<PAGE> 1
BARR ROSENBERG SERIES Trust
----------------------------------------------------
U.S. SMALL CAPITALIZATION SERIES
JAPAN SERIES
INTERNATIONAL SMALL CAPITALIZATION SERIES
MARKET NEUTRAL FUND
DOUBLE ALPHA MARKET FUND
SELECT SECTORS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
November 1, 1999
Dear Fellow Shareholder:
There was plenty of bad news for investors in the third quarter of 1999 as
equity prices experienced a 10% correction from their earlier highs. By
September 30, the major stock markets had taken back almost all of their earlier
gains, and fully two-thirds of all domestic equities generated negative returns
for the first nine months of 1999. In fact, if it were not for the strength of
technology stocks, the U.S. equity market, as measured by the S&P 500(1), would
have posted a negative return for the first three quarters of 1999.
The U.S. equity market decline in the third quarter cut across the
capitalization spectrum. As a result of the broad market weakness, the strong
relative gains made by small capitalization stocks in the quarter ended June 30,
1999, proved to be short lived. In addition, the rally among value stocks
relative to growth stocks that began in April faded as the third quarter
progressed. By the end of the third quarter, the leadership of the small
capitalization market was, as it has been for most of the past year, back in the
hands of the most actively traded growth stocks.
In contrast to an essentially flat U.S. equity market, as measured by the
S&P 500 Index, international markets posted gains for the six months ended
September 30, 1999. Both large and small capitalization stocks posted positive
returns with small capitalization stocks out performing large capitalization
stocks. The Japanese equity market rebounded dramatically during this period
posting double digit gains in both the large and small capitalization sectors.
AXA Rosenberg Investment Management, the Funds' investment manager, uses
quantitative, proprietary computer investment models for stock selection and
portfolio construction. These models tend to produce a "value" style of
management by favoring securities believed to be selling below a price that
would accurately value the underlying company. The models are based on several
assumptions including (1) the capital market is efficient and (2) investors are
rational. In market environments where "high trading activity growth stocks"(2)
are the leaders, AXA Rosenberg has observed that these are also market
environments where investors focus more on the compelling stories surrounding
these stocks than on their fundamental financial characteristics. Investors'
overly optimistic expectations for these companies create an irrational
disconnect between prices and the underlying fundamentals and earnings prospects
for these companies.
Fund performance for the six months ended September 30, 1999, was mixed.
The U.S. Small Capitalization Fund, the International Small Capitalization Fund
and the Japan Fund outperformed their benchmarks for the period(3). The persis-
- ---------------
1The S&P 500 Index is an unmanaged, broad-based index of 500 widely held common
stocks. Investors cannot invest directly in any Index.
2Highest price multiples and highest trailing 12-month share turnover.
3Past performance is no guarantee of future results.
1
<PAGE> 2
tence of the high trading activity growth stocks as market leaders continued to
negatively impact the performance of our market neutral type funds. Please see
the Financial Highlights for performance information.
Three years ago, we launched the International Small Capitalization Fund.
As of September 30, 1999, the Fund (Institutional Shares) received 3 stars for
the three-year period by Morningstar. It was rated among 1,025 international
equity funds(4). We believe that the International Small Capitalization Fund
offers a means of diversification to investors whose portfolios are concentrated
in U.S. equities and want exposure to the growth potential of the mature
international markets.
We are continually searching for new ways to provide you with timely
information, and we believe the internet is the ideal tool. Daily Net Asset
Values, performance information and quarterly performance commentaries are
available on our web site www.brmf.com. Additionally, if you have any ideas on
how to make our reports more useful to you, please e-mail me directly at
[email protected]
Thank you for your trust and confidence,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President and CEO
Barr Rosenberg Mutual Funds
- ---------------
4Morningstar proprietary ratings reflect risk adjusted performance through
September 30, 1999. The ratings are subject to change every month. Past
performance is no guarantee of future results. Morningstar ratings are
calculated from a fund's three-year returns in excess of 90-day Treasury bill
returns, and a risk factor that reflects fund performance below 90-day T-bill
returns. The Fund received 3 stars for the three-year period. It was rated
among 1,025 international equity funds. Ten percent of the funds in a rating
category receive 5 stars, 22.5% receive 4 stars, 35% receive 3 stars, 22.5%
receive 2 stars and 10% receive 1 star. Returns used to calculate the
Morningstar rating may reflect a waiver of a portion of the Fund's advisory or
administrative fees for certain periods since the inception date. In such
instances, and without the waiver of fees, total return would have been lower.
2
<PAGE> 3
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
Thanks to a strong second quarter rally, the U.S. small capitalization
sector led the rest of the equity markets during the six months ended September
30, 1999. During the second quarter, the Russell 2000 Index(1) rose 15.55%
compared with an increase of 7.05% for the S&P 500 Index(2). The second quarter
marked just the second quarter in the past three years in which small
capitalization stocks outperformed large capitalization stocks. The small cap
rally proved relatively short lived as small and large capitalization stocks
fell by similar amounts during the third quarter market decline. Over the last
six months, the Russell 2000 Index has risen 8.25% while the S&P 500 Index has
increased just 0.37%.
Small capitalization value stocks also staged a modest rally during the
second quarter after lagging growth stocks substantially during the prior two
quarters. In the second quarter, the Russell 2000 Value Index(3) rose 16.55%
compared with an increase of 14.55% for the Russell 2000 Growth Index(4). While
the 2% value over growth seems small, it marked a sizable shift from the prior
two quarters when small cap value underperformed growth by 23%. However, the
value stock rally fizzled during the third quarter. For the six months ended
September 30, 1999, the Russell 2000 Value Index rose 7.43% compared with a
9.07% increase in the Russell 2000 Growth Index.
PORTFOLIO REPORT
The Fund outperformed the Russell 2000 Index during the six months ended
September 30, 1999, despite the continuation of a market environment that, for
most of the past year, has been generally unfavorable to the Manager's stock
selection models. Because the Manager's stock selection models tend to favor
securities believed to be selling below a price that would accurately value the
underlying company, the Fund's performance generally suffers in environments
like the current one, in which the domination of growth stocks becomes extreme.
For the six months ended September 30, 1999, the Fund outperformed the Russell
2000 Index almost entirely as a result of stock selection rather than risk
factors or industry exposures. The Fund's value exposures (higher book-to-price
and lower earnings growth) relative to the Russell 2000 Index detracted from
performance while the Fund's slightly smaller average capitalization improved
relative performance.
Overall, the differences between the industry weightings of the Fund and
the Russell 2000 Index slightly helped the performance of the Fund relative to
the Russell 2000 Index during the last six months. Overexposure to the weak
Retail/ Wholesale industry (3.3% above the Russell 2000 weight) hurt the Fund's
relative performance. On the positive side, the Fund's 3.4% overexposure to the
extremely strong performing Electronics industry helped the Fund's relative
performance.
- ---------------
1The Russell 2000 is an unmanaged index of approximately 2000 small
capitalization companies with market capitalization up to $3.4 billion.
Investors cannot invest directly in any Index.
2The S&P 500 Index is an unmanaged, broad-based index of 500 widely held common
stocks. Investors cannot invest directly in any Index.
3The Russell 2000 Value Index measures the performance of the Russell 2000 Index
companies with lower price-to-book ratios and lower forecasted earnings growth
values.
4The Russell 2000 Growth Index measures the performance of the Russell 2000
Index companies with higher price-to-book ratios and higher forecasted earnings
growth values.
3
<PAGE> 4
It is important to note that the differences in risk factors and industry
exposures between the Fund and its benchmark, the Russell 2000 Index, are
modest. In addition, these exposures are the result of the Manager's 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 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.
4
<PAGE> 5
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 98.2%
AIRCRAFT -- 0.1%
15,300 Curtiss-Wright Corp............ $ 493,425
------------
AIRLINES -- 1.2%
92,800 Alaska Air Group, Inc.*........ 3,775,800
95,000 America West Holdings Corp.,
Class B*..................... 1,644,688
------------
5,420,488
------------
AUTOS -- 2.7%
14,200 Amcast Industrial
Corporation.................. 189,038
6,800 American Axle & Manufacturing
Holdings, Inc.*.............. 96,900
117,600 Arvin Industries, Inc.......... 3,638,249
3,200 Borg-Warner Automotive, Inc.... 137,600
800 CLARCOR Inc.................... 13,450
56,300 Dura Automotive Systems,
Inc.*........................ 1,354,719
66,200 Monaco Coach Corp.*............ 1,613,625
105,500 Standard Products Co........... 3,732,062
58,600 Wabash National Corp........... 1,190,313
------------
11,965,956
------------
BANKING -- 8.1%
100 ABC Bancorp.................... 1,288
11,000 Abigail Adams National
Bancorp...................... 140,250
4,200 Acadiana Bancshares, Inc....... 78,225
26,600 Ambanc Holding Company, Inc.... 420,613
14,490 American Business Financial
Services, Inc.*.............. 173,880
8,200 Bancwest Corporation........... 333,125
14,300 BNCCORP, Inc.*................. 109,038
59,600 BOK Financial Corporation*..... 1,162,199
10,960 BSB Bancorp, Inc............... 263,040
10,900 BWC Financial Corp.*........... 239,119
11,800 BYL Bancorp.................... 131,275
15 California Independent
Bancorp...................... 278
10,100 Cameron Financial Corp......... 130,038
7,300 Carver Bancorp, Inc.*.......... 65,700
4,200 CB Bancshares, Inc............. 120,750
13,800 Central Bancorp, Inc........... 238,050
15,600 Central Financial Acceptance
Corp.*....................... 101,400
74,600 Citizens Banking Corp.,
Michigan..................... 1,948,924
2,600 Columbia Bancorp............... 33,313
30,300 Commercial Bank of New York.... 356,025
18,500 Community Bank System, Inc..... 506,438
13,200 Community Financial Corp....... 117,150
2,900 Community Financial Group,
Inc.......................... 42,594
47,900 CORUS Bankshares, Inc.......... 1,227,437
4,500 Crusader Holding Corp.*........ 46,125
1,500 Dime Community Bancshares...... 31,125
3,900 Elmira Savings Bank, FSB....... 87,750
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
14,400 FFLC Bancorp, Inc.............. $ 254,700
6,300 FFW Corp....................... 81,900
7,400 Fidelity Bancorp, Inc.......... 123,950
8,000 First Bancshares, Inc.......... 88,000
7,500 First Banks America, Inc.*..... 128,906
50,600 First Charter Corp............. 885,500
56,400 First Citizens BancShares,
Inc.,
Class A...................... 4,328,699
3,858 First Colonial Group, Inc...... 71,373
3,600 First Commerce Bancshares,
Inc.......................... 75,150
7,800 First Keystone Financial,
Inc.......................... 97,988
12,900 First Midwest Financial
Corp......................... 164,475
1,300 First Regional Bancorp*........ 10,075
5,600 First State Bancorporation..... 114,800
8,700 Flagstar Bancorp, Inc.......... 133,763
17,900 Franklin Bank NA............... 129,775
15,700 FSF Financial Corp............. 184,475
1,800 Harbor Federal Bancorp, Inc.... 25,650
3,300 Harrodsburg First Financial
Bancorp, Inc................. 43,725
22,900 Hawthorne Financial Corp.*..... 306,288
21,900 HMN Financial, Inc............. 268,275
7,300 Imperial Bancorp*.............. 155,125
6,800 Independence Federal Savings
Bank......................... 88,400
17,360 Independent Bank Corp.,
Michigan..................... 265,825
1,875 Independent Bankshares, Inc.... 20,156
10,800 Iroquois Bancorp, Inc.......... 186,300
29,600 ITLA Capital Corporation*...... 436,600
54,300 JSB Financial, Inc............. 3,108,674
3,900 Kankakee Bancorp, Inc.......... 99,450
800 Litchfield Financial Corp...... 19,250
725 M&T Bank Corporation........... 332,775
8,533 MASSBANK Corp.................. 304,521
2,600 MBLA Financial Corp............ 59,800
5,000 Metropolitan Financial
Corp.*....................... 36,875
16 Mid-America Bancorp............ 386
5,200 Monterey Bay Bancorp, Inc...... 54,600
48,800 New Century Financial Corp.*... 860,100
1,000 New Hampshire Thrift
Bancshares, Inc.............. 12,125
500 North Central Bancshares,
Inc.......................... 8,313
10,037 North County Bancorp*.......... 199,485
4,400 North Valley Bancorp........... 47,300
6,609 Northrim Bank.................. 63,199
100 OceanFirst Financial Corp...... 1,638
25,500 PennFed Financial Services,
Inc.......................... 382,500
400 Permanent Bancorp, Inc......... 3,750
9 Premier National Bancorp,
Inc.......................... 156
8,500 Professional Bancorp, Inc...... 97,750
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
19,140 PVF Capital Corp............... $ 282,315
33,200 Quaker City Bancorp, Inc.*..... 572,700
13,300 Redwood Empire Bancorp......... 247,713
1,100 Republic Bancshares, Inc.*..... 15,950
15,962 Seacoast Financial Services
Corp......................... 159,620
7,200 Southern Missouri Bancorp,
Inc.......................... 92,700
2,900 Southwest Bancorp, Inc......... 63,075
42,600 Sterling Financial
Corporation*................. 569,775
26,000 Student Loan Corp.............. 1,064,374
1,700 Summit Bank Corp............... 24,650
12,500 T & W Financial Corp.*......... 59,375
3,900 Teche Holding Co............... 58,988
16,400 TF Financial Corp.............. 237,800
49,200 TFC Enterprises, Inc.*......... 135,300
2,000 The Trust Company of New
Jersey....................... 46,000
81,200 UMB Financial Corp............. 3,390,099
208,600 UST Corp....................... 6,414,449
16,200 Wainwright Bank & Trust Co..... 119,475
7,300 Wells Financial Corp........... 113,150
6,700 Western Ohio Financial Corp.... 117,250
------------
36,252,427
------------
BUILDING -- 1.7%
44,900 AMREP Corp.*................... 258,175
31,810 Baker (Michael) Corp.*......... 176,943
2,600 Beazer Homes USA, Inc.*........ 48,263
2,500 C.H. Heist Corp.*.............. 16,406
9,525 Dominion Homes, Inc.*.......... 56,555
14,700 Engle Homes, Inc............... 151,594
2,700 Hovnanian Enterprises, Inc.,
Class A*..................... 20,925
1,500 Instituform East, Inc.*........ 2,578
98,500 Integrated Electrical Services,
Inc.*........................ 1,557,530
19,500 Jacobs Engineering Group
Inc.*........................ 633,750
17,000 Liberty Homes, Inc., Class A... 108,375
45,200 M.D.C. Holdings, Inc........... 731,675
6,600 M/I Schottenstein Homes,
Inc.......................... 108,900
1,000 Matrix Service Co.*............ 4,000
20,500 Meadow Valley Corp.* (a)....... 89,688
13,298 MYR Group Inc.................. 299,205
10,000 Perini Corp.*.................. 35,000
62,300 Ryland Group, Inc.............. 1,417,324
51,300 Skyline Corp................... 1,317,769
31,000 The Rottlund Co., Inc.*........ 83,313
3,700 Toll Brothers, Inc.*........... 70,531
6,600 U.S. Home Corp.*............... 183,563
34,400 Washington Homes, Inc.*........ 180,600
------------
7,552,662
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS -- 3.0%
15,300 American Vanguard Corp......... $ 76,500
59,900 Bairnco Corp................... 419,300
1,000 Bandag, Inc.................... 32,000
100 ChemFirst Inc.................. 2,731
101,200 Dexter Corp.................... 3,776,025
193,700 Ferro Corp..................... 4,128,231
40,500 Fuller (H. B.) Co.............. 2,465,438
75,100 International Specialty
Products
Inc.*........................ 746,306
23,900 LESCO, Inc..................... 319,663
6,700 Schulman (A.), Inc............. 115,994
27,400 The Scotts Company*............ 948,725
43,700 USEC Inc....................... 447,925
------------
13,478,838
------------
CONSTRUCTION MATERIAL -- 1.0%
23,800 Ameron International Corp...... 1,117,113
14,200 Continental Materials Corp.*... 326,600
11,200 Devcon International Corp.*.... 33,250
5,300 Donnelly Corp.................. 74,531
80,900 Florida Rock Industries,
Inc.......................... 2,811,275
100 United States Lime & Minerals,
Inc.......................... 600
------------
4,363,369
------------
DEFENSE -- 0.0%
18,900 SPACEHAB, Inc.*................ 92,138
2,400 Todd Shipyards Corp.*.......... 17,250
------------
109,388
------------
DRUGS -- 3.4%
4,500 Abgenix, Inc.*................. 176,344
2,600 Alpharma Inc., Class A......... 91,813
33,500 Aquila Biopharmaceuticals,
Inc.*........................ 60,719
14,100 Ariad Pharmaceuticals, Inc.*
(a).......................... 10,134
15,400 Biosite Diagnostics Inc.*...... 140,044
142,000 Cambrex Corp................... 3,754,124
61,300 ChiRex Inc.*................... 1,582,306
61,500 Diagnostic Products Corp....... 1,648,969
27,400 Dura Pharmaceuticals, Inc.*.... 381,888
2,700 E-Z-EM, Inc.*.................. 12,488
5,500 Hi-Tech Pharmacal Co., Inc.*... 25,781
37,300 Medicis Pharmaceutical Corp.,
Class A*..................... 1,063,050
25,192 New Brunswick Scientific Co.,
Inc.*........................ 152,727
4,500 Nutraceutical International
Corp.*....................... 17,438
20,500 PDK Labs Inc.*................. 90,969
214,200 Perrigo Company*............... 1,686,824
7,100 Quidel Corp.*.................. 31,063
144,500 Roberts Pharmaceutical
Corp.*....................... 4,371,124
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
18,400 Synbiotics Corp.*.............. $ 47,150
10,300 Weider Nutrition International,
Inc.......................... 32,831
------------
15,377,786
------------
DURABLES -- 0.2%
7,400 Huffy Corp..................... 73,075
40,100 Royal Appliance Manufacturing
Co.*......................... 200,500
7,350 Thor Industries, Inc........... 187,425
24,200 Winnebago Industries, Inc...... 579,288
------------
1,040,288
------------
ELECTRIC UTILITIES -- 2.4%
29,200 Bangor Hydro-Electric Co....... 481,800
2,300 Central Hudson Gas & Electric
Corp......................... 90,563
58,300 Central Vermont Public Service
Corp......................... 768,831
153,000 CMP Group Inc.................. 4,035,375
500 Maine Public Service Co........ 9,250
101,900 Public Service Co. of New
Mexico....................... 1,859,675
46,700 RGS Energy Group Inc........... 1,144,150
54,700 TNP Enterprises, Inc........... 2,129,881
13,800 Westmoreland Coal Co.*......... 48,300
------------
10,567,825
------------
ELECTRONICS -- 12.4%
9,900 Acuson Corp.*.................. 126,225
2,700 Advanced Neuromodulation
Systems, Inc.*............... 22,275
5,100 American Technical Ceramics
Corporation*................. 39,525
4,000 ANADIGICS, Inc.*............... 112,500
37,600 Arrow International, Inc....... 961,150
300 ArthroCare Corp.*.............. 16,388
62,000 Benchmark Electronics, Inc.*... 2,189,375
21,325 Bogen Communications
International, Inc.* (a)..... 118,620
21,200 Candela Corp.*................. 225,250
10,400 Circuit Systems, Inc.*......... 23,400
4,700 Cobra Electronics Corp.*....... 14,981
15,700 Cree Research, Inc.*........... 532,819
145,400 CTS Corp....................... 8,360,499
91,300 Datascope Corp.*............... 3,206,912
16,400 Datron Systems Inc.,
California*.................. 89,175
19,900 Dental/Medical Diagnostic
Systems, Inc.*............... 78,667
15,600 Detection Systems, Inc.*....... 157,950
12,400 DII Group, Inc.*............... 436,325
6,500 Diodes Inc.*................... 37,375
1,000 Dionex Corp.*.................. 42,750
2,900 EndoSonics Corp.*.............. 24,650
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
98,850 Fossil, Inc.*.................. $ 2,675,128
82,400 General Semiconductor, Inc.*... 849,750
114,300 Haemonetics Corp.*............. 2,250,281
29,500 Harmonic Inc.*................. 3,858,968
19,300 Inter-Tel, Inc................. 342,575
208,200 International Rectifier
Corp.*....................... 3,175,049
3,200 K-Tron International, Inc.*.... 47,600
35,100 Keithley Instruments, Inc...... 497,981
14,600 Kewaunee Scientific Corp....... 147,825
11,600 Lakeland Industries, Inc.*..... 44,950
600 Meade Instruments Corp.*....... 14,438
1,000 Medical Action Industries
Inc.*........................ 2,750
7,800 Medstone International,
Inc.*........................ 50,700
19,400 Mentor Corp.................... 552,900
7,300 Merrimac Industries, Inc.*..... 38,325
22,900 Mine Safety Appliances Co...... 1,442,700
15,600 Moore Products Co.............. 352,950
31,800 Orbital Sciences Corp.*........ 556,500
11,500 Perclose, Inc.*................ 535,469
57,400 Pittway Corp., Class A......... 1,808,100
75,300 PMC-Sierra, Inc.*.............. 6,965,249
68,100 Polycom, Inc.*................. 3,245,390
55,200 Porta Systems Corp.*........... 55,200
52,200 Power-One, Inc.*............... 1,331,100
5,000 Powerwave Technologies,
Inc.*........................ 241,094
10,000 Programming & Systems, Inc.*
(b).......................... 0
11,200 RELM Wireless Corp.*........... 21,700
4,000 Robinson Nugent, Inc.*......... 18,000
14,400 Safety 1st, Inc.*.............. 101,700
31,100 Salient 3 Communications,
Inc.*........................ 167,163
6,400 SDL, Inc.*..................... 488,400
16,200 Sensormatic Electronics
Corp.*....................... 205,538
2,500 Silicon Storage Technology,
Inc.*........................ 35,313
18,200 Siliconix Inc.*................ 855,400
64,100 Spacelabs Medical, Inc.*....... 969,513
5,600 Span-America Medical Systems,
Inc. ........................ 19,600
16,600 Stanford Telecommunications,
Inc.*........................ 528,088
6,300 Syntellect Inc.*............... 14,175
1,500 Thermo Optek Corp.*............ 12,656
5,700 ThermoQuest Corp.*............. 57,713
8,550 TranSwitch Corp.*.............. 487,350
12,650 Trio-Tech International*....... 42,694
42,700 Triquint Semiconductor,
Inc.*........................ 2,441,906
10,400 Varian Inc.*................... 184,600
17,250 Vishay Intertechnology,
Inc.*........................ 409,688
7,700 VISX, Inc.*.................... 609,022
5,700 Zing Technologies, Inc.*....... 40,613
------------
55,610,615
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL INVESTMENTS -- 1.0%
1,000 Air Methods Corp.*............. $ 2,688
14,100 Amplicon, Inc. ................ 170,963
13,100 Berkshire Bancorp Inc. ........ 497,800
6,400 Echelon International Corp.*... 158,800
5,000 Equitex, Inc.* (a)............. 47,500
6,600 Frontier Adjusters Of America,
Inc. ........................ 12,375
16,400 Giant Group, Ltd.*............. 57,400
600 Hanover Compressor Co.*........ 19,088
2,300 Helmstar Group, Inc.*.......... 11,500
24,800 HPSC, Inc.*.................... 269,700
77,800 IHOP Corp.*.................... 1,575,449
25,300 International Aircraft
Investors*................... 169,194
19,300 IPI, Inc.*..................... 49,456
10,400 Penn Virginia Corp. ........... 215,800
5,200 PLM International, Inc.*....... 24,050
36,000 PS Group Holdings, Inc. ....... 382,500
19,300 REFAC*......................... 82,025
50,100 Sunrise International Leasing
Corp.*....................... 250,500
33,000 U.S. Franchise Systems, Inc.,
Class A *.................... 571,312
24,600 Vari-Lite International,
Inc.*........................ 24,600
------------
4,592,700
------------
FOOD -- 1.3%
17,000 Andersons, Inc. ............... 148,750
25,000 Cagle's, Inc. ................. 410,938
21,200 Chock Full o' Nuts Corp.*...... 230,550
58,700 Corn Products International,
Inc. ........................ 1,786,680
4,500 Farmer Brothers Co. ........... 747,000
22,000 Fresh Foods, Inc.*............. 147,125
7,900 Genesee Corp. ................. 161,950
10,700 Green Mountain Coffee, Inc.*... 96,969
2,500 Ralcorp Holdings, Inc.*........ 44,219
30,700 Scheid Vinyards Inc., Class
A............................ 141,988
4,300 Scope Industries............... 256,925
1,170 Seaboard Corp. ................ 252,720
58,100 Triarc Companies*.............. 1,245,519
2,000 Vacu-Dry Co.*.................. 14,000
------------
5,685,333
------------
HEALTH -- 0.9%
34,200 Diagnostic Health Services,
Inc.*........................ 7,866
44,200 Hooper Holmes, Inc. ........... 1,132,625
49,700 Innovative Clinical Solutions,
Ltd.*........................ 37,275
200 IntegraMed America, Inc.*...... 800
94,000 Laser Vision Centers, Inc.*.... 1,318,938
15,706 National Home Health Care
Corp.*....................... 61,352
34,400 NovaCare, Inc.*................ 40,850
9,800 Option Care, Inc.*............. 31,850
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
56,850 Quest Diagnostics Inc.*........ $ 1,478,099
28,000 UniHolding Corp.*.............. 70,000
------------
4,179,655
------------
HOUSEHOLD -- 2.4%
20,400 American Biltrite Inc. ........ 336,600
6,700 Andersen Group, Inc.*.......... 38,525
600 Associated Materials Inc. ..... 9,225
43,400 Catalina Lighting, Inc.*....... 179,025
7,300 Cybex International, Inc.*..... 25,094
35,100 Daktronics, Inc.*.............. 565,988
8,900 Detrex Corp.*.................. 41,719
16,600 Escalade, Inc. ................ 265,600
43,000 Flowserve Corp. ............... 714,874
3,600 Fotoball USA, Inc.*............ 23,400
29,300 Genlyte Group Inc.*............ 695,875
19,900 Gundle/SLT Environmental,
Inc.*........................ 59,700
14,700 Hanna (M.A.) Co. .............. 167,213
2,100 Interactive Flight
Technologies, Inc.*.......... 7,088
17,800 K2 Inc. ....................... 156,863
196,200 Kimball International, Inc.,
Class B...................... 3,776,849
1,200 La-Z-Boy Inc. ................. 22,875
1,540 Myers Industries, Inc. ........ 27,335
10,300 Patrick Industries, Inc. ...... 130,681
9,400 Pubco Corp.*................... 77,550
25,900 Reunion Industries, Inc.*...... 66,369
64,000 Russ Berrie & Co., Inc. ....... 1,339,999
1,500 Salton, Inc.*.................. 45,281
15,200 SL Industries, Inc. ........... 216,600
12,600 Summa Industries*.............. 161,438
21,600 TAB Products Co. .............. 116,100
20,400 Total Containment, Inc.*....... 66,300
11,100 Toymax International, Inc.*
(a).......................... 79,088
11,800 Trans-Lux Corp. ............... 69,325
9,800 UFP Technologies, Inc.*........ 31,850
19,000 West Pharmaceutical Services,
Inc. ........................ 720,812
43,800 Woodhead Industries, Inc. ..... 443,475
------------
10,678,716
------------
INSURANCE -- 2.3%
19,100 Amwest Insurance Group,
Inc. ........................ 186,225
9,400 Chicago Title Corp. ........... 375,413
6,600 CORE, Inc.*.................... 51,975
53,000 InterContinental Life Corp.*... 530,000
3,000 Interstate National Dealer
Services*.................... 19,500
21,600 Kansas City Life Insurance
Co. ......................... 788,400
3,000 Kaye Group Inc. ............... 25,125
900 Liberty Corp. ................. 41,738
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
13,400 Midland Co. ................... $ 281,400
11,700 National Security Group,
Inc. ........................ 114,075
13,100 National Western Life
Insurance, Class A*.......... 1,110,225
6,000 NYMAGIC, Inc. ................. 78,000
13,100 Ohio Casualty Corp. ........... 221,063
71,800 PMA Capital Corporation........ 1,435,999
25,200 Presidential Life Corp. ....... 431,550
37,700 Seibels Bruce Group, Inc.*..... 113,100
39,900 Standard Management Corp.*..... 234,413
400 Unico American Corp. .......... 3,350
30,700 White Mountains Insurance Group
Inc. ........................ 4,163,687
------------
10,205,238
------------
LIQUOR & TOBACCO -- 0.3%
20,400 Coors (Adolph) Co., Class B.... 1,104,150
36,900 Golden State Vintners, Inc.*... 175,275
10,500 Todhunter International,
Inc.*........................ 95,813
------------
1,375,238
------------
MACHINERY - 6.8%
13,000 Acme Electric Corp.*........... 74,750
6,200 Acorn Products, Inc.*.......... 18,794
2,900 Advanced Technical Products,
Inc.*........................ 39,331
23,900 Aerovox Inc.*.................. 62,738
5,600 Amistar Corp.*................. 9,100
57,300 Ampco-Pittsburgh Corp. ........ 773,550
74,500 Astec Industries, Inc.*........ 1,797,312
12,100 Boots & Coots International
Well Control, Inc.*.......... 5,294
25,100 Butler Manufacturing Co. ...... 658,875
5,500 Chicago Rivet & Machine Co. ... 119,625
28,200 Dayton Superior Corp.*......... 479,400
39,700 Detroit Diesel Corp. .......... 734,450
11,100 Edison Control Corp.* (a)...... 62,438
2,500 Evans & Sutherland Computer
Co.*......................... 30,938
24,300 Fansteel Inc.*................. 97,200
11,800 Farrel Corp. .................. 20,650
5,600 Federal Screw Works............ 253,400
3,774 Foilmark, Inc.*................ 12,266
12,700 Gehl Co.*...................... 225,425
12,200 Gencor Industries, Inc. (a).... 77,013
20,600 General Housewares Corp. ...... 578,088
22,300 Genesis Worldwide Inc. ........ 115,681
39,500 Gerber Scientific, Inc. ....... 883,813
4,600 Gorman-Rupp Co. ............... 71,875
10,300 Graham Corp.*.................. 65,019
90,100 Greenbrier Companies, Inc. .... 996,730
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
16,100 Griffon Corporation*........... $ 128,800
3,100 KRUG International Corp.*...... 5,038
3,500 Laser Power Corp.*............. 10,609
281,000 Lincoln Electric Holdings,
Inc. ........................ 5,865,874
41,100 Manitowoc Co., Inc. ........... 1,402,537
13,500 Material Sciences Corp.*....... 179,719
22,500 Maxco, Inc.*................... 174,375
8,900 McClain Industries, Inc.*...... 38,938
12,700 Mestek, Inc.*.................. 254,000
10,000 MFRI, Inc.*.................... 48,750
42,500 Middleby Corp.*................ 249,688
4,900 Mueller (Paul) Co. ............ 156,800
17,200 NACCO Industries, Inc., Class
A............................ 1,201,849
100 Nanometrics Inc.*.............. 900
1,250 Oilgear Co. ................... 8,750
30,200 Owosso Corp. .................. 128,350
4,000 P & F Industries, Inc.*........ 34,000
9,700 Peerless Manufacturing Co. .... 103,063
34,800 Pitt-Des Moines, Inc. ......... 763,425
92,400 Premark International, Inc. ... 4,666,199
3,700 Q.E.P. Company, Inc.*.......... 27,288
7,400 Quipp, Inc. ................... 118,400
10,000 Selas Corp. of America......... 49,375
300 Shiloh Industries, Inc.*....... 3,300
1,200 SPS Technologies, Inc.*........ 45,525
8,100 Starrett (L.S.) Co., Class A... 201,488
8,400 Tecumseh Products Co., Class
B............................ 379,050
3,600 Teleflex Inc. ................. 142,200
20,800 Terex Corp.*................... 655,200
36,200 TII Industries, Inc.*.......... 53,169
25,547 Toro Co. ...................... 954,818
8,800 TransTechnology Corp. ......... 101,750
18,200 Trinity Industries, Inc. ...... 561,925
23,900 UNIFAB International, Inc.*.... 192,694
10,000 UNOVA, Inc.*................... 133,750
118,700 Varian Medical Systems,
Inc. ........................ 2,596,562
18,900 Varian Semiconductor Equipment
Associates, Inc.*............ 398,081
------------
30,299,994
------------
MEDIA -- 2.5%
2,600 American Banknote Corp.*....... 488
5,000 Cadmus Communications Corp. ... 55,625
17,650 Courier Corp. ................. 423,600
47,400 Four Media Co.*................ 248,850
5,800 Grey Advertising Inc. ......... 2,134,399
65,600 Harland (John H.) Co. ......... 1,275,100
17,500 Media General, Inc., Class A... 896,875
100 Metatec International Inc.*.... 319
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
10,600 Multi-Color Corp.*............. $ 66,250
22,200 Outlook Group Corp.*........... 92,963
2,300 Paxar Corp.*................... 22,138
5,300 R. H. Donnelley Corp. ......... 98,713
17,100 Scholastic Corp.*.............. 855,000
72,600 Standard Register Co. ......... 1,706,099
5,400 Standex International Corp. ... 145,800
36,100 TMP Worldwide Inc.*............ 2,197,587
21,300 Todd-AO Corp. ................. 319,500
34,500 Wallace Computer Services,
Inc. ........................ 698,625
14,300 Wave Technologies
International, Inc. *........ 49,156
700 Young Broadcasting Inc.*....... 36,663
------------
11,323,750
------------
METALS -- 2.8%
7,000 Atchison Casting Corp.*........ 64,313
85,000 Belden Inc. ................... 1,742,500
47,300 Brush Wellman Inc. ............ 694,719
9,100 Commercial Metals Co. ......... 261,625
5,000 Foster (L.B.) Co.*............. 24,063
44,700 Harsco Corp. .................. 1,234,838
3,100 Insteel Industries, Inc. ...... 27,900
21,900 Lindberg Corp. ................ 199,838
28,400 Mueller Industries, Inc.*...... 843,125
72,700 Quanex Corp. .................. 1,862,937
7,600 Steel Technologies Inc. ....... 88,350
126,600 Stillwater Mining Company*..... 3,402,374
166,600 Walter Industries, Inc.*....... 2,249,099
18,900 Webco Industries, Inc.*........ 55,519
------------
12,751,200
------------
MISCELLANEOUS FINANCIAL -- 2.2%
16,900 Atalanta Sosnoff Capital
Corp. ....................... 120,413
42,100 Dain Rauscher Corp. ........... 2,062,900
29,700 Eaton Vance Corp. ............. 950,400
1,100 EVEREN Capital Corp. .......... 32,450
200 First Albany Companies Inc. ... 4,150
64,500 Freedom Securities Corp. ...... 870,750
57,100 Hambrecht & Quist Group*....... 2,794,330
23,900 Jefferies Group, Inc. ......... 498,913
31,500 John Nuveen Co., Class A....... 1,179,281
16,300 JWGenesis Financial Corp.*..... 262,838
50,400 Maxcor Financial Group Inc.*... 144,900
15,600 Meyerson (M.H.) & Co., Inc.*... 46,800
16,800 Paulson Capital Corp.*......... 73,500
39,300 Raymond James Financial
Corp. ....................... 783,544
3,543 Southwest Securities Group,
Inc. ........................ 95,661
14,410 Stifel Financial Corp. ........ 128,789
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
600 Value Line, Inc. .............. $ 20,925
------------
10,070,544
------------
OFFICE MACHINERY -- 3.7%
24,000 Advanced Digital Information
Corp.*....................... 667,500
21,100 Asante Technologies, Inc.*..... 42,200
30,600 Autologic Information
International, Inc.*......... 87,975
91,900 Baldwin Technology Company,
Inc., Class A*............... 218,263
22,900 Boundless Corp.*............... 93,031
8,400 Computer Network Technology
Corp. *...................... 78,225
23,474 CSP Inc.*...................... 134,976
1,200 Cybex Computer Products
Corp.*....................... 40,050
31,400 Dataram Corp.*................. 337,550
68,000 Emulex Corp.*.................. 5,839,500
50,300 GENICOM Corp.*................. 39,297
3,225 Gradco Systems, Inc.*.......... 6,248
168,700 Imation Corp.*................. 5,229,700
32,800 Interphase Corp.*.............. 766,700
47,300 Key Tronic Corp.*.............. 201,025
11,900 Kronos Inc.*................... 436,581
23,400 Netopia, Inc.*................. 933,075
37,000 Pinnacle Systems, Inc.*........ 1,567,875
600 PSC Inc.*...................... 4,800
26,500 Scan-Optics, Inc.*............. 74,531
------------
16,799,102
------------
OIL -- 1.1%
67,500 Cabot Oil & Gas Corp., Class
A............................ 1,164,375
14,900 Carrizo Oil & Gas, Inc.*....... 28,869
3,600 Columbus Energy Corp.*......... 18,900
113,300 Energen Corp. ................. 2,294,324
49,700 Equity Oil Co.*................ 74,550
16 Greka Energy Corp.* (a)........ 168
900 HS Resources, Inc.*............ 14,738
13,300 Inland Resources Inc.*......... 4,156
38,300 Louis Dreyfus Natural Gas
Corp.*....................... 821,056
12,200 Maynard Oil Co.*............... 123,525
139,600 Panaco, Inc.*.................. 65,438
78,700 Tipperary Corp.*............... 122,969
------------
4,733,068
------------
OIL -- INTERNATIONAL -- 0.0%
12,100 Holly Corp. ................... 181,500
------------
OIL DISTRIBUTION -- 1.1%
16,800 Castle Energy Corp. ........... 285,600
400 Getty Petroleum Marketing
Inc.*........................ 1,100
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION (CONTINUED)
19,500 Huntway Refining Co.*.......... $ 34,125
172,200 Pennzoil-Quaker State Co. ..... 2,174,025
41,000 Quaker Chemical Corp. ......... 681,625
115,200 Tesoro Petroleum Corp.*........ 1,900,800
------------
5,077,275
------------
OIL SERVICES -- 0.3%
2,000 Oceaneering International,
Inc.*........................ 33,625
11,100 Petroleum Development Corp.*... 49,950
125,200 Seitel, Inc.*.................. 1,220,700
------------
1,304,275
------------
OTHER UTILITIES -- 1.2%
3,800 American States Water
Company...................... 125,875
500 California Water Service
Group........................ 13,688
31,500 Clean Harbors, Inc.*........... 45,281
2,700 Dominguez Services Corp. ...... 75,769
93,400 Equitable Resources, Inc. ..... 3,531,687
15,600 Harding Lawson Associates
Group*....................... 122,850
3,100 Laclede Gas Co. ............... 70,525
4,900 Northwest Natural Gas Co. ..... 126,481
5,200 Pennichuck Corp. .............. 126,100
800 RGC Resources, Inc. ........... 15,800
5,500 Scherer Healthcare, Inc.*...... 17,188
500 Sevenson Environmental
Services, Inc. .............. 4,625
3,700 SJW Corp. ..................... 330,688
4,331 Southwest Water Co. ........... 88,244
44,100 TRC Companies, Inc.*........... 270,113
63,000 U.S. Liquids Inc.*............. 440,999
1,600 Virginia Gas Co................ 6,300
51,700 Weston (Roy F.), Inc., Class
A*........................... 129,250
------------
5,541,463
------------
PAPER -- 1.6%
51,650 ACX Technologies, Inc.*........ 490,675
8,600 American Pad & Paper Co.*...... 4,838
10,600 Badger Paper Mills, Inc.*...... 71,550
12,300 Baltek Corp.*.................. 95,325
6,800 Carmel Container Systems,
Ltd.*........................ 51,850
35,398 FiberMark, Inc.*............... 451,325
18,200 Glatfelter (P.H.) Co. ......... 299,163
5,500 Lynch Corp.*................... 146,438
195,400 Rock-Tenn Co., Class A......... 2,821,087
48,900 Shorewood Packaging Corp.*..... 663,206
47,000 TJ International, Inc. ........ 1,180,874
83,700 Universal Forest Products,
Inc. ........................ 1,093,331
------------
7,369,662
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS -- 3.1%
14,500 Abrams Industries, Inc. ....... $ 55,281
500 Aegis Realty, Inc. ............ 4,531
17,100 Amli Residential Properties
Trust........................ 359,100
40,800 Bridgestreet Accommodations,
Inc.*........................ 119,850
30,000 Cabot Industrial Trust......... 577,500
6,500 Captec Net Lease Realty,
Inc. ........................ 65,406
2,800 Castle & Cooke, Inc.*.......... 43,050
3,200 CBL & Associates Properties,
Inc. ........................ 78,200
53,100 Commercial Assets, Inc. ....... 275,456
13,000 DeWolfe Companies, Inc. ....... 87,750
80,200 Excel Legacy Corp.*............ 335,838
3,500 Forest City Enterprises, Inc.,
Class A...................... 78,094
100 Franklin Select Realty Trust... 650
11,700 G&L Realty Corp. .............. 103,106
14,700 ILX Resorts, Inc.*............. 27,563
64,300 LNR Property Corp. ............ 1,310,113
14,400 Mays (J.W.), Inc.*............. 76,500
173,040 New Plan Excel Realty Trust.... 3,082,274
83,500 Pacific Gulf Properties,
Inc. ........................ 1,664,780
57,500 Pan Pacific Retail Properties,
Inc. ........................ 977,500
32,300 Pinnacle Holdings, Inc.*....... 843,838
39,900 Prentiss Properties Trust...... 885,281
63,700 Price Enterprises, Inc.*....... 499,647
24,500 Prime Group Realty Trust....... 367,500
20,600 PS Business Parks, Inc. ....... 535,600
35,000 Saxton, Inc.*.................. 126,875
2,500 SL Green Realty Corp. ......... 49,688
89,500 Westfield America, Inc. ....... 1,241,813
1,957 Wilshire Oil Company of
Texas*....................... 8,317
2,500 Winston Hotels, Inc. .......... 22,188
------------
13,903,289
------------
RETAIL/WHOLESALE -- 9.6%
2,250 Aceto Corp. ................... 24,469
49,050 Advanced Marketing Services.... 968,737
11,400 Allou Health & Beauty, Class
A*........................... 61,275
74,500 American Eagle Outfitters,
Inc.*........................ 3,608,593
54,900 Andrx Corp.*................... 3,213,365
600 Ann Taylor Stores Corp.*....... 24,525
21,600 Arden Group, Inc., Class A*.... 842,400
74,800 Audiovox Corp., Class A*....... 1,308,999
1,500 Bell Microproducts Inc.*....... 12,703
280,500 BJ's Wholesale Club, Inc.*..... 8,292,280
107,800 Burlington Coat Factory
Warehouse Corp............... 2,129,049
1,100 Cache, Inc.*................... 3,850
62,500 Cameron Ashley Building
Products*.................... 562,500
14,000 Capital Associates, Inc.*...... 41,563
34,500 Catherines Stores Corp.*....... 452,813
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
3,300 Cato Corp. .................... $ 46,509
5,500 CellStar Corp.*................ 41,250
147,500 Charming Shoppes, Inc.*........ 755,938
35,600 Children's Place Retail Stores,
Inc.* (a).................... 947,849
3,400 Coast Distribution System,
Inc.*........................ 8,500
500 DEB Shops, Inc. ............... 9,750
64,100 Drug Emporium, Inc.*........... 432,675
51,700 EZCORP, Inc., Class A.......... 271,425
9,130 Factory 2-U Stores Inc.*....... 272,759
37,800 Factory Card Outlet Corp.*..... 2,268
85,900 Filene's Basement Corp.*....... 77,847
7,600 Foodarama Supermarkets,
Inc.*........................ 224,200
19,800 Footstar, Inc.*................ 697,950
39,000 Fred's, Inc. .................. 480,188
60,700 Friedman's, Inc., Class A...... 534,919
10,400 Graham Field Health PDS*....... 5,038
7,500 Handleman Co.*................. 99,375
4,100 Haverty Furniture.............. 59,450
2,800 Hirsch International Corp.*.... 3,763
2,346 Holt's Cigar Holdings, Inc.*... 8,798
54,500 Hughes Supply, Inc. ........... 1,185,374
23,000 IIC Industries Inc.*........... 230,000
21,200 Jacobson Stores Inc.*.......... 102,025
1,000 Johnson Worldwide Associates,
Inc., Class A*............... 8,938
35,600 Katy Industries, Inc. ......... 427,200
48,700 Loehmann's, Inc.*.............. 6,331
6,800 Marsh Supermarkets, Inc., Class
A............................ 108,375
2,500 McRae Industries, Inc., Class
A............................ 13,750
47,600 Men's Wearhouse, Inc.*......... 1,023,399
168,500 Micro Warehouse, Inc.*......... 2,032,530
10,500 Moore Medical Corp.*........... 81,375
9,000 National Record Mart, Inc.*.... 31,500
10,800 NCS HealthCare, Inc., Class A*
(a).......................... 28,350
8,000 Noland Co. .................... 152,000
119,100 OfficeMax, Inc.*............... 692,269
13,400 One Price Clothing Stores,
Inc.*........................ 44,388
9,500 PEP Boys - Manny, Moe & Jack... 141,313
4,100 PrimeSource Corp. ............. 23,831
16,500 Programmer's Paradise, Inc.*... 110,344
19,100 Questron Technology, Inc.*..... 68,044
630 Rag Shops, Inc.*............... 1,260
11,348 Reeds Jewelers, Inc.*.......... 38,300
20,000 Riverside Group, Inc.*......... 15,000
81,600 Ruddick Corp. ................. 1,295,399
63,000 Savoir Technology Group,
Inc.*........................ 531,563
2,100 Schnitzer Steel Industries,
Inc. ........................ 38,325
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
5,850 Schultz Sav-O Stores, Inc. .... $ 92,138
12,900 Seaway Food Town, Inc. ........ 360,394
38,200 Shoe Carnival, Inc.*........... 422,588
26,600 Software Spectrum, Inc.*....... 412,300
17,300 Sound Advice, Inc.*............ 125,425
5,000 Speizman Industries, Inc.*..... 21,250
4,600 Spiegel, Inc., Class A*........ 46,575
27,200 Sport Chalet, Inc.*............ 119,000
19,700 Suprema Specialties, Inc.*..... 160,063
29,000 Syms Corp.*.................... 215,688
20,000 Syncor International Corp.*.... 750,000
15,900 TCC Industries, Inc.*.......... 159
15,900 The Sportsman's Guide, Inc.*... 63,600
73,100 Today's Man, Inc.*............. 63,963
8,600 Track 'n Trail, Inc.*.......... 15,588
49,400 United Retail Group, Inc.*..... 586,625
19,400 Video Display Corp.*........... 80,025
20,200 Village Supermarket, Inc.,
Class A*..................... 275,225
6,000 Western Beef, Inc.*............ 49,688
15,100 Wolohan Lumber Co. ............ 196,300
103,500 Zale Corp.*.................... 3,965,343
------------
42,980,692
------------
SERVICES -- 10.0%
271,900 AC Nielsen Corp.*.............. 6,168,730
4,500 Access Worldwide
Communications, Inc.*........ 7,875
6,900 Actuate Corp.*................. 233,738
42,700 Adept Technology, Inc.*........ 309,575
23,550 Advent Software, Inc.*......... 1,465,987
52,500 Angelica Corp. ................ 603,750
12,100 Ardent Software, Inc.*......... 325,944
23,800 ASA International Ltd.*........ 55,038
75,400 Avant! Corp.*.................. 1,345,418
10,700 Berlitz International, Inc.*... 225,369
9,100 BroadVision, Inc.*............. 1,210,869
17,600 Building One Services Corp.*... 214,500
2,200 Caredata.com, Inc.*............ 20,075
2,200 Castle Dental Centers, Inc.*... 6,325
4,611 CDI Corp.*..................... 125,938
28,300 Chemed Corp. .................. 856,075
2,000 Computron Software, Inc.*...... 1,250
36,300 Corrpro Companies, Inc.*....... 217,800
34,200 CPI Corp. ..................... 1,169,213
28,700 Craig Corp.*................... 190,138
5,600 Dataware Technologies, Inc.*... 13,650
13,800 Document Sciences Corp.*....... 25,013
19,000 Duff & Phelps Credit Rating
Co. ......................... 1,518,812
33,900 Eclipsys Corp.*................ 487,313
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE> 13
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
132,400 Employee Solutions, Inc.*...... $ 128,263
11,300 Esquire Communications Ltd.*... 8,122
35,600 Exponet, Inc.*................. 178,000
2,700 FTI Consulting, Inc.*.......... 12,488
5,000 General Employment Enterprises,
Inc.......................... 21,875
11,300 Genesys Telecommunications
Laboratories, Inc.*.......... 516,269
1,000 Gensym Corp.*.................. 3,625
35,400 GP Strategies Corp.*........... 398,250
35,015 Group 1 Software, Inc.*........ 284,497
2,700 GSE Systems, Inc.*............. 10,800
22,600 GZA GeoEnvironmental
Technologies, Inc.*.......... 90,400
10,100 Harbinger Corp.*............... 170,438
800 Health Systems Design Corp.*... 2,800
450 Healthcare Services Group,
Inc.*........................ 3,670
79,000 InfoCure Corp.*................ 1,491,124
21,200 INTERLINQ Software Corp.*...... 79,500
50,300 Judge Group, Inc.*............. 61,303
122,900 Kelly Services, Inc., Class
A............................ 3,702,362
19,700 Lightbridge, Inc.*............. 387,844
5,400 Loronix Information Systems*... 62,100
12,000 Made2Manage Systems, Inc.*..... 97,500
4,700 MAI Systems Corp.*............. 5,288
19,600 Marlton Technologies, Inc.*.... 41,650
25,600 Mediware Information
Systems*..................... 204,800
332,400 Mentor Graphics Corp.*......... 2,846,174
41,490 MERANT plc - ADR*.............. 967,236
3,200 Micromuse Inc.*................ 205,600
58,800 Microware Systems Corp.*....... 91,875
188,900 Morrison Knudsen Corp.*........ 1,948,030
27,100 National Computer Systems,
Inc. ........................ 1,039,116
21,300 National Technical Systems,
Inc. ........................ 69,225
87,200 Olsten Corp. .................. 910,150
27,100 Opinion Research Corp.*........ 115,175
37,600 Outsource International,
Inc.*........................ 37,600
40,200 Premier Research Worldwide,
Ltd.*........................ 231,150
123,224 ProMedCo Management Co.*....... 408,180
4,000 Prophet 21, Inc.*.............. 37,500
10,150 QRS Corp.*..................... 650,869
35,400 Quality Systems, Inc.*......... 221,250
21,300 Sanchez Computer Associates*... 748,163
8,600 Schlotzsky's, Inc.*............ 69,875
5,500 SEEC, Inc.*.................... 19,250
21,600 Simione Central Holdings,
Inc.*........................ 31,050
100 StarTek, Inc.*................. 5,500
3,900 STV Group, Inc.*............... 29,981
286,800 Sybase, Inc.*.................. 3,387,824
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
34,500 Symantec Corp.*................ $ 1,240,922
15,050 System Software Associates,
Inc.*........................ 29,159
22,800 Systems & Computer Technology
Corp.*....................... 286,425
23,600 TALX Corp.*.................... 188,800
3,100 Template Software, Inc.*....... 12,013
9,900 Thomas Group, Inc.*............ 82,294
46,600 THQ Inc.*...................... 2,009,624
108,800 Titan Corp.*................... 1,563,999
1,300 UniComp, Inc.*................. 5,525
1,600 Unigraphics Solutions Inc.*.... 43,400
12,300 URS Corp.*..................... 301,350
12,700 Wall Data Inc.*................ 68,263
38,400 Westaff, Inc.*................. 230,400
4,200 Workgroup Technology Corp.*.... 5,775
------------
44,900,085
------------
SOAPS & COSMETICS -- 0.7%
67,675 Block Drug Company, Inc., Class
A............................ 2,432,070
6,200 Carter-Wallace, Inc. .......... 110,825
39,200 Cascade International, Inc.*
(a) (c)...................... 0
29,200 CPAC, Inc. .................... 171,550
6,550 Del Laboratories, Inc. ........ 91,700
3,400 Guest Supply, Inc.*............ 48,875
11,500 Inter Parfums, Inc.*........... 109,250
1,800 The Stephan Company............ 7,200
------------
2,971,470
------------
TELEPHONE -- 1.0%
1,500 Advanced Communication Systems,
Inc.*........................ 18,656
2,400 Atlantic Tele-Network, Inc. ... 23,400
38,700 Conestoga Enterprises, Inc. ... 776,419
12,900 Hector Communications Corp.*... 175,763
30,900 Incomnet, Inc.*................ 3,090
21,500 Internet America, Inc.*........ 260,688
5,500 Lynch Interactive Corp.*....... 412,500
111,523 Price Communications Corp.*.... 2,795,044
10,300 Teletouch Communications,
Inc.*........................ 6,438
------------
4,471,998
------------
TEXTILES -- 0.8%
17,600 Alba-Waldensian, Inc. ......... 158,400
12,875 Decorator Industries, Inc. .... 69,203
62,100 Dixie Group, Inc. ............. 481,275
2,000 Dyersburg Corp. ............... 625
2,600 Garan, Inc. ................... 84,825
48,200 Haggar Corp. .................. 608,525
5,000 Hallwood Group Inc.*........... 87,188
</TABLE>
See accompanying notes to the financial statements.
13
<PAGE> 14
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
13,473 Hampton Industries*............ $ 39,577
22,800 Jos. A. Bank Clothiers,
Inc.*........................ 92,625
1,400 Kellwood Co. .................. 30,800
29,100 Leslie Fay Company, Inc.*...... 143,681
7,500 McNaughton Apparel Group,
Inc.*........................ 65,625
9,300 Oxford Industries, Inc. ....... 200,531
14,700 Perry Ellis International,
Inc.*........................ 159,863
2,000 PremiumWear, Inc.*............. 9,875
38,800 Quiksilver, Inc.*.............. 708,100
1,500 Russell Corp. ................. 21,281
2,000 Saucony, Inc., Class A*........ 29,500
1,300 Springs Industries, Inc., Class
A............................ 44,119
3,600 Stride Rite Corp. ............. 25,200
3,200 Tarrant Apparel Group*......... 36,000
14,400 Timberland Co., Class A*....... 562,500
------------
3,659,318
------------
TRANSPORTATION -- 2.1%
2,900 Alexander & Baldwin, Inc. ..... 69,238
62,800 American Freightways Corp.*.... 1,142,175
9,300 B+H Ocean Carriers Ltd.*....... 16,275
20,800 Boyd Brothers Transportation,
Inc.*........................ 182,000
41,100 Circle International Group..... 839,981
142,500 Consolidated Freightways
Corp.*....................... 1,407,188
24,000 Fritz Companies, Inc.*......... 249,000
18,100 KLLM Transport Services,
Inc.*........................ 88,238
58,200 Landstar System, Inc.*......... 2,022,449
6,050 Marten Transport, Ltd.*........ 69,575
5,400 Old Dominion Freight Line,
Inc.*........................ 79,650
800 Overseas Shipholding Group..... 12,350
33,400 Pittston BAX Group............. 269,288
12,200 RailAmerica, Inc.*............. 120,475
17,800 RailTex, Inc.*................. 293,700
5,100 Roadway Express, Inc. ......... 102,956
4,900 Werner Enterprises, Inc. ...... 86,363
133,900 Yellow Corp.*.................. 2,217,718
------------
9,268,619
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT -- 3.2%
44,000 AMERCO, Inc.*.................. $ 1,256,749
19,900 Ark Restaurants Corp.*......... 196,513
86,700 Avis Rent A Car, Inc.*......... 1,809,862
71,600 Aztar Corp.*................... 733,900
20,700 Black Hawk Gaming & Development
Company, Inc.*............... 113,850
36,500 Buffets, Inc.*................. 424,313
5,700 Crown Group Inc.*.............. 25,650
100,800 Dollar Thrifty Automotive
Group*....................... 2,085,299
4,800 Frisch's Restaurants, Inc. .... 47,400
57,100 Hospitality Worldwide Services,
Inc. *....................... 164,163
2,800 ICH Corp.*..................... 35,175
2,700 Jerry's Famous Deli, Inc.*..... 2,700
500 Landry's Seafood Restaurants,
Inc.*........................ 4,000
147,300 Lone Star Steakhouse & Saloon,
Inc. *....................... 1,132,369
106,900 Luby's, Inc. .................. 1,229,349
21,300 Mexican Restaurants Inc.*...... 82,538
9,900 Phoenix Restaurant Group,
Inc.*........................ 6,188
35,900 Piccadilly Cafeterias, Inc. ... 235,594
53,200 Quality Dining, Inc.*.......... 139,650
17,000 Quintel Communications,
Inc.*........................ 30,813
10,400 Reading Entertainment, Inc.*... 64,350
15,300 Roadhouse Grill, Inc.*......... 81,281
175,800 Ryan's Family Steak Houses,
Inc.*........................ 1,582,199
7,700 SFX Entertainment, Inc.*....... 234,850
4,900 Sizzler International, Inc.*... 10,413
21,600 Sonesta International Hotels
Corp., Class A............... 139,050
62,900 Sonic Corp.*................... 1,914,518
1,000 Star Buffet, Inc.*............. 4,625
6,200 Station Casinos, Inc.*......... 144,150
7,800 Sunburst Hospitality Corp.*.... 48,263
1,000 Supertel Hospitality, Inc. .... 12,813
100 Uno Restaurant Corp.*.......... 1,188
11,700 VICORP Restaurants, Inc.*...... 193,050
66,200 Video Update, Inc., Class A*... 22,756
------------
14,209,581
------------
TOTAL COMMON STOCKS (COST
$410,008,699) -- 98.2%....... 440,766,832
------------
</TABLE>
See accompanying notes to the financial statements.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
WARRANTS -- 0.0%
DEFENSE -- 0.0%
8,100 Herley Industries, Inc. @ 15.6
*............................ $ 27,338
------------
TOTAL WARRANTS................. 27,338
------------
REPURCHASE AGREEMENTS -- 0.9%
State Street Bank, dated
9/30/99, due 10/01/99 at
3.25% with a maturity value
of $4,015,362 (Collateralized
by $3,540,000 U.S. Treasury
Bond, 7.50%, 11/15/24, market
value -- $4,095,338)......... 4,015,000
------------
TOTAL REPURCHASE AGREEMENTS
(COST $4,015,000) -- 0.9%.... 4,015,000
------------
SECURITIES HELD AS COLLATERAL
ON SECURITIES LOANED -- 0.5%
AIM Liquid Assets Portfolio,
5.4% 431,615
AIM Prime Portfolio, 5.3% 619,903
AIM Treasury Portfolio, 5.1% 262,242
Federated Treasury Obligations
Fund, 5.0% 127,152
PNC Temp Fund, 5.2% 643,013
Scudder Money Market Series,
5.4% 10,406
------------
TOTAL SECURITIES HELD AS
COLLATERAL ON
SECURITIES LOANED (COST
$2,094,331) -- 0.5%.......... 2,094,331
------------
TOTAL INVESTMENTS (COST
$416,118,030) (B)
-- 99.6%..................... 446,903,501
COLLATERAL AS SECURITIES
LOANED -- (0.5%)............. (2,094,331)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.9%.......... 4,261,490
------------
TOTAL NET ASSETS -- 100.0%..... $449,070,660
============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depository Receipt.
(a) Securities on loan.
(b) Bankrupt security; valued by Management (Note 2).
(c) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation............. $ 70,268,431
Unrealized
depreciation........... (39,482,960)
------------
Net unrealized
appreciation........... $ 30,785,471
============
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
Underpinned by two consecutive quarterly improvements in GDP and a brighter
Tankan (Economic Survey conducted by The Bank of Japan), the optimism about the
Japanese equity market is now universal. The broader equity market in Tokyo, the
Tokyo Stock Price Index (TOPIX)(1), delivered a 32.40% gain in the six months
period ended September 30, 1999 -- one of best performers in the world equity
markets. While the stronger-than-expected yen contributed more than 58% to the
total return, the TOPIX was able to post an 11.24% gain in the local currency
and stabilized itself above the 1,500 level for the first time in the last two
years.
The Communications (+69%), Wholesale (+65%), Services (+57%) and Other
Finance and Securities (+56%) industries were top performers in this six-month
period. The shares in these industries were favored for their strong growth
potential and on the expectation of the recovery of domestic consumption. Bank
stocks emerged as the market leader in the second half of the period following
the announcements of mega-mergers involving seven city banks. The worst
performers were those industries that have not changed themselves enough for the
evolution of the new Japanese economy. Maritime Transportation (-6%),
Glass/Ceramics (-2%) and other basic industries were laggards amid the bull
market.
Persistent buying interest from individual investors and foreigners
energized small stocks to continue another bull-run during the six-month period.
The two representative small cap indexes, the Second Section of the Tokyo Stock
Exchange and the Nikkei OTC market, surged 73.27% and 95.99% respectively. These
small stocks are generally free from the risk of currency movement and
particularly tend to benefit from the constant flows of fresh liquidity. While
the market valuation for small stocks has reached a level that cannot be
reasonably justified by the underlying fundamentals, there is no sign of
slowdown in their momentum.
Despite the strengthening economy, value stocks failed to perform well
relative to growth stocks. The current trend contradicted the evidence observed
in the past as a result of the national policy to maintain low interest rates as
a solution to sustain economic recovery. Managers that focused on price momentum
stocks scored high, whereas contrarians who searched for under-valued stocks
based on earnings-to-price or book-to-price severely fell behind the market,
just as in the last three years. As the Manager's strategy typically
under-weights price momentum stocks, should growth-like momentum stocks continue
to do well, there is a risk that the future performance of the Fund will be
impacted.
PORTFOLIO REPORT
The Fund outperformed its benchmark, the TOPIX, by approximately 4% for the
six months ended September 30, 1999. The Manager's value-based strategy fared
well, despite growth stocks outperforming value stocks by a wide margin.
Positive performance was attributable to under-weighting the weaker industries
and, more importantly, to stock selection.
International investing involves increased risk and volatility. The Japan
Fund may be subject to the additional risk of non-diversified regional fund
investing.
Past performance is no guarantee of future results.
- ---------------
(1) The Tokyo Stock Price Index (TOPIX) is an unmanaged index of approximately
1,300 Japanese companies. Investors cannot invest directly in any Index.
16
<PAGE> 17
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 95.7%
AUTOS -- 3.9%
2,000 Fuji Heavy Industries, Ltd....... $ 15,892
3,000 Mazda Motor Corp................. 15,047
3,000 Mitsubishi Motors Corp........... 16,286
3,000 Nissan Shatai Co., Ltd........... 6,904
1,000 Yachiyo Industry Co., Ltd........ 6,575
------------
60,704
------------
BANKING -- 20.0%
2,000 JACCS Co., Ltd................... 8,604
3,000 Orient Corp...................... 10,708
6,000 The Asahi Bank, Ltd.............. 43,112
6,000 The Dai-Ichi Kangyo Bank, Ltd.... 74,839
4,000 The Sanwa Bank, Ltd.............. 53,538
3,000 The Sumitomo Bank, Ltd........... 45,085
2,000 The Sumitomo Trust & Banking Co.,
Ltd............................ 15,836
2,000 The Tochigi Bank, Ltd............ 12,736
6,000 The Tokai Bank, Ltd.............. 43,337
1,000 The Toyo Trust & Banking Co.,
Ltd............................ 4,959
------------
312,754
------------
CHEMICALS -- 0.4%
3,000 Ishihara Sangyo Kaisha, Ltd. *... 5,607
------------
CONSTRUCTION MATERIAL -- 0.4%
3,000 Central Glass Co., Ltd........... 6,735
------------
DRUGS -- 8.8%
2,000 Daiichi Pharmaceutical Co.,
Ltd............................ 30,394
2,000 Nikken Chemicals Co., Ltd........ 8,284
2,000 Rohto Pharmaceutical Co., Ltd.... 15,761
2,000 Sankyo Co., Ltd.................. 60,112
2,000 Tanabe Seiyaku Co., Ltd.......... 15,498
2,000 Tsumura & Co..................... 8,059
------------
138,108
------------
DURABLES -- 5.4%
4,000 Matsushita Electric Industrial
Co., Ltd....................... 85,097
------------
ELECTRONICS -- 20.4%
4,000 Fujitsu Ltd...................... 124,733
1,000 Ibiden Co., Ltd.................. 19,161
5,000 Mitsubishi Electric Corp......... 28,554
4,000 NEC Corp......................... 80,588
2,000 Nissho Corp...................... 21,227
2,000 Shindengen Electric Mfg. Co.,
Ltd............................ 13,319
200 Shinko Electric Industries Co.,
Ltd............................ 9,224
2,000 Toko, Inc........................ 9,317
2,000 Yokogawa Electric Corp........... 14,277
------------
320,400
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD -- 0.2%
3,000 Maruha Corp...................... $ 3,691
------------
HOUSEHOLD -- 0.9%
1,000 Tenma Corp....................... 14,756
------------
INSURANCE -- 1.4%
2,000 Mitsui Marine & Fire Insurance
Co., Ltd....................... 10,614
3,000 The Dai-Tokyo Fire & Marine
Insurance Co., Ltd............. 10,989
------------
21,603
------------
LIQUOR & TOBACCO -- 2.6%
1,000 Asahi Breweries, Ltd. ........... 15,301
2 Japan Tobacco Inc. .............. 24,796
------------
40,097
------------
MACHINERY -- 4.8%
3,000 Amada Sonoike Co., Ltd. ......... 7,467
2,000 Hitachi Koki Co., Ltd. .......... 7,477
2,000 Mitsubishi Heavy Industries,
Ltd. .......................... 7,702
300 Miura Co., Ltd. ................. 4,508
2,000 Nitto Electric Works, Ltd. ...... 15,592
600 Shinkawa Ltd. ................... 21,415
2,000 Sintokogio, Ltd. ................ 5,053
2,000 Toshiba Tungaloy Co., Ltd. ...... 6,068
------------
75,282
------------
MEDIA -- 2.6%
2,000 Tokyo Broadcasting System,
Inc............................ 40,294
------------
METALS -- 0.3%
1,000 Mitsubishi Cable Industries,
Ltd. .......................... 1,644
2,000 Ryobi Ltd. ...................... 3,494
------------
5,138
------------
MISCELLANEOUS FINANCIAL -- 2.3%
4,000 Daiwa Securities Co., Ltd. ...... 36,443
------------
OFFICE MACHINERY -- 2.2%
1,000 Fuji Photo Film Co., Ltd. ....... 34,283
------------
PAPER -- 0.9%
2,000 Daio Paper Corp. ................ 13,319
------------
REAL ESTATE ASSETS -- 1.2%
3,000 Daiwa Danchi Co., Ltd. .......... 8,228
3,000 Sumitomo Realty & Development
Co., Ltd. ..................... 11,130
------------
19,358
------------
</TABLE>
See accompanying notes to the financial statements.
17
<PAGE> 18
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE -- 5.7%
4,000 Itochu Corp. .................... $ 13,187
2,000 Kasumi Co., Ltd. ................ 9,693
4,000 Marubeni Corp. .................. 10,369
3,000 Mitsui & Co., Ltd. .............. 22,712
3,000 Nissho Iwai Corp. ............... 2,874
3,000 Sumitomo Corp. .................. 22,064
2,000 Tokyu Store Chain Co., Ltd. ..... 7,890
------------
88,789
------------
SERVICES -- 1.8%
2,000 Intec Inc. ...................... 28,367
------------
SOAPS & COSMETICS -- 0.5%
2,000 Lion Corp. ...................... 7,965
------------
TELEPHONE -- 3.9%
5 Nippon Telegraph and Telephone
Corp. ......................... 61,522
------------
TEXTILES -- 0.3%
2,000 Gunze Ltd. ...................... 5,016
------------
TRANSPORTATION -- 2.2%
4,000 Tokyu Corp. ..................... 11,271
5 West Japan Railway Co. .......... 23,012
------------
34,283
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT -- 2.6%
300 Heiwa Corp. ..................... $ 9,496
200 Nintendo Co., Ltd. .............. 31,897
------------
41,393
------------
TOTAL INVESTMENTS (COST
$1,156,612)(A) -- 95.7%........ 1,501,004
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 4.3%............ 67,245
------------
TOTAL NET ASSETS -- 100.0%....... $ 1,568,249
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation..... $375,181
Unrealized depreciation..... (30,789)
--------
Net unrealized
appreciation.............. $344,392
========
</TABLE>
See accompanying notes to the financial statements.
18
<PAGE> 19
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
During the past six months, we witnessed a change in leadership in the
world equity markets. Concerned about an overheated stock market in the U.S.,
investors are shifting their assets overseas. The long-awaited recovery in small
stocks, in particular, international small stocks, has finally materialized.
Over this period, international small stocks, as measured by the Cazenove
Rosenberg Global Smaller Companies Index excluding the U.S. (CRIexUS)(1), gained
16%. The Salomon Smith Barney World ex U.S. Extended Markets Index(2), another
notable benchmark for international mid/small stocks, returned 12%. 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)(3), rose 7%. Performance of the U.S. equity market, using the S&P
500 Index(4) as a proxy, was flat over this same period.
During the second quarter, the low interest rate, low inflation environment
provided a rejuvenating force for the financial markets. After close to two
years of financial turmoil, countries in Asia and Latin America are finally
beginning to recover. Markets around the world reacted positively to the
brighter global economic prospects, resulting in healthy gains. However, this
positive momentum was halted in the third quarter, when the fear over further
increases in U.S. interest rates cast a shadow over global stocks.
After enjoying spectacular growth in 1997 and 1998, the European markets
have retreated and underperformed other developed countries thus far in 1999.
The disappointing performance of the euro and concerns over rising interest
rates prevented the markets from reaching higher levels. On the positive side,
corporate restructurings and merger-and-acquisition activities are proceeding at
record pace. This provided a revitalizing force to European stocks. For the six
months ended September 30, 1999, European small stocks delivered gains of over
8%(5), as a result of strong domestic consumption and high investors'
enthusiasm. Large companies returned 1%(5) over this period. Small stocks have
outperformed large stocks consistently this year, signaling a solid and credible
change in leadership. Value stocks continued to outperform growth stocks, though
the pace has slackened slightly.
The Japanese stock market experienced a dramatic turnaround this year. The
market was buoyed by a higher-than expected GDP growth and increased confidence
from both domestic and overseas investors. Small stocks, in particular,
outperformed the broad market over this period. For the six months ending
September 30, 1999, Japanese small stocks delivered an impressive gain of over
39%, and large stocks posted a 25% return. The Japanese yen also appreciated 11%
against the U.S. dollar. The rising yen is already posing a threat to Japanese
exporters because it makes their products less competitive globally. Investors
are anticipating a halt in the strengthening of the yen in the 4th quarter.
In the rest of Asia, there have been more concrete indications that the
recession has bottomed out. Real estate prices have stabilized. Strong demand in
the U.S. is also helping to boost Asian exports and hence industrial activities.
Domestic consumption has also started to pick up. Several countries also
reported a rebound in GNP. However, recoveries are still at an early stage and
the pace of recovery will largely depend on the strength of the global economy.
Fund flows from overseas investors and domestic government support pushed up the
markets significantly in the second quarter. In the third quarter, the fear of
rising interest rates and profit taking from investors put a dampening effect on
the markets, and Asian stocks retreated. Over the last six months, small stocks
for the Pacific ex Japan region gained over 35%, and large stocks were up over
12%.
In Canada, domestic spending remained strong and investors' confidence
remained high. Value stocks continued to outperform growth stocks during the
last six months. As the world commodity prices stabilized, the Canadian dollar
also strengthened. During this period, it appreciated close to 3% against the
U.S. dollar. Over this period, performance of large stocks and small stocks were
similar, with large stocks posting gains of over 14% and small stocks reaping
returns of 16%.
19
<PAGE> 20
In the foreign exchange market, the U.S. dollar lost strength during the
last six months, particularly against the Japanese yen. Among the currencies of
the developed markets, the Japanese yen appreciated the most (over 11%) against
the U.S. dollar. The New Zealand dollar suffered the largest depreciation (3%).
As for the euro, it depreciated over 1% against the U.S. dollar.
PORTFOLIO REPORT
The Fund follows a systematic and disciplined approach to international
investing. The portfolio closely tracks the country and industry exposures of
its benchmark, the Cazonive Rosenberg Global Smaller Companies Index excluding
the U.S. (CRIexUS), with diversification over 19 countries and over 400
holdings. As of September 30, 1999, the top 10 holdings accounted for about 15%
of the total portfolio. Approximately 65% of the holdings were invested in
Europe. Companies engaged in Retail and Wholesale and those involved in
Electronic Components together represented 15% of the portfolio. The
price-to-positive-earnings ratio of the portfolio was 15, and the median market
capitalization of the holdings was approximately $330 million.
For the six months ending September 30, 1999, the Fund outperformed its
benchmark, the CRIexUS. Since inception, the Fund's performance has also
exceeded that of its benchmark. The Manager strives to add value through
bottom-up stock selection and avoid heavy bets on countries and industries.
During the past six months, stock selection worked particularly well for
European companies. In addition, value stocks outperformed growth stocks
internationally over this period, and the portfolio benefited from its slight
value exposure.
OUTLOOK
We are optimistic about the prospects of international small stock
investing. As the world economy stabilizes and continues on its growth path,
small stocks will continue to be the main beneficiaries. Thus far in 1999, we
have already seen encouraging growth from small stocks. In particular,
international small stocks have emerged as one of the best performing asset
classes. Over the long run, we believe international small stocks represent an
attractive component in a diversified global portfolio.
International investing involves increased risk and volatility. Small
capital funds typically carry additional risks since smaller companies generally
have experienced a greater degree of market volatility than average.
Past performance is no guarantee of future results.
- ---------------
(1) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRIexUS) is an unmanaged index of non-U.S. small capitalization companies
with market capitalization up to $3 billion. The index includes 21 developed
countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France,
Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland and U.K. Investors cannot
invest directly in any Index.
(2) The Salomon Smith Barney World ex US EMI is an unmanaged broad-based index
of non-US small/mid-capitalization companies. The Index includes 21
countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France,
Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland and U.K. Investors cannot
invest directly in any Index.
(3) Morgan Stanley Capital International Europe, Australasia and Far East
Standard Index (MSCI Standard EAFE) is a standard, unmanaged foreign
securities index representing major non-US stock markets as monitored by
Morgan Stanley Capital International. Investors cannot invest directly in
any Index.
(4) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks. Investors cannot invest directly in any Index.
(5) Large stock returns are based on individual country and regional MSCI
Standard Indices; small stock returns are based on individual country and
regional CRIexUS.
20
<PAGE> 21
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 97.2%
AUSTRALIA -- 1.7%
Chemicals -- 0.2%
98,600 Ticor, Ltd................. $ 74,645
------------
Construction
Material -- 0.0%
8,000 Adelaide Brighton, Ltd..... 3,770
1 Henry Walker Group, Ltd.... 1
------------
3,771
------------
Electronics -- 0.0%
7,400 Metal Manufactures, Ltd.... 7,727
------------
Financial
Investments -- 0.3%
54,565 Australian Foundation
Investment Company,
Ltd...................... 103,164
53,800 Orbital Engine Corp.,
Ltd.*.................... 21,418
------------
124,582
------------
Liquor & Tobacco -- 0.5%
19,300 British American Tobacco
Australasia, Ltd......... 211,607
------------
Metals -- 0.2%
8,200 Bougainville Copper,
Ltd.*.................... 1,017
15,000 Consolidated Rutile,
Ltd.*.................... 6,657
10,042 North, Ltd................. 21,299
45,100 Pasminco, Ltd.............. 50,037
------------
79,010
------------
Oil Distribution -- 0.1%
22,900 Caltex Australia, Ltd...... 43,490
------------
Real Estate Assets -- 0.1%
13,067 Goldfields, Ltd............ 11,939
28,700 Mount Leyshon Gold Mines,
Ltd...................... 35,587
73 Sons of Gwalia, Ltd........ 229
------------
47,755
------------
Travel/Entertainment -- 0.3%
16,500 Spotless Group, Ltd........ 50,073
28,236 Village Roadshow, Ltd...... 56,204
------------
106,277
------------
698,864
------------
BELGIUM -- 1.5%
Banking -- 0.8%
210 Banque Nationale de
Belgique................. 339,944
------------
Construction
Material -- 0.1%
460 Glaverbel SA............... 48,990
------------
Transportation -- 0.6%
5,090 CMB Compagnie Maritime
Belge SA................. 235,588
------------
624,522
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA -- 4.4%
Airlines -- 0.2%
9,800 Air Canada Corp.*.......... $ 66,690
------------
Banking -- 0.2%
4,300 Laurentian Bank of
Canada................... 64,669
------------
Defense -- 0.1%
5,600 SNC Group, Inc............. 43,063
------------
Insurance -- 0.2%
700 E-L Financial Corp.,
Ltd...................... 73,478
------------
Media -- 0.8%
2,400 Chum, Ltd. -- Class B...... 62,879
200 Hollinger, Inc............. 2,123
6,400 Quebecor, Inc. -- Class
B........................ 154,611
5,800 Torstar Corp. -- Class B... 62,954
5,600 TVA Group, Inc. -- Class
B........................ 72,406
------------
354,973
------------
Metals -- 0.5%
5,900 Dofasco, Inc............... 106,799
15,900 Stelco, Inc. -- Class A.... 110,906
------------
217,705
------------
Miscellaneous
Financial -- 0.1%
2,700 Fahnestock Viner Holdings,
Inc. -- Class A.......... 40,422
------------
Oil -- 0.6%
300 Cabre Exploration, Ltd.*... 3,032
2,900 Chieftain International,
Inc.*.................... 54,468
10,700 Gulf Canada Resources,
Ltd.*.................... 44,053
2,600 Penn West Petroleum,
Ltd.*.................... 55,203
7,700 Renaissance Energy,
Ltd.*.................... 110,038
500 Ulster Petroleums, Ltd.*... 5,393
------------
272,187
------------
Oil Services -- 0.0%
200 Precision Drilling
Corp.*................... 4,627
------------
Other Utilities -- 0.0%
1,100 BC Gas, Inc................ 20,398
------------
Paper -- 0.6%
8,400 Cascades, Inc.............. 55,734
13,600 Domtar, Inc................ 140,212
10,300 Nexfor, Inc................ 61,331
------------
257,277
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Real Estate Assets -- 0.2%
2,100 Brookfield Properties
Co....................... $ 24,651
6,200 Cambior, Inc............... 21,307
4,482 Cambridge Shopping Centres,
Ltd.*.................... 24,248
------------
70,206
------------
Retail/Wholesale -- 0.1%
4,800 Emco, Ltd.*................ 21,069
2,500 Westburne, Inc.*........... 26,795
------------
47,864
------------
Services -- 0.2%
400 AGRA, Inc.................. 2,858
1,800 Hummingbird Communications,
Ltd.*.................... 40,300
2,900 Open Text Corp.*........... 57,230
23,200 Philip Services Corp.*..... 4,263
------------
104,651
------------
Telephone -- 0.5%
1,096 Aliant, Inc................ 16,408
3,300 Cogeco, Inc................ 47,159
1,400 QuebecTel Group, Inc....... 15,005
4,300 Shaw Communications,
Inc. -- Class B.......... 118,219
------------
196,791
------------
Travel/Entertainment -- 0.1%
1,433 Corus Entertainment, Inc.--
Class B*................. 23,166
------------
1,858,167
------------
DENMARK -- 2.2%
Banking -- 0.4%
500 Jyske Bank A/S............. 47,994
1,575 Unidanmark A/S -- Class
A........................ 106,730
------------
154,724
------------
Construction
Material -- 0.7%
15,000 Aalborg Portland Holding
A/S...................... 311,603
------------
Retail/Wholesale -- 0.6%
6,100 Monberg & Thorsen Holding
A/S...................... 180,028
5,000 Ostasiatiske Kompagni
A/S*..................... 53,725
------------
233,753
------------
Transportation -- 0.5%
1,800 J. Lauritzen Holding
A/S*..................... 214,039
------------
914,119
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINLAND -- 4.4%
Building -- 0.7%
2,300 Kone Corp., Oyj............ $ 303,000
------------
Drugs -- 1.0%
17,100 Orion Yhtyma OY -- Class
A........................ 409,755
------------
Electronics -- 0.1%
999 Instrumentarium OY -- Class
A........................ 33,514
------------
Metals -- 0.7%
23,700 Outokumpu Oyj.............. 275,371
------------
Paper -- 1.8%
52,700 Mesta Serla OY -- Class
B........................ 474,256
23,000 Stora Enso Oyj............. 304,960
------------
779,216
------------
Transportation -- 0.1%
13,400 Neptun Maritime Oyj*....... 30,397
------------
1,831,253
------------
FRANCE -- 9.3%
Banking -- 0.2%
36,700 Comptoir des
Entrepreneurs*........... 84,424
------------
Building -- 1.2%
4,400 Groupe GTM................. 486,402
------------
Electronics -- 0.9%
1,420 Sagem SA*.................. 396,207
------------
Financial
Investments -- 2.7%
22,947 Compagnies Europeennes
Reunies SA............... 178,644
1,462 Generali France
Assurances............... 677,303
3,422 Societe Fonciere,
Financiere Et De
Participations........... 256,930
------------
1,112,877
------------
Food -- 1.0%
481 Bongrain SA................ 184,465
20 Carbonique (La)............ 41,961
35 Compagnie du Cambodge...... 20,128
466 Sucriere de Pithiviers Le
Vieil.................... 183,129
------------
429,683
------------
Household -- 0.8%
5,599 Bertrand Faure SA.......... 352,108
------------
Liquor & Tobacco -- 0.9%
17,175 Remy Cointreau............. 356,678
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Media -- 0.5%
163 Europe 1 Communication..... $ 50,342
2,594 Gaumont SA................. 169,899
------------
220,241
------------
Retail/Wholesale -- 1.0%
2,409 Fonciere Euris SA.......... 269,383
1,256 Monoprix SA................ 141,789
------------
411,172
------------
Textiles -- 0.1%
8,604 Dollfus-Mieg & Cie SA...... 59,469
------------
3,909,261
------------
GERMANY -- 5.0%
Autos -- 0.4%
20,237 SAI Automotive AG.......... 176,944
------------
Construction
Material -- 0.6%
5,450 K & S AG................... 76,615
998 Oberland Glas AG........... 161,555
------------
238,170
------------
Drugs -- 0.7%
8,660 Merck KGAA................. 313,576
------------
Insurance -- 0.8%
5,600 DBV-Winterthur Holdings
AG....................... 322,053
------------
Liquor & Tobacco -- 0.7%
1,060 Binding Brauerei AG........ 234,809
340 Holsten-Brauerei AG........ 65,177
------------
299,986
------------
Machinery -- 1.4%
21,080 IWKA AG.................... 376,037
85 Varta AG................... 11,021
11,470 WMF-Wuerttembergische
Metallwarenfabrik AG..... 182,010
------------
569,068
------------
Metals -- 0.3%
12,240 Norddeutsche Affinerie
AG....................... 130,355
------------
Retail/Wholesale -- 0.1%
270 Baywa AG................... 38,819
900 Hornbach Baumarkt AG....... 23,962
------------
62,781
------------
2,112,933
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG -- 1.7%
Aircraft -- 0.0%
4,000 Hong Kong Aircraft
Engineering Company,
Ltd...................... $ 7,261
------------
Banking -- 0.1%
68,000 JCG Holdings, Ltd.......... 39,832
------------
Electric Utilities -- 0.2%
95,400 Hopewell Holdings.......... 66,936
------------
Electronics -- 0.2%
220,000 Wong's International
Holdings, Ltd............ 70,807
------------
Financial
Investments -- 0.0%
224,000 Chuang's Consortium
International, Ltd....... 10,670
84,000 Peregrine Investment
Holdings, Ltd.* (a)...... 0
------------
10,670
------------
Food -- 0.0%
61,000 Lam Soon Hong Kong*........ 11,387
------------
Miscellaneous
Financial -- 0.0%
8,000 Lee Hing Development,
Ltd...................... 2,317
------------
Real Estate Assets -- 0.6%
217,000 Chinese Estates Holdings,
Ltd...................... 35,480
283,000 Mingly Corp................ 54,650
62,000 New Asia Realty & Trust
Co....................... 87,802
33,000 Realty Development Corp.... 60,328
121,000 USI Holdings, Ltd.......... 15,733
12,000 Wing On Co. International,
Ltd...................... 5,060
------------
259,053
------------
Retail/Wholesale -- 0.2%
45,000 Dickson Concepts
International, Ltd....... 35,050
16,000 Jardine International Motor
Holdings, Ltd............ 7,776
90,000 YGM Trading, Ltd........... 38,525
------------
81,351
------------
Transportation -- 0.2%
9,000 China Motor Bus Co......... 59,671
100,000 China Travel International
Investment Hong Kong,
Ltd...................... 13,003
11,000 Orient Overseas
International, Ltd....... 4,957
------------
77,631
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Travel/Entertainment -- 0.2%
113,337 CDL Hotels International,
Ltd...................... $ 38,666
86,000 Hongkong & Shanghai Hotels,
Ltd...................... 65,323
------------
103,989
------------
731,234
------------
ITALY -- 7.2%
Autos -- 0.1%
20,250 Magneti Marelli SpA........ 56,719
------------
Banking -- 3.4%
18,000 Banca Popolare di
Bergamo.................. 398,733
44,000 Banca Popolare di Novara... 389,872
56,000 Banca Toscana.............. 248,696
14,000 Italmobiliare SpA.......... 380,201
------------
1,417,502
------------
Building -- 0.8%
436,000 Impregilo SpA.............. 329,678
------------
Chemicals -- 0.5%
276,820 Montefibre SpA............. 196,049
------------
Electronics -- 0.5%
67,000 Sorin Biomedica Group
SpA...................... 221,912
------------
Food -- 0.7%
216,000 Parmalat Finanziaria SpA... 289,848
------------
Insurance -- 0.5%
17,000 Toro Assicurazioni SpA..... 226,310
------------
Media -- 0.7%
422,000 Cofide SpA*................ 269,655
16,000 Locazione Attrezzature
SpA...................... 16,120
------------
285,775
------------
3,023,793
------------
JAPAN -- 23.4%
Autos -- 0.7%
6,000 Aichi Machine Industry Co.,
Ltd...................... 15,723
11,000 Kansei Corp................ 38,021
1,000 Nippon Seiki Co., Ltd...... 15,498
35,000 Nissan Shatai Co., Ltd..... 80,542
26,000 U-Shin Ltd................. 125,034
------------
274,818
------------
Banking -- 0.7%
28,000 First Credit Corp.......... 84,421
2,900 The Bank of Okinawa,
Ltd...................... 83,078
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Banking (continued)
18,000 The Tochigi Bank, Ltd...... $ 114,627
4,000 The Tokushima Bank, Ltd.... 29,868
------------
311,994
------------
Building -- 0.4%
9,000 Footwork Construction
Corp..................... 33,813
9,000 Fukuda Corp................ 32,545
5,000 Maeda Road Construction
Co., Ltd................. 31,935
17,000 SXL Corp................... 55,886
8,000 Tenox Corp................. 23,294
------------
177,473
------------
Chemicals -- 0.5%
60,000 Ishihara Sangyo Kaisha,
Ltd.*.................... 112,147
26,000 Tsurumi Soda Co., Ltd...... 80,589
------------
192,736
------------
Construction
Material -- 0.3%
21,000 Kawagishi Bridge Works Co.,
Ltd...................... 82,448
16,000 Okabe Co., Ltd............. 52,599
------------
135,047
------------
Drugs -- 1.0%
18,000 Mikasa Seiyaku Co., Ltd.... 81,997
20,000 Nikken Chemicals Co.,
Ltd...................... 82,843
15,000 Nippon Shinyaku Co.,
Ltd...................... 98,622
13,000 Rohto Pharmaceutical Co.,
Ltd...................... 102,445
18,000 Tsumura & Co............... 72,530
------------
438,437
------------
Electronics -- 2.7%
6,100 Aiphone Co., Ltd........... 114,017
26,000 Elna Co., Ltd.............. 73,262
10,000 FDK Corp.*................. 56,637
14,000 Furuno Electric Co.,
Ltd...................... 64,433
2,000 Hitachi Medical Corp....... 27,595
3,000 Kel Corp................... 25,924
1,500 Mimasu Semiconductor
Industry Co., Ltd........ 31,700
13,000 New Japan Radio Co.,
Ltd...................... 126,988
17,000 Nihon Inter Electronics
Corp..................... 51,096
15,000 Nippon Chemi-Con Corp...... 71,572
13,000 Nissho Corp................ 137,977
18,000 Shindengen Electric
Manufacturing Co.,
Ltd...................... 119,868
21,000 Sokkia Co., Ltd.*.......... 47,339
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Electronics (continued)
7,000 Toshiba TEC Corp........... $ 25,576
8,000 Wako Electric Co., Ltd..... 146,525
------------
1,120,509
------------
Financial
Investments -- 0.7%
13,000 Central Leasing Co.,
Ltd...................... 61,052
13,000 Kyosei Rentemu Co., Ltd.... 109,893
1,000 Kyushu Leasing Service Co.,
Ltd.*.................... 5,636
16,000 Tokyo Leasing Co., Ltd..... 104,746
------------
281,327
------------
Food -- 0.6%
1,900 Kita Kyushu Coca-Cola Co.,
Ltd...................... 87,445
8,000 Marutai Co., Ltd........... 53,876
2,000 Nichiwa Sangyo Co., Ltd.... 5,542
8,900 Shikoku Coca-Cola Bottling
Co., Ltd................. 125,391
------------
272,254
------------
Household -- 1.1%
35,000 Daiwa Seiko, Inc........... 80,870
9,000 Mitsubishi Pencil Co.,
Ltd...................... 68,388
14,000 Mizuno Corp................ 47,339
30,000 Pilot Corp................. 131,027
9,000 Tenma Corp................. 132,801
------------
460,425
------------
Machinery -- 2.3%
36,000 Amada Sonoike Co., Ltd..... 89,605
8,000 Amatsuji Steel Ball
Manufacturing Co.,
Ltd...................... 76,268
45,000 Juki Corp.................. 100,172
11,000 Kawata Manufacturing Co.,
Ltd...................... 152,912
6,000 KDK Corp................... 26,318
8,000 Koken Ltd.................. 51,847
12,000 Miura Co., Ltd............. 180,338
4,000 Seibu Electric & Machinery
Co., Ltd................. 9,167
18,000 Sintokogio, Ltd............ 45,479
22,000 Tokyo Kikai Seisakusho,
Ltd...................... 115,717
38,000 Toshiba Tungaloy Co.,
Ltd...................... 115,285
------------
963,108
------------
Media -- 1.1%
1,000 Asahi Broadcasting Corp.... 102,379
4,000 Bunkeido Co., Ltd.......... 27,088
1,000 Chubu-Nippon Broadcasting
Co., Ltd................. 9,393
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Media (continued)
20,000 Gakken Co., Ltd............ $ 26,487
53,000 Nippon Columbia Co.,
Ltd...................... 110,015
20,000 Shochiku Co., Ltd.*........ 95,805
30,000 Toei Co., Ltd.............. 100,595
------------
471,762
------------
Metals -- 0.6%
14,000 Chubu Steel Plate Co.,
Ltd...................... 24,458
8,000 Dowa Mining Co., Ltd....... 19,311
11,000 Kurimoto, Ltd.............. 29,446
50,000 Mitsubishi Cable
Industries, Ltd.......... 82,185
2,000 Nihon Electric Wire & Cable
Co., Ltd................. 8,172
5,000 Nittetsu Mining Co.,
Ltd...................... 14,981
19,000 Ryobi Ltd.................. 33,193
6,000 Tonichi Cable, Ltd......... 18,316
5,000 Toyokuni Electric Cable
Co., Ltd................. 18,128
------------
248,190
------------
Miscellaneous
Financial -- 0.1%
13,000 Meiko National Securities
Co., Ltd.*............... 34,800
------------
Office Machinery -- 0.4%
29,000 Asahi Optical Co., Ltd..... 95,879
23,000 Nippon Typewriter Co.,
Ltd...................... 63,297
------------
159,176
------------
Oil Distribution -- 0.2%
19,000 Yushiro Chemical Industry
Co., Ltd................. 91,014
------------
Other Utilities -- 0.0%
6,000 Hokuriku Gas Co., Ltd...... 16,907
------------
Paper -- 0.2%
6,000 Rengo Co., Ltd............. 38,829
8,000 Tokushu Paper Manufacturing
Co., Ltd................. 43,582
------------
82,411
------------
Real Estate Assets -- 1.0%
31,000 Azel Corp.................. 123,748
16,000 Fuji Corp., Ltd............ 51,997
5,000 Hosoda Corp................ 18,785
25,000 MDI Corp.*................. 85,942
5,000 Recruit Cosmos Co., Ltd.... 30,526
2,000 Shinko Kosan, Ltd.......... 6,575
19,000 Starts Corp................ 92,799
------------
410,372
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Retail/Wholesale -- 4.3%
11,000 Charle Co., Ltd............ $ 126,049
12,000 Chiyoda Co., Ltd........... 90,169
7,000 Daiwa Co., Ltd............. 17,752
18,000 Denkyosha Co., Ltd......... 85,548
7,000 Eiden Co., Ltd............. 85,473
1,000 Heiwado Co., Ltd........... 7,420
6,500 Inaba Denkisangyo Co.,
Ltd...................... 106,230
40,000 Joshin Denki Co., Ltd...... 145,021
11,000 Kansaidenpa Corp........... 73,356
18,000 Kasumi Co., Ltd............ 87,239
20,300 Konaka Co., Ltd............ 155,586
10,000 Laox Co., Ltd.............. 100,501
1,000 Life Corp.................. 5,053
10,000 Lilycolor Co., Ltd......... 26,487
25,000 Matsuyandenki Co., Ltd..... 90,639
1,000 Nagano Tokyu Department
Store Co., Ltd........... 4,039
20,000 Nagasakiya Co., Ltd.*...... 34,565
44,000 Nichimo Co., Ltd........... 70,257
3,000 Nishimatsuya Chain Co.,
Ltd...................... 111,866
2,000 Sanshin Electronics Co.,
Ltd...................... 20,852
18,000 Sogo Co., Ltd.*............ 27,558
31,000 Tokyu Store Chain Co.,
Ltd...................... 122,292
3,000 U.Store Co., Ltd........... 27,051
32,000 Uehara Sei Shoji Co.,
Ltd...................... 109,706
3,000 Unik Co., Ltd.............. 21,415
------------
1,752,124
------------
Services -- 2.8%
4,000 Computer Engineering &
Consulting Ltd........... 107,076
14,000 Eikoh Inc.................. 63,776
10,000 Hitachi Information
Systems, Ltd............. 363,493
12,000 Horiuchi Color, Ltd........ 90,169
10,000 Intec, Inc................. 141,828
3,100 Japan Maintenance Co.,
Ltd...................... 50,955
9,000 Japan Process Development
Co....................... 118,347
1,800 Nippon Systemware Co.,
Ltd...................... 107,357
2,000 Shingakukai Co., Ltd....... 9,017
12,000 Tsuzuki Denki Co., Ltd.*... 95,805
2,000 Yellow Hat, Ltd............ 35,880
------------
1,183,703
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Soap & Cosmetics -- 0.2%
22,000 Sunstar Inc................ $ 77,489
3,000 Toho Chemical Industry Co.,
Ltd...................... 5,917
------------
83,406
------------
Telephone -- 0.3%
31 Okinawa Cellular Telephone
Co....................... 142,674
------------
Textiles -- 0.3%
53,000 Gunze, Ltd................. 132,915
1,000 Levi Strauss Japan
Kabushiki Kaisha......... 10,801
------------
143,716
------------
Travel/Entertainment -- 0.9%
11,000 Fuji Kyuko Co., Ltd........ 34,095
23,000 Kinki Nippon Tourist Co.,
Ltd.*.................... 78,851
3,000 Nikkodo Co., Ltd........... 16,202
4,000 Ohsho Food Service Corp.... 63,870
18,000 Seiyo Food Systems Inc..... 73,544
93 Taito Corp................. 110,063
------------
376,625
------------
9,825,008
------------
MALAYSIA -- 0.0%
Durables -- 0.0%
840 Silverstone BHD* (a)....... 0
------------
Travel/Entertainment -- 0.0%
24,000 Rekapacific BHD*........... 2,905
------------
2,905
------------
NETHERLANDS -- 5.0%
Financial
Investments -- 0.9%
12,880 VIB NV..................... 362,817
------------
Metals -- 2.1%
15,129 Koninklijke Hoogovens NV... 858,781
------------
Retail/Wholesale -- 0.3%
5,900 Apothekers Cooperatie
Opg-CV................... 129,439
------------
Textiles -- 0.6%
6,820 Gamma Holding NV........... 273,098
------------
Transportation -- 1.1%
17,070 Koninklijke Nedlloyd Groep
NV....................... 473,573
------------
2,097,708
------------
NEW ZEALAND -- 0.2%
Liquor & Tobacco -- 0.1%
29,500 DB Group, Ltd.............. 33,972
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NEW ZEALAND (CONTINUED)
Retail/Wholesale -- 0.1%
31,200 Hallenstein Glasson
Holdings, Ltd............ $ 34,158
1,900 Independent Newspapers,
Ltd...................... 6,721
------------
40,879
------------
74,851
------------
NORWAY -- 1.3%
Defense -- 0.5%
11,000 Kvaerner ASA -- Class A.... 219,936
------------
Oil Services -- 0.3%
12,500 Smedvig A/S -- Class A..... 138,669
------------
Paper -- 0.5%
5,800 Norske Skogindustrier
ASA...................... 189,661
------------
548,266
------------
SINGAPORE -- 1.2%
Banking -- 0.3%
22,000 Hong Leong Finance, Ltd.... 36,872
5,000 Industrial & Commercial
Bank, Ltd................ 10,938
23,000 Keppel TatLee Bank, Ltd.... 44,906
26,000 Overseas Union Trust,
Ltd.*.................... 33,638
------------
126,354
------------
Building -- 0.2%
31,000 Jack Chia-Mph, Ltd......... 14,493
62,000 United Engineers, Ltd...... 56,514
------------
71,007
------------
Financial
Investments -- 0.1%
33,000 Times Publishing, Ltd...... 59,384
------------
Household -- 0.0%
19,000 Hour Glass, Ltd............ 7,654
------------
Machinery -- 0.0%
7,000 Prima, Ltd................. 15,807
------------
Office Machinery -- 0.2%
69,000 WBL Corp., Ltd............. 75,473
------------
Real Estate Assets -- 0.1%
56,000 Wing Tai Holdings, Ltd..... 44,458
------------
Retail/Wholesale -- 0.2%
46,000 Bonvests Holdings, Ltd..... 22,047
22,000 Intraco, Ltd............... 16,043
18,000 Isetan (Singapore), Ltd.... 23,287
------------
61,377
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE (CONTINUED)
Telephone -- 0.0%
5,000 Wearnes International,
Ltd...................... $ 1,764
------------
Transportation -- 0.1%
12,000 Chuan Hup Holdings, Ltd.... 10,726
39,000 Neptune Orient Lines,
Ltd...................... 46,788
------------
57,514
------------
520,792
------------
SPAIN -- 2.0%
Banking -- 0.1%
4,580 Banco Zaragozano SA........ 44,679
------------
Construction
Material -- 0.7%
6,080 Cristaleria Espanola SA.... 295,914
------------
Paper -- 0.6%
21,300 Tableros de Fibras
SA -- Class B............ 239,546
------------
Transportation -- 0.6%
34,620 Europistas Concesionaria
Espanola SA.............. 272,838
------------
852,977
------------
SWEDEN -- 2.2%
Building -- 0.5%
19,100 NCC AB -- A Shares......... 193,382
------------
Financial
Investments -- 0.6%
13,400 Custos AB -- A Shares...... 295,862
------------
Metals -- 0.6%
19,600 SSAB -- Series A........... 252,239
800 SSAB -- Series B........... 10,198
------------
262,437
------------
Miscellaneous
Financial -- 0.5%
7,300 Oresund Investment AB...... 190,564
------------
942,245
------------
SWITZERLAND -- 6.5%
Defense -- 0.5%
1,589 Oerlikon-Buhrle Holding
AG....................... 214,962
------------
Electric Utilities -- 0.2%
100 Centralschweizerische
Kraftwerke............... 84,967
------------
Electronics -- 2.5%
240 Ascom Holding AG........... 471,819
930 Sulzer AG.................. 587,535
------------
1,059,354
------------
Insurance -- 0.3%
300 Berner Allgemeine
Holdinggesellschaft...... 116,955
------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
Machinery -- 2.1%
420 Bucher Holding AG.......... $ 344,268
340 Schindler Holding AG....... 555,120
------------
899,388
------------
Services -- 0.9%
320 SGS Societe Generale de
Surveillance Holding
SA....................... 359,115
------------
2,734,741
------------
UNITED KINGDOM -- 18.0%
Building -- 2.1%
75,000 Crest Nicholson plc........ 166,131
72,000 John Laing plc............. 390,711
162,000 Wimpey (George) plc........ 338,833
------------
895,675
------------
Chemicals -- 0.6%
61,000 Wassall plc................ 238,595
------------
Construction
Material -- 0.8%
61,000 Cape plc................... 72,834
185,000 Norcros plc................ 243,742
------------
316,576
------------
Defense -- 0.6%
153,000 Babcock International Group
plc...................... 263,315
------------
Drugs -- 0.5%
100,000 Medeva plc................. 222,332
------------
Electronics -- 0.7%
36,000 Cookson Group plc.......... 121,541
51,000 Oxford Instruments plc..... 175,543
------------
297,084
------------
Food -- 1.1%
81,000 James Finlay plc........... 96,047
134,000 Matthews (Bernard) plc..... 252,684
62,500 Perkins Foods plc.......... 121,974
------------
470,705
------------
Household -- 0.5%
27,000 Avon Rubber plc............ 226,778
------------
Insurance -- 1.1%
72,000 Jardine Lloyd Thompson
Group plc................ 303,557
26,000 London Pacific Group,
Ltd...................... 135,952
------------
439,509
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Liquor & Tobacco -- 1.2%
55,666 Wolverhampton & Dudley
Breweries plc............ $ 517,972
------------
Machinery -- 0.1%
46,000 600 Group plc.............. 51,515
------------
Media -- 1.3%
35 Cordiant Communications
Group plc................ 104
89,000 Saatchi & Saatchi plc...... 307,805
40,000 Tempus Group plc........... 249,341
------------
557,250
------------
Metals -- 0.9%
21,800 Delta plc.................. 47,930
32,000 Lonmin plc................. 337,285
------------
385,215
------------
Miscellaneous
Financial -- 0.8%
12,000 Intercapital plc........... 5,830
118,000 Singer & Friedlander Group
plc...................... 308,992
------------
314,822
------------
Oil Distribution -- 0.7%
110,000 Hunting plc................ 290,760
------------
Paper -- 0.4%
31,000 British Polythene
Industries plc........... 158,267
------------
Retail/Wholesale -- 1.1%
94,950 Iceland Group plc.......... 460,519
------------
Services -- 0.9%
54,000 AMEC plc................... 220,553
121,000 Dowding & Mills plc........ 92,663
16,046 MERANT plc*................ 76,372
------------
389,588
------------
Textiles -- 1.3%
48,000 Allied Textile Cos. plc.... 74,308
92,000 Baird (William) plc........ 128,788
385,000 Coats Viyella plc.......... 350,316
------------
553,412
------------
Travel/Entertainment -- 1.3%
51,000 Mansfield Brewery plc...... 262,475
97,000 Thistle Hotels plc......... 274,769
------------
537,244
------------
7,587,133
------------
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE> 29
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
TOTAL COMMON STOCKS (COST
$38,384,232) -- 97.2%.... $ 40,890,772
------------
PREFERRED STOCKS -- 0.1%
CANADA -- 0.1%
Construction
Material -- 0.1%
1,900 Lafarge Canada, Inc.*...... 57,925
------------
TOTAL PREFERRED STOCKS
(COST $66,774) -- 0.1%... 57,925
------------
WARRANTS -- FOREIGN
SECURITIES -- 0.0%
SINGAPORE -- 0.0%
Building -- 0.0%
6,300 IPCO International Wts @
1.30..................... 1,260
------------
TOTAL INVESTMENTS (COST
$38,451,006)
(B) -- 97.3%............. 40,949,957
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.7%...... 1,124,016
------------
TOTAL NET
ASSETS -- 100.0%......... $ 42,073,973
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized
appreciation............. $ 5,330,089
Unrealized
depreciation........... (2,831,138)
-----------
Net unrealized
appreciation........... $ 2,498,951
===========
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The performance gap between growth and value in the mid and small
capitalization stock arena is at record levels. Over the trailing 12 months, the
Russell 2500 Growth Index(1) has outperformed the Russell 2500 Value Index(2) by
more than 31%. The graph below looks at the same spread over rolling 12-month
horizons; it is clear that the current market environment along the value-growth
dimension is indeed extreme. In fact, before the current period, the Russell
2500 Growth Index has never outperformed the Russell 2500 Value Index by more
than 20% on a trailing 12-month basis.
RUSSELL 2500 VALUE-GROWTH PERFORMANCE SPREAD
LINE GRAPH
Because the Manager's stock selection models are based on fundamental
analysis, they tend to produce better results when investors focus on the
relationship between current company fundamentals and prices. The Fund's
performance will generally suffer in environments, like the current one, in
which the domination of growth stocks becomes extreme. In extreme growth
environments, investors typically reward stocks for which current fundamentals
are poor, but long-term earnings growth is expected to be far greater than the
market. Because the Manager's stock selection process focuses on the
identification of stocks with attractively priced current fundamentals and
future expected earnings, the Fund's investment portfolio will have a moderate
value bias.
PORTFOLIO REPORT
During the six months ended September 30,1999, the Fund underperformed its
benchmark, 90-day T-bills, by more than 8.5%. Three of the months during the
period saw positive performance, but the trailing 6 months also included
30
<PAGE> 31
April 1999 -- the worst single month in the history of the Fund. While risk
factors and industry exposures marginally hurt the Fund's performance, stock
selection accounted for the majority of the Fund's underperformance.
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. This type of fund typically has 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.
Since risk in the Barr Rosenberg Market Neutral Fund relates specifically
to the Manager's stock selection techniques and not to any systematic or
economy-wide factors, the proper benchmark is an asset that also has the least
exposure to systematic influences. U.S. 90-day T-bills are such an asset. An
investment in 90-day T-bills is different from an investment in the Barr
Rosenberg Market Neutral Fund because T-bills are backed by the full faith and
credit of the U.S. Government. T-bills have a fixed rate of return, and
investors do not bear the risk of losing their investment. The income received
from T-bills is free from state income tax.
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.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS -- 91.9%
AIRCRAFT -- 1.4%
100 Curtiss-Wright Corp........... $ 3,225
39,900 Goodrich (B.F.) Co............ 1,157,100
1,200 Howmet International Inc.*.... 16,800
6,000 Sequa Corp., Class A*......... 378,000
-------------
1,555,125
-------------
AIRLINES -- 0.3%
8,000 Alaska Air Group, Inc.*....... 325,500
1,600 America West Holdings Corp.,
Class B*.................... 27,700
-------------
353,200
-------------
AUTOS -- 1.7%
9,400 Amcast Industrial
Corporation................. 125,138
11,100 Arvin Industries, Inc......... 343,406
700 Borg-Warner Automotive,
Inc......................... 30,100
33,000 Federal-Mogul Corp............ 909,562
9,400 Navistar International
Corp.*...................... 437,100
2,200 PACCAR Inc.................... 111,925
-------------
1,957,231
-------------
BANKING -- 4.2%
2,500 Ambanc Holding Company,
Inc......................... 39,531
6,090 American Business Financial
Services, Inc.*............. 73,080
4,500 BNCCORP, Inc.*................ 34,313
8,858 BOK Financial Corporation*.... 172,731
1,200 BYL BanCorp................... 13,350
630 California Independent
BanCorp..................... 11,655
3,200 Carver Bancorp, Inc.*......... 28,800
3,500 Central Bancorp, Inc.......... 60,375
5,200 Central Financial Acceptance
Corp.*...................... 33,800
8,600 Commercial Bank of New York... 101,050
4,600 Community Financial Corp...... 40,825
7,500 CORUS Bankshares, Inc......... 192,188
1,600 First Bancshares, Inc......... 17,600
1,100 First Citizens BancShares,
Inc., Class A............... 84,425
1,800 First Keystone Financial,
Inc......................... 22,613
800 First Republic Bank*.......... 21,200
3,200 Flagstar Bancorp, Inc......... 49,200
1,100 Franklin Bank NA.............. 7,975
6,200 Hawthorne Financial Corp.*.... 82,925
1,200 Independent Bank Corp.,
Michigan.................... 18,375
300 Iroquois Bancorp, Inc......... 5,175
800 ITLA Capital Corporation*..... 11,800
6,600 JSB Financial, Inc............ 377,849
1,400 Kankakee Bancorp, Inc......... 35,700
117 M&T Bank Corporation.......... 53,703
14,500 New Century Financial
Corp.*...................... 255,563
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
3,000 North Central Bancshares,
Inc......................... $ 49,875
61,800 Pacific Century Financial
Corp........................ 1,263,037
1,210 PVF Capital Corp.............. 17,848
7,900 Quaker City Bancorp, Inc.*.... 136,275
4,600 Student Loan Corp............. 188,313
4,200 TFC Enterprises, Inc.*........ 11,550
8,000 UMB Financial Corp............ 333,999
31,600 UST Corp...................... 971,699
3,000 Wainwright Bank & Trust Co.... 22,125
900 Washington Savings Bank FSB... 3,263
-------------
4,843,785
-------------
BUILDING -- 0.7%
5,600 AMREP Corp.*.................. 32,200
9,700 Baker (Michael) Corp.*........ 53,956
900 Liberty Homes, Inc., Class
A........................... 5,738
7,000 M.D.C. Holdings, Inc.......... 113,313
4,800 M/I Schottenstein Homes,
Inc......................... 79,200
3,300 Meadow Valley Corp.*.......... 14,438
700 MYR Group Inc................. 15,750
5,500 Perini Corp.*................. 19,250
11,100 Skyline Corp.................. 285,130
4,800 U.S. Home Corp.*.............. 133,500
12,400 Washington Homes, Inc.*....... 65,100
-------------
817,575
-------------
CHEMICALS -- 3.4%
11,300 Bairnco Corp.................. 79,100
5,500 ChemFirst, Inc................ 150,219
2,700 Dexter Corp................... 100,744
27,200 Ferro Corp.................... 579,700
7,300 Fuller (H. B.) Co............. 444,388
50,000 Hercules, Inc................. 1,431,249
15,300 ICO, Inc...................... 26,775
35,500 Lubrizol Corp................. 911,906
11,900 USEC Inc...................... 121,975
-------------
3,846,056
-------------
CONSTRUCTION MATERIAL -- 1.5%
8,300 Ameron International Corp..... 389,581
1,200 Continental Materials
Corp.*...................... 27,600
6,300 Donnelly Corp................. 88,594
11,600 Florida Rock Industries,
Inc......................... 403,100
4,000 Johns Manville Corp........... 53,000
25,000 Lafarge Corp.................. 803,125
300 Oil-Dri Corporation of
America..................... 4,369
200 United States Lime & Minerals,
Inc......................... 1,200
-------------
1,770,569
-------------
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DEFENSE -- 0.1%
6,600 Herley Industries, Inc.*...... $ 94,050
1,300 Orbit International Corp.*.... 731
8,400 SPACEHAB, Inc.*............... 40,950
-------------
135,731
-------------
DRUGS -- 7.1%
15,000 Alpharma, Inc., Class A....... 529,688
23,900 Ariad Pharmaceuticals,
Inc.*....................... 17,178
31,200 Bausch & Lomb Inc............. 2,057,249
5,300 Biosite Diagnostics Inc.*..... 48,197
19,100 Cambrex Corp.................. 504,956
10,200 ChiRex, Inc.*................. 263,288
100 Genzyme Corp.*................ 4,506
5,300 Hi-Tech Pharmacal Co.,
Inc.*....................... 24,844
8,900 Hycor Biomedical Inc.*........ 10,569
32,200 ImmuLogic Pharmaceutical
Corp........................ 7,044
1,000 IVC Industries, Inc.*......... 4,750
50,500 Mallinckrodt Inc.............. 1,524,469
1,000 Medicis Pharmaceutical
Corp.*...................... 28,500
23,100 MedImmune, Inc.*.............. 2,302,058
2,299 New Brunswick Scientific Co.,
Inc.*....................... 13,938
5,600 PDK Labs Inc.*................ 24,850
7,900 Quidel Corp.*................. 34,563
21,600 Roberts Pharmaceutical
Corp.*...................... 653,400
2,500 Weider Nutrition
International, Inc.......... 7,969
-------------
8,062,016
-------------
DURABLES -- 0.2%
3,800 Whirlpool Corp................ 248,188
-------------
ELECTRIC UTILITIES -- 1.5%
64,900 Conectiv, Inc................. 1,273,663
24,400 Public Service Co. of New
Mexico...................... 445,300
-------------
1,718,963
-------------
ELECTRONICS -- 7.5%
5,300 American Technical Ceramics
Corporation*................ 41,075
2,500 Cabletron Systems, Inc.*...... 39,219
4,800 Cobra Electronics Corp.*...... 15,300
18,600 CTS Corp...................... 1,069,499
11,800 Datascope Corp.*.............. 414,475
4,100 Datron Systems Inc.,
California*................. 22,294
3,900 Diodes Inc.*.................. 22,425
2,900 EMS Technologies, Inc.*....... 34,800
800 Fischer Imaging Corp.*........ 750
1,050 Fossil, Inc.*................. 28,416
21,200 Haemonetics Corp.*............ 417,375
32,100 International Rectifier
Corp.*...................... 489,525
500 Isco, Inc..................... 2,250
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
800 K-Tron International, Inc.*... $ 11,900
11,200 Keithley Instruments, Inc..... 158,900
1,800 Kewaunee Scientific Corp...... 18,225
3,700 Laserscope*................... 3,816
1,800 Medical Action Industries
Inc.*....................... 4,950
900 Medstone International,
Inc.*....................... 5,850
1,300 Merrimac Industries, Inc.*.... 6,825
18,600 MicroTel International,
Inc.*....................... 4,278
4,300 Mine Safety Appliances Co..... 270,900
2,100 Moore Products Co............. 47,513
4,200 Orbital Sciences Corp.*....... 73,500
19,000 PMC-Sierra, Inc.*............. 1,757,499
13,100 Porta Systems Corp.*.......... 13,100
2,700 Salient 3 Communications,
Inc.*....................... 14,513
5,200 SDL, Inc.*.................... 396,825
11,400 Spacelabs Medical, Inc.*...... 172,425
1,000 Span-America Medical Systems,
Inc......................... 3,500
27,800 Syntellect Inc.*.............. 62,550
9,600 Tektronix, Inc................ 321,600
2,700 ThermoQuest Corp.*............ 27,338
41,200 U.S. Industries, Inc.......... 648,900
3,100 Vertex Communications
Corp.*...................... 34,681
23,000 Vishay Intertechnology,
Inc.*....................... 546,250
8,500 VISX, Inc.*................... 672,296
3,300 Wegener Corp.*................ 8,869
9,500 Xilinx, Inc.*................. 622,547
600 Xomed Surgical Products,
Inc.*....................... 34,200
-------------
8,541,153
-------------
FINANCIAL INVESTMENTS -- 0.4%
4,000 Amplicon, Inc................. 48,500
2,100 Berkshire Bancorp Inc......... 79,799
2,100 Echelon International
Corp.*...................... 52,106
6,900 HPSC, Inc.*................... 75,038
6,300 International Aircraft
Investors*.................. 42,131
8,700 IPI, Inc.*.................... 22,294
100 PLM International, Inc.*...... 463
5,800 PS Group Holdings, Inc........ 61,625
3,100 REFAC*........................ 13,175
10,600 Sunrise International Leasing
Corp.*...................... 53,000
16,400 Vari-Lite International,
Inc.*....................... 16,400
-------------
464,531
-------------
FOOD -- 1.2%
17,100 Corn Products International,
Inc......................... 520,482
860 Farmer Brothers Co............ 142,760
2,900 Fresh Foods, Inc.*............ 19,394
4,500 Pepsi Bottling Group, Inc..... 76,781
13,600 Ralcorp Holdings, Inc.*....... 240,550
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
700 Scope Industries.............. $ 41,825
520 Seaboard Corp................. 112,320
11,500 Triarc Companies*............. 246,531
-------------
1,400,643
-------------
HEALTH -- 0.4%
2,300 Advocat, Inc.*................ 2,300
17,400 Diagnostic Health Services,
Inc.*....................... 4,002
700 Hooper Holmes, Inc............ 17,938
20,400 Innovative Clinical Solutions,
Ltd.*....................... 15,300
7,600 Laser Vision Centers, Inc.*... 106,638
2,500 National Home Health Care
Corp.*...................... 9,766
35,900 NovaCare, Inc.*............... 42,631
1,600 PMR Corporation*.............. 4,600
8,800 Quest Diagnostics Inc.*....... 228,799
4,800 UniHolding Corp.*............. 12,000
-------------
443,974
-------------
HOUSEHOLD -- 2.4%
4,700 Aldila, Inc.*................. 5,875
5,300 American Biltrite Inc......... 87,450
22,300 Armstrong World Industries,
Inc......................... 1,002,105
1,200 Brunswick Corp................ 29,850
12,100 Catalina Lighting, Inc.*...... 49,913
3,100 Daktronics, Inc.*............. 49,988
1,300 Detrex Corp.*................. 6,094
200 Educational Insights, Inc.*... 400
12,600 Gundle/SLT Environmental,
Inc.*....................... 37,800
31,900 Kimball International, Inc.,
Class B..................... 614,074
1,000 Michael Anthony Jewelers,
Inc.*....................... 2,938
5,500 Myers Industries, Inc......... 97,625
7,600 National Service Industries,
Inc......................... 239,400
4,800 Patrick Industries, Inc....... 60,900
200 Pubco Corp.*.................. 1,650
2,600 Pulaski Furniture Corp........ 39,325
6,600 Quixote Corp.................. 99,000
4,300 Reunion Industries, Inc.*..... 11,019
9,800 Rotonics Manufacturing Inc.... 12,250
4,900 Russ Berrie & Co., Inc........ 102,594
1,400 SL Industries, Inc............ 19,950
1,100 Summa Industries Inc.*........ 14,094
3,400 Trans-Lux Corp................ 19,975
5,200 UFP Technologies, Inc.*....... 16,900
2,000 West Pharmaceutical Services,
Inc......................... 75,875
-------------
2,697,044
-------------
INSURANCE -- 2.2%
5,700 Chicago Title Corp............ 227,644
23,100 Everest Reinsurance Holdings,
Inc......................... 550,068
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
9,000 InterContinental Life
Corp.*...................... $ 90,000
4,200 Kaye Group Inc................ 35,175
6,600 Liberty Financial Companies,
Inc......................... 144,788
400 Midland Co.................... 8,400
600 Mobile America Corp........... 1,444
2,000 National Western Life
Insurance, Class A*......... 169,500
800 PacifiCare Health Systems,
Inc., Class A*.............. 34,600
9,250 PMI Group, Inc................ 378,094
22,300 Seibels Bruce Group, Inc.*.... 66,900
5,600 Standard Management Corp.*.... 32,900
24,500 Trigon Healthcare, Inc.*...... 707,437
100 White Mountains Insurance
Group Inc................... 13,563
-------------
2,460,513
-------------
LIQUOR & TOBACCO -- 1.1%
21,200 Coors (Adolph) Co., Class B... 1,147,450
13,500 Golden State Vintners,
Inc.*....................... 64,125
-------------
1,211,575
-------------
MACHINERY -- 9.2%
8,300 Acme Electric Corp.*.......... 47,725
5,300 Amistar Corp.*................ 8,613
14,600 Ampco-Pittsburgh Corp......... 197,100
6,900 Astec Industries, Inc.*....... 166,463
7,700 Boots & Coots International
Well Control, Inc.*......... 3,369
3,200 Briggs & Stratton Corp. ...... 186,800
13,363 Brown & Sharpe Manufacturing
Co.*........................ 31,737
2,100 Butler Manufacturing Co. ..... 55,125
21,900 Cummins Engine Company,
Inc. ....................... 1,090,893
8,000 Dayton Superior Corp.*........ 136,000
2,500 Edison Control Corp.*......... 14,063
7,200 Farrel Corp. ................. 12,600
700 Federal Screw Works........... 31,675
9,700 Gencor Industries, Inc. ...... 61,231
5,800 Genesis Worldwide Inc. ....... 30,088
17,900 Gerber Scientific, Inc. ...... 400,513
31,600 Griffon Corporation*.......... 252,800
3,800 Laser Power Corp.*............ 11,519
3,400 Lincoln Electric Holdings,
Inc. ....................... 70,975
5,300 Maxco, Inc.*.................. 41,075
5,100 MFRI, Inc.*................... 24,863
700 Mueller (Paul) Co............. 22,400
18,300 Novellus Systems, Inc.*....... 1,234,105
1,000 P & F Industries, Inc.*....... 8,500
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
2,000 Peerless Manufacturing Co..... $ 21,250
20,100 Pentair, Inc. ................ 806,512
10,300 Pitt-Des Moines, Inc. ........ 225,956
39,100 Premark International,
Inc. ....................... 1,974,549
1,700 Q.E.P. Company, Inc.*......... 12,538
1,900 Quipp, Inc. .................. 30,400
31,000 Snap-on Inc. ................. 1,007,499
9,300 Starrett (L.S.) Co., Class
A........................... 231,338
6,600 Tecumseh Products Co., Class
B........................... 297,825
27,600 Teleflex, Inc. ............... 1,090,199
18,800 Trinity Industries, Inc. ..... 580,450
4,600 UNIFAB International, Inc.*... 37,088
-------------
10,455,836
-------------
MEDIA -- 4.9%
1,500 Banta Corp.................... 33,469
12,400 Chris-Craft Industries,
Inc.*....................... 695,950
3,400 Courier Corp. ................ 81,600
22,000 Four Media Co.*............... 115,500
1,175 Grey Advertising Inc. ........ 432,400
9,100 Houghton Mifflin Co........... 369,688
58,400 King World Productions,
Inc.*....................... 2,189,999
10,500 Media General, Inc., Class
A........................... 538,125
5,600 Outlook Group Corp.*.......... 23,450
10,700 Standard Register Co.......... 251,450
12,400 TMP Worldwide Inc.*........... 754,850
3,900 Todd-AO Corp. ................ 58,500
1,200 True North Communications
Inc. ....................... 43,650
-------------
5,588,631
-------------
METALS-- 1.2%
4,700 Atchison Casting Corp.*....... 43,181
900 Foster (L.B.) Co.*............ 4,331
4,700 Insteel Industries, Inc. ..... 42,300
6,800 Lindberg Corp. ............... 62,050
8,200 Quanex Corp. ................. 210,125
5,900 Reliance Steel & Aluminum
Co.......................... 123,900
16,800 Steel Technologies Inc. ...... 195,300
7,500 Stillwater Mining Company*.... 201,563
33,800 Walter Industries, Inc.*...... 456,300
7,800 Webco Industries, Inc.*....... 22,913
-------------
1,361,963
-------------
MISCELLANEOUS FINANCIAL --0.7%
1,200 American Physicians Services
Group, Inc.*................ 5,400
6,500 Atalanta Sosnoff Capital
Corp. ...................... 46,313
500 Dain Rauscher Corp. .......... 24,500
1,500 Eaton Vance Corp. ............ 48,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
2,400 Federated Investors, Inc. .... $ 41,400
6,700 Freedom Securities Corp. ..... 90,450
6,900 Hambrecht & Quist Group*...... 337,668
2,900 John Nuveen Co., Class A...... 108,569
15,900 Maxcor Financial Group
Inc.*....................... 45,713
700 Raymond James Financial
Corp. ...................... 13,956
99 Stifel Financial Corp. ....... 885
-------------
762,854
-------------
OFFICE MACHINERY -- 2.2%
11,000 Advanced Digital Information
Corp.*...................... 305,937
17,700 Asante Technologies, Inc.*.... 35,400
10,700 Autologic Information
International, Inc.*........ 30,763
22,000 Baldwin Technology Company,
Inc., Class A*.............. 52,250
1,000 Boundless Corp.*.............. 4,063
4,598 CSP Inc.*..................... 26,439
5,000 Dataram Corp.*................ 53,750
10,000 GENICOM Corp.*................ 7,813
3,900 Imation Corp.*................ 120,899
4,400 Interphase Corp.*............. 102,850
11,700 Key Tronic Corp.*............. 49,725
51,400 NCR Corp.*.................... 1,699,412
62 Pinnacle Systems, Inc.*....... 2,627
12,600 Scan-Optics, Inc.*............ 35,438
-------------
2,527,366
-------------
OIL -- 2.1%
19,000 Apache Corp................... 820,562
13,400 Cabot Oil & Gas Corp., Class
A........................... 231,150
330 Columbus Energy Corp.*........ 1,733
12,900 Equity Oil Co.*............... 19,350
99 Greka Energy Corp.*........... 1,040
2,800 Louis Dreyfus Natural Gas
Corp.*...................... 60,025
6,300 Maynard Oil Co.*.............. 63,788
20,800 Murphy Oil Corp............... 1,124,499
10,100 Panaco, Inc.*................. 4,734
11,000 Parallel Petroleum Corp.*..... 22,688
20,700 Tipperary Corp.*.............. 32,344
-------------
2,381,913
-------------
OIL -- INTERNATIONAL -- 0.1%
7,200 Holly Corp.................... 108,000
-------------
OIL DISTRIBUTION -- 2.1%
5,100 Castle Energy Corp............ 86,700
4,800 Getty Petroleum Marketing
Inc.*....................... 13,200
33,300 Huntway Refining Co.*......... 58,275
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION (CONTINUED)
29,200 Pennzoil-Quaker State Co...... $ 368,650
14,600 Quaker Chemical Corp.......... 242,725
13,600 Tesoro Petroleum Corp.*....... 224,400
53,500 Ultramar Diamond Shamrock
Corp........................ 1,364,250
-------------
2,358,200
-------------
OIL SERVICES -- 0.7%
20,200 Oceaneering International,
Inc.*....................... 339,612
15,000 Petroleum Development
Corp.*...................... 67,500
6,100 Pool Energy Services Co.*..... 150,213
20,600 Seitel, Inc.*................. 200,850
-------------
758,175
-------------
OTHER UTILITIES -- 0.8%
2,600 Clean Harbors, Inc.*.......... 3,738
10,000 Equitable Resources, Inc...... 378,124
7,100 Harding Lawson Associates
Group*...................... 55,913
4,200 National Fuel Gas Co.......... 198,188
4,300 Peoples Energy Corp........... 151,306
2,800 Southwest Gas Corp............ 75,425
4,100 Virginia Gas Co............... 16,144
5,700 Weston (Roy F.), Inc., Class
A*.......................... 14,250
-------------
893,088
-------------
PAPER -- 1.2%
19,700 ACX Technologies, Inc.*....... 187,150
500 Badger Paper Mills, Inc.*..... 3,375
5,900 Baltek Corp.*................. 45,725
1,500 Carmel Container Systems,
Ltd.*....................... 11,438
25,400 Louisiana-Pacific Corp........ 396,875
1,000 Lynch Corp.*.................. 26,625
12,200 Mead Corp..................... 419,374
15,300 Rock-Tenn Co., Class A........ 220,894
3,200 Universal Forest Products,
Inc......................... 41,800
-------------
1,353,256
-------------
REAL ESTATE ASSETS -- 1.9%
700 Arden Realty, Inc............. 15,225
11,500 Bridgestreet Accommodations,
Inc.*....................... 33,781
12,100 Castle & Cooke, Inc.*......... 186,038
12,100 CBL & Associates Properties,
Inc......................... 295,693
10,400 Commercial Assets, Inc........ 53,950
900 Cornerstone Realty Income
Trust....................... 8,100
1,800 Corporate Office Properties
Trust....................... 13,613
1,600 DeWolfe Companies, Inc........ 10,800
4,900 Excel Legacy Corp.*........... 20,519
2,400 Forest City Enterprises, Inc.,
Class A..................... 53,550
1,200 G&L Realty Corp............... 10,575
10,100 LNR Property Corp............. 205,788
2,700 Mays (J.W.), Inc.*............ 14,344
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
38,040 New Plan Excel Realty Trust... $ 677,587
7,800 Pan Pacific Retail Properties,
Inc......................... 132,600
11,400 Price Enterprises, Inc.*...... 89,419
6,000 Prime Group Realty Trust...... 90,000
15,400 Westfield America, Inc........ 213,674
400 Wilshire Oil Company of
Texas*...................... 1,700
-------------
2,126,956
-------------
RETAIL/WHOLESALE -- 7.5%
6,450 Aceto Corp.................... 70,144
7,400 Allou Health & Beauty, Class
A*.......................... 39,775
10,800 American Eagle Outfitters,
Inc.*....................... 523,124
11,400 Andrx Corp.*.................. 667,255
4,600 Arden Group, Inc., Class A*... 179,400
38,500 Audiovox Corp., Class A*...... 673,749
600 Avnet, Inc.................... 25,200
52,700 BJ's Wholesale Club, Inc.*.... 1,557,943
5,400 Boise Cascade Corp............ 196,763
11,500 Burlington Coat Factory
Warehouse Corp.............. 227,125
9,800 Cache, Inc.*.................. 34,300
5,800 Capital Associates, Inc.*..... 17,219
9,500 Catherines Stores Corp.*...... 124,688
4,900 CellStar Corp.*............... 36,750
5,100 Charming Shoppes, Inc.*....... 26,138
6,300 DEB Shops, Inc................ 122,850
20,700 Drug Emporium, Inc.*.......... 139,725
21,900 EZCORP, Inc., Class A......... 114,975
21,100 Family Dollar Stores, Inc..... 445,738
47,100 Filene's Basement Corp.*...... 42,684
800 Foodarama Supermarkets,
Inc.*....................... 23,600
3,200 Footstar, Inc.*............... 112,800
14,700 Friedman's, Inc., Class A..... 129,544
7,600 Hahn Automotive Warehouse,
Inc.*....................... 9,500
7,400 Hughes Supply, Inc............ 160,950
3,500 IIC Industries Inc.*.......... 35,000
1,500 Johnson Worldwide Associates,
Inc., Class A*.............. 13,406
11,100 Katy Industries, Inc.......... 133,200
14,900 Loehmann's, Inc.*............. 1,937
3,100 Longs Drug Stores Corp........ 92,613
23,500 Micro Warehouse, Inc.*........ 283,469
3,400 Moore Medical Corp.*.......... 26,350
2,500 National Record Mart, Inc.*... 8,750
11,400 NCS HealthCare, Inc., Class
A*.......................... 29,925
500 Noland Co..................... 9,500
1,700 Programmer's Paradise,
Inc.*....................... 11,369
3,675 Rag Shops, Inc.*.............. 7,350
5,200 Reeds Jewelers, Inc.*......... 17,550
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
14,000 REX Stores Corp.*............. $ 434,000
24,500 Ruddick Corp.................. 388,938
14,700 Savoir Technology Group,
Inc.*....................... 124,031
2,000 Speizman Industries, Inc.*.... 8,500
5,500 Spiegel, Inc., Class A*....... 55,688
3,900 Sport Chalet, Inc.*........... 17,063
10,400 Strouds, Inc.*................ 25,675
10,700 Syms Corp.*................... 79,581
3,000 The Sportsman's Guide,
Inc.*....................... 12,000
22,200 Today's Man, Inc.*............ 19,425
2,700 Village Supermarket, Inc.,
Class A*.................... 36,788
2,300 Western Beef, Inc.*........... 19,047
26,700 Zale Corp.*................... 1,022,943
-------------
8,616,037
-------------
SERVICES -- 10.8%
40,000 AC Nielsen Corp.*............. 907,499
8,500 Adept Technology, Inc.*....... 61,625
6,550 Advent Software, Inc.*........ 407,738
2,100 American Vantage Companies*... 1,706
11,700 Angelica Corp................. 134,550
1,700 Ardent Software, Inc.*........ 45,794
15,100 Avant! Corp.*................. 269,441
10,400 BISYS Group, Inc.*............ 487,824
10,200 BroadVision, Inc.*............ 1,357,237
3,000 Building One Services
Corp.*...................... 36,563
2,600 Castle Dental Centers,
Inc.*....................... 7,475
11,400 CDI Corp.*.................... 311,363
4,100 Corrpro Companies, Inc.*...... 24,600
3,700 Craig Corp.*.................. 24,513
1,700 DataTRAK International
Inc.*....................... 6,747
12,100 Dataware Technologies,
Inc.*....................... 29,494
2,900 Diehl Graphsoft, Inc.*........ 12,144
28,900 Employee Solutions, Inc.*..... 27,997
1,100 Entrust Technologies Inc.*.... 24,681
3,000 Esquire Communications
Ltd.*....................... 2,156
14,400 Exponet, Inc.*................ 72,000
4,400 GZA GeoEnvironmental
Technologies, Inc.*......... 17,600
13,600 Headway Corporate Resources,
Inc.*....................... 61,200
5,500 Infinium Software, Inc.*...... 27,500
10,200 InfoCure Corp.*............... 192,525
2,600 INTERLINQ Software Corp.*..... 9,750
15,600 Kelly Services, Inc., Class
A........................... 469,949
100 Korn/Ferry International*..... 2,306
2,200 Loronix Information
Systems*.................... 25,300
7,500 Made2Manage Systems, Inc.*.... 60,938
200 Marlton Technologies, Inc.*... 425
47,600 Mentor Graphics Corp.*........ 407,575
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
10,200 Mercury Interactive Corp.*.... $ 658,537
400 Micromuse Inc.*............... 25,700
4,200 Monro Muffler Brake, Inc.*.... 28,088
21,800 Morrison Knudsen Corp.*....... 224,813
5,600 Olsten Corp................... 58,450
2,900 Opinion Research Corp.*....... 12,325
6,200 Outsource International,
Inc.*....................... 6,200
33,100 ProMedCo Management Co.*...... 109,644
300 Sanchez Computer
Associates*................. 10,538
22,500 Siebel Systems, Inc.*......... 1,499,062
17,000 Simione Central Holdings,
Inc.*....................... 24,438
5,000 StarTek, Inc.*................ 275,000
37,400 Sterling Software, Inc.*...... 747,999
15,000 Stewart Enterprises, Inc...... 90,938
29,600 Sybase, Inc.*................. 349,650
25,100 Symantec Corp.*............... 902,815
23,800 Synopsys, Inc.*............... 1,336,518
2,250 System Software Associates,
Inc.*....................... 4,359
3,400 TALX Corp.*................... 27,200
5,500 Team, Inc.*................... 14,438
1,600 THQ Inc.*..................... 69,000
9,800 Titan Corp.*.................. 140,875
11,600 TRM Corporation*.............. 63,800
2,100 Unigraphics Solutions Inc.*... 56,963
1,200 URS Corp.*.................... 29,400
10,200 Wall Data Inc.*............... 54,825
4,300 Westaff, Inc.*................ 25,800
-------------
12,375,590
-------------
SOAPS & COSMETICS -- 0.9%
12,927 Block Drug Company, Inc.,
Class A..................... 464,563
20,200 Carter-Wallace, Inc........... 361,075
2,100 CCA Industries, Inc.*......... 4,266
9,400 CPAC, Inc..................... 55,225
3,400 Guest Supply, Inc.*........... 48,875
6,800 Inter Parfums, Inc.*.......... 64,600
900 Scott's Liquid Gold, Inc.*.... 844
-------------
999,448
-------------
TELEPHONE -- 4.2%
83 Alltel Corp................... 5,841
53,900 AMNEX, Inc.*.................. 539
11,900 CommNet Cellular Inc.*........ 372,619
7,800 Conestoga Enterprises, Inc.... 156,488
3,800 Hector Communications
Corp.*...................... 51,775
3,300 Internet America, Inc.*....... 40,013
1,000 Lynch Interactive Corp.*...... 75,000
7,700 Playboy Enterprises, Inc.,
Class A*.................... 172,288
34,335 Price Communications Corp.*... 860,520
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
27,800 Telephone & Data Systems,
Inc......................... $ 2,468,987
9,500 U.S. Cellular Corp.*.......... 646,000
-------------
4,850,070
-------------
TEXTILES -- 0.4%
1,000 Alba-Waldensian, Inc.......... 9,000
9,400 Dixie Group, Inc.............. 72,850
2,900 Dyersburg Corp................ 906
1,600 Hallwood Group Inc.*.......... 27,900
3,500 Leslie Fay Company, Inc.*..... 17,281
1,300 PremiumWear, Inc.*............ 6,419
1,200 Quiksilver, Inc.*............. 21,900
19,200 Shaw Industries, Inc.......... 304,800
-------------
461,056
-------------
TRANSPORTATION -- 1.3%
2,500 B+H Ocean Carriers Ltd.*...... 4,375
9,400 Landstar System, Inc.*........ 326,650
9,900 Marten Transport, Ltd.*....... 113,850
6,100 Old Dominion Freight Line,
Inc.*....................... 89,975
12,500 RailTex, Inc.*................ 206,250
15,000 USFreightways Corp............ 710,625
-------------
1,451,725
-------------
TRAVEL/ENTERTAINMENT -- 2.4%
8,500 AMERCO, Inc.*................. 242,781
2,200 Benihana Inc.*................ 35,475
8,800 Black Hawk Gaming &
Development Company,
Inc.*....................... 48,400
9,900 Bob Evans Farms, Inc.......... 201,713
1 Checkers Drive-In Restaurants,
Inc.*....................... 1
75,300 Darden Restaurants, Inc....... 1,473,055
12,600 Dollar Thrifty Automotive
Group*...................... 260,663
4,425 Lakes Gaming, Inc.*........... 42,591
6,600 Mexican Restaurants Inc.*..... 25,575
22,900 Park Place Entertainment
Corp.*...................... 286,249
4,700 Phoenix Restaurant Group,
Inc.*....................... 2,938
6,300 Piccadilly Cafeterias, Inc.... 41,344
11,700 Quintel Communications,
Inc.*....................... 21,206
12,400 Sizzler International,
Inc.*....................... 26,350
3,000 Sonesta International Hotels
Corp., Class A.............. 19,313
1,500 Uno Restaurant Corp.*......... 17,813
52,600 Video Update, Inc., Class
A*.......................... 18,081
-------------
2,763,548
-------------
TOTAL COMMON STOCKS (COST
$97,492,171) -- 91.9%....... 104,721,584
-------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
WARRANTS -- 0.0%
DEFENSE -- 0.0%
1,100 Herley Industries, Inc. @
15.6*....................... $ 3,713
-------------
TOTAL WARRANTS................ 3,713
-------------
REPURCHASE AGREEMENTS -- 3.8%
Bear Stearns, dated 9/30/99,
due 10/1/99 at 5.32% with a
maturity value of $4,347,197
(Collateralized by
$4,455,000 U.S. Treasury
Bill, 4.68%, 11/4/99, market
value -- $4,435,576)........ 4,346,555
-------------
TOTAL REPURCHASE AGREEMENTS
(COST $4,346,555)........... 4,346,555
-------------
TOTAL INVESTMENTS (COST
$101,838,726) (A) --95.7%... 109,071,852
-------------
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD
SHORT -- 91.2%
Bear Stearns Deposit A/C,
5.2%........................ 104,038,874
-------------
TOTAL DEPOSITS WITH BROKERS
FOR SECURITIES SOLD SHORT
(COST $104,038,874)......... 104,038,874
-------------
RECEIVABLE FROM BROKERS FOR
SECURITIES SOLD
SHORT -- 1.2%............... 1,362,156
-------------
SECURITIES SOLD SHORT
(PROCEEDS
$99,467,421) -- (90.9)%..... (103,664,212)
-------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.8%......... 3,186,506
-------------
TOTAL NET ASSETS -- 100.0%.... $ 113,995,176
=============
</TABLE>
- ---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments........... $ 17,341,480
Unrealized appreciation -- Short
Sales............................... 12,266,857
Unrealized
depreciation -- Investments......... (10,108,354)
Unrealized depreciation -- Short
Sales............................... (16,463,648)
------------
Net unrealized appreciation........... $ 3,036,335
============
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 90.9%
AIRLINES -- 1.2%
7,100 Atlantic Coast Airlines
Holdings, Inc.*.............. $ 126,025
6,900 Atlas Air, Inc.*............... 150,938
29,000 COMAIR Holdings, Inc........... 483,937
7,300 Midwest Express Holdings,
Inc.*........................ 191,169
16,400 Northwest Airlines Corp.*...... 418,200
------------
1,370,269
------------
AUTOS -- 0.9%
3,500 Collins Industries, Inc........ 24,500
24,000 Gentex Corp.*.................. 495,750
1,100 Lund International Holdings,
Inc.*........................ 7,081
28,200 MascoTech, Inc................. 456,488
------------
983,819
------------
BANKING -- 3.5%
1,500 Bank of Granite Corp........... 42,750
21,800 Bank United Corp............... 705,775
14,400 Doral Financial Corp........... 192,600
2,000 Glacier Bancorp, Inc........... 34,250
3,100 Harris Financial, Inc.......... 33,906
2,600 Irwin Financial Corp........... 52,163
1,300 Lawrence Savings Bank.......... 10,156
200 Merchants New York BanCorp..... 7,600
92,624 Sovereign Bancorp, Inc......... 842,300
20,700 Synovus Financial Corp......... 386,831
6,100 TCF Financial Corp............. 174,231
9,600 United Bankshares, Inc......... 233,400
14,600 US Trust Corp.................. 1,173,475
8,500 WestCorp. 126,969
600 WFS Financial Inc.*............ 12,300
------------
4,028,706
------------
BUILDING -- 0.5%
9,600 Fluor Corporation.............. 386,400
2,800 Modtech Holdings, Inc.*........ 20,650
8,700 Palm Harbor Homes, Inc.*....... 119,625
------------
526,675
------------
CHEMICALS -- 3.6%
15,600 Advanced Polymer Systems,
Inc.*........................ 64,350
21,400 Georgia Gulf Corp.............. 377,175
45,800 International Flavors &
Fragrances Inc............... 1,580,100
44,300 Lyondell Chemical Company...... 592,513
34,900 Smith International, Inc.*..... 1,413,450
5,700 Synthetech, Inc.*.............. 24,581
------------
4,052,169
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIAL -- 1.1%
27,300 Dal-Tile International Inc.*... $ 216,694
5,500 Martin Marietta Materials,
Inc.......................... 219,656
39,400 Owens-Corning.................. 854,488
500 Puerto Rican Cement Co.,
Inc.......................... 18,031
------------
1,308,869
------------
DRUGS -- 7.6%
11,200 Advanced Magnetics, Inc.*...... 35,000
8,200 Algos Pharmaceuticals Corp.*... 69,700
14,700 Alkermes, Inc.*................ 423,544
18,500 Amylin Pharmaceuticals,
Inc.*........................ 87,875
1,800 Anika Therapeutics, Inc.*...... 10,125
11,900 Aphton Corp.*.................. 157,675
8,300 ArQule, Inc.*.................. 51,356
9,000 Aviron*........................ 218,250
10,000 BioCryst Pharmaceuticals,
Inc.*........................ 242,500
13,200 Celgene Corp.*................. 357,225
10,600 Cephalon, Inc.*................ 190,469
3,700 COR Therapeutics, Inc.*........ 70,300
9,200 Coulter Pharmaceutical,
Inc.*........................ 128,225
15,100 Creative BioMolecules, Inc.*... 56,625
7,300 Cygnus, Inc.*.................. 81,897
1,900 Emisphere Technologies,
Inc.*........................ 27,788
17,200 Human Genome Sciences, Inc.*... 1,268,499
17,200 ICOS Corporation*.............. 507,400
17,400 ImClone Systems Inc.*.......... 578,549
7,200 Inhale Therapeutic Systems,
Inc.*........................ 218,700
20,100 Isis Pharmaceuticals, Inc.*.... 224,869
16,000 Martek Biosciences Corp.* 92,000
16,900 Molecular Biosystems, Inc.*.... 29,575
6,900 NEO RX Corporation*............ 11,644
8,800 Neose Technologies, Inc.*...... 132,000
1,800 Neurogen Corp.*................ 29,925
6,000 Northfield Laboratories
Inc.*........................ 85,125
13,800 Noven Pharmaceuticals, Inc.*... 117,300
1,500 NPS Pharmaceuticals, Inc.*..... 8,625
5,300 Orphan Medical, Inc.*.......... 35,775
8,100 Pharmacyclics, Inc.*........... 331,088
1,200 Protein Design Labs, Inc.*..... 43,350
7,100 Research Frontiers*............ 71,000
9,800 SangStat Medical Corp.*........ 209,475
16,700 Sepracor Inc.*................. 1,260,849
13,000 Transkaryotic Therapies,
Inc.*........................ 667,874
14,800 Triangle Pharmaceuticals,
Inc.*........................ 284,900
13,900 Vical, Inc.*................... 191,994
11,700 XOMA Ltd.*..................... 34,369
11,500 Zila, Inc.*.................... 38,094
------------
8,681,533
------------
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES -- 0.0%
2,200 Fountain Powerboat Industries,
Inc.*........................ $ 5,225
------------
ELECTRIC UTILITIES -- 0.4%
6,000 Illinova Corp.................. 168,375
1,100 Maine Public Service Co........ 20,350
24,900 UniSource Energy Corp.*........ 294,131
------------
482,856
------------
ELECTRONICS -- 6.2%
5,700 ABIOMED, Inc.*................. 88,350
4,900 ADE Corp.*..................... 68,600
14,000 ADTRAN, Inc.*.................. 536,374
35,800 Advanced Fibre Communications,
Inc.*........................ 796,549
7,800 Affymetrix, Inc.*.............. 767,812
4,700 American Science & Engineering,
Inc.*........................ 28,788
6,200 Amphenol Corp., Class A*....... 307,287
10,400 Andrea Electronics Corp.*...... 74,100
6,500 Barringer Technologies Inc.*... 32,906
300 Boca Research, Inc.*........... 1,988
3,800 C-Cube Microsystems Inc.*...... 165,300
7,000 Chad Therapeutics, Inc.*....... 5,250
6,300 Cholestech Corp.*.............. 40,163
24,900 Ciena Corp.* 908,849
2,200 Comdial Corp.*................. 15,950
9,000 Cooper Companies, Inc.......... 277,874
7,900 Cyberonics, Inc.*.............. 141,213
16,100 Diametrics Medical, Inc.*...... 80,500
8,700 Eclipse Surgical Technologies,
Inc.*........................ 143,550
8,700 Energy Conversion Devices,
Inc.* 94,613
1,000 Focal, Inc.*................... 5,000
1,800 Globecomm Systems Inc.*........ 18,788
10,200 i-STAT Corp.*.................. 110,288
30,200 Input/Output, Inc.*............ 200,075
13,800 NeoPath, Inc.*................. 66,413
7,700 NetOptix Corp.*................ 166,513
7,900 Novoste Corp.*................. 140,966
24,100 PairGain Technologies, Inc.*... 307,274
10,900 Possis Medical, Inc.*.......... 123,988
2,800 Read-Rite Corp.*............... 12,338
7,100 ResMed Inc.*................... 234,744
9,600 SIPEX Corp.*................... 137,400
6,600 STM Wireless, Inc., Class A*... 20,625
18,200 Summit Technology, Inc.*....... 333,287
12,300 Tekelec*....................... 169,894
15,400 Thermo Cardiosystems Inc.*..... 109,725
5,900 Trimble Navigation Ltd.*....... 63,056
2,000 ViaSat, Inc.*.................. 35,750
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
4,900 Wesley Jessen VisionCare,
Inc.*........................ $ 152,819
11,900 Westell Technologies, Inc.* 96,688
2,200 Zygo Corp.*.................... 31,075
------------
7,112,722
------------
FINANCIAL INVESTMENTS -- 0.3%
5,500 Competitive Technologies,
Inc.*........................ 28,188
7,800 IGEN International, Inc.*...... 194,512
20,500 Royal Gold, Inc.*.............. 102,500
4,400 US Energy Corp.*............... 15,400
------------
340,600
------------
FOOD -- 1.7%
16,500 Cadiz Inc.*.................... 157,781
2,800 Gardenburger, Inc.*............ 21,700
34,000 McCormick & Co................. 1,124,125
800 Opta Food Ingredients, Inc.*... 2,350
700 Suiza Foods Corp.*............. 26,250
4,400 Tejon Ranch Co................. 128,700
15,500 Tootsie Roll Industries,
Inc.......................... 509,563
------------
1,970,469
------------
HEALTH -- 2.0%
6,000 Apria Healthcare Group,
Inc.*........................ 100,500
11,500 CryoLife, Inc.*................ 143,750
700 Daxor Corp.*................... 8,925
87,600 Health Management Associates,
Inc.*........................ 646,050
6,800 IMPATH Inc.*................... 198,050
5,700 Integrated Orthopaedics,
Inc.*........................ 5,344
20,200 Lincare Holdings Inc.*......... 538,456
2,000 Orthodontic Centers Of
America*..................... 35,000
7,800 Prime Medical Services,
Inc.*........................ 74,100
18,800 Psychemedics Corp.............. 84,600
19,200 Renal Care Group, Inc.*........ 420,600
------------
2,255,375
------------
HOUSEHOLD -- 1.7%
14,500 Acclaim Entertainment, Inc.*... 110,109
12,500 Medical Manager Corporation*... 621,875
8,300 Miller (Herman), Inc........... 198,422
800 Rawlings Sporting Goods Co.*... 7,450
4,000 Safeskin Corp.*................ 32,875
9,400 Simula, Inc.*.................. 51,700
36,100 Tupperware Corp................ 731,026
10,900 Windmere-Durable Holdings,
Inc.*........................ 131,481
------------
1,884,938
------------
INSURANCE -- 4.1%
4,200.. 20th Century Industries........ 81,375
400 Allcity Insurance Co.*......... 2,550
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
25,800 Citizens, Inc.*................ $ 146,738
2,600 Comprehensive Care Corp.*...... 806
26,300 Erie Indemnity Co., Class A.... 866,255
15,000 Frontier Insurance Group,
Inc.......................... 131,250
6,800 GAINSCO, Inc................... 42,075
20,200 Horace Mann Educators Corp..... 521,413
17,900 Leucadia National Corp......... 375,900
20,800 Mercury General Corp........... 573,300
14,800 MGIC Investment Corp........... 706,699
43,700 Oxford Health Plans, Inc.*..... 546,250
11,000 Pre-Paid Legal Services,
Inc.*........................ 433,125
4,300 Provident American Corp.*...... 65,038
3,000 Reliance Group Holdings........ 13,313
11,300 RTW, Inc.*..................... 64,975
6,000 Triad Guaranty Inc.*........... 101,250
------------
4,672,312
------------
MACHINERY -- 5.2%
4,800 A.S.V., Inc.*.................. 70,200
5,200 CFM Technologies, Inc.*........ 41,600
28,900 Cooper Cameron Corp.*.......... 1,090,975
11,600 Cymer, Inc.*................... 402,375
2,600 Eco Soil Systems, Inc.*........ 18,038
1,000 EMCORE Corp.*.................. 13,875
15,600 Etec Systems, Inc.*............ 586,950
10,900 FSI International, Inc.*....... 89,925
22,700 IDEX Corp...................... 642,694
7,700 Intevac, Inc.*................. 34,650
15,100 Littlefuse, Inc.*.............. 335,975
8,900 MEMC Electronic Materials,
Inc.*........................ 122,375
59,500 Pall Corporation............... 1,379,655
35,900 Stanley Works 904,231
14,200 Unique Mobility, Inc.*......... 57,688
4,500 Veeco Instruments Inc.*........ 126,000
------------
5,917,206
------------
MEDIA -- 1.7%
8,700 Ackerley Group, Inc............ 107,119
7,300 Consolidated Graphics, Inc.*... 307,513
20,700 E.W. Scripps Co................ 1,016,887
2,800 Image Entertainment, Inc.*..... 12,863
25,300 Journal Register Co.*.......... 347,874
14,800 Paxson Communications Corp.*... 181,300
------------
1,973,556
------------
METALS -- 1.1%
21,500 Andrew Corp.*.................. 373,563
4,800 Bethlehem Steel Corp.*......... 35,400
19,200 Birmingham Steel Corp.......... 146,400
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
16,700 Lone Star Technologies,
Inc.*........................ $ 334,000
10,000 Maverick Tube Corp.*........... 166,250
200 MAXXAM Inc.*................... 10,275
10,200 NS Group, Inc.*................ 109,650
4,200 Rouge Industries, Inc., Class
A............................ 30,975
1,100 Worthington Industries, Inc.... 18,700
------------
1,225,213
------------
MISCELLANEOUS FINANCIAL -- 0.3%
2,100 Friedman, Billings, Ramsey
Group, Inc.*................. 14,569
5,200 Price (T. Rowe) Associates,
Inc.......................... 142,675
800 Ziegler Company, Inc........... 11,600
5,000 ZixIt Corp.*................... 148,125
------------
316,969
------------
OFFICE MACHINERY -- 1.9%
4,900 Auspex Systems, Inc............ 43,488
6,600 Drexler Technology Corp.*...... 47,850
1,900 In Focus Systems, Inc.*........ 31,825
6,800 Network Computing Devices,
Inc.*........................ 30,600
37,400 Seagate Technology, Inc.*...... 1,152,387
15,600 Silicon Graphics, Inc.*........ 170,625
5,700 SoftNet Systems, Inc.*......... 138,938
17,600 Symbol Technologies, Inc....... 591,800
------------
2,207,513
------------
OIL -- 2.1%
2,800 Barrett Resources Corp.*....... 103,425
15,600 Pogo Producing Co.............. 323,700
1,600 Stone Energy Corp.*............ 81,400
114,100 Union Pacific Resources Group
Inc.......................... 1,832,731
8,500 Wiser Oil Co................... 31,875
------------
2,373,131
------------
OIL DISTRIBUTION -- 0.0%
300 Northwestern Corporation....... 6,825
------------
OIL SERVICES -- 5.9%
33,000 Diamond Offshore Drilling,
Inc.......................... 1,101,375
43,800 ENSCO International Inc........ 791,138
98,500 Global Marine Inc.*............ 1,619,093
22,300 Marine Drilling Companies,
Inc.*........................ 352,619
46,500 Nabors Industries, Inc.*....... 1,162,500
12,200 Patterson Energy, Inc.*........ 185,288
49,600 Rowan Companies, Inc.*......... 806,000
28,400 Tidewater Inc.................. 724,200
------------
6,742,213
------------
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OTHER UTILITIES -- 0.2%
10,600 Philadelphia Suburban Corp..... $ 249,763
------------
PAPER -- 0.7%
10,600 Buckeye Technologies Inc.*..... 166,288
39,500 Gaylord Container Corp., Class
A*........................... 281,438
20,200 Playtex Products, Inc.*........ 297,949
------------
745,675
------------
REAL ESTATE ASSETS -- 5.6%
2,300 Alexander's, Inc.*............. 166,319
4,400 Avatar Holdings Inc.*.......... 83,600
47,000 Catellus Development Corp.*.... 552,250
16,100 Chateau Communities, Inc....... 418,600
119,100 Homestake Mining Company....... 1,094,231
38,400 IndyMac Mortgage Holdings,
Inc.......................... 576,000
1,300 National Golf Properties,
Inc.......................... 29,250
72,500 Newmont Mining Corp............ 1,875,937
9,400 Prison Realty Trust, Inc....... 101,050
49,800 Rouse Co....................... 1,145,399
6,800 Saul Centers, Inc.............. 107,100
600 Tanger Factory Outlet Centers,
Inc.......................... 13,688
10,200 Town & Country Trust........... 180,413
1,000 United Park City Mines Co.*.... 28,188
------------
6,372,025
------------
RETAIL/WHOLESALE -- 7.3%
300 99 Cents Only Stores*.......... 10,838
27,800 AgriBioTech, Inc.*............. 112,938
20,200 Airgas, Inc.*.................. 234,825
5,600 Ames Department Stores,
Inc.*........................ 178,500
70,200 AutoZone, Inc.*................ 1,969,987
28,100 Barnes & Noble, Inc.*.......... 730,599
33,100 Bed Bath & Beyond Inc.*........ 1,156,430
38,200 DIMON Inc...................... 148,025
1,300 En Pointe Technologies,
Inc.*........................ 13,975
13,200 Genesco Inc.*.................. 165,000
15,000 Genesis Health Ventures,
Inc.*........................ 35,625
5,300 Glacier Water Services,
Inc.*........................ 88,775
2,600 Great Train Store Company*..... 2,194
11,700 Guitar Center, Inc.*........... 110,419
1,900 Ingram Micro Inc.*............. 24,463
22,400 Kent Electronics Corp.*........ 414,400
6,000 Linens 'n Things, Inc.*........ 202,500
7,000 NuCo2 Inc.*.................... 38,500
1,400 O'Reilly Automotive, Inc.*..... 66,719
17,400 Owens & Minor, Inc............. 167,475
8,000 Party City Corp.*.............. 16,000
15,000 Polo Ralph Lauren Corp.*....... 269,063
29,600 Scios Inc.*.................... 109,150
5,700 Shop At Home, Inc.*............ 51,300
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
13,900 ShopKo Stores, Inc.*........... $ 403,100
17,300 Stage Stores, Inc.*............ 107,044
15,000 Stewart & Stevenson Services,
Inc.......................... 196,875
20,100 Sunglass Hut International,
Inc.*........................ 212,306
28,300 Tech Data Corp.*............... 658,858
3,000 TESSCO Technologies Inc.*...... 51,000
18,500 United Stationers Inc.*........ 394,281
500 Wilmar Industries, Inc.*....... 6,438
------------
8,347,602
------------
SERVICES -- 11.4%
5,500 ACE*COMM Corp.*................ 20,797
11,000 American Superconductor
Corp.*....................... 169,125
41,700 Apollo Group, Inc., Class A*... 880,912
2,900 Aspect Development, Inc.*...... 73,406
6,300 BTG, Inc.*..................... 46,463
3,600 Cambridge Technology Partners,
Inc.*........................ 52,200
4,500 CCC Information Services Group
Inc.*........................ 59,344
5,000 Central Parking Corp........... 146,250
21,400 Ceridian Corp.*................ 532,324
2,500 CIBER, Inc.*................... 38,281
15,100 COMFORCE Corp.*................ 33,031
24,400 CSG Systems International,
Inc.*........................ 668,712
4,000 Data Broadcasting Corp.*....... 30,250
3,200 Data Systems Network Corp.*.... 2,560
2,900 Data Transmission Network
Corp.*....................... 72,319
29,300 DeVry, Inc.*................... 585,999
4,200 Emeritus Corp.*................ 31,763
15,000 Gartner Group, Inc............. 239,063
11,400 Geoworks Corp.*................ 34,913
10,900 Getty Images, Inc.*............ 262,963
4,900 GRC International, Inc.*....... 43,794
4,100 Great Plains Software, Inc.*... 211,150
2,300 Henry (Jack) & Associates...... 84,956
13,200 HNC Software Inc.*............. 523,874
14,700 Identix Inc.*.................. 123,113
16,500 Incyte Pharmaceuticals,
Inc.*........................ 381,562
3,100 InterVU Inc.*.................. 115,088
10,600 ISS Group, Inc.*............... 292,825
22,200 J.D. Edwards & Co.*............ 459,955
6,800 Kroll-O'Gara Co.*.............. 113,475
7,600 Lason, Inc.*................... 338,438
10,300 LCC International, Inc.*....... 62,444
7,100 Learning Tree International,
Inc.*........................ 117,594
200 Level 8 Systems, Inc.*......... 2,525
500 M/A/R/C Inc.................... 7,063
17,200 Mastech Corp.*................. 232,200
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
500 MemberWorks Inc.*.............. $ 16,688
9,400 Modis Professional Services,
Inc.*........................ 124,550
27,000 NOVA Corp.*.................... 674,999
8,500 Novadigm, Inc.*................ 124,313
6,200 On Assignment, Inc.*........... 148,800
16,100 Open Market, Inc.*............. 211,313
9,700 Primark Corp.*................. 275,844
4,800 ProxyMed, Inc.*................ 60,300
800 Radiant Systems, Inc.*......... 12,950
4,000 Regis Corp..................... 77,000
48,400 Robert Half International
Inc.*........................ 1,161,599
13,900 Rollins, Inc................... 214,581
8,300 SatCon Technology Corp.*....... 83,000
14,200 Socrates Technologies Corp.*... 8,875
18,800 Sotheby's Holdings, Inc........ 485,274
7,100 SportsLine USA, Inc.*.......... 209,894
2,000 Spyglass, Inc.*................ 25,000
3,300 Strayer Education, Inc......... 65,588
9,400 Sunrise Assisted Living,
Inc.*........................ 249,688
6,900 Sylvan Learning Systems,
Inc.*........................ 133,688
1,900 Tesseract Group, Inc.*......... 4,394
1,800 Tetra Tech, Inc.*.............. 30,038
20,400 Total System Services, Inc..... 326,400
19,700 Transaction Systems Architects,
Inc., Class A*............... 530,668
12,300 Transmedia Network Inc.*....... 36,900
2,900 Tuboscope Inc.*................ 36,069
13,400 Valence Technology, Inc.*...... 62,813
9,000 Whittman-Hart, Inc.*........... 349,030
8,200 Wind River Systems, Inc.*...... 155,800
------------
12,986,787
------------
SOAPS & COSMETICS -- 0.6%
26,500 Dial Corp...................... 675,750
------------
TELEPHONE -- 6.8%
4,400 American Mobile Satellite
Corp.*....................... 77,000
1,200 Centennial Cellular Corp.*..... 54,525
800 e.spire Communications,
Inc.*........................ 5,800
35,100 ICG Communications, Inc.*...... 546,244
2,300 Intellicall, Inc.*............. 2,013
18,600 ITC DeltaCom, Inc.*............ 511,500
59,200 McLeodUSA, Inc., Class A*...... 2,519,699
4,600 Network Solutions, Inc.*....... 422,625
14,400 Nextlink Communications*....... 746,550
6,400 NTL Inc.*...................... 615,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
14,800 UnitedGlobalCom Inc.*.......... $ 1,060,050
600 Verio Inc.*.................... 18,600
30,400 WinStar Communications,
Inc.*........................ 1,187,500
------------
7,767,106
------------
TEXTILES -- 2.3%
2,400 Barry (R.G.) Corp.*............ 14,700
45,300 Collins & Aikman Corp.......... 317,100
2,200 Cutter & Buck Inc.*............ 34,238
6,700 Fruit of the Loom, Inc.*....... 22,194
46,000 Jones Apparel Group, Inc.*..... 1,322,499
14,000 Polymer Group, Inc.*........... 206,500
2,700 Rocky Shoes & Boots, Inc.*..... 18,141
6,400 Thomaston Mills, Inc., Class
A............................ 12,800
4,400 Unifi, Inc.*................... 48,400
18,400 WestPoint Stevens Inc.......... 434,699
20,100 Wolverine World Wide, Inc...... 228,638
------------
2,659,909
------------
TRANSPORTATION -- 0.7%
3,400 American Classic Voyages
Co.*......................... 77,988
13,600 Iron Mountain Inc.*............ 460,700
38,000 OMI Corp. -- ADR*.............. 97,375
1,000 SEACOR SMIT Inc.*.............. 51,250
13,200 Trico Marine Services, Inc.*... 109,725
------------
797,038
------------
TRAVEL/ENTERTAINMENT -- 2.3%
8,400 AMC Entertainment, Inc.*....... 117,075
13,200 Ameristar Casinos, Inc.*....... 48,675
6,000 Extended Stay America, Inc.*... 54,000
67,400 Hilton Hotels Corp............. 665,575
2,000 John Q. Hammons Hotels,
Inc.*........................ 8,000
6,000 Penn National Gaming, Inc.*.... 57,000
34,400 Premier Parks, Inc.*........... 997,600
16,500 Tricon Global Restaurants,
Inc.*........................ 675,469
------------
2,623,394
------------
TOTAL COMMON STOCKS............ 103,664,212
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS
$99,467,421) -- 90.9% $103,664,212
============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depository Receipt.
See accompanying notes to the financial statements.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The third quarter market decline essentially wiped out the second quarter
gains leaving the S&P 500 Index(1) with a 0.37% return for the six months ended
September 30, 1999. Growth stocks have dominated the market the past six months,
and investors continued their exuberance for stocks with "compelling stories"
rather than compelling fundamentals.
PORTFOLIO REPORT
The Fund invests in the Barr Rosenberg Market Neutral Fund and S&P 500
Index Futures. Investment in the Barr Rosenberg Market Neutral Fund contributed
- -6.23% to the total return of the Fund for the six months ended September 30,
1999. The investment in S&P 500 Index Futures also contributed negatively
(approximately 1%) to performance over this period. See the separate commentary
for the Market Neutral Fund.
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.
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. Investors cannot invest directly in any Index.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
REGISTERED INVESTMENT COMPANY -- 91.7%
838,044 Barr Rosenberg Market Neutral Fund (a)...................... $ 7,064,710
------------
TOTAL REGISTERED INVESTMENT COMPANY (COST
$7,117,258) -- 91.7%...................................... 7,064,710
------------
SHORT TERM SECURITIES -- 0.8%
CTC Sweep Account, 5.3%, 10/1/99............................ 64,667
------------
TOTAL SHORT TERM SECURITIES (COST $64,667).................. 64,667
------------
TOTAL INVESTMENTS (COST $7,181,925) (B) -- 92.5%............ 7,129,377
OTHER ASSETS IN EXCESS OF LIABILITIES -- 7.5%............... 577,236
------------
TOTAL NET ASSETS -- 100.0%.................................. $ 7,706,613
============
</TABLE>
- ---------------
(a) Serves as collateral for future contracts.
(b) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $ --
Unrealized depreciation..................................... (52,548)
---------
Net unrealized depreciation................................. $ (52,548)
=========
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF OPEN CURRENT
CONTRACTS CONTRACT TYPE POSITIONS MARKET VALUE
--------- ------------------------------------------------------------ ---------- ------------
<C> <S> <C> <C>
24 Long S&P 500 December 1999 Future $8,163,175 $7,789,200
</TABLE>
See accompanying notes to the financial statements.
45
<PAGE> 46
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The third quarter saw broadly based equity market declines that reduced
year-to-date returns back to the mid single digits. Investor concerns over
inflation, the fall of the US dollar against the yen, higher interest rates and
the growing trade deficit were all factors leading to the correction. Another
possible contributor to the market decline was the uncertainty among investors
about earnings growth and the valuation of the U.S. market.
The re-emergence of growth stock dominance that began in June continued
through the third quarter, with value significantly underperforming growth
across all capitalization sectors of the market. It now appears that the brief
surge in value stocks that occurred in April and May of this year was not the
beginning of a trend but rather a reaction to higher oil prices that ensued from
the tightening of supplies by OPEC in March.
PORTFOLIO REPORT
The Fund takes long and short positions primarily in the 500 largest
capitalization stocks principally traded in the U.S. Unlike the Barr Rosenberg
Market Neutral Fund, under normal circumstances, the Select Sectors Market
Neutral Fund will be overweighted in its long and short positions in different
sectors and industries based on quantitative bottom-up company analysis. For the
six months ended September 30, 1999, the Fund underperformed 90-day T-bills, the
Fund's benchmark. The Fund's underperformance resulted primarily from a -3.07%
return from risk factors: negative return from relative strength (measure of
trailing 12-month price performance) of -2.53% and -1.30% from export (measure
of dependence on foreign markets). Industry exposures and stock selection
contributed positively to performance, 1.13% and 1.09%, respectively, with a
long exposure to Office Machinery and a short exposure to Food benefiting
performance and a long exposure to Miscellaneous Finance and a short exposure to
Paper negatively impacting performance.
Investment in shares of the Barr Rosenberg Select Sectors 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
Select Sectors 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.
Since risk in the Barr Rosenberg Select Sectors Market Neutral Fund relates
specifically to the Manager's stock selection techniques and not to any
systematic or economy-wide factors, the proper benchmark is an asset that also
has the least exposure to systematic influences. U.S. 90-day T-bills are such an
asset. An investment in 90-day T-bills is different from an investment in the
Barr Rosenberg Select Sectors Market Neutral Fund because T-bills are backed by
the full faith and credit of the U.S. Government. T-bills have a fixed rate of
return, and investors do not bear the risk of losing their investment. The
income received from T-bills is free from state income tax.
Past performance is no guarantee of future results.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 91.8%
AIRCRAFT -- 0.4%
1,500 AlliedSignal Inc. ............... $ 89,906
------------
AUTOS -- 3.7%
300 Dana Corp........................ 11,138
10,600 Delphi Automotive Systems
Corp........................... 170,262
1,300 Federal-Mogul Corp............... 35,831
8,900 General Motors Corp.............. 560,143
2,200 PACCAR Inc....................... 111,925
------------
889,299
------------
BANKING -- 5.6%
12,200 Chase Manhattan Corp............. 919,574
9,700 Fleet Boston Corp.*.............. 355,263
900 Golden West Financial Corp....... 88,425
------------
1,363,262
------------
CHEMICALS -- 0.2%
2,700 Sherwin-Williams Co.............. 56,531
------------
COMPUTER -- 3.5%
20,000 Dell Computer Corp.*............. 836,250
------------
CONSTRUCTION MATERIAL -- 0.1%
400 Vulcan Materials Co. ............ 14,650
------------
DRUGS -- 5.1%
8,000 Amgen Inc.*...................... 651,999
2,200 Bausch & Lomb Inc................ 145,063
2,700 Biogen, Inc.*.................... 212,794
1,600 Forest Laboratories, Inc., Class
A*............................. 67,400
1,500 Genzyme Corp.*................... 67,594
800 MedImmune, Inc.*................. 79,725
------------
1,224,575
------------
DURABLES -- 0.4%
1,400 Whirlpool Corp. ................. 91,438
------------
ELECTRIC UTILITIES -- 7.1%
2,300 Allegheny Energy, Inc............ 73,169
3,900 Central & South West Corp........ 82,388
4,000 Consolidated Edison, Inc......... 166,000
5,900 Duke Energy Corp................. 325,237
7,900 Edison International............. 192,069
5,500 Entergy Corp..................... 159,156
1,500 FirstEnergy Corp................. 38,250
1,700 Florida Progress Corp............ 78,625
7,200 PG&E Corp........................ 186,300
2,000 Pinnacle West Capital Corp....... 72,750
5,200 Sempra Energy.................... 108,225
4,900 Texas Utilities Co............... 182,831
1,100 Unicom Corporation............... 40,631
------------
1,705,631
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 12.1%
15,000 Cisco Systems, Inc.*............. $ 1,028,438
9,600 Intel Corp....................... 713,400
14,800 Lucent Technologies Inc.......... 960,150
3,500 Tellabs, Inc.*................... 199,281
100 Waters Corp.*.................... 6,056
------------
2,907,325
------------
FINANCIAL INVESTMENTS -- 3.5%
13,600 Fannie Mae....................... 852,550
------------
FOOD -- 2.0%
4,400 Bestfoods........................ 213,400
2,800 General Mills, Inc............... 227,150
2,100 Nabisco Group Holdings Corp...... 31,500
------------
472,050
------------
HOUSEHOLD -- 1.1%
1,600 Cooper Industries, Inc........... 74,800
3,500 Hasbro, Inc...................... 75,031
1,800 Johnson Controls, Inc............ 119,363
------------
269,194
------------
INSURANCE -- 2.4%
3,500 Chubb Corp....................... 174,343
700 Cigna Corp....................... 54,425
3,900 Hartford Financial Services
Group, Inc. 159,413
1,000 Loews Corp....................... 70,188
4,300 St. Paul Companies, Inc.......... 118,250
------------
576,619
------------
LIQUOR & TOBACCO -- 0.4%
3,100 UST Inc. ........................ 93,581
------------
MACHINERY -- 5.4%
1,800 ITT Industries, Inc.............. 57,263
2,100 Parker-Hannifin Corp............. 94,107
10,500 Tyco International Ltd........... 1,084,124
1,300 United Technologies Corp......... 77,106
------------
1,312,600
------------
MEDIA -- 3.5%
3,100 Fortune Brands, Inc.............. 99,975
5,300 Interpublic Group Cos. Inc....... 217,963
1,600 Knight Ridder, Inc............... 87,800
4,600 Tribune Co....................... 228,850
4,800 Viacom, Inc. Class A*............ 207,600
------------
842,188
------------
</TABLE>
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS -- 0.3%
1,200 Reynolds Metals Co............... $ 72,450
------------
MISCELLANEOUS FINANCIAL -- 6.3%
20,200 Citigroup Inc.................... 888,799
18,600 Schwab (Charles) Corp............ 626,588
------------
1,515,387
------------
OFFICE MACHINERY -- 7.0%
13,800 EMC Corp.*....................... 985,838
4,200 International Business Machines
Corp........................... 509,775
1,600 Lexmark International Group,
Inc., Class A*................. 128,800
1,800 NCR Corporation*................. 59,513
------------
1,683,926
------------
OIL -- 1.9%
3,200 Burlington Resources Inc......... 117,600
6,500 Occidental Petroleum Corp........ 150,313
3,700 Phillips Petroleum Co............ 180,375
------------
448,288
------------
OIL DISTRIBUTION -- 0.9%
1,000 Tosco Corp....................... 25,250
6,900 USX-Marathon Group Inc........... 201,825
------------
227,075
------------
OTHER UTILITIES -- 0.3%
2,600 KeySpan Corporation.............. 74,425
------------
PAPER -- 0.8%
3,100 Georgia-Pacific Group............ 125,550
2,000 Mead Corp........................ 68,750
------------
194,300
------------
REAL ESTATE ASSETS -- 0.5%
4,800 Equity Office Properties Trust... 111,600
------------
RETAIL/WHOLESALE -- 5.6%
3,200 Family Dollar Stores, Inc........ 67,600
14,200 Home Depot, Inc.................. 974,475
2,900 Limited, Inc..................... 110,925
3,500 Tandy Corp....................... 180,906
328 Too Inc.*........................ 5,884
------------
1,339,790
------------
SERVICES -- 4.8%
8,800 Microsoft Corp.*................. 796,949
6,700 Oracle Corporation*.............. 304,850
1,200 Synopsys, Inc.*.................. 67,388
------------
1,169,187
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS -- 0.5%
5,200 Avon Products, Inc............... $ 129,025
------------
TELEPHONE -- 5.0%
3,300 Alltel Corp...................... 232,238
20,400 AT&T Corp........................ 887,399
1,000 Telephone & Data Systems, Inc.... 88,813
------------
1,208,450
------------
TEXTILES -- 0.2%
1,800 VF Corporation................... 55,800
------------
TRANSPORTATION -- 0.9%
8,000 Burlington Northern Santa Fe
Corp........................... 220,000
------------
TRAVEL/ENTERTAINMENT -- 0.3%
5,600 AutoNation, Inc.*................ 70,350
------------
TOTAL COMMON STOCKS
(COST $22,316,785) -- 91.8%...... 22,117,702
------------
REPURCHASE AGREEMENT -- 6.5%
Bear Stearns, dated 9/30/99, due
10/1/99 at 5.32% with a
maturity value of $1,574,522
(Collateralized by $1,615,000
U.S. Treasury Bill, 4.68%,
11/4/12, market value --
$1,607,959).................... 1,574,290
------------
TOTAL REPURCHASE AGREEMENT (COST
$1,574,290).................... 1,574,290
------------
TOTAL INVESTMENTS (COST
$23,891,075) (A) -- 98.3%..... 23,691,992
------------
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT -- 92.5%
Bear Stearns Deposit A/C, 5.2%,
10/1/99........................ 22,274,713
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT
(COST $22,274,713)............... 22,274,713
------------
RECEIVABLE FROM BROKERS FOR
SECURITIES SOLD SHORT --1.9%... 454,236
------------
SECURITIES SOLD SHORT (PROCEEDS
$23,927,434) -- (93.3)%........ (22,473,899)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.6%............ 146,413
------------
TOTAL NET ASSETS -- 100.0%....... $ 24,093,455
============
</TABLE>
See accompanying notes to the financial statements.
48
<PAGE> 49
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
- ---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments............. $ 1,026,016
Unrealized appreciation -- Short
Sales............................... 2,212,368
Unrealized
depreciation -- Investments......... (1,225,099)
Unrealized depreciation -- Short
Sales............................... (758,833)
------------
Net unrealized appreciation........... $ 1,254,452
============
</TABLE>
See accompanying notes to the financial statements.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS -- 93.3%
BANKING -- 9.5%
3,600 Capital One Financial
Corp. ................... $ 140,400
4,700 Fifth Third Bancorp........ 285,966
6,800 Firstar Corporation........ 174,250
8,500 General Electric Company... 1,007,780
1,100 J.P. Morgan & Co........... 125,675
10,000 Synovus Financial Corp..... 186,875
9,900 Washington Mutual, Inc..... 289,575
1,200 Zions Bancorporation....... 66,150
------------
2,276,671
------------
CHEMICALS -- 6.9%
12,400 American Home Products
Corp. ................... 514,600
15,300 Du Pont (E.I.) de
Nemours.................. 931,387
2,100 International Flavors &
Fragrances Inc........... 72,450
2,700 Praxair, Inc............... 124,200
500 Rohm & Haas Co............. 18,063
------------
1,660,700
------------
DRUGS -- 13.6%
22,300 Abbott Laboratories........ 819,525
9,300 Eli Lilly & Co............. 595,200
29,000 Pfizer Inc................. 1,042,187
18,600 Schering-Plough
Corporation.............. 811,425
------------
3,268,337
------------
ELECTRIC UTILITIES -- 0.6%
2,500 AES Corp.*................. 147,500
------------
ELECTRONICS -- 7.0%
2,400 Ciena Corp.*............... 87,600
9,900 Johnson & Johnson.......... 909,562
19,200 Medtronic, Inc............. 681,600
------------
1,678,762
------------
FINANCIAL
INVESTMENTS -- 3.8%
10,400 American International
Group.................... 904,149
------------
FOOD -- 5.5%
3,900 Campbell Soup Company...... 152,587
18,600 Coca-Cola Co............... 893,962
1,800 Hershey Foods Corp......... 87,638
4,000 Starbucks Corp.*........... 99,125
1,500 Wrigley (WM.) JR Co........ 103,219
------------
1,336,531
------------
HOUSEHOLD -- 0.6%
4,900 Newell Rubbermaid Inc...... 139,956
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE -- 1.3%
3,600 Cincinnati Financial
Corp..................... $ 135,113
2,100 MGIC Investment Corp....... 100,275
1,000 Progressive Corp.-Ohio..... 81,688
------------
317,076
------------
MACHINERY -- 4.9%
300 Caterpillar Inc............ 16,444
1,800 Danaher Corp............... 94,838
4,200 Deere & Co................. 162,488
16,400 Gillette Company........... 556,575
12,200 Ralston-Ralston Purina
Group.................... 339,313
------------
1,169,658
------------
MEDIA -- 7.3%
15,700 Time Warner Inc............ 953,775
31,400 Walt Disney Company........ 812,475
------------
1,766,250
------------
METALS -- 0.3%
1,700 Nucor Corp................. 80,963
------------
MISCELLANEOUS FINANCIAL -- 0.7%
3,800 Franklin Resources, Inc.... 116,850
1,900 Price (T. Rowe) Associates,
Inc...................... 52,131
------------
168,981
------------
OFFICE MACHINERY -- 0.2%
1,800 Seagate Technology,
Inc.*.................... 55,463
------------
OIL -- 0.3%
4,900 Union Pacific Resources
Group.................... 78,706
------------
OIL DISTRIBUTION -- 4.0%
12,800 Exxon Corp................. 972,000
------------
OIL SERVICES -- 1.3%
4,000 Schlumberger Ltd........... 249,250
1,800 Weatherford International,
Inc.*.................... 57,600
------------
306,850
------------
PAPER -- 6.9%
1,800 Avery Dennison Corp........ 94,950
5,000 Fort James Corporation..... 133,438
6,500 Minnesota Mining &
Manufacturing Co......... 624,406
8,700 Procter & Gamble Co........ 815,625
------------
1,668,419
------------
REAL ESTATE ASSETS -- 0.3%
3,000 Newmont Mining Corp........ 77,625
------------
RETAIL/WHOLESALE -- 5.4%
2,800 AutoZone, Inc.*............ 78,575
2,200 Bed Bath & Beyond Inc.*.... 76,863
</TABLE>
See accompanying notes to the financial statements.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE
(CONTINUED)
4,600 Cardinal Health, Inc....... $ 250,700
600 eBay Inc.*................. 84,638
1,400 Grainger (W.W.), Inc....... 67,288
4,400 Penney (J.C.) Co........... 151,250
8,700 Staples, Inc.*............. 189,768
16,200 Walgreen Co................ 411,074
------------
1,310,156
------------
SERVICES -- 5.5%
10,700 Automatic Data
Processing............... 477,487
1,900 Block H&R Inc.............. 82,530
11,900 Cendant Corporation*....... 211,224
2,500 Ceridian Corp.*............ 62,188
820 Gartner Group, Inc., Class
B*....................... 13,684
6,300 IMS Health, Inc............ 143,719
6,100 Parametric Technology
Corp.*................... 82,350
3,600 Paychex, Inc............... 122,850
5,000 Robert Half International
Inc.*.................... 120,000
------------
1,316,032
------------
SOAPS & COSMETICS -- 0.7%
4,400 Clorox Company............. 168,300
------------
TELEPHONE -- 3.2%
1,900 Cablevision Systems Corp.,
Class A*................. 138,225
2,100 McLeodUSA Inc., Class A*... 89,381
2,600 Nextel Communications,
Inc.*.................... 176,313
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
2,400 Nextlink Communications*... $ 124,425
1,400 NTL Inc.*.................. 134,532
2,000 SBC Communications Inc..... 102,125
------------
765,001
------------
TEXTILES -- 0.7%
1,500 Cintas Corp................ 86,719
1,600 Nike, Inc.................. 91,000
------------
177,719
------------
TRANSPORTATION -- 1.5%
2,000 Kansas City Southern
Industries, Inc.......... 92,875
5,000 Level 3 Communications,
Inc.*.................... 261,094
------------
353,969
------------
TRAVEL/ENTERTAINMENT -- 1.3%
4,500 McDonald's Corp............ 193,500
2,800 Tricon Global Restaurants,
Inc.*.................... 114,625
------------
308,125
------------
TOTAL COMMON STOCKS........ 22,473,899
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $23,927,434) --
93.3%.................... $ 22,473,899
============
</TABLE>
- ---------------
* Non-income producing security.
See accompanying notes to the financial statements.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
-------------- ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $416,118,030, $1,156,612,
$38,451,006, respectively)................................ $446,903,501 $1,501,004 $40,949,957
Cash........................................................ 2,289 62,340 325,981
Foreign currency, at value (cost $0, $29,080, $597,068,
respectively)............................................. -- 29,007 645,022
Dividends and interest receivable........................... 545,980 3,952 116,404
Receivable for investments sold............................. 11,569,972 60,890 215,687
Other assets................................................ -- -- 105,438
------------ ---------- -----------
Total Assets............................................ 459,021,742 1,657,193 42,358,489
------------ ---------- -----------
LIABILITIES
Payable for investments purchased........................... 7,386,119 79,393 199,714
Payable for Fund shares redeemed............................ 25,000 -- --
Collateral for securities loaned, at value.................. 2,094,331 -- --
Accrued:
Manager fees.............................................. 340,249 -- 18,977
Administration fees....................................... 4,634 -- 432
Distribution fees......................................... 11,283 29 480
Other accrued expenses.................................... 89,466 9,522 64,913
------------ ---------- -----------
Total Liabilities....................................... 9,951,082 88,944 284,516
------------ ---------- -----------
NET ASSETS.................................................. $449,070,660 $1,568,249 $42,073,973
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 50,035,204 190,900 3,727,475
Adviser Shares............................................ 1,104,136 -- --
Select Shares............................................. 1,529,424 19,689 202,464
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 8.53 $ 7.45 $ 10.71
Adviser Shares............................................ 8.50 -- --
Select Shares............................................. 8.48 7.42 10.67
NET ASSETS CONSIST OF:
Capital..................................................... $452,890,208 $1,960,994 $40,550,368
Accumulated undistributed net investment income/(loss)...... 248,851 (5,006) 653,415
Accumulated net realized losses............................. (34,853,870) (732,100) (1,677,085)
Net unrealized appreciation/(depreciation) on foreign
currency transactions..................................... -- (31) 48,324
Net unrealized appreciation on investments.................. 30,785,471 344,392 2,498,951
------------ ---------- -----------
TOTAL NET ASSETS........................................ $449,070,660 $1,568,249 $42,073,973
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET DOUBLE ALPHA SELECT SECTORS
NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
------------ ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $101,838,726, $7,181,925,
$23,891,075, respectively)................................ $109,071,852 $7,129,377 $23,691,992
Deposits with broker and custodian bank for securities sold
short..................................................... 104,038,874 -- 22,274,713
Dividends and interest receivable........................... 281,627 567 67,056
Receivable for securities sold short........................ 2,969,693 -- 565,126
Receivable for investments sold............................. 3,186,961 -- 483,818
Receivable from Manager..................................... -- 19,238 --
Deposits with brokers for futures contracts................. -- 450,000 --
Net receivable for variation margin on futures contracts.... -- 109,800 --
Deferred organization expenses.............................. 29,246 11,662 --
------------ ---------- -----------
Total Assets............................................ 219,578,253 7,720,644 47,082,705
------------ ---------- -----------
LIABILITIES
Securities sold short (proceeds $99,467,421, $0,
$23,927,434, respectively)................................ 103,664,212 -- 22,473,899
Payable for investments purchased........................... -- -- 350,472
Payable to cover securities sold short...................... 1,607,537 -- 110,890
Accrued:
Manager fees.............................................. 147,265 -- 9,500
Administration fees....................................... 1,181 -- 3,211
Distribution fees......................................... 3,603 20 247
Other accrued expenses.................................... 159,279 14,011 41,031
------------ ---------- -----------
Total Liabilities....................................... 105,583,077 14,031 22,989,250
------------ ---------- -----------
NET ASSETS.................................................. $113,995,176 $7,706,613 $24,093,455
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 11,976,440 839,746 2,166,816
Investor Shares........................................... 1,559,427 9,351 112,042
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 8.43 $ 9.08 $ 10.58
Investor Shares........................................... 8.40 9.05 10.52
NET ASSETS CONSIST OF:
Capital..................................................... $155,327,594 $8,250,125 $23,961,051
Accumulated undistributed net investment income/(loss)...... 3,138,707 (627) 716,669
Accumulated net realized losses............................. (47,507,460) (116,362) (1,838,717)
Net unrealized appreciation/(depreciation) on short sales... (4,196,791) -- 1,453,535
Net unrealized depreciation on futures transactions......... -- (373,975) --
Net unrealized appreciation/(depreciation) on investments... 7,233,126 (52,548) (199,083)
------------ ---------- -----------
TOTAL NET ASSETS........................................ $113,995,176 $7,706,613 $24,093,455
============ ========== ===========
</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, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
-------------- ------------ --------------
<S> <C> <C> <C>
Investment Income:
Interest.................................................. $ 109,254 $ -- $ --
Dividends (Net of withholding taxes of $0, $682, and
$97,071, respectively).................................. 2,411,845 3,865 731,931
Securities lending fees................................... 16,219 -- --
----------- -------- ----------
Total Investment Income................................. 2,537,318 3,865 731,931
----------- -------- ----------
Expenses:
Manager fees.............................................. 2,140,564 6,478 199,128
Administration fees....................................... 356,764 971 29,870
12b-1 fees (Select Shares)................................ 14,445 118 2,376
Service fees (Adviser Shares)............................. 9,976 -- --
Audit fees................................................ 17,442 13,967 12,977
Custodian fees............................................ 104,290 18,213 91,143
Fund accounting fees...................................... 30,508 20,828 44,172
Registration and filing fees.............................. 20,578 9,103 9,481
Transfer agent fees....................................... 51,072 7,554 9,855
Trustees' fees............................................ 76,589 250 7,122
Other expenses............................................ 75,549 260 6,982
----------- -------- ----------
Total expenses before waivers/reimbursements............ 2,897,777 77,742 413,106
Less expenses waived/reimbursed......................... (135,902) (67,892) (112,728)
----------- -------- ----------
Total Net Expenses...................................... 2,761,875 9,850 300,378
----------- -------- ----------
Net Investment Income/(Loss)................................ (224,557) (5,985) 431,553
----------- -------- ----------
Net Realized Gain on:
Foreign currency transactions............................. -- 2,947 19,334
Investments............................................... 23,698,317 232,543 354,320
Net Change in Unrealized Appreciation/(Depreciation) on:
Foreign currency transactions............................. -- (385) 43,525
Investments............................................... 28,457,096 179,159 5,394,211
----------- -------- ----------
Net Realized and Unrealized Gain/(Loss) on Investments and
Foreign Currency Transactions............................. 52,155,413 414,264 5,811,390
----------- -------- ----------
Net increase/(decrease) in net assets resulting from
operations................................................ $51,930,856 $408,279 $6,242,943
=========== ======== ==========
</TABLE>
See accompanying notes to the financial statements.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET DOUBLE ALPHA SELECT SECTORS
NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
------------ ------------ --------------
<S> <C> <C> <C>
Investment Income:
Interest.................................................. $ -- $ -- $ --
Dividends (Net of withholding taxes of $203, $0, and $0,
respectively)........................................... 3,829,618 11,063 740,975
------------ --------- ----------
Total Investment Income................................. 3,829,618 11,063 740,975
------------ --------- ----------
Expenses:
Manager fees.............................................. 1,320,446 3,778 124,534
Administration fees....................................... 104,247 5,667 18,680
12b-1 fees (Investor Shares).............................. 25,831 185 1,167
Audit fees................................................ 17,400 6,350 8,910
Dividend expense for securities sold short................ 829,269 -- 121,112
Fund accounting fees...................................... 44,537 23,224 32,173
Organization fees......................................... 4,081 1,417 --
Registration and filing fees.............................. 16,870 22,347 15,781
Transfer agent fees....................................... 23,407 7,296 8,197
Trustees' fees............................................ 19,465 1,112 4,500
Other expenses............................................ 82,354 3,781 25,142
------------ --------- ----------
Total expenses before waivers/reimbursements............ 2,487,907 75,157 360,196
Less expenses waived/reimbursed......................... (236,222) (61,698) (83,182)
------------ --------- ----------
Total Net Expenses...................................... 2,251,685 13,459 277,014
------------ --------- ----------
Net Investment Income/(Loss)................................ 1,577,933 (2,396) 463,961
------------ --------- ----------
Net Realized Gain/(Loss) on:
Securities sold short..................................... (810,608) -- (1,882,622)
Futures contracts......................................... -- 645,190 --
Investments............................................... 6,316,652 (871,667) 980,707
Net Change in Unrealized Appreciation/(Depreciation) on:
Securities sold short..................................... (26,334,178) -- 2,330,472
Futures contracts......................................... -- (663,775) --
Investments............................................... 7,765,797 477,374 (1,819,824)
------------ --------- ----------
Net Realized and Unrealized Gain/(Loss) on Investments,
Securities Sold Short, and Futures Contracts.............. (13,062,337) (412,878) (391,267)
------------ --------- ----------
Net increase/(decrease) in net assets resulting from
operations................................................ $(11,484,404) $(415,274) $ 72,694
============ ========= ==========
</TABLE>
See accompanying notes to the financial statements.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL
CAPITALIZATION SERIES JAPAN SERIES
--------------------------------- ------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
1999 1999 1999 1999
---------------- ------------- ---------------- ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ (224,557) $ 806,217 $ (5,985) $ (4,688)
Net realized gain/(loss) on:
Foreign currency
transactions............. -- -- 2,947 7,278
Investments................ 23,698,317 (57,710,206) 232,543 (175,464)
Net change in unrealized
appreciation/(depreciation)
on:
Foreign currency
transactions............. -- -- (385) 674
Investments................ 28,457,096 (79,559,913) 179,159 315,831
------------ ------------- ---------- ----------
Net increase/(decrease) in
net assets resulting from
operations............... 51,930,856 (136,463,902) 408,279 143,631
------------ ------------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... -- (748,548) -- --
Adviser Shares............. -- -- -- --
Select Shares.............. -- -- -- --
------------ ------------- ---------- ----------
-- (748,548) -- --
------------ ------------- ---------- ----------
Net realized gain on
investments
Institutional Shares....... -- (5,068,928) -- --
Adviser Shares............. -- (244,354) -- --
Select Shares.............. -- (259,575) -- --
------------ ------------- ---------- ----------
-- (5,572,857) -- --
------------ ------------- ---------- ----------
Net decrease in net assets
resulting from
distributions............ -- (6,321,405) -- --
------------ ------------- ---------- ----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 16,181,574 196,873,799 31,802 769,151
Adviser Shares............. 624,417 23,937,536 -- --
Select Shares.............. 256,209 8,142,464 766,280 18,199
------------ ------------- ---------- ----------
17,062,200 228,953,799 798,082 787,350
------------ ------------- ---------- ----------
Proceeds from dividends
reinvested
Institutional Shares....... -- 4,951,583 -- --
Adviser Shares............. -- 201,395 -- --
Select Shares.............. -- 250,798 -- --
------------ ------------- ---------- ----------
-- 5,403,776 -- --
------------ ------------- ---------- ----------
Cost of shares redeemed
Institutional Shares....... (83,768,080) (164,834,333) (41,189) (720,516)
Adviser Shares............. (8,097,071) (19,514,429) -- --
Select Shares.............. (5,226,652) (19,117,051) (697,944) (25,334)
------------ ------------- ---------- ----------
(97,091,803) (203,465,813) (739,133) (745,850)
------------ ------------- ---------- ----------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... (80,029,603) 30,891,762 58,949 41,500
------------ ------------- ---------- ----------
Total increase/(decrease) in
net assets................... (28,098,747) (111,893,545) 467,228 185,131
NET ASSETS:
Beginning of period.......... 477,169,407 589,062,952 1,101,021 915,890
------------ ------------- ---------- ----------
End of period................ $449,070,660 $ 477,169,407 $1,568,249 $1,101,021
============ ============= ========== ==========
<CAPTION>
INTERNATIONAL SMALL
CAPITALIZATION SERIES
--------------------------------
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
1999 1999
---------------- ------------
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 431,553 $ 538,747
Net realized gain/(loss) on:
Foreign currency
transactions............. 19,334 36,733
Investments................ 354,320 (1,621,342)
Net change in unrealized
appreciation/(depreciation)
on:
Foreign currency
transactions............. 43,525 8,321
Investments................ 5,394,211 (3,719,763)
----------- ------------
Net increase/(decrease) in
net assets resulting from
operations............... 6,242,943 (4,757,304)
----------- ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... -- (403,961)
Adviser Shares............. -- --
Select Shares.............. -- (15,734)
----------- ------------
-- (419,695)
----------- ------------
Net realized gain on
investments
Institutional Shares....... -- --
Adviser Shares............. -- --
Select Shares.............. -- --
----------- ------------
-- --
----------- ------------
Net decrease in net assets
resulting from
distributions............ -- (419,695)
----------- ------------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 5,596,126 24,896,742
Adviser Shares............. -- --
Select Shares.............. 707,595 3,029,959
----------- ------------
6,303,721 27,926,701
----------- ------------
Proceeds from dividends
reinvested
Institutional Shares....... -- 401,708
Adviser Shares............. -- --
Select Shares.............. -- 15,628
----------- ------------
-- 417,336
----------- ------------
Cost of shares redeemed
Institutional Shares....... (5,934,220) (25,345,483)
Adviser Shares............. -- --
Select Shares.............. (527,655) (2,424,898)
----------- ------------
(6,461,875) (27,770,381)
----------- ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... (158,154) 573,656
----------- ------------
Total increase/(decrease) in
net assets................... 6,084,789 (4,603,343)
NET ASSETS:
Beginning of period.......... 35,989,184 40,592,527
----------- ------------
End of period................ $42,073,973 $ 35,989,184
=========== ============
</TABLE>
See accompanying notes to the financial statements.
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOUBLE ALPHA
MARKET NEUTRAL FUND MARKET FUND
--------------------------------- --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
1999 1999 1999 1999*
---------------- ------------- ---------------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss)....... $ 1,577,933 $ 7,985,288 $ (2,396) $ 189,591
Net realized gain/(loss) on:
Short sales...................... (810,608) (29,819,160) -- --
Futures contracts................ -- -- 645,190 385,581
Investments...................... 6,316,652 (21,000,267) (871,667) (275,466)
Net change in unrealized
appreciation/(depreciation) on:
Short sales...................... (26,334,178) 39,028,579 -- --
Futures contracts................ -- -- (663,775) 289,800
Investments...................... 7,765,797 (18,091,355) 477,374 (529,922)
------------- ------------- ----------- -----------
Net increase/(decrease) in net
assets resulting from
operations..................... (11,484,404) (21,896,915) (415,274) 59,584
------------- ------------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares............. -- (6,521,535) -- (182,541)
Investor Shares.................. -- (1,184,406) -- (5,281)
------------- ------------- ----------- -----------
Net decrease in net assets
resulting from distributions... -- (7,705,941) -- (187,822)
------------- ------------- ----------- -----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares............. 46,192,139 218,927,575 4,099,280 11,090,373
Investor Shares.................. 1,539,929 47,256,015 8,900 538,359
------------- ------------- ----------- -----------
47,732,068 266,183,590 4,108,180 11,628,732
------------- ------------- ----------- -----------
Proceeds from dividends reinvested
Institutional Shares............. -- 6,381,723 -- 182,541
Investor Shares.................. -- 1,131,149 -- 5,281
------------- ------------- ----------- -----------
-- 7,512,872 -- 187,822
------------- ------------- ----------- -----------
Cost of shares redeemed
Institutional Shares............. (98,514,019) (206,509,383) (3,103,877) (4,117,465)
Investor Shares.................. (23,529,640) (41,095,835) (171,447) (281,820)
------------- ------------- ----------- -----------
(122,043,659) (247,605,218) (3,275,324) (4,399,285)
------------- ------------- ----------- -----------
Net increase/(decrease) in net
assets from shares of
beneficial interest............ (74,311,591) 26,091,244 832,856 7,417,269
------------- ------------- ----------- -----------
Total increase/(decrease) in net
assets............................. (85,795,995) (3,511,612) 417,582 7,289,031
NET ASSETS:
Beginning of period................ 199,791,171 203,302,783 7,289,031 --
------------- ------------- ----------- -----------
End of period...................... $ 113,995,176 $ 199,791,171 $ 7,706,613 $ 7,289,031
============= ============= =========== ===========
<CAPTION>
SELECT SECTORS
MARKET NEUTRAL FUND
--------------------------------
SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31,
1999 1999**
---------------- ------------
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment income/(loss)....... $ 463,961 $ 294,261
Net realized gain/(loss) on:
Short sales...................... (1,882,622) (1,570,000)
Futures contracts................ -- --
Investments...................... 980,707 644,967
Net change in unrealized
appreciation/(depreciation) on:
Short sales...................... 2,330,472 (876,937)
Futures contracts................ -- --
Investments...................... (1,819,824) 1,620,741
----------- -----------
Net increase/(decrease) in net
assets resulting from
operations..................... 72,694 113,032
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares............. -- (52,697)
Investor Shares.................. -- (625)
----------- -----------
Net decrease in net assets
resulting from distributions... -- (53,322)
----------- -----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares............. 1,405,175 34,996,504
Investor Shares.................. 1,127,597 578,074
----------- -----------
2,532,772 35,574,578
----------- -----------
Proceeds from dividends reinvested
Institutional Shares............. -- 52,491
Investor Shares.................. -- 231
----------- -----------
-- 52,722
----------- -----------
Cost of shares redeemed
Institutional Shares............. (7,328,316) (6,333,645)
Investor Shares.................. (537,060) --
----------- -----------
(7,865,376) (6,333,645)
----------- -----------
Net increase/(decrease) in net
assets from shares of
beneficial interest............ (5,332,604) 29,293,655
----------- -----------
Total increase/(decrease) in net
assets............................. (5,259,910) 29,353,365
NET ASSETS:
Beginning of period................ 29,353,365 --
----------- -----------
End of period...................... $24,093,455 $29,353,365
=========== ===========
</TABLE>
- ---------------
* From commencement of operations on April 22, 1998 (Institutional) and April
22, 1998 (Investor).
** From commencement of operations on October 19, 1998 (Institutional) and
November 11, 1998 (Investor).
See accompanying notes to the financial statements.
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (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 and Select
Sectors Market Neutral Fund, 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 Service Fees and Distribution Fees and
Shareholder Service 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. Effective, January 1, 1999, the U.S. Small Capitalization Series was
closed to all investments, except participants in 401(k) plans may continue to
purchase shares until and including June 30, 1999. Participants in certain "wrap
programs" may continue to purchase shares quarterly to rebalance their accounts
and certain bank "asset allocation programs" may continue to purchase shares
under the terms of the agreement with the Trust. In June 1999, the U.S. Small
Capitalization Series was reopened on a limited basis to qualified plans and
certain "wrap programs" with certain restrictions as to method of purchase.
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 or persons acting at their
discretion.
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
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.
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Foreign Currency Transactions
The accounting records of the Funds are maintained in U.S. dollars. All monetary
items denominated in foreign currencies are translated to U.S. dollars based
upon the prevailing exchange rate at the close of each business day. Net
realized gains and losses on foreign currency transactions represent net gains
and losses from currency gains and losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amount of net investment income accrued and the U.S. dollar amount actually
received. Further, the effects of changes in foreign currency exchange rates on
investments in securities are not segregated in the Statement of Operations from
the effects of changes in market prices of those securities, but are included
with the net realized gain or loss and unrealized appreciation or depreciation
on investments.
Forward Foreign Currency Contracts
Forward foreign currency contracts are valued at the daily exchange rate of the
underlying currency. The forward foreign currency contracts are adjusted by the
daily exchange rate of the underlying currency and any gains or losses are
recorded for financial statement purposes as unrealized appreciation or
depreciation until the contractual settlement date. Gains or losses from the
purchase or sale of forward foreign currency contracts are recorded as realized
on the settlement date.
Foreign Securities
The Japan Series and the International Small Capitalization Series pursue their
respective objectives by investing in foreign securities. There are certain
additional risks involved when investing in foreign securities that are not
inherent with investments in domestic securities. These risks may involve
adverse political and economic developments and the possible imposition of
currency exchange or other foreign governmental laws or restrictions.
Futures Contracts
The Double Alpha Market Fund pursues its respective objective by investing in
S&P 500 Index Future contracts. An S&P 500 Index Future contract is a contract
to buy or sell an integral number of units of the S&P 500 Index at a specified
future date at a price agreed upon when the contract is made. Cash or securities
are deposited with brokers in order to maintain a position. Subsequent payments
made or received by the Fund based on the daily change in the market value of
the position are recorded as unrealized appreciation or depreciation until the
contract is closed out, at which time the gain or loss is realized.
The use of futures contacts involves, to varying degrees, elements of market
risk. Risks arise form the possible imperfect correlation in movements in the
price of futures contracts, interest rates and the underlying hedged assets, and
the possible inability of counterparties to meet the terms of their contracts.
However, the Fund's activities in futures contracts are conducted through
regulated exchanges which minimize counterparty credit risks.
Real Estate Investment Trusts
The Funds own shares of real estate investment trusts ("REITS") which report
information on the source of their distributions annually. Distributions
received from REITS during the year, which are known to be a return of capital,
are recorded as a reduction to the cost of the individual REIT.
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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, 1999, the values of securities sold short in the Market Neutral Fund and the
Select Sectors Market Neutral Fund amounted to $103,664,212 and $22,473,899,
against which collateral of $213,110,725 and $45,966,705 was held, respectively.
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.
At September 30, 1999, the value of securities loaned amounted to $1,888,839
against which cash collateral of $2,094,331 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 and Shareholder Service expenses are solely borne by and
charged to the Select Shares and Investor Shares; Services fees are charged to
the Adviser Shares.
Dividends and Distributions
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to differing
treatments for foreign currency transactions, Real Estate Investment Trusts
(REITS), redemptions-in-kind and wash sales for book and tax purposes. Permanent
book and tax basis differences will result in reclassifications to capital
accounts.
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
As of March 31, 1999, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to capital:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED UNDISTRIBUTED NET
UNDISTRIBUTED NET REALIZED GAIN/(LOSS) ON INVESTMENTS
INVESTMENT INCOME/(LOSS) AND FOREIGN CURRENCY TRANSACTIONS
------------------------ -----------------------------------
<S> <C> <C>
U.S. Small Capitalization Series $(35,357) $ 35,755
Japan Series 7,278 (7,275)
International Small Capitalization Series 71,679 (71,679)
Market Neutral Fund 80,143 (80,143)
Select Sectors Market Neutral Fund 11,769 (11,769)
</TABLE>
Organizational Expenses
Costs incurred in connection with the organization and initial registration of
the Market Neutral Fund and Double Alpha Market Fund have been deferred and are
being amortized on a straight-line basis over a sixty month period commencing
December 1997 and April 1998, respectively.
3. MANAGEMENT, ADMINISTRATION, FUND ACCOUNTING, DISTRIBUTION AND SHAREHOLDER
SERVICES AGREEMENTS. AXA Rosenberg Investment Management LLC (the "Manager")
provides advisory and management services to the Funds under separate management
contract. The Manager is entitled to a fee, computed daily and paid monthly, at
the annual rate of 0.90% for the U.S. Small Capitalization Series, 1.00% for
both the Japan Series and the International Small Capitalization Series, 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
limit the annual expenses to the following: 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, and 2.35% of the
average net assets of the Double Alpha Market Fund (2.00% of which reflects the
expense ratio of the Market Neutral Fund, which the Double Alpha Market Fund
invests in). This includes the management fee but excludes the Service fees, and
the Distribution and Shareholder Service fees. The Manager has agreed to
maintain an operating expense ratio for the Market Neutral Fund of 2.00% and for
the Select Sectors Market Neutral Fund of 1.25% of each Fund's average net
assets, exclusive of the dividend expense on short sales. The operating expense
ratio includes the management fee but excludes the Distribution and Shareholder
Service fees. For the six months ended September 30, 1999, the amount of such
waivers totaled $1,245, $6,478, $101,463, $196,970, $3,778 and $69,600 for the
U.S. Small Capitalization Series, Japan Series, International Small
Capitalization Series, Market Neutral Fund, Double Alpha Market Fund and the
Select Sectors Market Neutral Fund, respectively. For the six months ended
September 30, 1999, the amount of such reimbursements totaled $0, $60,443, $0,
$0, $52,253, and $0 for the U.S. Small Capitalization Series, Japan Series,
International Small Capitalization Series, Market Neutral Fund, Double Alpha
Market Fund and the Select Sectors Market Neutral Fund, respectively.
BISYS Fund Services Ohio, Inc. ("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, Market Neutral Fund, and
Select Sectors Market Neutral Fund. In addition, the
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
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, 1999, the amount of such waivers totaled $134,657, $971,
$11,265, $39,252, $5,667 and $13,582 for the U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, Market Neutral Fund,
Double Alpha Market Fund and the Select Sectors Market Neutral Fund,
respectively.
BISYS serves the Trust as fund accountant. Under the terms of the fund
accounting agreement, BISYS is entitled to receive an annual fee of $30,000 for
the U.S. Small Capitalization Series, Japan Series and International Small
Capitalization Series, $50,000 for the Market Neutral Fund, Double Alpha Market
Fund and the Select Sectors Market Neutral Fund, and is reimbursed for certain
out-of-pocket expenses incurred in providing fund accounting services.
The Trust has adopted a Distribution and Shareholder Service 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 and Shareholder Service 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 and Shareholder Service Fee of up to 0.25% of the
respective average daily net assets. For the six months ended September 30,
1999, the U.S. Small Capitalization Series, Japan Series, International Small
Capitalization Series, Market Neutral Fund, Double Alpha Market Fund and the
Select Sectors Market Neutral Fund incurred distribution and shareholder service
expenses in the amount of $14,445, $118, $2,376, $25,831, $185 and $1,167,
respectively. In addition, the Trustees have authorized each Fund to pay up to
0.15% of its average daily net assets attributable to Select Shares and Investor
Shares for sub-transfer and sub-accounting services in connection with such
shares.
Various service organizations act as servicing agents of the Adviser Shares of
the U.S. Small Capitalization Series. Such shares are subject to an annual
Service Fee of up to 0.25% of the average daily net assets attributable to such
shares in accordance with a Service Plan adopted by the Trust. For the six
months ended September 30, 1999, the Service Fee attributable to the Adviser
Shares was charged as incurred, and amounted to 0.17%.
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, 1999, the U.S. Small Capitalization Series had a capital loss
carryover of $25,481,146, which will expire in March 31, 2007. The Japan Series
had a capital loss carryover of $908,755 of which $258,946, $69,379, $15,997,
$20,835, $261,584 and $282,014 will expire on March 31 of the years 2000, 2001,
2002, 2004, 2006 and 2007, respectively. The International Small Capitalization
Series had a capital loss carryover of $1,316,042, which will expire on March
31, 2007. The Market Neutral Fund had a capital loss carryover of $20,880,748,
which will expire in March 31, 2007. Capital loss carryovers will be available
to offset future realized capital gains through the stated years. 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.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
Capital 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>
AMOUNT
-----------
<S> <C>
U.S. Small Capitalization Series $30,959,915
Japan Series 30,065
International Small Capitalization Series 579,801
Market Neutral Fund 31,196,315
Select Sectors Market Neutral Fund 759,041
</TABLE>
5. SECURITY PURCHASES AND SALES. For the six months ended September 30, 1999,
purchases and sales of securities (excluding short-term securities) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Small Capitalization Series $270,796,591 $350,400,137
Japan Series 735,548 728,007
International Small Capitalization Series 22,994,776 23,644,338
Market Neutral Fund 58,702,770 154,196,835
Double Alpha Market Fund 6,382,941 5,622,840
Select Sectors Market Neutral Fund 48,374,423 50,593,067
</TABLE>
6. PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess of 10% of
the relevant Fund's shares outstanding at September 30, 1999, held the following
aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
% OF FUND'S
SHARES
-----------
<S> <C>
U.S. Small Capitalization Series 40%
Japan Series 76%
International Small Capitalization Series 89%
Market Neutral Fund 66%
Double Alpha Market Fund 95%
Select Sectors Market Neutral Fund 77%
</TABLE>
7. TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of $45,540
plus a $4,125 meeting fee for each meeting attended.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
8. SALES AND REDEMPTIONS OF SHARES. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED SEPTEMBER 30, 1999
---------------------------------------------------------------------------------------
SELECT
INTERNATIONAL DOUBLE SECTORS
U.S. SMALL SMALL MARKET ALPHA MARKET
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET NEUTRAL
SERIES SERIES SERIES FUND FUND FUND
-------------- ----------- -------------- ----------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
Shares sold:
Institutional..................... 1,938,189 4,646 539,095 5,501,188 445,145 135,960
Adviser........................... 75,977 -- -- -- -- --
Select/Investor................... 32,045 109,499 66,939 180,908 927 113,077
----------- -------- ---------- ----------- -------- -----------
2,046,211 114,145 606,034 5,682,096 446,072 249,037
----------- -------- ---------- ----------- -------- -----------
Issued upon reinvestment of
distributions:
Institutional..................... -- -- -- -- -- --
Adviser........................... -- -- -- -- -- --
Select/Investor................... -- -- -- -- -- --
----------- -------- ---------- ----------- -------- -----------
Shares redeemed:
Institutional..................... (10,031,778) (6,618) (574,717) (11,581,657) (322,265) (723,585)
Adviser........................... (994,097) -- -- -- -- --
Select/Investor................... (630,687) (98,566) (51,099) (2,786,805) (17,880) (52,752)
----------- -------- ---------- ----------- -------- -----------
(11,656,562) (105,184) (625,816) (14,368,462) (340,145) (776,337)
----------- -------- ---------- ----------- -------- -----------
Net increase/(decrease)
Institutional..................... (8,093,589) (1,972) (35,622) (6,080,469) 122,880 (587,625)
Adviser........................... (918,120) -- -- -- -- --
Select/Investor................... (598,642) 10,933 15,840 (2,605,897) (16,953) 60,325
----------- -------- ---------- ----------- -------- -----------
(9,610,351) 8,961 (19,782) (8,686,366) 105,927 (527,300)
=========== ======== ========== =========== ======== ===========
</TABLE>
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED MARCH 31, 1999
----------------------------------------------------------------------------------
SELECT
INTERNATIONAL DOUBLE SECTORS
U.S. SMALL SMALL MARKET ALPHA MARKET
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET NEUTRAL
SERIES SERIES SERIES FUND FUND* FUND**
-------------- ---------- -------------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold:
Institutional..................... 22,599,032 189,362 2,699,769 22,044,753 1,130,218 3,351,263
Adviser........................... 2,607,621 -- -- -- -- --
Select/Investor................... 951,183 3,723 324,076 4,740,977 55,337 51,695
----------- ---------- ---------- ----------- --------- ---------
26,157,836 193,085 3,023,845 26,785,730 1,185,555 3,402,958
----------- ---------- ---------- ----------- --------- ---------
Issued upon reinvestment of
distributions:
Institutional..................... 629,172 -- 46,173 661,319 19,034 5,082
Adviser........................... 25,655 -- -- -- -- --
Select/Investor................... 32,030 -- 1,797 117,217 551 22
----------- ---------- ---------- ----------- --------- ---------
686,857 -- 47,970 778,536 19,585 5,104
----------- ---------- ---------- ----------- --------- ---------
Shares redeemed:
Institutional..................... (20,192,247) (179,905) (2,866,134) (21,509,301) (432,386) (601,904)
Adviser........................... (2,399,867) -- -- -- -- --
Select/Investor................... (2,321,370) (5,570) (275,479) (4,230,293) (29,584) --
----------- ---------- ---------- ----------- --------- ---------
(24,913,484) (185,475) (3,141,613) (25,739,594) (461,970) (601,904)
----------- ---------- ---------- ----------- --------- ---------
Net increase/(decrease)
Institutional..................... 3,035,957 9,457 (120,192) 1,196,771 716,866 2,754,441
Adviser........................... 233,409 -- -- -- -- --
Select/Investor................... (1,338,157) (1,847) 50,394 627,901 26,304 51,717
----------- ---------- ---------- ----------- --------- ---------
1,931,209 7,610 (69,798) 1,824,672 743,170 2,806,158
=========== ========== ========== =========== ========= =========
</TABLE>
- ---------------
* From commencement of operations on April 22, 1998 (Institutional) and April
22, 1998 (Investor).
** From commencement of operations on October 19, 1998 (Institutional) and
November 11, 1998 (Investor).
9. LINE OF CREDIT. A line of credit to a maximum amount of 33.33% of total net
assets for the Market Neutral Fund has been established by the custodian for
temporary purposes. Lines of credit in the amount of $250,000 for the Japan
Series and $10,000,000 for the International Small Capitalization Series have
been established by the custodian for the purposes of foreign exchange
contracts. The maximum daily settlement amount under the line of credit is
$125,000 for the Japan Series and $5,000,000 for the International Small
Capitalization Series.
10. CONCENTRATION OF CREDIT. At September 30, 1999, the U.S. Small
Capitalization Series had the following industry concentrations in excess of 10%
of its net assets: Electronics -- 12.4%. The Japan Series had the following
industry concentrations in excess of 10% of its net assets: Banking -- 20.0% and
Electronics -- 20.4%. The International Small Capitalization Series had the
following country concentrations in excess of 10% of its net assets:
Japan -- 23.4% and United Kingdom 18.0%. The Market Neutral Fund had the
following industry concentrations in excess of 10% of its net assets:
Services -- 10.8%. The Select Sectors Market Neutral Fund had the following
industry concentrations in excess of 10% of its net assets:
Electronics -- 12.1%.
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 1999 (UNAUDITED) (CONTINUED)
- --------------------------------------------------------------------------------
11. OTHER TAX INFORMATION (UNAUDITED). For corporate shareholders of the U.S.
Small Capitalization Series 32.16% of the total ordinary income distributions
paid during the fiscal year ended March 31, 1999, qualify for the corporate
dividends received deduction.
The International Small Capitalization Series may elect to pass on the benefits
of the foreign tax credit to its shareholders for the year ended March 31, 1999.
The following information is presented with respect to the election:
<TABLE>
<CAPTION>
AMOUNT
----------
<S> <C>
Gross Income from Foreign Countries $1,348,024
Gross Income from Foreign Countries Per Share 0.341
Income Taxes Paid to Foreign Countries 162,556
Income Taxes Paid to Foreign Countries Per Share 0.041
</TABLE>
During the fiscal year ended March 31, 1999, the U.S. Small Capitalization
Series declared long-term capital gain distributions in the amount of
$3,933,169.
66
<PAGE> 67
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997 MARCH 31, 1996 MARCH 31, 1995
------------------ -------------- -------------- -------------- -------------- --------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning
of period............... $ 7.66 $ 9.76 $ 7.13 $ 7.60 $ 6.97 $ 7.36
-------- -------- -------- ------- ------- -------
Income from investment
operations:
Net investment
income/(loss)......... -- 0.01*** 0.02*** 0.04 0.03 0.01
Net realized and
unrealized gain/(loss)
on investments........ 0.87 (2.02) 3.14 1.39 2.34 0.78
-------- -------- -------- ------- ------- -------
Total from investment
operations............ 0.87 (2.01) 3.16 1.43 2.37 0.79
-------- -------- -------- ------- ------- -------
Distributions to
shareholders from:
Net investment income... -- (0.01) (0.01) (0.05) (0.01) (0.08)
Net realized gain on
investments........... -- (0.08) (0.52) (1.85) (1.73) (1.10)
-------- -------- -------- ------- ------- -------
Total distributions to
shareholders.......... -- (0.09) (0.53) (1.90) (1.74) (1.18)
-------- -------- -------- ------- ------- -------
Net asset value, end of
period.................. $ 8.53 $ 7.66 $ 9.76 $ 7.13 $ 7.60 $ 6.97
======== ======== ======== ======= ======= =======
Total return *............ 11.36% (20.56)% 44.95% 19.53% 35.69% 12.21%
RATIOS TO AVERAGE NET
ASSETS/ SUPPLEMENTAL
DATA:
Net Assets, end of
period (000).......... $426,718 $445,476 $537,891 $82,116 $60,046 $56,910
Net investment
income/(loss) before
waivers/
reimbursements........ (0.14)%** 0.10% 0.04% (0.12)% 0.22% 0.33%
Net investment
income/(loss) net of
waivers/
reimbursements........ (0.08)%** 0.16% 0.19% 0.35% 0.47% 0.60%
Expenses before
waivers/reimbursements... 1.21% ** 1.19% 1.30% 1.54% 1.15% 1.17%
Expenses net of
waivers/reimbursements... 1.15% ** 1.15% 1.15% 1.07% 0.90% 0.90%
Portfolio turnover
rate.................. 57.99% 123.66% 77.70% 126.83% 71.87% 57.27%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
*** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(A)
------------------ -------------- -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C>
ADVISER SHARES
Net asset value, beginning of period... $ 7.65 $ 9.75 $ 7.14 $ 7.38
------ ------- ------- ------
Income from investment operations:
Net investment income/(loss)......... (0.01) --*** (0.01)*** 0.02
Net realized and unrealized
gain/(loss) on investments........ 0.86 (2.02) 3.14 (0.26)
------ ------- ------- ------
Total from investment operations..... 0.85 (2.02) 3.13 (0.24)
------ ------- ------- ------
Distributions to shareholders from:
Net realized gain on investments..... -- (0.08) (0.52) --
------ ------- ------- ------
Total distributions to
shareholders...................... -- (0.08) (0.52) --
------ ------- ------- ------
Net asset value, end of period......... $ 8.50 $ 7.65 $ 9.75 $ 7.14
====== ======= ======= ======
Total return *......................... 11.11% (20.70)% 44.50% (3.25)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period (000)... $9,388 $15,465 $17,448 $208
Net investment income/(loss)
before waivers/reimbursements... (0.31)%** (0.06)% (0.22)% 0.07%**
Net investment income/(loss) net
of waivers/reimbursements....... (0.25)%** (0.00)% (0.06)% 0.46%**
Expenses before
waivers/reimbursements.......... 1.38% ** 1.35% 1.56% 1.54%**
Expenses net of
waivers/reimbursements.......... 1.32% ** 1.29% 1.40% 1.15%**
Portfolio turnover rate........... 57.99% 123.66% 77.70% 126.83%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(A)
------------------ -------------- -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period..... $ 7.63 $ 9.73 $ 7.13 $ 8.49
------- ------- ------- ------
Income from investment operations:
Net investment income/(loss)........... (0.02) (0.01)*** (0.02)*** 0.07
Net realized and unrealized gain/(loss)
on investments...................... 0.87 (2.01) 3.14 0.47
------- ------- ------- ------
Total from investment operations....... 0.85 (2.02) 3.12 0.54
------- ------- ------- ------
Distributions to shareholders from:
Net investment income.................. -- -- -- (0.05)
Net realized gain on investments....... -- (0.08) (0.52) (1.85)
------- ------- ------- ------
Total distributions to shareholders.... -- (0.08) (0.52) (1.90)
------- ------- ------- ------
Net asset value, end of period........... $ 8.48 $ 7.63 $ 9.73 $ 7.13
======= ======= ======= ======
Total return*............................ 11.14% (20.74)% 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period (000)..... $12,964 $16,228 $33,724 $2,375
Net investment income/(loss) before
waivers/reimbursements............ (0.37)%** (0.50)% (0.70)% 0.07%**
Net investment income/(loss) net of
waivers/reimbursements............ (0.31)%** (0.15)% (0.24)% 0.46%**
Expenses before
waivers/reimbursements............ 1.47% ** 1.77% 2.05% 1.54%**
Expenses net of
waivers/reimbursements............ 1.41% ** 1.42% 1.59% 1.15%**
Portfolio turnover rate............. 57.99% 123.66% 77.70% 126.83%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE FOR THE FOR THE FOR THE
SIX MONTHS YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1999 1999 1998 1997 1996 1995
------------- --------- --------- --------- --------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period...................... $ 5.46 $ 4.72 $ 6.20 $ 8.77 $ 8.96 $ 8.25
------- ------- ------- ------- ------ ------
Income from investment
operations:
Net investment
income/(loss)............. (0.03) (0.02)*** (0.04)*** (0.05)*** 0.04 0.10
Net realized and unrealized
gain/(loss) on investments
and foreign currency
transactions.............. 2.02 0.76 (1.44) (2.45) (0.15) 0.63
------- ------- ------- ------- ------ ------
Total from investment
operations................ 1.99 0.74 (1.48) (2.50) (0.11) 0.73
------- ------- ------- ------- ------ ------
Distributions to shareholders
from:
Net investment income....... -- -- -- (0.04) -- --
In excess of net investment
income.................... -- -- -- (0.03) (0.08) (0.02)
------- ------- ------- ------- ------ ------
Total distributions to
shareholders.............. -- -- -- (0.07) (0.08) (0.02)
------- ------- ------- ------- ------ ------
Net asset value, end of
period...................... $ 7.45 $ 5.46 $ 4.72 $ 6.20 $ 8.77 $ 8.96
======= ======= ======= ======= ====== ======
Total return*................. 36.45% 15.68% (23.87)% (28.68)% (1.20)% 8.86%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net assets, end of period
(000)................... $1,422 $1,053 $866 $1,009 $1,378 $1,385
Net investment loss before
waivers/
reimbursements.......... (11.41)%** (13.32)% (13.49)% (12.54)% (6.38)% (6.22)%
Net investment loss net of
waivers/
reimbursements.......... (0.92)%** (0.50)% (0.74)% (0.63)% (0.22)% (0.20)%
Expenses before
waivers/reimbursements... 12.00%** 14.32% 14.25% 13.33% 7.16% 7.02%
Expenses net of
waivers/reimbursements.. 1.50%** 1.50% 1.50% 1.42% 1.00% 1.00%
Portfolio turnover rate... 58.05% 152.20% 102.13% 51.70% 60.60% 57.10%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
*** Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
70
<PAGE> 71
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 March 31, 1997(a)
------------------ -------------- -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of
period.............................. $ 5.44 $ 4.71 $ 6.20 $ 8.08
------- ------- ------- -------
Income from investment operations:
Net investment loss................. (0.01) (0.04)*** (0.04)*** (0.01)***
Net realized and unrealized
gain/(loss) on investments and
foreign currency transactions.... 1.99 0.77 (1.45) (1.80)
------- ------- ------- -------
Total from investment operations.... 1.98 0.73 (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........ $ 7.42 $ 5.44 $ 4.71 $ 6.20
======= ======= ======= =======
Total return*......................... 36.40% 15.50% (24.03)% (22.59)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net assets, end of period
(000).......................... $146 $48 $50 $13
Net investment loss before
waivers/ reimbursements........ (10.98)%** (14.06)% (9.10)% (11.83)%**
Net investment loss net of
waivers/ reimbursements........ (0.98)%** (0.91)% (0.82)% 0.00%**
Expenses before
waivers/reimbursements......... 12.25%** 14.95% 10.12% 13.33%**
Expenses net of
waivers/reimbursements......... 1.75%** 1.80% 1.85% 1.50%**
Portfolio turnover rate.......... 58.05% 152.20% 102.13% 51.70%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(A)
------------------ -------------- -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period.......................... $ 9.11 $ 10.10 $ 10.13 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income........... 0.11 0.12*** 0.08*** 0.02***
Net realized and unrealized
gain/(loss) on investments
and foreign currency
transactions................. 1.49 (1.02) 0.14 0.11
------- ------- ------- -------
Total from investment
operations................... 1.60 (0.90) 0.22 0.13
------- ------- ------- -------
Distributions to shareholders
from:
Net investment income........... -- (0.09) (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................. -- (0.09) (0.25) --
------- ------- ------- -------
Net asset value, end of period.... $ 10.71 $ 9.11 $ 10.10 $ 10.13
======= ======= ======= =======
Total return*..................... 17.56% (8.83)% 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)...................... $39,914 $34,292 $39,218 $12,859
Net investment income/(loss)
before
waivers/reimbursements..... 1.62%** 0.82% (0.32)% (5.85)%**
Net investment income net of
waivers/reimbursements..... 2.18%** 1.29% 0.82% 0.11%**
Expenses before
waivers/reimbursements..... 2.06%** 1.97% 2.64% 7.46%**
Expenses net of
waivers/reimbursements..... 1.50%** 1.50% 1.50% 1.50%**
Portfolio turnover rate...... 59.75% 111.05% 77.72% 6.71%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
72
<PAGE> 73
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(A)
------------------ -------------- -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of
period.......................... $ 9.10 $10.09 $10.13 $10.04
------ ------ ------ ------
Income from investment operations:
Net investment income........... 0.09 0.07*** 0.06*** 0.02***
Net realized and unrealized
gain/(loss) on investments
and foreign currency
transactions................. 1.48 (1.00) 0.14 0.07
------ ------ ------ ------
Total from investment
operations................... 1.57 (0.93) 0.20 0.09
------ ------ ------ ------
Distributions to shareholders
from:
Net investment income........... -- (0.06) (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................. -- (0.06) (0.24) --
------ ------ ------ ------
Net asset value, end of period.... $10.67 $ 9.10 $10.09 $10.13
====== ====== ====== ======
Total return*..................... 17.25% (9.16)% 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)...................... $2,160 $1,697 $1,375 $185
Net investment income/(loss)
before
waivers/reimbursements..... 1.28%** 0.08% (0.83)% (5.52)%**
Net investment income net of
waivers/reimbursements..... 1.84%** 0.79% 0.61% 0.44%**
Expenses before
waivers/reimbursements..... 2.38%** 2.66% 3.35% 7.46%**
Expenses net of
waivers/reimbursements..... 1.82%** 1.95% 1.91% 1.50%**
Portfolio turnover rate...... 59.75% 111.05% 77.72% 6.71%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
73
<PAGE> 74
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998(A)
------------------ -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period............... $ 8.99 $ 9.97 $ 10.00
-------- -------- --------
Income from investment operations:
Net investment income............................ 0.15 0.29*** 0.10***
Net realized and unrealized loss on investments
and securities sold short..................... (0.71) (1.00) (0.13)
-------- -------- --------
Total from investment operations................. (0.56) (0.71) (0.03)
-------- -------- --------
Distributions to shareholders from:
Net investment income............................ -- (0.27) --
-------- -------- --------
Total distributions to shareholders.............. -- (0.27) --
-------- -------- --------
Net asset value, end of period..................... $ 8.43 $ 8.99 $ 9.97
======== ======== ========
Total return*...................................... (6.23)% (7.31)% (0.30)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................. $100,902 $162,404 $168,080
Net investment income before
waivers/reimbursements........................ 1.98%** 2.75% 2.72%**
Net investment income net of
waivers/reimbursements........................ 2.33%** 2.97% 3.31%**
Expenses (including dividend expense) before
waivers/reimbursements........................ 3.55%** 3.07% 3.33%**
Expenses (including dividend expense) net of
waivers/reimbursements........................ 3.19%** 2.85% 2.75%**
Expenses (excluding dividend expense) net of
waivers/reimbursements........................ 2.00%** 2.00% 2.00%**
Portfolio turnover rate.......................... 44.50% 205.32% 232.93%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
74
<PAGE> 75
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE FOR THE
SIX MONTHS ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999 MARCH 31, 1998(A)
------------------ -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period............... $ 8.98 $ 9.96 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income............................ 0.23 0.25*** 0.08***
Net realized and unrealized loss on investments
and securities sold short..................... (0.81) (1.00) (0.12)
------- ------- -------
Total from investment operations................. (0.58) (0.75) (0.04)
------- ------- -------
Distributions to shareholders from:
Net investment income............................ -- (0.23) --
------- ------- -------
Total distributions to shareholders.............. -- (0.23) --
------- ------- -------
Net asset value, end of period..................... $ 8.40 $ 8.98 $ 9.96
======= ======= =======
Total return*...................................... (6.46)% (7.66)% (0.40)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................. $13,093 $37,387 $35,223
Net investment income before
waivers/reimbursements........................ 1.67%** 2.31% 2.28%**
Net investment income net of
waivers/reimbursements........................ 2.00%** 2.53% 2.82%**
Expenses (including dividend expense) before
waivers/reimbursements........................ 3.84%** 3.52% 3.87%**
Expenses (including dividend expense) net of
waivers/reimbursements........................ 3.48%** 3.31% 3.34%**
Expenses (excluding dividend expense) net of
waivers/reimbursements........................ 2.29%** 2.45% 2.50%**
Portfolio turnover rate.......................... 44.50% 205.32% 232.93%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** 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.
75
<PAGE> 76
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999(A)
------------------ -----------------
(UNAUDITED)
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 9.81 $ 10.00
------ -------
Income from investment operations:
Net investment income/(loss).............................. -- 0.26
Net realized and unrealized loss on investments and
futures contracts...................................... (0.73) (0.21)
------ -------
Total from investment operations.......................... (0.73) 0.05
------ -------
Distributions to shareholders from:
Net investment income..................................... -- (0.24)
------ -------
Total distributions to shareholders....................... -- (0.24)
------ -------
Net asset value, end of period.............................. $ 9.08 $ 9.81
====== =======
Total return*............................................... (7.44)% 0.53%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $7,622 $7,032
Net investment income/(loss) before
waivers/reimbursements................................. (1.69)%** 1.18%**
Net investment income/(loss) net of
waivers/reimbursements................................. (0.06)%** 2.81%**
Expenses before waivers/reimbursements.................... 1.98%** 1.98%**
Expenses net of waivers/reimbursements.................... 0.35%** 0.35%**
Portfolio turnover rate................................... 84.44% 154.45%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
76
<PAGE> 77
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999(A)
------------------ -----------------
(UNAUDITED)
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 9.79 $ 10.00
------ -------
Income from investment operations:
Net investment income/(loss).............................. (0.01) 0.21
Net realized and unrealized loss on investments and
futures contracts...................................... (0.73) (0.20)
------ -------
Total from investment operations.......................... (0.74) 0.01
------ -------
Distributions to shareholders from:
Net investment income..................................... -- (0.22)
------ -------
Total distributions to shareholders....................... -- (0.22)
------ -------
Net asset value, end of period $ 9.05 $ 9.79
====== =======
Total return*............................................... (7.56)% 0.18%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $85 $257
Net investment income/(loss) before
waivers/reimbursements................................. (1.98)%** 1.39%**
Net investment income/(loss) net of
waivers/reimbursements................................. (0.35)%** 3.07%**
Expenses before waivers/reimbursements.................... 2.23%** 2.14%**
Expenses net of waivers/reimbursements.................... 0.60%** 0.45%**
Portfolio turnover rate................................... 84.44% 154.45%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
77
<PAGE> 78
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999(A)
------------------ -----------------
(UNAUDITED)
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.46 $ 10.00
------- -------
Income from investment operations:
Net investment income..................................... 0.23 0.11
Net realized and unrealized gain/(loss) on investments and
securities sold short.................................. (0.11) 0.40
------- -------
Total from investment operations.......................... 0.12 0.51
------- -------
Distributions to shareholders from:
Net investment income..................................... -- (0.05)
------- -------
Total distributions to shareholders....................... -- (0.05)
------- -------
Net asset value, end of period.............................. $ 10.58 $ 10.46
======= =======
Total return*............................................... 1.15% 5.14%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $22,914 $28,814
Net investment income before waivers/reimbursements....... 3.07%** 2.00%**
Net investment income net of waivers/reimbursements....... 3.74%** 3.15%**
Expenses (including dividend expense) before
waivers/reimbursements................................. 2.89%** 3.90%**
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.22%** 2.75%**
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 1.25%** 1.25%**
Portfolio turnover rate................................... 215.10% 145.22%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on October 19, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
78
<PAGE> 79
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE
SIX MONTHS ENDED PERIOD ENDED
SEPTEMBER 30, 1999 MARCH 31, 1999(A)
------------------ -----------------
(UNAUDITED)
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $10.43 $ 10.00
------ -------
Income from investment operations:
Net investment income..................................... 0.11 0.07
Net realized and unrealized gain/(loss) on investments and
securities sold short.................................. (0.02) 0.40
------ -------
Total from investment operations.......................... 0.09 0.47
------ -------
Distributions to shareholders from:
Net investment income..................................... -- (0.04)
------ -------
Total distributions to shareholders....................... -- (0.04)
------ -------
Net asset value, end of period.............................. $10.52 $ 10.43
====== =======
Total return*............................................... 0.86% 4.71%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $1,179 $539
Net investment income before waivers/reimbursements....... 2.82%** 1.30%**
Net investment income net of waivers/reimbursements....... 3.49%** 2.26%**
Expenses (including dividend expense) before
waivers/reimbursements................................. 3.15%** 3.73%**
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.48%** 2.77%**
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 1.51%** 1.46%**
Portfolio turnover rate................................... 215.10% 145.22%
</TABLE>
- ---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on November 11, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
79
<PAGE> 80
BARR ROSENBERG SERIES TRUST
Manager
AXA Rosenberg Investment Management LLC
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
333 Market Street
San Francisco, CA 94105-2119
Counsel
Ropes & Gray
One International Place
Boston, MA 02110
This report is for the information of the shareholders of Barr Rosenberg Series
Trust. Its use in connection with any offering of the Trust's shares is
authorized only in case of a concurrent or prior delivery of the Trust's current
prospectus.
(BRG-0034) (6/99)
------------------------------------------------
BARR ROSENBERG SERIES TRUST
------------------------------------------------
U.S. SMALL CAPITALIZATION SERIES
JAPAN SERIES
INTERNATIONAL SMALL
CAPITALIZATION SERIES
BARR ROSENBERG MARKET
NEUTRAL FUND
BARR ROSENBERG DOUBLE ALPHA
MARKET FUND
BARR ROSENBERG SELECT SECTORS
MARKET NEUTRAL FUND
SEMI-ANNUAL REPORT
------------------------------------------------
SEPTEMBER 30, 1999
------------------------------------------------
