<PAGE> 1
BARR ROSENBERG SERIES Trust
----------------------------------------------------
JAPAN SERIES
MARKET NEUTRAL FUND
DOUBLE ALPHA MARKET FUND
U.S. SMALL CAPITALIZATION SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
October 27, 1998
Dear Fellow Shareholder:
During the last six months, turmoil has swept through foreign economies and
has more recently visited U.S. financial markets. It is evident that the
financial markets are in the midst of a very turbulent period. Over the longer
term, the current uncertainty and volatility will, if history is any guide,
create some very attractive situations for patient investors. Performance for
the Funds during this period was mixed. The six-month returns for the U.S. Small
Capitalization Fund and the International Small Capitalization Fund were
slightly better than the Funds' benchmarks while the returns for the same period
for the Japan Fund and the Market Neutral Fund were slightly below their
benchmarks(1). Please see the Financial Highlights for performance information.
The Barr Rosenberg Mutual Funds are designed to provide investors with a
disciplined approach to investing in complex investment environments.
The Funds continued to benefit from positive coverage in the financial
press including stories in Bloomberg Personal Finance, Business Week, Dow Jones
Asset Management, Dow Jones Investment Advisor, Financial Planning, Forbes,
Fortune, Institutional Investor, Investment News, Investor's Business Daily,
Kiplinger's Personal Finance, the Los Angeles Times, MAR/Hedge, Money, Mutual
Funds, No-Load Fund Analyst, Pension Management, Pensions & Investments, the San
Francisco Business Times, The Journal of Portfolio Management, The New York
Times and The Wall Street Journal as well on Fox News and the Internet.
During July we announced that we would close the U.S. Small Capitalization
Fund effective January 1, 1999. 401(k) plans will be able to invest until June
30, 1999. For additional information, please see page 30 of the U.S. Small
Capitalization Series Prospectus dated July 29, 1998.
The web site (www.riem.com) has a new look. Navigation through the web site
has been streamlined, and the information structure has been better defined. The
contact forms have been revised so that your request will go directly to the
person responsible for responding. We hope that you find the web site more user
friendly and optically pleasing. You can also obtain information about the Funds
by calling (800) 447-3332 and following the voice prompts.
We appreciate the confidence and trust you have demonstrated with your
investments in The Barr Rosenberg Mutual Funds. All of us are sincerely
committed to making your investment experience a successful one.
Sincerely,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President & CEO
Barr Rosenberg Mutual Funds
- ---------------
(1)Past performance is no guarantee of future results.
1
<PAGE> 2
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
Despite a strong showing in September, the U.S. small capitalization sector
continued to trail the rest of the equity markets during the six months ended
September 30, 1998. For the quarter ended September 30, 1998, the Russell 2000
Index(1) fell 20.15%, compared with a drop of 9.95% for the S&P 500 Index(2).
During the last six months, the Russell 2000 Index has fallen 23.88% while the
S&P 500 Index has declined 6.98%. The leadership of the larger capitalization
stocks has been a persistent feature of the U.S. equity markets during the past
several years.
The Fund's relative overexposure to stocks with strong trailing price
performance ("relative strength") helped performance during six months ended
September 30, 1998. This boost to performance relative to the Russell 2000 Index
was offset by other exposures that hurt performance, including a slightly lower
dividend yield profile, somewhat less actively traded holdings ("trading
activity") and a higher average book-to-price than the Russell 2000 Index.
During the six months, the return associated with trading activity swung
substantially. During August's market decline, the return associated with
trading activity was strongly negative. That is, more actively traded stocks,
other characteristics being equal(3), showed the worst returns. However, as the
market rebounded in September, the trading activity return became strongly
positive, boosting the returns of more actively traded stocks (again, other
characteristics being equal(3)).
Overall, the differences between the industry weightings of the Fund and
the Russell 2000 Index hurt the performance of the Fund relative to the Russell
2000 during the last six months. Underexposure to the strong performing
Telephone (2.6% below the Russell 2000 weight), Drugs (2.3% below) and Electric
Utilities (1.4% below) industries negatively impacted the Fund's relative
performance. On the positive side, the Fund's 3.5% overexposure to the
relatively strong performing broad Service industry helped the Fund's
performance relative to the Russell 2000 Index.
It is important to note that the differences in risk factors and industry
exposures between the Fund and the benchmark Russell 2000 Index are modest. In
addition, these exposures are the result of our bottom-up stock selection models
and not based on predictions of the returns for risk factors or industries. Over
time, the return contribution from these exposures is expected to be small
relative to the independent contribution from our stock selection.
Small capitalization funds typically carry additional risks since smaller
companies have experienced a greater degree of volatility than average.
Past performance does not guarantee future results.
- ---------------
(1) The Russell 2000 is an unmanaged index of approximately 2000 small
capitalization companies with market capitalization up to $2.5 billion.
(2) The S&P 500 is an unmanaged, broad-based index of 500 widely held common
stocks.
(3) Other risk factors such as relative strength, dividend yield and
book-to-price and industry exposures.
2
<PAGE> 3
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 98.1%
AIRCRAFT -- 0.1%
9,400 Triumph Group, Inc.*....... $ 279,650
------------
AIRLINES -- 0.6%
35,000 AHL Services, Inc.*........ 1,146,250
69,000 Amtran, Inc.*.............. 1,621,500
29,100 Petroleum Helicopter,
Inc...................... 538,350
------------
3,306,100
------------
AUTOS -- 1.2%
25,600 Amcast Industrial Corp..... 376,000
85,300 Arvin Industries, Inc...... 3,177,425
18,700 Defiance, Inc.............. 140,250
1,000 Durakon Industries,
Inc.*.................... 10,750
25,500 Excel Industries, Inc...... 318,750
110,000 Standard Products Co....... 1,925,000
3,969 Supreme Industries,
Inc.*.................... 38,202
------------
5,986,377
------------
BANKING -- 8.7%
100 ABC Bancorp................ 1,256
26,600 Ambanc Holding Company,
Inc...................... 345,800
1,600 Ampal-American Israel
Corp.*................... 6,400
7,507 Arrow Financial Corp....... 215,826
55,300 Astoria Financial Corp..... 2,329,512
7,400 BancFirst Corp............. 270,100
1,445 Bankatlantic Bancorp, Inc.,
Class B.................. 10,386
49,100 Banknorth Group, Inc....... 1,436,175
7,700 BNC Corp., Inc.*........... 100,100
17,756 BOK Financial Corp.*....... 770,167
1,785 Broad National Bancorp..... 31,684
16,350 BSB Bancorp, Inc........... 454,734
3,600 Cape Cod Bank & Trust
Co....................... 62,100
14,500 Carver Bancorp, Inc........ 132,313
12,200 Cathay Bancorp, Inc........ 445,300
4,200 CB Bancshares, Inc......... 130,200
13,800 Central Co-Operative
Bank..................... 272,550
65,400 Citizens Banking Corp.
Michigan................. 2,150,024
22,695 Civic Bancorp*............. 295,035
2,600 Columbia Bancorp........... 38,025
30,300 Commercial Bank of New
York..................... 496,163
18,500 Community Bank System,
Inc...................... 528,406
15,000 Community Financial Group,
Inc...................... 184,688
100,900 Contifinancial Corp.*...... 756,750
46,900 Corus Bankshares, Inc...... 1,594,599
2,000 CPB, Inc................... 31,750
57 CVB Financial Corp......... 1,243
18,935 Downey Financial Corp...... 450,890
800 Equitable Federal Savings
Bank*.................... 19,600
8,600 FFY Financial Corp......... 231,125
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
7,100 First Bancshares, Inc...... $ 92,300
56,400 First Citizens Bancshares,
Inc., Class A............ 5,301,599
1,150 First Citizens Corp........ 29,900
3,675 First Colonial Group,
Inc...................... 98,306
8,200 First Hawaiian, Inc........ 278,800
1,000 First Merchants Banking.... 36,938
1,050 First Mutual Savings Bank
of Bellevue.............. 15,750
21,200 First Oak Brook Bank....... 418,700
5,600 First State Bancorp........ 106,050
130,200 FirstBank Puerto Rico...... 3,303,824
22,400 FNB Rochester Corp......... 403,200
1,049 Foothill Independent
Bancorp*................. 12,588
900 Fund American
Enterprises.............. 112,388
71,760 GBC Bancorp of
California............... 1,722,239
19,700 Hawthorne Financial
Corp.*................... 297,963
24,400 HF Bancorp, Inc.*.......... 390,400
2,800 Hingham Institution for
Savings.................. 67,550
1,875 Independent Bankshares,
Inc...................... 21,797
54,300 JSB Financial, Inc......... 2,786,268
3,900 Kankakee Bancorp, Inc...... 103,838
2,400 Lakeview Financial Corp.... 54,900
6,300 Letchworth Independent
Bancshares Corp.......... 95,288
8,333 Mahaska Investment Co...... 166,660
8,533 Massbank Corp.............. 324,254
5,356 Mid-America Bancorp........ 131,892
16,800 National Bancorp of Alaska,
Inc...................... 550,200
9,660 NBT Bancorp, Inc........... 222,180
1,000 New Hampshire Thrift
Bancshares, Inc.......... 14,000
3,100 Newmil Bancorp, Inc........ 44,563
2,000 NMBT Corp.................. 37,500
15,750 North County Bancorp*...... 212,625
6,300 Northrim Bank of Alaska.... 90,563
9,700 Pacific Bank N.A........... 421,950
8,190 Premier National Bancorp,
Inc...................... 138,718
5,300 Professional Bancorp,
Inc...................... 74,200
2,690 PVF Capital Corp.*......... 31,271
17,750 Quaker City Bancorp,
Inc.*.................... 270,688
12,800 Redwood Empire Bancorp..... 209,600
4,600 Reliance Bancorp, Inc...... 129,950
20,900 Resource Bancshares
Mortgage Group, Inc...... 370,975
8,665 Royal Bancshares of
Pennsylvania, Class A.... 129,975
2,500 Sandwich Bancorp, Inc...... 143,750
94,000 Silicon Valley
Bancshares*.............. 1,504,000
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
3,000 Skaneateles Bancorp,
Inc...................... $ 39,750
2,900 Southwest Bancorp.......... 79,750
18,200 Sterling Bancorp........... 366,275
26,000 Student Loan Corp.......... 1,166,750
7,600 Suffolk Bancorp............ 222,300
8,400 Sumitomo Bank of
California............... 319,200
79,000 UMB Financial Corp......... 3,747,562
156,800 UST Corp................... 3,312,400
3,000 Vermont Financial Services
Corp..................... 64,500
3,700 Westbank Corp.............. 38,388
16,400 WFS Financial, Inc.*....... 98,400
------------
44,218,276
------------
BUILDING -- 2.9%
22,100 American Homestar Corp.*... 486,200
70,500 American Residential
Services, Inc.*.......... 282,000
44,900 AMREP Corp.*............... 345,169
26,700 Beazer Homes USA, Inc.*.... 550,688
2,500 C.H. Heist Corp.*.......... 16,875
6,400 Champion Enterprises,
Inc.*.................... 148,800
6,400 Crossmann Communities,
Inc.*.................... 128,800
44,600 Dominion Homes, Inc.*...... 468,300
20,700 Granite Construction,
Inc...................... 609,356
7,000 Hovnanian Enterprises,
Inc., Class A*........... 65,625
5,300 Insituform East, Inc....... 11,263
8,200 Integrated Electrical
Svcs., Inc.*............. 121,975
105,500 Jacobs Engineering Group,
Inc.*.................... 3,270,499
16,500 Liberty Homes, Inc., Class
A........................ 193,875
6,200 M/I Schottenstein Homes,
Inc...................... 114,700
5,000 Matrix Service Co.*........ 23,438
14,198 MYR Group, Inc............. 165,939
27,500 Perini Corp.*.............. 190,781
36,700 Pulte Corp................. 901,444
51,300 Skyline Corp............... 1,487,700
92,800 Toll Brothers, Inc.*....... 2,128,600
255,800 Walter Industries, Inc.*... 3,181,512
7,600 Washington Homes, Inc.*.... 38,475
------------
14,932,014
------------
CHEMICALS -- 1.1%
15,700 American Vanguard, Inc..... 74,575
59,900 Bairnco Corp............... 333,194
8,900 Detrex Corp.*.............. 62,856
250,100 Ferro Corp................. 4,970,738
------------
5,441,363
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COMPUTER -- 0.0%
20,400 WPI Group, Inc.*........... $ 135,150
------------
CONSTRUCTION
MATERIALS -- 1.5%
3,600 Ameron International,
Inc...................... 126,900
45,100 CalMat Co.................. 780,794
62,300 Centex Construction
Products, Inc............ 2,125,987
7,100 Continental Materials
Corp.*................... 210,338
76,906 Danaher Corp............... 2,307,188
5,300 Donnelly Corp.............. 76,188
80,900 Florida Rock Industries.... 2,002,274
9,300 Libbey, Inc................ 274,350
100 United States Lime &
Minerals, Inc............ 713
------------
7,904,732
------------
DEFENSE -- 1.6%
18,100 Allied Research Corp.*..... 135,750
62,600 Avondale Industries,
Inc.*.................... 1,549,350
177,200 Newport News Shipbuilding,
Inc...................... 4,751,175
31,100 Primex Technologies,
Inc...................... 1,057,400
72,200 SPACEHAB, Inc.*............ 629,494
49,600 Todd Shipyards Corp.*...... 272,800
------------
8,395,969
------------
DRUGS -- 1.4%
142,000 Cambrex Corp............... 3,345,876
87,800 Copley Pharmaceutical,
Inc.*.................... 878,000
11,700 Gamma Biologicals, Inc..... 62,156
22,902 New Brunswick Scientific,
Inc.*.................... 157,451
16,300 PolyMedica Corp.*.......... 149,756
149,200 Roberts Pharmaceutical
Corp.*................... 2,853,450
------------
7,446,689
------------
DURABLES -- 0.5%
81,400 Fleetwood Enterprises,
Inc...................... 2,457,262
15,300 Huffy Corp................. 216,113
7,350 Thor Industries, Inc....... 156,188
------------
2,829,563
------------
ELECTRIC UTILITIES -- 1.5%
58,100 Black Hills Corp........... 1,561,438
3,400 Central Hudson Gas......... 142,375
500 Maine Public Service Co.... 7,219
261,400 Public Service Company of
New Mexico............... 5,799,812
------------
7,510,844
------------
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 6.7%
64,000 Acuson Corp.*.............. $ 1,092,000
17,600 Advanced Neuromodulation
Systems, Inc.*........... 116,600
25,700 American Technical Ceramics
Corp.*................... 170,263
53,900 AMX Corp.*................. 336,875
29,400 Applied Signal Technology,
Inc.*.................... 361,988
12,000 Bacou Usa, Inc.*........... 207,000
1,400 Badger Meter, Inc.......... 40,950
800 Beckman Coulter, Inc....... 41,300
16,900 Bel Fuse, Inc., Class A*... 259,838
16,900 Bel Fuse, Inc., Class B*... 245,050
48,200 CMC Industries, Inc.*...... 228,950
18,600 Cobra Electronics Corp.*... 69,750
24,100 Cognitronics Corp.*........ 250,038
91,200 CONMED Corp.*.............. 2,086,199
72,700 CTS Corp................... 2,144,649
91,300 Datascope Corp.*........... 2,020,012
16,400 Datron Systems, Inc.,
California* 98,400
6,500 Diodes, Inc.*.............. 32,500
8,100 General Microwave Corp.*... 138,206
28,400 Haemonetics Corp.*......... 546,700
9,450 Harmon Industries, Inc..... 207,900
12,800 Hurco Companies, Inc.*..... 81,600
4,900 Instron Corp............... 69,213
77,800 Integrated Circuit Systems,
Inc.*.................... 775,569
34,900 InterVoice, Inc.*.......... 800,519
195,900 Invacare Corp.............. 4,603,649
3,200 K-Tron International,
Inc.*.................... 56,400
34,800 Keithley Instruments,
Inc...................... 176,175
14,600 Kewaunee Scientific
Corp..................... 158,775
93,200 Marquette Medical
Systems*................. 4,048,374
59,100 Maxxim Medical, Inc.*...... 1,518,131
6,500 Medstone International,
Inc.*.................... 43,063
18,100 Meridian Medical
Technologies, Inc.*...... 135,750
7,300 Merrimac Industries,
Inc.*.................... 63,875
60,300 Microsemi Corp.*........... 482,400
22,900 Mine Safety Appliances
Co....................... 1,843,450
4,000 MiniMed, Inc.*............. 264,000
7,500 Minntech Corp.............. 71,250
15,600 Moore Products Co.......... 319,800
37,600 MTS Systems Corp........... 554,600
4,100 Napco Security Systems,
Inc.*.................... 16,400
63,500 Norstan, Inc.*............. 1,111,250
26,500 Plantronics, Inc.*......... 1,276,969
55,200 Porta Systems Corp.*....... 103,500
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
10,000 Programming & Systems,
Inc.* (a)................ $ 0
8,700 Reliability, Inc.*......... 36,431
33,000 Relm Wireless Corp.*....... 70,125
14,000 ResMed, Inc.*.............. 728,000
5,500 Scherer Healthcare,
Inc.*.................... 15,125
26,500 SonoSight, Inc.*........... 180,531
64,100 Spacelabs Medical, Inc.*... 993,550
5,600 Span-America Medical
Systems, Inc............. 31,500
3,000 Sparton Corp.*............. 17,813
65,200 Stoneridge, Inc.*.......... 1,055,425
97,200 Sunrise Medical, Inc.*..... 972,000
1,400 Tech-Sym Corp.*............ 32,025
39,400 Teltrend, Inc.*............ 522,050
21,000 Thermo Optek Corp.*........ 189,000
22,200 ThermoQuest Corp.*......... 216,450
13,500 ThermoSpectra Corp.*....... 133,313
16,000 Vicon Industries, Inc.*.... 114,000
19,600 Video Display Corp.*....... 148,225
------------
34,725,443
------------
FINANCIAL
INVESTMENTS -- 0.7%
36,235 Allied Capital Corp........ 643,171
2,600 Amplicon, Inc.............. 37,050
13,100 Cooper Life Sciences*...... 393,000
4,000 Echelon International
Corp.*................... 84,750
81,524 Electro Rent Corp.*........ 1,136,241
7,500 Giant Group, Ltd.*......... 54,375
22,300 HPSC, Inc.*................ 217,425
10,400 Penn-Virginia Corp......... 228,150
36,000 PS Group Holdings, Inc..... 418,500
16,700 REFAC Technology
Development Corp.*....... 164,913
50,100 Sunrise International
Leasing Corp.*........... 137,775
------------
3,515,350
------------
FOOD -- 2.3%
38,300 Chock Full o' Nuts
Corp.*................... 239,375
141,500 Corn Products
International, Inc....... 3,572,875
240,200 Earthgrains Co............. 7,431,187
100 Farmer Brothers Co......... 21,500
8,200 International Multifoods
Corp..................... 134,788
13,500 M & F Worldwide Corp.*..... 134,156
3,300 Scope Industries........... 227,288
1,100 Seaboard Corp.............. 299,200
------------
12,060,369
------------
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH -- 0.7%
10,600 Caretenders Health
Corp.*................... $ 26,500
74,400 Centennial HealthCare
Corp.*................... 592,875
20,900 Equimed, Inc.*............. 12,958
50,800 Hanger Orthopedic Group,
Inc.*.................... 946,150
46,400 Horizon Health Corp.*...... 278,400
47,500 Integra, Inc.*............. 80,156
15,706 National Home Health Care
Corp.*................... 68,714
38,800 Option Care, Inc.*......... 43,650
1,500 Pediatric Services of
America, Inc.*........... 5,156
104,800 PhyMatrix Corp.*........... 393,000
5,100 Physician Reliance Network,
Inc.*.................... 59,925
2,700 Physicians Resource Group,
Inc.*.................... 5,063
64,850 Quest Diagnostics, Inc.*... 1,070,025
19,200 Staff Builders, Inc., Class
A*....................... 12,000
------------
3,594,572
------------
HOUSEHOLD -- 2.1%
88,300 ACX Technologies, Inc.*.... 1,136,862
13,700 American Biltrite, Inc..... 327,088
11,200 Andersen Group, Inc.*...... 37,800
57,600 Bassett Furniture
Industries, Inc.......... 1,684,799
18,500 Catalina Lighting, Inc.*... 41,625
3,400 Cherry Corp., Class B*..... 39,100
30,500 Daktronics, Inc.*.......... 285,938
16,600 Escalade, Inc.*............ 332,000
29,300 Genlyte Group, Inc.*....... 600,649
196,200 Kimball International,
Inc., Class B............ 3,016,574
6,000 Knoll, Inc.*............... 131,250
1,200 La-Z-Boy, Inc.............. 23,550
6,100 Mikasa, Inc................ 68,244
1,600 Myers Industries, Inc...... 36,800
23,600 Norwood Promotional
Products, Inc.*.......... 445,450
10,300 Patrick Industries, Inc.... 151,925
7,200 Pubco Corp.*............... 70,200
25,900 Reunion Industries,
Inc.*.................... 80,938
15,200 SL Industries, Inc......... 155,800
28,500 Stanley Furniture Co.,
Inc.*.................... 495,188
9,100 TAB Products Co............ 66,544
16,150 Thomas Industries, Inc..... 346,216
1,700 Trans-Lux Corp............. 15,088
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
13,695 Virco Manufacturing
Corp..................... $ 308,138
45,700 WinsLoew Furniture,
Inc.*.................... 868,299
2,350 Wynn's International,
Inc...................... 43,916
------------
10,809,981
------------
INSURANCE -- 4.1%
6,700 Acceptance Insurance
Companies, Inc.*......... 139,444
18,300 ARM Financial Group,
Inc...................... 324,825
2,000 Crawford & Co., Class B.... 35,250
14,600 EMC Insurance Group,
Inc...................... 182,500
35,200 Fidelity National
Financial, Inc........... 1,190,200
4,100 Financial Industries
Corp.*................... 57,400
286,200 First American Financial
Corp..................... 9,158,399
26,500 InterContinental Life
Corp.*................... 526,688
10,000 Kansas City Life Insurance
Co....................... 816,250
7,500 Liberty Financial
Companies, Inc........... 197,813
7,800 Midland Co................. 176,963
13,100 National Western Life
Insurance, Class A*...... 1,526,150
6,000 Nymagic, Inc............... 152,250
50,200 PXRE Corp.................. 1,289,513
47,500 Stewart Information
Services Corp............ 2,737,187
173,800 TIG Holdings, Inc.......... 2,444,062
------------
20,954,894
------------
LIQUOR & TOBACCO -- 0.4%
44,700 Coors (Adolph) Co., Class
B........................ 2,053,406
------------
MACHINERY -- 8.3%
800 Acme Electric Corp.* 4,150
14,200 Amistar Corp.*............. 31,950
57,300 Ampco-Pittsburgh Corp...... 838,013
63,300 Astec Industries, Inc.*.... 2,698,162
93,600 Barnes Group, Inc.......... 2,690,999
1,500 Bridgeport Machines,
Inc.*.................... 12,938
69,800 Brown & Sharpe
Manufacturing Co.*....... 523,500
700 BTU International, Inc.*... 2,013
14,400 Butler Manufacturing Co.... 333,000
10,300 Central Sprinkler Corp.*... 122,313
5,500 Chicago Rivet & Machine
Co....................... 139,563
27,200 Dayton Superior Corp.*..... 479,400
14,500 Edison Control Corp.*...... 119,625
76,800 ESCO Electronics Corp.*.... 787,200
15,000 Essef Corp.*............... 262,500
15,500 Evans & Sutherland Computer
Corp.*................... 203,438
21,700 Fansteel, Inc.*............ 132,913
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
16,050 Farr Co.*.................. $ 156,488
20,200 Farrel Corp................ 45,450
164,200 Fedders Corp............... 841,525
4,400 Federal Screw Works........ 220,000
39,700 Flowserve Corp............. 803,925
12,700 Gehl Co.*.................. 173,038
64,500 Gencor Industries, Inc..... 983,625
11,200 General Magnaplate Corp.... 44,800
59,000 Gleason Corp............... 947,688
9,600 Gorman-Rupp Co............. 151,200
10,300 Graham Corp.*.............. 115,875
90,100 Greenbrier Companies,
Inc...................... 1,278,293
106,900 Griffon Corp.*............. 935,375
10,200 Hardinge, Inc.............. 224,400
8,500 Haskel International, Inc.,
Class A.................. 61,625
92,700 Kennametal, Inc............ 2,497,105
281,000 Lincoln Electric Holdings,
Inc...................... 6,533,249
29,100 Lufkin Industries, Inc..... 756,600
22,500 Maxco, Inc.*............... 171,563
6,700 Mestek, Inc.*.............. 124,788
10,200 MFRI, Inc.*................ 57,375
11,700 MotivePower Industries,
Inc.*.................... 273,488
5,300 Mueller (Paul) Co.......... 206,700
35,200 NACCO Industries, Inc.,
Class A.................. 3,519,999
600 NCI Building Systems,
Inc.*.................... 11,888
5,550 Oilgear Co................. 61,050
9,700 Peerless Mfg. Co........... 110,338
34,800 Pitt-Des Moines, Inc....... 765,600
13,100 Powell Industries, Inc.*... 101,525
92,400 Premark International,
Inc...................... 2,592,974
7,400 Quipp, Inc.*............... 123,950
20,800 Raytech Corp.*............. 67,600
625 Research, Inc.............. 1,172
10,000 Selas Corporation of
America.................. 76,250
39,000 Shaw Group, Inc.*.......... 336,375
5,800 Shiloh Industries, Inc.*... 105,125
8,200 SPS Technologies, Inc.*.... 381,813
8,100 Starrett (L.S.) Co., Class
A........................ 279,450
3,400 Tecumseh Products Co.,
Class B.................. 175,100
11,800 Teleflex, Inc.............. 413,000
19,200 Tennant Co................. 716,400
8,800 Transtechnology Corp....... 181,500
17,500 Twin Disc, Inc............. 426,563
215,100 UNOVA, Inc.*............... 3,535,705
72,000 Varlen Corp................ 2,015,999
------------
42,985,228
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA -- 2.8%
18,000 4Kids Entertainment,
Inc.*.................... $ 139,500
11,100 ADDvantage Media Group,
Inc.*.................... 5,203
217,000 Bowne & Co., Inc........... 3,675,437
18,050 Courier Corp............... 361,000
5,800 Grey Advertising........... 1,902,400
56,800 Media General, Inc., Class
A........................ 2,201,000
82,500 Merrill Corp............... 1,294,219
30,500 Metatec Corp.*............. 113,422
23,062 Pulitzer Publishing Co..... 1,824,781
63,300 Standard Register Co....... 1,720,969
44,400 Standex International
Corp..................... 1,060,050
------------
14,297,981
------------
METALS -- 3.0%
9,800 Atchison Casting Corp.*.... 97,388
16,350 Chase Industries, Inc.*.... 231,966
61,300 Cleveland-Cliffs, Inc...... 2,390,699
22,000 Curtiss-Wright Corp........ 873,125
1,400 Foster (L.B.) Corp.*....... 6,125
2,800 Intermet Corp.............. 35,525
24,300 Lindberg Corp.............. 306,788
119,000 Mueller Industries,
Inc.*.................... 3,027,062
61,300 Quanex Corp................ 1,214,506
24,600 Roanoke Electric Steel
Corp..................... 319,800
9,800 Rouge Industries, Inc.,
Class A.................. 73,500
15,700 Steel of West Virginia,
Inc.*.................... 96,163
46,700 Superior TeleCom, Inc...... 2,259,113
105,600 Texas Industries, Inc...... 2,653,199
5,700 Tremont Corp............... 240,825
88,000 Wolverine Tube, Inc.*...... 1,853,500
------------
15,679,284
------------
MISCELLANEOUS FINANCIAL -- 3.4%
9,600 Advest Group, Inc.......... 195,600
16,900 Atalanta Sosnoff Capital
Corp..................... 133,088
194,200 Eaton Vance Corp........... 4,478,737
79,100 EVEREN Capital Corp........ 1,918,175
5,800 Hambrecht & Quist Group*... 106,575
1,500 Interstate/Johnson Lane,
Inc...................... 43,500
19,200 Investment Technology
Group, Inc.*............. 523,200
88,500 Jefferies Group, Inc....... 2,345,250
30,800 John Nuveen Co., Class A... 1,097,250
18,600 JWGenesis Financial
Corp.*................... 141,825
4,300 McDonald & Company
Investments, Inc......... 133,300
4,500 National Discount
Brokers*................. 41,063
2,194 Omega Worldwide, Inc.*..... 11,244
1,500 Pilgrim America Capital
Corp.*................... 28,688
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL (CONTINUED)
228,000 Raymond James Financial,
Inc...................... $ 4,787,999
52,909 Southwest Securities Group,
Inc...................... 978,817
19,110 Stifel Financial Corp...... 200,655
13,400 Value Line, Inc............ 525,950
------------
17,690,916
------------
OFFICE MACHINERY -- 3.2%
103,300 Baldwin Technology Company,
Inc., Class A*........... 568,150
105,600 BancTec, Inc.*............. 1,504,800
33,200 Boundless Corp.*........... 116,200
19,400 CSP, Inc.*................. 155,200
114,800 Cylink Corp.*.............. 516,600
15,700 Dataram Corp.*............. 188,400
88,400 Digi International,
Inc.*.................... 1,082,900
30,750 Equinox Systems, Inc.*..... 246,000
36,900 General Binding Corp....... 1,210,781
115,800 Gerber Scientific, Inc..... 3,126,600
25,925 Gradco Systems, Inc.*...... 51,850
238,000 Imation Corp.*............. 4,403,001
200 Network Appliance, Inc.*... 10,125
3,100 Network Equipment
Technologies, Inc.*...... 31,000
22,100 Printronix, Inc.*.......... 309,400
26,400 PSC, Inc.*................. 201,300
55,800 Rainbow Technologies,
Inc.*.................... 760,275
60,300 Stratus Computer, Inc.*.... 2,031,356
34,900 Videonics, Inc.*........... 52,350
------------
16,566,288
------------
OIL -- 1.7%
40,000 American Resources of
Delaware, Inc.*.......... 50,000
110,000 Arch Coal, Inc............. 1,636,250
3,700 Basin Exploration, Inc.*... 61,281
12,900 Castle Energy Corp......... 226,556
143,100 Energen Corp............... 2,718,900
52,800 Houston Exploration Co.*... 1,029,600
125,000 Louis Dreyfus Natural Gas
Corp.*................... 1,812,500
25,900 Maynard Oil Co.*........... 233,100
27,300 Mitchell Energy &
Development, Class B..... 382,200
55,300 PetroCorp, Inc.*........... 324,888
3,600 Prima Energy Corp.*........ 53,100
------------
8,528,375
------------
OIL DISTRIBUTION -- 0.2%
88,100 Tesoro Petroleum Corp.*.... 1,150,806
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL SERVICES -- 1.3%
34,400 Dawson Geophysical Co.*.... $ 399,900
39,200 Helmerich & Payne.......... 823,200
1,300 Holly Corp................. 20,150
112,500 Oceaneering International,
Inc.*.................... 1,603,125
105,400 Petroleum Development
Corp.*................... 553,350
94,800 Pool Energy Services
Co.*..................... 865,050
36,400 RPC, Inc................... 323,050
127,600 Seitel, Inc.*.............. 1,379,675
41,400 Veritas DGC, Inc.*......... 690,863
------------
6,658,363
------------
OTHER UTILITIES -- 2.3%
186,920 Allied Waste Industries,
Inc.*.................... 4,369,255
8,600 American States Water...... 227,900
1,800 California Water Service... 40,725
5,700 Casella Waste Systems,
Inc., Class A............ 193,800
10,000 Clean Harbors, Inc.*....... 23,750
1,400 Connecticut Water Service,
Inc...................... 35,175
2,700 Dominguez Services Corp.... 62,438
82,800 Eastern Enterprises........ 3,487,950
22,600 GZA GeoEnvironmental
Technologies, Inc.*...... 104,525
15,600 Harding Lawson Associates
Group*................... 101,400
6,600 Providence Energy Corp..... 128,700
800 Roanoke Gas Co............. 15,600
3,700 SJW Corp................... 213,675
126,300 Southwest Gas Corp......... 2,581,256
3,465 Southwest Water Co......... 55,007
44,100 TRC Companies, Inc.*....... 184,669
3,900 Washington Gas Light Co.... 107,981
------------
11,933,806
------------
PAPER -- 1.2%
39,800 ABT Building Products
Corp.*................... 417,900
35,200 American Woodmark Corp..... 893,200
9,300 Badger Paper Mills, Inc.... 72,075
15,300 Baltek Corp.*.............. 156,825
4,500 Carmel Container Systems,
Ltd.*.................... 27,563
7,600 Drypers Corp.*............. 22,800
57,100 Fibermark, Inc.*........... 810,106
3,400 Holopak Technologies,
Inc.*.................... 5,738
3,000 Longview Fibre Co.......... 40,313
209,000 Rock-Tenn Co., Class A..... 2,312,062
9,300 THT, Inc.*................. 28,772
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER (CONTINUED)
6,900 Tufco Technologies,
Inc.*.................... $ 48,300
89,000 Universal Forest Products,
Inc...................... 1,412,874
9,500 Wausau-Mosinee Paper
Corp..................... 136,563
------------
6,385,091
------------
REAL ESTATE ASSETS -- 5.7%
14,500 Abrams Industries, Inc..... 82,469
1,000 Amli Residential Properties
Trust.................... 21,313
57,100 Archstone Communities
Trust.................... 1,163,413
123,800 Bluegreen Corp.*........... 928,500
92,800 Capstone Capital Corp...... 1,954,599
101,200 Castle & Cooke, Inc.*...... 1,518,000
40,600 CB Richard Ellis Services,
Inc.*.................... 814,538
9,500 CBL & Associates
Properties, Inc.......... 244,625
46,900 Commercial Assets, Inc..... 257,950
46,200 Cornerstone Realty Income
Trust, Inc............... 513,975
7,100 DeWolfe Companies, Inc.*... 39,050
80,200 Excel Legacy Corp.*........ 233,081
1,700 Florida East Coast
Industries, Inc.......... 49,300
78,900 Forest City Enterprises,
Inc., Class A............ 1,656,900
1,400 Franklin Select Realty
Trust.................... 9,450
204,600 Glenborough Realty Trust,
Inc...................... 4,347,749
41,500 Healthcare Realty Trust,
Inc...................... 1,058,250
500 Highwoods Properties,
Inc...................... 13,875
22,700 Hospitality Properties
Trust.................... 675,325
16,600 ILX Resorts, Inc.*......... 39,425
146,550 IMPAC Mortgage Holdings,
Inc...................... 1,978,424
24,256 Insignia Properties
Trust.................... 295,620
12,600 Konover Property Trust,
Inc.*.................... 88,200
35,000 Lexford Residential
Trust.................... 640,938
39,700 LNR Property Corp.......... 766,706
14,400 Mays (J.W.), Inc.*......... 129,600
22,500 Meridian Industrial Trust,
Inc...................... 497,813
1,732 New Mexico & Arizona Land
Co.*..................... 25,547
173,040 New Plan Excel Realty
Trust.................... 4,033,994
23,800 Omega Healthcare Investors,
Inc...................... 777,963
29,500 Pan Pacific Retail
Property, Inc............ 549,438
62,500 Price Enterprises, Inc..... 316,406
79,800 Regency Realty Corp........ 1,830,412
3,400 Resurgence Properties,
Inc...................... 213
28,500 Silverleaf Resorts,
Inc.*.................... 285,000
38,400 Thornburg Mortgage Asset
Corp..................... 345,600
13,300 Trendwest Resorts, Inc.*... 105,569
12,400 United Capital Corp.*...... 215,450
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS
(CONTINUED)
55,900 Westfield America, Inc..... $ 957,288
1,957 Wilshire Oil Company of
Texas*................... 10,764
------------
29,472,732
------------
RETAIL/WHOLESALE -- 5.8%
2,250 Aceto Corp................. 29,672
32,700 Advanced Marketing
Services, Inc............ 570,206
96,100 Ames Department Stores,
Inc.*.................... 1,219,268
21,600 Arden Group, Inc., Class
A*....................... 626,400
52,800 Bell Industries, Inc.*..... 630,300
228,100 BJ's Wholesale Club,
Inc.*.................... 8,382,674
37,600 Brookstone, Inc.*.......... 441,800
115,720 Burlington Coat Factory
Warehouse................ 1,706,869
1,100 Cache, Inc.*............... 4,813
63,200 Cameron Ashley Building
Products, Inc.*.......... 707,049
34,500 Catherines Stores Corp.*... 267,375
92,100 Cole National Corp., Class
A*....................... 1,916,830
8,800 D.I.Y. Home Warehouse,
Inc.*.................... 9,350
500 DEB Shops, Inc............. 3,813
700 Discount Auto Parts,
Inc.*.................... 16,844
61,600 Drug Emporium, Inc.*....... 246,400
18,300 Enesco Group, Inc.......... 454,069
49,700 EZCORP, Inc., Class A...... 406,919
20,600 Family Bargain Corp.*...... 37,338
10,200 Finlay Enterprises,
Inc.*.................... 85,425
7,600 Foodarama Supermarkets,
Inc.*.................... 244,150
11,700 Hancock Fabrics, Inc....... 112,613
3,700 Haverty Furniture
Companies, Inc........... 70,300
5,466 Herbalife International,
Class A.................. 50,561
1,900 Herbalife International,
Class B.................. 15,081
4,800 ICC Industries, Inc.*...... 38,400
19,900 Jo-Ann Stores, Inc., Class
A*....................... 442,775
32,100 Katy Industries, Inc....... 527,644
6,600 Krug International
Corp.*................... 18,975
13,800 Marsh Supermarkets, Inc.,
Class A.................. 196,650
2,500 McRae Industries, Class
A........................ 15,625
11,800 Moore Medical Corp.*....... 143,075
5,700 Noland Co.................. 126,825
50,700 Pamida Holdings Corp.*..... 237,656
5,800 Perfumania, Inc.*.......... 5,800
600 Rag Shops, Inc.*........... 1,463
11,748 Reeds Jewelers, Inc.*...... 39,650
72,700 Ruddick Corp............... 1,235,899
5,850 Schultz Sav-O Stores,
Inc...................... 90,675
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
14,100 Seaway Food Town, Inc...... $ 195,638
6,700 Sharper Image Corp.*....... 21,775
13,800 Shoe Carnival, Inc.*....... 127,650
26,600 Software Spectrum, Inc.*... 402,325
7,300 Sound Advice, Inc.*........ 17,794
17,200 Speizman Industries,
Inc.*.................... 68,800
3,300 Spiegel, Inc., Class A*.... 11,963
27,200 Sport Chalet, Inc.*........ 136,000
29,000 Syms Corp.*................ 300,875
19,500 Syncor International
Corp.*................... 322,969
400 TCC Industries, Inc........ 1,675
1,050 The Buckle, Inc............ 18,900
900 Unapix Entertainment,
Inc.*.................... 2,363
17,000 United Natural Foods,
Inc.*.................... 433,500
38,100 United Retail Group,
Inc.*.................... 309,563
73,700 Value City Department
Stores, Inc.*............ 649,480
20,200 Village Supermarket, Inc.,
Class A*................. 441,875
6,000 Western Beef, Inc.*........ 44,250
197,500 Zale Corp.*................ 5,060,937
------------
29,945,563
------------
SERVICES -- 14.9%
14,700 ABM Industries, Inc........ 429,975
301,400 AC Nielsen Corp.*.......... 6,706,149
10,100 Analysis & Technology,
Inc...................... 171,700
52,500 Angelica Corp.............. 843,281
43,100 Ardent Software, Inc.*..... 538,750
23,800 ASA International, Ltd.*... 47,600
26,700 Aspect Development,
Inc.*.................... 1,051,313
30,900 Baker (Michael) Corp.*..... 293,550
15,700 Berlitz International,
Inc.*.................... 414,088
12,500 Boole & Babbage, Inc....... 290,625
70,600 CDI Corp.*................. 1,606,150
33,100 CFI Proservices, Inc.*..... 339,275
28,300 Chemed Corp................ 794,169
28,800 Complete Management,
Inc.*.................... 30,600
45,800 Covance, Inc.*............. 1,187,938
34,200 CPI Corp................... 810,113
5,600 DeVry, Inc................. 131,250
86,300 Discreet Logic, Inc.*...... 1,116,506
28,700 Duff & Phelps Credit Rating
Co....................... 1,321,994
45,000 Emcon, Inc.*............... 146,250
45,500 Engineering Animation,
Inc.*.................... 2,172,624
35,600 Exponent, Inc.*............ 178,000
100 FactSet Research
Systems*................. 3,169
7,350 FDP Corp................... 73,500
12,500 Fourth Shift Corp.*........ 39,844
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
3,500 General Automation,
Inc.*.................... $ 2,844
35,015 Group 1 Software, Inc...... 315,135
155,700 GT Interactive Software
Corp.*................... 700,650
58,900 H.T.E., Inc.*.............. 721,525
450 Healthcare Services Group,
Inc.*.................... 4,219
16,000 InfoUSA, Inc., Class A*.... 93,000
239,700 infoUSA, Inc., Class B..... 1,707,863
256,400 Interim Services, Inc.*.... 5,272,224
34,300 International Microcomputer
Software, Inc.*.......... 233,669
67,600 International Telecomm Data
Systems, Inc.*........... 1,960,400
23,300 Jack Henry & Associates,
Inc...................... 1,112,575
400 Jenny Craig, Inc.*......... 2,150
122,900 Kelly Services, Inc., Class
A........................ 3,855,987
47,300 Kendle International,
Inc.*.................... 1,549,075
28,500 LCS Industries............. 377,625
13,700 Lycos, Inc................. 463,231
15,100 MacNeal-Schwendler
Corp.*................... 93,431
5,600 Mapinfo Corp.*............. 58,100
19,600 Marlton Technologies,
Inc.*.................... 90,650
303,300 Mentor Graphics Corp.*..... 2,104,144
28,500 Metro Information Svcs,
Inc.*.................... 908,438
69,960 Micro Focus Group plc,
Sponsored ADR*........... 1,644,060
171,700 Midway Games, Inc.*........ 2,006,744
9,040 Monro Muffler Brake,
Inc.*.................... 85,880
2,100 Morrison Knudsen Corp.*.... 22,575
187,400 National Computer Systems,
Inc...................... 5,528,299
9,800 National Information
Group.................... 61,250
34,800 National Technical Systems,
Inc...................... 191,400
91,300 Norrell Corp............... 1,369,500
28,600 Opinion Research Corp.*.... 160,875
4,400 PC Docs Group
International, Inc.*..... 16,500
18,900 Peregrine Systems, Inc.*... 760,725
135,500 Personnel Group of America,
Inc.*.................... 1,668,344
8,850 Pinkertons, Inc.*.......... 122,241
165,400 Policy Management Systems
Corp.*................... 6,698,699
69,200 Progress Software Corp.*... 1,790,550
37,000 Project Software &
Development, Inc.*....... 485,625
30,400 Protection One, Inc........ 296,400
35,400 Quality Systems, Inc.*..... 153,769
200 SEI Investments Co......... 13,900
19,400 SM & A Corp.*.............. 334,650
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
9,700 Snyder Communications,
Inc.*.................... $ 324,950
162,900 Software AG Systems,
Inc.*.................... 2,769,299
38,700 SPS Transaction Services,
Inc.*.................... 1,219,050
13,200 SPSS, Inc.*................ 301,950
45,500 Stone & Webster, Inc....... 1,444,625
40,300 Symix Systems, Inc.*....... 735,475
55,100 Systems & Computer
Technology Corp.*........ 709,413
15,396 Titan Corp.*............... 77,942
6,250 Trio Tech International*... 17,969
35,900 TRM Corp.*................. 430,800
42,700 UniFirst Corp.............. 1,150,231
31,000 URS Corp.*................. 556,063
23,300 Wall Data, Inc.*........... 355,325
16,000 Wang Laboratories, Inc.*... 310,000
25,400 Warrantech Corp.*.......... 88,900
15,100 Westaff, Inc.*............. 196,300
------------
76,465,626
------------
SOAPS & COSMETICS -- 0.5%
63,066 Block Drug Company, Inc.,
Class A.................. 2,270,376
39,200 Cascade International,
Inc.* (a)................ 0
8,650 Del Laboratories, Inc...... 168,675
5,300 Scott's Liquid Gold,
Inc...................... 10,269
------------
2,449,320
------------
TELEPHONE -- 0.4%
30,200 Atlantic Tele-Network,
Inc.*.................... 249,150
25,800 Conestoga Enterprises,
Inc...................... 825,600
2,200 Emerging Communications
Corp.*................... 22,550
11,000 Hector Communications
Corp.*................... 96,250
99,700 Price Communications
Corp.*................... 778,906
11,200 Teletouch Communications,
Inc...................... 30,800
------------
2,003,256
------------
TEXTILES -- 2.2%
8,800 Alba-Waldensian, Inc....... 111,100
117,100 Brown Group, Inc........... 1,800,413
29,400 Burlington Industries,
Inc.*.................... 279,300
16,000 Concord Fabrics, Inc.,
Class A*................. 107,000
12,875 Decorator Industries,
Inc...................... 96,563
52,900 Dixie Group, Inc........... 343,850
5,800 Dyersburg Corp............. 22,475
5,900 G-III Apparel Group,
Ltd...................... 13,275
10,000 Guilford Mills, Inc........ 148,750
48,200 Haggar Corp................ 530,200
200 Hallwood Group, Inc.*...... 4,575
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
6,700 Hampshire Group, Ltd.*..... $ 113,900
10,730 Hampton Industries*........ 78,463
4,000 Jaclyn, Inc.*.............. 15,750
42,700 Jos A Bank Clothiers,
Inc.*.................... 326,922
89,900 Kellwood Co................ 2,416,062
9,000 Maxwell Shoe Company, Inc.,
Class A*................. 106,875
96,000 OshKosh B'Gosh, Inc., Class
A........................ 1,991,999
11,800 Oxford Industries, Inc..... 362,850
9,226 Pillowtex Corp............. 271,014
2,000 Saucony, Inc., Class A..... 9,500
53,700 Springs Industries, Class
A........................ 1,866,075
30,700 Supreme International
Corp.*................... 353,050
2,000 Weyco Group, Inc........... 53,000
------------
11,422,961
------------
TRANSPORTATION -- 0.4%
10,600 B & H Ocean Carriers,
Ltd.*.................... 43,725
20,800 Boyd Brothers
Transportation, Inc.*.... 150,800
142,500 Consolidated
Freightways*............. 1,175,626
6,150 Marten Transport, Ltd.*.... 88,406
24,200 Oglebay Norton Co.......... 641,300
5,400 Old Dominion Freight Line,
Inc.*.................... 75,600
9,100 Pittston Burlington
Group.................... 67,681
------------
2,243,138
------------
TRAVEL/ENTERTAINMENT -- 2.7%
22,700 AMERCO..................... 578,850
19,900 Ark Restaurants Corp.*..... 206,463
21,000 Back Bay Restaurant
Group*................... 144,375
1,000 Benihana, Inc.*............ 8,250
32,200 Bob Evans Farms, Inc....... 641,988
30,600 Brinker International,
Inc.*.................... 573,750
59,400 Buffets, Inc.*............. 642,263
35,600 CEC Entertainment, Inc.*... 720,900
200 Championship Auto Racing
Teams, Inc............... 4,888
17,400 Dover Downs Entertainment,
Inc...................... 219,675
20,600 Garden Fresh Restaurant
Corp.*................... 303,850
18,600 Inland Entertainment
Corp.*................... 51,150
52,600 Luby's Cafeterias, Inc..... 848,174
1,300 Max & Erma's Restaurant,
Inc.*.................... 9,425
65,300 Movie Gallery, Inc.*....... 261,200
29,100 Nathan's Famous, Inc.*..... 101,850
60,300 NPC International, Inc.*... 640,688
21,500 Piccadilly Cafeterias,
Inc...................... 235,156
7,200 Planet Hollywood
International, Inc.,
Class A*................. 28,800
</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) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
5,000 PLM International, Inc.*... $ 35,000
268,300 Prime Hospitality Corp.*... 1,878,099
24,000 Quintel Communications,
Inc.*.................... 66,000
32,400 Reading Entertainment,
Inc.*.................... 271,350
54,300 Ruby Tuesday, Inc.......... 821,287
275,500 Ryan's Family Steak Houses,
Inc.*.................... 3,288,780
12,200 Sbarro, Inc................ 272,213
10,500 Sonesta International
Hotels Corp., Class A.... 133,875
16,700 Spaghetti Warehouse,
Inc.*.................... 120,031
1,000 Supertel Hospitality,
Inc.*.................... 8,875
93,000 Taco Cabana, Inc., Class
A*....................... 563,813
100 Uno Restaurant Corp.*...... 669
11,700 VICORP Restaurants,
Inc.*.................... 158,681
3,700 Wall Street Deli, Inc.*.... 11,563
------------
13,851,931
------------
TOTAL COMMON STOCKS (COST
$553,413,893) -- 98.1%... 505,831,407
------------
PREFERRED STOCKS -- 0.1%
REAL ESTATE ASSETS -- 0.1%
27,000 Price Enterprises, Inc.*... 361,125
------------
TOTAL PREFERRED STOCKS (COST $362,880)... 361,125
------------
REPURCHASE AGREEMENTS -- 2.5%
State Street Bank, dated 9/30/98, due
10/1/98 at 4.75% with a maturity value of
$12,831,693 (Collateralized by
$10,835,000 U.S. Treasury Note, 7.875%,
11/15/04, market value -- $13,091,725)... 12,830,000
------------
TOTAL REPURCHASE AGREEMENTS (COST
$12,830,000)............................. 12,830,000
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<C> <S> <C>
SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED -- 0.4%
Federated Treasury Obligations Fund,
5.35%.................................. $ 770,723
Scudder MMSF, 5.4%....................... 708,144
Provident Temp Funding, 5.38%............ 1,010,723
Janus Money Market Fund, 5.65%........... 10,862
------------
2,500,452
------------
TOTAL SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED...................... 2,500,452
============
TOTAL INVESTMENTS (COST $569,107,225)(B)
-- 101.1%............................... 521,522,984
COLLATERAL AS SECURITIES LOANED
-- (0.4%)............................... (2,500,452)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.7%)......................... (3,363,943)
------------
TOTAL NET ASSETS -- 100.0%............... $515,658,589
============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depositary Receipt.
(a) Bankrupt security; valued by Management (Note 2).
(b) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation........... $ 33,527,204
Unrealized
depreciation........... (81,111,445)
------------
Net unrealized
depreciation........... $(47,584,241)
============
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE> 13
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
The Tokyo equity market continued its free-fall the last six months. The
TOPIX(1) lost 18.15% and the Nikkei Stock Exchange lost 20.19% in dollar value,
in most part, due to a full-blown crisis of confidence triggered by mishandled
financial systems and badly timed fiscal policies in Japan. The disappointing
half-year corporate earnings as of September 30, 1998, and the
worse-than-expected Tankan (economic survey) announced in the beginning of
October provided serious warnings as to the depth of the current recession in
Japan.
The polarized industry performance in the last six months presented a clear
picture of a bear market. The relative good performers were defensive stocks
such as pharmaceuticals and utilities, and the worst performers were raw
materials, real estate, securities and banks. While the share prices for small
and mid-cap stocks were still under severe pressure due to credit concerns,
large export stocks that supported the market in the last two years were also
under selling pressure, hurt by weak business conditions both domestically and
overseas. Very few industries were able to avoid the negative sentiment sweeping
the Japanese market.
The fact that the market closed with a 12-year low in September provided a
visible bottom for down side risk. The over-sold undervalued stocks should have
some rebound potential in the coming months. However, as large export stocks
continue to disappoint the market with negative earnings outlooks and with the
correction of a weak yen, investors are likely to take a cautious stance and
focus on defensive stocks as they did in the last six months.
Most of Fund's under-performance relative to the TOPIX for the six months
ended September 30, 1998, came from disappointing stock selection in the real
estate, banks, transportation and retail/wholesale sectors. In each of these
sectors, our valuation models have identified companies with excellent relative
valuation potential, but the generally pessimistic view of the market has
continued to punish the share prices of such companies.
International investing involves increased risk and volatility. The Japan
Fund may also be subject to the additional risk of non-diversified regional fund
investing.
Past performance does not guarantee future results.
- ---------------
(1) The Tokyo Price Index (TOPIX) is an unmanaged index of approximately 1,300
Japanese companies.
13
<PAGE> 14
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS--97.6%
AUTOS -- 6.3%
1,000 Honda Motor Co., Ltd........... $ 30,488
3,000 Nissan Shatai Co., Ltd......... 6,061
2,000 Suzuki Motor Corp.............. 20,188
1,000 Yachiyo Industry Co., Ltd...... 3,857
------------
60,594
------------
BANKING -- 12.2%
300 Nissin Co., Ltd................ 4,185
40 Shinki Co., Ltd................ 3,526
6,000 The Asahi Bank, Ltd............ 16,750
4,000 The Bank of
Tokyo -- Mitsubishi, Ltd..... 25,713
1,000 The Chugoku Bank, Ltd.......... 12,636
2,000 The Daishi Bank, Ltd........... 6,259
2,000 The Higo Bank, Ltd............. 7,567
1,000 The Industrial Bank of Japan,
Ltd.......................... 3,673
7,000 The Sanwa Bank, Ltd............ 36,768
------------
117,077
------------
BUILDING -- 2.0%
3,000 Maeda Corp..................... 7,449
3,000 Sekisui Chemical Co., Ltd...... 11,417
------------
18,866
------------
CHEMICALS -- 4.1%
2,000 Asahi Chemical Industry Co.,
Ltd.......................... 6,112
3,000 Kureha Chemical Industry Co.,
Ltd.......................... 6,039
6,000 Mitsubishi Chemical Corp....... 11,548
2,000 Mitsubishi Gas Chemical Co.,
Inc.......................... 4,511
1,000 Sumitomo Rubber Industries,
Ltd.......................... 5,040
3,000 The Yokohama Rubber Co.,
Ltd.......................... 6,259
------------
39,509
------------
CONSTRUCTION -- 1.6%
3,000 Central Glass Co., Ltd......... 5,334
1,000 Nippon Electric Glass Co.,
Ltd.......................... 10,498
------------
15,832
------------
DRUGS -- 5.4%
1,000 Dai-Ichi Pharmaceutical Co.,
Ltd.......................... 13,415
2,000 Fujisawa Pharmaceutical Co.,
Ltd.......................... 18,454
2,000 Nikken Chemicals Co., Ltd...... 4,863
2,000 Tanabe Seiyaku Co., Ltd........ 8,684
2,000 Tsumura & Co................... 6,083
------------
51,499
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES -- 12.2%
5,000 Matsushita Electric Industrial
Co., Ltd..................... $ 68,138
700 Sony Corp...................... 48,803
------------
116,941
------------
ELECTRIC UTILITIES -- 5.7%
1,000 The Chugoku Electric Power Co.,
Inc.......................... 16,089
1,000 The Kansai Electric Power Co.,
Inc.......................... 17,301
1,100 The Tokyo Electric Power Co.,
Inc.......................... 21,091
------------
54,481
------------
ELECTRONICS -- 5.5%
1,000 Fukuda Denshi Co., Ltd......... 9,624
3,000 Mitsubishi Electric Corp....... 4,628
2,000 New Japan Radio Co., Ltd....... 4,555
2,000 Omron Corp..................... 19,909
600 Shinkawa Ltd................... 4,452
2,000 Toko, Inc...................... 7,787
1,000 Yaskawa Electric Corp.......... 1,690
------------
52,645
------------
FINANCIAL INVESTMENTS -- 0.5%
500 Sanyo Electric Credit Co.,
Ltd.......................... 5,143
------------
FOOD -- 3.5%
3,000 Maruha Corp.................... 2,711
2,000 Nissin Food Products Co.,
Ltd.......................... 31,002
------------
33,713
------------
INSURANCE -- 2.8%
1,000 The Fuji Fire & Marine
Insurance Co., Ltd........... 1,829
3,000 Mitsui Marine & Fire Insurance
Co., Ltd..................... 12,343
3,000 The Dai-Tokyo Fire & Marine
Insurance Co., Ltd........... 8,551
1,000 The Nichido Fire & Marine
Insurance Co., Ltd........... 4,415
------------
27,138
------------
LIQUOR & TOBACCO -- 2.4%
1 Japan Tobacco Inc.............. 7,177
2,000 Kirin Brewery Co., Ltd......... 16,045
------------
23,222
------------
</TABLE>
See accompanying notes to the financial statements.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY -- 5.5%
1,000 Amatsuji Steel Ball
Manufacturing Co., Ltd....... $ 6,832
3,000 Fuji Electric Co., Ltd......... 5,289
2,000 Hitachi Koki Co., Ltd.......... 5,657
3,000 Hitachi, Ltd................... 13,225
2,000 Nitto Electric Works, Ltd...... 10,432
2,000 Sanyo Denki Co., Ltd........... 5,583
2,000 Sintokogio, Ltd................ 5,436
------------
52,454
------------
METALS -- 1.6%
2,000 Hitachi Metals, Ltd............ 4,893
2,000 Kurimoto, Ltd.................. 5,025
6,000 Sumitomo Metal Industries,
Ltd.......................... 5,642
------------
15,560
------------
MISCELLANEOUS FINANCIAL -- 1.0%
4,000 Daiwa Securities Co., Ltd...... 9,403
------------
OFFICE MACHINERY -- 4.9%
2,000 Brother Industries, Ltd........ 4,408
1,000 Fuji Photo Film Co., Ltd....... 34,528
2,000 Konica Corp.................... 7,655
------------
46,591
------------
OIL DISTRIBUTION -- 1.0%
2,000 Kamei Corp..................... 9,888
------------
PAPER -- 1.0%,
2,000 Daio Paper Corp................ 9,756
------------
REAL ESTATE ASSETS -- 0.6%
3,000 Sumitomo Realty & Development
Co., Ltd..................... 5,510
------------
RETAIL/WHOLESALE -- 4.8%
2,000 Kasumi Co., Ltd................ 6,171
4,000 Marubeni Corp.................. 4,731
3,000 Mitsubishi Corp................ 14,547
3,000 Mitsui & Co., Ltd.............. 12,386
3,000 Nissho Iwai Corp............... 1,939
2,000 Tokyu Store Chain Co., Ltd..... 5,730
------------
45,504
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES -- 4.5%
2,000 Hitachi Information Systems,
Ltd.......................... $ 17,514
1,000 Intec Inc...................... 6,994
5 NTT Data Communications Systems
Corp......................... 18,292
------------
42,800
------------
SOAPS & COSMETICS -- 0.7%
2,000 Lion Corp...................... 6,964
------------
TELEPHONE -- 1.3%
2 Japan Telecom Co., Ltd......... 12,048
------------
TRANSPORTATION -- 6.3%
4 Central Japan Railway Co.,
Ltd.......................... 16,956
2,000 Iino Kaiun Kaisha, Ltd......... 3,100
4,000 Mitsui O.S.K. Lines, Ltd....... 5,789
2,000 Seino Transportation Co.,
Ltd.......................... 10,153
4,000 Tokyu Corp..................... 8,933
4 West Japan Railway Co.......... 14,899
------------
59,830
------------
TRAVEL/ENTERTAINMENT -- 0.2%
200 Capcom Co., Ltd................ 1,543
------------
TOTAL COMMON STOCKS (COST
$1,118,402) -- 97.6%......... 934,511
------------
TOTAL INVESTMENTS (COST
$1,118,402)(A) -- 97.6%...... 934,511
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.4%.......... 22,490
------------
TOTAL NET ASSETS -- 100.0%..... $ 957,001
============
</TABLE>
- ---------------
(a) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation... $ 25,445
Unrealized depreciation... (209,336)
---------
Net unrealized
depreciation............ $(183,891)
=========
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The international markets experienced a tumultuous period from April 1,
1998, through September 30, 1998. Extreme market volatility was observed across
all markets around the world. The political uncertainty and economic collapse of
Russia, and the deteriorating financial crisis in Asia severely dampened
investors' confidence. Fearing the contagion would trigger a worldwide
recession, investors reduced exposure to equities, resulting in a drastic
downturn in the markets in August. This volatile market climate also led to a
flight to quality. Investors refocused on larger companies and as a result,
small stocks around the world were more severely penalized than large stocks.
For the six months ending September 30, 1998, international small stocks, as
measured by the Cazenove Rosenberg Global Smaller Companies Index excluding the
U.S. (CRIexUS)(1), lost 19.74%. 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), lost 12.26%.
After enjoying spectacular returns from 1997 through March 31,1998,
European markets retreated in the second and third quarters of 1998. Companies
across Europe continued to benefit from low interest rates and encouraging
domestic growth. However, adverse effects from the financial crises in Asia and
Russia began to impact earnings for European companies. Value stocks, in
particular, suffered during the past six months. European large stocks lost
9.88%(2), and small stocks went down 16.76%(2).
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 responded with indifference and
disappointment. The Japanese yen fell to a low of 147 yen per U.S. dollar in
August. The yen eventually stabilized only after intervention from both the
Japanese and U.S. governments. For the six months ending September 30, 1998,
Japanese small stocks fell 18.75%(2), while large stocks lost 19.12%(2). In
comparison, companies with high relative strength (i.e. companies that had done
well in the past relative to the market) outperformed companies with low
relative strength (i.e. companies that had done poorly relative to the market).
The situation in the rest of Asia was even more dismal. Countries were still
struggling through the economic recession and recoveries were still fragile. In
an effort to defend the Hong Kong dollar, the Hong Kong government deviated from
its historical "free market" policy and intervened in the stock market to prop
up stock prices. In September, the Malaysian government surprised investors by
announcing a series of controls that severely restricted trading by foreigners.
Despite these attempts by the various governments to support the market, real
estate prices are still plummeting, domestic consumption is falling and
unemployment rates are rising. The near-term prospects for the region remain
bleak. For the six months, small stocks for the Pacific ex Japan region lost
36.11%(2), and large stocks fell 29.12%(2). Value stocks suffered during this
period.
Concerns over the slowing Canadian economy caused the Canadian dollar to
reach a 10-year low against the U.S. dollar. Value stocks continued to
outperform growth stocks during the last two quarters. Despite the strong
rebound in September, small stocks still underperformed large stocks over the
past six months. During this period, Canadian small stocks lost 32.73% while
large stocks suffered a loss of 28.87%.
The foreign exchange market also experienced extreme volatility and
polarization. Canada and Australia, whose economies are largely based on natural
resources, saw their currencies falter as exports to Asia declined. The various
Asian currencies lost ground against the U.S. dollar while European currencies
on average appreciated over 10%. Among the currencies of the 21 developed
markets, the Australian dollar suffered the largest depreciation against the
U.S. dollar by losing 10.69% over the last six months. The Danish Krone
experienced the highest appreciation of 10.93%.
16
<PAGE> 17
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 CRIexUS(1) with
diversification over 21 developed markets and over 500 holdings. As of September
30, 1998, the top 10 holdings accounted for about 12% of the total portfolio.
Approximately 73% 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 11, and the
median market capitalization of the holdings was approximately $205 million.
In light of the restrictions imposed on foreign investors by the Malaysian
government, we decided to apply a discount of 30% to the valuation of Malaysian
securities held in the portfolio as of September 30, 1998. This discount rate
was determined after careful consideration of several factors including recent
activities in the Malaysian securities market and actions taken by other members
of the international investing community. As of September 30, 1998, the value of
our Malaysian securities holdings constituted less than 1% of the portfolio.
Currently, Malaysia is still a constituent country in the CRIexUS(1), the
benchmark of the Fund. Accordingly, we intend to retain our equity exposure in
Malaysian securities, so as to match the characteristics of the benchmark, which
is in line with our investment philosophy. We will monitor the situation closely
and act in the best interests of our shareholders as further developments ensue.
OUTLOOK
We expect to witness further volatility in the world markets over the next
6 months. As experts around the world collaborate to tackle the current economic
crisis, we are hopeful stability and growth will soon resume. In the long run,
we are optimistic about the prospects of international small stock investing. 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
capitalization funds typically carry additional risks since smaller companies
have experienced a greater degree of volatility than average.
Past performance does not guarantee future results.
- ---------------
(1) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRIexUS) 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. Investors cannot invest directly in any Index.
(2) Large stock returns are based on individual country and regional MSCI
Standard Indices; small stock returns are based on individual country and
regional CRIexUS.
17
<PAGE> 18
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 97.3%
AUSTRALIA -- 2.1%
Building -- 0.2%
24,700 Leighton Holdings, Ltd..... $ 80,603
------------
Chemicals -- 0.2%
16,300 Incitec, Ltd............... 45,180
83,600 Ticor, Ltd.*............... 30,202
------------
75,382
------------
Construction
Materials -- 0.3%
8,000 Adelaide Brighton, Ltd..... 3,790
31,600 RGC, Ltd................... 47,162
26,603 Westralian Sands, Ltd...... 50,734
------------
101,686
------------
Drugs -- 0.1%
3,857 Soul Pattinson & Company,
Ltd...................... 54,823
------------
Electronics -- 0.1%
27,400 Metal Manufactures, Ltd.... 33,754
5,300 OPSM Protector, Ltd........ 10,358
------------
44,112
------------
Financial
Investments -- 0.2%
12,977 Australian Foundation
Investment Company,
Ltd...................... 20,213
7,100 Harvey Norman Holdings,
Ltd...................... 41,840
73,800 Orbital Engine Corp.,
Ltd.*.................... 28,848
------------
90,901
------------
Liquor & Tobacco -- 0.4%
19,300 Rothmans Holdings, Ltd..... 132,822
------------
Media -- 0.0%
4,000 Pacific Magazines and
Printing, Ltd............ 6,467
5,600 Village Roadshow, Ltd...... 9,618
------------
16,085
------------
Metals -- 0.1%
8,200 Bougainville Copper,
Ltd.*.................... 1,457
33,900 Eltin, Ltd................. 21,282
------------
22,739
------------
Oil Distribution -- 0.2%
25,900 Caltex Australia, Ltd...... 62,584
------------
Oil Services -- 0.0%
22,235 Australia Oil and Gas
Corp., Ltd............... 17,119
------------
Paper -- 0.0%
26,000 Spicers Paper, Ltd......... 18,016
------------
Real Estate Assets -- 0.0%
13,500 Mount Leyshon Gold Mines,
Ltd...................... 9,994
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
AUSTRALIA (CONTINUED)
Retail/Wholesale -- 0.0%
1,000 Atkins Carlyle, Ltd........ $ 2,369
------------
Services -- 0.2%
33,600 Skilled Engineering,
Ltd...................... 26,864
20,500 Spotless Group, Ltd........ 41,887
------------
68,751
------------
Transportation -- 0.1%
18,700 Finemore Holdings, Ltd..... 23,811
------------
Travel/Entertainment -- 0.0%
1,100 AWA, Ltd.*................. 391
20,000 Spotless Services, Ltd..... 11,845
------------
12,236
------------
834,033
------------
AUSTRIA -- 0.2%
Liquor & Tobacco -- 0.2%
1,330 BBAG Oesterreichische Brau-
Beteiligungs AG.......... 68,438
------------
BELGIUM -- 0.2%
Banking -- 0.2%
40 BQE National Belgique...... 75,384
------------
CANADA -- 5.1%
Banking -- 0.2%
4,300 Laurentian Bank of
Canada................... 72,547
------------
Construction
Materials -- 0.0%
400 Lafarge Canada, Inc.*...... 11,283
------------
Defense -- 0.0%
300 SNC Group, Inc............. 1,966
------------
Electric Utilities -- 0.2%
4,500 Atco, Ltd. -- Class I...... 94,349
------------
Electronics -- 0.1%
5,400 Mitel Corp.*............... 44,049
------------
Food -- 0.0%
2,500 Cott Corp.................. 13,514
------------
Liquor & Tobacco -- 0.2%
500 Rothmans, Inc.............. 66,831
------------
Media -- 0.7%
2,400 Chum, Ltd. -- Class B...... 59,519
200 Hollinger, Inc............. 2,044
3,000 Moore Corp., Ltd........... 32,334
6,400 Quebecor, Inc. -- Class
B........................ 122,654
4,700 Tva Group, Inc. -- Class
B........................ 39,263
------------
255,814
------------
</TABLE>
See accompanying notes to the financial statements.
18
<PAGE> 19
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Metals -- 0.5%
5,900 Dofasco, Inc............... $ 65,717
7,300 Prime Resources Group,
Inc...................... 62,418
15,900 Stelco, Inc. -- Class A.... 86,988
------------
215,123
------------
Miscellaneous
Financial -- 0.2%
4,100 Dundee BanCorp., Inc.*..... 32,236
3,300 Fahnestock Viner Holdings,
Inc.-Class A............. 45,406
------------
77,642
------------
Oil -- 0.5%
300 Cabre Exploration, Ltd.*... 2,211
2,900 Chieftain International,
Inc.*.................... 48,833
8,200 Encal Energy, Ltd.*........ 31,161
3,200 Penn West Petroleum,
Ltd.*.................... 34,804
6,200 Poco Petroleum, Ltd.*...... 61,138
2,800 Remington Energy, Ltd.*.... 15,594
500 Ulster Petroleums, Ltd.*... 4,111
------------
197,852
------------
Oil Services -- 0.2%
500 Ensign Resource Service
Group, Inc............... 4,914
4,900 Precision Drilling
Corp.*................... 61,160
------------
66,074
------------
Other Utilities -- 0.1%
1,100 BC Gas, Inc................ 20,793
------------
Paper -- 0.5%
8,400 Cascades, Inc.............. 45,405
15,600 Domtar, Inc................ 76,658
10,300 Noranda Forest, Inc........ 42,179
3,300 St. Laurent Paper Board,
Inc.*.................... 20,541
200 West Fraser Timber Co.,
Ltd...................... 2,726
------------
187,509
------------
Real Estate Assets -- 0.5%
2,100 Brookfield Properties...... 21,120
6,200 Cambior, Inc............... 37,170
9,600 Cambridge Shopping
Centres.................. 64,787
1,300 Franco Nevada Mining
Corp..................... 27,001
12,600 Inmet Mining Corp.*........ 27,739
11,100 Kinross Gold Corp.*........ 33,527
------------
211,344
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Retail/Wholesale -- 0.4%
3,400 Acktion Co.*............... $ 31,076
2,000 Emco, Ltd.*................ 9,959
6,800 Sears Canada, Inc.......... 77,970
1,100 Toromont Industries,
Ltd...................... 11,351
2,800 Westburne, Inc.*........... 27,152
------------
157,508
------------
Services -- 0.1%
400 AGRA, Inc.................. 2,424
1,800 Hummingbird Communications,
Ltd.*.................... 36,619
23,200 Philip Services Corp.*..... 18,849
------------
57,892
------------
Soap/Cosmetics -- 0.1%
4,300 CCL Industries, Inc.--Class
B........................ 42,965
------------
Telephone -- 0.6%
1,600 Maritime Telegraph &
Telephone Co., Inc....... 32,498
700 Newtel Enterprises, Ltd.... 13,301
1,400 QuebecTel Group, Inc....... 13,897
11,700 Shaw Communications,
Inc.--Class B............ 195,479
------------
255,175
------------
Transportation -- 0.0%
200 Mullen Transportation*..... 1,939
------------
2,052,169
------------
DENMARK -- 3.2%
Banking -- 0.6%
5,000 BG Bank A/S*............... 259,638
------------
Construction
Materials -- 0.1%
2,500 Aalborg Portland Holding
A/S...................... 52,714
------------
Food -- 0.5%
8,700 Korn-Og Foderstof
Kompagniet A/S........... 198,505
------------
Retail/Wholesale -- 0.4%
3,450 Monberg & Thorsen A/S...... 154,721
------------
Services -- 1.6%
13,400 Aktieselskabet Potagua
A/S...................... 304,225
15,200 Fls Industries A/S......... 320,503
------------
624,728
------------
1,290,306
------------
</TABLE>
See accompanying notes to the financial statements.
19
<PAGE> 20
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINLAND -- 2.9%
Chemicals -- 0.6%
37,300 Kemira Oy.................. $ 245,558
------------
Drugs -- 1.0%
16,900 Orion Yhtyma OY-A Shares... 370,306
------------
Metals -- 0.6%
30,200 Outokumpu Oyj.............. 250,449
------------
Paper -- 0.7%
39,800 Mesta Serla-B Shares....... 281,570
------------
1,147,883
------------
FRANCE -- 8.9%
Autos -- 0.6%
1,455 Equipments et Composants
pour l'Industrie
Automobile............... 243,763
------------
Building -- 1.0%
4,400 Groupe GTM................. 392,521
------------
Computers -- 0.4%
26,146 Bull SA*................... 177,501
------------
Financial
Investments -- 1.2%
1,462 Generali France
Assurances*.............. 404,314
150 Societe Eurafrance SA...... 73,116
------------
477,430
------------
Food -- 0.7%
58 Fromageries Bel SA......... 53,294
466 Sucriere de Pithviers Le
Vieil.................... 236,957
------------
290,251
------------
Machinery -- 0.8%
6,280 De Dietrich et Compagnie
SA....................... 304,207
------------
Media -- 1.6%
1,836 Europe 1 Communication..... 366,885
4,060 Gaumont SA................. 269,469
------------
636,354
------------
Oil Services -- 0.1%
472 Elf Gabon.................. 58,949
------------
Oil Distribution -- 0.6%
3,094 Esso Ste Anonyme
Francaise................ 240,684
------------
Paper -- 0.5%
2,400 Gascogne SA................ 194,833
------------
Real Estate Assets -- 0.0%
63 Fimalac SA................. 5,845
------------
Services -- 0.4%
1,000 Havas Advertising SA....... 153,440
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Textiles -- 0.8%
4,900 Chargeurs SA............... $ 240,419
8,963 Dollfus-Mieg & Cie SA*..... 99,228
------------
339,647
------------
Transportation -- 0.2%
1,200 Generale De Transport Et
D'Industrie*............. 71,296
------------
3,586,721
------------
GERMANY -- 6.3%
Banking -- 1.2%
21,230 IKB Deutsche Industriebank
AG....................... 431,878
------------
Building -- 0.0%
500 Bilfinger & Berger Bau
AG....................... 10,022
------------
Chemicals -- 0.1%
350 Reutgers AG................ 49,892
------------
Construction
Materials -- 0.6%
4,580 Gerresheimer Glas AG....... 81,935
998 Oberland Glas AG........... 158,296
------------
240,231
------------
Electric Utilities -- 0.1%
140 Ueberlandwerke Unterfranken
AG....................... 27,684
------------
Insurance -- 0.1%
38 Koelnisch
Rueckversicherungs....... 51,156
------------
Liquor & Tobacco -- 0.9%
1,060 Binding Brauerei AG........ 294,910
340 Holsten-Brauerei AG........ 71,200
------------
366,110
------------
Machinery -- 0.8%
80 AGIV AG*................... 1,869
170 Buderus AG................. 73,743
8,800 IWKA AG.................... 165,853
5,000 WMF-Wuerttembergische
Metallwarenfabrik AG..... 95,731
------------
337,196
------------
Metals -- 0.5%
5,000 Degussa AG................. 215,394
------------
Office Equipment -- 0.4%
614 Koenig & Bauer-Albert AG... 141,436
------------
</TABLE>
See accompanying notes to the financial statements.
20
<PAGE> 21
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
Retail/Wholesale -- 0.6%
6,240 Andreae-Noris Zahn AG...... $ 181,075
270 Baywa AG................... 43,537
400 Hornbach Baumarkt AG....... 16,274
------------
240,886
------------
Textiles -- 1.0%
3,640 Adidas-Salomon AG.......... 417,064
------------
2,528,949
------------
HONG KONG -- 1.6%
Airlines -- 0.0%
6,000 Hong Kong Aircraft
Engineering Company,
Ltd...................... 7,124
------------
Banking -- 0.3%
175,360 HKR International, Ltd..... 54,316
47,000 JCG Holdings, Ltd.......... 8,492
20,000 Wing Lung Bank, Ltd........ 40,782
------------
103,590
------------
Distribution -- 0.0%
33,000 Tan Chong International,
Ltd...................... 1,014
------------
Electric Utilities -- 0.0%
88,000 Hopewell Holdings, Ltd..... 8,858
------------
Electronics -- 0.0%
220,000 Wong's International
Holdings, Ltd............ 18,171
------------
Financial
Investments -- 0.1%
46,000 Guaco Group, Ltd........... 24,340
10,000 Lee Hing Development....... 1,342
84,000 Peregrine Investment
Holdings, Ltd.* (c)...... 0
------------
25,682
------------
Food -- 0.0%
61,000 Lam Soon Hong KonG*........ 14,958
------------
Real Estate Assets -- 0.4%
224,000 Chuang's Consortium
International, Ltd....... 10,696
5,000 Liu Chong Hing Investment,
Ltd...................... 2,597
115,000 Mingly Corp................ 8,163
44,000 New Asia Realty & Trust
Co....................... 28,393
36,000 Pokfulam Development Co.... 8,316
22,000 Prestige Property
Holdings................. 823
31,000 Realty Development Corp.... 45,810
328,000 Shun Tak Holdings, Ltd..... 20,319
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Real Estate Assets
(continued)
124,000 Tai Cheung Holdings,
Ltd...................... $ 24,005
52,000 Wing On Co. International,
Ltd...................... 16,274
------------
165,396
------------
Retail/Wholesale -- 0.2%
44,000 Dickson Concepts
International, Ltd....... 34,354
36,000 Jardine International
Motor.................... 11,151
90,000 YGM Trading, Ltd........... 29,038
------------
74,543
------------
Textiles -- 0.3%
65,600 Yue Yuen Industrial
Holdings................. 115,986
------------
Transportation -- 0.2%
9,000 China Motor Bus Co......... 55,985
31,000 Orient Overseas
International, Ltd....... 10,802
32,500 Wah Kwong Shipping
Holdings, Ltd............ 12,164
------------
78,951
------------
Travel/Entertainment -- 0.1%
165,257 CDL Hotels International... 37,963
13,000 Harbour Center
Development.............. 4,362
------------
42,325
------------
656,598
------------
IRELAND -- 0.8%
Banking -- 0.8%
129,100 Anglo Irish Bank Corp.
plc...................... 307,564
------------
ITALY -- 6.3%
Autos -- 0.5%
155,200 Magneti Marelli............ 215,549
------------
Banking -- 3.7%
191,670 Banca Nazionale
dell'Agricoltura*........ 266,780
61,000 Banca Popolare di Milano... 439,288
127,000 Banca Toscana.............. 636,749
5,000 Italmobiliare SpA.......... 119,519
------------
1,462,336
------------
Building -- 0.9%
443,680 Finmeccanica SpA*.......... 368,111
------------
Chemicals -- 0.0%
28,820 Montefibre SpA............. 19,359
------------
Electronics -- 0.2%
2,000 Ericsson SpA............... 70,078
------------
</TABLE>
See accompanying notes to the financial statements.
21
<PAGE> 22
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ITALY (CONTINUED)
Machinery -- 0.3%
47,810 Comau Finanziaria SpA...... $ 122,096
------------
Metals -- 0.7%
462,800 SMI SpA*................... 277,268
------------
2,534,797
------------
JAPAN -- 15.2%
Autos -- 0.9%
9,000 Aichi Machine Industry Co.,
Ltd...................... 16,067
7,200 Exedy Corp................. 34,752
11,000 Kansei Corp................ 37,173
11,000 Mitsuba Corp............... 43,557
3,000 Nippon Seiki Co., Ltd...... 17,852
35,000 Nissan Shatai Co., Ltd..... 70,710
9,000 Sumitomo Wiring Systems,
Ltd...................... 39,737
9,000 Tokyo Radiator
Manufacturing Co.,
Ltd...................... 11,240
3,000 Toyoda Gosei Co., Ltd...... 9,455
29,000 U-Shin Ltd................. 87,136
1,000 Unipress Corp.............. 1,109
------------
368,788
------------
Banking -- 1.0%
3,100 The Bank of Okinawa,
Ltd...................... 52,608
3,400 The Chiba Kogyo Bank,
Ltd...................... 53,703
28,000 First Credit Corp.......... 21,599
1,000 The Kagawa Bank, Ltd....... 4,996
2,000 The Kita-Nippon Bank,
Ltd...................... 86,687
3,000 Nissin Co., Ltd............ 41,853
3,000 Shinki Co., Ltd............ 26,447
16,000 The Tochigi Bank, Ltd...... 70,291
4,000 The Tokushima Bank, Ltd.... 23,744
------------
381,928
------------
Building -- 0.9%
6,000 Footwork Construction
Corp..................... 25,566
16,000 Fukuda Corp................ 36,438
8,000 Higashi Nihon House Co.,
Ltd...................... 25,566
10,000 Kyudenko Corp.............. 59,506
24,000 Misawa Homes Co., Ltd...... 57,479
16,000 Nippon Hodo Co., Ltd....... 62,416
2,000 Ohmoto Gumi Co., Ltd....... 9,550
44,000 SXL Corp................... 65,295
3,000 Taisei Oncho Co., Ltd...... 11,460
3,000 Tenox Corp................. 6,656
------------
359,932
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Chemicals -- 0.6%
4,000 Agro-Kanesho Co., Ltd...... $ 24,096
10,000 Asahi Denka Kogyo K.K...... 32,765
7,000 Fujikura Rubber Ltd........ 9,308
21,000 The Ohtsu Tire & Rubber
Co., Ltd................. 27,307
7,000 Toho Chemical Industry Co.,
Ltd...................... 7,868
51,000 Toyo Tire & Rubber Co.,
Ltd...................... 75,309
26,000 Tsurumi Soda Co., Ltd...... 49,089
------------
225,742
------------
Construction
Materials -- 0.5%
1,000 Bunka Shutter Co., Ltd..... 2,057
48,000 Central Glass Co., Ltd..... 85,336
21,000 Kawagishi Bridge Works Co.,
Ltd...................... 51,682
10,000 Mitani Sekisan Co., Ltd.... 24,390
16,000 Okabe Co., Ltd............. 37,614
9,000 Takiron Co., Ltd........... 16,530
------------
217,609
------------
Drugs -- 0.7%
6,000 Kaken Pharmaceutical Co.,
Ltd...................... 13,708
18,000 Mikasa Seiyaku Co., Ltd.... 52,894
20,000 Nikken Chemicals Co.,
Ltd...................... 48,634
12,000 Nippon Shinyaku Co.,
Ltd...................... 48,663
4,000 Seikagaku Corp............. 14,722
17,000 Tokyo Tanabe Co., Ltd...... 53,827
18,000 Tsumura & Co............... 54,747
------------
287,195
------------
Electric Utilities -- 0.1%
3,400 The Okinawa Electric Power
Co., Inc................. 48,732
------------
Electronics -- 2.0%
6,000 Asti Corp.................. 17,543
8,000 Canon Components, Inc...... 19,982
23,000 Foster Electric Co.,
Ltd...................... 84,991
2,000 Fukuda Denshi Co., Ltd..... 19,248
5,500 Geomatec Co., Ltd.......... 25,455
15,000 Iriso Electronics Co.,
Ltd...................... 30,855
3,000 Kel Corp................... 7,273
13,000 Kinseki, Ltd............... 53,100
8,600 Kuramoto Seisakusho Co.,
Ltd...................... 28,431
4,500 Mimasu Semiconductor
Industry Co., Ltd........ 41,324
40,000 New Japan Radio Co.,
Ltd...................... 91,096
6,200 Nihon Dempa Kogyo Co.,
Ltd...................... 51,469
17,000 Nihon Inter Electronics
Corp..................... 34,969
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE> 23
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Electronics (continued)
22,000 Nippon Tungsten Co.,
Ltd...................... $ 43,638
5,000 Nissho Corp................ 31,039
9,000 Shindengen Electric
Manufacturing Co.,
Ltd...................... 36,233
5,800 Shinkawa Ltd............... 43,036
21,000 Sokkia Co., Ltd............ 25,455
18,000 Tamura Corp................ 77,094
8,000 Wako Electric Co., Ltd..... 54,011
4,000 Yamaichi Electronics Co.,
Ltd...................... 36,732
------------
852,974
------------
Financial
Investments -- 0.3%
9,000 Diamond Lease Co., Ltd..... 45,093
8,000 Kyosei Rentemu Co., Ltd.... 32,912
2,000 Nakamichi Leasing Co.,
Ltd...................... 6,597
2,600 Sanyo Electric Credit Co.,
Ltd...................... 26,741
4,000 Tokyo Leasing Co., Ltd.*... 12,636
------------
123,979
------------
Food -- 0.6%
10,000 Hokkaido Coca-Cola Bottling
Co., Ltd................. 93,301
29,000 Marudai Food Co., Ltd...... 57,523
4,600 Sanyo Coca-Cola Bottling
Co., Ltd................. 41,566
5,600 Shikoku Coca-Cola Bottling
Co., Ltd................. 53,523
7,000 Snow Brand Food Co.,
Ltd...................... 12,959
------------
258,872
------------
Household -- 0.8%
30,000 Mizuno Corp................ 82,207
25,000 Okamura Corp............... 58,955
30,000 Pilot Corp................. 88,378
9,000 Tenma Corp................. 79,342
------------
308,882
------------
Machinery -- 1.5%
25,000 Amada Sonoike Co., Ltd..... 62,261
8,000 Amatsuji Steel Ball
Manufacturing Co.,
Ltd...................... 54,658
10,000 Daiwa Industries Ltd....... 28,651
11,000 Kawata Manufacturing Co.,
Ltd...................... 21,415
15,000 Kobe Diesel Co., Ltd....... 13,775
4,000 Koken Ltd.*................ 22,627
12,000 Miura Co., Ltd............. 145,460
11,000 Nissei Plastic Industrial
Co., Ltd................. 50,911
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Machinery (continued)
12,000 Nitto Electric Works,
Ltd...................... $ 62,592
9,000 Seibu Electric & Machinery
Co., Ltd................. 15,868
7,000 Seiko Corp................. 26,638
10,000 Seirei Industry Co.,
Ltd...................... 12,122
18,000 Sintokogio Ltd............. 48,927
9,000 Toyo Machinery & Metal Co.,
Ltd...................... 13,158
8,000 Yaskawa Electric Corp...... 13,517
------------
592,580
------------
Media -- 0.3%
1,000 Chubu-Nippon Broadcasting
Co., Ltd................. 8,794
20,000 Gakken Co., Ltd............ 20,717
8,000 Kyokuichi Corp............. 5,525
53,000 Nippon Columbia Co.,
Ltd...................... 71,642
------------
106,678
------------
Metals -- 0.4%
4,000 Chubu Steel Plate Co.,
Ltd...................... 5,143
39,000 Mitsubishi Shindoh Co.,
Ltd.*.................... 34,668
2,000 Nihon Electric Wire & Cable
Co., Ltd................. 5,877
18,000 Nittetsu Mining Co.,
Ltd...................... 43,903
30,000 Sanyo Special Steel Co.,
Ltd...................... 22,260
20,000 Showa Electric Wire & Cable
Co., Ltd................. 26,447
6,000 Tonichi Cable, Ltd......... 11,460
3,000 Toyokuni Electric Cable
Co., Ltd................. 8,397
------------
158,155
------------
Office Equipment -- 0.4%
25,000 Asahi Optical Co., Ltd..... 85,770
7,000 General Co., Ltd........... 13,885
23,000 Nippon Typewriter Co.,
Ltd...................... 51,704
------------
151,359
------------
Oil Distribution -- 0.2%
19,000 Yushiro Chemical Industry
Co., Ltd................. 67,000
------------
Other Utilities -- 0.2%
40,000 Hokuriku Gas Co., Ltd...... 76,403
5,000 Otaki Gas Co., Ltd......... 13,958
------------
90,361
------------
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE> 24
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Paper -- 0.2%
29,000 Chuetsu Pulp & Paper Co.,
Ltd...................... $ 43,888
8,000 Furubayashi Shiko Co.,
Ltd...................... 8,757
30,000 Settsu Corp.*.............. 7,934
------------
60,579
------------
Real Estate Assets -- 0.4%
31,000 Azel Corp.................. 57,162
21,000 Fuji Corp., Ltd............ 42,272
7,000 Hankyu Realty Co., Ltd..... 24,684
5,000 Hosoda Corp................ 13,040
5,000 Recruit Cosmos Co., Ltd.... 8,081
2,000 Shinko Kosan, Ltd.......... 3,673
8,000 Starts Corp................ 21,746
------------
170,658
------------
Retail/Wholesale -- 1.6%
8,000 Chain Store Okuwa Co.,
Ltd...................... 58,125
11,000 Daika Corp................. 28,284
18,000 Denkyosha Co., Ltd......... 68,764
28,000 Footwork International
Corp..................... 41,963
5,000 Fuji Denki Reiki Co.,
Ltd...................... 15,134
10,000 Joshin Denki Co., Ltd...... 17,778
7,000 Kansaidenpa Corp........... 20,570
16,000 Kasumi Co., Ltd............ 49,368
2,200 Konaka Co., Ltd............ 7,677
9,000 Laox Co., Ltd.............. 54,415
1,000 Life Corp.................. 3,747
10,000 Matsuyandenki Co., Ltd..... 41,801
1,000 Nagano Tokyu Department
Store Co., Ltd........... 3,967
14,000 Sagami Co., Ltd............ 25,198
1,000 Sanko Junyaku Co., Ltd..... 1,249
18,000 Sogo Co., Ltd.*............ 15,207
27,000 Sogo Denki Co., Ltd........ 14,877
15,000 Somar Corp................. 27,108
11,000 The Maruetsu, Inc.......... 27,476
19,000 Tokyu Store Chain Co.,
Ltd...................... 54,437
4,000 Traveler Corp.............. 14,223
3,000 U.Store Co., Ltd........... 20,959
17,000 Yuasa Funashoku Co.,
Ltd...................... 18,109
------------
630,436
------------
Services -- 0.7%
2,000 Dai-Dan Co., Ltd........... 10,946
1,500 Daiseki Co., Ltd........... 6,380
3,100 Fujitsu Business Systems
Ltd...................... 34,617
6,000 Gakuikusha Corp............ 13,003
9,000 Hitachi Information Systems
Ltd...................... 78,813
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Services (continued)
3,000 INES Corp.................. $ 22,039
3,000 Intec Inc.................. 20,981
4,000 Japan Engineering
Consultants Co., Ltd..... 7,934
16,000 Nippon Mic Co., Ltd........ 24,684
2,000 Shingakukai Co., Ltd....... 5,334
3,000 Software Research
Associates, Inc.......... 15,031
2,800 Wesco Inc.................. 6,130
5,600 Yellow Hat, Ltd............ 39,906
------------
285,798
------------
Soap/Cosmetics -- 0.1%
4,000 S.T. Chemical Co., Ltd..... 12,724
5,000 Sunstar Inc................ 11,387
------------
24,111
------------
Textiles -- 0.1%
6,000 D'Urban Inc................ 7,141
15,000 Tomiya Apparel Co., Ltd.... 22,039
------------
29,180
------------
Transportation -- 0.4%
31,000 Iino Kaiun Kaisha, Ltd..... 48,053
10,000 Kobe Electric Railway Co.,
Ltd...................... 32,177
21,000 Nissin Corp................ 31,627
8,300 Sanritsu Corp.............. 32,927
------------
144,784
------------
Travel/Entertainment -- 0.3%
8,100 Capcom Co., Ltd............ 62,482
1,400 Daiichikosho Co., Ltd...... 14,399
3,000 Nikkodo Co., Ltd........... 1,873
17,000 Seiyo Food Systems Inc..... 55,576
------------
134,330
------------
6,080,642
------------
MALAYSIA -- 0.6% (D)
Agriculture -- 0.0%
26,000 Gadek (Malaysia) BHD....... 8,717
------------
Autos -- 0.0%
11,000 Tan Chong Motor Holdings
BHD...................... 1,631
------------
Banking -- 0.0%
5,000 MBF Capital BHD............ 599
103,000 Multi-Purpose Holdings
BHD...................... 12,333
------------
12,932
------------
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE> 25
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
Chemicals -- 0.0%
12,000 Batu Kawan BHD............. $ 8,400
------------
Construction
Materials -- 0.0%
23,000 Cement Industries of
Malaysia................. 8,135
750 Malayan Cement BHD......... 141
25,000 Pan-Malaysia Cement Works
BHD...................... 2,855
------------
11,131
------------
Durables -- 0.0%
840 Silverstone BHD*(a)........ 0
1,100 Matsushita Electric Co..... 2,128
------------
2,128
------------
Electronics -- 0.0%
1,000 Malaysian Pacific
Industries BHD........... 696
------------
Financial
Investments -- 0.1%
5,333 Austral Amalgamated BHD.... 486
35,000 Berjaya Group BHD.......... 3,385
37,000 Keck Seng (Malaysia) BHD... 8,520
3,000 Olympia Industries BHD..... 216
12,000 TA Enterprise BHD.......... 1,592
84,000 Talam Corporation BHD...... 12,610
------------
26,809
------------
Food -- 0.3%
4,000 Austral Enterprises........ 2,299
35,000 Boustead Holdings BHD...... 13,668
18,000 Far East Holdings BHD...... 7,262
48,000 Highlands & Lowlands BHD... 16,977
26,000 Kuala Sidim BHD............ 20,881
53,000 Kulim (M) BHD.............. 11,423
8,000 United Plantations BHD..... 5,099
------------
77,609
------------
Metals -- 0.0%
20,000 Malaysia Mining Corp.
BHD...................... 3,242
------------
Miscellaneous
Financial -- 0.1%
40,000 Pan Pacific Asia BHD....... 6,632
108,000 Sarawak Enterprise Corp.... 17,905
------------
24,537
------------
Oil Services -- 0.0%
6,000 Antah Holdings BHD......... 636
------------
Paper -- 0.0%
50,000 Dijaya Corp................ 4,605
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
Real Estate Assets -- 0.1%
24,000 Amsteel Corp. BHD*......... $ 1,724
140,000 Asia Pacific Land BHD...... 10,188
2,000 IOI Properties............. 733
6,000 Island & Peninsular BHD.... 2,542
64,000 Lion Land BHD.............. 5,129
13,000 Malaysia Helicopter
Services BHD............. 1,185
18,000 Sime UEP Properties BHD.... 8,754
15,000 Worldwide Holdings BHD..... 2,238
------------
32,493
------------
Retail/Wholesale -- 0.0%
205,400 Malayan United Industries
BHD...................... 17,594
------------
Services -- 0.0%
27,000 Kinta Kellas plc........... 2,636
51,000 Paramount Corp. BHD........ 6,764
------------
9,400
------------
Travel/Entertainment -- 0.0%
31,000 Berjaya Land BHD........... 7,767
22,000 Faber Group BHD*........... 1,621
24,000 Rekapacific BHD*........... 1,768
------------
11,156
------------
253,716
------------
NETHERLANDS -- 4.0%
Financial
Investments -- 0.9%
12,880 VIB NV..................... 372,378
------------
Metals -- 0.8%
11,340 Koninklijke Hoogovens NV... 317,627
------------
Real Estate Assets -- 0.7%
4,890 Wereldhave NV.............. 287,681
------------
Retail/Wholesale -- 0.3%
5,900 Apothekers Cooperatie
Opg-CV................... 133,018
------------
Textiles -- 0.7%
6,820 Gamma Holding NV........... 262,297
------------
Transportation -- 0.6%
17,070 Koninklijke Nedlloyd Groep
NV....................... 225,478
------------
1,598,479
------------
NEW ZEALAND -- 0.3%
Agriculture -- 0.0%
6,000 Fernz Corp., Ltd........... 15,165
------------
Durables -- 0.0%
2,950 Fisher & Paykel Industries,
Ltd...................... 7,899
------------
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE> 26
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NEW ZEALAND (CONTINUED)
Food -- 0.1%
28,400 Sanford, Ltd............... $ 35,536
------------
Oil Distribution -- 0.1%
3,800 New Zealand Refining Co.... 31,572
------------
Other Utilities -- 0.0%
3,200 Enerco New Zealand, Ltd.... 5,926
------------
Retail/Wholesale -- 0.1%
31,200 Hallenstein Glasson
Holdings, Ltd............ 24,204
------------
120,302
------------
NORWAY -- 2.3%
Defense -- 0.4%
11,900 Kvaerner ASA-Class A....... 151,123
------------
Food -- 0.6%
30,100 Rieber & Son ASA -- Class
A*....................... 223,659
------------
Oil Services -- 1.0%
39,000 Saga Petroleum ASA......... 400,437
------------
Paper -- 0.3%
5,800 Norske Skogindustrier
ASA...................... 127,332
------------
902,551
------------
SINGAPORE -- 1.1%
Banking -- 0.1%
84,000 Keppel Bank of Singapore,
Ltd...................... 50,857
26,000 Overseas Union Trust,
Ltd...................... 15,279
------------
66,136
------------
Building -- 0.1%
16,800 IPCO International Ltd.*... 6,384
22,000 Jurong Engineering, Ltd.... 15,017
------------
21,401
------------
Computers -- 0.0%
4,000 ACMA, Ltd.................. 1,330
------------
Electronics -- 0.2%
13,200 Elec & Eltek International
Co., Ltd................. 65,472
------------
Machinery -- 0.1%
20,000 Prima, Ltd................. 21,012
------------
Media -- 0.2%
49,000 Times Publishing........... 63,987
------------
Office Equipment -- 0.1%
69,000 WBL Corp., Ltd............. 30,513
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE (CONTINUED)
Real Estate Assets -- 0.1%
8,000 Centrepoint Properties,
Ltd...................... $ 3,158
7,000 Fraser & Neave, Ltd........ 15,041
50,000 Lim Kah Ngam, Ltd.......... 10,981
90,000 MCL Land, Ltd.............. 23,239
47,000 Metro Holdings, Ltd........ 22,318
19,000 Sembawang Resources,
Ltd...................... 9,022
2,000 United Industrial CP....... 582
------------
84,341
------------
Retail/Wholesale -- 0.1%
46,000 Bonvests Holdings, Ltd..... 7,372
51,000 Hour Glass, Ltd............ 8,325
15,000 Intraco, Ltd............... 2,849
18,000 Isetan (Singapore)......... 15,065
------------
33,611
------------
Services -- 0.0%
12,000 ST Computer System &
Services, Ltd............ 8,761
------------
Telephone -- 0.0%
5,000 Wearnes International,
Ltd...................... 653
------------
Transportation -- 0.1%
12,000 Chuan Hup Holdings, Ltd.... 2,564
4,000 HWA Hong Corp.............. 1,793
48,000 TIBS Holdings, Ltd......... 19,944
------------
24,301
------------
421,518
------------
SPAIN -- 4.1%
Banking -- 1.0%
7,830 Banco Pastor SA............ 413,367
------------
Construction
Materials -- 0.5%
4,000 Cristaleria Espanola SA.... 216,521
------------
Drugs -- 0.5%
31,400 Energias E Industrias
Aragonesas............... 193,176
------------
Electric Utilities -- 1.3%
53,840 Fuerzas Elec De Cataluna-A
Shares................... 524,889
------------
Food -- 0.7%
11,129 Azucarera Ebro Agricolas
SA*...................... 264,780
------------
Paper -- 0.1%
3,000 Tableros De
Fibras -- Series 'B'..... 39,595
------------
1,652,328
------------
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE> 27
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWEDEN -- 2.8%
Defense -- 0.4%
9,400 Celsius AB-B Shares........ $ 177,573
------------
Machinery -- 0.7%
5,400 SKF AB..................... 66,858
13,500 Svedala Industri AB........ 206,777
------------
273,635
------------
Metals -- 1.3%
48,000 SSAB-Series A.............. 505,454
800 SSAB-Series B.............. 8,271
------------
513,725
------------
Real Estate Assets -- 0.2%
3,700 Custos AB.................. 74,855
------------
Retail/Wholesale -- 0.2%
10,400 Ratos Forvaltnin, Class
B........................ 92,258
------------
1,132,046
------------
SWITZERLAND -- 7.6%
Autos -- 1.0%
710 Rieter Holdings, Ltd....... 386,206
------------
Banking -- 0.6%
320 Banca Del Gottardo......... 221,915
------------
Construction
Materials -- 0.4%
200 Zuercher Ziegeleien
Holding.................. 173,371
------------
Defense -- 0.9%
3,070 Oerlikon-Buhrle HD......... 358,160
------------
Electric Utilities -- 0.2%
100 Centralschweizerische
Kraftwerke............... 77,656
------------
Electronics -- 2.0%
240 Ascom Holding AG*.......... 355,411
930 Sulzer AG.................. 460,193
------------
815,604
------------
Food -- 0.1%
40 Hero AG -- Bearer.......... 22,538
------------
Insurance -- 0.4%
300 Berner Allgemeine
Holdinggesellschaft*..... 154,951
------------
Machinery -- 2.0%
420 Bucher Holding AG.......... 376,216
340 Schindler-Holding AG....... 419,500
60 SIG Schweizerische
Industrie-Gesellschaft
Holding AG............... 32,941
------------
828,657
------------
3,039,058
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM -- 21.7%
Autos -- 0.5%
60,000 LucasVarity plc............ $ 186,085
------------
Banking -- 0.6%
88,000 Paragon Group Co. plc...... 223,574
------------
Building -- 4.0%
70,000 Barratt Developments plc... 227,805
115,000 Beazer Group plc........... 288,261
94,000 Bellway plc................ 404,952
97,000 Mccarthy & Stone plc....... 188,744
173,601 Mowlem (John) & Co. plc.... 302,393
153,000 Wimpey (George)............ 250,908
------------
1,663,063
------------
Construction
Materials -- 0.9%
61,000 Cape plc................... 121,805
24,000 Marshalls plc.............. 44,252
185,000 Norcros plc................ 182,346
------------
348,403
------------
Defense -- 0.4%
176,000 Babcock International Group
plc...................... 168,989
------------
Drugs -- 0.1%
15,000 Medeva plc................. 23,452
------------
Electric Utilities -- 1.0%
37,000 Viridian Group plc......... 404,619
------------
Electronics -- 0.5%
51,000 Oxford Instruments plc..... 182,873
------------
Food -- 1.0%
120,000 James Finlay plc........... 157,025
134,000 Matthews (Bernard) plc..... 228,858
------------
385,883
------------
Insurance -- 0.3%
44,000 London Pacific Group,
Ltd...................... 119,264
------------
Liquor & Tobacco -- 0.8%
41,000 Mansfield Brewery plc...... 167,918
26,800 Morland plc................ 162,820
------------
330,738
------------
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE> 28
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Machinery -- 1.6%
40,000 600 Group plc.............. $ 58,799
52,000 Bullough plc............... 75,114
21,800 Delta plc.................. 42,419
99,000 Haden Maclellan HD......... 137,116
75,000 Renold plc................. 247,900
7,000 Wagon Industrial
Holdings................. 31,108
20,000 Weir Group plc............. 58,969
------------
651,425
------------
Media -- 1.4%
204,000 Cordiant Communications
Group plc................ 370,945
75,000 Mirror Group plc........... 183,536
------------
554,481
------------
Miscellaneous
Financial -- 0.0%
12,000 Exco plc................... 4,690
------------
Oil Distribution -- 0.1%
15,000 Hunting plc................ 43,590
------------
Other Utilities -- 0.9%
61,000 Waste Management
International plc*....... 349,346
------------
Paper -- 0.2%
21,000 Low & Bonar plc............ 67,271
------------
Real Estate Assets -- 1.1%
235,000 London Merchant Securities
plc...................... 433,305
------------
Retail/Wholesale -- 2.1%
34,000 Concentric plc............. 91,003
134,950 Iceland Group plc.......... 436,882
74,000 Man (E D & F) Group plc.... 362,177
------------
890,062
------------
Services -- 1.8%
161,000 AMEC plc................... 413,142
172,000 Dowding & Mills plc........ 116,919
53,000 Johnson Group Cleaners..... 198,150
------------
728,211
------------
Soap/Cosmetics -- 0.8%
195,700 Body Shop International
plc...................... 325,922
------------
Textiles -- 0.6%
48,000 Allied Textile Cos. plc.... 65,665
113,000 Coats Viyella plc.......... 68,171
187,000 Dawson International....... 60,380
107,000 Readicut International
plc...................... 52,278
------------
246,494
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Travel/Entertainment -- 1.0%
4,000 Marston, Thompson &
Evershed plc............. $ 12,542
54,966 Wolverhampton & Dudley
Breweries plc............ 377,373
------------
389,915
------------
8,721,655
------------
TOTAL COMMON STOCKS (COST
$48,577,061) -- 97.3%.... 39,005,137
------------
RIGHTS & WARRANTS --FOREIGN
SECURITIES -- 0.1%
SINGAPORE -- 0.0%
Building -- 0.0%
6,300 IPCO International Wts @
1.30..................... 189
------------
SPAIN -- 0.1%
Automotive -- 0.1%
4,000 Cristale Bonus Shares...... 34,660
------------
TOTAL RIGHTS & WARRANTS --
FOREIGN SECURITIES (COST
$54,516)................. 34,849
------------
TOTAL INVESTMENTS (COST
$48,631,577)
(B) -- 97.4%............. 39,039,986
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.6%...... 1,048,769
------------
TOTAL NET
ASSETS -- 100.0%......... $ 40,088,755
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Fair value security; valued by Management (Note 2).
(b) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation... $ 1,873,620
Unrealized depreciation... (11,465,211)
-----------
Net unrealized
depreciation............ $(9,591,591)
===========
</TABLE>
(c) Bankrupt security; valued by Management (Note 2).
(d) In September 1998, the Malaysian Government announced an imposition of
capital controls. Although shares held in Malaysian stocks can be traded,
shares purchased prior to September 1, 1998 need to be held until September
1, 1999, before sales proceeds can be converted into another currency.
See accompanying notes to the financial statements.
28
<PAGE> 29
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
Extreme market volatility was observed across all markets around the world.
The political uncertainty and economic collapse of Russia, and the deteriorating
financial crisis in Asia severely dampened investors' confidence. Fearing the
contagion would trigger a worldwide recession, investors reduced exposure to
equities, resulting in a drastic downturn in the markets. In the U.S., large
stocks (S&P 500 Index(1)) were down almost 7%, and small stocks (Russell 2000
Index(2)) were down over almost 24% for the six months ended September 30, 1998.
Such extreme conditions provide a real world test of the risk control procedures
used in the Barr Rosenberg Market Neutral Fund. The market may continue to be
somewhat volatile over the next few months.
During the six months ended September 30,1998, exposure to risk indexes
boosted the Fund's performance while inadvertent industry exposures and stock
selection hurt performance. Risk indexes are measures of different types of
common factor risks that affects groups of stocks such as value versus growth
stocks, large versus small companies, highly leveraged versus less leveraged,
high share trading activity versus low share turnover. We use 11 risk indexes in
our performance attribution system and 38 industry groups. Since our valuation
model naturally aligns with traditional measures of value, we will have some
exposure to value related measures.
Investment in shares of the Barr Rosenberg Market Neutral Fund is more
volatile and risky than some other forms of investments. Since the Fund has both
a long and a short portfolio, an investment in the Barr Rosenberg Market Neutral
Fund will involve risks associated with twice the number of investment decisions
made for a typical stock fund. These types of fund typically have a high
portfolio turnover that could increase transaction costs and cause short-term
capital gains to be realized. While it may be the intent of the Manager to take
long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Past performance does not guarantee future results.
- ---------------
(1)The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks.
(2)The Russell 2000 is an unmanaged index of approximately 2000 small
capitalization companies with market capitalization up to $2.5 billion.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS -- 90.2%
AIRCRAFT -- 1.5%
3,300 Ducommun, Inc.*............... $ 66,000
75,900 Goodrich (B.F.) Co............ 2,480,981
46,200 Howmet International, Inc.*... 537,075
5,200 Sequa Corp., Class A*......... 292,825
25,000 Sundstrand Corp............... 1,159,375
500 Triumph Group, Inc.*.......... 14,875
-------------
4,551,131
-------------
AIRLINES -- 0.1%
800 AHL Services, Inc.*........... 26,200
3,800 Amtran, Inc.*................. 89,300
5,800 Petroleum Helicopter, Inc..... 107,300
-------------
222,800
-------------
AUTOS -- 0.4%
15,500 Amcast Industrial Corp........ 227,656
11,100 Arvin Industries, Inc......... 413,475
8,700 Defiance, Inc................. 65,250
4,400 Durakon Industries, Inc.*..... 47,300
600 Johnstown America Industries,
Inc.*....................... 8,550
700 Navistar International
Corp.*...................... 15,838
22,900 Standard Products Co.......... 400,750
4,400 Supreme Industries, Inc.*..... 42,350
-------------
1,221,169
-------------
BANKING -- 4.4%
1,200 Albank Financial Corp......... 66,900
1,000 Allstate Financial Corp.*..... 3,375
5,700 Ambanc Holding Company,
Inc......................... 74,100
1,500 Ampal-American Israel
Corp.*...................... 6,000
9,700 Associated Banc-Corp.......... 304,944
3,300 Bando McGlocklin Capital
Corp........................ 29,700
1,400 BNCCorp., Inc.*............... 18,200
4,300 BOK Financial Corp.*.......... 186,513
4,700 Calumet Bancorp, Inc.*........ 141,294
2,700 Carver Bancorp., Inc.......... 24,638
2,500 Central Co-Operative Bank..... 49,375
5,300 Civic Bancorp*................ 68,900
7,900 Commercial Bank of New York... 129,363
2,900 Community Financial Group,
Inc......................... 35,706
4,300 Consumer Portfolio Services,
Inc.*....................... 15,588
43,700 Contifinancial Corp.*......... 327,750
1,200 CORUS Bankshares, Inc......... 40,800
11,100 Dime Community Bancshares,
Inc......................... 230,325
4,700 FFY Financial Corp............ 126,313
1,600 Financial Bancorp, Inc........ 53,000
700 First Bancshares, Inc......... 9,100
9,400 First Citizens BancShares,
Inc., Class A............... 883,599
1,800 First Keystone Financial,
Inc......................... 24,525
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
1,500 First Mutual Savings Bank..... $ 22,500
600 First Republic Bank*.......... 18,300
6,000 First Western Bancorp, Inc.... 145,500
1,400 FirstBank Puerto Rico......... 35,525
3,600 FNB Rochester Corp............ 64,800
3,140 Golden State Bancorp.......... 62,604
700 Granite State Bankshares,
Inc......................... 16,275
100,700 GreenPoint Financial Corp..... 3,209,812
6,200 Hawthorne Financial Corp.*.... 93,775
2,600 HF Bancorp, Inc.*............. 41,600
2,500 Home Port Bancorp, Inc........ 51,250
25,700 IMC Mortgage Co.*............. 50,597
300 Iroquois Bancorp, Inc......... 6,000
6,600 JSB Financial, Inc............ 338,663
900 Kankakee Bancorp, Inc......... 23,963
4,100 Lakeview Financial Corp....... 93,788
9,200 Litchfield Financial Corp..... 150,650
3,000 North Central Bancshares,
Inc......................... 52,125
2,500 North County Bancorp*......... 33,750
1,700 Northrim Bank................. 24,438
1,600 NSS Bancorp, Inc.............. 74,900
1,000 Ocean Financial Corp.......... 15,000
2,950 Ottawa Financial Corp......... 66,375
2,600 Pacific Bank N.A.............. 113,100
39,800 Pacific Century Financial
Corp........................ 664,162
2,700 Pacific Crest Capital,
Inc.*....................... 37,800
2,000 PennFed Financial Services,
Inc......................... 26,500
1,000 Peoples Bancshares, Inc....... 17,000
1,100 PVF Capital Corp.*............ 12,788
7,500 Quaker City Bancorp, Inc.*.... 114,375
2,700 Redwood Empire Bancorp........ 44,213
12,300 Reliance Bancorp, Inc......... 347,474
15,000 Resource Bancshares Mortgage
Group....................... 266,250
800 Riggs National Corp........... 19,600
2,000 SierraWest Bancorp............ 45,250
26,300 Silicon Valley Bancshares*.... 420,799
800 SIS Bancorp, Inc.............. 30,900
16,400 Southern Pacific Funding
Corp.*...................... 9,225
1,400 Sterling Bancorp.............. 28,175
5,900 Student Loan Corp............. 264,763
8,000 UMB Financial Corp............ 379,499
27,100 UST Corp...................... 572,487
3,000 Wainwright Bank & Trust Co.... 22,125
4,600 WFS Financial, Inc.*.......... 27,600
49,500 Wilmington Trust Corp......... 2,573,999
-------------
13,580,282
-------------
</TABLE>
See accompanying notes to the financial statements.
30
<PAGE> 31
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING -- 1.7%
500 American Homestar Corp.*...... $ 11,000
25,000 American Residential Services,
Inc.*....................... 100,000
5,600 AMREP Corp.*.................. 43,050
5,800 Beazer Homes USA, Inc.*....... 119,625
62,900 Champion Enterprises, Inc.*... 1,462,424
11,800 Crossmann Communities,
Inc.*....................... 237,475
8,300 Dominion Homes, Inc.*......... 87,150
12,300 Hovnanian Enterprises, Inc.,
Class A*.................... 115,313
10,700 Jacobs Engineering Group,
Inc.*....................... 331,700
13,800 Layne Christensen Co.*........ 137,138
900 Liberty Homes, Inc., Class
A........................... 10,575
4,800 M/I Schottenstein Homes,
Inc......................... 88,800
13,400 Matrix Service Co.*........... 62,813
2,000 MYR Group, Inc................ 23,375
5,200 Perini Corp.*................. 36,075
36,800 Pulte Corp.................... 903,900
2,000 Robertson - Ceco Corp.*....... 17,250
12,600 Skyline Corp.................. 365,400
16,300 Southern Energy Homes,
Inc.*....................... 114,100
64,700 Walter Industries, Inc.*...... 804,706
10,400 Washington Homes, Inc.*....... 52,650
-------------
5,124,519
-------------
CHEMICALS -- 1.7%
9,500 Bairnco Corp.................. 52,844
53,100 Cabot Corp.................... 1,324,181
200 ChemFirst, Inc................ 3,525
1,300 Detrex Corp.*................. 9,181
40,500 Ferro Corp.................... 804,938
138,200 IMC Global, Inc............... 2,677,624
7,300 Pioneer Companies, Inc., Class
A*.......................... 30,113
39,000 Wellman, Inc.................. 497,250
-------------
5,399,656
-------------
CONSTRUCTION MATERIALS -- 1.9%
3,600 Alpine Group, Inc.*........... 62,550
100 AMCOL International Corp...... 1,138
3,500 Ameron International, Inc..... 123,375
33,100 CalMat Co..................... 573,044
15,200 Centex Construction Products,
Inc......................... 518,700
1,000 Continental Materials
Corp.*...................... 29,625
6,300 Donnelly Corp................. 90,563
13,800 Dravo Corp.*.................. 174,225
22,000 Florida Rock Industries....... 544,500
46,200 Lafarge Corp.................. 1,319,587
8,150 Lancaster Colony Corp......... 250,613
20,400 Libbey, Inc................... 601,800
200 United States Lime & Minerals,
Inc......................... 1,425
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS
(CONTINUED)
25,800 USG Corp...................... $ 1,115,849
4,900 Vulcan Materials Co........... 495,819
-------------
5,902,813
-------------
DEFENSE -- 1.1%
11,000 Alliant Techsystems, Inc.*.... 728,749
7,400 Allied Research Corp.*........ 55,500
10,200 Avondale Industries, Inc.*.... 252,450
10,100 Esterline Technologies
Corp.*...................... 198,213
6,600 Herley Industries, Inc.*...... 57,750
19,100 Kaman Corp., Class A.......... 327,088
53,800 Newport News Shipbuilding,
Inc......................... 1,442,512
1,300 Orbit International Corp.*.... 2,763
3,700 Primex Technologies, Inc...... 125,800
14,800 SPACEHAB, Inc.*............... 129,038
13,900 Todd Shipyards Corp.*......... 76,450
11,500 United Industrial Corp........ 117,156
-------------
3,513,469
-------------
DRUGS -- 3.8%
9,600 Akorn, Inc.*.................. 39,600
1,410 Allergan Specialty
Therapeutics, Inc., Class
A*.......................... 13,748
59,100 Allergan, Inc................. 3,449,962
32,400 Alpharma, Inc., Class A....... 850,500
70,700 Bausch & Lomb, Inc............ 2,783,812
10,600 Biopool International,
Inc.*....................... 7,288
36,800 Cambrex Corp.................. 867,100
16,600 Copley Pharmaceutical,
Inc.*....................... 166,000
16,100 Diagnostic Products Corp...... 429,669
2,900 Gamma Biologicals, Inc........ 15,406
4,800 Hi-Tech Pharmacal Company,
Inc.*....................... 19,200
8,900 Hycor Biomedical, Inc.*....... 15,575
12,500 Life Technologies, Inc........ 417,188
88,100 Mallinckrodt, Inc............. 1,789,530
2,090 New Brunswick Scientific,
Inc.*....................... 14,369
6,200 Nutramax Products, Inc.*...... 35,650
2,300 PDK Labs, Inc.*............... 8,194
10,400 PolyMedica Corp.*............. 95,550
38,600 Roberts Pharmaceutical
Corp.*...................... 738,225
-------------
11,756,566
-------------
DURABLES -- 0.4%
35,600 Fleetwood Enterprises, Inc.... 1,074,675
5,700 SMC Corp.*.................... 38,475
3,000 Whirlpool Corp................ 141,000
-------------
1,254,150
-------------
</TABLE>
See accompanying notes to the financial statements.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 1.1%
33,300 Energy East Corp.............. $ 1,698,300
28,200 Northeast Utilities*.......... 472,350
49,500 Public Service Company of New
Mexico...................... 1,098,281
-------------
3,268,931
-------------
ELECTRONICS -- 7.7%
36,000 Acuson Corp.*................. 614,250
12,600 Advanced Neuromodulation
Systems, Inc.*.............. 83,475
10,800 Aetrium, Inc.*................ 47,250
12,200 Allied Healthcare Products,
Inc.*....................... 21,350
13,500 Alpha Industries, Inc.*....... 153,563
5,500 American Technical Ceramics
Corp.*...................... 36,438
11,200 AMX Corp.*.................... 70,000
7,600 Applied Signal Technology,
Inc.*....................... 93,575
45,100 Arterial Vascular Engineering,
Inc.*....................... 1,668,699
3,600 Aseco Corp.*.................. 4,275
13,600 Aspect Telecommunications
Corp.*...................... 326,400
4,800 ATL Ultrasound, Inc.*......... 241,800
35,300 Beckman Coulter, Inc.......... 1,822,362
2,150 Bel Fuse, Inc., Class A*...... 33,056
2,150 Bel Fuse, Inc., Class B*...... 31,175
14,400 Benchmark Electronics,
Inc.*....................... 328,500
800 Bio-Rad Laboratories, Inc.*... 19,500
300 Biomet, Inc................... 10,406
9,300 Burr-Brown Corp.*............. 158,100
11,600 C. P. Clare Corp.*............ 71,050
7,600 California Microwave, Inc.*... 62,700
7,200 CMC Industries, Inc.*......... 34,200
100 CNS, Inc.*.................... 381
10,000 Cobra Electronics Corp.*...... 37,500
4,100 Cognitronics Corp.*........... 42,538
5,000 Cohu, Inc..................... 82,500
10,600 Comdial Corp.*................ 87,450
23,300 CONMED Corp.*................. 532,988
16,400 CTS Corp...................... 483,800
15,800 Datascope Corp.*.............. 349,575
3,100 Datron Systems, Inc.,
California*................. 18,600
5,000 Diodes, Inc.*................. 25,000
1,600 EFTC Corp.*................... 6,700
7,200 EG&G, Inc..................... 162,900
900 Electromagnetic Sciences,
Inc.*....................... 12,375
7,400 Empi, Inc.*................... 118,400
22,200 FEI Co.*...................... 177,600
132,300 General Instrument Corp.*..... 2,860,987
1,100 General Microwave Corp.*...... 18,769
38,300 Haemonetics Corp.*............ 737,274
15,300 Harmon Industries, Inc........ 336,600
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
3,100 II-VI, Inc.................... $ 23,444
2,500 Instron Corp.................. 35,313
19,200 Integrated Circuit Systems,
Inc.*....................... 191,400
63,200 International Rectifier
Corp.*...................... 323,900
24,000 InterVoice, Inc.*............. 550,500
35,100 Invacare Corp................. 824,849
2,000 Invivo Corp.*................. 26,500
200 ITI Technologies, Inc.*....... 4,800
1,800 K-Tron International, Inc.*... 31,725
11,400 Keithley Instruments, Inc..... 57,713
1,800 Kewaunee Scientific Corp...... 19,575
14,300 Marquette Medical Systems*.... 621,156
2,500 Medstone International,
Inc.*....................... 16,563
4,900 Meridian Medical Technologies,
Inc.*....................... 36,750
9,200 Merix Corp.*.................. 33,350
1,600 Merrimac Industries, Inc.*.... 14,000
21,900 Microsemi Corp.*.............. 175,200
500 Microtest, Inc.*.............. 1,750
4,300 Mine Safety Appliances Co..... 346,150
5,500 Minntech Corp................. 52,250
2,100 Moore Products Co.*........... 43,050
300 Mosaix, Inc.*................. 1,444
4,100 Nanometrics, Inc.*............ 28,700
900 Newport Corp.................. 12,600
5,300 Norstan, Inc.*................ 92,750
200 Optek Technology, Inc.*....... 3,550
2,300 Optical Coating Laboratory,
Inc......................... 41,256
13,800 Planar Systems, Inc.*......... 153,525
4,200 Plantronics, Inc.*............ 202,388
13,100 Porta Systems Corp.*.......... 24,563
5,600 Reliability, Inc.*............ 23,450
7,500 Relm Wireless Corp.*.......... 15,938
4,900 ReSound Corp.*................ 20,825
800 Smartflex Systems, Inc.*...... 4,700
500 Snap-on, Inc.................. 15,406
11,400 Spacelabs Medical, Inc.*...... 176,700
1,000 Span-America Medical Systems,
Inc......................... 5,625
1,100 Sparton Corp.*................ 6,531
12,500 Stoneridge, Inc.*............. 202,344
28,600 Sunrise Medical, Inc.*........ 286,000
10,300 Tech-Sym Corp.*............... 235,613
53,900 Tektronix, Inc................ 835,449
3,100 Telco Systems, Inc.*.......... 31,775
1,600 TelCom Semiconductor, Inc.*... 4,000
10,900 Teltrend, Inc.*............... 144,425
3,100 Thermo BioAnalysis Corp.*..... 35,263
5,500 Thermo Optek Corp.*........... 49,500
20,800 ThermoQuest Corp.*............ 202,800
</TABLE>
See accompanying notes to the financial statements.
32
<PAGE> 33
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
1,100 ThermoSpectra Corp.*.......... $ 10,863
58,300 U.S. Surgical Corp............ 2,430,380
1,100 Uniphase Corp.*............... 45,100
1,500 Vertex Communications
Corp.*...................... 27,563
2,900 Vicon Industries, Inc.*....... 20,663
4,700 Video Display Corp.*.......... 35,544
6,900 Vital Signs, Inc.............. 114,281
37,000 Waters Corp.*................. 2,478,999
3,300 Wegener Corp.*................ 5,775
1,000 WPI Group, Inc.*.............. 6,625
2,600 Xeta Corp.*................... 39,650
12,400 Zygo Corp.*................... 81,375
-------------
23,607,937
-------------
FINANCIAL INVESTMENTS -- 0.2%
4,000 Amplicon, Inc................. 57,000
2,100 Cooper Life Sciences*......... 63,000
2,100 Echelon International
Corp.*...................... 44,494
22,276 Electro Rent Corp.*........... 310,472
5,500 HPSC, Inc.*................... 53,625
5,800 PS Group Holdings, Inc........ 67,425
2,000 REFAC Technology Development
Corp.*...................... 19,750
100 Rental Services Corp.*........ 1,800
7,400 Sunrise International Leasing
Corp.*...................... 20,350
-------------
637,916
-------------
FOOD -- 1.8%
13,100 Chock Full o' Nuts Corp.*..... 81,875
52,600 Corn Products International,
Inc......................... 1,328,150
3,000 Darling International,
Inc.*....................... 10,500
46,800 Dean Foods Co................. 2,059,199
50,200 Earthgrains Co................ 1,553,062
860 Farmer Brothers Co............ 184,900
2,000 Fresh Foods, Inc.*............ 19,000
3,300 Interstate Bakeries Corp...... 102,300
19,800 M & F Worldwide Corp.*........ 196,763
700 Scope Industries.............. 48,213
500 Zapata Corp................... 4,844
-------------
5,588,806
-------------
HEALTH -- 1.4%
4,000 Caretenders Health Corp.*..... 10,000
17,400 Centennial HealthCare
Corp.*...................... 138,656
8,700 Dianon Systems, Inc.*......... 53,288
3,800 Equimed, Inc.*................ 2,356
15,300 Hanger Orthopedic Group,
Inc.*....................... 284,963
10,300 Horizon Health Corp.*......... 61,800
5,266 Medical Resources, Inc.*...... 13,494
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
2,500 National Home Health Care
Corp.*...................... $ 10,938
9,100 Pediatric Services of
America*.................... 31,281
36,300 PhyMatrix Corp.*.............. 136,125
12,500 Quest Diagnostics, Inc.*...... 206,250
99,100 Quorum Health Group, Inc.*.... 1,610,374
2,800 Ramsay Health Care, Inc.*..... 2,975
4,000 Sheridan Healthcare, Inc.*.... 41,500
21,600 Sola International, Inc.*..... 387,450
3,266 SonoSight, Inc.*.............. 22,250
20,100 Staff Builders, Inc., Class
A*.......................... 12,563
32,600 Universal Health Services,
Inc., Class B*.............. 1,361,049
-------------
4,387,312
-------------
HOUSEHOLD -- 2.5%
19,500 ACX Technologies, Inc.*....... 251,063
4,300 American Biltrite, Inc........ 102,663
1,300 Andersen Group, Inc.*......... 4,388
700 Baldwin Piano & Organ Co.*.... 8,050
14,400 Bassett Furniture Industries,
Inc......................... 421,200
115,000 Brunswick Corp................ 1,487,812
32,800 Carter-Wallace, Inc........... 514,549
12,100 Catalina Lighting, Inc.*...... 27,225
12,700 Coastcast Corp................ 107,156
4,400 Daktronics, Inc.*............. 41,250
800 Equity Marketing, Inc.*....... 5,000
2,700 Escalade, Inc.*............... 54,000
18,600 Genlyte Group, Inc.*.......... 381,300
1,600 Gundle/SLT Environmental,
Inc.*....................... 5,100
48,700 HON Industries, Inc........... 1,150,537
5,900 Hunt Corp..................... 89,606
1,500 Johnson Worldwide Associates,
Inc., Class A*.............. 14,438
52,200 Kimball International, Inc.,
Class B..................... 802,574
1,600 Knoll, Inc.*.................. 35,000
13,400 LADD Furniture, Inc.*......... 221,100
5,000 Myers Industries, Inc......... 115,000
10,300 National Service Industries,
Inc......................... 328,313
4,600 Norwood Promotional Products,
Inc.*....................... 86,825
13,000 O'Sullivan Corp............... 110,500
4,800 Patrick Industries, Inc....... 70,800
200 Pubco Corp.*.................. 1,950
2,600 Pulaski Furniture Corp........ 57,850
5,000 Reunion Industries, Inc.*..... 15,625
19,000 Rowe Furniture Corp........... 160,313
4,800 SL Industries, Inc............ 49,200
12,800 Stanley Furniture Co.,
Inc.*....................... 222,400
1,100 Thomas Industries, Inc........ 23,581
</TABLE>
See accompanying notes to the financial statements.
33
<PAGE> 34
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
1,300 TransLux Corp................. $ 11,538
5,000 Triple S Plastics, Inc.*...... 22,500
800 U.S. Industries, Inc.......... 12,050
1,500 Valley Forge Corp............. 18,375
8,800 Winsloew Furniture, Inc.*..... 167,200
25,000 Wynn's International, Inc..... 467,188
-------------
7,665,219
-------------
INSURANCE -- 2.7%
12,700 Acceptance Insurance
Companies, Inc.*............ 264,319
32,700 ARM Financial Group, Inc...... 580,425
6,100 EMC Insurance Group, Inc...... 76,250
13,700 Fidelity National Financial,
Inc......................... 463,231
1,800 Financial Industries Corp.*... 25,200
43,700 First American Financial
Corp........................ 1,398,400
74,900 First Health Group Corp.*..... 1,816,324
12,400 Foremost Corp of America...... 228,625
4,500 InterContinental Life
Corp.*...................... 89,438
4,200 Kaye Group, Inc............... 26,250
10,900 LandAmerica Financial Group,
Inc......................... 558,625
5,000 Liberty Financial Companies,
Inc......................... 131,875
400 Midland Co.................... 9,075
3,200 National Western Life
Insurance, Class A*......... 372,800
100 Pacificare Health Systems,
Inc., Class A*.............. 7,050
6,000 Professionals Group, Inc.*.... 156,000
5,000 PXRE Corp..................... 128,438
2,100 Standard Management Corp.*.... 14,175
8,700 Stewart Information Services
Corp........................ 501,338
58,000 TIG Holdings, Inc.*........... 815,625
24,000 Trigon Healthcare, Inc.*...... 744,000
-------------
8,407,463
-------------
LIQUOR & TOBACCO -- 0.3%
21,200 Coors (Adolph) Co., Class B... 973,875
7,800 Swisher International Group,
Inc., Class A*.............. 46,800
-------------
1,020,675
-------------
MACHINERY -- 5.4%
3,800 Acme Electric Corp.*.......... 19,713
4,600 American Buildings Co.*....... 108,100
2,000 Amistar Corp.*................ 4,500
14,500 Ampco-Pittsburgh Corp......... 212,063
8,000 Applied Science & Technology,
Inc.*....................... 32,500
5,500 Astec Industries, Inc.*....... 234,438
4,200 Aztec Manufacturing Co........ 37,538
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
5,900 Barnes Group, Inc............. $ 169,625
6,900 Briggs & Stratton Corp........ 283,763
16,000 Brown & Sharpe Manufacturing
Co.*........................ 120,000
2,200 BTU International, Inc.*...... 6,325
5,700 Central Sprinkler Corp.*...... 67,688
10,585 Danaher Corp.................. 317,550
6,700 Dayton Superior Corp.*........ 118,088
2,500 Edison Control Corp.*......... 20,625
3,800 Engineered Support Systems.... 54,625
15,100 ESCO Electronics Corp.*....... 154,775
8,400 Essef Corp.................... 147,000
13,500 Evans & Sutherland Computer
Corp.*...................... 177,188
500 Farr Co.*..................... 4,875
56,400 Fedders Corp.................. 289,050
700 Federal Screw Works........... 35,000
4,200 Flowserve Corp................ 85,050
6,900 Gehl Co.*..................... 94,013
9,700 Gencor Industries, Inc........ 147,925
14,600 Gleason Corp.................. 234,513
1,800 Graham Corp.*................. 20,250
12,900 Greenbrier Companies, Inc..... 183,019
35,400 Griffon Corp.*................ 309,750
8,300 Haskel International, Inc.,
Class A..................... 60,175
38,900 Kennametal, Inc............... 1,047,868
5,000 Lincoln Electric Holding,
Inc......................... 116,250
5,500 Lufkin Industries, Inc........ 143,000
2,100 Martin Industries, Inc........ 6,431
22,000 Material Sciences Corp.*...... 192,500
5,300 Maxco, Inc.*.................. 40,413
30,000 MotivePower Industries,
Inc.*....................... 701,249
1,800 Mueller (Paul) Co............. 70,200
9,000 NACCO Industries, Inc., Class
A........................... 899,999
3,600 National-Oilwell, Inc.*....... 44,550
1,800 Oilgear Co.................... 19,800
2,000 Peerless Mfg Co.*............. 22,750
1,000 Pentair, Inc.................. 32,250
10,300 Pitt-Des Moines, Inc.......... 226,600
7,500 Powell Industries, Inc.*...... 58,125
55,500 Premark International, Inc.... 1,557,468
1,900 Quipp, Inc.*.................. 31,825
3,300 Raytech Corp.*................ 10,725
800 Shaw Group, Inc.*............. 6,900
2,500 Shiloh Industries, Inc.*...... 45,313
600 SPS Technologies, Inc.*....... 27,938
600 SPX Corp.*.................... 24,788
4,200 Starrett (L.S.) Co., Class
A........................... 144,900
</TABLE>
See accompanying notes to the financial statements.
34
<PAGE> 35
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
1,100 Tecumseh Products Co., Class
B........................... $ 56,650
27,600 Teleflex, Inc................. 965,999
51,900 Timken Co..................... 784,987
63,800 Trinity Industries, Inc....... 2,069,512
4,200 Twin Disc, Inc................ 102,375
57,000 UNOVA, Inc.*.................. 936,937
6,800 Varlen Corp................... 190,400
23,500 Watts Industries, Inc......... 423,000
53,600 York International Corp....... 1,788,899
-------------
16,540,325
-------------
MEDIA -- 2.5%
2,500 4Kids Entertainment, Inc.*.... 19,375
37,600 Bowne & Co., Inc.............. 636,850
10,400 Cadmus Communications Corp.... 202,800
13,800 Chris-Craft Industries,
Inc.*....................... 609,788
3,400 Courier Corp.................. 68,000
2,900 Dick Clark Productions,
Inc.*....................... 39,875
15,700 Franklin Covey Co.*........... 307,131
1,175 Grey Advertising.............. 385,400
25,200 Harcourt General, Inc......... 1,219,049
3,700 Jostens, Inc.................. 76,775
66,100 King World Productions,
Inc.*....................... 1,726,862
26,200 Media General, Inc., Class
A........................... 1,015,249
10,000 Meredith Corp................. 320,000
17,000 Merrill Corp.................. 266,688
4,200 Metatec Corp.*................ 15,619
9,200 Metro-Goldwyn-Mayer, Inc.*.... 127,650
7,700 Playboy Enterprises, Inc.,
Class A*.................... 95,769
9,700 Readers Digest Assoc., Inc.... 185,513
4,500 Scholastic Corp............... 191,250
9,400 Spice Entertainment Companies,
Inc.*....................... 50,525
3,700 Standard Register Co.......... 100,594
3,400 Thomas Nelson, Inc............ 43,350
1,100 Todd-AO Corp.................. 8,113
3,500 Vaughn Communications,
Inc.*....................... 27,125
-------------
7,739,350
-------------
METALS -- 2.1%
13,600 Atchison Casting Corp.*....... 135,150
8,200 Bayou Steel Corp., Class A*... 31,775
23,300 Belden, Inc................... 313,094
11,300 Cable Design Technologies
Corp.*...................... 144,075
17,200 Century Aluminum Co........... 184,900
9,400 Chase Industries, Inc.*....... 133,363
9,500 Cleveland-Cliffs, Inc......... 370,500
6,600 Curtiss-Wright Corp........... 261,938
5,400 EASCO, Inc.................... 47,925
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
50 Encore Wire Corp.*............ $ 463
900 Foster (L.B.) Corp.*.......... 3,938
1,200 General Housewares Corp....... 10,200
23,800 Harsco Corp................... 716,974
4,800 IMCO Recycling, Inc........... 68,100
29,600 Intermet Corp................. 375,550
2,700 Kentucky Electric Steel,
Inc.*....................... 10,463
7,700 Lindberg Corp................. 97,213
38,100 Mueller Industries, Inc.*..... 969,168
1,300 NS Group, Inc.*............... 8,044
15,500 Olympic Steel, Inc.*.......... 103,656
4,000 Quanex Corp................... 79,250
8,500 Roanoke Electric Steel
Corp........................ 110,500
2,800 Special Metals Corp.*......... 29,050
9,000 Steel of West Virginia,
Inc.*....................... 55,125
12,700 Superior TeleCom, Inc......... 614,362
34,400 Texas Industries, Inc......... 864,299
30,700 Titanium Metal Corp........... 433,638
3,100 Tremont Corp.................. 130,975
5,100 Universal Stainless & Alloy
Products, Inc.*............. 26,456
5,700 Webco Industries, Inc.*....... 40,256
16,300 Wolverine Tube, Inc.*......... 343,319
-------------
6,713,719
-------------
MISCELLANEOUS FINANCIAL --2.2%
6,500 Atalanta Sosnoff Capital
Corp........................ 51,188
17,700 Donaldson Lufkin & Jenrette,
Inc......................... 452,456
27,800 Eaton Vance Corp.............. 641,138
8,800 Edwards A.G., Inc............. 266,750
20,900 EVEREN Capital Corp........... 506,825
11,400 Hambrecht & Quist Group*...... 209,475
4,900 Investment Technology Group,
Inc.*....................... 133,525
1,500 JB Oxford Holdings, Inc.*..... 1,031
22,000 Jefferies Group, Inc.......... 583,000
8,600 John Nuveen Co., Class A...... 306,375
600 McDonald & Company
Investments, Inc............ 18,600
795 Omega Worldwide, Inc.*........ 4,074
6,800 Pilgrim America Capital
Corp.*...................... 130,050
58,700 Raymond James Financial,
Inc......................... 1,232,700
14,000 Southwest Securities Group,
Inc......................... 259,000
4,190 Stifel Financial Corp......... 43,995
80,700 United Asset Management
Corp........................ 1,735,049
5,100 Value Line, Inc............... 200,175
300 Ziegler Companies, Inc........ 5,663
-------------
6,781,069
-------------
</TABLE>
See accompanying notes to the financial statements.
35
<PAGE> 36
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE MACHINERY -- 3.8%
22,000 Baldwin Technology Company,
Inc., Class A*.............. $ 121,000
19,800 BancTec, Inc.*................ 282,150
20,900 Bell & Howell Co.*............ 542,094
6,100 Boundless Corp.*.............. 21,350
4,300 Ciprico, Inc.*................ 31,444
10,400 Computer Network Technology
Corp.*...................... 58,500
3,800 CSP, Inc.*.................... 30,400
2,600 Cybex Computer Products
Corp.*...................... 65,325
27,800 Cylink Corp.*................. 125,100
2,500 Dataram Corp.*................ 30,000
18,900 Digi International, Inc.*..... 231,525
6,450 Equinox Systems, Inc.*........ 51,600
9,000 General Binding Corp.......... 295,313
10,100 Genicom Corp.*................ 22,094
61,400 Imation Corp.*................ 1,135,900
6,700 Interphase Corp.*............. 37,688
10,200 Key Tronic Corp.*............. 26,138
43,100 Lexmark International Group,
Inc., Class A*.............. 2,987,368
2,800 Network Appliance, Inc.*...... 141,750
37,500 Network Equipment
Technologies, Inc.*......... 375,000
3,200 Percon, Inc.*................. 20,400
500 Polaroid Corp................. 12,281
13,300 Powerhouse Technologies,
Inc.*....................... 118,038
5,800 Printronix, Inc.*............. 81,200
12,400 PSC, Inc.*.................... 94,550
17,400 Rainbow Technologies, Inc.*... 237,075
87,100 Storage Technology Corp.*..... 2,215,605
13,700 Stratus Computer, Inc.*....... 461,519
37,900 Tandy Corp.................... 2,027,649
-------------
11,880,056
-------------
OIL -- 1.5%
9,500 American Resources of
Delaware, Inc.*............. 11,875
31,500 Arch Coal, Inc................ 468,563
16,200 Basin Exploration, Inc.*...... 268,313
19,100 Cabot Oil & Gas Corp., Class
A........................... 291,275
14,700 Callon Petroleum Co.*......... 187,425
3,500 Castle Energy Corp............ 61,469
1,800 Clayton Williams Energy,
Inc.*....................... 17,663
330 Columbus Energy Corp.*........ 2,166
1,500 Dominion Resources Black
Warrior Trust............... 28,500
27,700 Energen Corp.................. 526,300
2,400 Equity Oil Co.*............... 4,650
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
9,300 Holly Corp.................... $ 144,150
12,900 Houston Exploration Co.*...... 251,550
13,500 Kerr-McGee Corp............... 614,249
37,600 Louis Dreyfus Natural Gas
Corp.*...................... 545,200
4,200 Maynard Oil Co.*.............. 37,800
53,300 Mitchell Energy & Development,
Class B..................... 746,199
11,000 PetroCorp., Inc.*............. 64,625
2,800 Prima Energy Corp.*........... 41,300
21,100 Tom Brown, Inc.*.............. 258,475
-------------
4,571,747
-------------
OIL DISTRIBUTION -- 1.3%
53,300 Amerada Hess Corp............. 3,074,743
32,500 Kaneb Services, Inc.*......... 162,500
60,600 Tesoro Petroleum Corp.*....... 791,588
-------------
4,028,831
-------------
OIL SERVICES -- 1.3%
6,700 Dawson Geophysical Co.*....... 77,888
35,500 ENSCO International, Inc...... 383,844
66,700 Helmerich & Payne*............ 1,400,699
31,800 Oceaneering International,
Inc.*....................... 453,150
20,200 Petroleum Development
Corp.*...................... 106,050
30,000 Pool Energy Services Co.*..... 273,750
56,700 Pride International, Inc.*.... 453,600
35,500 Seitel, Inc.*................. 383,844
26,900 Veritas DGC, Inc.*............ 448,894
-------------
3,981,719
-------------
OTHER UTILITIES -- 2.2%
26,600 Allied Waste Industries,
Inc.*....................... 621,775
22,500 American Disposal Services,
Inc.*....................... 876,094
1,500 Clean Harbors, Inc.*.......... 3,563
29,700 Columbia Energy Group......... 1,741,162
25,400 Eastern Enterprises........... 1,069,975
300 Eastern Environmental
Services, Inc.*............. 9,075
3,600 GZA GeoEnvironmental
Technologies, Inc.*......... 16,650
7,100 Harding Lawson Associates
Group*...................... 46,150
7,900 Newpark Resources, Inc.*...... 54,313
600 ONEOK, Inc.................... 20,400
4,300 Peoples Energy Corp........... 154,800
106,500 Questar Corp.................. 2,050,124
9,800 Southwest Gas Corp............ 200,288
10,700 TRC Companies, Inc.*.......... 44,806
-------------
6,909,175
-------------
</TABLE>
See accompanying notes to the financial statements.
36
<PAGE> 37
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPERS -- 2.9%
17,900 ABT Building Products
Corp.*...................... $ 187,950
4,700 American Woodmark Corp........ 119,263
3,000 Baltek Corp.*................. 30,750
1,500 Carmel Container Systems,
Ltd.*....................... 9,188
6,500 Drypers Corp.*................ 19,500
11,300 Fibermark, Inc.*.............. 160,319
41,600 Glatfelter (P.H.) Co.......... 543,400
71,600 Louisiana-Pacific Corp........ 1,458,849
24,500 Mead Corp..................... 721,219
20,000 Potlatch Corp................. 681,250
1,000 Republic Group, Inc........... 13,313
29,200 Rock-Tenn Co., Class A........ 323,025
26,250 Shorewood Packaging Corp.*.... 354,375
113,800 Sonoco Products Co............ 2,731,199
12,200 Tandycrafts, Inc.*............ 47,275
6,700 THT, Inc.*.................... 20,728
1,300 Tufco Technologies, Inc.*..... 9,100
7,400 Universal Forest Products,
Inc......................... 117,475
45,900 Wausau-Mosinee Paper Corp..... 659,813
26,200 Westvaco Corp................. 628,800
-------------
8,836,791
-------------
REAL ESTATE ASSETS -- 3.5%
27,600 Bluegreen Corp.*.............. 207,000
23,000 Capstone Capital Corp......... 484,438
20,300 Castle & Cooke, Inc.*......... 304,500
21,200 CB Richard Ellis Services,
Inc.*....................... 425,325
22,500 CBL & Associates Properties,
Inc......................... 579,375
10,400 Commercial Assets, Inc........ 57,200
7,200 Commercial Net Lease Realty,
Inc......................... 105,300
1,600 DeWolfe Companies, Inc.*...... 8,800
7,900 Essex Property Trust, Inc..... 244,900
4,900 Excel Legacy Corp.*........... 14,241
19,300 Forest City Enterprises, Inc.,
Class A..................... 405,300
45,600 Glenborough Realty Trust,
Inc......................... 968,999
70,600 Highwoods Properties, Inc..... 1,959,149
17,200 Hospitality Properties
Trust....................... 511,700
4,200 ILX Resorts, Inc.*............ 9,975
35,950 IMPAC Mortgage Holdings,
Inc......................... 485,325
4,396 Insignia Properties Trust..... 53,576
7,600 Lexford Residential Trust*.... 139,175
40,600 LNR Property Corp............. 784,088
2,700 Mays (J.W.), Inc.*............ 24,300
13,200 Meridian Industrial Trust,
Inc......................... 292,050
100 National Health Investors,
Inc......................... 3,100
2,100 New Mexico & Arizona Land
Co.*........................ 30,975
38,040 New Plan Excel Realty Trust... 886,807
8,000 Omega Healthcare Investors,
Inc......................... 261,500
5,400 Pan Pacific Retail Property,
Inc......................... 100,575
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
9,500 Price Enterprises, Inc........ $ 48,094
6,400 Realty Income Corp............ 159,200
8,100 Regency Realty Corp........... 185,794
7,100 Silverleaf Resorts, Inc.*..... 71,000
28,900 Thornburg Mortgage Asset
Corp........................ 260,100
5,600 Trendwest Resorts, Inc.*...... 44,450
42,500 Westfield America, Inc........ 727,813
1,500 Wilshire Oil Company of
Texas*...................... 8,250
-------------
10,852,374
-------------
RETAIL/WHOLESALE -- 6.8%
44,800 Abercrombie & Fitch Co.*...... 1,971,199
6,450 Aceto Corp.................... 85,059
7,300 Advanced Marketing Services,
Inc.*....................... 127,294
4,700 Allou Health & Beauty Care,
Inc., Class A*.............. 23,206
34,000 Ames Department Stores,
Inc.*....................... 431,375
4,600 Arden Group, Inc., Class A*... 133,400
12,300 Bell Industries, Inc.*........ 146,831
23,800 Bergen Brunswig Corp.......... 1,203,387
47,800 BJ's Wholesale Club, Inc.*.... 1,756,649
9,500 Bon-Ton Stores, Inc.*......... 71,250
22,600 Books-A-Million, Inc.......... 57,913
9,200 Brookstone, Inc.*............. 108,100
30,200 Burlington Coat Factory
Warehouse................... 445,450
9,800 Cache, Inc.*.................. 42,875
13,300 Cameron Ashley Building
Products, Inc.*............. 148,794
9,500 Catherines Stores Corp.*...... 73,625
18,000 Cole National Corp., Class
A*.......................... 374,625
600 Creative Computers, Inc.*..... 4,950
1,300 D & K Healthcare Resources,
Inc.*....................... 23,400
100 Damark International, Inc.,
Class A*.................... 725
16,600 DEB Shops, Inc................ 126,575
13,400 Discount Auto Parts, Inc.*.... 322,438
3,600 Dominick's Supermarkets,
Inc.*....................... 153,900
30,900 Dress Barn, Inc.*............. 374,663
15,300 Drug Emporium, Inc.*.......... 61,200
3,300 Eagle Food Centers, Inc.*..... 7,631
31,100 Elcom International, Inc.*.... 40,819
10,600 Enesco Group, Inc............. 263,013
15,800 EZCorp., Inc., Class A*....... 129,363
160,300 Family Dollar Stores, Inc..... 2,524,724
3,600 Finlay Enterprises, Inc.*..... 30,150
800 Foodarama Supermarkets,
Inc.*....................... 25,700
39,000 Footstar, Inc.*............... 884,813
10,000 Fred's, Inc................... 132,500
1,300 Fresh America Corp.*.......... 16,575
700 Friedman's, Inc., Class A*.... 4,550
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE> 38
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
3,200 Great Atlantic & Pacific Tea
Company, Inc................ $ 77,600
5,800 Haverty Furniture Companies,
Inc......................... 110,200
1,300 Holiday RV Superstores,
Inc.*....................... 2,600
800 ICC Industries, Inc.*......... 6,400
17,800 Insurance Auto Auctions,
Inc.*....................... 222,500
3,000 Jaco Electronics, Inc.*....... 10,313
8,200 Jacobson Stores, Inc.*........ 67,650
1,200 Jo-Ann Stores, Inc., Class
A*.......................... 26,700
7,800 Katy Industries, Inc.......... 128,213
24,300 Lechters, Inc.*............... 83,531
3,100 Longs Drug Stores Corp........ 124,581
3,400 Moore Medical Corp.*.......... 41,225
138,800 OfficeMax, Inc.*.............. 1,361,974
8,400 Pamida Holdings Corp.*........ 39,375
21,100 Payless ShoeSource, Inc.*..... 873,013
8,600 PC Service Source, Inc.*...... 21,500
5,500 Performance Food Group Co.*... 122,375
8,550 Piercing Pagoda, Inc.*........ 98,325
6,300 Programmer's Paradise,
Inc.*....................... 35,438
3,500 Rag Shops, Inc.*.............. 8,531
5,200 Reeds Jewelers, Inc.*......... 17,550
11,800 REX Stores Corp.*............. 125,375
26,400 Ruddick Corp.................. 448,800
7,300 S & K Famous Brands, Inc.*.... 87,600
500 Schnitzer Steel Industries,
Inc......................... 7,500
7,100 Seaway Food Town, Inc......... 98,513
3,000 Sharper Image Corp.*.......... 9,750
19,400 Shoe Carnival, Inc.*.......... 179,450
4,900 Software Spectrum, Inc.*...... 74,113
2,000 Speizman Industries, Inc.*.... 8,000
2,900 Spiegel, Inc., Class A*....... 10,513
3,900 Sport Chalet, Inc.*........... 19,500
10,700 Syms Corp.*................... 111,013
13,200 Syncor International Corp.*... 218,625
15,500 TBC Corp.*.................... 93,000
8,800 Tractor Supply Co.*........... 173,800
4,800 TransNet Corp.*............... 2,208
6,508 Travel Ports of America,
Inc.*....................... 19,117
7,400 United Natural Foods, Inc.*... 188,700
13,000 United Retail Group, Inc.*.... 105,625
5,400 Universal Corp................ 193,050
19,200 Value City Department Stores,
Inc.*....................... 169,200
164,000 Venator Group, Inc.*.......... 1,424,749
2,000 Village Supermarket, Inc.,
Class A*.................... 43,750
2,300 Western Beef, Inc.*........... 16,963
45,200 Zale Corp.*................... 1,158,249
-------------
20,795,478
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES -- 11.4%
76,400 AC Nielsen Corp.*............. $ 1,699,899
22,300 American Software, Inc.*...... 57,144
2,100 American Vantage Cos.*........ 2,297
13,800 Angelica Corp................. 221,663
11,200 Ardent Software, Inc.*........ 140,000
1,500 Artisoft, Inc.*............... 3,281
19,400 Aspect Development, Inc.*..... 763,875
9,700 Baker (Michael) Corp.*........ 92,150
7,600 Banyan Systems, Inc.*......... 22,325
9,700 Barra, Inc.*.................. 198,850
400 Berlitz International,
Inc.*....................... 10,550
800 CACI International, Inc.,
Class A*.................... 12,400
300 Cambridge Technology Partners,
Inc.*....................... 6,694
10,700 Carnegie Group, Inc.*......... 28,088
19,600 CDI Corp.*.................... 445,900
5,500 CFI Proservices, Inc.*........ 56,375
15,100 Complete Management, Inc.*.... 16,044
700 Consilium, Inc.*.............. 1,269
11,500 Corrpro Companies, Inc.*...... 117,875
70,600 Covance, Inc.*................ 1,831,187
13,700 CPI Corp...................... 324,519
11,500 CSG Systems International,
Inc.*....................... 508,875
15,100 Dataworks Corp.*.............. 74,556
28,300 Discreet Logic, Inc.*......... 366,131
10,900 DSTSystems, Inc.*............. 574,975
6,200 Duff & Phelps Credit Rating
Co.......................... 285,588
2,100 Dynamics Research Corp.*...... 13,650
3,400 Emcon, Inc.*.................. 11,050
10,200 Engineering Animation,
Inc.*....................... 487,050
10,300 Exponent, Inc.*............... 51,500
70,500 Fiserv, Inc.*................. 3,247,405
11,800 Fourth Shift Corp.*........... 37,613
40,900 GT Interactive Software
Corp.*...................... 184,050
57,200 GTECH Holdings Corp.*......... 1,519,374
2,200 H.T.E., Inc.*................. 26,950
14,400 Indus International, Inc.*.... 70,200
12,900 Infinium Software, Inc.*...... 120,938
11,500 Information Resources,
Inc.*....................... 150,938
49,200 infoUSA, Inc., Class B........ 350,550
6,400 International Microcomputer
Software, Inc.*............. 43,600
12,900 International Telecomm Data
Systems, Inc.*.............. 374,100
27,600 Kelly Services, Inc., Class
A........................... 865,950
11,900 Kendle International, Inc.*... 389,725
4,500 LCS Industries................ 59,625
17,700 MacNeal-Schwendler Corp.*..... 109,519
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
1,000 Magic Software Enterprises,
Ltd.*....................... $ 2,500
200 Marlton Technologies, Inc.*... 925
95,700 Mentor Graphics Corp.*........ 663,919
10,670 Micro Focus Group plc,
Sponsored ADR*.............. 250,745
41,000 Midway Games, Inc.*........... 479,188
4,000 Monro Muffler Brake, Inc.*.... 38,000
4,400 National Computer Systems,
Inc......................... 129,800
41,900 National Data Corp............ 1,293,663
2,000 National Technical Systems,
Inc......................... 11,000
72,550 Network Associates, Inc.*..... 2,575,524
5,400 New Horizons Worldwide,
Inc.*....................... 89,775
2,166 Nielsen Media Research,
Inc......................... 22,202
6,100 Nobel Education Dynamics,
Inc.*....................... 40,413
22,800 Norrell Corp.................. 342,000
7,400 Opinion Research Corp.*....... 41,625
22,200 PC Docs Group International,
Inc.*....................... 83,250
1,700 Peregrine Systems, Inc.*...... 68,425
8,300 Pinkertons, Inc.*............. 114,644
31,600 Policy Management Systems
Corp.*...................... 1,279,800
5,550 Progress Software Corp.*...... 143,606
9,400 Project Software &
Development, Inc.*.......... 123,375
6,700 Quality Systems, Inc.*........ 29,103
29,500 Santa Cruz Operation, Inc.*... 129,063
5,400 SEI Investments Co............ 375,300
58,600 SITEL Corp.*.................. 179,463
56,400 Snyder Communications,
Inc.*....................... 1,889,399
31,300 Software AG Systems, Inc.*.... 532,100
9,400 SPSS, Inc.*................... 215,025
3,100 SS&C Technologies, Inc.*...... 37,975
89,200 Sterling Software, Inc.*...... 2,458,574
12,100 Stone & Webster, Inc.......... 384,175
7,900 Symix Systems, Inc.*.......... 144,175
17,900 Systems & Computer Technology
Corp.*...................... 230,463
2,900 Thomas Group, Inc.*........... 26,281
34,900 Titan Corp.*.................. 176,681
11,800 TRM Corp.*.................... 141,600
400 UniFirst Corp................. 10,775
136,600 Unisys Corp.*................. 3,107,649
6,900 URS Corp.*.................... 123,769
14,400 Volt Information Sciences,
Inc.*....................... 287,100
14,800 Wall Data, Inc.*.............. 225,700
16,400 Wang Laboratories, Inc.*...... 317,750
17,500 Warrantech Corp.*............. 61,250
1,500 Westaff, Inc.*................ 19,500
-------------
34,873,546
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS -- 0.4%
20,900 Block Drug Company, Inc.,
Class A..................... $ 752,399
2,100 CCA Industries, Inc.*......... 3,413
9,400 CPAC, Inc.*................... 83,425
800 Del Laboratories, Inc......... 15,600
4,700 Guest Supply, Inc.*........... 55,813
2,100 Jean Philippe Fragrances,
Inc.*....................... 14,438
100 NCH Corp...................... 6,138
13,100 Revlon, Inc., Class A*........ 416,743
8,800 Scott's Liquid Gold, Inc...... 17,050
-------------
1,365,019
-------------
TELEPHONE -- 2.5%
37,900 Aliant Communications, Inc.,
Class A..................... 938,025
1,200 Associated Group, Inc. Class
A*.......................... 39,600
6,500 Atlantic Tele-Network,
Inc.*....................... 53,625
51,900 Century Telephone Enterprises,
Inc......................... 2,452,274
50,200 COMSAT Corp................... 1,769,550
6,000 Conestoga Enterprises, Inc.... 192,000
13,100 CoreComm, Ltd................. 142,463
3,000 Davel Communication Group*.... 36,750
2,300 Hector Communications
Corp.*...................... 20,125
3,900 Hickory Tech Corp............. 45,825
600 Lynch Corp.*.................. 45,900
3,000 North Pittsburgh Systems,
Inc......................... 36,750
15,200 Price Communications Corp.*... 118,750
18,900 TCA Cable TV, Inc............. 531,563
27,400 Telephone and Data Systems,
Inc......................... 955,575
7,000 U.S. Cellular Corp.*.......... 208,688
14,186 United Video Satellite Group,
Inc., Class A*.............. 210,130
-------------
7,797,593
-------------
TEXTILES -- 2.4%
26,700 Brown Group, Inc.............. 410,513
94,100 Burlington Industries,
Inc.*....................... 893,950
1,600 Concord Fabrics, Inc., Class
A*.......................... 10,700
6,500 Deckers Outdoor Corp.*........ 32,500
21,200 Dexter Corp................... 519,400
9,400 Dixie Group, Inc.............. 61,100
9,100 Dyersburg Corp................ 35,263
4,700 G-III Apparel Group, Ltd...... 10,575
28,000 Guilford Mills, Inc........... 416,500
12,500 Haggar Corp................... 137,500
9,800 Jos A Bank Clothiers, Inc.*... 75,031
19,200 Kellwood Co................... 516,000
8,200 Liz Claiborne, Inc............ 214,738
9,500 Maxwell Shoe Company, Inc.,
Class A*.................... 112,813
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
47,600 Mohawk Industries, Inc.*...... $ 1,303,049
19,600 OshKosh B'Gosh, Inc., Class
A........................... 406,700
11,300 Oxford Industries, Inc........ 347,475
5,000 Rocky Shoes & Boots, Inc.*.... 40,000
7,300 Springs Industries, Class A... 253,675
7,000 Supreme International
Corp.*...................... 80,500
800 Tandy Brands Accessories,
Inc.*....................... 9,600
59,800 Warnaco Group, Inc............ 1,382,874
-------------
7,270,456
-------------
TRANSPORTATION -- 1.0%
2,500 B & H Ocean Carriers, Ltd*.... 10,313
4,700 Boyd Brothers Transportation,
Inc.*....................... 34,075
29,900 Consolidated Freightways*..... 246,675
36,300 Fritz Companies, Inc.*........ 247,294
5,000 Genesee & Wyoming, Inc., Class
A*.......................... 65,625
40,200 Kansas City Southern
Industries, Inc............. 1,406,999
9,900 Marten Transport, Ltd.*....... 142,313
7,600 Oglebay Norton Co............. 201,400
13,400 Old Dominion Freight Line,
Inc.*....................... 187,600
7,000 P.A.M. Transportation
Services, Inc.*............. 48,125
33,500 Pittston Burlington Group..... 249,156
6,200 Roadway Express, Inc.......... 68,200
8,900 Transport Corp. of America,
Inc.*....................... 106,800
-------------
3,014,575
-------------
TRAVEL/ENTERTAINMENT -- 2.3%
1,700 AMERCO........................ 43,350
5,800 Ark Restaurants Corp.*........ 60,175
3,600 Back Bay Restaurant Group*.... 24,750
10,800 Benihana, Inc.*............... 89,100
11,800 Bob Evans Farms, Inc.......... 235,263
4,000 Casino America, Inc.*......... 10,250
17,700 CEC Entertainment, Inc.*...... 358,425
15,100 Cooker Restaurant Corp.*...... 147,225
600 Cracker Barrel Old Country
Store, Inc.................. 13,650
162,600 Darden Restaurants, Inc....... 2,601,600
2,000 Dover Downs Entertainment,
Inc......................... 25,250
21,900 Foodmaker, Inc.*.............. 343,556
5,400 Fresh Choice, Inc.*........... 8,100
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
4,000 Garden Fresh Restaurant
Corp.*...................... $ 59,000
27,900 Grand Casinos, Inc.*.......... 221,456
3,900 Inland Entertainment Corp.*... 10,725
36,600 Landry's Seafood Restaurants,
Inc.*....................... 247,050
9,000 Movie Gallery, Inc.*.......... 36,000
6,800 Nathan's Famous, Inc.*........ 23,800
14,100 NPC International, Inc.*...... 149,813
6,300 Piccadilly Cafeterias, Inc.... 68,906
6,600 Planet Hollywood
International, Inc., Class
A*.......................... 26,400
2,400 Players International,
Inc.*....................... 11,400
400 PLM International, Inc.*...... 2,800
76,800 Prime Hospitality Corp.*...... 537,600
30,400 Promus Hotel Corp.*........... 837,900
22,300 Quintel Communications,
Inc.*....................... 61,325
13,400 Rock Bottom Restaurants,
Inc.*....................... 82,075
1,800 Ruby Tuesday, Inc............. 27,225
40,700 Ryan's Family Steak Houses,
Inc.*....................... 485,856
1,500 Sonesta International Hotels
Corp., Class A.............. 19,125
2,400 Spaghetti Warehouse, Inc.*.... 17,250
19,000 Taco Cabana, Inc., Class A*... 115,188
1,500 Uno Restaurant Corp.*......... 10,031
15,300 VICORP Restaurants, Inc.*..... 207,506
-------------
7,219,125
-------------
TOTAL COMMON STOCKS (COST
$319,638,533) -- 90.2%...... 278,281,762
-------------
REPURCHASE AGREEMENTS -- 5.8%
Bear Stearns, dated 9/30/98,
due 10/1/98 at 5.40% with a
maturity value of
$17,844,883 (Collateralized
by $17,784,026 various U.S.
Government Securities, 0.00%
- 7.00%, 5/15/08-8/15/24,
market value -
$18,200,995)................ 17,842,405
-------------
TOTAL REPURCHASE AGREEMENTS
(COST $17,842,405).......... 17,842,405
-------------
TOTAL INVESTMENTS (COST
$337,480,938)(A) -- 96.0%... 296,124,167
-------------
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<C> <S> <C>
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD
SHORT -- 94.7%
Bear Stearns Deposit A/C, 5.5%,
10/1/98...................... $292,364,776
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT (COST
$292,364,776)................ 292,364,776
------------
RECEIVABLE FROM BROKERS FOR
SECURITIES SOLD
SHORT -- 0.8%................ 2,607,577
------------
SECURITIES SOLD
SHORT -- (PROCEEDS
$335,565,657) -- (90.1%)..... (278,226,022)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (1.4%)............. (4,196,737)
------------
TOTAL NET ASSETS -- 100.0%..... $308,673,761
============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depositary Receipt.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation-
Investments............ $ 12,376,727
Unrealized appreciation-
Short Sales............ $ 69,911,538
Unrealized depreciation-
Investments............ $(53,733,498)
Unrealized depreciation-
Short Sales............ $(12,571,903)
------------
Net unrealized
appreciation........... $ 15,982,864
============
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 90.1%
AIRCRAFT -- 0.0%
4,300 Kellstrom Industries,
Inc...................... $ 59,663
------------
AIRLINES -- 0.7%
7,900 Atlantic Coast Airlines
Holdings................. 184,663
14,500 Atlas Air, Inc............. 415,969
45,800 Northwest Airlines Corp.... 1,147,862
8,500 US Airways Group, Inc...... 430,312
------------
2,178,806
------------
AUTOS -- 1.5%
6,800 Collins Industries, Inc.... 30,600
42,400 Federal Signal Corp........ 893,050
50,300 Federal-Mogul Corp......... 2,351,525
6,400 Lund International
Holdings, Inc............ 41,600
48,700 Mascotech, Inc............. 876,600
1,200 Miller Industries, Inc..... 5,550
3,600 Newcor, Inc................ 17,100
27,000 OEA, Inc................... 256,500
500 PACCAR, Inc................ 20,594
9,500 Spartan Motors, Inc........ 46,906
600 Walbro Corp................ 4,838
------------
4,544,863
------------
BANKING -- 5.1%
200 Actrade International,
Ltd...................... 2,875
48,400 Amresco, Inc............... 363,000
4,000 Avondale Financial Corp.... 44,500
38,400 Bank United Corp........... 1,375,199
21,100 BankUnited Financial
Corp..................... 232,100
7,600 CNB Bancshares, Inc........ 347,700
9,500 Coastal Bancorp, Inc....... 150,813
100 Commonwealth Bancorp,
Inc...................... 1,538
16,600 Concord EFS, Inc........... 428,488
13,700 Credit Acceptance Corp..... 84,769
127,100 Dime Bancorp, Inc.......... 3,217,218
400 Eagle Bancshares, Inc...... 7,250
700 First Financial Holdings,
Inc...................... 11,900
10,957 First Source Bancorp,
Inc...................... 96,559
33,900 First Tennessee National
Corp..................... 925,894
300 Firstar Corp............... 15,188
5,000 Firstfed Financial Corp.... 85,313
1,405 HUBCO, Inc................. 35,652
9,900 Investors Financial
Services Corp............ 485,100
6,800 Lawrence Savings Bank...... 81,600
44,600 Ocwen Financial Corp....... 390,250
36,562 Republic Bancorp, Inc...... 493,587
17,900 Security First Network
Bank..................... 266,263
148,440 Sovereign Bancorp, Inc..... 1,976,107
76,900 TCF Financial Corp......... 1,528,387
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
500 Trustmark Corp............. $ 7,750
26,100 US Trust Corp.............. 1,732,387
45,400 Webster Financial Corp..... 1,106,624
14,100 Westcorp................... 121,613
------------
15,615,624
------------
BUILDING -- 0.3%
5,000 Able Telcom Holding
Corp..................... 22,813
10,000 Avatar Holdings, Inc....... 183,750
10,500 Del Webb Corp.............. 221,156
17,300 Foster Wheeler Corp........ 237,874
13,000 Modtech, Inc............... 227,500
4,700 UTILX Corp................. 18,213
------------
911,306
------------
CHEMICALS -- 2.4%
34,400 Advanced Polymer Systems,
Inc...................... 187,050
3,200 Alcide Corp................ 55,400
10,700 American Pacific Corp...... 85,600
45,900 Georgia Gulf Corp.......... 717,188
84,300 International Flavors &
Fragrance, Inc........... 2,781,899
34,000 NL Industries, Inc......... 658,750
9,750 Penwest Pharmaceuticals
Co....................... 59,719
72,000 RPM, Inc................... 1,039,500
60,600 Smith International,
Inc...................... 1,662,713
16,600 Synthetech, Inc............ 80,925
------------
7,328,744
------------
COMPUTER -- 0.4%
42,200 Micron Electronics, Inc.... 738,500
47,400 Sequent Computer Systems,
Inc...................... 411,788
------------
1,150,288
------------
CONSTRUCTION
MATERIALS -- 0.7%
2,000 Ceradyne, Inc.............. 10,000
8,200 Dal-Tile International,
Inc...................... 74,313
1,200 Dupont Photomask, Inc...... 25,800
23,500 Hexcel Corp................ 252,625
9,500 Lone Star Industries,
Inc...................... 567,625
44,000 Owens-Illinois, Inc........ 1,100,000
------------
2,030,363
------------
DEFENSE -- 0.0%
1,900 Lowrance Electronics,
Inc...................... 7,838
------------
DRUGS -- 5.3%
9,700 Advanced Magnetics, Inc.... 72,750
19,900 Algos Pharmaceuticals
Corp..................... 460,188
33,200 Alkermes, Inc.............. 483,475
18,500 Amylin Pharmaceuticals,
Inc...................... 58,969
</TABLE>
See accompanying notes to the financial statements.
42
<PAGE> 43
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
17,000 Anesta Corp................ $ 316,625
10,400 Aphton Corp................ 122,200
15,600 Arqule, Inc................ 117,000
10,300 Atrix Labs, Inc............ 130,038
22,000 Bio-Technology General
Corp..................... 145,750
22,400 Biocryst Pharmaceuticals,
Inc...................... 156,800
10,500 CEL-SCI Corp............... 27,563
27,100 Celgene Corp............... 265,919
1,300 Cell Genesys, Inc.......... 4,144
18,600 Creative BioMolecules,
Inc...................... 55,800
5,900 Cygnus, Inc................ 20,650
2,100 Depotech Corp.............. 2,231
500 Emisphere Technologies,
Inc...................... 3,938
10,900 Enzon, Inc................. 72,213
12,000 Ergo Science Corp.......... 39,000
21,800 Geltex Pharmaceuticals,
Inc...................... 460,525
14,700 Genzyme Transgenics
Corp..................... 58,800
27,300 Gilead Sciences, Inc....... 590,363
2,200 Gliatech, Inc.............. 35,475
13,400 Guilford Pharmaceuticals,
Inc...................... 187,600
34,100 Human Genome Sciences,
Inc...................... 1,022,999
48,700 ICOS Corp.................. 864,424
29,300 IDEC Pharmaceuticals
Corp..................... 695,875
36,600 Imclone Systems, Inc....... 320,250
35,900 Immune Response Corp....... 412,850
3,900 Inhale Therapeutic Systems,
Inc...................... 109,200
18,400 Interneuron
Pharmaceuticals, Inc..... 55,200
37,900 Isis Pharmaceuticals,
Inc...................... 431,113
16,100 Lifecore Biomedical,
Inc...................... 120,750
25,600 Ligand Pharmaceutical,
Inc., Class B............ 233,600
29,200 Magainin Pharmaceuticals,
Inc...................... 94,900
25,300 Martek Biosciences Corp.... 208,725
12,900 Medimmune, Inc............. 835,274
3,000 Meridian Diagnostics,
Inc...................... 22,875
15,600 MGI Pharma, Inc............ 112,125
39,500 Millenium Pharmaceuticals,
Inc...................... 686,313
21,100 Molecular Biosystems,
Inc...................... 89,675
8,800 Myriad Genetics, Inc....... 103,950
13,500 NeoRx Corp................. 25,734
15,100 Neose Technologies, Inc.... 167,988
5,600 Neurogen Corp.............. 92,400
23,600 Northfield Laboratories,
Inc...................... 224,200
30,300 Noven Pharmaceuticals,
Inc...................... 136,350
18,500 NPS Pharmaceuticals,
Inc...................... 124,875
5,300 Orphan Medical, Inc........ 40,744
10,700 OSI Pharmaceuticals,
Inc...................... 31,097
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
23,600 Pathogenesis Corp.......... $ 787,649
20,500 Pharmacyclics, Inc......... 340,813
31,000 Protein Design Labs,
Inc...................... 743,999
18,200 Research Frontiers, Inc.... 126,263
26,900 Sangstat Medical Corp...... 571,625
5,300 Sonus Pharmaceuticals,
Inc...................... 38,425
20,000 Sugen, Inc................. 260,000
12,000 Synaptic Pharmaceutical
Corp..................... 177,000
12,700 Theragenics Corp........... 180,181
26,800 Transkaryotic Therapies,
Inc...................... 643,200
100 Triangle Pharmaceuticals,
Inc...................... 1,325
4,000 Twinlab Corp............... 102,500
8,700 U.S. Bioscience, Inc....... 61,988
37,400 Vertex Pharmaceuticals,
Inc...................... 860,199
20,100 Vical, Inc................. 221,100
11,700 Xoma Corp.................. 32,175
------------
16,299,944
------------
DURABLES -- 0.0%
2,200 Fountain Powerboat
Industries, Inc.......... 13,750
35 Rexhall Industries, Inc.... 195
------------
13,945
------------
ELECTRIC UTILITIES -- 3.1%
4,300 Bangor Hydro-Electric
Co....................... 41,925
25,300 Calpine Corp............... 512,325
1,100 Maine Public Service Co.... 15,881
41,500 Minnesota Power, Inc....... 1,828,594
192,000 Niagara Mohawk Power
Corp..................... 2,951,999
71,000 Ogden Corp................. 2,019,063
47,900 TECO Energy, Inc........... 1,368,144
46,300 Unisource Energy Corp...... 708,969
18,700 York Research Corp......... 93,500
------------
9,540,400
------------
ELECTRONICS -- 11.2%
11,900 Abiomed, Inc............... 126,438
8,000 ACT Manufacturing, Inc..... 57,500
5,900 Active Voice Corp.......... 40,931
400 ADE Corp................... 3,900
2,500 Adflex Solutions, Inc...... 7,500
5,800 Adtran, Inc................ 123,250
18,300 Advanced Energy Industries,
Inc...................... 133,819
178,800 Advanced Micro Devices,
Inc...................... 3,318,974
26,200 Affymetrix, Inc............ 674,650
40,100 Alliance Semiconductor
Corp..................... 102,756
3,800 American Science &
Engineering, Inc......... 46,075
</TABLE>
See accompanying notes to the financial statements.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
10,000 Analog Devices, Inc........ $ 160,625
10,800 Andrea Electronics Corp.... 60,075
16,800 Applied Digital Access,
Inc...................... 48,300
23,300 Applied Innovation, Inc.... 77,181
14,800 Ariel Corp................. 49,025
15,000 Arthrocare Corp............ 189,375
2,700 ATS Medical, Inc........... 15,863
8,400 Barringer Technologies,
Inc...................... 62,475
4,300 Boca Research, Inc......... 8,600
4,800 Broadband Technologies,
Inc...................... 13,500
11,400 California Micro Devices
Corp..................... 31,350
10,900 Centigram Communications
Corp..................... 85,838
6,400 Cerprobe Corp.............. 70,400
7,000 Chad Therapeutics, Inc..... 19,250
19,100 Cholestech Corp............ 89,531
5,500 Cidco, Inc................. 10,313
54,900 Cognex Corp................ 638,213
20,800 Comverse Technology,
Inc...................... 850,200
24,400 Cooper Companies, Inc...... 430,050
31,600 Credence Systems Corp...... 424,625
22,500 Cree Research, Inc......... 348,750
26,800 Cytyc Corp................. 271,350
2,700 Datum, Inc................. 18,900
15,000 Davox Corp................. 140,625
25,800 Diametrics Medical, Inc.... 129,000
17,900 Digital Microwave Corp..... 54,819
6,900 DII Group, Inc............. 83,663
6,900 DSP Communications, Inc.... 56,925
2,100 Elcotel, Inc............... 12,600
14,300 Energy Conversion
Devices.................. 81,331
7,400 Epitope, Inc............... 27,750
1,600 Espey Manufacturing &
Electronics Corp......... 20,600
800 Ferrofluidics Corp......... 2,750
4,000 Frequency Electronic,
Inc...................... 28,000
9,200 Galileo Corp............... 33,350
43,400 GenRad, Inc................ 672,700
19,300 Harmonic Lightwaves,
Inc...................... 236,425
22,700 I-Stat Corp................ 167,413
7,400 Ibis Technology Corp....... 84,175
6,600 Information Resources
Engineering, Inc......... 30,113
59,800 Integrated Device
Technology, Inc.......... 317,688
19,800 Intergrated Silicon
Solution, Inc............ 79,200
62,200 Kemet Corp................. 691,975
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
98,000 KLA Instruments Corp....... $ 2,437,749
700 Komag, Inc................. 2,144
15,900 Kopin Corp................. 237,506
4,200 Lecroy Corp................ 56,700
50 Medical Graphics Corp...... 50
12,200 MEMC Electronic Materials,
Inc...................... 36,600
22,100 Micrel, Inc................ 585,650
17,500 Micro Linear Corp.......... 61,250
52,600 Microchip Technology,
Inc...................... 1,150,625
700 Microdyne Corp............. 1,881
103,100 Micron Technology, Inc..... 3,138,105
8,500 Microwave Power Devices.... 25,500
58,380 Millipore Corp............. 1,112,869
206,000 National Semiconductor
Corp..................... 1,995,624
20,100 Neopath, Inc............... 99,244
10,500 Novametrix Medical System,
Inc...................... 53,156
12,600 Novoste Corp............... 162,225
38,000 Oak Technology, Inc........ 76,000
64,600 Oakley, Inc................ 621,775
17,900 Ortel Corp................. 286,400
7,300 Perceptron, Inc............ 43,800
11,500 Perclose, Inc.............. 189,750
57,900 PictureTel Corp............ 372,731
16,300 Possis Medical, Inc........ 90,669
3,700 Powerwave Technologies,
Inc...................... 31,450
13,900 Sabratek Corp.............. 314,488
6,300 Sawtek, Inc................ 88,988
22,000 SCI Systems, Inc........... 592,625
28,900 Sepracor, Inc.............. 1,900,174
15,000 Sheldahl, Inc.............. 99,375
1,000 Sigmatron International,
Inc...................... 3,500
29,600 Sipex Corp................. 751,100
16,500 Spectrian Corp............. 200,063
500 STAAR Surgical Co.......... 4,531
10,600 STM Wireless, Inc., Class
A........................ 60,950
20,600 Symmetricom, Inc........... 108,150
8,900 TAVA Technologies, Inc..... 40,606
20,600 Tekelec.................... 314,150
110,000 Teradyne, Inc.............. 2,007,499
22,200 Thermo Cardiosystems,
Inc...................... 355,200
2,000 Thermo Voltek Corp......... 13,000
6,600 Transwitch Corp............ 98,588
8,100 Trident Microsystems,
Inc...................... 24,300
300 Unitrode Corp.............. 3,188
8,200 Veramark Technologies,
Inc...................... 33,313
37,500 Vicor Corp................. 307,031
200 Vitesse Semiconductor
Corp..................... 4,725
</TABLE>
See accompanying notes to the financial statements.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
26,100 Westell Technologies,
Inc...................... $ 130,500
86,300 Xilinx, Inc................ 3,020,499
------------
34,906,680
------------
FINANCIAL
INVESTMENTS -- 0.4%
5,500 Competitive Technologies,
Inc...................... 45,031
13,800 DVI, Inc................... 202,688
16,800 Igen International, Inc.... 474,599
19,300 Interpool, Inc............. 227,981
20,500 Royal Gold, Inc............ 89,688
8,200 US Energy Corp............. 14,863
10,000 Western Water Co........... 62,500
------------
1,117,350
------------
FOOD -- 2.4%
50,300 Cadiz, Inc................. 421,262
10,000 Celestial Seasonings,
Inc...................... 151,250
29,400 Dreyers Grand Ice Cream.... 327,075
3,900 Erly Industries, Inc....... 1,219
4,300 Eskimo Pie Corp............ 36,550
107,600 Flowers Industries, Inc.... 2,347,024
2,800 Gardenburger, Inc.......... 31,850
17,200 Hain Food Group, Inc....... 258,000
82,600 McCormick & Co............. 2,400,562
24,600 Northland Cranberries,
Inc., Class A............ 247,538
800 Opta Food Ingredients,
Inc...................... 3,100
15,500 Orange-co, Inc............. 90,094
6,500 Penford Corp............... 97,500
4,900 Suiza Foods................ 153,125
8,700 Tejon Ranch Co............. 204,994
10,300 Thorn Apple Valley, Inc.... 65,663
25,900 Triarc Companies, Inc...... 403,069
19,600 WLR Foods, Inc............. 151,900
------------
7,391,775
------------
HEALTH -- 0.4%
5,900 Daxor Corp................. 68,588
20,700 Enzo Biochem, Inc.......... 144,900
13,100 Impath, Inc................ 389,724
5,700 Integrated Orthopaedics,
Inc...................... 26,719
13,100 Laser Vision Centers,
Inc...................... 155,562
300 PMR Corp................... 2,063
19,100 Prime Medical Services,
Inc...................... 155,187
18,800 Psychemedics Corp.......... 94,000
4,700 Sun Healthcare Group,
Inc...................... 30,550
9,700 Transworld Healthcare,
Inc...................... 42,438
------------
1,109,731
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD -- 1.1%
19,500 Aldila, Inc................ $ 70,688
1,500 Atrion Corp................ 11,719
45,900 Blyth Industries, Inc...... 1,259,380
15,000 Callaway Golf Co........... 162,187
13,900 Cross (A.T.) Co., Class
A........................ 99,038
2,700 Cybex International,
Inc...................... 17,213
2,000 Galoob Toys, Inc........... 22,750
14,300 L.L. Knickerbocker Co...... 15,194
4,100 Mikohn Gaming Corp......... 15,888
600 Ohio Art Co................ 17,850
3,500 Raychem Corp............... 85,313
13,200 Simula, Inc................ 108,900
3,800 Sybron International
Corp..................... 72,675
20,600 Synetic, Inc............... 854,899
10,600 Toy Biz, Inc............... 72,875
36,100 Tupperware Corp............ 424,174
700 Windmere-Durable Holdings,
Inc...................... 3,938
------------
3,314,681
------------
INSURANCE -- 3.6%
16,000 20th Century Industries.... 410,000
10,700 Advance Paradigm, Inc...... 323,675
3,700 Allcity Insurance Co....... 26,363
2,600 American Indemnity
Financial Corp........... 32,500
8,300 AmerUS Life Holdings, Class
A........................ 182,081
12,400 Cincinnati Financial
Corp..................... 381,300
28,900 Citizens, Inc.............. 169,788
2,600 Comprehensive Care Corp.... 9,588
9,700 Core, Inc.................. 57,594
22,200 Danielson Holdings Corp.... 97,125
55,000 Erie Indemnity Co., Class
A........................ 1,498,749
11,900 Executive Risk, Inc........ 536,244
5,400 First Commonwealth, Inc.... 62,775
740 Frontier Insurance Group,
Inc...................... 9,805
31,200 Gainsco, Inc............... 224,250
53,200 HCC Insurance Holdings,
Inc...................... 1,030,749
4,700 Health Power, Inc.......... 18,213
1,500 Highlands Insurance
Group.................... 18,188
50 HSB Group, Inc............. 2,019
51,400 Leucadia National Corp..... 1,506,662
17,500 Maxicare Health Plans,
Inc...................... 54,688
100 MBIA, Inc.................. 5,369
6,400 Meadowbrook Insurance
Group.................... 160,000
10,700 Mercury General Corp....... 401,250
29,200 Mid Atlantic Medical
Services, Inc............ 158,775
16,000 Oxford Health Plans,
Inc...................... 166,000
300 RightCHOICE Managed Care,
Inc...................... 3,000
</TABLE>
See accompanying notes to the financial statements.
45
<PAGE> 46
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
18,100 RTW, Inc................... $ 91,631
1,000 State Auto Financial
Corp..................... 13,875
55,100 Wellpoint Health Networks,
Inc...................... 3,089,043
1,170 Wesco Financial Corp....... 346,320
------------
11,087,619
------------
LIQUOR & TOBACCO -- 0.2%
16,300 Consolidated Cigar
Holdings, Inc............ 161,981
15,200 Midwest Grain Products..... 159,600
10,300 Robert Mondavi Corp........ 229,819
------------
551,400
------------
MACHINERY -- 4.1%
50 A.S.V., Inc................ 881
7,100 Ag-Chem Equipment Co.,
Inc...................... 86,975
81,700 Agco Corp.................. 541,263
17,100 Brooks Automation, Inc..... 169,931
92,600 Case Corp.................. 2,014,049
9,700 CFM Technologies, Inc...... 71,538
22,500 Cooper Cameron Corp........ 632,813
28,500 Crown Cork & Seal Co....... 762,375
26,700 Cymer, Inc................. 243,638
1,300 FSI International, Inc..... 6,825
40,700 Harnischfeger Industries,
Inc...................... 457,875
30,100 Helix Technology Corp...... 297,238
3,300 Industrial Acoustics Co.... 32,175
9,300 Industrial Holdings,
Inc...................... 106,950
26,400 Integrated Process
Equipment Corp........... 198,000
14,586 Intermagnetics General
Corp..................... 102,102
20,100 Ionics, Inc................ 532,650
22,900 Kulicke & Soffa Industries,
Inc...................... 312,013
34,400 Lam Research Corp.......... 344,000
31,400 Littlefuse, Inc............ 624,075
39,900 McDermott International,
Inc...................... 1,074,805
6,600 Micrion Corp............... 39,600
2,800 Monarch Machine Tool Co.... 19,600
46,500 Novellus Systems, Inc...... 1,220,624
4,800 Osmonics, Inc.............. 49,800
68,300 Pall Corp.................. 1,515,405
900 PRI Automation, Inc........ 11,250
8,100 Recovery Engineering,
Inc...................... 67,838
24,100 Silicon Valley Group,
Inc...................... 192,800
5,500 Speedfam International,
Inc...................... 59,125
8,800 Thermo Power Corp.......... 79,200
17,500 Unique Mobility, Inc....... 89,688
1,000 United States Can Corp..... 14,625
2,200 United States Filter
Corp..................... 35,200
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
4,100 Veeco Instruments, Inc..... $ 129,150
7,100 Weatherford
International............ 153,538
16,200 Whittaker Corp............. 239,963
12,000 Wyman-Gordon Co............ 172,500
------------
12,702,077
------------
MEDIA -- 2.5%
21,700 Ackerley Group, Inc........ 428,575
3,000 American Banknote Corp..... 4,313
200 Belo (A.H.) Corp., Class
A........................ 4,000
6,800 Central Newspapers, Inc.... 387,600
6,700 Chancellor Media Corp...... 223,613
13,600 EmmisCommunications Corp.,
Class A.................. 513,400
29,900 Golden Books Family
Entertainment, Inc....... 4,672
6,100 Harvey Entertainment Co.... 55,663
27,500 Hollinger International,
Inc...................... 395,313
22,650 Lamar Advertising Co....... 634,200
28,000 Paxson Communications
Corp..................... 257,250
168,000 Primedia, Inc.............. 1,826,999
30,400 Spelling Entertainment
Group, Inc............... 214,700
2,000 The McClatchy Co........... 60,000
37,800 Univision Communications,
Inc...................... 1,124,550
55,400 World Color Press, Inc..... 1,717,399
------------
7,852,247
------------
METALS -- 3.4%
15,200 Acme Metals, Inc........... 37,050
13,600 Andrew Corp................ 180,200
59,300 ASARCO, Inc................ 1,134,113
95,400 Bethlehem Steel Corp....... 787,050
1,500 Commonwealth Industries,
Inc...................... 12,188
54,800 Commscope, Inc............. 633,625
124,700 Cyprus Amax Minerals Co.... 1,652,274
195,900 Freeport-McMoran Copper &
Gold, Inc., Class A...... 2,289,580
22,500 J & L Specialty Steel,
Inc...................... 116,719
53,300 Kaiser Aluminum Corp....... 326,463
14,600 Keystone Consolidated
Industries, Inc.......... 106,763
35,700 Lone Star Technologies,
Inc...................... 455,175
3,400 National-Standard Co....... 10,625
4,600 Northwest Pipe Co.......... 85,100
35,600 Oregon Steel Mills, Inc.... 418,300
15,600 Phelps Dodge Corp.......... 814,125
1,500 RTI International Metals,
Inc...................... 30,188
</TABLE>
See accompanying notes to the financial statements.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
9,600 WHX Corp................... $ 123,600
104,600 Worthington Industries,
Inc...................... 1,307,500
------------
10,520,638
------------
OFFICE MACHINERY -- 1.9%
5,800 Acres Gaming, Inc.......... 18,488
10,000 ACT Networks, Inc.......... 78,750
108,500 Adaptec, Inc............... 1,030,750
7,600 C-Cube Microsystems,
Inc...................... 133,000
7,600 Digital Link Corp.......... 29,450
7,200 Drexler Technology Corp.... 79,200
18,700 Electronics for Imaging,
Inc...................... 395,038
3,500 Exabyte Corp............... 22,750
21,000 Fore Systems, Inc.......... 349,125
4,900 HMT Technology Corp........ 38,281
9,700 In Focus Systems, Inc...... 58,200
9,700 Input Software, Inc........ 58,806
315,900 Iomega Corp................ 1,184,624
30,300 Mylex Corp................. 196,950
14,000 Network Computing Devices,
Inc...................... 84,875
9,500 Network Peripherals,
Inc...................... 28,500
8,100 ODS Networks, Inc.......... 36,450
3,500 PAR Technology Corp........ 20,125
13,100 Sandisk Corporation........ 101,525
11,500 Security Dynamics
Technologies, Inc........ 137,281
15,100 Shiva Corp................. 60,400
63,200 Silicon Graphics, Inc...... 592,500
9,700 Softnet Systems, Inc....... 98,213
19,100 Videoserver, Inc........... 205,325
74,000 Western Digital Corp....... 795,500
------------
5,834,106
------------
OIL -- 2.6%
8,000 Abraxas Petroleum Corp..... 55,000
2,400 Belco Oil & Gas Corp....... 16,200
41,800 Benton Oil & Gas Co........ 237,738
31,200 Coho Energy, Inc........... 151,125
55,800 Harken Energy Corp......... 191,813
22,700 HS Resources, Inc.......... 259,631
7,400 Mallon Resources Corp...... 63,825
35,000 Nuevo Energy Co............ 739,375
128,800 Oryx Energy Co............. 1,666,350
11,100 Pittston Minerals Group.... 34,688
58,600 Pogo Producing Co.......... 875,338
800 Sonat, Inc................. 23,900
273,300 Union Pacific Resources
Group.................... 3,365,005
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
23,500 Vintage Petroleum, Inc..... $ 270,250
11,700 Wiser Oil Co............... 62,156
------------
8,012,394
------------
OIL DISTRIBUTION -- 1.7%
10,600 Ashland, Inc............... 490,250
900 Crown Central Petrol Corp.,
Class A.................. 9,113
600 Dynegy, Inc................ 8,063
10,000 Forcenergy, Inc............ 58,125
19,500 Frontier Oil Corp.......... 126,750
4,400 Getty Realty Corp.......... 61,600
7,100 Quaker State Corp.......... 103,394
4,645 Semco Energy, Inc.......... 67,933
76,400 Tosco Corp................. 1,642,600
111,800 Ultramar Diamond Shamrock
Corp..................... 2,543,449
------------
5,111,277
------------
OIL SERVICES -- 0.4%
33,400 Nabors Industries, Inc..... 507,263
1,500 Noble Drilling Corp........ 22,125
11,200 Patterson Energy, Inc...... 74,200
32,200 Tidewater, Inc............. 668,150
------------
1,271,738
------------
OTHER UTILITIES -- 0.0%
1,200 Delta Natural Gas Co.,
Inc...................... 20,325
------------
PAPER -- 1.7%
200 American Pad & Paper Co.... 613
1,700 Badger Paper Mills, Inc.... 13,175
74,200 Boise Cascade Corp......... 1,878,187
900 Buckeye Technologies,
Inc...................... 16,256
12,700 Crown Vantage, Inc......... 42,863
62,400 Gaylord Container Corp.,
Class A.................. 202,800
5,800 Nashua Corp................ 85,550
26,200 Playtex Products, Inc...... 368,438
400 Pope & Talbot, Inc......... 3,900
54,600 Temple Inland, Inc......... 2,613,974
------------
5,225,756
------------
REAL ESTATE ASSETS -- 6.1%
3,600 Alexander's, Inc........... 276,300
192,400 Battle Mountain Gold Co.... 1,166,425
67,700 Catellus Development
Corp..................... 880,100
15,300 Centertrust Retail
Properties, Inc.......... 198,900
32,000 Chateau Communities,
Inc...................... 894,000
52,700 Getchell Gold Corp......... 1,109,994
68,000 Hecla Mining Co............ 344,250
</TABLE>
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS
(CONTINUED)
43,000 Homestake Mining Co........ $ 521,375
29,000 Insignia Financial Group... 286,375
19,333 Insignia/ESG Holdings,
Inc...................... 222,333
28,800 Irvine Apartment
Communities, Inc......... 774,000
10,100 Macerich Co................ 271,438
71,500 Mack-Cali Realty Corp...... 2,145,000
29,100 Mills Corp................. 676,575
24,900 Newmont Gold Co............ 636,506
202,600 Newmont Mining Corp........ 4,913,049
9,200 Rouse Co................... 247,825
15,100 Saul Centers, Inc.......... 256,700
92,300 Simon Property Group,
Inc...................... 2,745,925
25,300 Town & Country Trust....... 387,406
------------
18,954,476
------------
RETAIL/WHOLESALE -- 8.6%
28,600 AAR Corp................... 561,275
23,600 Action Performance
Companies, Inc........... 637,200
27,800 Agribiotech, Inc........... 309,275
87,200 Airgas, Inc................ 1,057,300
28,300 American Mobile Satellite
Corp..................... 148,575
1,900 Anicom, Inc................ 12,825
9,197 Aviation Sales Co.......... 266,138
3,300 Baker (J.), Inc............ 14,850
12,800 Barnes & Noble, Inc........ 345,600
14,100 Barnett, Inc............... 119,850
10,700 Bed Bath & Beyond, Inc..... 250,113
19,400 Bombay Company, Inc........ 103,063
5,700 Brightpoint, Inc........... 43,819
2,600 BTG, Inc................... 17,550
128,700 CompUSA, Inc............... 2,228,118
4,600 Cost Plus, Inc............. 122,475
4,700 Daisytek International
Corp..................... 105,750
4,600 dELiA*s, Inc............... 30,475
62,800 Dimon, Inc................. 663,325
1,500 DM Management Co........... 12,094
13,400 Eagle Hardware & Garden,
Inc...................... 290,613
25,900 Egghead.com, Inc........... 187,775
9,600 Finishmaster, Inc.......... 55,800
36,100 General Nutrition Cos...... 390,331
5,300 Glacier Water Services,
Inc...................... 145,750
2,600 Great Train Store Co....... 4,550
27,100 HA-LO Industries, Inc...... 792,675
4,000 Harold's Stores, Inc....... 26,500
5,100 Heilig Meyers Co........... 36,656
10,300 Homebase, Inc.............. 68,881
206,200 Ikon Office Solutions,
Inc...................... 1,482,062
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
30,600 Kent Electronics Corp...... $ 306,000
22,000 Keystone Automotive
Industries, Inc.......... 434,500
5,300 Lazare Kaplan
International, Inc....... 41,075
1,000 Michaels Stores, Inc....... 25,500
5,000 Nasch-Finch Co............. 73,438
77,400 Nordstrom, Inc............. 1,915,649
11,600 NuCo2, Inc................. 75,400
34,600 Owens & Minor, Inc......... 402,225
12,700 Party City Corp............ 166,688
8,500 Petsmart, Inc.............. 58,969
115,750 Pier One Imports........... 868,125
10,100 Pioneer Standard
Electronics, Inc......... 63,756
6,700 Recycling Industries,
Inc...................... 10,678
14,800 Richey Electronics, Inc.... 101,750
28,400 Safeguard Scientifics,
Inc...................... 736,625
26,300 Scios, Inc................. 149,581
4,900 Smart & Final, Inc......... 39,813
40,800 Stage Stores, Inc.......... 497,250
1,000 Standard Commercial
Corp..................... 7,438
30,900 Strategic Distribution,
Inc...................... 98,494
44,700 Summit Technology, Inc..... 166,228
23,800 Sunglass Hut International,
Inc...................... 136,850
1,700 Swiss Army Brands, Inc..... 17,000
61,700 Tech Data Corp............. 3,088,855
6,800 Tessco Technologies,
Inc...................... 140,250
41,600 Tiffany & Co............... 1,305,200
25,650 Trans World Entertainment
Corp..................... 468,113
1,300 Treadco, Inc............... 8,125
27,100 United Auto Group, Inc..... 384,481
900 Urban Outfitters, Inc...... 12,600
65,200 Vanstar Corp............... 643,850
1,300 West Marine, Inc........... 11,538
35,000 Whole Foods Market, Inc.... 1,474,374
18,000 Wild Oats Markets, Inc..... 488,250
54,900 Williams-Sonoma, Inc....... 1,170,056
10,100 Wilmar Industries, Inc..... 214,625
45,500 Zila, Inc.................. 204,750
------------
26,539,362
------------
SERVICES -- 8.7%
36,100 ABR Information Services,
Inc...................... 494,119
17,760 Acxiom Corp................ 440,670
41,400 Adobe Systems, Inc......... 1,436,062
4,300 Alarmguard Holdings,
Inc...................... 31,175
13,000 Alternative Resources
Corp..................... 82,875
16,700 American Superconductor.... 116,900
10,400 Analytical Surveys, Inc.... 241,800
</TABLE>
See accompanying notes to the financial statements.
48
<PAGE> 49
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
18,400 Applied Graphics
Technology, Inc.......... $ 230,000
400 Applied Microsystems
Corp..................... 1,450
22,800 Assisted Living Concepts,
Inc...................... 323,475
24,400 Aware, Inc................. 175,375
16,000 Carematrix Corp............ 364,000
34,500 CCC Information Services
Group, Inc............... 431,250
16,700 Cerner Corp................ 447,769
30,400 Clarify, Inc............... 307,800
19,800 Comforce Corp.............. 111,375
700 Computer Learning Centers,
Inc...................... 5,556
3,900 Computer Task Group,
Inc...................... 114,319
7,500 Comshare, Inc.............. 27,188
2,000 Conductus, Inc............. 5,000
11,900 CTC Communications Corp.... 67,681
12,000 Cyberguard Corp............ 17,250
3,200 Data Systems Network
Corp..................... 6,784
8,600 Data Transmission Network
Corp..................... 258,000
20,200 DBT Online, Inc............ 304,263
20,400 Documentum, Inc............ 808,349
62,600 Electronic Arts, Inc....... 2,746,574
4,200 Emeritus Corp.............. 45,413
15,900 Excalibur Technologies
Corp..................... 117,263
17,400 Forte Software, Inc........ 59,813
71,900 Gartner Group, Inc......... 1,500,912
1,000 Geotel Communications
Corp..................... 26,875
11,400 Geoworks Corp.............. 15,319
11,800 GRC International, Inc..... 54,575
53,000 H & R Block, Inc........... 2,192,874
22,500 Health Management Systems,
Inc...................... 172,969
12,100 HNC Software, Inc.......... 491,563
25,100 Identix, Inc............... 150,600
200 IDX Systems Corp........... 10,600
9,600 Incyte Pharmaceuticals,
Inc...................... 204,000
18,700 Information Management
Resources, Inc........... 462,825
22,800 Infoseek Corp.............. 561,450
11,000 Intelliquest Information
Group.................... 77,000
32,400 International Network
Services................. 1,344,599
25,400 LCC International, Inc..... 120,650
17,200 Learning Tree
International, Inc....... 220,375
9,900 Level 8 Systems, Inc....... 81,675
600 M/A/R/C, Inc............... 8,250
26,200 Mapics, Inc................ 578,038
8,800 Maxwell Technologies,
Inc...................... 184,800
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
900 Mecklermedia Corp.......... $ 17,663
2,500 Mecon, Inc................. 18,750
5,500 Memberworks, Inc........... 85,250
18,000 Metzler Group, Inc......... 616,500
14,100 Micrografx, Inc............ 133,950
21,500 MVSI, Inc.................. 37,625
20,500 Objective Systems
Integrators, Inc......... 123,000
36,400 Open Market, Inc........... 409,500
8,200 Paymentech, Inc............ 120,950
10,600 Pegasystems, Inc........... 162,975
12,800 Pharmacopeia, Inc.......... 128,000
15,300 Platinum Software Corp..... 156,825
11,900 Primark Corp............... 362,950
12,000 Protection One, Inc........ 117,000
53,800 PSINet, Inc................ 749,837
800 Quintiles Transnational
Corp..................... 35,000
33,000 Rollins, Inc............... 585,750
12,900 SatCon Technology Corp..... 72,563
2,500 Sonic Solutions............ 5,156
13,600 Spyglass, Inc.............. 173,400
7,400 Sterling Commerce, Inc..... 256,225
2,900 Sunrise Assisted Living,
Inc...................... 99,506
10,050 Sylvan Learning Systems,
Inc...................... 234,919
53,000 System Software Assoc...... 268,313
1,900 Tesseract Group, Inc....... 6,294
4,450 THQ, Inc................... 77,875
42,400 Transaction Systems
Architects, Inc., Class
A........................ 1,505,199
14,600 Transmedia Network, Inc.... 46,538
28,200 Valence Technology, Inc.... 119,850
8,000 Veritas Software Corp...... 442,000
7,600 Verity, Inc................ 52,250
32,500 Wind River Systems, Inc.... 1,535,624
9,500 Youth Services
International, Inc....... 29,688
------------
27,066,422
------------
SOAPS & COSMETICS -- 0.1%
3,100 Beauticontrol Cosmetics,
Inc...................... 22,088
900 Church & Dwight, Inc....... 26,438
12,900 French Fragrances, Inc..... 93,524
13,100 Tristar Corp............... 85,150
------------
227,200
------------
TELEPHONE -- 4.7%
36,500 Adelphia Communications,
Class A.................. 1,428,062
53,200 Cablevision Systems Corp.,
Class A.................. 2,297,574
</TABLE>
See accompanying notes to the financial statements.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
24,650 Cellular Communications
International, Inc....... $ 1,337,262
17,900 Centennial Cellular
Corp..................... 572,800
47,700 Century Communications
Corp., Class A........... 1,138,838
1 Citizens Utilities Co...... 5
31,200 E Spire Communications,
Inc...................... 280,800
5,900 Global Telecom Solutions,
Inc...................... 10,679
43,700 ICG Communications, Inc.... 737,438
2,900 Intellicall, Inc........... 5,981
22,000 Intermedia Communications
of Florida............... 540,375
54,500 McLeodUSA, Inc., Class A... 1,192,188
65,200 Metrocall, Inc............. 309,700
400 NTL, Inc................... 17,200
56,900 Omnipoint Corp............. 423,194
43,000 Paging Network, Inc........ 259,344
23,700 Powertel, Inc.............. 321,431
25,600 Skytel Communications,
Inc...................... 464,000
51,900 United International
Holdings, Class A........ 502,781
32,100 United States Satellite
Broadcasting Co.......... 226,706
31,300 Vanguard Cellular System,
Inc., Class A............ 594,700
59,300 Western Wireless Corp.,
Class A.................. 1,059,988
39,000 Winstar Communications,
Inc...................... 926,250
------------
14,647,296
------------
TEXTILES -- 1.5%
7,800 Chic by H.I.S., Inc........ 25,350
82,000 Collins & Aikman Corp...... 563,750
14,400 Cyrk, Inc.................. 151,200
36,800 Fruit Of the Loom, Inc..... 554,300
40,700 Interface, Inc............. 488,400
29,700 Nine West Group, Inc....... 284,006
43,500 Polymer Group, Inc......... 342,563
23,600 Reebok International,
Ltd...................... 320,075
700 Shaw Industries, Inc....... 11,375
2,500 Sport-Haley, Inc........... 25,000
8,500 Thomaston Mills, Inc.,
Class A.................. 38,250
64,300 Westpoint Stevens, Inc..... 1,961,150
------------
4,765,419
------------
TRANSPORTATION -- 1.1%
45,600 Air Express International
Corp..................... 729,600
3,200 Ambassadors International,
Inc...................... 57,600
2,000 American Classic Voyages
Co....................... 29,500
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
15,700 Eagle USA Airfreight,
Inc...................... $ 219,800
5,100 Expeditors International of
Washington, Inc.......... 141,525
21,300 Hvide Marine, Inc.......... 153,094
28,650 Iron Mountain, Inc......... 859,499
3,800 Marine Transport Corp...... 8,313
38,000 OMI Corp................... 154,375
16,200 SEACOR SMIT, Inc........... 672,300
9,700 Simon Transportation
Services, Inc............ 49,713
29,200 Wisconsin Central
Transportation Corp...... 408,800
------------
3,484,119
------------
TRAVEL/ENTERTAINMENT -- 2.2%
5,700 AMC Entertainment, Inc..... 74,100
3,200 Amerihost Properties,
Inc...................... 10,600
24,600 Ameristar Casinos, Inc..... 75,338
26,000 Apple South, Inc........... 289,250
38,700 Bally Total Fitness
Holdings................. 672,413
35,900 Boyd Gaming Corp........... 130,138
2,000 Bristol Hotels & Resorts,
Inc...................... 8,875
4,100 ELXSI Corp................. 38,950
20,000 Host Marriott Corp......... 253,750
68,600 International Game
Technology............... 1,273,387
4,200 J. Alexanders Corp......... 11,550
2,000 John Q. Hammons Hotels,
Inc...................... 9,000
74,500 Mirage Resorts, Inc........ 1,247,875
11,300 Penn National Gaming,
Inc...................... 90,400
84,600 Premier Parks, Inc......... 1,480,499
9,300 Sholodge, Inc.............. 37,200
19,400 Speedway Motorsports,
Inc...................... 366,175
37,600 Westwood One, Inc.......... 672,100
------------
6,741,600
------------
TOTAL COMMON STOCKS
(PROCEEDS
$335,471,397)............ 278,137,472
------------
PREFERRED STOCKS -- 0.0%
INSURANCE -- 0.0%
4,600 Capitol Transamerica
Corp..................... 88,550
------------
TOTAL PREFERRED STOCKS
(PROCEEDS $94,260)....... 88,550
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $335,565,657)--
90.1%.................... $278,226,022
============
</TABLE>
See accompanying notes to the financial statements.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
- --------------------------------------------------------------------------------
In principle, the Double Alpha Market Fund combines the return of the Barr
Rosenberg Market Neutral Fund with the return of the equity market by owning
shares of the Market Neutral Fund as well as entering into S&P 500 Index
Futures(1) contracts. For the period ended September 30, 1998, the positive
performance contribution of the Market Neutral Fund was overshadowed by the
decline in the S&P 500 Index and the impact of fund expenses. The S&P 500 Index
declined 9.09% between April 22, 1998 (inception date of the Fund) and September
30, 1998. Additionally, during this period, there were negative divergences
between the fair value of the futures contracts and the value of the underlying
S&P 500 Index. Only 95% of the value of the Fund is invested in shares of the
Barr Rosenberg Market Neutral Fund as 5% is reserved to provide collateral for
the futures contracts.
Investment in shares of the Barr Rosenberg Market Neutral Fund is more
volatile and risky than some other forms of investments. Since the Fund has both
a long and a short portfolio, an investment in the Barr Rosenberg Market Neutral
Fund will involve risks associated with twice the number of investment decisions
made for a typical stock fund. These types of funds typically have a high
portfolio turnover that could increase transaction costs and cause short-term
capital gains to be realized. While it may be the intent of the Manager to take
long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Investment in Index Futures involves risk. Positions in Index Futures may
be closed out by the Barr Rosenberg Double Alpha Market Fund only on the futures
exchanges on which the Index Futures are then traded. There can be no assurance
that a liquid market will exist for any particular contract at any particular
time.
Past performance does not guarantee future results.
- ---------------
(1) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
REGISTERED INVESTMENT COMPANY -- 97.9%
695,838 Barr Rosenberg Market Neutral Fund (b)...................... $ 7,104,504
------------
TOTAL REGISTERED INVESTMENT COMPANY (COST
$7,018,562) -- 97.9%...................................... 7,104,504
------------
TOTAL INVESTMENTS (COST $7,018,562) (A) -- 97.9%............ 7,104,504
OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.1%............... 149,376
------------
TOTAL NET ASSETS -- 100.0%.................................. $ 7,253,880
============
</TABLE>
- ---------------
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $85,942
Unrealized depreciation..................................... 0
-------
Net unrealized appreciation................................. $85,942
=======
</TABLE>
(b) Serves as collateral for future contracts.
<TABLE>
<CAPTION>
NUMBER
OF OPEN CURRENT
CONTRACTS CONTRACT TYPE POSITIONS MARKET VALUE
--------- ------------------------------------------------------------ ---------- ------------
<C> <S> <C> <C>
34 Long S&P 500 December 1998 Future $8,437,950 $8,721,000
</TABLE>
See accompanying notes to the financial statements.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL MARKET DOUBLE ALPHA
CAPITALIZATION CAPITALIZATION NEUTRAL MARKET
SERIES JAPAN SERIES SERIES FUND FUND
-------------- ------------ -------------- ------------ ------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (cost $569,107,225,
$1,118,402, $48,631,577, $337,480,938, and
$7,018,562, respectively)......................... $521,522,984 $ 934,511 $39,039,986 $296,124,167 $7,104,504
Deposits with brokers and custodian bank for
securities sold short............................. -- -- -- 292,364,776 --
Foreign currency, at value (cost $0, $211,633,
$919,612, $0, and $0, respectively)............... -- 208,352 916,538 -- --
Cash............................................... 16,105 6,277 403,968 -- --
Receivable for Fund shares sold.................... 3,500 -- -- 64,525 --
Receivable for securities sold short............... -- -- -- 2,607,577 --
Receivable for investments sold.................... 3,854,472 24,355 1,190,388 1,532,230 --
Dividends and interest receivable.................. 533,003 2,638 130,821 899,090 713
Receivable from Manager............................ -- -- 1,886 136 47,063
Deferred organizational expenses................... -- -- -- 28,251 14,131
Net receivable for variation margin on futures
contracts......................................... -- -- -- -- 191,250
Reclaim receivable................................. -- -- 70,980 -- --
------------ ----------- ----------- ------------ ----------
Total Assets.................................... 525,930,064 1,176,133 41,754,567 593,620,752 7,357,661
------------ ----------- ----------- ------------ ----------
LIABILITIES
Securities sold short (proceeds $0, $0, $0,
$335,565,657, and $0, respectively)............... -- -- -- 278,226,022 --
Payable to Custodian............................... -- -- -- -- 76,552
Payable for investments purchased.................. 6,297,367 209,994 1,556,579 5,003,673 --
Payable for Fund shares redeemed................... 111,317 -- -- 68,421 --
Payable for deferred organizational expenses....... -- -- -- -- 14,131
Payable for dividends on securities sold short..... -- -- -- 240,028 --
Accrued:
Manager fee....................................... 1,310,420 -- 55,716 1,339,543 2,914
Administration fee................................ 3,801 -- 297 2,245 --
Shareholder Services fee (Adviser Shares)......... 8,162 -- -- -- --
Shareholder Services fee (Select/Investor
Shares)......................................... 6,057 9 749 19,279 22
12b-1 fee (Select/Investor Shares)................ 4,552 9 434 11,678 39
Transfer agent fees............................... 5,291 1,458 2,837 4,930 920
Other accrued expenses............................ 24,056 7,662 49,200 31,172 9,203
Collateral for securities loaned, at value......... 2,500,452 -- -- -- --
------------ ----------- ----------- ------------ ----------
Total Liabilities............................... 10,271,475 219,132 1,665,812 284,946,991 103,781
------------ ----------- ----------- ------------ ----------
NET ASSETS......................................... $515,658,589 $ 957,001 $40,088,755 $308,673,761 $7,253,880
============ =========== =========== ============ ==========
Shares of beneficial interest outstanding
(unlimited shares authorized ):
Institutional Shares.............................. 61,133,171 241,967 4,684,480 24,659,391 793,666
Adviser Shares.................................... 2,990,057 -- -- -- --
Select/Investor Shares............................ 2,896,324 10,743 252,544 5,578,919 21,481
Net Asset value, offering price and redemption
price per share:
Institutional Shares.............................. $ 7.70 $ 3.79 $ 8.12 $ 10.21 $ 8.90
Adviser Shares.................................... 7.68 -- -- -- --
Select/Investor Shares............................ 7.66 3.78 8.10 10.18 8.89
NET ASSETS CONSIST OF:
Capital............................................ $570,950,407 $ 2,086,033 $49,290,621 $302,825,744 $8,118,361
Accumulated undistributed net investment
income/(loss)..................................... 904,819 (4,816) 390,988 5,587,738 (5,075)
Accumulated net realized gain/(loss) on
investments, securities sold short, foreign
currencies and futures contracts.................. (8,612,396) (937,699) (29,439) (15,722,585) (1,228,398)
Net unrealized appreciation/(depreciation) on
investments, securities sold short, foreign
currency transactions and futures contracts....... (47,584,241) (186,517) (9,563,415) 15,982,864 368,992
------------ ----------- ----------- ------------ ----------
TOTAL NET ASSETS................................... $515,658,589 $ 957,001 $40,088,755 $308,673,761 $7,253,880
============ =========== =========== ============ ==========
</TABLE>
See accompanying notes to the financial statements.
53
<PAGE> 54
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL MARKET DOUBLE ALPHA
CAPITALIZATION CAPITALIZATION NEUTRAL MARKET
SERIES JAPAN SERIES SERIES FUND FUND*
-------------- ------------ -------------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $0, $600,
$114,549, $0, and $0, respectively).............. $ 3,537,226 $ 3,400 $ 693,573 $ 1,321,660 $ --
Interest........................................... 270,807 -- -- 7,109,556 5,471
Security lending fees.............................. 46,198 -- -- -- --
------------- --------- ----------- ----------- ----------
Total Investment Income.......................... 3,854,231 3,400 693,573 8,431,216 5,471
------------- --------- ----------- ----------- ----------
Expenses:
Manager fees....................................... 2,712,521 4,365 224,158 2,636,314 2,914
Administration fees................................ 450,473 653 33,513 207,573 4,372
Shareholder Services fee (Adviser/Investor
Shares).......................................... 22,338 -- -- 47,264 46
Shareholder Services fee (Select Shares)........... 7,251 32 1,859 -- --
12b-1 fees (Select/Investor Shares)................ 76,674 119 5,299 121,770 350
Audit fees......................................... 13,796 7,673 10,114 14,614 8,832
Custodian fees..................................... 113,498 16,504 113,159 14,029 2,782
Fund accounting fees............................... 19,801 20,942 47,308 50,783 21,814
Legal fees......................................... 12,415 29 1,386 6,321 214
Registration and filing fees....................... 27,572 4,603 1,491 23,493 17,122
Transfer agent fees................................ 64,004 9,452 11,146 25,767 8,682
Trustees' fees..................................... 31,708 66 2,341 13,621 482
Organization expenses.............................. -- -- -- 2,499 --
Dividend expense for securities sold short......... -- -- -- 1,198,518 --
Other expenses..................................... 72,210 53 5,559 37,559 5,244
------------- --------- ----------- ----------- ----------
Total expenses before waivers/reimbursements..... 3,624,261 64,491 457,333 4,400,125 72,854
Less expenses waived/reimbursed.................. (223,753) (57,886) (123,617) (355,363) (62,308)
------------- --------- ----------- ----------- ----------
Total Net Expenses............................... 3,400,508 6,605 333,716 4,044,762 10,546
------------- --------- ----------- ----------- ----------
Net Investment Income/(Loss)........................ 453,723 (3,205) 359,857 4,386,454 (5,075)
------------- --------- ----------- ----------- ----------
Net Realized Gain/(Loss) on:
Investments........................................ (13,307,517) (156,578) 372,382 (10,610,320) 6,509
Securities sold short.............................. -- -- -- (2,998,331) --
Foreign currency transactions...................... -- 11,009 (7,370) -- --
Futures contracts.................................. -- -- -- -- (1,234,907)
Net Change in Unrealized Appreciation/(Depreciation)
on:
Investments........................................ (129,472,529) (33,293) (10,416,094) (42,024,263) 85,942
Securities sold short.............................. -- -- -- 57,339,635 --
Foreign currency transactions...................... -- (2,307) 31,698 -- --
Futures contracts.................................. -- -- -- -- 283,050
------------- --------- ----------- ----------- ----------
Net Realized and Unrealized Gain/(Loss) on
Investments, Securities Sold Short, Foreign
Currency Transactions and Futures Contacts......... (142,780,046) (181,169) (10,019,384) 1,706,721 (859,406)
------------- --------- ----------- ----------- ----------
Net increase/(decrease) in net assets resulting from
operations......................................... $(142,326,323) $(184,374) $(9,659,527) $ 6,093,175 $ (864,481)
============= ========= =========== =========== ==========
</TABLE>
- ---------------
* From commencement of operations on April 22, 1998.
See accompanying notes to the financial statements.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL CAPITALIZATION SERIES JAPAN SERIES
----------------------------------- -----------------------------------
SIX MONTHS ENDED SIX MONTHS ENDED
SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, YEAR ENDED
1998 MARCH 31, 1998 1998 MARCH 31, 1998
------------------ -------------- ------------------ --------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss)........................ $ 453,723 $ 475,937 $ (3,205) $ (7,910)
Net Realized Gain/(Loss) on:
Investments....................................... (13,307,517) 19,147,257 (156,578) (343,069)
Foreign currency transactions..................... -- -- 11,009 (2,126)
Net Change in Unrealized Appreciation/(Depreciation)
on:
Investments....................................... (129,472,529) 76,349,937 (33,293) 77,352
Foreign currency transactions..................... -- -- (2,307) (353)
------------ ------------- --------- -----------
Net increase/(decrease) in net assets resulting
from operations................................. (142,326,323) 95,973,131 (184,374) (276,106)
------------ ------------- --------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares.............................. -- (215,612) -- --
Adviser Shares.................................... -- -- -- --
Select Shares..................................... -- -- -- --
------------ ------------- --------- -----------
-- (215,612) -- --
------------ ------------- --------- -----------
Net realized gain on investments
Institutional Shares.............................. -- (17,308,082) -- --
Adviser Shares.................................... -- (857,326) -- --
Select Shares..................................... -- (904,903) -- --
------------ ------------- --------- -----------
-- (19,070,311) -- --
------------ ------------- --------- -----------
Net decrease in net assets resulting from
distributions................................... -- (19,285,923) -- --
------------ ------------- --------- -----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares.............................. 130,520,119 415,229,113 723,057 124,326
Adviser Shares.................................... 21,140,031 27,837,688 -- --
Select Shares..................................... 3,715,895 29,283,366 15,599 57,599
------------ ------------- --------- -----------
155,376,045 472,350,167 738,656 181,925
------------ ------------- --------- -----------
Proceeds from dividends reinvested
Institutional Shares.............................. -- 15,973,086 -- --
Adviser Shares.................................... -- 855,526 -- --
Select Shares..................................... -- 856,484 -- --
------------ ------------- --------- -----------
-- 17,685,096 -- --
------------ ------------- --------- -----------
Cost of shares redeemed
Institutional Shares.............................. (69,166,721) (47,544,332) (498,604) --
Adviser Shares.................................... (8,860,100) (12,678,996) -- --
Select Shares..................................... (8,427,264) (2,134,889) (14,567) (11,907)
------------ ------------- --------- -----------
(86,454,085) (62,358,217) (513,171) (11,907)
------------ ------------- --------- -----------
Net increase in net assets from shares of beneficial
interest.......................................... 68,921,960 427,677,046 225,485 170,018
------------ ------------- --------- -----------
Total increase/(decrease) in net assets............... (73,404,363) 504,364,254 41,111 (106,088)
NET ASSETS:
Beginning of period................................. 589,062,952 84,698,698 915,890 1,021,978
------------ ------------- --------- -----------
End of period....................................... $515,658,589 $ 589,062,952 $ 957,001 $ 915,890
============ ============= ========= ===========
</TABLE>
See accompanying notes to the financial statements.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL SMALL DOUBLE ALPHA
CAPITALIZATION SERIES MARKET NEUTRAL FUND MARKET FUND
--------------------------------- ------------------------------- ----------------
SIX MONTHS ENDED SIX MONTHS ENDED PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, YEAR ENDED SEPTEMBER 30, MARCH 31, SEPTEMBER 30,
1998 MARCH 31, 1998 1998 1998 * 1998 **
---------------- -------------- ---------------- ------------ ----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss)............ $ 359,857 $ 200,863 $ 4,386,454 $ 1,195,002 $ (5,075)
Net Realized Gain/(Loss) on:
Investments........................... 372,382 174,225 (10,610,320) 1,639,174 6,509
Securities sold short................. -- -- (2,998,331) (3,748,911) --
Foreign currency transactions......... (7,370) (2,034) -- -- --
Futures contracts..................... -- -- -- -- (1,234,907)
Net Change in Unrealized
Appreciation/(Depreciation) on:
Investments........................... (10,416,094) 783,154 (42,024,263) 17,558,684 85,942
Securities sold short................. -- -- 57,339,635 (16,891,192) --
Foreign currency transactions......... 31,698 (2,077) -- -- --
Futures contracts..................... -- -- -- -- 283,050
------------ ----------- ------------ ------------ -----------
Net increase/(decrease) in net assets
resulting from operations........... (9,659,527) 1,154,131 6,093,175 (247,243) (864,481)
------------ ----------- ------------ ------------ -----------
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.................. 14,915,403 33,199,668 130,873,133 174,349,116 9,862,232
Select/Investor Shares................ 1,479,338 1,450,168 36,275,010 36,924,433 401,058
------------ ----------- ------------ ------------ -----------
16,394,741 34,649,836 167,148,143 211,273,549 10,263,290
------------ ----------- ------------ ------------ -----------
Proceeds from dividends reinvested
Institutional Shares.................. -- 731,279 -- -- --
Select/Investor Shares................ -- 11,756 -- -- --
------------ ----------- ------------ ------------ -----------
-- 743,035 -- -- --
------------ ----------- ------------ ------------ -----------
Cost of shares redeemed
Institutional Shares.................. (6,949,541) (7,931,282) (52,226,746) (6,091,804) (1,958,042)
Select/Investor Shares................ (289,445) (323,070) (15,643,594) (1,631,719) (186,887)
------------ ----------- ------------ ------------ -----------
(7,238,986) (8,254,352) (67,870,340) (7,723,523) (2,144,929)
------------ ----------- ------------ ------------ -----------
Net increase in net assets from shares
of beneficial interest................ 9,155,755 27,138,519 99,277,803 203,550,026 8,118,361
------------ ----------- ------------ ------------ -----------
Total increase/(decrease) in net
assets.................................. (503,772) 27,548,442 105,370,978 203,302,783 7,253,880
NET ASSETS:
Beginning of period..................... 40,592,527 13,044,085 203,302,783 -- --
------------ ----------- ------------ ------------ -----------
End of period........................... $ 40,088,755 $40,592,527 $308,673,761 $203,302,783 $ 7,253,880
============ =========== ============ ============ ===========
</TABLE>
* From commencement of operations on December 16, 1997 (Institutional) and
December 18, 1997 (Investor).
** From commencement of operations on April 22, 1998.
See accompanying notes to the financial statements.
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
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 six portfolios: U.S. Small Capitalization Series, Japan Series,
International Small Capitalization Series, Market Neutral Fund, Double Alpha
Market Fund (commenced operations on April 22, 1998) and the Select Sectors
Market Neutral Fund (commenced operations on October 19, 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, Double Alpha
Market Fund and Select Sectors Market Neutral Fund are authorized to issue
Investor Shares. 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
market value. Existing shareholders 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. Effective, January 1, 1999, the U.S. Small Capitalization
Series will be closed to new investments, except that participants in 401(k)
plans may continue to purchase investments until and including June 30, 1999.
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.
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
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 investments includes 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 on investments 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 and Select Sectors Market Neutral Fund are
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 September 30, 1998, the value of securities
sold short in the Market Neutral Fund amounted to $278,226,022 against
which collateral of $588,488,943 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.
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
At September 30, 1998, the value of securities loaned amounted to
$2,031,356 against which cash collateral of $2,500,452 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, 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 were 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>
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
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
International Small Capitalization Series, 1.90% for the Market Neutral Fund,
0.10% for the Double Alpha Market Fund and 1.00% for the Select Sectors 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, 1.50% of the average net assets
of the Japan Series and International Small Capitalization Series, 0.35% of the
average net assets of the Double Alpha Market Fund and 1.25% of the average net
assets of the Select Sectors Market Neutral Fund. The Manager has agreed to
maintain an operating expense ratio, including the management fee but excluding
the Shareholder Service fees and the Distribution fees, for the Market Neutral
Fund of 2.00% of the average net assets, exclusive of the dividend expense on
short sales. For the six months ended September 30, 1998, the amount of such
waivers totaled $0, $4,365, $105,291, $208,999 and $2,914 for the U.S. Small
Capitalization Series, Japan Series, International Small Capitalization Series,
Market Neutral Fund, and Double Alpha Market Fund, respectively. For the six
months ended September 30, 1998 the amount of such reimbursements totaled $0,
$52,808, $1,886, $136, and $54,845 for the U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, Market Neutral Fund and
Double Alpha Market 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, International Small Capitalization Series and Market Neutral Fund. In
addition, the Administrator has agreed to waive all fees in the Japan Series and
the Double Alpha Market Fund until the net assets reach $25 million. For the six
months ended September 30, 1998, the amount of such waivers totaled $185,416,
$653, $13,790, $85,343 and $4,372 for the U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, Market Neutral Fund and
the Double Alpha Market 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, International Small
Capitalization Series, $50,000 for the Market Neutral Fund and Select Sectors
Market Neutral Fund and $40,000 for the Double Alpha Market Fund and is
reimbursed for certain out-of-pocket expenses incurred in providing fund
accounting services
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% of the
average daily net assets. For the six months ended September 30, 1998, the U.S.
Small Capitalization Series, Japan Series, International Small Capitalization
Series, Market Neutral Fund and the Double Alpha Market Fund incurred
distribution expenses in the amount of $76,674, $119, $5,299, $121,770, and
$350, respectively. Of these amounts, the Distributor retained $17,177, $30,
$532, $11,699 and $141 and waived $38,337, $60, $2,650, $60,885 and $177 for the
U.S. Small Capitalization Series, Japan Series, International Small
Capitalization Series, Market Neutral Fund and the Double Alpha Market Fund,
respectively.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
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 six months ended September 30, 1998, the Shareholder Services
Fee attributable to the Adviser, Select and Investor Shares were as follows:
<TABLE>
<CAPTION>
ADVISER SELECT INVESTOR
SHARES SHARES SHARES
------- ------ --------
<S> <C> <C> <C>
U.S. Small Capitalization Series............................ 0.17% 0.05% --
Japan Series................................................ -- 0.13% --
International Small Capitalization Series................... -- 0.18% --
Market Neutral Fund......................................... -- -- 0.20%
Double Alpha Market Fund.................................... -- -- 0.06%
</TABLE>
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 capital 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.
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
5. -- SECURITY PURCHASES AND SALES. For the six months ended September 30,
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............................ $446,389,083 $375,394,610
Japan Series................................................ 956,499 748,243
International Small Capitalization Series................... 30,269,434 21,145,814
Market Neutral Fund......................................... 565,175,486 568,788,374
Double Alpha Market Fund.................................... 11,543,571 4,532,789
</TABLE>
6. -- TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of
$37,950 plus a $4,125 meeting fee for each meeting attended. As of October 19,
1998, unaffiliated Trustees will each receive an annual fee of $45,540 plus a
$4,950 meeting fee for each meeting attended.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED SEPTEMBER 30, 1998
-------------------------------------------------------------------
INTERNATIONAL DOUBLE
U.S. SMALL SMALL MARKET ALPHA
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET
SERIES SERIES SERIES FUND FUND **
-------------- -------- -------------- ---------- ---------
<S> <C> <C> <C> <C> <C>
Shares sold:
Institutional...... 14,192,743 179,905 1,545,208 12,935,180 1,004,240
Adviser............ 2,254,530 -- -- -- --
Select/Investor.... 397,059 3,233 146,051 3,591,443 41,424
----------- -------- --------- ---------- ---------
16,844,332 183,138 1,691,259 16,526,623 1,045,664
----------- -------- --------- ---------- ---------
Issued upon
reinvestment of
distributions:
Institutional...... -- -- -- -- --
Adviser............ -- -- -- -- --
Select/Investor.... -- -- -- -- --
----------- -------- --------- ---------- ---------
-- -- -- -- --
----------- -------- --------- ---------- ---------
Shares redeemed:
Institutional...... (8,152,408) (121,353) (744,017) (5,135,927) (210,574)
Adviser............ (1,053,320) -- -- -- --
Select/Investor.... (966,958) (3,093) (29,737) (1,549,947) (19,943)
----------- -------- --------- ---------- ---------
(10,172,686) (124,446) (773,754) (6,685,874) (230,517)
----------- -------- --------- ---------- ---------
Net
increase/(decrease)
Institutional...... 6,040,335 58,552 801,191 7,799,253 793,666
Adviser............ 1,201,210 -- -- -- --
Select/Investor.... (569,899) 140 116,314 2,041,496 21,481
----------- -------- --------- ---------- ---------
6,671,646 58,692 917,505 9,840,749 815,147
=========== ======== ========= ========== =========
<CAPTION>
YEAR/PERIOD ENDED MARCH 31, 1998
-----------------------------------------------------
INTERNATIONAL
U.S. SMALL SMALL MARKET
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL
SERIES SERIES SERIES FUND *
-------------- ------ -------------- ----------
<S> <C> <C> <C> <C>
Shares sold:
Institutional...... 47,015,598 20,749 3,397,025 17,468,715
Adviser............ 3,077,253 -- -- --
Select/Investor.... 3,268,357 10,839 149,355 3,701,007
---------- ------ --------- ----------
53,361,208 31,588 3,546,380 21,169,722
---------- ------ --------- ----------
Issued upon
reinvestment of
distributions:
Institutional...... 1,792,715 -- 82,129 --
Adviser............ 96,019 -- -- --
Select/Investor.... 96,342 -- 1,325 --
---------- ------ --------- ----------
1,985,076 -- 83,454 --
---------- ------ --------- ----------
Shares redeemed:
Institutional...... (5,225,333) -- (865,143) (608,577)
Adviser............ (1,413,595) -- -- --
Select/Investor.... (231,371) (2,284) (32,677) (163,584)
---------- ------ --------- ----------
(6,870,299) (2,284) (897,820) (772,161)
---------- ------ --------- ----------
Net
increase/(decrease)
Institutional...... 43,582,980 20,749 2,614,011 16,860,138
Adviser............ 1,759,677 -- -- --
Select/Investor.... 3,133,328 8,555 118,003 3,537,423
---------- ------ --------- ----------
48,475,985 29,304 2,732,014 20,397,561
========== ====== ========= ==========
</TABLE>
- ---------------
* The fund commenced operations on December 16, 1997 (Institutional shares) and
December 18, 1997 (Investor shares).
** The fund commenced operations on April 22, 1998.
7. -- 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.
8. -- CONCENTRATION OF CREDIT. At September 30, 1998, the U.S. Small
Capitalization Series had the following industry concentrations in excess of 10%
of its net assets: Services -- 14.9%. The Japan Series had the following
industry concentrations in excess of 10% of its net assets: Banking -- 12.2% and
Durables -- 12.2%. The International Small Capitalization Series had the
following country concentrations in excess of 10% of its net assets: United
Kingdom -- 21.7% and Japan -- 15.2%. The Market Neutral Fund had the following
industry concentrations in excess of 10% of its net assets: Services -- 11.4%.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SEPTEMBER 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
9. -- 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.
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>
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED MARCH 31,
SEPTEMBER 30, 1998 ------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
------------------ -------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period........................... $ 9.76 $ 7.13 $ 7.60 $ 6.97 $ 7.36 $ 12.33
-------- -------- ------- ------- ------- -------
Income from investment operations:
Net investment income/(loss)..... 0.01** 0.02** 0.04 0.03 0.01 0.08
Net realized and unrealized
gain/(loss) on investments.... (2.07) 3.14 1.39 2.34 0.78 1.28
-------- -------- ------- ------- ------- -------
Total from investment
operations.................... (2.06) 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... $ 7.70 $ 9.76 $ 7.13 $ 7.60 $ 6.97 $ 7.36
======== ======== ======= ======= ======= =======
Total return....................... (21.11%) 44.95% 19.53% 35.69% 12.21% 12.83%
RATIOS TO AVERAGE NET
ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period
(000)....................... $470,524 $537,891 $82,116 $60,046 $56,910 $52,500
Net investment income/(loss)
before
waivers/reimbursements...... 0.11%* 0.04% (0.12%) 0.22% 0.33% 0.36%
Net investment income/(loss)
net of
waivers/reimbursements...... 0.13%* 0.19% 0.35% 0.47% 0.60% 0.60%
Expenses before
waivers/reimbursements...... 1.17%* 1.30% 1.54% 1.15% 1.17% 1.14%
Expenses net of
waivers/reimbursements...... 1.15%* 1.15% 1.07% 0.90% 0.90% 0.90%
Portfolio turnover rate....... 65.06% 77.70% 126.83% 71.87% 57.27% 59.61%
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR FOR THE PERIOD
SEPTEMBER 30, 1998 ENDED ENDED
(UNAUDITED) MARCH 31, 1998 MARCH 31, 1997(a)
------------------ -------------- -----------------
<S> <C> <C> <C>
ADVISER SHARES
Net asset value, beginning of period................. $ 9.75 $ 7.14 $ 7.38
------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... --** (0.01)** 0.02
Net realized and unrealized gain/(loss) on
investments..................................... (2.07) 3.14 (0.26)
------- ------- -------
Total from investment operations................... (2.07) 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....................... $ 7.68 $ 9.75 $ 7.14
======= ======= =======
Total return......................................... (21.23%) 44.50% (3.25%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)................. $22,952 $17,448 $ 208
Net investment income/(loss) before
waivers/reimbursements........................ (0.05%)* (0.22%) 0.07%*
Net investment income/(loss) net of
waivers/reimbursements........................ (0.03%)* (0.06%) 0.46%*
Expenses before waivers/reimbursements.......... 1.34%* 1.56% 1.54%*
Expenses net of waivers/reimbursements.......... 1.32%* 1.40% 1.15%*
Portfolio turnover rate......................... 65.06% 77.70% 126.83%
</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.
66
<PAGE> 67
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR FOR THE PERIOD
SEPTEMBER 30, 1998 ENDED ENDED
(UNAUDITED) MARCH 31, 1998 MARCH 31, 1997(a)
------------------ -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period................. $ 9.73 $ 7.13 $ 8.49
------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... (0.01)** (0.02)** 0.07
Net realized and unrealized gain/(loss) on
investments..................................... (2.06) 3.14 0.47
------- ------- -------
Total from investment operations................... (2.07) 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....................... $ 7.66 $ 9.73 $ 7.13
======= ======= =======
Total return......................................... (21.27%) 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)................. $22,183 $33,724 $ 2,375
Net investment income/(loss) before
waivers/reimbursements........................ (0.45%)* (0.70%) 0.07%*
Net investment income/(loss) net of
waivers/reimbursements........................ (0.19%)* (0.24%) 0.46%*
Expenses before waivers/reimbursements.......... 1.71%* 2.05% 1.54%*
Expenses net of waivers/reimbursements.......... 1.45%* 1.59% 1.15%*
Portfolio turnover rate......................... 65.06% 77.70% 126.83%
</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.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED MARCH 31,
SEPTEMBER 30, 1998 ------------------------------------------------
(UNAUDITED) 1998 1997 1996 1995 1994
------------------ ------- ------- ------ ------ ------
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period......................... $ 4.72 $ 6.20 $ 8.77 $ 8.96 $ 8.25 $ 6.94
---------- ------- ------- ------ ------ ------
Income from investment
operations:
Net investment income/(loss)... (0.02)** (0.04)** (0.05)** 0.04 0.10 (0.01)
Net realized and unrealized
gain/(loss) on investments
and foreign currency
transactions................ (0.91) (1.44) (2.45) (0.15) 0.63 1.41
---------- ------- ------- ------ ------ ------
Total from investment
operations.................. (0.93) (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... $ 3.79 $ 4.72 $ 6.20 $ 8.77 $ 8.96 $ 8.25
========== ======= ======= ====== ====== ======
Total return..................... (19.70%) (23.87%) (28.68%) (1.20%) 8.86% 20.35%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net assets, end of period
(000)..................... $ 916 $ 866 $ 1,009 $1,378 $1,385 $1,258
Net investment income/(loss)
before
waivers/reimbursements.... (13.96%)* (13.49%) (12.54%) (6.38%) (6.22%) (6.89%)
Net investment income/(loss)
net of
waivers/reimbursements.... (0.71%)* (0.74%) (0.63%) (0.22%) (0.20%) (0.26%)
Expenses before
waivers/reimbursements.... 14.75%* 14.25% 13.33% 7.16% 7.02% 7.63%
Expenses net of
waivers/reimbursements.... 1.50%* 1.50% 1.42% 1.00% 1.00% 1.00%
Portfolio turnover rate..... 85.58% 102.13% 51.70% 60.60% 57.10% 74.60%
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR FOR THE PERIOD
SEPTEMBER 30, ENDED ENDED
1998 MARCH 31, MARCH 31,
(UNAUDITED) 1998 1997(a)
------------------ -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period................. $ 4.71 $ 6.20 $ 8.08
------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... (0.02)** (0.04)** (0.01)**
Net realized and unrealized gain/(loss) on
investments and foreign currency transactions... (0.91) (1.45) (1.80)
------- ------- -------
Total from investment operations................... (0.93) (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....................... $ 3.78 $ 4.71 $ 6.20
======= ======= =======
Total return......................................... (19.75%) (24.03%) (22.59%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000).................... $ 41 $ 50 $ 13
Net investment income/(loss) before
waivers/reimbursements.......................... (14.89%)* (9.10%) (11.83%)*
Net investment income/(loss) net of
waivers/reimbursements.......................... (1.23%)* (0.82%) 0.00%*
Expenses before waivers/reimbursements............. 15.54%* 10.12% 13.33%*
Expenses net of waivers/reimbursements............. 1.88%* 1.85% 1.50%*
Portfolio turnover rate............................ 85.58% 102.13% 51.70%
</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.
69
<PAGE> 70
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR FOR THE PERIOD
SEPTEMBER 30, 1998 ENDED ENDED
(UNAUDITED) MARCH 31, 1998 MARCH 31, 1997(a)
------------------ -------------- -----------------
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period................. $ 10.10 $ 10.13 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... 0.08** 0.08** 0.02**
Net realized and unrealized gain/(loss) on
investment and foreign currency transactions.... (2.06) 0.14 0.11
------- ------- -------
Total from investment operations................... (1.98) 0.22 0.13
------- ------- -------
Distributions to shareholders from:
Net investment income.............................. -- (0.05) --
Net realized gain on investments and foreign
currency transactions........................... -- (0.06) --
In excess of net realized gain on investments and
foreign currency transactions................... -- (0.14) --
------- ------- -------
Total distributions to shareholders................ -- (0.25) --
------- ------- -------
Net asset value, end of period....................... $ 8.12 $ 10.10 $ 10.13
======= ======= =======
Total return......................................... (19.60%) 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)................. $38,044 $39,218 $12,859
Net investment income/(loss) before
waivers/reimbursements........................ 1.09%* (0.32%) (5.85%)*
Net investment income/(loss) net of
waivers/reimbursements........................ 1.60%* 0.82% 0.11%*
Expenses before waivers/reimbursements.......... 2.01%* 2.64% 7.46%*
Expenses net of waivers/reimbursements.......... 1.50%* 1.50% 1.50%*
Portfolio turnover rate......................... 49.47% 77.72% 6.71%
</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.
70
<PAGE> 71
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR FOR THE PERIOD
SEPTEMBER 30, 1998 ENDED ENDED
(UNAUDITED) MARCH 31, 1998 MARCH 31, 1997(a)
------------------ -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period................. $ 10.09 $ 10.13 $ 10.04
------- ------- -------
Income from investment operations:
Net investment income/(loss)....................... 0.05** 0.06** 0.02**
Net realized and unrealized gain/(loss) on
investments and foreign currency transactions... (2.04) 0.14 0.07
------- ------- -------
Total from investment operations................... (1.99) 0.20 0.09
------- ------- -------
Distributions to shareholders from:
Net investment income.............................. -- (0.04) --
Net realized gain on investments and foreign
currency transactions........................... -- (0.06) --
In excess of net realized gain on investments and
foreign currency transactions................... -- (0.14) --
------- ------- -------
Total distributions to shareholders................ -- (0.24) --
------- ------- -------
Net asset value, end of period....................... $ 8.10 $ 10.09 $ 10.13
======= ======= =======
Total return......................................... (19.72%) 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)................. $ 2,045 $ 1,375 $ 185
Net investment income/(loss) before
waivers/reimbursements........................ 0.33%* (0.83%) (5.52%)*
Net investment income/(loss) net of
waivers/reimbursements........................ 1.09%* 0.61% 0.44%*
Expenses before waivers/reimbursements.......... 2.69%* 3.35% 7.46%*
Expenses net of waivers/reimbursements.......... 1.93%* 1.91% 1.50%*
Portfolio turnover rate......................... 49.47% 77.72% 6.71%
</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.
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS
ENDED FOR THE PERIOD
SEPTEMBER 30, ENDED
1998 MARCH 31,
(UNAUDITED) 1998(a)
-------------- ------------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 9.97 $ 10.00
-------- --------
Income from investment operations:
Net investment income/(loss).............................. 0.16** 0.10**
Net realized and unrealized gain/(loss) on investments.... 0.08 (0.13)
-------- --------
Total from investment operations.......................... 0.24 (0.03)
-------- --------
Distributions to shareholders from:
Net investment income..................................... -- --
Net realized gain on investments.......................... -- --
-------- --------
Total distributions to shareholders....................... -- --
-------- --------
Net asset value, end of period.............................. $ 10.21 $ 9.97
======== ========
Total return................................................ 2.41% (0.30%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $251,875 $168,080
Net investment income/(loss) before
waivers/reimbursements................................. 3.03%* 2.72%*
Net investment income/(loss) net of
waivers/reimbursements................................. 3.21%* 3.31%*
Expenses before waivers/reimbursements and dividend
expense................................................ 3.05%* 3.33%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.87%* 2.75%*
Expenses net of waivers/reimbursements and dividend
expense................................................ 2.00%* 2.00%*
Portfolio Turnover Rate................................... 233.19% 232.93%
</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.
72
<PAGE> 73
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX FOR THE
MONTHS ENDED PERIOD
SEPTEMBER 30, ENDED
1998 MARCH 31,
(UNAUDITED) 1998(a)
------------------ --------------
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 9.96 $ 10.00
------- -------
Income from investment operations:
Net investment income/(loss).............................. 0.14** 0.08**
Net realized and unrealized gain/(loss) on investments.... 0.08 (0.12)
------- -------
Total from investment operations.......................... 0.22 (0.04)
------- -------
Distributions to shareholders from:
Net investment income..................................... -- --
Net realized gain on investments.......................... -- --
------- -------
Total distributions to shareholders....................... -- --
------- -------
Net asset value, end of period.............................. $ 10.18 $ 9.96
======= =======
Total return................................................ 2.21% (0.40%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $56,799 $35,223
Net investment income/(loss) before
waivers/reimbursements................................. 2.34%* 2.28%*
Net investment income/(loss) net of
waivers/reimbursements................................. 2.77%* 2.82%*
Expenses before waivers/reimbursements and dividend
expense................................................ 3.75%* 3.87%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 3.32%* 3.34%*
Expenses net of waivers/reimbursements and dividend
expense................................................ 2.45%* 2.50%*
Portfolio turnover rate................................... 233.19% 232.93%
</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.
73
<PAGE> 74
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
SEPTEMBER 30, 1998
(UNAUDITED) (a)
------------------
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.00
-------
Income from investment operations:
Net investment income/(loss).............................. (0.07)**
Net realized and unrealized gain/(loss) on investments.... (1.03)
-------
Total from investment operations.......................... (1.10)
-------
Distributions to shareholders from:
Net investment income..................................... --
Net realized gain on investments.......................... --
-------
Total distributions to shareholders....................... --
-------
Net asset value, end of period.............................. $ 8.90
=======
Total return................................................ (11.00%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $ 7,063
Net investment income/(loss) before
waivers/reimbursements................................ (2.28%)*
Net investment income/(loss) net of
waivers/reimbursements................................ (0.17%)*
Expenses before waivers/reimbursements................. 2.46%*
Expenses net of waivers/reimbursements................. 0.35%*
Portfolio Turnover Rate................................ 79.32%
</TABLE>
- ---------------
* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on April 22, 1998 to September 30, 1998.
See accompanying notes to the financial statements.
74
<PAGE> 75
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED
SEPTEMBER 30, 1998
(UNAUDITED) (a)
---------------------
<S> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 10.00
-------
Income from investment operations:
Net investment income/(loss).............................. (0.09)**
Net realized and unrealized gain/(loss) on investments.... (1.02)
-------
Total from investment operations.......................... (1.11)
-------
Distributions to shareholders from:
Net investment income..................................... --
Net realized gain on investments.......................... --
-------
Total distributions to shareholders....................... --
-------
Net asset value, end of period.............................. $ 8.89
=======
Total return................................................ (11.10%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $ 191
Net investment income/(loss) before
waivers/reimbursements................................ (2.58%)*
Net investment income/(loss) net of
waivers/reimbursements................................ (0.45%)*
Expenses before waivers/reimbursements................. 2.79%*
Expenses net of waivers/reimbursements................. 0.66%*
Portfolio turnover rate................................ 79.32%
</TABLE>
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* Annualized.
** Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on April 22, 1998 to September 30, 1998.
See accompanying notes to the financial statements.
75
<PAGE> 76
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
PricewaterhouseCoopers 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-0043) (9/98)
------------------------------------------------
BARR ROSENBERG SERIES TRUST
------------------------------------------------
JAPAN SERIES
INTERNATIONAL SMALL
CAPITALIZATION SERIES
MARKET NEUTRAL FUND
DOUBLE ALPHA MARKET FUND
U.S. SMALL CAPITALIZATION SERIES
SEMI-ANNUAL REPORT
------------------------------------------------
SEPTEMBER 30, 1998
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