A.................. 30,000
8,500 Johnstown America
Industries, Inc.*........ 139,188
6,900 Kennametal, Inc............ 363,113
2,500 Lincoln Electric Co........ 114,063
5,100 Lufkin Industries, Inc..... 165,750
18,200 McDermott International,
Inc...................... 751,887
4,500 Nacco Industries, Inc.,
Class A.................. 602,999
4,200 NCI Building Systems,
Inc.*.................... 203,700
21,300 Novellus Systems, Inc.*.... 921,224
23,700 Premark International,
Inc...................... 785,062
1,900 Quipp, Inc.*............... 29,213
3,300 Raytech Corp.*............. 16,913
2,000 SPX Corp.*................. 152,625
4,200 Starrett (L.S.) Co., Class
A........................ 163,275
2,900 The Carbide/Graphite Group,
Inc.*.................... 87,000
6,500 Timken Co.................. 219,781
3,500 Toro Co.................... 134,094
3,000 Tower Automotive, Inc.*.... 135,000
400 Trinity Industries, Inc.... 21,950
1,700 Twin Disc, Inc............. 54,825
37,600 Varco International,
Inc.*.................... 968,199
6,800 Varlen Corp................ 261,800
1,700 Watkins-Johnson Co......... 46,006
3,800 Zurn Industries, Inc....... 180,025
------------
11,552,503
------------
MEDIA--1.9%
2,700 Bowne & Co., Inc........... 111,713
500 Cadmus Communications
Corp..................... 11,875
1,200 Courier Corp............... 34,200
</TABLE>
See accompanying notes to the financial statements.
34
<PAGE> 35
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
475 Grey Advertising........... $ 176,225
10,900 Houghton Mifflin Co........ 347,438
3,700 K-Tel International,
Inc.*.................... 26,131
12,600 King World Productions,
Inc.*.................... 368,550
16,900 Media General, Inc., Class
A........................ 831,269
3,100 Merrill Corp............... 68,200
23,300 Sinclair Broadcast Group,
Inc., Class A*........... 1,342,662
9,400 Spice Entertainment
Companies, Inc.*......... 55,225
15,000 TMP Worldwide, Inc.*....... 478,125
------------
3,851,613
------------
METALS--4.3%
30,300 Alumax, Inc.*.............. 1,369,180
4,800 Atchison Casting Corp.*.... 75,000
8,200 Bayou Steel Corp., Class
A*....................... 55,863
12,600 Belden, Inc................ 527,625
5,600 Chase Industries, Inc.*.... 173,250
3,300 China Pacific, Inc.*....... 6,394
7,300 Cleveland-Cliffs, Inc...... 392,375
6,200 Curtiss-Wright Corp........ 240,250
5,400 EASCO, Inc................. 82,350
14,700 General Cable Corp......... 667,012
2,300 General Housewares Corp.... 25,444
25,300 Harsco Corp................ 1,162,218
10,000 IMCO Recycling, Inc........ 173,750
300 Insilco Corp.*............. 12,900
4,900 Lindberg Corp.............. 86,363
60,500 LTV Corp................... 794,062
7,600 Mueller Industries,
Inc.*.................... 481,175
16,000 NS Group, Inc.*............ 234,000
2,550 Roanoke Electric Steel
Corp..................... 52,594
6,600 Steel of West Virginia,
Inc.*.................... 67,650
10,300 Superior TeleCom, Inc...... 430,025
13,000 Texas Industries, Inc...... 751,562
9,300 USX-U. S. Steel Group,
Inc...................... 351,075
24,500 Weirton Steel Corp.*....... 88,813
8,900 Wolverine Tube, Inc.*...... 357,113
------------
8,658,043
------------
MISCELLANEOUS
FINANCIAL--0.8%
6,500 Atalanta Sosnoff Capital
Corp..................... 68,656
3,400 Eaton Vance Corp........... 163,838
6,700 Jefferies Group, Inc....... 378,550
10,000 Raymond James Financial,
Inc...................... 435,624
6,800 Southwest Securities Group,
Inc...................... 187,850
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
3,990 Stifel Financial Corp...... $ 67,830
3,400 United Asset Management
Corp..................... 92,650
6,300 Value Line, Inc............ 270,113
300 Ziegler Companies Inc...... 7,125
------------
1,672,236
------------
OFFICE MACHINERY--3.9%
18,800 Baldwin Technology Company,
Inc., Class A*........... 103,400
6,500 BancTec, Inc.*............. 160,063
2,500 Dataram Corp.*............. 29,688
8,000 Digi International,
Inc.*.................... 220,500
4,400 Emulex Corp.*.............. 40,150
4,300 Equinox Systems, Inc.*..... 91,913
8,600 Genicom Corp.*............. 104,275
10,200 Imation Corp.*............. 188,700
6,800 Key Tronic Corp.*.......... 21,250
32,100 Lexmark International
Group, Inc., Class A*.... 1,448,513
15,100 Network Equipment
Technologies, Inc.*...... 245,375
7,900 Polaroid Corp.............. 347,600
8,800 Powerhouse Technologies,
Inc.*.................... 125,400
3,700 Printronix, Inc.*.......... 61,975
10,100 PSC, Inc.*................. 115,519
23,600 Storage Technology
Corp.*................... 1,795,074
13,300 Stratus Computer, Inc.*.... 586,031
7,400 Symbol Technologies, Inc... 363,988
37,900 Tandy Corp................. 1,781,299
2,700 Thrustmaster, Inc.*........ 34,425
------------
7,865,138
------------
OIL--1.0%
9,500 American Resources of
Delaware*................ 26,125
13,200 Arch Petroleum, Inc.*...... 33,000
9,300 Cabot Oil & Gas Corp.,
Class A.................. 210,413
5,700 Clayton Williams Energy,
Inc.*.................... 72,675
330 Columbus Energy Corp.*..... 2,475
2,400 Equity Oil Co.*............ 6,750
8,600 Evergreen Resources,
Inc.*.................... 147,275
16,200 Houston Exploration Co.*... 349,312
4,200 Maynard Oil Co.*........... 46,200
29,300 Mitchell Energy &
Development, Class B..... 776,449
</TABLE>
See accompanying notes to the financial statements.
35
<PAGE> 36
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
1,500 PetroCorp., Inc.*.......... $ 12,375
12,200 Petroleum Development
Corp.*................... 72,438
19,300 Zeigler Coal Holding Co.... 330,513
------------
2,086,000
------------
OIL DISTRIBUTION--1.1%
31,000 Amerada Hess Corp.......... 1,807,687
30,200 Kaneb Services, Inc.*...... 166,100
17,900 Tesoro Petroleum Corp.*.... 319,963
------------
2,293,750
------------
OIL SERVICES--1.5%
9,800 American Oilfield Divers,
Inc.*.................... 141,488
3,800 Dawson Geophysical Co.*.... 60,325
46,500 Helmerich & Payne.......... 1,453,124
14,800 Oceaneering International,
Inc.*.................... 292,300
7,500 Parker Drilling Co.*....... 78,750
11,000 Pool Energy Services
Co.*..................... 257,125
15,700 Seitel, Inc.*.............. 237,463
12,300 Veritas DGC, Inc.*......... 621,918
100 Western Atlas, Inc.*....... 7,738
------------
3,150,231
------------
OTHER UTILITIES--1.9%
65,800 Allied Waste Industries,
Inc.*.................... 1,642,944
3,500 American Waste Services,
Inc., Class A*........... 13,781
19,800 Columbia Energy Group...... 1,539,450
13,400 Eastern Enterprises........ 576,200
1,200 GZA GeoEnvironmental
Technologies, Inc.*...... 6,000
2,200 Harding Lawson Associates
Group*................... 20,488
------------
3,798,863
------------
PAPER--3.4%
8,900 ABT Building Products
Corp.*................... 146,850
700 American Woodmark Corp..... 18,200
1,800 Baltek Corp.*.............. 17,213
23,100 Bowater, Inc............... 1,303,705
4,300 CSS Industries, Inc.*...... 141,094
3,400 Drypers Corp.*............. 23,375
2,400 Fibermark, Inc.*........... 55,950
28,500 Glatfelter (P.H.) Co....... 514,781
18,800 Mead Corp.................. 673,275
17,700 Potlatch Corp.............. 762,206
1,400 Rayonier, Inc.............. 63,963
18,600 Rock-Tenn Co., Class A..... 296,438
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER (CONTINUED)
11,800 Shorewood Packaging
Corp.*................... $ 316,388
8,900 Tandycrafts, Inc.*......... 46,725
3,000 THT, Inc.*................. 10,688
11,300 TJ International, Inc...... 361,600
1,300 Tufco Technologies,
Inc.*.................... 11,375
29,500 Union Camp Corp............ 1,762,624
16,000 Wausau-Mosinee Paper
Corp..................... 369,000
------------
6,895,450
------------
REAL ESTATE ASSETS--3.9%
8,600 American General
Hospitality Corp......... 238,113
100 Angeles Mortgage Investment
Trust, Class A........... 1,875
3,300 Bay Apartment
Communities.............. 122,513
22,000 Bluegreen Corp.*........... 184,250
16,500 Brandywine Realty Trust.... 392,906
11,500 Capstone Capital Corp...... 279,594
3,500 Castle & Cooke, Inc.*...... 58,844
11,100 CB Commercial Real Estate
Services Group, Inc.*.... 444,000
14,900 CBL & Associates
Properties, Inc.......... 365,050
10,400 Commercial Assets, Inc..... 68,900
4,900 Excel Realty Trust, Inc.... 174,563
22,200 Felcor Suite Hotels,
Inc...................... 822,787
21,400 First Industrial Realty
Trust, Inc............... 770,399
5,700 Glenborough Realty Trust,
Inc...................... 166,013
7,300 Highwoods Properties,
Inc...................... 257,781
19,500 Hospitality Properties
Trust.................... 691,030
11,600 JDN Realty Corp............ 396,575
500 Kennedy--Wilson, Inc.*..... 17,188
7,600 Lexford Residential
Trust*................... 152,950
300 Mays (J.W.), Inc.*......... 4,050
2,400 Omega Healthcare Investors,
Inc...................... 93,600
18,800 Post Properties, Inc....... 750,824
17,100 Prentiss Properties
Trust.................... 446,738
14,100 Realty Inc.ome Corp........ 383,344
34,500 Taubman Centers, Inc....... 450,656
14,300 Thornburg Mortgage Asset
Corp..................... 227,013
------------
7,961,556
------------
RETAIL/WHOLESALE--9.0%
4,300 Aceto Corp................. 94,600
4,600 Advanced Marketing
Services, Inc.*.......... 86,250
</TABLE>
See accompanying notes to the financial statements.
36
<PAGE> 37
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
31,700 Allegiance Corp............ $ 1,254,130
6,600 Ames Department Stores,
Inc.*.................... 139,425
500 Arden Group, Inc., Class
A*....................... 71,000
12,800 Audiovox Corp., Class A*... 85,600
23,400 Avnet, Inc................. 1,346,962
5,400 Bell Industries, Inc.*..... 76,275
4,700 BJ's Wholesale Club,
Inc.*.................... 183,300
2,000 Bon-Ton Stores, Inc.*...... 30,500
41,300 Borders Group, Inc.*....... 1,406,780
37,500 Burlington Coat Factory
Warehouse................ 651,563
8,200 Cameron Ashley Building
Products*................ 150,163
6,600 Catherines Stores Corp.*... 51,975
9,500 Cole National Corp., Class
A*....................... 366,938
7,100 Creative Computers,
Inc.*.................... 56,134
5,700 Damark International, Inc.,
Class A*................. 70,538
10,400 DEB Shops, Inc............. 72,800
3,200 Discount Auto Parts,
Inc.*.................... 77,600
13,500 Dominick's Supermarkets,
Inc.*.................... 614,250
13,300 Dress Barn, Inc.*.......... 382,375
9,300 Drug Emporium, Inc.*....... 38,944
4,600 Environmental Technologies
Corp.*................... 30,978
10,200 Ezcorp, Inc., Class A*..... 121,125
34,100 Fred Meyer, Inc.*.......... 1,574,993
11,300 Friedman's, Inc., Class
A*....................... 229,531
2,800 Goody's Family Clothing,
Inc.*.................... 123,900
1,000 Great Atlantic & Pacific
Tea Company, Inc......... 30,250
5,800 Haverty Furniture
Companies, Inc........... 108,750
800 IIC Industries, Inc.*...... 8,663
9,300 Insurance Auto Auctions,
Inc.*.................... 102,300
13,200 International Multi-Foods
Corp..................... 395,175
4,700 Jos. A. Bank Clothiers,
Inc.*.................... 35,250
11,300 Linens 'N Things, Inc.*.... 620,794
2,000 Little Switzerland,
Inc.*.................... 15,375
8,000 Marshall Industries*....... 267,000
3,300 Mercantile Stores Company,
Inc...................... 221,719
1,400 Moore Medical Corp.*....... 15,925
66,300 OfficeMax, Inc.*........... 1,185,112
3,600 Piercing Pagoda, Inc.*..... 112,500
35,600 Proffitt's, Inc.*.......... 1,290,499
5,600 Programmer's Paradise,
Inc.*.................... 53,200
5,200 Reeds Jewelers, Inc.*...... 20,150
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
3,100 Republic Automotive Parts,
Inc.*.................... $ 56,188
1,000 Richardson Electronics,
Ltd...................... 13,375
16,200 Ross Stores, Inc........... 714,825
7,300 Schnitzer Steel Industries,
Inc., Class A............ 178,394
2,200 Seaway Food Town, Inc...... 61,600
9,300 Shoe Carnival, Inc.*....... 99,975
4,400 Software Spectrum, Inc.*... 95,700
2,000 Speizman Industries,
Inc.*.................... 14,250
3,900 Sport Chalet, Inc.*........ 19,500
10,600 Stanhome, Inc.............. 285,538
8,900 Stein Mart, Inc.*.......... 317,063
400 Trans World Entertainment
Corp.*................... 11,100
4,800 TransNet Corp.*............ 3,600
5,100 Travel Ports of America,
Inc.*.................... 20,400
4,600 United Retail Group,
Inc.*.................... 29,038
11,300 Value City Department
Stores, Inc.*............ 191,394
2,000 Village Supermarket, Inc.,
Class A*................. 25,750
72,700 Woolworth Corp.*........... 1,817,499
21,500 Zale Corp.*................ 620,813
------------
18,447,293
------------
SERVICES--10.4%
34,200 A.C. Nielsen Corp.*........ 904,163
13,200 Activision, Inc.*.......... 141,900
6,000 Adept Technology, Inc.*.... 61,500
10,800 ADVO, Inc.*................ 298,350
15,300 American Business
Information, Class B*.... 218,025
2,100 American Vantage Cos.*..... 3,281
6,200 Analysts International
Corp..................... 181,350
27,800 Autodesk, Inc.............. 1,198,874
16,400 Avant! Corp.*.............. 342,350
9,700 Baker (Michael) Corp.*..... 95,788
19,400 Banyan Systems, Inc.*...... 106,700
9,600 Barra, Inc.*............... 273,600
7,000 CACI International, Inc.,
Class A*................. 154,000
2,400 CDI Corp.*................. 103,350
300 CFI Proservices, Inc.*..... 4,425
8,400 Chrysalis International
Corp.*................... 25,200
7,700 Complete Management,
Inc.*.................... 65,450
9,700 Dataworks Corp.*........... 255,838
19,700 Discreet Logic, Inc.*...... 321,356
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE> 38
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
9,200 Education Management
Corp.*................... $ 312,800
3,400 Emcon, Inc.*............... 16,575
6,200 Exponent, Inc.*............ 62,000
19,100 Fiserv, Inc.*.............. 1,210,462
24,400 GTECH Holdings Corp.*...... 948,550
7,800 Infinium Software, Inc.*... 155,513
20,400 Information Resources,
Inc.*.................... 331,500
16,400 Intergraph Corp.*.......... 138,888
4,700 International Microcomputer
Software, Inc.*.......... 74,025
15,300 Intersolv, Inc.*........... 274,444
4,500 LCS Industries............. 72,563
5,900 Logic Works, Inc.*......... 82,969
4,300 MacNeal-Schwendler
Corp.*................... 50,794
3,900 Market Facts, Inc.*........ 77,025
41,300 Mentor Graphics Corp.*..... 405,256
11,300 Mercury Interactive
Corp.*................... 412,450
13,400 Metromail Corp.*........... 463,975
9,700 Midway Games, Inc.*........ 222,494
2,000 National Technical Systems,
Inc...................... 16,656
4,600 New Horizons Worldwide,
Inc.*.................... 60,375
17,400 Norrell Corp............... 392,588
6,400 PC Docs Group
International, Inc.*..... 34,400
5,000 PCA International, Inc..... 112,500
15,200 Personnel Group of America,
Inc.*.................... 345,800
8,300 Pinkertons, Inc.*.......... 191,419
39,500 Platinum Technology,
Inc.*.................... 1,017,125
11,000 Policy Management Systems
Corp.*................... 883,438
10,100 Progress Software Corp.*... 303,000
19,800 Siebel Systems, Inc.*...... 569,250
29,900 Snyder Communications,
Inc.*.................... 1,401,562
22,400 Sterling Software, Inc.*... 1,265,599
6,400 Stone & Webster, Inc....... 299,200
4,000 Symix Systems, Inc.*....... 72,000
11,600 Systems & Computer
Technology Corp.*........ 478,500
5,400 Thomas Group, Inc.*........ 48,600
16,800 Titan Corp.*............... 110,250
3,200 Tripos, Inc.*.............. 41,600
98,300 Unisys Corp.*.............. 1,867,699
4,200 URS Corp.*................. 66,150
14,900 Warrantech Corp.*.......... 105,231
17,900 Yahoo!, Inc.*.............. 1,654,630
------------
21,405,355
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS--0.8%
1,100 CCA Industries, Inc.*...... $ 3,506
3,000 CPAC, Inc.*................ 33,375
4,700 Guest Supply, Inc.*........ 70,500
29,400 Revlon, Inc., Class A*..... 1,462,650
8,800 Scott's Liquid Gold,
Inc...................... 27,500
------------
1,597,531
------------
TELEPHONE--1.1%
12,300 Aliant Communications,
Inc., Class A............ 418,200
800 Atlantic Tele-Network,
Inc.*.................... 8,800
23,000 Century Telephone
Enterprises, Inc......... 1,405,875
3,000 Davel Communication
Group*................... 76,875
1,800 Hector Communications
Corp.*................... 21,375
7,000 United States Cellular
Corp.*................... 237,563
500 United Video Satellite
Group, Inc., Class A*.... 21,250
------------
2,189,938
------------
TEXTILES--3.1%
18,500 Burlington Industries,
Inc.*.................... 324,906
300 Concord Fabrics, Inc.,
Class A*................. 2,813
6,500 Deckers Outdoor Corp.*..... 47,125
13,100 Dexter Corp................ 542,012
9,400 Dixie Group, Inc........... 108,688
9,200 Dyersburg Corp............. 71,875
4,300 G-III Apparel Group,
Ltd.*.................... 25,800
2,500 Genesco, Inc.*............. 45,313
2,300 Guilford Mills, Inc........ 67,850
3,600 Haggar Corp................ 53,100
14,700 Kellwood Co................ 453,863
35,500 Liz Claiborne, Inc......... 1,770,562
5,900 Mohawk Industries, Inc.*... 185,850
5,400 Norton McNaughton, Inc.*... 25,988
6,200 Oshkosh B'Gosh, Inc., Class
A........................ 247,613
7,400 Oxford Industries, Inc..... 232,175
22,700 Polymer Group, Inc.*....... 296,519
24,300 Russell Corp............... 651,543
7,300 Springs Industries, Class
A........................ 401,044
7,000 Supreme International
Corp.*................... 87,500
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
800 Tandy Brands Accessories,
Inc.*.................... $ 15,250
6,900 Timberland Co., Class A*... 493,349
14,400 Vans, Inc.*................ 153,000
------------
6,303,738
------------
TRANSPORTATION--1.7%
2,500 B & H Ocean Carriers
Ltd.*.................... 10,938
11,600 Coach USA, Inc.*........... 504,600
11,000 Consolidated
Freightways*............. 187,000
38,600 Kansas City Southern
Industries, Inc.......... 1,698,399
9,400 Kitty Hawk, Inc.*.......... 206,800
5,400 Landstar System, Inc.*..... 174,150
3,600 Oglebay Norton Co.......... 148,500
14,400 Pittston Burlington
Group.................... 225,000
1,300 Roadway Express, Inc....... 31,931
14,900 Yellow Corp.*.............. 284,963
------------
3,472,281
------------
TRAVEL/ENTERTAINMENT--3.8%
12,500 AMC Entertainment, Inc.*... 298,438
8,100 Anchor Gaming*............. 601,425
4,200 Ark Restaurants Corp.*..... 48,300
2,200 Back Bay Restaurant
Group*................... 16,225
4,000 Bertucci's, Inc.*.......... 30,750
11,800 Bob Evans Farms, Inc....... 250,013
20,000 Buffets, Inc.*............. 275,000
88,400 Darden Restaurants, Inc.... 1,375,724
3,500 Fresh Choice, Inc.*........ 11,813
2,700 Garden Fresh Restaurant
Corp.*................... 50,456
24,800 Lone Star Steakhouse &
Saloon*.................. 562,650
36,100 MGM Grand, Inc.*........... 1,236,424
8,500 Movie Gallery, Inc.*....... 64,813
4,300 Nathan's Famous, Inc.*..... 17,200
5,700 Planet Hollywood
International, Inc.,
Class A*................. 61,988
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
400 PLM International, Inc.*... $ 2,375
300 Premier Parks, Inc.*....... 17,400
29,000 Promus Hotel Corp.*........ 1,384,749
13,100 Quintel Entertainment,
Inc.*.................... 72,050
4,700 Red Roof Inns, Inc.*....... 85,775
900 Ruby Tuesday, Inc.......... 28,350
31,500 Ryan's Family Steak Houses,
Inc.*.................... 285,469
600 Showbiz Pizza*............. 19,988
1,500 Sonesta International
Hotels Corp., Class A.... 20,250
2,400 Spaghetti Warehouse,
Inc.*.................... 16,650
8,600 Taco Cabana, Inc., Class
A*....................... 59,125
28,600 Viad Corp.................. 693,550
5,600 VICorp. Restaurants,
Inc.*.................... 102,900
14,600 Video Update, Inc., Class
A*....................... 50,188
------------
7,740,038
------------
TOTAL COMMON STOCKS (COST
$171,684,166)--93.1%..... 189,242,851
------------
REPURCHASE AGREEMENTS--9.1%
Bear Stearns, dated
3/31/98, due 4/01/98 at
5.80% with a maturity
value of $18,603,712
(Collateralized by
$18,501,187 various U.S.
Government Securities,
7.00%-8.00%,
12/15/11-5/15/26, market
value - $18,975,559)..... 18,600,716
------------
TOTAL REPURCHASE AGREEMENTS
(COST $18,600,716)....... 18,600,716
------------
TOTAL INVESTMENTS (COST
$190,284,882)
(A)--102.2%.............. 207,843,567
------------
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET VALUE
-------------
<C> <S> <C>
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT--90.8%
Bear Stearns Deposit A/C,
5.5%, 4/1/98............ $ 184,582,496
-------------
TOTAL DEPOSITS WITH
BROKERS FOR SECURITIES
SOLD SHORT (COST
$184,582,496)........... 184,582,496
-------------
RECEIVABLE FROM BROKERS
FOR SECURITIES SOLD
SHORT--4.0%............. 8,110,797
-------------
SECURITIES SOLD
SHORT--(PROCEEDS
$169,535,433) -
(91.7%)................. (186,426,626)
-------------
LIABILITIES IN EXCESS OF
OTHER ASSETS--(5.3)%.... (10,807,451)
-------------
TOTAL NET
ASSETS--100.0%.......... $ 203,302,783
=============
</TABLE>
- ---------------
* Non-income producing security.
(a) At March 31, 1998, the aggregate cost of investment securities and proceeds
for securities sold short for income tax purposes was $20,752,469. Cost for
federal income tax purposes differs from value by net unrealized
appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation-
Investments............ $ 19,809,007
Unrealized
appreciation-Short
Sales.................. 2,203,132
Unrealized depreciation-
Investments............ (2,253,343)
Unrealized
depreciation-Short
Sales.................. (19,094,324)
------------
Net unrealized
appreciation........... $ 664,472
============
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS--91.7%
AIRLINES--0.7%
600 Comair Holdings, Inc....... $ 15,900
13,600 Northwest Airlines Corp.... 838,950
8,500 US Airways Group, Inc...... 630,063
-------------
1,484,913
-------------
AUTOS--0.5%
5,500 Collins Industries, Inc.... 35,063
11,600 Federal Signal Corp........ 258,825
3,500 Lund International
Holdings, Inc............ 47,250
18,700 Mark IV Industries, Inc.... 425,425
1,200 Miller Industries, Inc..... 8,775
3,600 Newcor, Inc................ 33,300
9,900 Spartan Motors, Inc........ 77,962
200 Wabash National Corp....... 5,800
7,100 Walbro Corp................ 86,975
-------------
979,375
-------------
BANKING--3.9%
2,800 Avondale Financial Corp.... 44,800
31,300 Concord EFS, Inc........... 1,081,806
14,000 Credit Acceptance Corp..... 130,375
10,000 Dime Bancorp, Inc.......... 300,625
1,000 Eagle Bancshares, Inc...... 25,375
2,800 First Savings Bank SLA..... 119,000
4,600 Investors Financial
Services Corp............ 253,000
300 Moneygram Payment Systems.. 4,556
2,900 National Commerce
Bancorporation........... 123,613
2,900 Peoples Bank of Bridge..... 110,109
6,800 Pinnacle Financial
Services................. 337,875
13,500 Republic Bancorp........... 274,219
17,000 Republic Security Financial
Corp..................... 193,375
7,200 Security First Network
Bank..................... 62,100
15,240 Sovereign Bancorp.......... 277,178
27,300 TCF Financial Corp......... 926,493
8,700 Trustmark Corp............. 199,013
3,100 Union Planters Corp........ 192,781
10,800 US Trust Corp.............. 710,100
8,900 Webster Financial Corp..... 618,550
4,300 Westcorp................... 72,025
2,000 World Acceptance........... 13,250
35,900 Zions Bancorp.............. 1,889,237
-------------
7,959,455
-------------
BUILDING--0.5%
1,840 Cavalier Homes, Inc........ 21,045
20,200 Foster Wheeler Corp........ 617,362
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING (CONTINUED)
7,800 Modtech, Inc............... $ 160,388
13,300 Schuler Homes, Inc......... 96,425
4,700 Utilx Corp................. 25,850
-------------
921,070
-------------
CHEMICALS--2.9%
14,300 Advanced Polymer Systems... 123,338
2,100 Alcide Corporation......... 113,400
6,500 American Pacific Corp...... 69,469
2,000 Cambrex Corp............... 100,750
2,300 Chemfirst, Inc............. 60,950
82,700 Engelhard Corp............. 1,571,300
19,300 Georgia Gulf Corp.......... 523,512
33,700 Great Lakes Chemical....... 1,819,800
9,400 Ionics, Inc................ 404,787
60,700 RPM Inc., Ohio............. 1,081,219
11,700 Synthetech, Inc............ 72,394
4,500 Valhi, Inc................. 44,156
-------------
5,985,075
-------------
COMPUTER--0.2%
38,700 Micron Electronics, Inc.... 491,006
-------------
CONSTRUCTION
MATERIALS--1.6%
5,000 Alpine Group, Inc.......... 100,938
6,900 Apogee Enterprises, Inc.... 91,425
2,900 Dupont Photomask, Inc...... 125,425
23,500 Hexcel Corporation......... 646,250
90,900 Johns Manville Corp........ 1,147,612
31,700 Owens--Corning Fiberglass
Corp..................... 1,139,219
-------------
3,250,869
-------------
DEFENSE--0.1%
2,900 Anaren Microwave, Inc...... 63,619
1,900 Lowrance Electronics,
Inc...................... 12,231
3,900 Whitehall Corp............. 75,806
-------------
151,656
-------------
DRUGS--3.5%
4,900 Advanced Magnetics, Inc.... 64,006
11,100 Algos Pharmaceuticals...... 335,775
18,500 Amylin Pharmaceuticals..... 50,875
7,000 Anesta Corp................ 130,375
10,100 Aphton Corp................ 128,144
3,800 Arqule, Inc................ 84,550
8,500 Atrix Labs, Inc............ 161,500
10,600 Biocryst Pharmaceuticals,
Inc...................... 79,500
8,600 Chiron Corp................ 180,062
18,600 Creative Biomolecule....... 153,450
5,900 Cygnus, Inc................ 97,350
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
2,100 Depotech Corp.............. $ 12,600
8,700 Ergo Science Corp.......... 131,044
1,800 Fuisz Technologies, Ltd.... 22,387
9,800 Geltex Pharmaceuticals,
Inc...................... 264,600
300 Gensia Sicor, Inc.......... 1,500
12,500 Genzyme Transgenics Corp... 144,531
3,700 Gilead Sciences, Inc....... 133,200
2,200 Gliatech, Inc.............. 26,675
3,200 Hauser, Inc................ 25,600
11,200 Human Genome Sciences,
Inc...................... 445,900
6,500 Immune Response Corp....... 63,781
3,900 Inhale Therapeutic
Systems.................. 105,787
18,400 Interneuron
Pharmaceuticals.......... 192,050
16,500 Isis Pharmaceuticals....... 251,625
8,600 Lifecore Biomedical, Inc... 201,025
2,600 Ligand Pharmaceutical,
Class B.................. 41,438
12,400 Magainin Pharmaceuticals... 68,975
10,000 Martek Biosciences Corp.... 151,875
10,400 Medimmune, Inc............. 573,300
6,900 Meridian Diagnostics,
Inc...................... 87,975
10,200 MGI Pharmacia, Inc......... 79,050
12,800 Molecular Biosystems,
Inc...................... 118,400
3,700 Myriad Genetics, Inc....... 82,788
13,500 NeoRx Corp................. 72,141
7,200 Neose Technologies, Inc.... 98,100
6,500 Neurex Corp................ 155,187
4,600 Neurogen Corp.............. 70,725
10,600 Northfield Laboratories.... 106,000
12,900 Noven Pharmaceuticals,
Inc...................... 84,656
9,300 NPS Pharmaceuticals........ 68,588
5,300 Orphan Medical, Inc........ 57,638
6,400 Pathogenesis Corp.......... 214,400
4,500 Penederm, Inc.............. 58,219
8,300 Research Frontiers, Inc.... 66,400
5,300 Sonus Pharmaceuticals...... 129,850
5,600 Sugen, Inc................. 76,300
2,300 Synaptic Pharmaceutical.... 29,325
11,100 Transkaryotic Therapies,
Inc...................... 359,362
7,100 Unimed Pharmaceuticals,
Inc...................... 53,250
4,800 U.S. Bioscience, Inc....... 48,600
15,000 Vertex Pharmaceuticals..... 479,062
11,300 Vical, Inc................. 177,975
11,700 Xoma Corp.................. 54,844
-------------
7,152,315
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES--0.2%
3,100 Harman International
Industries, Inc.......... $ 136,400
4,500 Universal Electronics,
Inc...................... 51,891
39,800 Zenith Electronics Corp.... 263,675
-------------
451,966
-------------
ELECTRIC UTILITIES--4.8%
5,600 Bangor Hydro--Electric
Co....................... 44,100
18,600 Calenergy, Inc............. 525,450
700 Calpine Corp............... 12,469
7,700 CILCORP, Inc............... 371,525
43,600 DPL, Inc................... 850,200
11,900 Hawaiian Electric
Industries, Inc.......... 493,850
41,500 Illinova Corp.............. 1,252,781
5,300 KTI, Inc................... 91,094
1,100 Maine Public Service Co.... 15,469
19,900 Minnesota Power & Light.... 845,750
900 Nevada Power Co............ 24,075
28,800 Northeast Utilities........ 412,200
29,500 Ogden Corp................. 848,125
88,600 PECO Energy Co............. 1,960,275
22,100 Puget Sound Power &
Light.................... 622,944
22,200 Unisource Energy Corp...... 385,725
32,700 Wisconsin Energy Corp...... 1,003,481
10,400 York Research.............. 83,200
-------------
9,842,713
-------------
ELECTRONICS--6.0%
6,700 Abiomed, Inc............... 101,338
25,000 Advanced Micro Devices,
Inc...................... 726,562
15,500 Affymetrix, Inc............ 539,594
24,900 Alliance Semiconductor..... 186,750
4,000 Allied Healthcare
Products................. 26,500
3,800 American Science & Engine,
Inc...................... 51,775
6,900 Andrea Electronics Corp.... 150,506
26,700 Antec Corp................. 400,500
8,500 Applied Digital Access,
Inc...................... 68,000
8,600 Applied Innovation, Inc.... 60,738
7,500 Ariel Corp................. 69,375
5,700 Arthrocare Corp............ 84,788
27,400 Atmel Corporation.......... 412,712
3,400 Barringer Technologies..... 41,438
4,300 Boca Research, Inc......... 24,188
4,700 Broadband Technologies,
Inc...................... 36,425
8,500 California Micro Devices... 51,531
5,000 Chad Therapeutics, Inc..... 38,125
3,300 Checkpoint Systems, Inc.... 70,125
</TABLE>
See accompanying notes to the financial statements.
42
<PAGE> 43
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
4,000 Cholestech Corp............ $ 60,000
8,400 Cognex..................... 179,550
1,200 Comverse Technology, Inc... 58,650
9,500 Cooper Co., Inc............ 403,156
15,300 Diametrics Medical, Inc.... 122,400
6,100 Elantec Semiconductor...... 53,375
2,100 Elcotel, Inc............... 12,206
4,300 Embrex, Inc................ 24,725
7,700 Energy Conversion
Devices.................. 112,613
1,400 Epitope, Inc............... 9,625
800 Ferrofluidics Corp......... 3,950
17,400 Genrad, Inc................ 540,487
8,900 Harmonic Lightwaves, Inc... 143,513
13,700 Hutchinson Technology,
Inc...................... 363,050
5,300 Ibis Technology Corp....... 56,313
12,000 Incontrol, Inc............. 90,000
1,000 Information Resources
Engineering, Inc......... 8,188
6,400 Information Storage
Devices.................. 36,600
6,500 Input/Output, Inc.......... 151,937
14,000 Integrated Silicon
Solution, Inc............ 126,875
8,000 Kopin Corp................. 141,000
800 Lecroy Corp................ 17,000
1,300 Medical Graphics Corp...... 6,500
5,000 MEMC Electronic Materials,
Inc...................... 79,375
3,900 Micro Linear Corp.......... 26,081
9,200 Microdyne Corp............. 60,950
5,400 Microwave Power Devices.... 47,250
5,700 MOSCOM Corp................ 33,844
10,100 Neopath, Inc............... 138,875
5,700 Novametrix Medical
System................... 43,462
46,500 Oakley, Inc................ 537,656
7,200 Perclose, Inc.............. 203,850
11,000 Physio--Control
International Corp....... 192,500
8,300 Planar Systems, Inc........ 105,825
15,100 PMC--Sierra, Inc........... 573,800
9,000 Possis Medical, Inc........ 143,719
13,500 Premisys Communications.... 387,281
5,100 Quickturn Design Systems... 51,956
14,700 Remec, Inc................. 421,706
5,800 Robotic Vision Systems..... 64,525
6,400 Sabratek Corp.............. 224,000
16,800 Sepracor, Inc.............. 716,100
6,800 Sheldahl, Inc.............. 75,650
1,000 Sigmatron International.... 8,125
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
11,600 Sipex Corp................. $ 382,800
5,000 Smartflex Systems, Inc..... 47,500
4,800 Standard Microsystems...... 46,800
7,300 Stanford
Telecommunications....... 123,187
3,700 Summa Four, Inc............ 39,775
22,200 Summit Technology, Inc..... 120,712
10,300 Tekelec.................... 467,362
3,500 Thermo Cardiosystems,
Inc...................... 94,719
8,200 Trident Microsystems,
Inc...................... 60,987
7,300 Vitesse Semiconductor...... 344,241
25,600 Westell Technologies,
Inc...................... 326,400
11,000 Wireless Telecom Group..... 79,750
-------------
12,133,446
-------------
FINANCIAL INVESTMENTS--1.1%
4,500 Competitive Technologies,
Inc...................... 46,688
7,400 DVI, Inc................... 169,737
15,300 GATX Corp.................. 1,193,400
10,700 Igen International, Inc.... 453,412
10,900 Interpool, Inc............. 168,950
12,100 Royal Gold, Inc............ 68,441
4,700 SRS Labs, Inc.............. 38,775
5,500 U.S. Energy Corp........... 46,063
5,900 Western Water Co........... 61,950
-------------
2,247,416
-------------
FOOD--3.3%
22,100 Cadiz Land Company, Inc.... 263,819
15,100 Dekalb Genetics Corp....... 1,009,812
14,800 Dole Food Co............... 715,950
15,400 Dreyers Grand Ice Cream.... 338,800
3,900 Erly Industries, Inc....... 22,181
2,800 Eskimo Pie Corp............ 37,800
15,000 Flowers Industries, Inc.... 351,563
7,900 Hain Food Group, Inc....... 147,138
48,400 IBP, Inc................... 1,085,975
40,300 McCormick & Co............. 1,299,675
7,100 Mycogen Corp............... 129,131
1,200 Northland Cranberries,
Class A.................. 18,900
800 Opta Food Ingredients,
Inc...................... 4,250
7,500 Orange Co.................. 50,156
10,200 Sanderson Farms, Inc....... 128,775
16,500 Suiza Foods................ 1,014,750
4,800 Thorn Apple Valley, Inc.... 81,600
10,800 WLR Foods, Inc............. 60,750
-------------
6,761,025
-------------
</TABLE>
See accompanying notes to the financial statements.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH--0.5%
5,300 American Health Corp....... $ 51,675
6,900 Cryolife, Inc.............. 117,300
3,500 Daxor Corp................. 51,625
13,300 Enzo Biochem, Inc.......... 209,475
3,300 Integrated Orthopeadics,
Inc...................... 23,719
7,900 Laser Vision Centers,
Inc...................... 72,828
8,100 National Surgery Centers... 207,056
4,400 Prime Medical Services..... 51,700
13,200 Psychemedics Corp.......... 73,425
9,700 Transworld Healthcare
Inc...................... 58,806
-------------
917,609
-------------
HOUSEHOLD--2.6%
8,000 Aldila, Inc................ 47,500
4,900 Applied Extrusion Tech..... 38,434
8,300 Bassett Furniture
Industries, Inc.......... 254,706
30,600 Blyth Industries, Inc...... 1,044,225
15,000 Callaway Golf Co........... 435,000
2,050 Chicago Miniature Lamp,
Inc...................... 79,694
10,700 Cross (A.T.) Co............ 124,388
4,600 Cybex International, Inc... 59,800
5,000 Galoob Toys, Inc........... 49,688
3,700 K2, Inc.................... 82,556
9,000 Lamson & Sessions Co....... 59,625
14,300 L.L. Knickerbocker Co.,
Inc...................... 67,031
600 Ohio Art Co................ 13,200
5,500 Rawlings Sporting Goods.... 74,938
16,900 Safeskin Corporation....... 1,248,487
7,100 Simula, Inc................ 113,156
2,800 Sybron International....... 74,725
11,200 Synetic, Inc............... 581,000
18,200 Toy Biz, Inc............... 185,413
27,000 Tupperware Corp............ 718,875
-------------
5,352,441
-------------
INSURANCE--3.8%
1,500 American Indemnity
Financial Corp........... 18,000
21,400 AmerUS Life Holdings, Class
A........................ 692,825
200 Capitol Transamerica
Corp..................... 4,213
14,000 Citizens, Inc.............. 89,250
2,600 Comprehensive Care Corp.... 26,650
5,600 Core, Inc.................. 88,200
12,000 Danielson Holdings Corp.... 90,000
45,000 Erie Indemnity Company,
Class A.................. 1,383,750
1,000 First Commonwealth, Inc.... 15,125
4,000 HCC Insurance Holdings,
Inc...................... 92,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
2,500 Health Power, Inc.......... $ 14,063
12,900 HSB Group, Inc............. 867,525
13,500 Maxicare Health Plans,
Inc...................... 148,500
20,700 MBIA, Inc.................. 1,604,250
6,400 Meadowbrook Insurance
Group.................... 196,000
4,500 Meridian Insurance Group... 84,375
16,000 Oxford Health.............. 239,000
8,300 Pacificare Health
Systems.................. 614,200
6,500 Prepaid Legal Services..... 230,750
9,600 Rightchoice Managed Care... 94,200
29,200 UICI....................... 1,009,225
3,400 Walshire Assurance Co...... 34,850
130 Wesco Financial Corp....... 47,482
-------------
7,684,433
-------------
LIQUOR & TOBACCO--0.3%
6,200 Boston Beer Company, Inc... 64,713
7,300 Midwest Grain Products..... 98,550
9,800 Robert Mondavi Corp........ 404,250
-------------
567,513
-------------
MACHINERY--3.7%
4,700 A.S.V., Inc................ 131,600
7,400 Ag Chem Equipment, Inc..... 123,950
2,900 American Power
Conversion............... 83,194
2,000 Binks Sames Corp........... 97,000
2,400 Bolt Technology Corp....... 14,850
10,600 Briggs & Stratton Corp..... 485,612
26,400 Crown Cork & Seal Co....... 1,412,400
2,000 Cuno, Inc.................. 44,000
6,000 Exide Corp................. 101,625
12,400 Fairchild Corp............. 267,375
1,300 FSI International, Inc..... 14,300
6,200 Industrial Holdings, Inc... 93,775
8,400 Intermagnetics General
Corp..................... 93,450
6,800 Kollmorgen Corp............ 147,900
1,500 Lam Research Corp.......... 42,187
1,100 Lancer Corp................ 15,125
11,600 Littlefuse, Inc............ 301,600
8,000 N.N. Ball & Roller, Inc.... 86,500
69,600 Pall Corp.................. 1,496,400
3,500 Recovery Engineering,
Inc...................... 103,250
14,900 Specialty Equipment Cos.... 303,587
11,000 Stewart & Stevenson
Services, Inc............ 264,688
7,700 Thermedics, Inc............ 137,156
19,200 Ucar International, Inc.... 602,400
</TABLE>
See accompanying notes to the financial statements.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
10,200 Unique Mobility, Inc....... $ 86,063
8,800 United States Can Corp..... 156,200
7,000 U.S. Filter Corp........... 245,875
8,500 Whittaker Corp............. 118,469
5,800 Wyman--Gordon Co........... 132,675
8,400 York International Corp.... 378,000
-------------
7,581,206
-------------
MEDIA--3.2%
12,500 Ackerley Group, Inc........ 255,469
3,000 American Banknote
Corporation.............. 12,000
4,000 Artistic Greetings, Inc.... 21,875
2,000 Belo (A.H) Corp., Com Ser
A........................ 110,000
4,600 Emmis Broadcasting Corp.... 242,650
15,800 Golden Books Family
Entertainment............ 181,700
5,300 Gray Communication
System................... 153,700
16,500 Jostens, Inc............... 396,000
22,650 Lamar Advertising Co....... 792,750
60,000 Outdoor Systems, Inc....... 2,103,750
36,300 Paxson Communications
Corp..................... 403,837
5,600 Price Communications
Corp..................... 89,600
75,300 Primedia, Inc.............. 1,105,969
7,000 Reynolds & Reynolds........ 153,125
32,600 Spelling Entertainment
Group, Inc............... 293,400
500 Tro Learning, Inc.......... 4,422
3,000 Valassis Communications,
Inc...................... 123,000
800 Wave Technologies
International............ 5,400
-------------
6,448,647
-------------
METALS--4.0%
1,300 Acme Metals, Inc........... 11,944
3,400 Andrew Corp................ 67,363
25,200 ASARCO, Inc................ 672,525
52,700 Bethlehem Steel Corp....... 714,744
1,400 Commscope, Inc............. 20,213
58,300 Cyprus Amax Minerals....... 969,237
102,800 Freeport--McMoran Copper &
Gold, Class A............ 1,921,075
8,100 Gibraltar Steel Corp....... 173,137
53,300 Kaiser Aluminum Corp....... 536,331
3,400 National--Standard Co...... 20,400
4,600 Northwest Pipe Co.......... 100,050
3,000 Oregon Steel Mills, Inc.... 66,000
26,600 Phelps Dodge Corp.......... 1,717,362
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
6,600 WHX Corp................... $ 107,663
57,200 Worthington Industries,
Inc...................... 1,036,750
-------------
8,134,794
-------------
MISCELLANEOUS
FINANCIAL--0.8%
4,100 Alarmguard Holdings, Inc... 41,000
31,600 Bear Stearns Companies,
Inc...................... 1,623,450
1,500 Hambrecht & Quist Group.... 52,406
-------------
1,716,856
-------------
OFFICE MACHINERY--2.2%
5,800 Acres Gaming, Inc.......... 28,275
4,100 Cornerstone Imaging, Inc... 23,575
2,530 CSP, Inc................... 29,728
7,000 Cube Microsystems, Inc..... 130,375
6,700 Digital Link Corp.......... 73,700
7,200 Drexler Technology Corp.... 111,600
18,200 Electronics For Imaging.... 473,200
13,800 Exabyte Corp............... 119,025
4,500 Franklin Electric
Publishing............... 51,187
15,800 Mylex Corp................. 124,425
9,000 Network Computing
Devices.................. 94,500
9,500 Network Peripherals, Inc... 65,313
3,500 Par Technology Corp.,
Del...................... 24,719
24,100 Quantum Corp............... 513,631
1,600 Secure Computing Corp...... 21,400
11,500 Security Dynamics Tech..... 472,937
15,100 Shiva Corp................. 151,000
63,200 Silicon Graphics, Inc...... 880,850
5,400 Softnet Systems............ 38,813
11,200 STB Systems, Inc........... 224,000
50,100 Western Digital Corp....... 879,881
-------------
4,532,134
-------------
OIL--4.3%
4,100 Abraxas Petroleum Corp..... 34,338
13,600 Barrett Resources Corp..... 475,150
2,400 Belco Oil & Gas Corp....... 40,500
10,300 Benton Oil & Gas........... 113,944
21,000 Cross Timers Oil Co........ 422,625
3,900 Deeptech International,
Inc...................... 54,374
41,300 Enron Oil & Gas............ 947,319
7,100 EVI, Inc................... 328,819
6,600 Forest Oil Corp............ 101,887
34,100 Harken Energy Corp......... 219,519
9,900 Hondo Oil & Gas Co......... 16,088
17,600 Noble Affiliates, Inc...... 732,600
60,700 Oryx Energy Co............. 1,578,200
</TABLE>
See accompanying notes to the financial statements.
45
<PAGE> 46
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
6,500 Pittston Minerals Group.... $ 56,875
16,700 Pogo Producing Co.......... 530,225
31,600 Seagull Energy Corp........ 606,325
10,900 Snyder Oil Corp............ 222,087
2,800 St. Mary Land & Exploration
Co....................... 107,012
88,300 Union Pacific Resources
Group.................... 2,108,162
1,200 Union Texas Petroleum
Holdings, Inc............ 26,550
-------------
8,722,599
-------------
OIL DISTRIBUTION--2.3%
1,200 Equitable Resources, Inc... 39,900
4,400 Getty Realty Corp.......... 100,925
46,500 Lyondell Petrochemical..... 1,583,906
81,100 NGC Corporation............ 1,186,087
8,700 Quaker State Corp.......... 163,669
5,400 Semco Energy, Inc.......... 91,125
9,000 Tosco Corp................. 317,250
29,700 Ultramar Diamond Shamrock
Corp..................... 1,046,925
19,500 Wainoco Oil Corp........... 147,469
-------------
4,677,256
-------------
OTHER UTILITIES--0.6%
2,300 Atrion Corp................ 25,875
1,200 Delta Natural Gas Co....... 20,100
3,700 Indiana Energy, Inc........ 112,619
17,300 MCN Corp................... 646,587
15,100 Southwest Gas Corp......... 315,213
-------------
1,120,394
-------------
PAPER--0.9%
17,000 American Pad & Paper....... 123,250
1,500 Badger Paper Mills, Inc.... 11,625
6,500 Buckeye Technologies,
Inc...................... 138,125
6,200 Crown Vantage, Inc......... 44,562
20,400 Gaylord Container Corp..... 151,725
10,500 Louisiana Pacific Corp..... 244,125
1,900 Nashua Corp................ 27,669
32,900 Playtex Products, Inc...... 485,275
48,600 Stone Container Corp....... 607,500
-------------
1,833,856
-------------
REAL ESTATE ASSETS--3.9%
11,200 Alexander Haagen
Properties............... 187,600
2,800 Alexander's, Inc........... 261,625
6,800 Avatar Holdings, Inc....... 187,000
121,500 Battle Mountian Gold Co.... 774,563
15,300 Coeur D'Alene Mines Corp... 196,988
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS
(CONTINUED)
15,600 Getchell Gold Corp......... $ 325,650
11,000 Hecla Mining Co............ 72,875
87,800 Homestake Mining Co........ 954,825
5,900 INMC Mortgage Holdings,
Inc...................... 147,500
17,700 Insignia Financial Group... 442,500
22,300 Mack--Cali Realty Corp..... 871,094
10,700 Mills Corp................. 280,206
49,100 Newmont Gold Co............ 1,537,443
14,600 Rouse Co................... 459,900
8,900 Saul Centers, Inc.......... 160,756
17,000 Simon Debartolo Group,
Inc...................... 582,250
23,200 Sunstone Hotel Investors,
Inc...................... 371,200
11,200 Town & Country Trust....... 191,100
-------------
8,005,075
-------------
RETAIL/WHOLESALE--7.7%
20,100 Agribiotech, Inc........... 315,319
33,500 Airgas, Inc................ 577,875
9,200 Baker J, Inc............... 72,450
10,200 Barnes & Noble............. 397,800
11,200 Barnett, Inc............... 240,800
3,200 Boise Cascade Office
Products Corp............ 60,800
1,400 Brauns Fashions Corp....... 14,787
2,600 BTG, Inc................... 23,888
2,800 Central Garden & Pet Co.... 109,375
47,800 Circuit City Stores, Inc... 2,043,450
3,000 Cost Plus, Inc............. 95,344
2,200 Crown Books Corp........... 14,713
200 Daisytek International
Corp..................... 4,875
1,100 Dart Group Corp............ 150,700
8,700 Delia*S, Inc............... 208,800
30,600 Dimon, Inc................. 510,637
9,300 Egghead.com, Inc........... 99,975
4,800 Finishmaster, Inc.......... 45,000
6,900 Gadzooks, Inc.............. 154,388
11,000 Good Guys, Inc............. 116,187
3,600 Great Train Store
Company.................. 14,400
2,000 Harold's Stores, Inc....... 14,375
36,900 Heilig Meyers Co........... 518,906
4,000 Internet Communications
Corp..................... 18,500
4,200 Lazare Kaplan
International............ 45,413
4,900 Men's Wearhouse, Inc....... 181,300
20,700 MSC Industrial Direct,
Class A.................. 1,121,681
900 Nasch--Finch Co............ 17,888
700 National--Oilwell, Inc..... 22,969
500 NCS Healthcare Inc., Class
A........................ 16,750
30,100 Neiman Marcus Group, Inc... 1,235,981
</TABLE>
See accompanying notes to the financial statements.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
4,200 New West Eyeworks, Inc..... $ 45,675
5,600 Nuco2, Inc................. 74,200
24,700 Omnicare, Inc.............. 978,737
15,700 Patterson Dental Company... 486,700
35,500 Pep Boys--Manny Moe &
Jack..................... 823,156
1,400 Petco Animal Supplies,
Inc...................... 27,300
27,200 Pier One Imports........... 737,800
6,700 Recycling Industries,
Inc...................... 42,503
7,100 Richey Electronics, Inc.... 70,112
19,200 Safeguard Scientifics,
Inc...................... 722,400
36,500 Saks Holdings, Inc......... 912,500
4,800 SCP Pool Corp.............. 108,000
13,400 Sodak Gaming, Inc.......... 94,638
9,300 Standard Commercial Corp... 148,219
22,300 Strategic Distribution,
Inc...................... 133,800
2,000 Swiss Army Brands.......... 23,500
15,000 Talbots, Inc............... 292,500
8,400 Tech Data Corp............. 323,400
4,000 Tessco Technologies, Inc... 69,500
500 Tiffany & Company.......... 24,344
5,000 Urban Outfitters, Inc...... 93,750
26,400 Vanstar Corp............... 330,000
9,300 Viking Office Products..... 216,225
7,600 West Marine, Inc........... 221,350
8,500 Wilmar Industries, Inc..... 211,437
-------------
15,677,072
-------------
SERVICES--9.0%
6,400 ABR Information Services,
Inc...................... 180,000
33,700 Acxiom Corp................ 863,563
4,400 Alternative Resources
Corp..................... 92,675
9,100 American Superconductor.... 126,263
11,400 Apac Teleservices, Inc..... 147,488
7,900 Applied Graphics
Technology............... 380,187
5,400 Applied Microsystems
Corp..................... 41,175
500 Aspen Technologies, Inc.... 20,625
13,100 Aware, Inc................. 198,137
1,000 C ATS Software, Inc........ 5,500
6,900 Cerner Corporation......... 147,919
5,900 Childrens Comprehensive
Services................. 112,100
1,200 Claremont Technology
Group.................... 17,400
13,800 Clarify, Inc............... 205,275
6,500 CMG Information Services,
Inc...................... 376,594
700 Computer Learning
Centers.................. 11,725
6,000 Computer Management
Sciences, Inc............ 166,125
7,300 Comshare, Inc.............. 57,488
2,000 Conductus, Inc............. 6,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
27,700 Corrections Corporation of
America.................. $ 945,262
16,600 CSG Systems
International............ 751,150
6,100 CTC Communications Corp.... 52,994
5,900 Cyberguard Corp............ 56,050
3,200 Data Sytsems Network
Corp..................... 20,200
7,400 Data Transmission
Network.................. 255,300
7,200 Dendrite International,
Inc...................... 207,000
9,600 Documentum, Inc............ 519,600
3,000 Emeritus Corp.............. 39,000
10,100 Excalibur Technologies..... 117,412
13,800 Forte Software, Inc........ 103,500
11,400 Geoworks Corp.............. 84,788
7,600 GRC International, Inc..... 44,175
2,400 GT Interactive Software
Corp..................... 17,100
13,600 H & R Block................ 646,850
12,000 Health Management Systems,
Inc...................... 150,000
14,200 HNC Software............... 534,275
11,400 I2 Technologies, Inc....... 748,125
600 IDX Systems Corp........... 26,100
11,200 Incyte Pharmaceutical,
Inc...................... 523,600
15,800 Integrated Systems, Inc.... 340,687
5,000 Intelliquest Information
Group.................... 56,875
4,600 Intermedia Communications
of Florida............... 366,275
21,600 International Network
Services................. 631,800
11,800 Intuit, Inc................ 570,825
14,400 Learning Tree
International............ 318,600
5,400 Level 8 Systems, Inc....... 65,475
23,800 Macromedia, Inc............ 354,025
12,400 Mapics, Inc................ 219,325
5,700 Maxwell Technologies,
Inc...................... 165,122
10,400 May & Speh, Inc............ 149,500
5,400 Mecklermedia Corp.......... 130,275
3,900 Mecon, Inc................. 42,900
3,900 Medaphis Corp.............. 40,706
3,800 Micrografx, Inc............ 50,113
11,600 MVSI, Inc.................. 80,475
6,700 National Techteam Inc...... 67,838
18,900 Object Design, Inc......... 121,078
2,100 Objective Systems
Integrators, Inc......... 28,875
19,300 Open Market, Inc........... 398,062
19,700 Pegasystems, Inc........... 359,525
8,500 Pharmacopeia, Inc.......... 159,375
14,700 Platinum Software Corp..... 341,775
</TABLE>
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
8,500 Precision Response Corp.... $ 77,563
9,000 Psinet, Inc................ 100,125
2,000 Quintiles Transnational
Corp..................... 96,375
19,000 Rollins, Inc............... 396,625
6,400 Satcon Technology Corp..... 77,600
3,200 Seachange International.... 22,400
5,300 Segue Software, Inc........ 68,900
15,300 Shared Medical Systems
Corp..................... 1,199,137
30,800 Sitel Corp................. 392,700
2,500 Sonic Solutions............ 7,656
2,900 Sunrise Assisted Living.... 129,775
6,200 Synopsys, Inc.............. 203,050
17,500 TCSI Corp.................. 124,687
1,900 Tesseract Group, Inc....... 11,638
5,700 THQ, Inc................... 133,238
16,300 Transaction Systems
Architecture, Class A.... 633,662
3,700 Transmedia Network, Inc.... 24,744
4,000 Treadco, Inc............... 32,000
13,900 Valence Technology, Inc.... 68,631
13,700 Wackenhut Corrections
Corp..................... 343,356
100 Walker Interactive
System................... 1,956
2,900 Xcellent, Inc.............. 54,919
-------------
18,258,963
-------------
SOAPS & COSMETICS--0.2%
3,100 Beauticontrol Cosmetics,
Inc...................... 27,513
6,000 Church and Dwight, Inc..... 181,500
4,400 French Fragrances, Inc..... 74,800
8,300 Tristar Corp............... 87,150
-------------
370,963
-------------
TELEPHONE--5.5%
20,800 Adelphia Communications,
Class A.................. 616,200
25,100 American Communication
Services, Inc............ 454,937
26,600 Cablevision Systems, Class
A........................ 1,748,950
6,300 Cellular Communications
International, Inc....... 428,400
16,500 Centennial Cellular Corp... 433,641
47,700 Century Communications,
Class A.................. 611,156
4,100 Global Telecom Solutions,
Inc...................... 29,725
13,800 ICG Communications, Inc.... 514,050
2,900 Intellicall, Inc........... 15,588
27,300 Jones Intercable, Inc...... 470,925
6,800 Lodgenet Entertainment
Corp..................... 79,262
8,300 Mcleodusa, Inc............. 350,675
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
25,600 Mobile Telecommunications
Technical Corp........... $ 572,800
11,500 NTL, Inc................... 497,375
32,600 Omnipoint Corp............. 961,700
43,000 Paging Network, Inc........ 661,125
19,000 Powertel, Inc.............. 410,281
8,700 Transaction Network
Services................. 153,881
25,000 United International
Holdings, Class A........ 418,750
10,100 U.S. Satellite Broadcasting
Co....................... 92,794
21,300 Vanguard Cellular System,
Class A.................. 387,394
11,600 Western Wireless Corp...... 266,800
22,100 Winstar Communications,
Inc...................... 944,775
-------------
11,121,184
-------------
TEXTILES--3.1%
15,800 Authentic Fitness Corp..... 314,025
8,900 Candie's, Inc.............. 72,313
42,500 Collins & Aikman Corp...... 387,812
13,600 Cone Mills Corp............ 121,550
7,500 Converse, Inc.............. 48,750
3,600 Farah, Inc................. 22,725
4,600 Florsheim Group, Inc....... 40,250
38,700 Fruit of the Loom.......... 1,185,187
7,600 Galey & Lord, Inc.......... 174,800
18,000 Hartmarx Corp.............. 149,625
32,300 Reebok International,
Ltd...................... 985,150
11,900 Samsonite Corp............. 349,562
82,000 Shaw Industries, Inc....... 1,204,375
10,000 Stride Rite Corp........... 135,625
4,300 Thomaston Mills, Inc....... 36,013
33,600 Westpoint Stevens, Inc..... 961,800
-------------
6,189,562
-------------
TRANSPORTATION--1.3%
3,700 Air Express International
Corp..................... 99,438
9,300 American Classic Voyages... 213,900
3,500 Christiana Co.............. 127,750
9,800 Eagle USA Airfreight,
Inc...................... 264,600
9,500 Iron Mountain, Inc......... 356,250
30,700 OMI Corp................... 276,300
9,400 Seacor Smit, Inc........... 546,962
27,800 Wisconsin Central
Transport................ 782,744
-------------
2,667,944
-------------
TRAVEL/ENTERTAINMENT--2.5%
3,200 Amerihost Properties,
Inc...................... 16,200
26,400 Apple South, Inc........... 391,050
</TABLE>
See accompanying notes to the financial statements.
48
<PAGE> 49
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
9,000 Aztar Corp................. $ 77,625
15,900 Bally Total Fitness
Holdings................. 500,850
35,100 Boyd Gaming Corp........... 252,281
6,400 Chart House Enterprises,
Inc...................... 44,800
94,100 Host Marriott Corp......... 1,782,019
22,800 Host Marriott Services
Corp..................... 322,050
8,100 International Game
Technology............... 202,500
4,200 J. Alexanders Corp......... 20,737
10,300 Penn National Gaming,
Inc...................... 113,944
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
900 Primadonna Resorts, Inc.... $ 14,175
26,700 Speedway Motorsports,
Inc...................... 715,894
18,700 Westwood One, Inc.......... 579,700
-------------
5,033,825
-------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS
$169,535,433) -- 91.7%... $ 186,426,626
=============
</TABLE>
See accompanying notes to the financial statements.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL MARKET
CAPITALIZATION CAPITALIZATION NEUTRAL
SERIES JAPAN SERIES SERIES FUND
-------------- ------------ -------------- ------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (cost $530,331,776, $1,069,041,
$39,203,295, and $190,284,882, respectively)............... $612,220,064 $ 918,443 $40,027,798 $207,843,567
Deposits with brokers and custodian bank for securities sold
short...................................................... -- -- -- 184,582,496
Foreign currency, at value (cost $0, $13,631, $951,109, and
$0, respectively).......................................... -- 13,444 946,685 --
Cash........................................................ 1,410 2,920 542,091 --
Receivable for Fund shares sold............................. 113,952 -- -- 1,015,000
Receivable for securities sold short........................ -- -- -- 8,110,797
Receivable for investments sold............................. 7,063,888 -- 618,376 2,133,800
Dividends and interest receivable........................... 577,631 3,746 137,449 551,922
Receivable from Manager..................................... -- 5,301 10,529 174,600
Deferred organizational expenses............................ -- -- -- 30,750
Reclaim receivable.......................................... -- -- 23,429 --
------------ ----------- ----------- ------------
Total Assets............................................. 619,976,945 943,854 42,306,357 404,442,932
------------ ----------- ----------- ------------
LIABILITIES
Securities sold short (proceeds $0, $0, $0, and
$169,535,433, respectively)................................ -- -- -- 186,426,626
Payable for investments purchased........................... 14,163,112 -- 1,605,922 13,341,080
Payable for Fund shares redeemed............................ 12,278 -- -- 435,608
Payable for deferred organizational expenses................ -- -- -- 30,750
Payable for dividends on securities sold short.............. -- -- -- 105,467
Accrued:
Manager fees............................................... 1,020,092 -- 24,500 667,502
Administration fees........................................ 47,138 -- 3,298 16,344
Shareholder Services fees (Adviser Shares)................. 3,368 -- -- --
Shareholder Services fees (Select/Investor Shares)......... 6,897 13 240 6,981
12b-1 fees (Select/Investor Shares)........................ 6,897 13 240 6,981
Fund accounting fees....................................... 7,673 5,704 10,606 8,384
Transfer agent fees........................................ 16,536 2,362 3,690 3,191
Other accrued expenses..................................... 218,482 19,872 65,334 91,235
Collateral for securities loaned, at value.................. 15,411,520 -- -- --
------------ ----------- ----------- ------------
Total Liabilities........................................ 30,913,993 27,964 1,713,830 201,140,149
------------ ----------- ----------- ------------
NET ASSETS.................................................. $589,062,952 $ 915,890 $40,592,527 $203,302,783
============ =========== =========== ============
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares....................................... 55,092,836 183,415 3,883,289 16,860,138
Adviser Shares............................................. 1,788,847 -- -- --
Select/Investor Shares..................................... 3,466,223 10,603 136,230 3,537,423
Net Asset value, offering price and redemption price per
share:
Institutional Shares....................................... $ 9.76 $ 4.72 $ 10.10 $ 9.97
Adviser Shares............................................. 9.75 -- -- --
Select/Investor Shares..................................... 9.73 4.71 10.09 9.96
NET ASSETS CONSIST OF:
Capital..................................................... $502,028,447 $ 1,860,548 $40,134,866 $203,547,941
Accumulated undistributed net investment income/(loss)...... 451,096 (1,611) 31,131 1,201,284
Accumulated net realized gain/(loss) on investments and
foreign currency transactions.............................. 4,695,121 (792,129) (394,451) 1,634,977
Accumulated net realized loss on securities sold short...... -- -- -- (3,748,911)
Net unrealized appreciation/(depreciation) on investments... 81,888,288 (150,598) 824,503 17,558,684
Net unrealized depreciation on short sales.................. -- -- -- (16,891,192)
Net unrealized appreciation/(depreciation) on foreign
currencies and foreign currency transactions............... -- (320) (3,522) --
------------ ----------- ----------- ------------
TOTAL NET ASSETS............................................ $589,062,952 $ 915,890 $40,592,527 $203,302,783
============ =========== =========== ============
</TABLE>
See accompanying notes to the financial statements.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL MARKET
CAPITALIZATION CAPITALIZATION NEUTRAL
SERIES JAPAN SERIES SERIES FUND*
-------------- ------------ -------------- ------------
<S> <C> <C> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $0, $1,357,
$63,978, and $0, respectively).......................... $ 3,289,407 $ 8,094 $ 569,334 $ 322,963
Interest.................................................. 502,279 -- -- 1,915,589
Security lending fees..................................... 48,652 -- -- --
----------- --------- ---------- ------------
Total Investment Income................................. 3,840,338 8,094 569,334 2,238,552
----------- --------- ---------- ------------
Expenses:
Manager fees.............................................. 2,571,254 10,618 245,559 700,708
Administration fees....................................... 428,543 1,593 36,834 55,610
Shareholder Services fees (Adviser/Investor Shares)....... 21,864 -- -- 12,626
Shareholder Services fees (Select Shares)................. 32,286 77 1,228 --
12b-1 fees (Select/Investor Shares)....................... 64,573 154 2,457 12,626
Audit fees................................................ 35,147 17,933 27,788 18,914
Custodian fees............................................ 125,510 33,632 147,738 45,755
Fund accounting fees...................................... 76,889 35,288 103,482 16,401
Legal fees................................................ 103,941 2,288 11,497 4,263
Registration and filing fees.............................. 172,152 23,175 37,391 70,483
Transfer agent fees....................................... 61,422 9,773 15,053 7,105
Trustees' fees............................................ 69,045 5,160 12,261 9,289
Dividend expense for securities sold short................ -- -- -- 280,572
Other expenses............................................ 75,917 10,206 8,275 22,161
----------- --------- ---------- ------------
Total expenses before waivers/reimbursements............ 3,838,543 149,897 649,563 1,256,513
Less expenses waived/reimbursed......................... (474,142) (133,893) (281,092) (212,963)
----------- --------- ---------- ------------
Total Net Expenses...................................... 3,364,401 16,004 368,471 1,043,550
----------- --------- ---------- ------------
Net Investment Income/(Loss)................................ 475,937 (7,910) 200,863 1,195,002
----------- --------- ---------- ------------
Net Realized Gain/(Loss) on:
Investments............................................... 19,147,257 (343,069) 174,225 1,639,174
Securities sold short..................................... -- -- -- (3,748,911)
Foreign currency transactions............................. -- (2,126) (2,034) --
Net Change in Unrealized Appreciation/(Depreciation) on:
Investments............................................... 76,349,937 77,352 783,154 17,558,684
Securities sold short..................................... -- -- -- (16,891,192)
Foreign currency transactions............................. -- (353) (2,077) --
----------- --------- ---------- ------------
Net Realized and Unrealized Gain/(Loss) on Investments,
Securities Sold Short and Foreign Currency Transactions... 95,497,194 (268,196) 953,268 (1,442,245)
----------- --------- ---------- ------------
Net increase/(decrease) in net assets resulting from
operations................................................ $95,973,131 $(276,106) $1,154,131 $ (247,243)
=========== ========= ========== ============
</TABLE>
- ---------------
* From commencement of operations on December 16, 1997 (Institutional) and
December 18, 1997 (Investor).
See accompanying notes to the financial statements.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES JAPAN SERIES
--------------------------------- -----------------------
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31,
--------------------------------- -----------------------
1998 1997 1998 1997
------------ ------------ ---------- ----------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss).............................. $ 475,937 $ 220,107 $ (7,910) $ (8,122)
Net realized gain/(loss) on investments................... 19,147,257 17,711,789 (343,069) (85,833)
Net realized gain/(loss) on foreign currency
transactions............................................ -- -- (2,126) (2,916)
Net change in unrealized appreciation/(depreciation) on
investments............................................. 76,349,937 (7,399,127) 77,352 (303,816)
Net change in unrealized appreciation/(depreciation) on
foreign currencies and foreign currency transactions.... -- -- (353) 184
------------ ------------ ---------- ----------
Net increase/(decrease) in net assets resulting from
operations............................................ 95,973,131 10,532,769 (276,106) (400,503)
------------ ------------ ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares.................................... (215,612) (303,002) -- (6,516)
Adviser Shares.......................................... -- -- -- --
Select Shares........................................... -- (737) -- (51)
------------ ------------ ---------- ----------
(215,612) (303,739) -- (6,567)
------------ ------------ ---------- ----------
In excess of net investment income
Institutional Shares.................................... -- -- -- (3,887)
Adviser Shares.......................................... -- -- -- --
Select Shares........................................... -- -- -- (30)
------------ ------------ ---------- ----------
-- -- -- (3,917)
------------ ------------ ---------- ----------
Net realized gain on investments
Institutional Shares.................................... (17,308,082) (11,414,463) -- --
Adviser Shares.......................................... (857,326) -- -- --
Select Shares........................................... (904,903) (27,774) -- --
------------ ------------ ---------- ----------
(19,070,311) (11,442,237) -- --
------------ ------------ ---------- ----------
Net decrease in net assets resulting from
distributions......................................... (19,285,923) (11,745,976) -- (10,484)
------------ ------------ ---------- ----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares.................................... 415,229,113 37,301,805 124,326 28,862
Adviser Shares.......................................... 27,837,688 214,705 -- --
Select Shares........................................... 29,283,366 2,444,377 57,599 14,937
------------ ------------ ---------- ----------
472,350,167 39,960,887 181,925 43,799
------------ ------------ ---------- ----------
Proceeds from dividends reinvested
Institutional Shares.................................... 15,973,086 11,649,326 -- 10,403
Adviser Shares.......................................... 855,526 -- -- --
Select Shares........................................... 856,484 28,511 -- 81
------------ ------------ ---------- ----------
17,685,096 11,677,837 -- 10,484
------------ ------------ ---------- ----------
Cost of shares redeemed
Institutional Shares.................................... (47,544,332) (25,851,211) -- --
Adviser Shares.......................................... (12,678,996) -- -- --
Select Shares........................................... (2,134,889) (13,123) (11,907) --
------------ ------------ ---------- ----------
(62,358,217) (25,864,334) (11,907) --
------------ ------------ ---------- ----------
Increase in net assets from subscription/redemption fees
(note 8).................................................. -- 91,993 -- 310
------------ ------------ ---------- ----------
Net increase in net assets from shares of beneficial
interest................................................ 427,677,046 25,866,383 170,018 54,593
------------ ------------ ---------- ----------
Total increase/(decrease) in net assets..................... 504,364,254 24,653,176 (106,088) (356,394)
NET ASSETS:
Beginning of period....................................... 84,698,698 60,045,522 1,021,978 1,378,372
------------ ------------ ---------- ----------
End of period............................................. $589,062,952 $ 84,698,698 $ 915,890 $1,021,978
============ ============ ========== ==========
</TABLE>
See accompanying notes to the financial statements.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
NEUTRAL FUND
INTERNATIONAL SMALL ------------
CAPITALIZATION SERIES PERIOD
--------------------------- ENDED
YEAR ENDED MARCH 31, MARCH 31,
--------------------------- ------------
1998 1997* 1998**
------------ ------------ ------------
<S> <C> <C> <C>
OPERATIONS:
Net investment income..................................... $ 200,863 $ 3,836 $ 1,195,002
Net realized gain on investments.......................... 174,225 22,948 1,639,174
Net realized loss on securities sold short................ -- -- (3,748,911)
Net realized loss on foreign currency transactions........ (2,034) (18,950) --
Net change in unrealized appreciation on investments...... 783,154 41,349 17,558,684
Net change in unrealized depreciation on securities sold
short................................................... -- -- (16,891,192)
Net change in unrealized depreciation on foreign
currencies and foreign currency transactions............ (2,077) (1,445) --
------------ ------------ ------------
Net increase/(decrease) in net assets resulting from
operations............................................ 1,154,131 47,738 (247,243)
------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares.................................... (157,717) -- --
Select/Investor Shares.................................. (2,051) -- --
------------ ------------ ------------
(159,768) -- --
------------ ------------ ------------
Net realized gain on investments
Institutional Shares.................................... (170,982) -- --
Select/Investor Shares.................................. (3,243) -- --
------------ ------------ ------------
(174,225) -- --
------------ ------------ ------------
In excess of net realized gain on investments
Institutional Shares.................................... (402,580) -- --
Select/Investor Shares.................................. (7,635) -- --
------------ ------------ ------------
(410,215) -- --
------------ ------------ ------------
Net decrease in net assets resulting from
distributions......................................... (744,208) -- --
------------ ------------ ------------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares.................................... 33,199,668 13,079,322 174,349,116
Select/Investor Shares.................................. 1,450,168 182,551 36,924,433
------------ ------------ ------------
34,649,836 13,261,873 211,273,549
------------ ------------ ------------
Proceeds from dividends reinvested
Institutional Shares.................................... 731,279 -- --
Select/Investor Shares.................................. 11,756 -- --
------------ ------------ ------------
743,035 -- --
------------ ------------ ------------
Cost of shares redeemed
Institutional Shares.................................... (7,931,282) (332,298) (6,091,804)
Select/Investor Shares.................................. (323,070) -- (1,631,719)
------------ ------------ ------------
(8,254,352) (332,298) (7,723,523)
------------ ------------ ------------
Increase in net assets from subscription/redemption fees
(note 8).................................................. -- 66,772 --
------------ ------------ ------------
Net increase/(decrease) in net assets from shares of
beneficial interest..................................... 27,138,519 12,996,347 203,550,026
------------ ------------ ------------
Total increase/(decrease) in net assets..................... 27,548,442 13,044,085 203,302,783
NET ASSETS:
Beginning of period....................................... 13,044,085 -- --
------------ ------------ ------------
End of period............................................. $ 40,592,527 $ 13,044,085 $203,302,783
============ ============ ============
</TABLE>
- ---------------
* From commencement of operations on September 23, 1996.
** From commencement of operations on December 16, 1997 (Institutional) and
December 18, 1997 (Investor).
See accompanying notes to the financial statements.
53
<PAGE> 54
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1998
- --------------------------------------------------------------------------------
1. -- ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was
established as a Massachusetts business trust under the laws of Massachusetts on
April 1, 1988. The Trust is an open-end diversified management investment
company offering five portfolios: U.S. Small Capitalization Series, Japan
Series, International Small Capitalization Series, Market Neutral Fund
(commenced operations on December 16, 1997) and the Double Alpha Market Fund
(commenced operations on April 22, 1998), collectively (the "Funds"), or
individually (the "Fund"), with differing objectives and strategies. Each Fund
is authorized to issue Institutional Shares. In addition, the U.S. Small
Capitalization Series is authorized to issue Select Shares and Adviser Shares,
the Japan Series and International Small Capitalization Series are authorized to
issue Select Shares and the Market Neutral Fund and Double Alpha Market Fund are
authorized to issue Investor Shares. Effective March 20, 1998, Adviser Shares of
the International Small Capitalization Series and the Japan Series were no
longer offered for sale to investors. The classes differ primarily with respect
to the level of Shareholder Services Fees and Distribution Fees 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 Trustees approved the closing of the U.S. Small Capitalization Series
to new investors as of February 20, 1998, when the Fund reached $500 million in
net assets. Existing shareholders will have the ability to purchase additional
shares of the U.S. Small Capitalization Series; however, if any existing
shareholders fully redeem out of the Fund they will not be able to purchase
shares of the Fund.
2. -- SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial
statements in conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual amounts could differ from
those estimates. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements.
Security Valuation
Portfolio securities listed on a national exchange or exchanges for which
market quotations are available are valued at their last quoted sale price
on each business day. If there is no such reported sale, the most recently
quoted bid price is used for long securities and the ask price is used for
securities sold short. Debt obligations with sixty days or less remaining
until maturity are valued at their amortized cost. Unlisted securities for
which market quotations are readily available are valued at the most recent
quoted bid price for long securities and the ask price is used for
securities sold short. Other assets and securities for which no quotation
is readily available are valued at fair value as determined in good faith
by the Trustees.
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date, with realized
gain or loss on the sale of investments determined by using the identified
cost method. Corporate actions (including cash dividends) are recorded on
the ex-date or as soon after the ex-date as the fund becomes aware of such
action, net of any non-refundable tax withholdings. Interest income
(including amortization of premium and accretion of discount) is recorded
as earned.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
Foreign Currency Transactions
The accounting records of the Funds are maintained in U.S. dollars. 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
gain or loss and unrealized appreciation or depreciation on investments.
Forward Foreign Currency Contracts
Forward foreign currency contracts are valued at the daily exchange rate of
the underlying currency. The forward foreign currency 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 contractual settlement date. Gains
or losses from the purchase or sale of forward foreign currency contracts
are recorded as realized on the settlement date.
Foreign Securities
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 or other foreign governmental laws or
restrictions.
Short Sales
The Market Neutral Fund is authorized to engage in short-selling which
obligates the Fund to replace the security borrowed by purchasing the
security at current market value sometime in the future. The Fund will
incur a loss if the price of the security increases between the date of the
short sale and the date on which the Fund replaces the borrowed security.
The Fund will realize a gain if the price of the security declines between
those dates. Until the Fund replaces the borrowed security, the Fund will
maintain a segregated account with cash and/or U.S. Government securities
sufficient to cover its short position on a daily basis. At March 31, 1998,
the value of securities sold short amounted to $186,426,626 against which
collateral of $392,426,063 was held. The collateral includes the Bear
Stearns Deposit Account, the Bear Stearns repurchase agreement and the
securities held long, as shown in the Schedule of Portfolio Investments.
Securities Lending
Under the Security Lending Program, securities held by the U.S. Small
Capitalization Series are 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.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
At March 31, 1998, the value of securities loaned amounted to $14,728,924
against which cash collateral of $15,411,520 was held. The cash collateral
is invested in short-term investments and is included in the Schedule of
Portfolio 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. Security lending fee income, net of related
expenses, is recorded as earned. The U.S. Small Capitalization Series bears
the risk of loss with respect to the investment of the cash collateral.
Determination of Net Asset Value and Calculation of Expenses
Expenses specific to an individual Fund are charged to that Fund, while the
expenses that are attributable to more than one fund of the Trust are
allocated among the respective funds. 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 and Investor Shares;
Shareholder Services fees are charged to the Adviser Shares, Select Shares
and Investor Shares.
Dividends and Distributions
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions, Real Estate
Investment Trusts (REITS), redemptions-in-kind and wash sales for book and
tax purposes. Permanent book and tax basis differences will result in
reclassifications to capital accounts.
Dividends and distributions to shareholders which exceed net investment
income and net realized capital gains for financial reporting purposes but
not for tax purposes are reported as dividends in excess of net investment
income or distributions in excess of net realized gains. To the extent they
exceed net investment income and net realized gains for tax purposes, they
are reported as distributions of capital.
As of March 31, 1998, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to
capital:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED
ACCUMULATED NET REALIZED GAIN/(LOSS)
UNDISTRIBUTED NET ON INVESTMENTS
INVESTMENT AND FOREIGN CURRENCY
INCOME/(LOSS) TRANSACTIONS
------------------------ -----------------------------------
<S> <C> <C>
U.S. Small Capitalization Series............. $(97,133) $(2,495,270)
Japan Series................................. $ 4,776 $ 2,122
International Small Capitalization Series.... $(28,011) $ 21,602
Market Neutral Fund.......................... $ 6,282 $ (4,197)
</TABLE>
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
Organizational Expenses
Costs incurred in connection with the organization and initial registration
of the Market Neutral Fund have been deferred and will be amortized on a
straight-line basis over a sixty month period commencing April 1998.
3. -- MANAGEMENT, ADMINISTRATION, FUND ACCOUNTING, DISTRIBUTION AND
SHAREHOLDER SERVICES 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% for the U.S. Small Capitalization Series,
1.00% for both the Japan Series and the International Small Capitalization
Series and 1.90% for the Market Neutral Fund of each Fund's average net assets.
The Manager has voluntarily agreed to waive fees and reimburse the Funds to the
extent necessary to limit the Funds' annual expenses, including the management
fee but excluding the Shareholder Service fees and the Distribution fees, 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. The Manager has agreed to maintain an operating expense
ratio, including the management fee but excluding the Shareholder Services fees
and the Distribution fees, of the Market Neutral Fund at 2.00% of the average
net assets, exclusive of the dividend expense on short sales. For the year ended
March 31, 1998, the amount of such waivers totaled $206,166, $10,618, $221,059
and $121,673 for the U.S. Small Capitalization Series, Japan Series,
International Small Capitalization Series, and the Market Neutral Fund,
respectively. For the year ended March 31, 1998, the amount of such
reimbursements totaled $76,745, $114,063, $27,420 and $71,814 for the U.S. Small
Capitalization Series, Japan Series, International Small Capitalization Series
and the Market Neutral Fund, respectively.
BISYS Fund Services ("BISYS" or the "Administrator"), a wholly-owned
subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and
assists the Trust in all aspects of its administration and operation. The
Administrator is entitled to a fee, computed daily and paid monthly, at an
annual rate of 0.15% of the average net assets of the Funds. The Administrator
has voluntarily waived a portion of its fees in the U.S. Small Capitalization
Series and International Small Capitalization Series. In addition, the
Administrator has agreed to waive all fees in the Japan Series and the Market
Neutral Fund until the net assets reach $25 million. For the year ended March
31, 1998, the amount of such waivers totaled $142,850, $1,593, $23,451 and
$19,476 for the U.S. Small Capitalization Series, Japan Series, International
Small Capitalization Series and the Market Neutral Fund, respectively.
BISYS serves the Trust as fund accountant. Under the terms of the fund
accounting agreement, BISYS is entitled to receive an annual fee of $30,000 for
the U.S. Small Capitalization Series, Japan Series and International Small
Capitalization Series, and $40,000 for the Market Neutral Fund, and is
reimbursed for certain out-of-pocket expenses incurred in providing fund
accounting services. For the year ended March 31, 1998, BISYS voluntarily waived
$7,500, $7,500 and $7,500 for the U.S. Small Capitalization Series, Japan Series
and International Small Capitalization Series, respectively.
The Trust has adopted a Distribution Plan for its Select Shares and
Investor Shares, pursuant to Rule 12b-1 under the 1940 Act. The Select Shares
and Investor Shares of the Funds are sold on a continuous basis by the Trust's
Distributor, Barr Rosenberg Funds Distributor, Inc. (the "Distributor"), an
indirect wholly owned subsidiary of The BISYS Group, Inc. Under the Distribution
Plan, the Funds pay the Distributor for expenses primarily intended to result in
the sale of the Select Shares and Investor Shares. The Select Shares and
Investor Shares are subject to an annual Distribution Fee of up to 0.50% and
0.25% of the respective average daily net assets. For the year ended March 31,
1998, the U.S. Small Capitalization Series, Japan Series, International Small
Capitalization Series and the Market Neutral Fund incurred
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
distribution expenses in the amount of $64,573, $154, $2,457 and $12,626,
respectively. Of these amounts, the Distributor retained $19,895, $62, $575 and
$4,440 and waived $36,584, $98, $1,360 and $0 for the U.S. Small Capitalization
Series, Japan Series, International Small Capitalization Series and the Market
Neutral Fund, respectively.
Various service organizations act as the shareholder servicing agents of the
Adviser, Select and Investor Shares of the Funds. Such shares are subject to an
annual Shareholder Services 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 year ended March 31, 1998, the Shareholder Services Fee
attributable to the Adviser and Investor Shares was charged in full while a
portion of the fee attributable to the Select Shares was waived. Such waivers
totaled $4,297, $21 and $302 in the U.S. Small Capitalization Series, Japan
Series and International Small Capitalization Series, respectively.
4. -- FEDERAL INCOME TAXES. It is each Fund's policy to comply with the
requirements of the Internal Revenue Code under Subchapter M, applicable to
regulated investment companies, and to distribute all of its taxable income,
including any net realized gain on investments, to its shareholders. Therefore,
no provision is made for federal income taxes.
As of March 31, 1998, the Japan Series had a capital loss carryover of
$626,741 available to offset future realized capital gains, of which $258,946,
$69,379, $15,997, $20,835 and $261,584 will expire on March 31 of the years
2000, 2001, 2002, 2004 and 2006, 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.
Capital and foreign currency losses incurred after October 31, within a
Fund's fiscal year are deemed to arise on the first business day of the
following fiscal year for tax purposes. The following Funds have incurred and
will elect to defer such losses:
<TABLE>
<CAPTION>
CURRENCY CAPITAL
LOSSES LOSSES
-------- ----------
<S> <C> <C>
Japan Series................................................ $ 1,611 $ 165,386
International Small Capitalization Series................... 32,921 305,225
Market Neutral Fund......................................... -- 2,113,459
</TABLE>
During the fiscal year ended March 31, 1998, the U.S. Small Capitalization
Series declared long term capital gain distributions in the amount of
$8,441,421.
5. -- SECURITY PURCHASES AND SALES. For the year ended March 31, 1998,
purchases and sales of securities (excluding short-term securities) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Small Capitalization Series............................ $624,671,279 $219,892,409
Japan Series................................................ $ 1,269,319 $ 1,062,385
International Small Capitalization Series................... $ 45,530,932 $ 18,458,825
Market Neutral Fund......................................... $221,023,038 $216,758,160
</TABLE>
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
6. -- PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess of
10% of the relevant Fund's shares outstanding at March 31, 1998, held the
following aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
% OF FUND'S SHARES
------------------
<S> <C>
U.S. Small Capitalization Series............................ 37%
Japan Series................................................ 82%
International Small Capitalization Series................... 85%
Market Neutral Fund......................................... 79%
</TABLE>
7. -- TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of
$23,000 plus a $2,500 meeting fee for each meeting attended. On December 9,
1997, the Board approved an increase in Trustee compensation to an annual fee of
$37,950 plus a $4,125 meeting fee for each meeting attended.
8. -- 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.
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
YEAR/PERIOD ENDED MARCH 31, 1998 YEAR/PERIOD ENDED MARCH 31, 1997
----------------------------------------------------- ----------------------------------------
INTERNATIONAL INTERNATIONAL
U.S. SMALL SMALL MARKET U.S. SMALL SMALL
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL CAPITALIZATION JAPAN CAPITALIZATION
SERIES SERIES SERIES FUND** SERIES SERIES SERIES *
-------------- ------ -------------- ---------- -------------- ------ --------------
<S> <C> <C> <C> <C> <C> <C> <C>
Shares sold:
Institutional................ 47,015,598 20,749 3,397,025 17,468,715 4,959,032 4,038 1,302,391
Adviser...................... 3,077,253 -- -- -- 29,170 -- --
Select/Investor.............. 3,268,357 10,839 149,355 3,701,007 330,552 2,037 18,227
---------- ------ --------- ---------- ---------- ----- ---------
53,361,208 31,588 3,546,380 21,169,722 5,318,754 6,075 1,320,618
---------- ------ --------- ---------- ---------- ----- ---------
Issued upon reinvestment of
distributions:
Institutional................ 1,792,715 -- 82,129 -- 1,680,999 1,400 --
Adviser...................... 96,019 -- -- -- -- -- --
Select/Investor.............. 96,342 -- 1,325 -- 4,085 11 --
---------- ------ --------- ---------- ---------- ----- ---------
1,985,076 -- 83,454 -- 1,685,084 1,411 --
---------- ------ --------- ---------- ---------- ----- ---------
Shares redeemed:
Institutional................ (5,225,333) -- (865,143) (608,577) (3,032,383) -- (33,113)
Adviser...................... (1,413,595) -- -- -- -- -- --
Select/Investor.............. (231,371) (2,284) (32,677) (163,584) (1,742) -- --
---------- ------ --------- ---------- ---------- ----- ---------
(6,870,299) (2,284) (897,820) (772,161) (3,034,125) -- (33,113)
---------- ------ --------- ---------- ---------- ----- ---------
Net increase/(decrease)
Institutional................ 43,582,980 20,749 2,614,011 16,860,138 3,607,648 5,438 1,269,278
Adviser...................... 1,759,677 -- -- -- 29,170 -- --
Select/Investor.............. 3,133,328 8,555 118,003 3,537,423 332,895 2,048 18,227
---------- ------ --------- ---------- ---------- ----- ---------
48,475,985 29,304 2,732,014 20,397,561 3,969,713 7,486 1,287,505
========== ====== ========= ========== ========== ===== =========
</TABLE>
- ---------------
* The fund commenced operations on September 23, 1996.
** The fund commenced operations on December 16, 1997 (Institutional shares) and
December 18, 1997 (Investor shares).
9. -- LINE OF CREDIT. Lines of credit in the amount of $250,000 for the
Japan Series and $10,000,000 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 $5,000,000 for the International Small
Capitalization Series.
10. -- CONCENTRATION OF CREDIT. At March 31, 1998, the U.S. Small
Capitalization Series had the following industry concentrations in excess of 10%
of its net assets: Services--15.2%. The Japan Series had the following industry
concentrations in excess of 10% of its net assets: Electronics--23.8% and
Banking--12.9%. The International Small Capitalization Series had the following
country concentrations in excess of 10% of its net assets: United Kingdom--18.5%
and Japan--14.8%.
11. -- OTHER TAX INFORMATION (UNAUDITED). For corporate shareholders of the
U.S. Small Capitalization Series, 19.55% of the total ordinary income
distributions paid during the fiscal year ended March 31, 1998, qualify for the
corporate dividends received deduction.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
MARCH 31, 1998
- --------------------------------------------------------------------------------
The International Small Capitalization Series elects to pass on the
benefits of the foreign tax credit to its shareholders for the year ended March
31, 1998. The following information is presented with respect to the election:
<TABLE>
<CAPTION>
AMOUNT
--------
<S> <C>
Gross Income from Foreign Countries......................... $633,312
Gross Income from Foreign Countries Per Share............... 0.158
Income Taxes Paid to Foreign Countries...................... $ 63,978
Income Taxes Paid to Foreign Countries Per Share............ $ 0.016
</TABLE>
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31,
------------------------------------------------
1998 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)..................... 0.02** 0.04 0.03 0.01 0.08
Net realized and unrealized gain/(loss) on
investments................................... 3.14 1.39 2.34 0.78 1.28
-------- ------- ------- ------- -------
Total from investment operations................. 3.16 1.43 2.37 0.79 1.36
-------- ------- ------- ------- -------
Distributions to shareholders from:
Net investment income............................ (0.01) (0.05) (0.01) (0.08) (0.14)
Net realized gain on investments................. (0.52) (1.85) (1.73) (1.10) (6.19)
-------- ------- ------- ------- -------
Total distributions to shareholders.............. (0.53) (1.90) (1.74) (1.18) (6.33)
-------- ------- ------- ------- -------
Net asset value, end of period..................... $ 9.76 $ 7.13 $ 7.60 $ 6.97 $ 7.36
======== ======= ======= ======= =======
Total return....................................... 44.95% 19.53% 35.69% 12.21% 12.83%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)............... $537,891 $82,116 $60,046 $56,910 $52,500
Net investment income/(loss) before
waivers/reimbursements...................... 0.04% (0.12%) 0.22% 0.33% 0.36%
Net investment income/(loss) net of
waivers/reimbursements...................... 0.19% 0.35% 0.47% 0.60% 0.60%
Expenses before waivers/reimbursements........ 1.30% 1.54% 1.15% 1.17% 1.14%
Expenses net of waivers/reimbursements........ 1.15% 1.07% 0.90% 0.90% 0.90%
Portfolio turnover rate....................... 77.70% 126.83% 71.87% 57.27% 59.61%
Average commission rate....................... $ 0.0348 $0.0327 -- -- --
</TABLE>
- ---------------
** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, MARCH 31,
1998 1997(A)
-------------- ------------------
<S> <C> <C>
ADVISER SHARES
Net asset value, beginning of period........................ $ 7.14 $ 7.38
------- -------
Income from investment operations:
Net investment income/(loss).............................. (0.01)** 0.02
Net realized and unrealized gain/(loss) on investments.... 3.14 (0.26)
------- -------
Total from investment operations.......................... 3.13 (0.24)
------- -------
Distributions to shareholders from:
Net investment income..................................... -- --
Net realized gain on investments.......................... (0.52) --
------- -------
Total distributions to shareholders....................... (0.52) --
------- -------
Net asset value, end of period.............................. $ 9.75 $ 7.14
======= =======
Total return................................................ 44.50% (3.25%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $17,448 $ 208
Net investment income/(loss) before
waivers/reimbursements................................. (0.22%) 0.07%*
Net investment income/(loss) net of
waivers/reimbursements................................. (0.06%) 0.46%*
Expenses before waivers/reimbursements.................... 1.56% 1.54%*
Expenses net of waivers/reimbursements.................... 1.40% 1.15%*
Portfolio turnover rate................................... 77.70% 126.83%
Average commission rate................................... $0.0348 $0.0327
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on January 21, 1997 to March 31, 1997.
See accompanying notes to the financial statements.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, MARCH 31,
1998 1997(A)
-------------- ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period........................ $ 7.13 $ 8.49
------- -------
Income from investment operations:
Net investment income/(loss).............................. (0.02)** 0.07
Net realized and unrealized gain/(loss) on investments.... 3.14 0.47
------- -------
Total from investment operations.......................... 3.12 0.54
------- -------
Distributions to shareholders from:
Net investment income..................................... -- (0.05)
Net realized gain on investments.......................... (0.52) (1.85)
------- -------
Total distributions to shareholders....................... (0.52) (1.90)
------- -------
Net asset value, end of period.............................. $ 9.73 $ 7.13
======= =======
Total return................................................ 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $33,724 $ 2,375
Net investment income/(loss) before
waivers/reimbursements................................. (0.70%) 0.07%*
Net investment income/(loss) net of
waivers/reimbursements................................. (0.24%) 0.46%*
Expenses before waivers/reimbursements.................... 2.05% 1.54%*
Expenses net of waivers/reimbursements.................... 1.59% 1.15%*
Portfolio turnover rate................................... 77.70% 126.83%
Average commission rate................................... $0.0348 $0.0327
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR ENDED MARCH 31,
------------------------------------------------------
1998 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)..................... (0.04)** (0.05)** 0.04 0.10 (0.01)
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions.................................. (1.44) (2.45) (0.15) 0.63 1.41
-------- ------- ------- ------- -------
Total from investment operations................. (1.48) (2.50) (0.11) 0.73 1.40
-------- ------- ------- ------- -------
Distributions to shareholders from:
Net investment income............................ -- (0.04) -- -- --
In excess of net investment income............... -- (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..................... $ 4.72 $ 6.20 $ 8.77 $ 8.96 $ 8.25
======== ======= ======= ======= =======
Total return....................................... (23.87%) (28.68%) (1.20%) 8.86% 20.35%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)............... $ 866 $ 1,009 $ 1,378 $ 1,385 $ 1,258
Net investment income/(loss) before
waivers/reimbursements...................... (13.49%) (12.54%) (6.38%) (6.22%) (6.89%)
Net investment income/(loss) net of
waivers/reimbursements...................... (0.74%) (0.63%) (0.22%) (0.20%) (0.26%)
Expenses before waivers/reimbursements........ 14.25% 13.33% 7.16% 7.02% 7.63%
Expenses net of waivers/reimbursements........ 1.50% 1.42% 1.00% 1.00% 1.00%
Portfolio turnover rate....................... 102.13% 51.70% 60.60% 57.10% 74.60%
Average commission rate....................... $ 0.0099 $0.0165 -- -- --
</TABLE>
- ---------------
** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, MARCH 31,
1998 1997(a)
-------------- ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period........................ $ 6.20 $ 8.08
------- -------
Income from investment operations:
Net investment income/(loss).............................. (0.04)** (0.01)**
Net realized and unrealized gain/(loss) on investment and
foreign currency transactions.......................... (1.45) (1.80)
------- -------
Total from investment operations.......................... (1.49) (1.81)
------- -------
Distributions to shareholders from:
Net investment income..................................... -- (0.04)
In excess of net investment income........................ -- (0.03)
------- -------
Total distributions to shareholders....................... -- (0.07)
------- -------
Net asset value, end of period.............................. $ 4.71 $ 6.20
======= =======
Total return................................................ (24.03%) (22.59%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $ 50 $ 13
Net investment income/(loss) before
waivers/reimbursements................................. (9.10%) (11.83%*)
Net investment income/(loss) net of
waivers/reimbursements................................. (0.82%) 0.00%*
Expenses before waivers/reimbursements.................... 10.12% 13.33%*
Expenses net of waivers/reimbursements.................... 1.85% 1.50%*
Portfolio turnover rate................................... 102.13% 51.70%
Average commission rate................................... $0.0099 $0.0165
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
66
<PAGE> 67
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, MARCH 31,
1998 1997(a)
-------------- ------------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.13 $ 10.00
------- -------
Income from investment operations:
Net investment income/(loss).............................. 0.08** 0.02**
Net realized and unrealized gain/(loss) on investment and
foreign currency transactions.......................... 0.14 0.11
------- -------
Total from investment operations.......................... 0.22 0.13
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.05) --
Net realized gain on investment and foreign currency
transactions........................................... (0.06) --
In excess of net realized gain on investment and foreign
currency transactions.................................. (0.14) --
------- -------
Total distributions to shareholders....................... (0.25) --
------- -------
Net asset value, end of period.............................. $ 10.10 $ 10.13
======= =======
Total return................................................ 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $39,218 $12,859
Net investment income/(loss) before
waivers/reimbursements................................. (0.32%) (5.85%*)
Net investment income/(loss) net of
waivers/reimbursements................................. 0.82% 0.11%*
Expenses before waivers/reimbursements.................... 2.64% 7.46%*
Expenses net of waivers/reimbursements.................... 1.50% 1.50%*
Portfolio turnover rate................................... 77.72% 6.71%
Average commission rate................................... $0.0064 $0.0108
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on September 23, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, MARCH 31,
1998 1997(a)
-------------- ------------------
<S> <C> <C>
SELECT SHARES
Net asset value, beginning of period........................ $ 10.13 $ 10.04
------- -------
Income from investment operations:
Net investment income/(loss).............................. 0.06** 0.02**
Net realized and unrealized gain/(loss) on investment and
foreign currency transactions.......................... 0.14 0.07
------- -------
Total from investment operations.......................... 0.20 0.09
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.04) --
Net realized gain on investment and foreign currency
transactions........................................... (0.06) --
In excess of net realized gain on investment and foreign
currency transactions.................................. (0.14) --
------- -------
Total distributions to shareholders....................... (0.24) --
------- -------
Net asset value, end of period.............................. $ 10.09 $ 10.13
======= =======
Total return................................................ 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $ 1,375 $ 185
Net investment income/(loss) before
waivers/reimbursements................................. (0.83%) (5.52%*)
Net investment income/(loss) net of
waivers/reimbursements................................. 0.61% 0.44%*
Expenses before waivers/reimbursements.................... 3.35% 7.46%*
Expenses net of waivers/reimbursements.................... 1.91% 1.50%*
Portfolio turnover rate................................... 77.72% 6.71%
Average commission rate................................... $0.0064 $0.0108
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 29, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31,
1998(a)
------------------
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.00
--------
Income from investment operations:
Net investment income/(loss).............................. 0.10**
Net realized and unrealized gain/(loss) on investments.... (0.13)
--------
Total from investment operations.......................... (0.03)
--------
Distributions to shareholders from:
Net investment income..................................... --
Net realized gain on investments.......................... --
--------
Total distributions to shareholders....................... --
--------
Net asset value, end of period.............................. $ 9.97
========
Total return................................................ (0.30%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $168,080
Net investment income/(loss) before
waivers/reimbursements................................. 2.72%*
Net investment income/(loss) net of
waivers/reimbursements................................. 3.31%*
Expenses before waivers/reimbursements and dividend
expenses............................................... 3.33%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.75%*
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 2.00%*
Portfolio Turnover Rate................................... 232.93%
Average commission rate................................... $ 0.0294
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on December 16, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
69
<PAGE> 70
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31,
1998(a)
------------------
<S> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 10.00
-------
Income from investment operations:
Net investment income/(loss).............................. 0.08**
Net realized and unrealized gain/(loss) on investments.... (0.12)
-------
Total from investment operations.......................... (0.04)
-------
Distributions to shareholders from:
Net investment income..................................... --
Net realized gain on investments.......................... --
-------
Total distributions to shareholders....................... --
-------
Net asset value, end of period.............................. $ 9.96
=======
Total return................................................ (0.40%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $35,223
Net investment income/(loss) before
waivers/reimbursements................................. 2.28%*
Net investment income/(loss) net of
waivers/reimbursements................................. 2.82%*
Expenses before waivers/reimbursements and dividend
expenses............................................... 3.87%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 3.34%*
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 2.50%*
Portfolio turnover rate................................... 232.93%
Average commission rate................................... $0.0294
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on December 18, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
70
<PAGE> 71
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Barr Rosenberg Series Trust,
the Shareholders of U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, and Market Neutral Fund
and the Institutional Class and Select Class Shareholders of International
Small Capitalization Series
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of portfolio investments and schedule of securities sold
short, and the related statements of operations and of changes in net assets and
the financial highlights for each class presented present fairly, in all
material respects, the financial position of U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, and Market Neutral
Fund, each a series of Barr Rosenberg Series Trust (the "Trust") at March 31,
1998, the results of each of their operations, the changes in each of their net
assets and their financial highlights for the periods and classes presented, in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at March
31, 1998 by correspondence with the custodian and brokers and the application of
alternative auditing procedures where confirmations from brokers were not
received, provide a reasonable basis of the opinion expressed above.
PRICE WATERHOUSE LLP
San Francisco, CA
May 13, 1998
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
Manager
Rosenberg Institutional Equity Management
Four Orinda Way, Building E
Orinda, CA 94563
Administrator
BISYS Fund Services, Inc.
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, Ohio 43219
Custodian
State Street Bank and Trust Company
Mutual Funds Division
Boston, MA 02110
Custodial Trust Company
101 Carnegie Center
Princeton, NJ 08540
Independent Accountants
Price Waterhouse LLP
555 California Street
San Francisco, CA 94104
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.
(BRG-0034) (6/98)
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BARR ROSENBERG SERIES TRUST
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U.S. SMALL CAPITALIZATION SERIES
JAPAN SERIES
INTERNATIONAL SMALL
CAPITALIZATION SERIES
MARKET NEUTRAL FUND
ANNUAL REPORT
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MARCH 31, 1998
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