<PAGE> 1
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
- --------------------------------------------------------------------------------
April 21, 1999
Dear Fellow Shareholder:
Overall, it was a tumultuous time for both U.S. and international stock
markets since last year's annual report. Market performance tends to be
cyclical, and in various cycles, certain investment styles may fall in and out
of favor. The investment climate for the past year has been difficult for small
cap and value strategies. Though it has been a trying year, we did not change
our investment strategy. We believe that the current market environment is not
sustainable and does not signal the kind of fundamental change in the long-term
drivers of equity returns that would lead us to change our investment strategy
which focuses on fundamental values.
The fiscal year was an unusual one. Although historically, on average, the
stocks of smaller companies tend to outperform those of large companies, and low
price-to-earnings stocks tend to outperform high price-to-earnings stocks(1),
this past year was the exact opposite. The larger and more expensive (in terms
of price relative to earnings) a company was, the better it fared. Investment
performance for the Funds for the year ended March 31, 1999, depended
significantly on a few factors such as capitalization, trading activity and
growth versus value. Our exposure to small cap domestic and international
stocks, low turnover stocks and our value bias hurt the Funds' performance. The
one-year returns for the International Small Capitalization and Japan Funds were
slightly better than the Funds' benchmarks(2). Please see the Financial
Highlights for performance information.
In light of the current volatility in the equity markets, we think it
important for our shareholders to understand certain aspects of the risk of
investing in the Barr Rosenberg Market Neutral Fund(3). The risks can be divided
into two broad categories: the risk that arises from investing with a particular
manager (manager risk) and the risk associated with certain investment styles
(investment risk). Manager risk is simply the risk, to the investor, of placing
assets with an individual investment manager. By investing with a manager, you
are placing your trust in the firm's investment process, trading ability and a
host of other manager-specific attributes.
Investment risk refers to the portfolio investments. The stock selection
models used by AXA Rosenberg Investment Management LLC, the Funds' manager,
result in portfolios with particular style characteristics. The most notable
characteristic of the Barr Rosenberg Market Neutral Fund portfolio is the net
bias toward stocks with traditional value characteristics (lower
price-to-earnings or price-to-book ratios, for example) and away from high
trading activity stocks. These investment style biases have had a negative
impact on the Fund returns over the most recent quarters.
Market risk, which is related to investment risk, usually refers to the
relationship between a fund's portfolio and the market as a whole. The
traditional expression of that relationship is beta, which measures changes in a
fund's portfolio return in relation to changes in the return of a broad
portfolio of investments or the "market". A goal of the Barr Rosenberg Market
Neutral Fund is to build a portfolio which has a beta close to zero. This is not
to say that the portfolio isn't risky, but rather that the return variances
simply do not follow the same pattern of the "market" as a whole.
1
<PAGE> 2
A market neutral type fund is often viewed as an asset class of its own and
may be a compliment to bond, stock and real estate investing. Because market
neutral funds hold short positions, it is recommended that investors develop a
solid understanding of the risks inherent in shorting a stock. Many market
neutral managers have witnessed increased volatility in the daily value of their
portfolios over the last year. Market neutral does not mean risk neutral. Market
neutral investment strategies can lose a significant amount of principal.
During the past year, we were pleased to welcome Dwight M. Jaffee as a
Trustee to the Barr Rosenberg Series Trust. Dr. Jaffee is the Willis H. Booth
Professor of Banking and Finance at the Haas School of Business, University of
California, Berkeley.
You can obtain more information about the Funds by calling (800) 447-3332
and following the voice prompts or visiting our new web site www.brmf.com which
we expect to be operational by June 30, 1999.
We appreciate the confidence and trust you have demonstrated with your
investments in the Barr Rosenberg Mutual Funds.
Sincerely,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President & CEO
Barr Rosenberg Mutual Funds
For more complete information about the Barr Rosenberg Mutual Funds,
including management fees, expenses and other ongoing charges, please call
1-800-447-3332 for a prospectus. Please read it carefully before investing.
- ---------------
(1) Based on research studies done by AXA Rosenberg Investment Management LLC.
(2) Past performance is no guarantee of future results.
(3) Investment in shares of the Barr Rosenberg Market Neutral Fund is more
volatile and risky than some other forms of investments. Since the Fund has
both a long and a short portfolio, an investment in the Barr Rosenberg
Market Neutral Fund will involve risks associated with twice the number of
investment decisions made for a typical stock fund. These types of funds
typically have a high portfolio turnover that could increase transaction
costs and cause short-term capital gains to be realized. While it may be the
intent of the Manager to take long positions in stocks that outperform the
market and short positions in stocks that underperform the market, in
various market climates, there is no assurance that the Manager will be
successful. Small capital funds typically carry additional risks since
smaller companies generally have experienced a greater degree of volatility
than average.
2
<PAGE> 3
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
Small capitalization stocks fell sharply in the year ended March 31, 1999,
substantially lagging the strong rise in large capitalization stocks. For the
year ended March 31, 1999, the Russell 2000(1) fell 16.26% while the S&P 500(2)
rose 18.44%. The weakness in small capitalization stocks relative to the larger
capitalization stocks reached levels not seen since the 1930s. Within the small
cap sector, growth stocks surged tremendously (as opposed to value stocks)
beginning in the fall of 1998. For the year ended March 31, 1999, the Russell
2000 Growth Index(3) topped the Russell 2000 Value Index(4) by 11.52%.
More recently, the superior performance of small cap growth stocks relative
to small cap value stocks has been unprecedented. In the October 1, 1998,
through March 31, 1999, period, the Russell 2000 Growth Index outpaced the
Russell 2000 Value Index by 23.1%, the largest spread for any six-month period
since Russell began the index in 1979. Since the October 8, 1998, bottom of the
small cap market, the dominance of growth stocks is even more extreme. From
October 8, 1998, through March 31, 1999, the Russell 2000 Growth Index rose
49.1%, which was 38.6% above the Russell 2000 Value Index and almost 15
percentage points better than the rise in the S&P 500.
Within the small cap growth segment, the most actively traded stocks have
fared the best. In environments when actively traded growth stocks are leading
the market by such a wide margin, our modest value orientation (reflected in
lower earnings-to-price and book-to-price profiles than the Russell 2000) and
our tendency to hold less actively traded stocks negatively impacted the Fund's
performance relative to the Russell 2000. Historically, these most actively
traded growth stocks underperform the market because their earnings typically
fail to live up to the expectations embedded in their current prices.
PORTFOLIO REPORT
From a performance attribution perspective, much of the Fund's
underperformance relative to its benchmark for the year ended March 31, 1999,
was attributable to holding less actively traded stocks relative to the Russell
2000. Overall, the differences between the industry weightings of the Fund and
the Russell 2000 Index hurt the performance of the Fund. Modest overexposure to
the strong performing Service industry (3.12% above the Russell 2000 weight)
helped the Fund's performance relative to the Russell 2000 Index. On the
negative side, underexposure to the strong performing Telephone (3.01% below the
Russell 2000 weight), Real Estate Assets (2.18% below the Russell 2000 weight)
and Electric Utilities (1.07% below the Russell 2000 weight) industries hurt the
Fund's relative performance.
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 top-down 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 capital funds typically carry additional risks since smaller
companies have experienced a greater degree of volatility than average.
Past performance is no guarantee of future results.
- ---------------
(1) The Russell 2000 is an unmanaged index of approximately 2,000 small
capitalization companies with market capitalization up to $8.5 billion.
3
<PAGE> 4
(2) The S&P 500 is an unmanaged, broad based index of 500 widely held common
stocks.
(3) The Russell 2000 Growth Index measures the performance of the Russell 2000
index companies with higher price-to-book and higher forecasted growth
values.
(4) The Russell 2000 Value Index measures the performance of the Russell 2000
companies with lower price-to-book ratios and lower forecasted growth
values.
4
<PAGE> 5
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 98.7%
AIRCRAFT -- 0.0%
2,900 Advanced Technical Products,
Inc.*........................ $ 31,084
------------
AIRLINES -- 0.7%
69,000 Amtran, Inc.*.................. 1,311,000
29,100 Petroleum Helicopter, Inc. .... 385,575
57,300 Skywest, Inc. ................. 1,654,537
22,300 Tower Air, Inc.*............... 45,994
------------
3,397,106
------------
AUTOS -- 1.2%
25,600 Amcast Industrial Corp. ....... 412,800
85,300 Arvin Industries, Inc. ........ 2,873,543
3,200 Borg-Warner Automotive,
Inc. ........................ 153,000
8,899 Dura Automotive Systems,
Inc.*........................ 251,397
1,000 Durakon Industries, Inc.*...... 11,563
17,500 Hilite Industries, Inc. ....... 184,844
110,000 Standard Products Co. ......... 1,787,500
------------
5,674,647
------------
BANKING -- 10.2%
100 ABC Bancorp.................... 1,219
4,000 Acadiana Bancshares, Inc. ..... 73,000
36,235 Allied Capital Corp. .......... 665,818
26,600 Ambanc Holding Company,
Inc. ........................ 445,550
13,800 American Business Financial
Services, Inc.*.............. 169,050
8,200 Bancwest Corp. ................ 348,500
79,000 Bay View Capital Corp. ........ 1,491,125
14,300 BNC Corp., Inc.*............... 126,913
39,676 BOK Financial Corp.*........... 1,021,657
16,350 BSB Bancorp, Inc. ............. 398,276
12,800 BYL Bancorp.................... 163,200
1,200 California Independent
Bancorp...................... 24,000
1,000 Cameron Financial Corp. ....... 14,000
73,400 Carolina First Corp. .......... 1,614,800
14,400 Carver Bancorp, Inc. .......... 126,000
12,200 Cathay Bancorp, Inc. .......... 459,025
4,200 CB Bancshares, Inc. ........... 111,825
3,600 CCBT Bancorp, Inc. ............ 58,050
13,800 Central Bancorp, Inc. ......... 231,150
71,400 Citizens Banking Corp.
Michigan..................... 2,570,399
22,695 Civic Bancorp*................. 283,688
2,600 Columbia Bancorp............... 37,700
30,300 Commercial Bank of New York.... 393,900
18,500 Community Bank System, Inc. ... 440,531
14,600 Community Financial Corp. ..... 140,525
15,000 Community Financial Group,
Inc. ........................ 192,188
46,900 Corus Bankshares, Inc. ........ 1,506,663
2,000 CPB, Inc. ..................... 35,250
2,730 Elmira Savings Bank, FSB....... 62,790
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
1,000 FFLC Bancorp, Inc. ............ $ 17,000
17,200 FFY Financial Corp. ........... 316,050
200 Fidelity Bancorp, Inc. ........ 4,625
8,000 First Bancshares, Inc. ........ 100,000
17,400 First Charter Corp. ........... 330,600
56,400 First Citizens Bancshares,
Inc.,
Class A...................... 4,568,399
3,675 First Colonial Group, Inc. .... 84,525
3,600 First Commerce Bancshares,
Inc. ........................ 88,200
5,100 First Keystone Financial,
Inc. ........................ 71,719
900 First Merchants Banking........ 22,050
9,100 First Midwest Financial,
Inc. ........................ 134,794
12,000 First Oak Brook Bancshares..... 209,250
12,000 First Republic Bank*........... 289,500
5,600 First State Bancorporation..... 107,100
38,100 Flagstar Bancorp, Inc. ........ 1,009,650
22,400 FNB Rochester Corp. ........... 716,800
1,049 Foothill Independent Bancorp... 15,473
17,900 Franklin Bank, N.A. ........... 179,000
4,500 FSF Financial Corp. ........... 61,875
30,700 Fund American Enterprise
Holdings..................... 4,085,018
38,564 GreenPoint Financial Corp. .... 1,340,099
32,100 Hawthorne Financial Corp.*..... 481,500
24,300 HF Bancorp, Inc.*.............. 426,769
1,875 Independent Bankshares,
Inc. ........................ 19,688
5,600 ITLA Capital Corp.*............ 81,200
54,300 JSB Financial, Inc. ........... 2,721,787
3,900 Kankakee Bancorp, Inc. ........ 103,350
1,200 Lakeview Financial Corp. ...... 25,800
2,600 Letchworth Independent
Bancshares Corp. ............ 33,800
5,900 LINC Capital, Inc.*............ 44,988
8,333 Mahaska Investment Co. ........ 131,245
8,533 Massbank Corp. ................ 323,187
1,000 MBLA Financial Corp. .......... 18,500
5,516 Mid-America Bancorp............ 135,142
21,700 Mutual Savings Bank, FSB*...... 238,700
10,143 NBT Bancorp, Inc. ............. 211,735
81,000 New Century Financial
Corp.*(c).................... 961,875
1,000 New Hampshire Thrift
Bancshares, Inc. ............ 14,500
3,100 Newmil Bancorp, Inc. .......... 36,425
1,200 NMBT Corp. .................... 18,900
16,537 North County Bancorp*.......... 217,048
4,909 Northrim Bank of Alaska........ 57,681
25,500 Ocwen Financial Corp.*......... 224,719
10,400 Onyx Acceptance Corp.*......... 63,700
3,400 Pacific Bank N.A. ............. 71,400
13,000 PennFed Financial Services,
Inc. ........................ 208,000
</TABLE>
See accompanying notes to the financial statements.
5
<PAGE> 6
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
93,000 PFF Bancorp, Inc.*............. $ 1,627,499
9,009 Premier National Bancorp,
Inc. ........................ 135,135
5,300 Professional Bancorp, Inc. .... 94,075
2,690 PVF Capital Corp.*............. 33,961
33,200 Quaker City Bancorp, Inc.*..... 498,000
12,800 Redwood Empire Bancorp......... 316,800
88,000 Resource Bancshares Mortgage
Group, Inc. ................. 1,133,000
8,665 Royal Bancshares of
Pennsylvania, Class A........ 142,973
15,962 Seacoast Financial Services
Corp.*....................... 157,630
3,000 Skaneateles Bancorp, Inc. ..... 65,250
2,900 Southwest Bancorp.............. 66,881
18,200 Sterling Bancorp............... 356,038
26,000 Student Loan Corp. ............ 971,750
7,600 Suffolk Bancorp................ 205,200
38,300 T & W Financial Corp.*......... 320,763
900 The Trust Company of New
Jersey....................... 21,825
81,600 Ugly Duckling Corp.*........... 451,350
81,200 UMB Financial Corp. ........... 3,146,499
208,600 UST Corp. ..................... 4,556,605
3,000 Vermont Financial Services
Corp. ....................... 84,750
5,400 Wainwright Bank & Trust Co. ... 41,850
3,700 Westbank Corp. ................ 38,850
3,700 Western Ohio Financial
Corp. ....................... 82,788
16,400 WFS Financial, Inc.*(c)........ 113,775
------------
48,493,405
------------
BUILDING -- 1.8%
3,000 American Residential Services,
Inc.*........................ 16,125
44,900 AMREP Corp.*................... 230,113
26,700 Beazer Homes USA, Inc.*........ 560,700
2,500 C.H. Heist Corp.*.............. 15,938
44,600 Dominion Homes, Inc.*.......... 351,225
3,000 Hovnanian Enterprises, Inc.,
Class A*..................... 22,500
5,300 Instituform East, Inc.*........ 6,625
109,600 Jacobs Engineering Group,
Inc.*........................ 4,322,349
17,000 Liberty Homes, Inc., Class A... 165,750
1,700 M.D.C. Holdings, Inc. ......... 24,438
6,200 M/I Schottenstein Homes,
Inc. ........................ 110,050
18,500 Meadow Valley Corp.*(c)........ 74,000
14,198 MYR Group, Inc. ............... 165,939
31,500 Perini Corp.*.................. 137,813
28,600 Pulte Corp. ................... 595,237
10,000 Ryland Group, Inc. ............ 253,125
10,300 Saxton, Inc.*.................. 57,938
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING (CONTINUED)
51,300 Skyline Corp. ................. $ 1,423,574
5,900 Toll Brothers, Inc.*........... 106,938
7,600 Washington Homes, Inc.*........ 38,950
------------
8,679,327
------------
CHEMICALS -- 1.7%
15,700 American Vanguard Corp. ....... 76,538
59,900 Bairnco Corp. ................. 284,525
8,900 Detrex Corp.*.................. 56,181
250,100 Ferro Corp. ................... 6,189,975
26,400 Fuller (H. B.) Co. ............ 1,555,950
------------
8,163,169
------------
CONSTRUCTION MATERIALS -- 0.9%
1,300 Align-Rite International,
Inc.*........................ 15,031
23,800 Ameron International, Inc. .... 844,900
9,200 Centex Construction Products,
Inc. ........................ 320,275
7,100 Continental Materials Corp.*... 248,500
5,300 Donnelly Corp. ................ 69,563
80,900 Florida Rock Industries........ 2,760,712
100 United States Lime & Minerals,
Inc. ........................ 763
------------
4,259,744
------------
DEFENSE -- 0.8%
18,100 Allied Research Corp.*......... 127,831
62,000 Avondale Industries, Inc.*..... 1,829,000
62,200 Primex Technologies, Inc. ..... 1,290,650
60,400 Spacehab, Inc.*(c)............. 392,600
49,400 Todd Shipyards Corp.*.......... 197,600
------------
3,837,681
------------
DRUGS -- 2.6%
200 Agouron Pharmaceuticals,
Inc.*........................ 11,313
36,000 Aquila Biopharmaceuticals,
Inc.*........................ 74,250
9,300 Bentley Pharmaceuticals,
Inc.*........................ 14,531
71,600 Biosite Diagnostics, Inc.*..... 716,000
142,000 Cambrex Corp................... 3,141,750
74,700 Copley Pharmaceutical, Inc.*... 634,950
61,500 Diagnostic Products Corp....... 1,491,375
100 Gliatech, Inc.*................ 2,313
27,100 Medicis Pharmaceutical*........ 813,000
20,300 Medimmune, Inc.*............... 1,201,506
23,600 Millenium Pharmaceuticals,
Inc.*........................ 737,500
22,902 New Brunswick Scientific,
Inc.*........................ 106,637
20,500 PDK Labs, Inc.*................ 92,250
20,100 Quidel Corp.*.................. 40,200
149,200 Roberts Pharmaceutical
Corp.*....................... 3,095,900
29,500 Schein Pharmaceutical, Inc.*... 383,500
------------
12,556,975
------------
</TABLE>
See accompanying notes to the financial statements.
6
<PAGE> 7
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES -- 0.0%
3,200 Huffy Corp..................... $ 38,400
7,350 Thor Industries, Inc........... 166,294
------------
204,694
------------
ELECTRIC UTILITIES -- 2.0%
120,600 Avista Corp.................... 1,959,750
2,500 Bangor Hydro-Electric Co.*..... 31,719
20,600 Black Hills Corp............... 439,038
3,400 Central Hudson Gas............. 121,763
58,300 Central Vermont Public Service
Corp. ....................... 586,644
147,800 CMP Group, Inc................. 2,715,824
300 Green Mountain Power Corp...... 2,906
500 Maine Public Service Co........ 6,563
120,200 Public Service Company of New
Mexico....................... 2,043,399
54,700 TNP Enterprises, Inc........... 1,572,625
------------
9,480,231
------------
ELECTRONICS -- 11.2%
5,100 American Technical Ceramics
Corp.*....................... 29,325
41,000 AMX Corp.*..................... 379,250
29,400 Applied Signal Technology,
Inc.*........................ 183,750
12,000 Bacou USA, Inc.*............... 157,500
16,900 Bel Fuse, Inc., Class A*....... 692,900
16,900 Bel Fuse, Inc., Class B........ 523,900
20,625 Bogen Communications
International, Inc.*(c)...... 139,219
3,400 Cherry Corp., Class B*......... 42,075
9,200 Circuit Systems, Inc.*......... 21,275
16,800 Cobra Electronics Corp.*....... 63,000
1,900 Cognitronics Corp.*............ 16,150
8,700 Conmed Corp.*.................. 269,700
61,800 Cree Research, Inc.*(c)........ 2,900,737
72,700 CTS Corp....................... 3,594,105
91,300 Datascope Corp.*............... 2,465,099
16,400 Datron Systems, Inc.,
California*.................. 102,500
6,400 Detection Systems, Inc.*....... 51,200
6,500 Diodes, Inc.*.................. 31,688
11,300 DSP Technology, Inc.*.......... 83,338
4,000 Frequency Electronic, Inc...... 30,000
28,400 Haemonetics Corp.*............. 445,525
9,450 Harmon Industries, Inc......... 189,591
6,900 Instron Corp................... 109,538
49,000 International Rectifier
Corp.*....................... 343,000
82,800 InterVoice, Inc.*.............. 910,800
135,000 Invacare Corp.................. 3,282,187
3,200 K-Tron International, Inc.*.... 57,600
35,100 Keithley Instruments, Inc...... 228,150
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
14,600 Kewaunee Scientific Corp....... $ 141,438
60,400 Maxxim Medical, Inc.*.......... 1,140,049
6,500 Medstone International,
Inc.*........................ 44,688
9,300 Merrimac Industries, Inc.*..... 46,500
22,900 Mine Safety Appliances Co...... 1,328,199
7,500 Minntech Corp.................. 94,688
15,600 Moore Products Co.............. 323,700
51,300 Mosaix, Inc.*.................. 429,638
4,100 Napco Security Systems,
Inc.*........................ 10,763
3,300 Perclose, Inc.*................ 102,300
19,600 PictureTel Corp.*.............. 137,200
16,100 Plantronics, Inc.*............. 1,007,256
136,200 PMC-Sierra, Inc.*.............. 9,695,737
55,200 Porta Systems Corp.*........... 117,300
10,000 Programming & Systems, Inc.*
(a).......................... 0
3,200 Qualmark Corp.*................ 15,200
18,600 Relm Wireless Corp.*........... 33,713
31,100 Salient 3 Communications,
Inc.*........................ 198,263
1,200 SDL, Inc.*..................... 108,900
26,500 SonoSite, Inc.*................ 364,375
64,100 Spacelabs Medical, Inc.*....... 1,077,680
5,600 Span-America Medical Systems,
Inc. ........................ 23,800
24,200 Sparton Corp.*................. 139,150
56,700 Stoneridge, Inc.*.............. 786,713
1,400 Tech-Sym Corp.*................ 29,138
12,000 Teltrend, Inc.*................ 189,000
1,300 ThermoSpectra Corp.*........... 13,000
18,100 Transwitch Corp.*.............. 819,025
12,250 Trio Tech International*....... 36,750
3,800 Triquint Semiconductor,
Inc.*........................ 70,300
13,000 Vicon Industries, Inc.*........ 91,000
19,600 Video Display Corp.*........... 93,100
163,000 VISX, Inc.*.................... 17,532,687
------------
53,584,352
------------
FINANCIAL INVESTMENTS -- 0.5%
2,600 Amplicon, Inc.................. 26,975
13,100 Cooper Life Sciences*.......... 458,499
6,400 Echelon International Corp.*... 125,600
12,900 Giant Group, Ltd.*............. 69,338
24,800 HPSC, Inc.*.................... 223,200
4,700 IHOP Corp.*.................... 184,475
25,300 International Aircraft
Investors*................... 186,588
19,300 IPI, Inc.*..................... 65,138
10,400 Penn Virginia Corp............. 182,650
36,000 PS Group Holdings, Inc......... 292,499
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE> 8
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL INVESTMENTS
(CONTINUED)
19,300 REFAC Technology Development
Corp.*....................... $ 108,563
7,800 Rental Services Corp.*......... 136,500
50,100 Sunrise International Leasing
Corp.*....................... 169,088
------------
2,229,113
------------
FOOD -- 0.6%
3,400 Andersons, Inc................. 41,225
3,900 Chiquita Brands International,
Inc.......................... 39,731
38,300 Chock Full o' Nuts Corp.*...... 210,650
3,000 Farmer Brothers Co............. 594,000
35,200 Fresh Foods, Inc.*............. 193,600
10,700 Green Mountain Coffee, Inc.*... 68,213
38,800 Imperial Sugar Co.............. 235,225
15,500 M & F Worldwide Corp.*......... 108,500
1,800 Omega Protein Corp.*........... 11,475
24,600 Penford Corp................... 365,925
26,900 Scheid Vinyards, Inc., Class
A*........................... 141,225
4,300 Scope Industries............... 283,800
1,900 Seaboard Corp.................. 566,200
7,000 United Foods, Inc., Class B*... 19,250
------------
2,879,019
------------
HEALTH -- 1.5%
49,400 Diagnostic Health Services,
Inc.*........................ 60,206
34,100 Hanger Orthopedic Group,
Inc.*........................ 460,350
400 Hooper Holmes, Inc............. 6,250
2,900 Integra, Inc.*................. 3,988
44,600 Laser Vision Centers, Inc.*.... 1,700,374
15,706 National Home Health Care
Corp.*....................... 68,714
11,700 Option Care, Inc.*............. 21,938
44,500 PhyMatrix Corp.*............... 76,484
7,900 PMR Corp.*..................... 36,538
181,950 Quest Diagnostics, Inc.*....... 4,048,387
19,200 Staff Builders, Inc., Class
A*........................... 7,296
3,700 Sun Healthcare Group,
Inc.*(c)..................... 3,700
28,000 Uniholding Corp.*.............. 84,000
339,600 Vencor, Inc.*.................. 445,725
------------
7,023,950
------------
HOUSEHOLD -- 2.8%
77,350 ACX Technologies, Inc.*........ 1,015,219
20,400 American Biltrite, Inc......... 382,500
6,700 Andersen Group, Inc.*.......... 20,938
52,000 Bassett Furniture Industries,
Inc.......................... 1,150,500
6,200 Carter-Wallace, Inc............ 112,375
43,400 Catalina Lighting, Inc.*....... 119,350
3,200 Cybex International, Inc.*..... 11,600
30,500 Daktronics, Inc.*.............. 320,250
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
2,100 Decora Industries, Inc.*....... $ 13,650
16,600 Escalade, Inc.................. 289,463
29,300 Genlyte Group, Inc.*........... 468,800
19,700 Gundle/SLT Environmental,
Inc.*........................ 54,175
44,700 Home Products International,
Inc.*........................ 407,888
14,800 Interactive Flight
Technologies, Inc.*.......... 29,600
68,900 Ivex Packaging Corp.*.......... 1,046,419
196,200 Kimball International, Inc.,
Class B...................... 2,918,474
1,200 La-Z-Boy, Inc. ................ 22,800
6,100 Mikasa, Inc. .................. 44,988
1,600 Myers Industries, Inc. ........ 33,800
39,000 O'Sullivan Corp. .............. 326,625
10,300 Patrick Industries, Inc. ...... 139,050
7,200 Pubco Corp.*................... 62,100
25,900 Reunion Industries, Inc.*...... 126,263
64,000 Russ Berrie & Co., Inc. ....... 1,671,999
48,100 Shelby Williams Industries,
Inc. ........................ 459,956
15,200 SL Industries, Inc. ........... 178,600
12,600 Summa Industries, Inc.*........ 118,125
9,100 TAB Products Co................ 43,225
8,550 Thomas Industries, Inc. ....... 160,313
11,800 Trans-Lux Corp. ............... 101,775
9,800 UFP Technologies, Inc.*........ 35,525
3,948 Virco Manufacturing Corp. ..... 57,740
45,700 Winsloew Furniture, Inc.*...... 1,362,430
------------
13,306,515
------------
INSURANCE -- 3.3%
44,200 Acceptance Insurance Companies,
Inc.*........................ 596,700
126,700 ARM Financial Group, Inc. ..... 1,892,581
2,500 Express Scripts, Inc., Class
A*........................... 214,844
26,583 Fidelity National Financial,
Inc. ........................ 398,745
4,100 Financial Industries Corp.*.... 49,200
184,700 First American Financial
Corp. ....................... 2,920,568
48,600 Healthplan Services Corp. ..... 343,238
18,800 Highlands Insurance Group*..... 198,575
53,000 InterContinental Life Corp.*... 440,563
3,000 Interstate National Dealer
Services*.................... 22,875
21,400 Kansas City Life Insurance
Co. ......................... 1,744,100
33,000 LandAmerica Financial Group,
Inc. ........................ 957,000
7,500 Liberty Financial Companies,
Inc. ........................ 176,719
7,800 Midland Co. ................... 188,175
13,100 National Western Life
Insurance, Class A*.......... 1,385,325
18,400 National Wireless Holdings,
Inc.*........................ 358,800
6,000 Nymagic, Inc. ................. 78,000
3,700 PMA Capital Corp. ............. 74,000
46,100 Seibels Bruce Group, Inc.*..... 144,063
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE> 9
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
32,700 Standard Management Corp.*..... $ 204,375
38,800 Stewart Information Services
Corp. ....................... 1,302,225
120,200 TIG Holdings, Inc. ............ 1,960,762
800 Zenith National Insurance
Corp. ....................... 19,450
------------
15,670,883
------------
LIQUOR & TOBACCO -- 0.5%
44,700 Coors (Adolph) Co., Class B.... 2,413,800
10,500 Todhunter International,
Inc.*........................ 77,438
------------
2,491,238
------------
MACHINERY -- 6.4%
13,000 Acme Electric Corp.*........... 52,000
14,200 Amistar Corp.*................. 30,175
57,300 Ampco-Pittsburgh Corp. ........ 565,838
93,500 Astec Industries, Inc.*........ 2,886,812
600 Bridgeport Machines, Inc.*..... 3,713
47,298 Brown & Sharpe Manufacturing
Co.*......................... 233,534
700 BTU International, Inc.*....... 2,056
15,800 Butler Manufacturing Co. ...... 370,313
5,500 Chicago Rivet & Machine Co. ... 126,500
28,200 Dayton Superior Corp.*......... 489,975
14,500 Edison Control Corp.*.......... 126,875
76,800 ESCO Electronics Corp.*........ 691,200
5,440 Essef Corp.*................... 82,960
23,000 Fansteel, Inc.*................ 117,875
16,050 Farr Co.*...................... 136,425
25,900 Farrel Corp. .................. 66,369
75,900 Fedders Corp. ................. 384,244
5,600 Federal Screw Works............ 291,200
12,700 Gehl Co.*...................... 187,325
12,200 Gencor Industries, Inc. ....... 77,013
18,600 Genus, Inc.*................... 30,806
59,000 Gleason Corp. ................. 999,313
9,600 Gorman-Rupp Co. ............... 150,000
10,300 Graham Corp.*.................. 82,400
90,100 Greenbrier Companies, Inc. .... 855,950
105,500 Griffon Corp.*................. 725,313
26,000 Hardinge, Inc. ................ 367,250
8,500 Haskel International, Inc.,
Class A...................... 105,188
3,100 Krug International Corp.*...... 4,650
26,600 Laser Power Corp.*............. 24,938
281,000 Lincoln Electric Holdings,
Inc. ........................ 5,233,624
16,700 Lufkin Industries, Inc. ....... 276,594
22,500 Maxco, Inc.*................... 130,781
8,400 McClain Industries, Inc.*...... 42,000
6,700 Mestek, Inc.*.................. 127,300
10,200 MFRI, Inc.*.................... 31,875
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
22,300 Monarch Machine Tool Co. ...... $ 153,313
41,000 MotivePower Industries,
Inc.*........................ 1,030,124
5,300 Mueller (Paul) Co. ............ 176,888
86,700 NCI Building Systems, Inc.*.... 2,037,449
5,550 Oilgear Co. ................... 43,013
4,000 P & F Industries, Inc.*........ 38,250
9,700 Peerless Manufacturing Corp.... 90,938
34,800 Pitt-Des Moines, Inc. ......... 791,700
8,100 Powell Industries, Inc.*....... 71,381
92,400 Premark International, Inc. ... 3,043,424
7,400 Quipp, Inc.*................... 156,325
16,300 Raytech Corp.*................. 45,844
10,000 Selas Corporation of America... 54,375
5,800 Shiloh Industries, Inc.*....... 68,875
8,100 Starrett (L.S.) Co., Class A... 218,700
3,400 Tecumseh Products Co., Class
B............................ 154,275
11,800 Teleflex, Inc. ................ 401,938
19,500 Tennant Co. ................... 667,875
8,800 Transtechnology Corp. ......... 145,200
17,500 Twin Disc, Inc. ............... 336,875
215,100 UNOVA, Inc.*................... 2,836,630
84,700 Varlen Corp. .................. 1,863,399
------------
30,537,176
------------
MEDIA -- 3.8%
18,400 4 Kids Entertainment, Inc.*.... 526,700
2,775 ADDvantage Media Group,
Inc.*........................ 2,775
2,600 American Banknote Corp.*....... 1,056
202,200 Bowne & Co., Inc. ............. 2,363,212
18,050 Courier Corp. ................. 374,538
61,400 Four Media Co.*................ 368,400
62,500 Franklin Covey Co.*............ 562,500
5,800 Grey Advertising............... 2,012,600
55,100 Media General, Inc., Class A... 2,562,149
82,500 Merrill Corp. ................. 1,103,438
30,500 Metatec Corp.*................. 129,625
22,200 Outlook Group Corp.*........... 55,500
2,400 Spelling Entertainment Group,
Inc.*........................ 21,000
72,600 Standard Register Co. ......... 2,155,313
49,300 Standex International Corp. ... 1,078,438
66,800 TMP Worldwide, Inc.*........... 4,329,474
8,600 Todd-AO Corp. ................. 67,725
21,300 Trimark Holdings, Inc.*........ 153,094
9,100 Wave Technologies
International, Inc.*......... 43,794
------------
17,911,331
------------
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE> 10
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS -- 1.8%
7,000 Atchison Casting Corp.*........ $ 56,438
57,400 Cleveland-Cliffs, Inc. ........ 1,955,187
25,100 Curtiss-Wright Corp. .......... 779,669
8,800 Dynamic Materials Corp.*....... 34,650
5,000 Foster (L.B.) Co.*............. 23,125
6,800 General Housewares Corp. ...... 70,550
3,100 Insteel Industries, Inc. ...... 17,438
24,300 Lindberg Corp. ................ 214,144
14,200 Roanoke Electric Steel
Corp. ....................... 157,975
7,600 Steel Technologies, Inc. ...... 59,850
127,850 Stillwater Mining Co.*......... 3,372,043
2,100 Tremont Corp. ................. 37,013
159,600 Walter Industries, Inc.*....... 1,795,499
18,900 Webco Industries, Inc.*........ 85,050
------------
8,658,631
------------
MISCELLANEOUS FINANCIAL -- 1.0%
16,900 Atalanta Sosnoff Capital
Corp. ....................... 114,075
35,000 EVEREN Capital Corp. .......... 684,687
1,500 Interstate/Johnson Lane,
Inc. ........................ 46,969
31,500 John Nuveen Co., Class A....... 1,319,062
16,300 JWGenesis Financial Corp.*..... 167,075
31,900 Maxcor Financial Group,
Inc.*........................ 39,875
4,500 National Discount Brokers*..... 126,563
2,194 Omega Worldwide, Inc.*......... 8,228
7,300 Phoenix Investment Partners,
Ltd. ........................ 62,963
1,500 Pilgrim America Capital
Corp.*....................... 28,500
50,289 Southwest Securities Group,
Inc. ........................ 1,420,663
21,010 Stifel Financial Corp. ........ 189,090
13,400 Value Line, Inc. .............. 463,138
------------
4,670,888
------------
OFFICE MACHINERY -- 1.8%
41,900 Asante Technologies, Inc.*..... 39,281
30,600 Autologic Information
International, Inc.*......... 147,263
103,300 Baldwin Technology Company,
Inc., Class A*............... 296,988
33,200 Boundless Corp.*............... 145,250
21,340 CSP, Inc.*..................... 168,053
31,400 Dataram Corp.*................. 235,500
30,750 Equinox Systems, Inc.*......... 288,281
36,900 General Binding Corp. ......... 957,094
116,100 Gerber Scientific, Inc. ....... 2,343,768
25,925 Gradco Systems, Inc.*.......... 48,609
102,500 Imation Corp.*................. 1,691,249
12,700 Input Software, Inc.*.......... 64,294
32,800 Interphase Corp.*.............. 205,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE MACHINERY (CONTINUED)
10,200 Key Tronic Corp.*.............. $ 33,150
4,800 Printronix, Inc.*.............. 53,400
32,350 Rainbow Technologies, Inc.*.... 323,500
13,000 SBE, Inc.*..................... 60,531
24,200 Videonics, Inc.*............... 19,663
56,600 Xircom, Inc.*.................. 1,422,075
------------
8,542,949
------------
OIL -- 0.3%
59,900 American Resources Offshore,
Inc.*........................ 22,463
11,200 Equity Oil Co.*................ 10,500
8,617 Greka Energy Corp.*............ 58,163
35,400 Holly Corp. ................... 473,474
38,800 Inland Resources, Inc.*........ 87,300
27,100 Maynard Oil Co.*............... 233,738
139,600 Panaco, Inc.*.................. 130,875
26,700 PetroCorp, Inc.*............... 133,500
13,685 Remington Oil & Gas Corp.*..... 39,344
78,700 Tipperary Corp.*............... 63,944
------------
1,253,301
------------
OIL DISTRIBUTION -- 0.2%
16,800 Castle Energy Corp. ........... 268,800
4,400 Huntway Refining Co.*.......... 6,600
63,300 Tesoro Petroleum Corp.*........ 696,300
------------
971,700
------------
OIL SERVICES -- 0.5%
45,900 Oceaneering International,
Inc.*........................ 694,238
11,100 Petroleum Development Corp.*... 40,238
107,200 Seitel, Inc.*.................. 1,494,099
------------
2,228,575
------------
OTHER UTILITIES -- 1.7%
8,600 American States Water
Company...................... 208,550
1,800 California Water Service
Group........................ 43,425
50,000 Clean Harbors, Inc.*........... 84,375
1,400 Connecticut Water Service,
Inc. ........................ 33,600
2,700 Dominguez Services Corp. ...... 79,650
82,800 Eastern Enterprises............ 3,011,850
22,600 GZA GeoEnvironmental
Technologies, Inc.*.......... 101,700
15,600 Harding Lawson Associates
Group*....................... 109,200
6,600 Providence Energy Corp. ....... 121,275
800 Roanoke Gas Co. ............... 15,600
51,700 Weston (Roy F.), Inc.*......... 116,325
5,500 Scherer Healthcare, Inc.*...... 19,250
3,700 SJW Corp. ..................... 239,575
</TABLE>
See accompanying notes to the financial statements.
10
<PAGE> 11
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OTHER UTILITIES (CONTINUED)
124,800 Southwest Gas Corp. ........... $ 3,431,999
4,331 Southwest Water Co. ........... 60,638
44,100 TRC Companies, Inc.*........... 206,719
------------
7,883,731
------------
PAPER -- 1.5%
8,600 American Pad & Paper Co.*...... 12,631
35,200 American Woodmark Corp. ....... 1,113,200
10,400 Badger Paper Mills, Inc.*...... 74,425
15,300 Baltek Corp.*.................. 137,700
6,800 Carmel Container Systems,
Ltd.*........................ 38,250
57,100 Fibermark, Inc.*............... 674,494
3,400 Holopak Technologies, Inc.*.... 8,500
209,000 Rock-Tenn Co., Class A......... 3,213,375
12,100 TJ International, Inc. ........ 291,913
89,000 Universal Forest Products,
Inc. ........................ 1,824,500
------------
7,388,988
------------
REAL ESTATE ASSETS -- 4.0%
14,500 Abrams Industries, Inc. ....... 65,250
500 Aegis Realty, Inc. ............ 4,969
500 Amli Residential Properties.... 10,313
8,735 Apartment Investment &
Management Co. .............. 316,629
20,700 Black Hawk Gaming &
Development*................. 129,375
87,800 Bluegreen Corp.*............... 428,025
46,300 Bridgestreet Accommodations,
Inc.*........................ 162,050
101,200 Castle & Cooke, Inc.*.......... 1,353,550
46,900 Commercial Assets, Inc. ....... 231,569
8,099 Cornerstone Realty Income
Trust........................ 86,052
13,000 DeWolfe Companies, Inc. ....... 91,000
80,200 Excel Legacy Corp.*............ 275,688
78,900 Forest City Enterprises, Inc.,
Class A...................... 1,908,394
1,400 Franklin Select Realty Trust... 10,500
19,800 G&L Realty Corp. .............. 242,550
16,600 ILX Resorts, Inc.*............. 26,975
125,600 LNR Property Corp. ............ 2,480,599
14,400 Mays (J.W.), Inc.*............. 100,800
2,598 New Mexico & Arizona Land
Co.*......................... 18,836
173,040 New Plan Excel Realty Trust.... 3,320,204
35,300 Omega Healthcare Investors,
Inc. ........................ 809,694
49,400 Pacific Gulf Properties,
Inc. ........................ 889,200
57,500 Pan Pacific Retail Properties,
Inc. ........................ 1,020,625
63,700 Price Enterprises, Inc. ....... 354,331
10,000 Prime Group Realty Trust....... 132,500
29,920 ProLogis Trust................. 613,360
31,300 Regency Realty Corp. .......... 586,875
3,400 Resurgence Properties, Inc.
(a).......................... 0
28,500 Silverleaf Resorts, Inc.*...... 228,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
8,400 Summit Properties, Inc. ....... $ 140,175
12,400 United Capital Corp.*.......... 198,400
169,900 Westfield America, Inc. ....... 2,962,630
1,957 Wilshire Oil Company of
Texas*....................... 7,706
------------
19,206,824
------------
RETAIL/WHOLESALE -- 9.9%
2,250 Aceto Corp. ................... 26,578
49,050 Advanced Marketing Services.... 637,650
100 Allou Health & Beauty, Class
A*........................... 1,069
56,400 American Eagle Outfitters,
Inc.*(c)..................... 4,043,174
92,000 Ames Department Stores,
Inc.*........................ 3,415,499
38,100 Andrx Corp.*................... 3,471,862
21,600 Arden Group, Inc., Class A*.... 891,000
18,900 Audiovox Corp., Class A*....... 125,213
8,700 Big Dog Holdings, Inc. ........ 50,025
456,200 BJ's Wholesale Club, Inc.*..... 12,060,787
23,900 Braun's Fashions Corp.*........ 191,200
1,050 Buckle, Inc.*.................. 23,625
1,100 Cache, Inc.*................... 6,944
63,200 Cameron Ashley Building
Products*.................... 576,700
20,800 Capital Associates, Inc.*...... 79,300
34,500 Catherines Stores Corp.*....... 241,500
50,700 CHS Electronics, Inc.*(c)...... 161,606
17,500 Cole National Corp., Class
A*........................... 319,375
500 DEB Shops, Inc. ............... 5,625
64,100 Drug Emporium, Inc.*........... 308,481
1,200 Duane Reade, Inc.*............. 33,450
18,300 Enesco Group, Inc. ............ 330,544
2,000 Envirosource, Inc.*............ 5,000
51,700 EZCORP, Inc., Class A.......... 355,438
9,130 Factory 2-U Stores, Inc.*...... 106,136
37,800 Factory Card Outlet Corp.*..... 40,163
7,600 Foodarama Supermarkets,
Inc.*........................ 216,600
41,400 Friedman's, Inc., Class A...... 372,600
3,700 Haverty Furniture.............. 93,888
9,900 Hirsh International Corp.,
Class A*..................... 22,275
118,500 Hughes Supply, Inc. ........... 2,695,874
21,400 IIC Industries, Inc.*.......... 214,000
44,600 Industrial Distribution Group,
Inc.*........................ 234,150
35,600 Katy Industries, Inc. ......... 462,800
48,700 Loehmann's, Inc.*.............. 57,831
13,800 Marsh Supermarkets, Inc., Class
A............................ 156,975
24,000 Maxim Group, Inc.*............. 204,000
2,500 McRae Industries, Class A...... 13,750
138,900 Metal Management, Inc.*........ 221,372
114,100 MicroAge, Inc.*................ 613,288
11,800 Moore Medical Corp.*........... 123,900
5,700 Noland Co. .................... 119,700
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE> 12
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
5,200 Pamida Holdings Corp.*......... $ 16,250
17,100 Perfumania, Inc.*(c)........... 56,644
66,080 Phar-Mor, Inc.*................ 388,220
7,200 PolyMedica Corp.*.............. 54,000
1,000 Programmer's Paradise, Inc.*... 12,125
25,000 Questron Technology,
Inc.*(c)..................... 98,438
600 Rag Shops, Inc.*............... 1,350
45,400 Recycling Industries,
Inc.*(c)..................... 8,172
11,748 Reeds Jewelers, Inc.*.......... 30,839
8,800 Riverside Group, Inc.*......... 18,700
78,400 Ruddick Corp. ................. 1,528,800
63,000 Savoir Technology Group,
Inc.*........................ 543,375
5,850 Schultz Sav-O Stores, Inc. .... 95,794
14,100 Seaway Food Town, Inc. ........ 204,450
38,000 SED International Holdings,
Inc.*........................ 109,250
13,800 Shoe Carnival, Inc.*........... 172,500
26,600 Software Spectrum, Inc.*(c).... 362,425
102,900 Sonic Automotive, Inc.*........ 1,594,950
7,300 Sound Advice, Inc.*............ 18,706
17,000 Speizman Industries, Inc.*..... 63,750
27,200 Sport Chalet, Inc.*............ 153,000
29,000 Syms Corp.*.................... 215,688
19,600 Syncor International Corp.*.... 546,350
15,900 TCC Industries, Inc.*.......... 1,034
64,400 Today's Man, Inc.*............. 84,525
52,400 United Retail Group, Inc.*..... 602,600
11,000 Value City Department Stores,
Inc.*........................ 107,250
20,200 Village Supermarket, Inc.,
Class A*..................... 285,325
6,000 Western Beef, Inc.*............ 39,375
195,700 Zale Corp.*.................... 6,690,493
------------
47,435,325
------------
SERVICES -- 16.1%
45,000 Abacus Direct Corp.*........... 3,689,999
301,400 AC Nielsen Corp.*.............. 8,175,474
49,800 Activision, Inc.*.............. 616,275
14,000 Adept Technology, Inc.*........ 92,313
10,100 Analysis & Technology, Inc.*... 245,556
52,500 Angelica Corp. ................ 735,000
38,000 Applied Analytical Industries,
Inc.*........................ 418,000
74,100 Ardent Software, Inc.*......... 1,190,231
23,800 ASA International, Ltd.*....... 59,500
126,100 AXENT Technologies, Inc.*...... 3,034,281
33,000 Baker (Michael) Corp.*......... 239,250
15,700 Berlitz International, Inc.*... 350,306
95,000 BroadVision, Inc.*............. 5,676,249
38,400 Castle Dental Centers, Inc.*... 256,800
63,000 CDI Corp.*..................... 1,515,938
33,100 CFI Proservices, Inc.*......... 401,338
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
28,300 Chemed Corp. .................. $ 728,725
56,300 Chrysalis International
Corp.*....................... 33,428
4,400 CNET, Inc.*.................... 405,350
25,400 Corrpro Companies, Inc.*....... 288,925
34,200 CPI Corp. ..................... 765,225
200 Craig Corp.*................... 1,513
17,900 Dames & Moore Group............ 200,256
33,800 Data Broadcasting Corp.*....... 468,975
10,100 Dataware Technologies, Inc.*... 25,250
28,700 Duff & Phelps Credit Rating
Co. ......................... 1,503,163
49,000 Emcon, Inc.*................... 159,250
22,200 Esquire Communications,
Ltd.*........................ 131,813
28,900 Expert Software, Inc.*......... 59,606
35,600 Exponent, Inc.*................ 200,250
7,350 FDP Corp. ..................... 117,600
12,500 Fourth Shift Corp.*............ 67,188
5,000 FRM Nexus, Inc.*............... 6,875
3,500 General Automation, Inc.*...... 1,859
35,015 Group 1 Software, Inc.*........ 297,628
31,200 GT Interactive Software
Corp.*....................... 146,250
450 Healthcare Services Group,
Inc.*........................ 4,275
7,400 ICT Group, Inc.*............... 21,275
45,400 Innovative Valve Tech, Inc.*... 19,863
21,200 INTERLINQ Software Corp.*...... 162,975
122,900 Kelly Services, Inc., Class
A............................ 3,410,475
21,500 Made2Manage Systems, Inc.*..... 188,125
5,600 Mapinfo Corp.*................. 78,750
19,600 Marlton Technologies, Inc.*.... 96,775
37,100 Mechanical Dynamics, Inc.*..... 231,875
332,400 Mentor Graphics Corp.*......... 4,487,399
69,960 Merant plc -- ADR.............. 682,110
175,000 Mercury Interactive Corp.*..... 6,234,374
48,100 Mindspring Enterprises,
Inc.*........................ 4,139,605
188,900 Morrison Knudsen Corp.*........ 1,877,194
121,100 National Computer Systems,
Inc. ........................ 2,966,950
9,800 National Information Group..... 94,325
39,500 National Technical Systems,
Inc. ........................ 232,063
22,400 Norstan, Inc.*................. 207,200
106,300 Olsten Corp. .................. 657,731
28,600 Opinion Research Corp.*........ 103,675
2,200 ORCAD, Inc.*................... 18,425
12,000 OutSource International,
Inc.*........................ 39,000
77,900 Personnel Group of America,
Inc.*........................ 559,906
27,400 Policy Management Systems
Corp.*....................... 839,125
40,200 Premier Research Worldwide,
Ltd.*........................ 366,825
59,800 Progress Software Corp.*....... 2,040,675
39,400 Project Software & Development,
Inc.*........................ 965,300
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE> 13
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
123,224 ProMedCo Management Co.*....... $ 569,911
8,400 Prophet 21, Inc.*.............. 90,300
35,400 Quality Systems, Inc.*......... 132,750
13,300 RealNetworks, Inc.*............ 1,625,094
19,500 Simione Central Holdings,
Inc.*........................ 34,125
22,433 Stone & Webster, Inc. ......... 513,155
20,000 Sykes Enterprises, Inc.*....... 646,250
210,800 Symantec Corp.*................ 3,570,425
39,900 Symix Systems, Inc.*........... 608,475
8,400 TechForce Corp.*............... 47,250
14,500 Template Software, Inc.*....... 63,438
6,900 THQ, Inc.*..................... 140,588
44,100 TRM Corp.*..................... 311,456
41,000 UniFirst Corp. ................ 866,125
17,500 URS Corp.*..................... 316,094
68,700 USWeb Corp.*................... 2,833,875
66,400 Vision Twenty-One, Inc.*....... 249,000
22,200 Visual Networks, Inc.*......... 829,725
65,500 Walker Interactive Systems*.... 278,375
35,500 Wall Data, Inc.*............... 510,313
3,400 Westaff, Inc.*................. 17,638
------------
77,286,271
------------
SOAPS & COSMETICS -- 0.6%
65,575 Block Drug Company, Inc., Class
A............................ 2,688,575
39,200 Cascade International,
Inc.*(a)(c).................. 0
6,550 Del Laboratories, Inc. ........ 116,263
11,500 Jean Philippe Fragrances,
Inc.*........................ 71,875
2,100 Scott's Liquid Gold, Inc.*..... 2,756
------------
2,879,469
------------
TELEPHONE -- 0.7%
30,200 Atlantic Tele-Network, Inc.*... 271,800
25,800 Conestoga Enterprises, Inc. ... 767,550
9,200 D&E Communication, Inc. ....... 169,050
12,900 Hector Communications
Corp.*(c).................... 104,813
3,700 Hickory Tech Corp. ............ 41,625
2,200 Incomnet, Inc.*................ 2,475
2,200 Lynch Corp.*................... 158,400
161,000 Price Communications Corp.*.... 1,791,124
10,300 Teletouch Communications,
Inc.*........................ 19,313
------------
3,326,150
------------
TEXTILES -- 2.3%
13,200 Alba-Waldensian, Inc. ......... 201,300
116,800 Brown Group, Inc. ............. 1,540,300
16,000 Concord Fabrics, Inc., Class
A*........................... 66,000
12,875 Decorator Industries, Inc. .... 77,250
33,800 Dixie Group, Inc. ............. 240,825
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
3,500 Dyersburg Corp. ............... $ 5,469
2,600 Garan, Inc. ................... 64,025
10,000 Guilford Mills, Inc. .......... 87,500
48,200 Haggar Corp. .................. 488,025
5,000 Hallwood Group, Inc.*.......... 91,250
1,800 Hampshire Group, Ltd.*......... 14,400
11,430 Hampton Industries*............ 51,435
600 Jaclyn, Inc.*.................. 1,425
42,700 Jos A Bank Clothiers, Inc.*.... 261,538
71,900 Kellwood Co. .................. 1,586,294
11,800 Oxford Industries, Inc. ....... 287,625
100,700 Russell Corp. ................. 2,026,588
2,000 Saucony, Inc., Class A*........ 17,000
30,700 Supreme International Corp.*... 299,325
80,800 Tarrant Apparel Group*......... 3,393,599
------------
10,801,173
------------
TRANSPORTATION -- 1.6%
9,300 B+H Ocean Carriers, Ltd.*...... 18,019
20,800 Boyd Brothers Transportation,
Inc.*........................ 169,000
142,500 Consolidated Freightways*...... 1,674,375
102,800 Fritz Companies, Inc.*......... 706,750
58,200 Landstar System, Inc.*......... 1,927,874
6,050 Marten Transport, Ltd.*........ 83,188
3,900 Motor Cargo Industries,
Inc.*........................ 23,400
5,400 Old Dominion Freight Line,
Inc.*........................ 61,425
1,400 Providence & Worcester Railroad
Co. ......................... 15,575
2,100 Railtex, Inc.*................. 23,888
12,300 USFreightways Corp. ........... 404,363
133,900 Yellow Corp.*.................. 2,326,512
------------
7,434,369
------------
TRAVEL/ENTERTAINMENT -- 2.2%
19,900 Ark Restaurants Corp.*......... 201,488
21,000 Back Bay Restaurant Group*..... 212,625
29,300 Bob Evans Farms, Inc. ......... 586,000
21,300 Casa Ole' Restaurants, Inc.*... 82,538
2,100 DenAmerica Corp.*.............. 2,100
143,300 Dollar Thrifty Automotive
Group, Inc.*................. 2,471,924
17,100 Friendly Ice Cream Corp.*...... 104,738
3,400 Frisch's Restaurants, Inc. .... 32,725
20,600 Garden Fresh Restaurant
Corp.*....................... 293,550
74,400 Hospitality Worldwide Services,
Inc.*........................ 186,000
4,600 Inland Entertainment Corp.*.... 11,500
85,800 Luby's, Inc. .................. 1,447,874
1,300 Max & Erma's Restaurant,
Inc.*........................ 8,938
29,100 Nathan's Famous, Inc.*......... 101,850
</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) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
6,400 NPC International, Inc.*....... $ 100,000
36,800 Piccadilly Cafeterias, Inc. ... 391,000
5,000 PLM International, Inc.*....... 26,563
13,400 Quintel Communications,
Inc.*........................ 11,725
21,600 Reading Entertainment, Inc.*... 170,100
15,300 Roadhouse Grill, Inc.*......... 91,800
41,200 Rock Bottom Restaurants,
Inc.*........................ 352,775
266,100 Ryan's Family Steak Houses,
Inc.*........................ 3,209,830
1,200 Scandinavia Company, Inc.*..... 5,700
10,800 Sonesta International Hotels
Corp., Class A............... 108,000
1,000 Supertel Hospitality, Inc.*.... 9,750
100 Uno Restaurant Corp.*.......... 700
11,700 VICORP Restaurants, Inc.*...... 187,200
170,000 Video Update, Inc., Class A*... 143,438
------------
10,552,431
------------
TOTAL COMMON STOCKS (COST
$468,627,327) -- 98.7%....... 470,932,414
------------
WARRANTS -- 0.0%
DEFENSE -- 0.0%
8,100 Herley Industries, Inc. @
15.6*........................ 23,288
------------
TOTAL WARRANTS........................... 23,288
------------
REPURCHASE AGREEMENTS -- 1.4%
State Street Bank, dated 3/31/99, due
4/01/99 at 4.25% with a maturity value of
$6,685,789 (Collateralized by $5,090,000
U.S. Treasury Bill, 8.875%, 08/15/17,
market value -- $6,820,600).............. 6,685,000
------------
TOTAL REPURCHASE AGREEMENTS (COST
$6,685,000) -- 1.4%...................... 6,685,000
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<C> <S> <C>
SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED -- 0.6%
Federated Treasury Obligations Fund,
4.7%................................... $ 702,058
Scudder MMSF, 4.8%....................... 220,772
Provident Temp Funding, 4.8%............. 686,877
Janus MMF, 4.9%.......................... 1,419
AIM Prime Portfolio, 4.9%................ 16,152
AIM Treasury Portfolio, 4.8%............. 287,712
AIM Liquid Assets Portfolio, 4.9%........ 837,104
------------
2,752,094
------------
TOTAL SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED (COST
$2,752,094) -- 0.6%...................... 2,752,094
------------
TOTAL INVESTMENTS (COST $478,064,421)(B)
- -- 100.7%................................ 480,392,796
COLLATERAL AS SECURITIES
LOANED -- (0.6%)......................... (2,752,094)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.1)%......................... (471,295)
------------
TOTAL NET ASSETS -- 100.0%............... $477,169,407
============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depository Receipt.
(a) Bankrupt security; valued by Management (Note 2).
(b) At March 31, 1999, the aggregate cost of investment securities for income
tax purposes was $477,030,645. Cost for federal income tax purposes differs
from value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized
appreciation........... $ 61,492,470
Unrealized
depreciation........... (60,882,413)
------------
Net unrealized
appreciation........... $ 610,057
============
</TABLE>
(c) Securities on loan.
See accompanying notes to the financial statements.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The Japanese equity market has surged more than 27%(1) since the bottom of
the market in October 1998. Lacking convincing fundamental signals, the
investors most puzzled by the recent exuberance in the market are probably the
Japanese themselves. While individual investors were active in the Japanese OTC
market, the powerful driving force behind the recent bull market was actually
orchestrated by foreign investors.
The main factor that sparked the fierce buying by foreigners was the hope
that the Japanese economy had finally found its way out of a long and dark
tunnel. There is no doubt that foreigners are more optimistic about the mid-term
prospects of the Japanese economy than the Japanese themselves, at least at this
moment. The question is whether the current foreign-driven sentiment can inspire
confidence across the broad market or alternatively, whether the market might
see another short-term illusion as it did in the beginning of 1998.
The risk profiles of the current market and the early 1998 market are quite
different. In early 1998, the drivers for returns were those stocks with
negative relative strength and low valuation. In the current market, the drivers
for returns are those stocks with high price-to-earnings, high relative strength
and high valuation. These stocks are not necessarily momentum stocks as they
were in 1997 to 1998.
Recent changes in government policies and the reversal of the equity market
raised significant questions about the optimal allocation of Japanese wealth.
The under-weight in the equity market by Japanese individuals is actually much
more extreme than that of foreigners. In a financial market where the deposit
rate is virtually zero, and the yield of the intermediate bond is well below 2%,
there should be ample incentive for Japanese individuals to pursue higher risk
assets in the equity market. The current boom of the Japanese OTC market is, in
our view, a prelude to that kind of sentiment among individual investors.
In many aspects, today's Japanese equity market resembles the U.S. market
in the 1980s. During that period, the U.S. economic recovery was spurred by
dramatic reforms in corporate taxes, the pension system and industry
deregulation, furthered by corporate efforts on restructuring. The Japanese
equity market is said to lag the U.S. market by 10 years. Will Japan's recovery
follow the same route as the U.S. market recovery in the 1980s? That depends on
whether the plans on the table can be implemented in an efficient way as in the
U.S. experience.
PORTFOLIO REPORT
For the year ending March 31, 1999, the Fund slightly outperformed its
benchmark, the Tokyo Stock Price Index of the Tokyo Stock Exchange (TOPIX)(2).
The strength of the yen during the second half of the year contributed more than
12% in the Japan equity dollar returns.
The Fund's performance was attributable to holding under-valued stocks as
identified by the Manager's stock selection models and stocks with themes
related to corporate restructuring and re-engineering. Over the year, the
Manager's value-based strategy worked well in the large and medium
capitalization sectors but under-performed the benchmark in the small
capitalization sector where stocks with low trading activity were still under
selling pressure -- a very similar situation to what we observed in the U.S.
market.
International investing involves increased risk and volatility. Total
return includes change in share price and reinvestment of distributions. The
Japan Series may be subject to the additional risk of non-diversified regional
fund investing.
Past performance is no guarantee of future results.
- ---------------
(1) Based on the NIKKEI 225 dollar return for the period 10/15/98 to 4/23/99.
(2) The TOPIX is an unmanaged index of approximately 1,300 Japanese companies.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS -- 98.3%
AUTOS -- 4.6%
2,000 Fuji Heavy Industries, Ltd........... $ 12,379
3,000 Nissan Shatai Co., Ltd............... 6,358
2,000 Suzuki Motor Corp.................... 26,530
1,000 Yachiyo Industry Co., Ltd............ 4,864
----------
50,131
----------
BANKING -- 16.9%
300 Nissin Co., Ltd...................... 8,106
400 Shinki Co., Ltd...................... 6,721
5,000 The Asahi Bank, Ltd.................. 26,387
4,000 The Bank of Tokyo -- Mitsubishi,
Ltd................................ 55,120
6,000 The Dai-Ichi Kangyo Bank, Ltd........ 40,024
2,000 The Higo Bank, Ltd................... 8,427
100 The Kita-Nippon Bank, Ltd............ 5,007
2,000 The Sanwa Bank, Ltd.................. 21,701
2,000 The Tochigi Bank, Ltd................ 9,964
1,000 The Toyo Trust & Banking Co., Ltd.... 3,116
----------
184,573
----------
BUILDING -- 2.6%
3,000 Sekisui Chemical Co., Ltd............ 21,354
3,000 SXL Corp............................. 6,941
----------
28,295
----------
CHEMICALS -- 1.8%
6,000 Mitsubishi Chemical Corp............. 17,023
2,000 Toyo Tire & Rubber Co., Ltd.......... 3,242
----------
20,265
----------
COMPUTER -- 5.8%
4,000 Fujitsu, Ltd......................... 64,240
----------
CONSTRUCTION MATERIALS -- 0.5%
3,000 Central Glass Co., Ltd............... 5,826
----------
DRUGS -- 7.9%
2,000 Dainippon Pharmaceutical Co., Ltd.... 9,981
2,000 Fujisawa Pharmaceutical Co., Ltd..... 31,495
2,000 Nikken Chemicals Co., Ltd............ 7,414
2,000 Shionogi & Co., Ltd.................. 17,563
2,000 Tanabe Seiyaku Co., Ltd.............. 13,003
2,000 Tsumura & Co......................... 7,127
----------
86,583
----------
DURABLES -- 6.1%
2,000 Matsushita Electric Industrial Co.,
Ltd................................ 39,010
300 Sony Corp............................ 27,738
----------
66,748
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 5.7%
700 Kyushu Electric Power Co., Inc....... $ 10,935
300 The Chugoku Electric Power Co.,
Inc................................ 4,762
2,200 The Tokyo Electric Power Co., Inc.... 47,370
----------
63,067
----------
ELECTRONICS -- 8.2%
3,000 Mitsubishi Electric Corp............. 10,031
1,000 Mitsumi Electric Co., Ltd............ 20,012
2,000 New Japan Radio Co., Ltd............. 7,937
2,000 Omron Corp........................... 24,995
600 Shinkawa, Ltd........................ 6,839
2,000 Tamura Corp.......................... 9,812
2,000 Toko, Inc............................ 8,832
1,000 Yaskawa Electric Corp................ 1,984
----------
90,442
----------
FINANCIAL INVESTMENTS -- 0.6%
500 Sanyo Electric Credit Co., Ltd....... 6,966
----------
FOOD -- 0.3%
3,000 Maruha Corp.......................... 3,166
----------
INSURANCE -- 1.9%
2,000 Mitsui Marine & Fire Insurance Co.,
Ltd................................ 10,133
3,000 The Dai-Tokyo Fire & Marine Insurance
Co., Ltd........................... 10,715
----------
20,848
----------
LIQUOR & TOBACCO -- 3.0%
1,000 Asahi Breweries, Ltd................. 13,088
2 Japan Tobacco, Inc................... 19,421
----------
32,509
----------
MACHINERY -- 6.9%
2,000 Amada Sonoike Co., Ltd............... 5,320
3,000 Fuji Electric Co., Ltd............... 8,663
2,000 Hitachi Koki Co., Ltd................ 5,894
5,000 Hitachi, Ltd......................... 37,026
2,000 Nitto Electric Works, Ltd............ 13,679
2,000 Sintokogio, Ltd...................... 5,725
----------
76,307
----------
MISCELLANEOUS FINANCIAL -- 1.9%
4,000 Daiwa Securities Co., Ltd............ 21,447
----------
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE> 17
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE MACHINERY -- 4.8%
2,000 Brother Industries, Ltd.............. $ 6,147
1,000 Fuji Photo Film Co., Ltd............. 37,828
2,000 Konica Corp.......................... 8,410
----------
52,385
----------
OIL DISTRIBUTION -- 0.9%
2,000 Kamei Corp........................... 9,964
----------
REAL ESTATE ASSETS -- 1.0%
3,000 Sumitomo Realty & Development Co.,
Ltd................................ 11,374
----------
RETAIL/WHOLESALE -- 7.8%
4,000 Itochu Corp.......................... 8,309
2,000 Kasumi Co., Ltd...................... 7,599
4,000 Marubeni Corp........................ 7,599
3,000 Mitsubishi Corp...................... 19,632
3,000 Mitsui & Co., Ltd.................... 20,291
2,000 Mycal Corp........................... 12,345
3,000 Nissho Iwai Corp..................... 2,634
2,000 Tokyu Store Chain Co., Ltd........... 7,887
----------
86,296
----------
SOAPS & COSMETICS -- 0.7%
2,000 Lion Corp............................ 7,549
----------
TELEPHONE -- 2.6%
2 Japan Telecom Co., Ltd............... 28,709
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION -- 5.6%
5 Central Japan Railway Co., Ltd....... $ 25,964
2,000 Iino Kaiun Kaisha, Ltd............... 3,817
4,000 Tokyu Corp........................... 10,437
5 West Japan Railway Co................ 21,320
----------
61,538
----------
TRAVEL/ENTERTAINMENT -- 0.2%
200 Capcom Co., Ltd...................... 2,533
----------
TOTAL INVESTMENTS (COST
$916,528)(A) -- 98.3%.............. 1,081,761
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 1.7%................ 19,260
----------
TOTAL NET ASSETS -- 100.0%........... $1,101,021
==========
</TABLE>
- ---------------
(a) At March 31, 1999, the aggregate cost of investment securities for income
tax purposes was $946,112. Cost for federal income tax purposes differs from
value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation.... $185,567
Unrealized depreciation.... (49,918)
--------
Net unrealized
appreciation............. $135,649
========
</TABLE>
See accompanying notes to the financial statements.
17
<PAGE> 18
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The international markets went through a tumultuous year. We had witnessed
extreme market volatility globally. The Economic Monetary Union (EMU) in Europe,
the continued weakness in the Asian markets and the long-awaited small stock
recovery were the predominant themes in international markets over the past
year.
After enjoying a spectacular 17% return in the first quarter of 1998,
international small stocks, as measured by the Cazenove Rosenberg Global Smaller
Companies Index excluding the U.S. (CRIexUS)(1), were subsequently dragged down
by worries over the world economy. Concerns over the financial crises in Asia,
Latin America and Russia created a mini market crash in August 1998. As a
result, international small stocks lost over 20% during the second and third
quarters alone. In the fourth quarter, as investor regained confidence, we
experienced a strong rebound of over 10% in small stocks around the world.
During the first quarter of 1999, the world markets posted modest positive
gains. The threat of a global financial crisis and a world recession finally
abated due to the collaborative efforts from financial experts worldwide.
Investors' confidence continued to improve. The low interest rate, low inflation
environment provided a further stabilizing force for the financial markets.
However, this optimism was overshadowed by the war in Kosovo. For the year ended
March 31,1999, international small stocks lost 11.3%. During the same period,
international large stocks, as measured by the Morgan Stanley Capital
International Europe, Australasia and Far East Standard Index (MSCI Standard
EAFE), gained 6.4%. This large performance disparity between large and small
stocks was in part a reflection of investors' anxiety over world politics and
the global economy. This sentiment of uncertainty led to a flight to quality,
where investors focused mostly on blue-chip companies.
The European nations had achieved remarkable economic progress over the
last two years in an effort to qualify for EMU. Investors applauded the economic
reforms and responded positively to the overall expansion of the European
economy supported by a declining interest rate environment. After enjoying
spectacular growth in 1997 and 1998, the European markets retreated and
underperformed other developed countries in the first three months of 1999. The
euro was successfully launched on January 1. However, concerns over slowing
corporate earnings growth and the uncertainty over developments in Kosovo
prevented the markets from reaching higher levels. Since its official inception,
the euro depreciated over 8% against the U.S. dollar. On the positive side,
investors welcomed the possibility of the U.K. joining the Euroland. Domestic
demand remains strong within Europe. There is also room for further interest
rate cuts within the U.K. and Euroland, which should further stimulate the
European economy, increase consumers' confidence and domestic consumption. Small
stocks are in a good position to reap these benefits. For the year ending March
31, 1999, small stocks lost over 15%(2), while large stocks were up over 4%(2).
The underperformance of small stocks occurred primarily in the third and fourth
quarters of 1998. This flight toward large-capitalization stocks reflected
investors' uncertainty about the EMU convergence. The successful inauguration of
Euroland in January alleviated the anxiety and since then, investors have
gradually refocused on small companies. During the first quarter of 1999, small
stocks and large stocks both lost over 2%(2). Growth stocks were particularly
strong during the second and third quarters of 1998 while value stocks regained
their dominance during the fourth quarter of 1998 and the first quarter of 1999.
The Japanese stock market experienced a dramatic turnaround between
September 1998 and March 1999. Small stocks, in particular, outperformed the
broad market over this period. For the year ending March 31, 1999, Japanese
small stocks delivered an impressive gain of over 14%(2), and large stocks
posted a 16%(2) return. Fundamentally, Japan is still in malaise. However, there
have been concrete indications that the government is making a conscious effort
to revitalize the economy. Starting April 1999, corporate accounting practices
in Japan will be converging more toward
18
<PAGE> 19
international standards. In addition, the securities transaction tax will be
abolished. These are measures that encourage overseas investment in Japan and
promote accounting transparency. We have also witnessed an increasing number of
cases where companies have restructured their businesses as well as their
employed work force. Overseas investors responded favorably to these measures,
resulting in the recent stock market rally. Domestically, consumption remains
weak, despite the distribution of free shopping vouchers by the government. On
the corporate side, return on equity for most companies have been steadily
rising. During the past year, growth stocks trailed value stocks. The Japanese
yen had also undergone extreme volatility. In August 1998, the Japanese yen fell
to a low of 147 yen per U.S. dollar. The yen eventually stabilized only after
intervention from both the Japanese and U.S. governments. Since then, the yen
had continued to gain strength, attaining a level of 118 yen per U.S. dollar at
the end of March. This is an indication of improving investors' confidence in
the Japanese economy.
In the rest of Asia, the past year had been one of the most difficult
periods in history. The Asian financial crises triggered by the devaluation of
the Thai Baht in July 1997 pervasively affected every single country in Asia.
Real estate prices plummeted, domestic consumption fell and unemployment rose.
Several countries also experienced repeated threats of currency devaluation and
stock market plunges. In an effort to defend the Hong Kong dollar, the Hong Kong
government deviated from its historical "free market" policy and intervened in
the stock market to prop up stock prices. In September 1998, the Malaysian
government surprised investors by announcing a series of controls that severely
restricted trading by foreigners. On the more positive side, lately, there have
been signs that the recession is finally bottoming out. Real estate prices in
the region have stabilized. Strong demand in the U.S. and Europe is also helping
to boost Asian exports and hence industrial activities. Forecasts for economic
activity in Asia ex Japan are now on a rising trend. However, several countries
are still contending with rising unemployment, and domestic consumption still
languishes. The recoveries are still fragile. For the year ending March 31,
1999, small stocks in the Asia ex Japan region declined 20%(2), while large
stocks suffered a loss of 6%(2). There is now increased optimism towards the
Asian markets. As a result of government supports and fund flows from overseas
investors, we have seen impressive gains in the Asia ex Japan markets since last
September.
The historically stable Canadian market also joined in the volatility
bandwagon over the past 12 months. Concerns over the slowing Canadian economy as
a result of the Asian, Latin American and Russian economic crises caused the
Canadian dollar to reach a 10-year low against the U.S. dollar in the third
quarter of 1998. Then in the fourth quarter, renewed concerns over the
possibility of Quebec separating from the rest of Canada further weakened the
currency. In March this year, signs of a slowing economy prompted the government
to lower the discount rate. Investors applauded the move. As world commodity
prices stabilized, the Canadian dollar regained its strength against the U.S.
dollar. The stock market had also picked up healthy gains during the first
quarter of 1999. Over the past 12 months, value stocks continued to outperform
growth stocks. Small stocks lost over 22%(2) for the year ending March 31, 1999.
Large stocks declined over 12%(2).
The foreign exchange market also experienced extreme volatility over the
past year. The Malaysian government has reverted to a fixed exchange rate regime
since September 1998. For the year ending March 31, 1999, the Japanese yen
appreciated over 12% against the U.S. dollar. The Canadian dollar suffered a
depreciation of 6%. Since its inception on January 1, the euro had depreciated
over 8% against the U.S. dollar.
PORTFOLIO REPORT
The International Small Capitalization Series follows a systematic and
disciplined approach to international investing. Our portfolio closely tracks
the country and industry exposures of the benchmark with a diversification of
over 400 holdings in more than 21 countries. As of March 31, 1999, the top 10
holdings accounted for about 15% of the total portfolio. Approximately 70% of
the holdings were invested in Europe. Construction and Home Building, together
with
19
<PAGE> 20
Metal and Machinery Products represented 18% of the portfolio. The
price-to-positive-earnings ratio of the portfolio was 12.3, and the median
market capitalization of the holdings was approximately $230 million.
For the year ending March 31, 1999, the Fund outperformed its benchmark,
the Cazenove Rosenberg Global Smaller Companies Index excluding the U.S(1).
Since inception, the Fund's performance has also exceeded that of its benchmark.
We strive to add value through bottom-up stock selection and avoid heavy bets on
countries and industries.
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 be the main beneficiaries. Thus far in 1999, we have already
seen signs of encouraging growth from small stocks. Value stocks have also
regained leadership. 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 the benchmark for the International Small Capitalization
Series. It is an unmanaged index of non-U.S. small capitalization companies
with market capitalization up to $3.4 billion. The index includes 21
developed countries: Australia, Austria, Belgium, Canada, Denmark, Finland,
France, Germany, Hong Kong, Ireland, Italy, Japan, Malaysia, Netherlands,
New Zealand, Norway, Singapore, Spain, Sweden, Switzerland and U.K.
Investors cannot invest directly in any Index.
(2) Small stock returns are based on the individual country and regional
CRIexUS; large stock returns are based on individual and regional MSCI
Standard Indices.
20
<PAGE> 21
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 99.5%
AUSTRALIA -- 1.9%
Chemicals -- 0.1%
83,600 Ticor, Ltd. ................ $ 41,179
-----------
Construction
Materials -- 0.2%
8,000 Adelaide Brighton, Ltd. .... 4,143
27,621 Westralian Sands, Ltd. ..... 62,915
-----------
67,058
-----------
Electronics -- 0.1%
27,400 Metal Manufactures, Ltd. ... 35,644
-----------
Financial Investments --0.2%
12,977 Australian Foundation
Investment Company,
Ltd. ..................... 22,946
6,400 Milton Corp., Ltd. ......... 36,778
53,800 Orbital Engine Corp.,
Ltd.*..................... 13,590
-----------
73,314
-----------
Liquor & Tobacco -- 0.6%
19,300 Rothmans Holdings, Ltd. .... 171,851
8,700 White (Joe) Maltings,
Ltd. ..................... 16,482
-----------
188,333
-----------
Media -- 0.0%
8,000 Pacific Magazines and
Printing, Ltd. ........... 16,318
-----------
Metals -- 0.1%
8,200 Bougainville Copper,
Ltd.*..................... 932
33,900 Eltin, Ltd. ................ 32,326
-----------
33,258
-----------
Oil Distribution -- 0.2%
22,900 Caltex Australia, Ltd. ..... 55,835
-----------
Oil Services -- 0.0%
3,700 Australia Oil and Gas Corp.,
Ltd. ..................... 4,299
-----------
Real Estate Assets -- 0.1%
25,400 Mount Leyshon Gold Mines,
Ltd. ..................... 28,070
2,500 Sons of Gwalia, Ltd. ....... 7,783
-----------
35,853
-----------
Services -- 0.0%
20,000 Spotless Services, Ltd. .... 16,116
-----------
Transportation -- 0.1%
18,700 Finemore Holdings, Ltd. .... 38,379
-----------
Travel &
Entertainment -- 0.2%
33,236 Village Roadshow, Ltd. ..... 60,300
-----------
665,886
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
AUSTRIA -- 0.2%
Real Estate Assets -- 0.2%
1,330 BBAG Oesterreichische Brau-
Beteiligungs AG........... $ 60,306
-----------
BELGIUM -- 1.0%
Banking -- 0.3%
60 BQE National Belgique....... 103,964
-----------
Insurance -- 0.4%
4,470 CMB Compagnie Maritime Belge
SA........................ 170,445
-----------
Retail/Wholesale -- 0.3%
1,460 G.I.B. Holdings, Ltd. ...... 57,452
460 Glaverbel SA................ 42,361
-----------
99,813
-----------
374,222
-----------
CANADA -- 4.9%
Banking -- 0.2%
4,300 Laurentian Bank of Canada... 66,371
-----------
Defense -- 0.1%
5,600 SNC Group, Inc. ............ 43,311
-----------
Financial Investments --0.2%
4,900 Precision Drilling Corp.*... 63,161
-----------
Media -- 0.8%
2,400 Chum, Ltd. -- Class B....... 63,459
200 Hollinger, Inc. ............ 2,214
6,400 Quebecor, Inc. -- Class B... 140,667
5,600 Tva Group, Inc. -- Class
B*........................ 73,110
-----------
279,450
-----------
Metals -- 0.5%
5,900 Dofasco, Inc. .............. 76,832
15,900 Stelco, Inc. -- Class A 99,323
-----------
176,155
-----------
Miscellaneous
Financial -- 0.1%
2,700 Fahnestock Viner Holdings,
Inc. -- Class A........... 38,373
-----------
Oil -- 0.5%
300 Cabre Exploration, Ltd.*.... 2,578
2,900 Chieftain International,
Inc.*..................... 36,231
8,200 Encal Energy, Ltd.*......... 35,233
3,200 Penn West Petroleum,
Ltd.*..................... 41,143
6,200 Poco Petroleum, Ltd.*....... 47,541
2,800 Remington Energy, Ltd.*..... 3,424
500 Ulster Petroleums, Ltd.*.... 4,297
-----------
170,447
-----------
</TABLE>
See accompanying notes to the financial statements.
21
<PAGE> 22
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Oil Services -- 0.0%
500 Ensign Resource Service
Group, Inc. .............. $ 6,115
-----------
Other Utilities -- 0.1%
1,100 BC Gas, Inc. ............... 19,814
-----------
Paper -- 0.7%
8,400 Cascades, Inc.*............. 45,532
15,600 Domtar, Inc. ............... 112,401
10,300 Nexfor, Inc. ............... 47,660
3,000 Premdor, Inc.*.............. 26,177
3,300 St. Laurent Paper Board,
Inc.*..................... 28,904
-----------
260,674
-----------
Real Estate Assets -- 0.3%
2,100 Brookfield Properties....... 24,709
6,200 Cambior, Inc. .............. 24,385
4,482 Cambridge Shopping
Centers*.................. 26,517
12,600 Inmet Mining Corp.*......... 22,488
-----------
98,099
-----------
Retail/Wholesale -- 0.3%
3,400 Acktion Co.*................ 27,532
4,800 Emco, Ltd.*................. 33,157
23,200 Philip Services Corp.*...... 8,895
1,100 Toromont Industries,
Ltd. ..................... 11,380
2,800 Westburne, Inc.*............ 27,763
-----------
108,727
-----------
Services -- 0.3%
400 AGRA, Inc. ................. 2,591
1,800 Hummingbird Communications,
Ltd.*..................... 27,248
7,200 Moore Corp., Ltd. .......... 71,629
-----------
101,468
-----------
Telephone -- 0.8%
3,300 Cogeco, Inc.*............... 54,534
700 Newtel Enterprises, Ltd. ... 17,121
1,400 QuebecTel Group, Inc. ...... 16,843
7,900 Shaw Communications, Inc. --
Class B*.................. 253,273
-----------
341,771
-----------
Transportation -- 0.0%
300 Mullen Transportation*...... 3,322
-----------
1,777,258
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DENMARK -- 3.5%
Construction
Materials -- 0.7%
15,000 Aalborg Portland Holding
A/S....................... $ 261,456
-----------
Food -- 0.7%
12,200 Korn-Og Foderstof Kompagniet
A/S....................... 239,232
-----------
Retail/Wholesale -- 0.6%
6,100 Monberg & Thorsen A/S*...... 199,360
-----------
Services -- 1.5%
13,000 Aktieselskabet Potagua
A/S....................... 254,919
15,200 Fls Industries A/S.......... 298,059
-----------
552,978
-----------
1,253,026
-----------
FINLAND -- 3.2%
Retail/Wholesale -- 2.1%
52,700 Mesta Serla -- B Shares..... 392,569
6,300 Orion Yhtyma OY -- A
Shares.................... 141,129
23,000 Stora Enso Oyj.............. 228,440
-----------
762,138
-----------
Services -- 1.1%
34,100 Rauma Oyj................... 395,748
-----------
1,157,886
-----------
FRANCE -- 9.2%
Aircraft -- 0.6%
412 Compagnie Du Cambodge....... 203,713
-----------
Autos -- 0.1%
366 Equipments et Composants
pour l'Industrie
Automobile................ 37,162
-----------
Electronics -- 0.2%
13,131 Bull SA*.................... 77,259
-----------
Financial Investments --0.8%
225 Societe Eurafrance SA....... 108,093
466 Sucriere de Pithviers Le
Vieil..................... 167,528
-----------
275,621
-----------
Food -- 0.1%
20 Carbonique (La)............. 38,833
-----------
Insurance -- 1.3%
1,462 Generali France
Assurances*............... 473,505
-----------
Liquor & Tobacco -- 0.3%
7,395 Remy Cointreau.............. 120,232
-----------
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE> 23
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Machinery -- 1.9%
6,235 De Dietrich et Compagnie
SA........................ $ 302,433
12,669 Nord-Est.................... 364,499
-----------
666,932
-----------
Media -- 0.2%
291 Hachette Filipacchi
Medias.................... 67,890
-----------
Oil Distribution -- 1.2%
5,250 Esso Ste Anonyme
Francaise................. 421,969
-----------
Oil Services -- 0.1%
447 Elf Gabon................... 46,086
-----------
Retail/Wholesale -- 0.2%
8,604 Dollfus-Mieg & Cie SA....... 56,290
-----------
Services -- 2.2%
3,181 Generale De Transport Et
D'Industrie............... 254,128
4,400 Groupe GTM.................. 437,014
744 Publicis SA................. 122,891
-----------
814,033
-----------
3,299,525
-----------
GERMANY -- 6.0%
Autos -- 0.3%
350 Reutgers AG................. 103,532
-----------
Construction
Materials -- 0.6%
4,580 Gerresheimer Glas AG........ 75,404
998 Oberland Glas AG............ 150,839
-----------
226,243
-----------
Electric Utilities -- 0.1%
130 Ueberlandwerke Unterfranken
AG........................ 23,087
-----------
Insurance -- 0.1%
38 Koelnisch
Rueckversicherungs........ 38,973
-----------
Machinery -- 0.7%
80 AGIV AG..................... 1,494
1,800 Varta AG.................... 242,906
-----------
244,400
-----------
Office Machinery -- 0.2%
2,314 Koenig & Bauer AG........... 54,959
-----------
Real Estate Assets -- 0.9%
1,060 Binding Brauerei AG......... 257,481
340 Holsten-Brauerei AG......... 73,448
-----------
330,929
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
Retail/Wholesale -- 3.1%
5,080 Andreae-Noris Zahn AG....... $ 131,842
270 Baywa AG.................... 34,979
12,310 Hornbach Baumarkt AG........ 352,176
21,080 IWKA AG..................... 439,223
11,470 WMF-Wuerttembergische
Metallwarenfabrik AG...... 190,696
-----------
1,148,916
-----------
2,171,039
-----------
HONG KONG -- 1.8%
Aircraft -- 0.1%
18,000 Hong Kong Aircraft
Engineering Company,
Ltd. ..................... 26,479
-----------
Banking -- 0.2%
54,800 HKR International, Ltd. .... 33,766
90,000 JCG Holdings, Ltd. ......... 25,550
12,000 Wing On Co. International,
Ltd. ..................... 3,484
-----------
62,800
-----------
Electronics -- 0.1%
220,000 Wong's International
Holdings, Ltd. ........... 25,550
-----------
Financial Investments --0.5%
224,000 Chuang's Consortium
International, Ltd. ...... 12,574
38,400 Hopewell Holdings........... 18,582
283,000 Mingly Corp. ............... 38,709
62,000 New Asia Realty & Trust
Co. ...................... 52,002
84,000 Peregrine Investment
Holdings, Ltd.*(a)........ 0
36,000 Pokfulam Development Co. ... 10,452
33,000 Realty Development Corp. ... 37,473
90,000 YGM Trading, Ltd. .......... 40,067
-----------
209,859
-----------
Miscellaneous
Financial -- 0.0%
8,000 Lee Hing Development........ 1,600
-----------
Office Machinery -- 0.0%
61,000 Lam Soon Hong Kong*......... 12,594
-----------
Real Estate Assets -- 0.6%
225,337 CDL Hotels International.... 69,786
46,000 Li & Fung, Ltd. ............ 97,347
50,000 Liu Chong Hing Investment,
Ltd. ..................... 34,196
11,000 Orient Overseas
International, Ltd. ...... 1,945
-----------
203,274
-----------
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE> 24
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Retail/Wholesale -- 0.1%
49,000 Dickson Concepts
International, Ltd. ....... $ 39,835
16,000 Jardine International
Motor...................... 6,142
-----------
45,977
-----------
Transportation -- 0.2%
9,000 China Motor Bus Co. ......... 54,817
32,500 Wah Kwong Shipping Holdings,
Ltd. ...................... 7,129
-----------
61,946
-----------
650,079
-----------
ITALY -- 4.3%
Autos -- 0.2%
40,500 Magneti Marelli.............. 58,589
-----------
Banking -- 2.0%
7,500 Banca Popolare di Milano..... 69,876
95,000 Banca Toscana................ 491,265
5,000 Italmobiliare SpA............ 133,059
500 Locazione Attrezzature SpA... 472
-----------
694,672
-----------
Building -- 0.4%
180,000 Impregilo SpA*............... 140,108
-----------
Chemicals -- 0.3%
206,820 Montefibre SpA............... 121,687
-----------
Durables -- 0.1%
11,000 Merloni Elettrodomestici
SpA........................ 49,283
-----------
Insurance -- 0.5%
14,000 Societa Assicuratrice
Industriale SpA............ 179,103
-----------
Media -- 0.8%
517,000 Cofide SpA*.................. 288,003
-----------
1,531,445
-----------
JAPAN -- 19.5%
Autos -- 1.6%
9,000 Aichi Machine Industry Co.,
Ltd. ...................... 17,859
7,200 Exedy Corp. ................. 38,909
11,000 Kansei Corp. ................ 28,422
11,000 Mitsuba Corp. ............... 38,453
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Autos (continued)
1,000 Nippon Seiki Co., Ltd. ...... $ 5,995
35,000 Nissan Shatai Co., Ltd. ..... 74,179
9,000 Sumitomo Wiring Systems,
Ltd. ........................ 50,916
9,000 Tenma Corp. ................. 120,071
6,000 Tonichi Cable, Ltd. ......... 14,844
14,000 Toyota Auto Body Co.,
Ltd. ........................ 97,526
29,000 U-Shin, Ltd. ................ 92,071
1,000 Unipress Corp. .............. 1,858
-----------
581,103
-----------
Banking -- 2.0%
14,000 Central Leasing*............. 70,928
28,000 First Credit Corp. .......... 91,023
3,000 Nissin Co., Ltd. ............ 81,061
5,800 Sanyo Electric Credit Co.,
Ltd. ........................ 80,807
3,000 Shinki Co., Ltd. ............ 50,410
3,100 The Bank of Okinawa, Ltd. ... 67,403
2,000 The Kita-Nippon Bank,
Ltd. ........................ 100,143
15,000 The Niigata Chuo Bank,
Ltd. ........................ 34,324
16,000 The Tochigi Bank, Ltd. ...... 79,710
4,000 The Tokushima Bank, Ltd. .... 26,345
5,000 Tokyo Leasing Co., Ltd.*..... 26,218
-----------
708,372
-----------
Building -- 0.1%
8,000 Mitani Sekisan Co., Ltd. .... 20,603
12,000 Tenox Corp................... 31,918
-----------
52,521
-----------
Chemicals -- 1.0%
48,000 Central Glass Co., Ltd....... 93,219
3,000 Matsumoto Yushi-Seiyaku Co.,
Ltd. ........................ 60,289
21,000 The Ohtsu Tire & Rubber Co.,
Ltd. ........................ 37,237
51,000 Toyo Tire & Rubber Co.,
Ltd. ........................ 82,682
26,000 Tsurumi Soda Co., Ltd. ...... 74,643
-----------
348,070
-----------
Construction Materials --0.3%
21,000 Kawagishi Bridge Works Co.,
Ltd. ........................ 54,792
16,000 Okabe Co., Ltd. ............. 53,500
-----------
108,292
-----------
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE> 25
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Drugs -- 1.2%
2,000 Eiken Chemical Co., Ltd. .... $ 7,194
18,000 Mikasa Seiyaku Co., Ltd. .... 103,352
20,000 Nikken Chemicals Co.,
Ltd. ........................ 74,137
22,000 Sakai Chemical Industry Co.,
Ltd. ........................ 55,358
4,000 Seikagaku Corp. ............. 36,139
17,000 Tokyo Tanabe Co., Ltd. ...... 79,093
18,000 Tsumura & Co. ............... 64,139
-----------
419,412
-----------
Durables -- 0.2%
12,000 Foster Electric Co., Ltd. ... 71,941
-----------
Electronics -- 2.2%
3,000 Kel Corp. ................... 12,666
13,000 Kinseki, Ltd. ............... 70,801
10,000 Koa Corp. ................... 91,192
40,000 New Japan Radio Co., Ltd. ... 158,743
17,000 Nihon Inter Electronics
Corp. ....................... 33,015
22,000 Nippon Tungsten Co., Ltd. ... 46,627
10,000 Shindengen Electric
Manufacturing Co., Ltd. ... 48,299
33,000 Showa Electric Wire & Cable
Co., Ltd. ................. 47,370
21,000 Sokkia Co., Ltd. ............ 33,691
1,000 Star Micronics Co., Ltd. .... 5,666
19,000 Tamura Corp. ................ 93,210
8,000 Wako Electric Co., Ltd. ..... 76,332
3,000 Yamaichi Electronics Co.,
Ltd. ........................ 68,395
-----------
786,007
-----------
Financial Investments -- 0.2%
13,000 Kyosei Rentemu Co., Ltd. .... 79,034
3,000 Nikkodo Co., Ltd. ........... 2,508
-----------
81,542
-----------
Food -- 0.9%
34,000 Marudai Food Co., Ltd. ...... 61,437
8,000 Marutai Co., Ltd. ........... 44,448
39,000 Nichimo Co., Ltd. ........... 71,131
2,000 Nichiwa Sangyo Co., Ltd. .... 3,715
7,000 Riken Vitamin Co., Ltd. ..... 73,883
3,500 Sanyo Coca-Cola Bottling Co.,
Ltd. ........................ 76,839
600 Shikoku Coca-Cola Bottling
Co., Ltd. ................. 9,119
-----------
340,572
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Household -- 0.4%
7,000 Fujikura Rubber, Ltd. ...... $ 13,595
1,000 Mitsubishi Pencil Co.,
Ltd. ....................... 6,915
30,000 Pilot Corp. ................ 106,392
-----------
126,902
-----------
Machinery -- 1.4%
25,000 Amada Sonoike Co., Ltd. .... 66,495
8,000 Amatsuji Steel Ball
Manufacturing Co.,
Ltd. ....................... 67,550
11,000 Kawata Manufacturing Co.,
Ltd. ..................... 43,190
8,000 Koken, Ltd. ................ 59,444
9,000 Nissei Plastic Industrial
Co., Ltd. ................ 55,400
4,000 Seibu Electric & Machinery
Co., Ltd. ................ 7,836
7,100 Shinkawa, Ltd. ............. 80,934
18,000 Sintokogio, Ltd. ........... 51,524
21,000 Toshiba Tungaloy Co.,
Ltd. ..................... 62,949
9,000 Toyo Machinery & Metal Co.,
Ltd. ..................... 13,527
-----------
508,849
-----------
Media -- 0.4%
4,000 Bunkeido Co., Ltd. ......... 23,305
1,000 Chubu-Nippon Broadcasting
Co., Ltd. ................ 7,515
53,000 Nippon Columbia Co.,
Ltd. ..................... 102,930
-----------
133,750
-----------
Metals -- 0.1%
4,000 Chubu Steel Plate Co.,
Ltd. ..................... 6,687
2,000 Nihon Electric Wire & Cable
Co., Ltd. ................ 7,431
5,000 Toyokuni Electric Cable Co.,
Ltd. ..................... 13,932
-----------
28,050
-----------
Miscellaneous
Financial -- 0.1%
17,000 Tokai Maruman Securities
Co., Ltd.*................ 43,925
-----------
Office Machinery -- 0.1%
7,000 General Co., Ltd. .......... 36,469
-----------
Other Utilities -- 0.3%
40,000 Hokuriku Gas Co., Ltd. ..... 89,504
3,300 Otaki Gas Co., Ltd. ........ 10,589
-----------
100,093
-----------
Paper -- 0.0%
30,000 Settsu Corp.*............... 14,976
-----------
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE> 26
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Real Estate Assets -- 2.1%
31,000 Azel Corp. ................. $ 89,259
9,000 Footwork Construction
Corp. .................... 31,158
16,000 Fukuda Corp. ............... 55,526
5,000 Hosoda Corp. ............... 13,975
31,000 Iino Kaiun Kaisha, Ltd. .... 59,157
23,000 Nippon Typewriter Co.,
Ltd. ..................... 57,485
18,000 Nittetsu Mining Co.,
Ltd. ..................... 49,396
5,000 Recruit Cosmos Co., Ltd. ... 16,043
8,300 Sanritsu Corp. ............. 57,609
2,000 Shinko Kosan, Ltd. ......... 5,438
19,000 Starts Corp. ............... 112,142
51,000 SXL Corp. .................. 117,994
3,000 U.Store Co., Ltd. .......... 27,865
32,000 Uehara Sei Shoji Co.,
Ltd. ..................... 86,465
-----------
779,512
-----------
Retail/Wholesale -- 2.1%
500 Aoki International Co.,
Ltd. ..................... 2,533
4,000 Chain Store Okuwa Co.,
Ltd. ..................... 36,038
400 Chiyoda Co., Ltd. .......... 3,310
7,000 Daiwa Co., Ltd. ............ 16,845
18,000 Denkyosha Co., Ltd. ........ 79,795
1,000 Heiwado Co., Ltd. .......... 6,164
13,000 Joshin Denki Co., Ltd. ..... 35,236
11,000 Kansaidenpa Corp. .......... 50,156
16,000 Kasumi Co., Ltd. ........... 60,795
20,300 Konaka Co., Ltd. ........... 147,413
7,000 Laox Co., Ltd. ............. 53,196
12,000 Matsuyandenki Co., Ltd. .... 56,742
1,000 Nagano Tokyu Department
Store Co., Ltd. .......... 3,479
6,000 Nissho Corp. ............... 44,583
14,000 Sagami Co., Ltd. ........... 31,799
4,000 Sanko Junyaku Co., Ltd. .... 7,498
18,000 Sogo Co., Ltd.*............. 31,918
15,000 Somar Corp. ................ 31,031
11,000 Tokyu Store Chain Co.,
Ltd. ..................... 43,376
4,000 Traveler Corp. ............. 24,926
-----------
766,833
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Services -- 1.6%
2,900 Fujitsu Business Systems,
Ltd. ..................... $ 54,851
20,000 Gakken Co., Ltd. ........... 23,643
9,000 Hitachi Information Systems,
Ltd. ..................... 108,672
10,000 Intec, Inc. ................ 134,341
9,000 Japan Process Development
Co. ...................... 73,714
12,000 Miura Co., Ltd. ............ 179,347
2,000 Shingakukai Co., Ltd. ...... 6,096
-----------
580,664
-----------
Soap & Cosmetics -- 0.7%
23,000 S.T. Chemical Co., Ltd. .... 132,061
15,000 Sunstar, Inc. .............. 47,116
7,000 Toho Chemical Industry Co.,
Ltd. ..................... 11,053
19,000 Yushiro Chemical Industry
Co., Ltd. ................ 67,542
-----------
257,772
-----------
Travel &
Entertainment -- 0.5%
8,100 Capcom Co., Ltd. ........... 102,592
1,400 Daiichikosho Co., Ltd. ..... 16,668
14,000 Kinki Nippon Tourist Co.,
Ltd.*..................... 31,799
10,000 Seiyo Food Systems, Inc. ... 41,797
-----------
192,856
-----------
7,068,483
-----------
MALAYSIA -- 1.0%
Banking -- 0.1%
5,000 MBF Capital BHD*............ 416
103,000 Multi-Purpose Holdings
BHD*...................... 25,804
84,000 Talam Corporation BHD....... 17,507
-----------
43,727
-----------
Construction
Materials -- 0.0%
750 Malayan Cement BHD.......... 204
25,000 Pan-Malaysia Cement Works
BHD....................... 5,158
-----------
5,362
-----------
Durables -- 0.0%
1,100 Matsushita Electric Co. .... 2,547
840 Silverstone BHD*(a)......... 0
-----------
2,547
-----------
Electronics -- 0.0%
1,000 Malaysian Pacific Industries
BHD....................... 1,211
-----------
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE> 27
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
Financial
Investments -- 0.3%
24,000 Amsteel Corp. BHD........... $ 1,642
5,333 Austral Amalgamated BHD*.... 247
4,000 Austral Enterprises......... 2,998
12,000 Batu Kawan BHD.............. 10,560
35,000 Berjaya Group BHD........... 4,568
50,000 Dijaya Corp.*............... 5,210
48,000 Highlands & Lowlands BHD.... 22,131
37,000 Keck Seng (Malaysia) BHD.... 10,749
27,000 Kinta Kellas plc*........... 2,501
108,000 Sarawak Enterprise Corp. ... 32,514
12,000 TA Enterprise BHD........... 2,463
-----------
95,583
-----------
Food -- 0.1%
18,000 Far East Holdings BHD....... 9,549
26,000 Gadek (Malaysia) BHD........ 9,634
26,000 Kuala Sidim BHD............. 24,193
8,000 United Plantations BHD...... 6,198
-----------
49,574
-----------
Insurance -- 0.0%
51,000 Paramount Corp. BHD......... 9,985
-----------
Miscellaneous
Financial -- 0.0%
3,000 Olympia Industries BHD*..... 278
40,000 Pan Pacific Asia BHD........ 11,789
-----------
12,067
-----------
Oil Services -- 0.0%
6,000 Antah Holdings BHD.......... 808
-----------
Real Estate Assets -- 0.4%
140,000 Asia Pacific Land BHD*...... 10,905
31,000 Berjaya Land BHD............ 8,027
35,000 Boustead Holdings BHD....... 21,811
23,000 Cement Industries of
Malaysia.................. 8,377
22,000 Faber Group BHD*............ 1,598
2,000 IOI Properties.............. 1,524
6,000 Island & Peninsular BHD..... 3,272
53,000 Kulim (M) BHD............... 20,084
64,000 Lion Land BHD............... 4,918
13,000 Malaysia Helicopter Services
BHD....................... 1,245
18,000 Sime UEP Properties BHD..... 13,263
15,000 Worldwide Holdings BHD...... 3,189
-----------
98,213
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
Retail/Wholesale -- 0.1%
205,400 Malayan United Industries
BHD....................... $ 22,269
11,000 Tan Chong Motor Holdings
BHD....................... 2,154
-----------
24,423
-----------
Services -- 0.0%
20,000 Malaysia Mining Corp. BHD... 8,337
-----------
Travel &
Entertainment -- 0.0%
24,000 Rekapacific BHD*............ 2,324
-----------
354,161
-----------
NETHERLANDS -- 6.9%
Financial
Investments -- 1.1%
12,880 VIB NV...................... 399,075
-----------
Real Estate Assets -- 0.7%
4,890 Wereldhave NV............... 268,182
-----------
Retail/Wholesale -- 0.4%
5,900 Apothekers Cooperatie
Opg-CV.................... 126,117
-----------
Services -- 2.7%
15,129 Koninklijke Hoogovens NV.... 501,423
23,820 Stork NV.................... 466,740
-----------
968,163
-----------
Textiles -- 0.9%
6,820 Gamma Holding NV............ 312,917
-----------
Transportation -- 1.1%
17,070 Koninklijke Nedlloyd Groep
NV........................ 395,291
-----------
2,469,745
-----------
NEW ZEALAND -- 0.2%
Liquor & Tobacco -- 0.1%
28,600 DB Group, Ltd. ............. 36,606
-----------
Retail/Wholesale -- 0.1%
31,200 Hallenstein Glasson
Holdings, Ltd. ........... 45,591
-----------
82,197
-----------
NORWAY -- 1.2%
Oil Services -- 0.7%
25,000 Saga Petroleum ASA.......... 273,331
-----------
Paper -- 0.5%
5,800 Norske Skogindustrier ASA... 166,599
-----------
439,930
-----------
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE> 28
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE -- 1.4%
Banking -- 0.1%
3,000 Inchcape Motors, Ltd. ...... $ 3,471
26,000 Overseas Union Trust,
Ltd. ..................... 23,466
6,000 United Overseas Finance,
Ltd. ..................... 4,686
-----------
31,623
-----------
Financial Investments --0.8%
22,000 Jurong Engineering, Ltd. ... 28,129
50,000 Lim Kah Ngam, Ltd. ......... 10,703
24,000 Overseas Union
Enterprises............... 41,238
46,000 Straits Trading Co. ........ 41,250
48,000 TIBS Holdings, Ltd. ........ 28,603
33,000 Times Publishing............ 49,639
69,000 WBL Corp., Ltd. ............ 49,899
-----------
249,461
-----------
Household -- 0.0%
51,000 Hour Glass, Ltd. ........... 10,179
-----------
Machinery -- 0.1%
20,000 Prima, Ltd. ................ 31,588
-----------
Real Estate Assets -- 0.0%
19,000 Sembawang Resources,
Ltd. ..................... 13,411
2,000 United Industrial CP........ 1,041
-----------
14,452
-----------
Retail/Wholesale -- 0.1%
4,000 ACMA, Ltd. ................. 1,678
46,000 Bonvests Holdings, Ltd. .... 12,641
15,000 Intraco, Ltd. .............. 5,120
18,000 Isetan (Singapore).......... 18,328
5,000 Wearnes International,
Ltd. ..................... 1,244
-----------
39,011
-----------
Services -- 0.1%
62,000 United Engineers, Ltd. ..... 41,967
-----------
Transportation -- 0.2%
12,000 Chuan Hup Holdings, Ltd. ... 4,617
17,000 Jurong Shipyard, Ltd. ...... 67,371
-----------
71,988
-----------
490,269
-----------
SPAIN -- 3.9%
Building -- 0.4%
2,817 Radiotronica SA............. 156,469
-----------
Drugs -- 0.5%
31,400 Energias E Industrias
Aragonesas................ 163,732
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SPAIN (CONTINUED)
Electric Utilities -- 1.6%
53,840 Fuerzas Elec De Cataluna --
A Shares.................. $ 575,435
-----------
Insurance -- 0.5%
9,890 Corporacion Mapfre Compania
Internacional DE
Reaseguros................ 195,924
-----------
Machinery -- 0.9%
6,080 Cristaleria Espanola SA..... 314,738
-----------
1,406,298
-----------
SWEDEN -- 0.7%
Building -- 0.1%
5,700 NCC AB -- A Shares.......... 51,988
-----------
Financial Investments --0.1%
3,000 Celsius AB -- B Shares...... 49,252
-----------
Household -- 0.3%
5,400 SKF AB...................... 76,834
-----------
Metals -- 0.2%
5,000 SSAB-Series A............... 62,629
800 SSAB-Series B............... 9,826
-----------
72,455
-----------
250,529
-----------
SWITZERLAND -- 9.8%
Autos -- 2.1%
420 Bucher Holding AG........... 346,182
710 Rieter Holdings, Ltd. ...... 403,893
-----------
750,075
-----------
Electric Utilities -- 0.2%
100 Centralschweizerische
Kraftwerke................ 81,073
-----------
Electronics -- 2.7%
240 Ascom Holding AG............ 365,640
930 Sulzer AG................... 593,758
-----------
959,398
-----------
Food -- 1.0%
740 Hero AG -- Bearer........... 375,963
-----------
Household -- 0.4%
330 Forbo Holding Ag............ 137,115
-----------
Insurance -- 1.3%
300 Berner Allgemeine
Holdinggesellschaft....... 138,027
430 Helvetia Patria Holding..... 334,379
-----------
472,406
-----------
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE> 29
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
Machinery -- 2.1%
340 Schindler-Holding AG........ $ 573,119
60 SIG Schweizerische
Industrie-Gesellschaft
Holding AG................ 34,456
200 Zuercher Ziegeleien
Holding................... 145,256
-----------
752,831
-----------
3,528,861
-----------
UNITED KINGDOM -- 18.9%
Banking -- 1.0%
50,000 James Finlay plc............ 56,501
88,000 Paragon Group Co. plc....... 301,164
-----------
357,665
-----------
Building -- 0.4%
61,000 Cape plc.................... 64,992
24,000 Marshalls plc............... 65,863
-----------
130,855
-----------
Construction
Materials -- 0.9%
285,000 Bardon Group plc............ 337,006
-----------
Defense -- 1.5%
153,000 Babcock International Group
plc....................... 214,880
110,000 Hunting plc................. 224,629
39,000 Vickers plc................. 84,049
-----------
523,558
-----------
Electronics -- 0.5%
51,000 Oxford Instruments plc...... 191,416
-----------
Food -- 0.8%
134,000 Matthews (Bernard) plc...... 279,048
-----------
Household -- 0.9%
89,000 Low & Bonar plc............. 242,089
107,000 Readicut International
plc....................... 60,887
7,000 Wagon Industrial Holdings... 28,533
-----------
331,509
-----------
Insurance -- 0.4%
44,000 London Pacific Group,
Ltd. ..................... 154,134
-----------
Liquor & Tobacco -- 1.2%
55,666 Wolverhampton & Dudley
Breweries plc............. 439,424
-----------
Machinery -- 0.1%
40,000 600 Group plc............... 47,138
-----------
Media -- 0.7%
185,000 Norcros plc................. 250,862
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Metals -- 0.1%
21,800 Delta plc................... $ 50,500
-----------
Miscellaneous
Financial -- 0.3%
12,000 Exco plc.................... 7,071
50,000 Singer & Friedlander Group
plc....................... 105,736
-----------
112,807
-----------
Oil -- 0.8%
151,000 Cairn Energy plc*........... 274,230
119,000 Premier Oil plc............. 26,894
-----------
301,124
-----------
Real Estate Assets -- 3.4%
30,000 Antofagasta Holdings plc.... 124,220
72,000 John Laing plc.............. 344,621
235,000 London Merchant Securities
plc....................... 379,361
173,601 Mowlem (John) & Co. plc..... 330,688
-----------
1,178,890
-----------
Retail/Wholesale -- 2.8%
385,000 Coats Viyella plc........... 273,463
94,950 Iceland Group plc........... 393,157
66,000 Man (E D & F) Group plc..... 321,230
-----------
987,850
-----------
Services -- 1.3%
111,000 AMEC plc.................... 403,172
97,000 Dowding & Mills plc......... 70,464
-----------
473,636
-----------
Soap & Cosmetics -- 0.9%
195,700 Body Shop International
plc....................... 330,135
-----------
Textiles -- 0.4%
48,000 Allied Textile Cos. plc..... 80,586
187,000 Dawson International........ 52,073
-----------
132,659
-----------
Travel &
Entertainment -- 0.5%
51,000 Mansfield Brewery plc....... 175,362
6,785,578
-----------
TOTAL COMMON STOCKS......... 35,816,723
-----------
PREFERRED STOCKS -- 0.2%
CANADA -- 0.2%
Construction
Materials -- 0.2%
1,900 Lafarge Canada, Inc.*....... 65,938
-----------
TOTAL PREFERRED STOCKS...... 65,938
-----------
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
RIGHTS & WARRANTS -- FOREIGN
SECURITIES -- 0.0%
SINGAPORE -- 0.0%
Building -- 0.0%
6,300 IPCO International Wts @
1.30...................... $ 1,449
-----------
SPAIN -- 0.0%
Building -- 0.0%
2,817 Radiotronica SA Right @
36.0607*.................. 4,440
-----------
TOTAL RIGHTS & WARRANTS --
FOREIGN SECURITIES........ 5,889
-----------
TOTAL INVESTMENTS (COST
$38,783,810)
(A) -- 99.7%.............. 35,888,550
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.3%....... 100,634
-----------
TOTAL NET ASSETS --100.0%... $35,989,184
===========
</TABLE>
- ---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) In September 1998, the Malaysian Government announced an imposition of
capital controls. Although shares held in Malaysian stocks can be traded,
shares purchased prior to September 1, 1998 need to be held until September
1, 1999, before sales proceeds can be converted into another currency.
On February 4, 1999, Bank Negara Malaysia, the central bank, announced a
levy on repatriation of Malaysian ringgit (MYR) held by foreign investors.
The levy, intended to replace the restriction on repatriation of investment
capital that had been in place since September 1, 1998, was implemented on
February 15, 1999.
(c) At March 31, 1999, the aggregate cost of investment securities for income
tax purposes was $39,001,977. Cost for federal income tax purposes differs
from value by net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation... $ 3,025,131
Unrealized depreciation... (6,138,558)
-----------
Net unrealized
depreciation............ $(3,113,427)
===========
</TABLE>
See accompanying notes to the financial statements.
30
<PAGE> 31
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The period since August 1998, has been a particularly difficult time for
the Fund. Over the last eight months, the market has favored high trading
activity growth stocks (stocks with the highest trailing 12-month share turnover
and the highest price-to-earnings ratio), regardless of the underlying
fundamentals associated with the issuing companies. Because the Manager's stock
selection models seeks to reconcile relative stock price with fundamental value,
the Fund has not participated in the rally associated with this small group of
high trading activity growth stocks. The Manager believes that the dominance of
this group of stocks is not sustainable and does not signal the kind of change
in the long-term drivers of equity returns that would lead to a change in the
Manager's investment strategy.
PORTFOLIO REPORT
The portfolio consists of over 800 long securities and 500 short
securities. The portfolio is constructed so that the total long positions and
the total short positions are similar in terms of risk characteristics and have
approximately the same dollar amount invested with minimal exposure to sectors
or industries.
Since the Manager's stock selection models focus on the fundamentals of a
company, the portfolio will have persistent modest exposures to value
characteristics, as well as a bias toward companies whose stock is
less-frequently traded. Much of the Fund's underperformance relative to its
benchmark, 3-month U.S. Treasury Bills, for the year ended March 31, 1999, was
attributable to these "style" exposures as both value and low trading activity
stocks were penalized in the market. This was particularly true during the last
part of 1998 and the first quarter of 1999.
Investment in shares of the Barr Rosenberg Market Neutral Fund is more
volatile and risky than some other forms of investments. Since the Fund has both
a long and a short portfolio, an investment in the Barr Rosenberg Market Neutral
Fund will involve risks associated with twice the number of investment decisions
made for a typical stock fund. These types of funds typically have a high
portfolio turnover that could increase transaction costs and cause short-term
capital gains to be realized. While it may be the intent of the Manager to take
long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
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.
Past performance is no guarantee of future results.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS -- 93.1%
AIRCRAFT -- 1.0%
50,000 Goodrich (B.F.) Co............ $ 1,715,625
6,000 Sequa Corp., Class A*......... 301,500
-------------
2,017,125
-------------
AIRLINES -- 1.5%
52,400 Airborne Freight Corp......... 1,630,950
17,200 Alaska Airgroup, Inc.*........ 817,000
12,900 CNF Transportation, Inc....... 487,781
7,900 Petroleum Helicopter, Inc..... 104,675
-------------
3,040,406
-------------
AUTOS -- 1.5%
20,100 Amcast Industrial Corp........ 324,113
11,100 Arvin Industries, Inc......... 373,931
700 Borg-Warner Automotive,
Inc......................... 33,469
10,200 Durakon Industries, Inc.*..... 117,938
39,400 Federal-Mogul Corp............ 1,694,199
2,900 Hilite Industries, Inc........ 30,631
3,200 Newcor, Inc.*................. 11,400
20,200 Standard Products Co.......... 328,250
-------------
2,913,931
-------------
BANKING -- 4.7%
1,000 Allstate Financial Corp.*..... 4,250
6,600 Ambanc Holding Company,
Inc......................... 110,550
5,100 American Business Financial
Services, Inc............... 62,475
3,300 Bando McGlocklin Capital
Corp........................ 33,413
15,800 Bay View Capital Corp......... 298,224
4,500 BNC Corp., Inc.*.............. 39,938
8,858 BOK Financial Corp.*.......... 228,094
1,200 BYL Bancorp................... 15,300
600 California Independent
Bancorp..................... 12,000
900 Calumet Bancorp, Inc.*........ 25,425
3,200 Carver Bancorp, Inc........... 28,000
3,500 Central Bancorp, Inc.......... 58,625
5,200 Central Financial Acceptance
Corp.*...................... 13,000
2,055 Civic Bancorp*................ 25,688
8,600 Commercial Bank of New York... 111,800
4,600 Community Financial Corp...... 44,275
2,900 Community Financial Group,
Inc......................... 37,156
1,200 Corus Bankshares, Inc......... 38,550
6,800 Downey Financial Corp......... 124,525
1,300 Fidelity National Corp........ 10,888
1,600 First Bancshares, Inc......... 20,000
700 First Charter Corp............ 13,300
9,400 First Citizens Bancshares,
Inc., Class A............... 761,399
1,800 First Keystone Financial,
Inc......................... 25,313
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
200 First Mutual Savings Bank of
Bellevue.................... $ 2,600
8,600 First Republic Bank*.......... 207,475
6,000 First Western Bancorp, Inc.... 189,000
5,500 Flagstar Bancorp, Inc......... 145,750
3,600 FNB Rochester Corp............ 115,200
1,100 Franklin Bank, N.A............ 11,000
100 Fund American Enterprise
Holdings.................... 13,306
3,140 Golden State Bancorp, Inc.*... 69,865
6,900 Hawthorne Financial Corp.*.... 103,500
2,600 HF Bancorp, Inc.*............. 45,663
55,800 Hibernia Corp. -- Class a..... 732,374
2,600 HMN Financial, Inc............ 29,575
300 Iroquois Bancorp, Inc......... 6,263
800 ITLA Capital Corp.*........... 11,600
6,600 JSB Financial, Inc............ 330,824
1,400 Kankakee Bancorp, Inc......... 37,100
5,100 LINC Capital, Inc.*........... 38,888
12,300 Litchfield Financial Corp..... 209,100
9,000 MAF Bancorp, Inc.............. 200,250
1,500 Mutual Savings Bank, FSB*..... 16,500
16,100 New Century Financial
Corp.*...................... 191,188
3,000 North Central Bancshares,
Inc......................... 50,250
2,625 North County Bancorp*......... 34,453
1,300 Northeast Bancorp............. 13,000
6,900 Onyx Acceptance Corp.*........ 42,263
4,000 Pacific Bank N.A.............. 84,000
66,200 Pacific Century Financial
Corp........................ 1,381,924
2,700 Pacific Crest Capital, Inc.... 37,125
3,800 PennFed Financial Services,
Inc......................... 60,800
1,000 Peoples Bancshares, Inc....... 18,750
18,875 Peoples Heritage Financial
Group....................... 339,749
1,100 PVF Capital Corp.*............ 13,888
7,900 Quaker City Bancorp, Inc.*.... 118,500
2,700 Redwood Empire Bancorp........ 66,825
20,300 Resource Bancshares Mortgage
Group, Inc.................. 261,362
1,600 Statewide Financial Corp...... 31,400
1,400 Sterling Bancorp.............. 27,388
5,900 Student Loan Corp............. 220,513
171 Summit Bancorp................ 6,669
26,500 T&W Financial Corp.*.......... 221,938
400 TF Financial Corp............. 6,350
4,200 TFC Enterprises, Inc.*........ 9,188
19,300 Ugly Duckling Corp.*.......... 106,753
8,000 UMB Financial Corp............ 309,999
49,100 UST Corp...................... 1,072,527
3,000 Wainwright Bank & Trust Co.... 23,250
900 Washington Savings Bank FSB... 3,713
</TABLE>
See accompanying notes to the financial statements.
32
<PAGE> 33
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
4,600 WFS Financial, Inc.*.......... $ 31,913
1,900 Yonkers Financial Corp........ 28,500
-------------
9,472,199
-------------
BUILDING -- 1.1%
5,600 AMREP Corp.*.................. 28,700
7,100 Centex Corp................... 236,963
1,000 Champion Enterprises, Inc.*... 19,375
8,300 Dominion Homes, Inc.*......... 65,363
8,300 Hovnanian Enterprises, Inc.,
Class A*.................... 62,250
10,700 Jacobs Engineering Group,
Inc.*....................... 421,981
900 Liberty Homes, Inc., Class
A........................... 8,775
4,800 M/I Schottenstein Homes,
Inc......................... 85,200
2,500 Meadow Valley Corp.*.......... 10,000
2,000 MYR Group, Inc................ 23,375
8,700 Perini Corp.*................. 38,063
36,800 Pulte Corp.................... 765,899
11,100 Skyline Corp.................. 308,025
10,400 Washington Homes, Inc.*....... 53,300
-------------
2,127,269
-------------
CHEMICALS -- 0.7%
2,600 Albemarle Corp................ 49,075
11,300 Bairnco Corp.................. 53,675
1,300 Detrex Corp.*................. 8,206
23,900 Ethyl Corp.................... 101,575
40,500 Ferro Corp.................... 1,002,374
33,700 ICO, Inc...................... 41,072
9,600 Lesco, Inc.................... 142,800
1,500 Millenium Chemicals, Inc...... 29,813
2,100 Mississippi Chemical Corp..... 19,688
-------------
1,448,278
-------------
CONSTRUCTION MATERIALS -- 2.4%
2,500 Align-Rite International,
Inc.*....................... 28,906
19,600 Alpine Group, Inc.*........... 198,450
900 Amcol International Corp...... 9,000
8,900 Ameron International, Inc..... 315,950
1,100 Centex Construction Products,
Inc......................... 38,294
600 Continental Materials
Corp.*...................... 21,000
6,300 Donnelly Corp................. 82,688
16,000 Florida Rock Industries....... 546,000
37,000 Lafarge Corp.................. 1,036,000
3,500 Lancaster Colony Corp......... 93,188
2,900 Martin Marietta Materials,
Inc......................... 165,481
300 Oil-DRI Corp. America......... 4,369
41,700 Southdown, Inc................ 2,238,768
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS
(CONTINUED)
200 United States Lime & Minerals,
Inc......................... $ 1,525
-------------
4,779,619
-------------
DEFENSE -- 0.4%
7,400 Allied Research Corp.*........ 52,263
10,200 Avondale Industries, Inc.*.... 300,899
6,600 Herley Industries, Inc.*...... 79,200
1,300 Orbit International Corp...... 1,625
6,500 Primex Technologies, Inc...... 134,875
14,800 Spacehab, Inc.*............... 96,200
13,900 Todd Shipyards Corp.*......... 55,600
11,500 United Industrial Corp........ 127,938
-------------
848,600
-------------
DRUGS -- 5.2%
17,300 Agouron Pharmaceuticals,
Inc.*....................... 978,531
1,410 Allergan Specialty
Therapeutics, Inc., Class
A*.......................... 14,100
20,100 Alpharma, Inc., Class A....... 788,925
18,200 Ambi, Inc.*................... 21,613
10,600 Biopool International,
Inc.*....................... 7,950
18,200 Biosite Diagnostics, Inc.*.... 182,000
27,000 Cambrex Corp.................. 597,375
25,700 Diagnostic Products Corp...... 623,225
36,700 Gensia Sicor, Inc.*........... 103,219
300 Genzyme Corp.*................ 15,131
1,329 Genzyme Molecular Oncology*... 4,984
5,300 Hi-Tech Pharmacal Co.,
Inc.*....................... 17,225
8,900 Hycor Biomedical, Inc.*....... 9,178
29,200 Idexx Laboratories, Inc.*..... 698,975
32,200 Immulogic Pharmaceutical
Corp.*...................... 60,375
8,000 IVC Industries, Inc.*......... 6,500
84,100 Mallinckrodt, Inc............. 2,239,162
34,850 Medicis Pharmaceutical*....... 1,045,500
31,000 Medimmune, Inc.*.............. 1,834,812
1,200 Millenium Pharmaceuticals,
Inc.*....................... 37,500
2,090 New Brunswick Scientific,
Inc.*....................... 9,732
5,600 PDK Labs, Inc.*............... 25,200
12,100 Quidel Corp.*................. 24,200
4,900 Regeneron Pharmaceutical
Inc.*....................... 32,463
41,600 Roberts Pharmaceutical
Corp.*...................... 863,200
3,700 Schein Pharmaceutical,
Inc.*....................... 48,100
-------------
10,289,175
-------------
DURABLES -- 0.0%
1,400 Fleetwood Enterprises, Inc.... 40,075
1,000 Polk Audio, Inc.*............. 11,000
-------------
51,075
-------------
</TABLE>
See accompanying notes to the financial statements.
33
<PAGE> 34
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES -- 0.9%
11,900 Bangor Hydro-Electric Co.*.... $ 150,981
64,900 Conectiv, Inc................. 1,257,438
24,400 Public Service Company of New
Mexico...................... 414,800
-------------
1,823,219
-------------
ELECTRONICS -- 8.4%
11,900 Allied Healthcare Products,
Inc.*....................... 23,056
5,300 American Technical Ceramics
Corp.*...................... 30,475
7,600 Applied Signal Technology,
Inc.*....................... 47,500
18,200 Atmel Corp.*.................. 276,413
8,800 Bard C.R., Inc................ 443,850
2,150 Bel Fuse, Inc., Class B....... 66,650
13,300 Bio-Rad Laboratories, Inc.,
Class A*.................... 269,325
10,500 Cobra Electronics Corp.*...... 39,375
22,300 Conmed Corp.*................. 691,300
1,600 Cree Research, Inc.*.......... 75,100
16,400 CTS Corp...................... 810,775
1,900 Daniel Industries, Inc........ 28,975
15,800 Datascope Corp.*.............. 426,600
4,100 Datron Systems, Inc.,
California*................. 25,625
6,100 Detection Systems, Inc.*...... 48,800
5,200 Diodes, Inc.*................. 25,350
2,300 DSP Technology, Inc.*......... 16,963
2,400 Empi, Inc.*................... 51,900
2,900 EMS Technologies, Inc.*....... 40,963
800 Fischer Imaging Corp.*........ 1,050
700 Fossil, Inc.*................. 20,869
200 Frequency Electronic, Inc..... 1,500
49,900 General Instrument Corp.*..... 1,512,593
34,800 Haemonetics Corp.*............ 545,924
6,500 Instron Corp.................. 103,188
3,600 Inter-Tel, Inc................ 56,025
73,300 International Rectifier
Corp.*...................... 513,099
33,200 InterVoice, Inc.*............. 365,199
27,900 Invacare Corp................. 678,318
500 Isco, Inc..................... 2,500
1,800 K-Tron International, Inc.*... 32,400
17,600 Keithley Instruments, Inc..... 114,400
1,800 Kewaunee Scientific Corp...... 17,438
7,000 Laserscope*................... 8,750
3,000 Maxxim Medical, Inc.*......... 56,625
5,800 Medical Action Industries,
Inc.*....................... 15,950
8,000 Medstone International,
Inc.*....................... 55,000
4,900 Meridian Medical Technologies,
Inc.*....................... 26,644
2,400 Merrimac Industries, Inc.*.... 12,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
11,900 Methode Electronics........... $ 132,388
300 Metrika Systems Corp.*........ 2,325
18,600 Microtel International,
Inc.*....................... 8,138
5,500 Microtest, Inc.*.............. 13,063
4,300 Mine Safety Appliances Co..... 249,400
5,500 Minntech Corp................. 69,438
2,100 Moore Products Co............. 43,575
13,900 Mosaix, Inc.*................. 116,413
600 Perclose, Inc.*............... 18,600
6,600 PictureTel Corp.*............. 46,200
3,300 Plantronics, Inc.*............ 206,456
30,200 PMC-Sierra, Inc.*............. 2,149,862
17,500 Polycom, Inc.*................ 328,125
13,100 Porta Systems Corp.*.......... 27,838
7,100 Relm Wireless Corp.*.......... 12,869
2,000 Salient 3 Communications,
Inc.*....................... 12,750
300 SDL, Inc.*.................... 27,225
3,000 Siliconix, Inc.*.............. 63,000
800 Smartflex Systems, Inc.*...... 2,950
3,266 SonoSite, Inc.*............... 44,908
11,400 Spacelabs Medical, Inc.*...... 191,663
1,000 Span-America Medical Systems,
Inc......................... 4,250
3,800 Sparton Corp.*................ 21,850
26,200 Stoneridge, Inc.*............. 363,525
28,600 Sunrise Medical, Inc.*........ 178,750
2,700 Thermoquest Corp.*............ 32,738
800 Transwitch Corp.*............. 36,200
2,100 Triquint Semiconductor,
Inc.*....................... 38,850
13,700 Uniphase Corp.*............... 1,577,212
4,300 Vertex Communications
Corp.*...................... 68,531
2,700 Vicon Industries, Inc.*....... 18,900
4,700 Video Display Corp.*.......... 22,325
23,400 Waters Corp.*................. 2,458,462
3,300 Wegener Corp.*................ 5,053
1,900 Xeta Corp.*................... 31,350
14,200 Xomed Surgical Products,
Inc.*....................... 557,349
-------------
16,760,998
-------------
FINANCIAL INVESTMENTS -- 0.3%
4,000 Amplicon, Inc................. 41,500
1,000 Blimpie International, Inc.... 2,438
2,100 Cooper Life Sciences*......... 73,499
2,100 Echelon International
Corp.*...................... 41,213
6,900 HPSC, Inc.*................... 62,100
6,300 International Aircraft
Investors*.................. 46,463
8,700 IPI, Inc.*.................... 29,363
</TABLE>
See accompanying notes to the financial statements.
34
<PAGE> 35
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL INVESTMENTS
(CONTINUED)
5,800 PS Group Holdings, Inc........ $ 47,125
3,100 REFAC Technology Development
Corp.*...................... 17,438
12,500 Rental Services Corp.*........ 218,749
10,600 Sunrise International Leasing
Corp.*...................... 35,775
-------------
615,663
-------------
FOOD -- 2.2%
30,900 Chiquita Brands International,
Inc......................... 314,794
13,100 Chock Full o' Nuts Corp.*..... 72,050
21,300 Corn Products International,
Inc......................... 509,869
46,400 Dean Foods Co................. 1,652,999
2,000 Earthgrains Company........... 44,375
860 Farmer Brothers Co............ 170,280
8,800 Fresh Foods, Inc.*............ 48,400
2,500 Green Mountain Coffee,
Inc.*....................... 15,938
69,800 IBP, Inc...................... 1,300,024
4,300 Imperial Sugar Co............. 26,069
5,200 Omega Protein Corp.*.......... 33,150
2,700 Scheid Vineyards, Inc., Class
A*.......................... 14,175
700 Scope Industries.............. 46,200
500 Seaboard Corp................. 149,000
7,000 Sylvan, Inc.*................. 70,438
-------------
4,467,761
-------------
HEALTH -- 0.6%
5,400 Advocat, Inc.*................ 12,825
17,400 Diagnostic Health Services,
Inc.*....................... 21,206
1,900 Hanger Orthopedic Group,
Inc.*....................... 25,650
2,500 National Home Health Care
Corp.*...................... 10,938
10,900 PhyMatrix Corp.*.............. 18,734
1,600 PMR Corp.*.................... 7,400
41,100 Quest Diagnostics, Inc.*...... 914,475
13,300 Sheridan Healthcare, Inc.*.... 114,713
1,000 Specialty Care Network,
Inc.*....................... 656
20,100 Staff Builders, Inc., Class
A*.......................... 7,638
4,800 UniHolding Corp.*............. 14,400
56,500 Vencor, Inc.*................. 74,156
-------------
1,222,791
-------------
HOUSEHOLD -- 2.6%
18,400 ACX Technologies, Inc.*....... 241,500
10,700 Aldila, Inc.*................. 20,063
5,300 American Biltrite, Inc........ 99,375
700 Baldwin Piano & Organ Co.*.... 5,600
1,400 Brunswick Corp................ 26,688
30,500 Carter-Wallace, Inc........... 552,812
12,100 Catalina Lighting, Inc.*...... 33,275
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
4,400 Daktronics, Inc.*............. $ 46,200
200 Educational Insights, Inc.*... 369
2,700 Escalade, Inc................. 47,081
18,600 Genlyte Group, Inc.*.......... 297,599
12,600 Gundle/SLT Environmental,
Inc.*....................... 34,650
14,300 Home Products International,
Inc.*....................... 130,488
16,100 Ivex Packaging Corp.*......... 244,519
2,100 Jakks Pacific, Inc.*.......... 38,850
52,200 Kimball International, Inc.,
Class B..................... 776,474
8,100 Knoll, Inc.*.................. 199,463
10,500 Ladd Furniture, Inc.*......... 179,813
20,500 Lamson & Sessions Co.*........ 101,219
1,000 Michael Anthony Jewelers,
Inc.*....................... 3,563
5,000 Myers Industries, Inc......... 105,625
11,800 National Service Industries,
Inc......................... 401,937
13,100 O'Sullivan Corp............... 109,713
23,100 O'Sullivan Industries
Holdings, Inc.*............. 319,068
4,800 Patrick Industries, Inc....... 64,800
200 Pubco Corp.*.................. 1,725
2,600 Pulaski Furniture Corp........ 53,300
13,600 Quixote Corp.................. 154,700
8,800 Reunion Industries, Inc.*..... 42,900
9,800 Rotonics Manufacturing,
Inc......................... 8,575
15,000 Rowe Furniture Corp........... 150,000
4,900 Russ Berrie & Co., Inc........ 128,013
15,700 Shelby Williams Industries,
Inc......................... 150,131
4,800 SL Industries, Inc............ 56,400
1,100 Summa Industries, Inc.*....... 10,313
3,400 Trans-Lux Corp................ 29,325
5,000 Triple S Plastics, Inc.*...... 17,500
5,000 UFP Technologies, Inc.*....... 18,125
8,800 Winsloew Furniture, Inc.*..... 262,349
-------------
5,164,100
-------------
INSURANCE -- 5.0%
12,700 Acceptance Insurance
Companies, Inc.*............ 171,450
27,800 ARM Financial Group, Inc...... 415,263
1,700 Capital Re Corp............... 29,325
48,100 Everest Reinsurance Holdings,
Inc......................... 1,500,118
2,600 Express Scripts, Inc., Class
A*.......................... 223,438
1,800 Financial Industries Corp.*... 21,600
43,700 First American Financial
Corp........................ 691,006
12,400 Foremost Corp. of America..... 249,550
14,200 Healthplan Services Corp...... 100,288
9,000 InterContinental Life
Corp.*...................... 74,813
4,200 Kaye Group, Inc............... 29,925
16,200 LandAmerica Financial Group,
Inc......................... 469,800
</TABLE>
See accompanying notes to the financial statements.
35
<PAGE> 36
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
15,800 Liberty Financial Companies,
Inc......................... $ 372,288
400 Midland Co.................... 9,650
600 Mobile America Corp........... 1,650
36,000 National Data Corp............ 1,511,999
3,200 National Western Life
Insurance, Class A*......... 338,400
11,500 Old Republic International
Corp........................ 209,875
27,800 PMI Group, Inc................ 1,289,224
2,016 Safeguard Health Enterprises,
Inc.*....................... 5,166
27,300 Seibels Bruce Group, Inc.*.... 85,313
2,300 Sierra Health Services,
Inc......................... 29,900
5,600 Standard Management Corp.*.... 35,000
3,800 Stewart Information Services
Corp........................ 127,538
62,400 TIG Holdings, Inc............. 1,017,899
25,000 Trigon Healthcare, Inc.*...... 856,250
200 UICI*......................... 4,500
5,800 United Wisconsin Services,
Inc......................... 42,413
-------------
9,913,641
-------------
LIQUOR & TOBACCO -- 0.6%
21,200 Coors (Adolph) Co., Class B... 1,144,800
-------------
MACHINERY -- 7.3%
8,300 Acme Electric Corp.*.......... 33,200
1,100 American Buildings Co.*....... 20,763
5,300 Amistar Corp.*................ 11,263
14,600 Ampco-Pittsburgh Corp......... 144,175
7,000 Astec Industries, Inc.*....... 216,125
3,200 Briggs & Stratton Corp........ 157,800
16,000 Brown & Sharpe Manufacturing
Co.*........................ 79,000
2,500 BTU International, Inc.*...... 7,344
1,600 Butler Manufacturing Co....... 37,500
7,900 CMI Corp., Class A............ 49,375
8,000 Dayton Superior Corp.*........ 139,000
600 Detroit Diesel Corp........... 13,500
2,500 Edison Control Corp.*......... 21,875
17,000 Ekco Group, Inc.*............. 57,375
15,100 ESCO Electronics Corp.*....... 135,900
15,500 Fedders Corp.................. 78,469
700 Federal Screw Works........... 36,400
6,900 Gehl Co.*..................... 101,775
9,700 Gencor Industries, Inc........ 61,231
1,800 Graham Corp.*................. 14,400
10,000 Greenbrier Companies, Inc..... 95,000
43,800 Griffon Corp.*................ 301,125
8,300 Haskel International, Inc.,
Class A..................... 102,713
30,500 Hussmann International,
Inc......................... 447,969
11,800 Laser Power Corp.*............ 11,063
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
5,000 Lincoln Electric Holdings,
Inc......................... $ 93,125
8,700 Lufkin Industries, Inc........ 144,094
23,600 Material Sciences Corp.*...... 150,450
5,300 Maxco, Inc.*.................. 30,806
5,200 MFRI, Inc.*................... 16,250
2,700 Milacron, Inc................. 42,525
5,800 Monarch Machine Tool Co....... 39,875
30,000 MotivePower Industries,
Inc.*....................... 753,749
24,800 NCI Building Systems, Inc.*... 582,800
37,400 Novellus Systems, Inc.*....... 2,061,674
1,800 Oilgear Co.................... 13,950
1,000 P & F Industries, Inc.*....... 9,563
1,800 Mueller (Paul) Co............. 60,075
2,000 Peerless Manufacturing
Corp........................ 18,750
8,100 Pentair, Inc.................. 273,375
10,300 Pitt-Des Moines, Inc.......... 234,325
7,500 Powell Industries, Inc.*...... 66,094
63,000 Premark International, Inc.... 2,075,062
1,900 Quipp, Inc.*.................. 40,138
2,000 Robertson-Ceco Corp.*......... 14,500
900 Sauer, Inc.................... 9,338
900 Selas Corporation of
America..................... 4,894
2,500 Shiloh Industries, Inc.*...... 29,688
600 SPS Technologies, Inc.*....... 23,550
9,300 Starrett (L.S.) Co., Class
A........................... 251,100
6,600 Tecumseh Products Co., Class
B........................... 299,475
27,600 Teleflex, Inc................. 940,124
13,600 Tower Automotive, Inc.*....... 253,300
9,900 Transtechnology Corp.......... 163,350
50,100 Trinity Industries, Inc....... 1,471,687
4,200 Twin Disc, Inc................ 80,850
53,800 UNOVA, Inc.*.................. 709,487
8,500 Varlen Corp................... 187,000
18,200 Watts Industries, Inc......... 246,838
23,600 York International Corp....... 833,374
-------------
14,599,575
-------------
MEDIA -- 3.9%
600 4Kids Entertainment, Inc.*.... 17,175
1,800 Banta Corp.................... 34,200
37,600 Bowne & Co., Inc.............. 439,450
10,900 Cadmus Communications Corp.... 156,688
22,660 Chris-Craft Industries,
Inc.*....................... 1,033,862
3,400 Courier Corp.................. 70,550
2,900 Clark (Dick) Productions,
Inc.*....................... 33,350
1,700 Dow Jones & Co., Inc.......... 80,219
29,800 Four Media Co.*............... 178,800
34,800 Franklin Covey Co.*........... 313,200
</TABLE>
See accompanying notes to the financial statements.
36
<PAGE> 37
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
1,175 Grey Advertising.............. $ 407,725
9,100 Houghton Mifflin Co........... 426,563
58,400 King World Productions,
Inc.*....................... 1,784,849
25,400 Media General, Inc., Class
A........................... 1,181,099
17,000 Merrill Corp.................. 227,375
4,800 Metatec Corp.*................ 20,400
7,700 Playboy Enterprises, Inc.,
Class A*.................... 154,963
3,200 Producers Entertainment
Group*...................... 4,800
9,400 Standard Register Co.......... 279,063
800 Thomas Nelson, Inc............ 8,000
15,300 TMP Worldwide, Inc.*.......... 991,631
3,900 Todd-AO Corp.................. 30,713
-------------
7,874,675
-------------
METALS -- 2.3%
24,400 AK Steel Holding Corp......... 550,524
13,600 Atchison Casting Corp.*....... 109,650
600 Bayou Steel Corp., Class A*... 1,875
1,200 Brush Wellman, Inc............ 17,400
15,800 Century Aluminum Co........... 89,863
9,500 Cleveland-Cliffs, Inc......... 323,593
13,800 Commercial Metals Co.......... 276,000
6,600 Curtiss-Wright Corp........... 205,013
16,800 Easco, Inc.................... 121,800
1,200 General Housewares Corp....... 12,450
4,800 Imco Recycling, Inc........... 61,800
3,600 Insteel Industries, Inc....... 20,250
3,100 Kentucky Electric Steel,
Inc.*....................... 10,463
900 Foster (L.B.) Co.*............ 4,163
7,700 Lindberg Corp................. 67,856
30,500 Mueller Industries, Inc.*..... 682,437
2,000 Niagara Corp.*................ 12,500
1,700 Quanex Corp................... 26,350
10,000 Reliance Steel & Aluminum
Co.......................... 288,125
8,500 Roanoke Electric Steel
Corp........................ 94,563
5,500 Southern Peru Limited......... 55,344
15,300 Steel Technologies, Inc....... 120,488
27,400 Stillwater Mining Co.*........ 722,674
3,900 Superior Telecom, Inc......... 73,613
2,000 Tremont Corp.................. 35,250
46,200 Walter Industries, Inc.*...... 519,750
12,000 Webco Industries, Inc.*....... 54,000
-------------
4,557,794
-------------
MISCELLANEOUS FINANCIAL --1.3%
6,500 Atalanta Sosnoff Capital
Corp........................ 43,875
200 Edwards (A.G.) Inc............ 6,538
4,900 Investment Technology Group,
Inc.*....................... 248,675
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL (CONTINUED)
8,600 John Nuveen Co., Class A...... $ 360,125
15,900 Maxcor Financial Group,
Inc.*....................... 19,875
795 Omega Worldwide, Inc.*........ 2,981
6,700 Pilgrim America Capital
Corp.*...................... 127,300
1,500 Southwest Securities Group,
Inc......................... 42,375
4,399 Stifel Financial Corp......... 39,591
75,200 United Asset Management
Corp........................ 1,701,400
2,800 Value Line, Inc............... 96,775
-------------
2,689,510
-------------
OFFICE MACHINERY -- 1.1%
13,300 Asante Technologies, Inc.*.... 12,469
10,700 Autologic Information
International, Inc.*........ 51,494
22,000 Baldwin Technology Company,
Inc., Class A*.............. 63,250
6,100 Boundless Corp.*.............. 26,688
4,180 CSP, Inc.*.................... 32,918
5,000 Dataram Corp.*................ 37,500
6,450 Equinox Systems, Inc.*........ 60,469
10,300 General Binding Corp.......... 267,155
28,900 Gerber Scientific, Inc........ 583,418
14,900 Interphase Corp.*............. 93,125
11,700 Key Tronic Corp.*............. 38,025
31 Pinnacle Systems, Inc.*....... 1,411
9,650 Rainbow Technologies, Inc.*... 96,500
3,700 SBE, Inc.*.................... 17,228
15,200 Scan Optics, Inc.*............ 53,200
2,400 Storage Technology Corp.*..... 66,900
29,100 Xircom, Inc.*................. 731,137
-------------
2,232,887
-------------
OIL -- 0.2%
19,300 American Resources Offshore,
Inc.*....................... 7,238
330 Columbus Energy Corp.*........ 1,815
9,000 Equity Oil Co.*............... 8,438
2,283 Greka Energy Corp.*........... 15,413
12,300 Holly Corp.................... 164,512
2,600 Inland Resources, Inc.*....... 5,850
2,100 Louis Dreyfus Natural Gas
Corp.*...................... 30,450
6,300 Maynard Oil Co.*.............. 54,338
6,700 Panaco, Inc.*................. 6,281
27,800 Parallel Petroleum Corp.*..... 34,750
16,800 PetroCorp, Inc.*.............. 83,999
18,900 Tipperary Corp.*.............. 15,356
15,900 TransTexas Gas Corp.*......... 15,900
8,700 Virginia Gas Co............... 21,750
-------------
466,090
-------------
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE> 38
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION -- 0.4%
8,500 Aquila Gas Pipeline Corp...... $ 61,625
5,100 Castle Energy Corp............ 81,600
21,100 Huntway Refining Co.*......... 31,650
32,500 Kaneb Services, Inc.*......... 132,031
2,800 Quaker Chemical Corp.......... 39,550
400 Sunoco, Inc................... 14,425
38,400 Tesoro Petroleum Corp.*....... 422,400
-------------
783,281
-------------
OIL SERVICES -- 0.5%
4,600 Dawson Geophysical Co.*....... 36,225
2,800 Eagle Geophysical, Inc.*...... 10,675
31,800 Oceaneering International,
Inc.*....................... 480,975
15,000 Petroleum Development
Corp.*...................... 54,375
6,100 Pool Energy Services Co.*..... 93,406
27,400 Seitel, Inc.*................. 381,888
8,700 Transcoastal Marine Services,
Inc.*....................... 34,800
-------------
1,092,344
-------------
OTHER UTILITIES -- 3.0%
21,000 Browning-Ferris Industries,
Inc......................... 809,813
2,600 Clean Harbors, Inc.*.......... 4,388
23,300 Columbia Energy Group......... 1,217,425
25,400 Eastern Enterprises........... 923,925
71,600 El Paso Energy Corp........... 2,340,424
4,400 GZA GeoEnvironmental
Technologies, Inc.*......... 19,800
7,100 Harding Lawson Associates
Group*...................... 49,700
4,200 National Fuel Gas Co.......... 164,850
4,300 Peoples Energy Corp........... 138,944
5,700 Weston (Roy F.), Inc.*........ 12,825
9,800 Southwest Gas Corp............ 269,500
10,700 TRC Companies, Inc.*.......... 50,156
-------------
6,001,750
-------------
PAPER -- 1.5%
500 Badger Paper Mills, Inc.*..... 3,578
5,900 Baltek Corp.*................. 53,100
1,500 Carmel Container Systems,
Ltd.*....................... 8,438
11,300 Fibermark, Inc.*.............. 133,481
3,400 Greif Brothers Corp., Class
A........................... 74,800
112,600 Louisiana-Pacific Corp........ 2,097,174
15,300 Rock-Tenn Co., Class A........ 235,238
7,400 Universal Forest Products,
Inc......................... 151,700
22,380 Wausau-Mosinee Paper Corp..... 313,320
-------------
3,070,829
-------------
REAL ESTATE ASSETS -- 3.5%
4,000 Alta Gold Co.*................ 2,875
43,100 AMB Property Corp............. 894,324
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
2,200 Amli Residential Properties... $ 45,375
1,582 Apartment Investment &
Management Co............... 57,348
700 Arden Realty, Inc............. 15,575
13,700 Bridgestreet Accommodations,
Inc.*....................... 47,950
20,300 Castle & Cooke, Inc.*......... 271,513
12,100 CBL & Associates Properties,
Inc......................... 281,325
10,400 Commercial Assets, Inc........ 51,350
16,500 Commercial NET Lease Realty... 184,594
7,700 Cornerstone Realty Income
Trust....................... 81,813
3,600 Developers Diversified
Realty...................... 51,525
1,600 DeWolfe Companies, Inc........ 11,200
4,900 Excel Legacy Corp.*........... 16,844
16,200 Forest City Enterprises, Inc.,
Class A..................... 391,838
2,100 G&L Realty Corp............... 25,725
13,591 Healthcare Realty Trust,
Inc......................... 258,229
38,000 Highwoods Properties, Inc..... 895,374
4,700 Hospitality Properties
Trust....................... 127,194
4,200 ILX Resorts, Inc.*............ 6,825
5,500 Innkeepers USA Trust.......... 51,219
9,200 Lexford Residential Trust..... 155,825
41,500 LNR Property Corp............. 819,624
2,700 Mays (J.W.), Inc.*............ 18,900
1,100 New Mexico & Arizona Land
Co.*........................ 7,975
38,040 New Plan Excel Realty Trust... 729,892
8,600 Omega Healthcare Investors,
Inc......................... 197,263
2,100 Pan Pacific Retail Properties,
Inc......................... 37,275
11,400 Price Enterprises, Inc........ 63,413
6,000 Prime Group Realty Trust...... 79,500
5,600 Prison Realty Corp............ 97,650
14,520 ProLogis Trust................ 297,660
9,600 Silverleaf Resorts, Inc.*..... 76,800
35,400 Westfield America, Inc........ 617,287
1,500 Wilshire Oil Company of
Texas*...................... 5,906
-------------
6,974,985
-------------
RETAIL/WHOLESALE -- 9.8%
27,400 Abercrombie & Fitch Co.*...... 2,520,799
6,450 Aceto Corp.................... 76,191
5,500 Allou Health & Beauty, Class
A*.......................... 58,781
15,800 American Eagle Outfitters,
Inc.*....................... 1,132,662
27,000 Ames Department Stores,
Inc.*....................... 1,002,374
4,600 Arden Group, Inc., Class A*... 189,750
38,500 Audiovox Corp., Class A*...... 255,062
7,200 Avteam, Inc.*................. 35,100
6,200 Bell Microproducts, Inc.*..... 37,588
34,600 Bergen Brunswig Corp.......... 691,999
9,100 Best Buy, Inc.*............... 473,199
95,600 BJ's Wholesale Club, Inc.*.... 2,527,424
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
5,500 Braun's Fashions Corp.*....... $ 44,000
1,200 Building Materials Holding
Corp.*...................... 12,150
9,800 Cache, Inc.*.................. 61,863
13,300 Cameron Ashley Building
Products*................... 121,363
5,800 Capital Associates, Inc.*..... 22,113
186 Cardinal Health, Inc.......... 12,276
9,500 Catherines Stores Corp.*...... 66,500
24,500 CHS Electronics, Inc.*........ 78,094
16,600 DEB Shops, Inc................ 186,750
2,900 Discount Auto Parts, Inc.*.... 62,350
20,700 Drug Emporium, Inc.*.......... 99,619
5,500 Duane Reade, Inc.*............ 153,313
3,300 Eagle Food Centers, Inc.*..... 9,694
12,000 Enesco Group, Inc............. 216,750
1,900 Envirosource, Inc.*........... 4,750
22,700 EZCORP, Inc., Class A......... 156,063
1,717 Factory 2-U Stores, Inc.*..... 19,960
800 Foodarama Supermarkets,
Inc.*....................... 22,800
5,800 Fred's, Inc................... 63,800
4,500 Friedman's, Inc., Class A..... 40,500
7,600 Hahn Automotive Warehouse,
Inc.*....................... 13,300
17,300 Heilig Meyers Co.............. 89,744
1,300 Holiday RV Superstores,
Inc.*....................... 3,250
27,400 Hughes Supply, Inc............ 623,349
3,500 IIC Industries, Inc.*......... 35,000
14,100 Industrial Distribution Group,
Inc.*....................... 74,025
1,500 Johnson Worldwide Associates,
Inc., Class A*.............. 9,750
11,100 Katy Industries, Inc.......... 144,300
14,900 Loehmann's, Inc.*............. 17,694
3,100 Longs Drug Stores, Inc........ 94,356
16,600 Maxim Group, Inc.*............ 141,100
10,000 Metal Management, Inc.*....... 15,938
35,900 Micro Warehouse, Inc.*........ 578,887
26,800 MicroAge, Inc.*............... 144,050
3,400 Moore Medical Corp.*.......... 35,700
6,800 NCS Healthcare, Inc., Class
A*.......................... 81,600
500 Noland Co..................... 10,500
5,400 Pamida Holdings Corp.*........ 16,875
18,600 Phar-Mor, Inc.*............... 109,275
4,000 PolyMedica Corp.*............. 30,000
6,300 Programmer's Paradise,
Inc.*....................... 76,388
1,700 QEP Company, Inc.*............ 13,813
3,500 Rag Shops, Inc.*.............. 7,875
8,400 Recycling Industries, Inc.*... 1,512
5,200 Reeds Jewelers, Inc.*......... 13,650
14,000 REX Stores Corp.*............. 161,875
26,400 Ruddick Corp.................. 514,799
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
7,300 S & K Famous Brands, Inc.*.... $ 63,419
14,700 Savoir Technology Group,
Inc.*....................... 126,788
7,100 Seaway Food Town, Inc......... 102,950
10,100 SED International Holdings,
Inc.*....................... 29,038
37,900 Service Merchandise Co.*...... 8,883
19,400 Shoe Carnival, Inc.*.......... 242,500
4,900 Software Spectrum, Inc.*...... 66,763
2,000 Speizman Industries, Inc.*.... 7,500
3,900 Sport Chalet, Inc.*........... 21,938
10,700 Syms Corp.*................... 79,581
3,800 Tandycrafts, Inc.*............ 8,313
22,200 Today's Man, Inc.*............ 29,138
8,800 Tractor Supply Co.*........... 224,950
6,508 Travel Ports of America,
Inc.*....................... 23,592
52,800 U.S. Foodservice*............. 2,455,199
16,300 United Retail Group, Inc.*.... 187,450
7,100 Universal Corp................ 181,494
2,600 Value City Department Stores,
Inc.*....................... 25,350
2,700 Village Supermarket, Inc.,
Class A*.................... 38,138
2,300 Western Beef, Inc.*........... 15,094
53,500 Zale Corp.*................... 1,829,030
-------------
19,281,350
-------------
SERVICES -- 9.2%
65,700 AC Nielsen Corp.*............. 1,782,112
42,500 Acxiom Corp.*................. 1,126,250
2,400 Adept Technology, Inc.*....... 15,825
2,100 American Vantage Companies*... 2,166
11,700 Angelica Corp................. 163,800
15,000 Ardent Software, Inc.*........ 240,938
5,600 Avant! Corporation*........... 99,400
4,600 AXENT Technologies, Inc.*..... 110,688
400 Berlitz International,
Inc.*....................... 8,925
1,800 BroadVision, Inc.*............ 107,550
9,000 Castle Dental Centers,
Inc.*....................... 60,188
13,900 CDI Corp.*.................... 334,469
3,600 Checkfree Holdings Corp.*..... 153,225
11,500 Corrpro Companies, Inc.*...... 130,813
28,600 Covance, Inc.*................ 716,787
13,700 CPI Corp...................... 306,538
3,700 Craig Corp.*.................. 27,981
800 Data Broadcasting Corp.*...... 11,100
12,100 Dataware Technologies,
Inc.*....................... 30,250
2,900 Diehl Graphsoft, Inc.*........ 9,244
4,900 Duff & Phelps Credit Rating
Co.......................... 256,638
8,300 Emcon, Inc.*.................. 26,975
1,500 Esquire Communications,
Ltd.*....................... 8,906
14,400 Exponent, Inc.*............... 81,000
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
52,300 Gtech Holdings Corp.*......... $ 1,274,812
17,000 Headway Corporate Resources,
Inc.*....................... 74,375
14,400 Indus International, Inc.*.... 63,900
11,100 Infinium Software, Inc.*...... 49,950
2,600 Interlinq Software Corp.*..... 19,988
27,600 Kelly Services, Inc., Class
A........................... 765,899
2,000 Made2Manage Systems, Inc.*.... 17,500
200 Marlton Technologies, Inc.*... 988
4,100 Mastech Corp.*................ 53,300
8,900 Mechanical Dynamics, Inc.*.... 55,625
95,700 Mentor Graphics Corp.*........ 1,291,949
9,585 Merant plc -- ADR............. 93,454
35,400 Mercury Interactive Corp.*.... 1,261,124
9,700 Baker (Michael) Corp.*........ 70,325
17,500 Morrison Knudsen Corp.*....... 173,906
4,400 National Computer Systems,
Inc......................... 107,800
10,400 National Technical Systems,
Inc......................... 61,100
800 Network Associates, Inc.*..... 24,550
5,400 New Horizons Worldwide,
Inc.*....................... 107,325
2,166 Nielsen Media Research,
Inc......................... 53,473
100 Nobel Learning Communities,
Inc.*....................... 488
4,900 Norstan, Inc.*................ 45,325
2,800 Olsten Corp................... 17,325
2,900 Opinion Research Corp.*....... 10,513
3,700 OutSource International,
Inc.*....................... 12,025
12,900 PC Docs Group International,
Inc.*....................... 55,631
11,000 Personnel Group of America,
Inc.*....................... 79,063
15,300 Policy Management Systems
Corp.*...................... 468,563
5,550 Progress Software Corp.*...... 189,394
13,400 Project Software &
Development, Inc.*.......... 328,300
33,100 ProMedCo Management Co.*...... 153,088
4,000 Prophet 21, Inc.*............. 43,000
11,000 Protection One, Inc.*......... 68,750
4,500 Quality Systems, Inc.*........ 16,875
2,000 RealNetworks, Inc.*........... 244,375
13,900 RMH Teleservices, Inc.*....... 28,669
5,400 SEI Investments Co............ 499,499
17,000 Simione Central Holdings,
Inc.*....................... 29,750
11,500 SS&C Technologies, Inc.*...... 142,313
68,100 Sterling Software, Inc.*...... 1,617,374
8,500 Sykes Enterprises, Inc.*...... 274,656
43,000 Symantec Corp.*............... 728,312
5,900 Symix Systems, Inc.*.......... 89,975
5,300 Team, Inc.*................... 10,600
9,100 Template Software, Inc.*...... 39,813
2,400 THQ, Inc.*.................... 48,900
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
42,700 Titan Corp.*.................. $ 218,838
200 TREEV, Inc.*.................. 375
14,500 TRM Corp.*.................... 102,406
400 UniFirst Corp................. 8,450
22,600 USWeb Corp.*.................. 932,249
2,100 Visual Networks, Inc.*........ 78,488
16,900 Walker Interactive Systems*... 71,825
10,400 Wall Data, Inc.*.............. 149,500
3,700 Warrantech Corp.*............. 11,794
-------------
18,249,612
-------------
SOAPS & COSMETICS -- 0.6%
21,527 Block Drug Company, Inc.,
Class A..................... 882,606
2,100 CCA Industries, Inc.*......... 2,559
9,400 CPAC, Inc.*................... 69,325
800 Del Laboratories, Inc......... 14,200
4,700 Guest Supply, Inc.*........... 41,125
6,800 Jean Philippe Fragrances,
Inc.*....................... 42,500
100 NCH Corp...................... 4,775
2,800 Revlon, Inc., Class A*........ 56,700
2,200 Scott's Liquid Gold, Inc.*.... 2,888
-------------
1,116,678
-------------
TELEPHONE -- 3.0%
41,000 Aliant Communications, Inc.,
Class A..................... 1,678,438
600 American Tower Corp.*......... 14,700
74,800 Amnex, Inc.*.................. 18,700
6,500 Atlantic Tele-Network,
Inc.*....................... 58,500
12,800 Century Communications, Class
A*.......................... 594,400
6,000 Conestoga Enterprises, Inc.... 178,500
13,100 CoreComm, Ltd.*............... 481,425
3,800 Hector Communications
Corp.*...................... 30,875
3,900 Hickory Tech Corp............. 43,875
3,600 Jones Intercable, Inc.*....... 144,000
1,100 Lynch Corp.*.................. 79,200
44,875 Price Communications Corp.*... 499,234
39,200 Telephone and Data Systems,
Inc......................... 2,209,900
-------------
6,031,747
-------------
TEXTILES -- 1.6%
750 Alba-Waldensian, Inc.......... 11,438
7,900 Brown Group, Inc.............. 104,181
2,500 Columbia Sportswear Co.*...... 49,063
1,600 Concord Fabrics, Inc., Class
A*.......................... 6,600
4,500 Dexter Corp................... 141,750
9,400 Dixie Group, Inc.............. 66,975
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
4,900 Dyersburg Corp................ $ 7,656
3,800 Galey & Lord, Inc.*........... 16,863
12,500 Haggar Corp................... 126,563
1,600 Hallwood Group, Inc.*......... 29,200
12,400 Jos A Bank Clothiers, Inc.*... 75,950
16,300 Kellwood Co................... 359,618
52,600 Mohawk Industries, Inc.*...... 1,577,999
11,300 Oxford Industries, Inc........ 275,437
1,300 Premiumwear, Inc.*............ 6,175
1,400 Barry (R.G.)*................. 12,250
700 Russell Corp.................. 14,088
6,800 Supreme International
Corp.*...................... 66,300
3,500 Leslie Fay Company, Inc.*..... 16,188
300 Timberland Co., Class A*...... 18,919
8,400 Warnaco Group, Inc............ 207,375
-------------
3,190,588
-------------
TRANSPORTATION -- 2.4%
2,500 B+H Ocean Carriers, Ltd.*..... 4,844
4,700 Boyd Brothers Transportation,
Inc.*....................... 38,188
29,900 Consolidated Freightways*..... 351,325
8,600 Fritz Companies, Inc.*........ 59,125
6,500 Genesee & Wyoming, Inc., Class
A*.......................... 69,469
40,200 Kansas City Southern
Industries, Inc............. 2,291,399
12,000 Landstar System, Inc.*........ 397,500
9,900 Marten Transport, Ltd.*....... 136,125
1,500 Motor Cargo Industries,
Inc.*....................... 9,000
2,700 Oglebay Norton Co............. 59,231
15,300 Old Dominion Freight Line,
Inc.*....................... 174,038
12,500 Railtex, Inc.*................ 142,188
8,900 Transport Corp. of America,
Inc.*....................... 102,350
22,400 USFreightways Corp............ 736,399
13,800 Yellow Corp.*................. 239,775
-------------
4,810,956
-------------
TRAVEL/ENTERTAINMENT -- 2.4%
4,600 Amerco, Inc.*................. 98,900
5,800 Ark Restaurants Corp.*........ 58,725
6,600 Back Bay Restaurant Group*.... 66,825
2,200 Benihana, Inc.*............... 28,600
11,000 Bob Evans Farms, Inc.......... 220,000
6,600 Casa Ole' Restaurants,
Inc.*....................... 25,575
5,813 Cooker Restaurant Corp.*...... 30,155
110,000 Darden Restaurants, Inc....... 2,268,749
4,700 DenAmerica Corp.*............. 4,700
37,800 Dollar Thrifty Automotive
Group, Inc.*................ 652,050
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- -------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
8,000 Fresh Choice, Inc.*........... $ 20,500
6,000 Friendly Ice Cream Corp.*..... 36,750
4,000 Garden Fresh Restaurant
Corp.*...................... 57,000
5,725 Lakes Gaming, Inc.*........... 46,873
6,800 Nathan's Famous, Inc.*........ 23,800
22,900 Park Place Entertainment
Corp.*...................... 173,181
6,300 Piccadilly Cafeterias, Inc.... 66,938
100 PLM International, Inc.*...... 531
13,800 Quintel Communications,
Inc.*....................... 12,075
600 Rainforest Cafe, Inc.*........ 3,019
3,900 Rally's Hamburgers, Inc.*..... 2,194
9,400 Rock Bottom Restaurants,
Inc.*....................... 80,488
40,700 Ryan's Family Steak Houses,
Inc.*....................... 490,944
16,400 Sizzler International,
Inc.*....................... 30,750
1,500 Sonesta International Hotels
Corp., Class A.............. 15,000
1,500 Uno Restaurant Corp.*......... 10,500
15,300 VICORP Restaurants, Inc.*..... 244,800
49,500 Video Update, Inc., Class
A*.......................... 41,765
-------------
4,811,387
-------------
TOTAL COMMON STOCKS (COST
$186,472,523) -- 93.1%...... 185,936,689
-------------
WARRANTS -- 0.0%
1,100 Herley Industries Inc. @
15.6*....................... 3,163
-------------
TOTAL WARRANTS................ 3,163
-------------
REPURCHASE AGREEMENT -- 2.7%
Bear Stearns, dated 3/31/99,
due 4/1/99 at 4.92% with a
maturity value of $5,426,573
(collateralized by
$5,377,696 various U.S.
Treasury Bonds due 11/15/12
at 10.375%, total value
including accrued interest
of $5,537,699).............. 5,425,832
-------------
TOTAL SHORT TERM SECURITIES
(COST $5,425,832)........... 5,425,832
-------------
TOTAL INVESTMENTS (COST
$191,898,355)(a) -- 95.8%... 191,365,684
-------------
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD
SHORT -- 96.7%
Bear Stearns Deposit A/C,
4.8%........................ 193,202,541
-------------
TOTAL DEPOSITS WITH BROKERS
FOR SECURITIES SOLD SHORT
(COST $193,202,541)......... 193,202,541
-------------
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET VALUE
-------------
<C> <S> <C>
PAYABLE TO BROKERS FOR
SECURITIES PURCHASED
SHORT -- (3.3)%............. $ (6,650,188)
-------------
SECURITIES SOLD SHORT
(PROCEEDS
$205,681,985) -- (91.9)%.... (183,544,598)
-------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.7%......... 5,417,732
-------------
TOTAL NET ASSETS -- 100.0%.... $ 199,791,171
=============
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depositary Receipt.
(a) At March 31, 1999, the aggregate cost of investment securities and proceeds
for securities sold short for income tax purposes was $569,483,722. Cost for
federal income tax purposes differs from value by net unrealized
appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments.......... $19,895,138
Unrealized appreciation -- Short
Sales................................ 40,634,466
Unrealized
depreciation -- Investments.......... (21,266,037)
Unrealized depreciation -- Short
Sales................................ (18,497,079)
-----------
Net unrealized appreciation............ $20,766,488
===========
</TABLE>
See accompanying notes to the financial statements.
42
<PAGE> 43
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 91.9%
AIRLINES -- 1.8%
10,500 Mesaba Holdings, Inc.*......... $ 140,766
32,600 Northwest Airlines Corp.*...... 906,688
24,200 UAL Corp.*..................... 1,881,549
12,800 US Airways Group, Inc.*........ 624,800
------------
3,553,803
------------
AUTOS -- 0.6%
4,200 Collins Industries, Inc. ...... 19,950
2,300 Lund International Holdings,
Inc.*........................ 14,663
59,800 Mascotech, Inc. ............... 926,900
27,000 OEA, Inc. ..................... 222,750
------------
1,184,263
------------
BANKING -- 4.9%
67,400 Amresco, Inc.*................. 518,138
33,100 Bank United Corp. ............. 1,352,963
300 BankAtlantic Bancorp, Inc. .... 2,081
80,200 Dime Bancorp, Inc. ............ 1,859,638
3,700 First Alliance Corp.*.......... 13,413
3,100 Harris Financial, Inc. ........ 37,394
1,405 HUBCO, Inc. ................... 47,155
7,200 Lawrence Savings Bank*......... 69,300
6,600 Northwest Bancorp, Inc. ....... 61,050
9,500 Security First Technologies
Corp.*....................... 698,250
201,740 Sovereign Bancorp, Inc. ....... 2,471,314
3,400 St. Paul Bancorp, Inc. ........ 73,631
19,500 US Trust Corp. ................ 1,446,656
33,000 Webster Financial Corp. ....... 952,875
11,700 Westcorp....................... 90,675
------------
9,694,533
------------
BUILDING -- 0.6%
1,300 Amerilink Corp.*............... 9,831
10,000 Avatar Holdings, Inc.*......... 182,500
8,900 D. R. Horton, Inc. ............ 149,075
9,100 Webb (Del E.) Corp. ........... 197,356
55,400 Foster Wheeler Corp. .......... 671,726
------------
1,210,488
------------
CHEMICALS -- 2.4%
34,400 Advanced Polymer Systems,
Inc.*........................ 150,500
3,200 Alcide Corp.*.................. 50,000
7,000 American Pacific Corp.*........ 54,250
1,400 Bandag, Inc. .................. 39,375
9,600 Cytec Industries, Inc.*........ 214,200
45,900 Georgia Gulf Corp. ............ 513,506
21,600 Hercules, Inc. ................ 545,400
38,500 Lyondell Chemical Co. ......... 526,969
60,600 Smith International, Inc.*..... 2,424,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
7,200 Synthetech, Inc.*.............. $ 31,500
41,000 Terra Industries, Inc. ........ 187,063
------------
4,736,763
------------
COMPUTER -- 0.0%
4,700 Micron Electronics, Inc.*...... 55,225
------------
CONSTRUCTION MATERIALS -- 0.9%
2,000 Ceradyne, Inc.*................ 6,375
5,900 Dal-Tile International,
Inc.*........................ 53,469
29,900 Hexcel Corp.*.................. 211,169
39,400 Owens-Corning.................. 1,253,412
10,600 Owens-Illinois, Inc.*.......... 265,000
------------
1,789,425
------------
DEFENSE -- 0.9%
67,800 McDermott International,
Inc. ........................ 1,716,188
------------
DRUGS -- 5.9%
12,800 Advanced Magnetics, Inc.*...... 44,800
12,100 Algos Pharmaceuticals Corp.*... 297,963
22,000 Alkermes, Inc.*................ 599,499
18,500 Amylin Pharmaceuticals,
Inc.*........................ 19,656
14,600 Anesta Corp.*.................. 329,413
1,800 Anika Therapeutics, Inc.*...... 9,450
18,000 Aphton Corp.*.................. 292,500
15,600 Arqule, Inc.*.................. 72,150
9,000 Aviron*........................ 182,250
20,100 Bio-Technology General
Corp.*....................... 119,972
22,400 Biocryst Pharmaceuticals,
Inc.*........................ 142,800
10,500 Cel-Sci Corp.*................. 20,344
21,900 Celgene Corp.*................. 350,400
5,400 Centocor, Inc.*................ 199,463
26,800 COR Therapeutics, Inc.*........ 266,325
18,600 Creative Biomolecules, Inc.*... 43,013
5,900 Cygnus, Inc.*.................. 44,250
2,100 Emisphere Technologies,
Inc.*........................ 18,900
13,600 Gilead Sciences, Inc.*......... 618,799
28,400 Guilford Pharmaceuticals,
Inc.*........................ 323,050
26,100 Human Genome Sciences, Inc.*... 905,343
13,000 Icos Corporation*.............. 438,750
26,400 Imclone Systems, Inc.*......... 445,500
35,900 Immune Response Corp.*......... 316,369
3,900 Inhale Therapeutic Systems,
Inc.*........................ 105,788
18,400 Interneuron Pharmaceuticals,
Inc.*........................ 52,900
40,700 Isis Pharmaceuticals, Inc.*.... 366,300
16,100 Lifecore Biomedical, Inc.*..... 139,869
25,600 Ligand Pharmaceutical, Inc.,
Class B*..................... 209,600
29,200 Magainin Pharmaceuticals,
Inc.*........................ 45,625
27,100 Martek Biosciences Corp.*...... 152,438
</TABLE>
See accompanying notes to the financial statements.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
21,100 Molecular Biosystems, Inc.*.... $ 56,706
10,600 Myriad Genetics, Inc.*......... 95,400
13,500 NEO RX Corporation*............ 20,672
16,700 Neose Technologies, Inc.*...... 228,581
4,200 Neurogen Corp.*................ 44,888
26,000 Northfield Laboratories,
Inc.*........................ 286,000
26,800 Noven Pharmaceuticals, Inc.*... 123,950
21,100 NPS Pharmaceuticals, Inc.*..... 158,250
5,300 Orphan Medical, Inc.*.......... 38,425
10,700 OSI Pharmaceuticals, Inc.*..... 53,500
21,200 Pharmacyclics, Inc.*........... 349,800
21,900 Protein Design Labs, Inc.*..... 329,869
18,200 Research Frontiers, Inc.*...... 129,675
19,500 Sangstat Medical Corp.*........ 241,313
5,300 Sonus Pharmaceuticals, Inc.*... 39,750
5,700 Sugen, Inc.*................... 109,369
12,600 Synaptic Pharmaceuticals
Corp.*....................... 86,625
12,400 Theragenics Corp.*............. 86,800
19,600 Transkaryotic Therapies,
Inc.*........................ 622,299
19,700 Triangle Pharmaceuticals,
Inc.*........................ 210,544
4,000 Twinlab Corp.*................. 37,500
7,200 U.S. Bioscience, Inc.*......... 78,300
29,500 Vertex Pharmaceuticals,
Inc.*........................ 744,874
22,800 Vical, Inc.*................... 233,700
11,700 Xoma Ltd.*..................... 35,831
21,000 Zila, Inc.*.................... 79,406
------------
11,695,506
------------
DURABLES -- 0.0%
2,200 Fountain Powerboat Industries,
Inc.*........................ 9,900
------------
ELECTRIC UTILITIES -- 0.3%
1,100 Maine Public Service Co. ...... 14,438
6,100 Minnesota Power, Inc. ......... 120,475
44,500 Unisource Energy Corp. ........ 492,281
300 York Research Corp.*........... 1,481
------------
628,675
------------
ELECTRONICS -- 7.3%
13,900 Abiomed, Inc.*................. 173,750
6,700 Active Voice Corp.*............ 64,488
20,000 ADE Corp.*..................... 190,000
20,800 Adtran, Inc.*.................. 341,900
43,000 Advanced Micro Devices,
Inc.*........................ 666,499
7,600 Affymetrix, Inc.*.............. 264,575
40,100 Alliance Semiconductor
Corp.*....................... 100,250
6,200 American Science & Engineering,
Inc.*........................ 44,175
10,800 Andrea Electronics Corp.*...... 72,900
9,800 Applied Digital Access,
Inc.*........................ 22,050
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
29,600 AVX Corp. ..................... $ 473,600
10,500 Barringer Technologies,
Inc.*........................ 69,563
4,300 Boca Research, Inc.*........... 14,513
4,800 Broadband Technologies,
Inc.*........................ 7,200
11,400 California Micro Devices
Corp.*....................... 29,213
7,000 Chad Therapeutics, Inc.*....... 15,750
10,500 Cholestech Corp.*.............. 22,313
39,800 Cognex Corp.*.................. 942,762
15,000 Cohu, Inc. .................... 348,750
24,400 Cooper Companies, Inc.*........ 375,150
27,800 Credence Systems Corp.*........ 595,962
2,400 Cytyc Corp.*................... 33,300
25,800 Diametrics Medical, Inc.*...... 153,188
17,900 Digital Microwave Corp.*....... 149,913
14,300 Energy Conversion Devices*..... 132,275
4,700 Epitope, Inc.*................. 23,500
18,000 FEI Co.*....................... 150,750
9,200 Galileo Corp.*................. 44,850
43,400 GenRad, Inc.*.................. 623,874
27,500 I-Stat Corp.*.................. 254,375
1,700 Innovex, Inc. ................. 22,738
53,200 Input/Output, Inc.*............ 335,825
19,800 Intergrated Silicon Solution,
Inc.*........................ 54,450
45,100 Kemet Corp.*................... 518,649
700 Komag, Inc.*................... 3,063
4,300 Kopin Corp.*................... 59,394
10,300 Mentor Corp. .................. 151,281
50,400 Millipore Corp. ............... 1,215,899
207,300 National Semiconductor
Corp.*....................... 1,930,480
22,100 Neopath, Inc.*................. 88,400
13,500 Novoste Corp.*................. 324,000
38,000 Oak Technology, Inc.*.......... 116,375
39,300 Oakley, Inc.*.................. 272,644
9,100 Perceptron, Inc.*.............. 33,272
16,300 Possis Medical, Inc.*.......... 163,000
19,000 Premisys Communications
Inc.*........................ 163,875
31,300 Remec, Inc.*................... 653,387
3,700 Sabratek Corp.*................ 55,500
5,500 Sawtek, Inc.*.................. 185,625
5,100 SCI Systems, Inc.*............. 151,088
1,000 Sensormatic Electronics
Corp. ....................... 9,500
15,000 Sheldahl, Inc.*................ 90,938
26,300 Sipex Corp.*................... 343,544
500 STAAR Surgical Co.*............ 3,875
10,600 STM Wireless, Inc., Class A*... 30,475
1,100 Tekelec*....................... 8,044
10,400 Tektronix, Inc. ............... 262,600
22,200 Thermo Cardiosystems, Inc.*.... 177,600
</TABLE>
See accompanying notes to the financial statements.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
1,100 Thermo Instrument Systems,
Inc.*........................ $ 15,881
8,800 Thermo Power Corp.*............ 70,400
5,000 Thermotrex Corp.*.............. 28,750
17,100 Trimble Navigation, Ltd.*...... 166,725
300 Unitrode Corp.*................ 4,256
24,400 Vicor Corp.*................... 305,000
18,500 Westell Technologies, Inc.*.... 81,516
------------
14,499,437
------------
FINANCIAL INVESTMENTS -- 0.2%
5,500 Competitive Technologies,
Inc.*........................ 27,500
7,800 Igen International, Inc.*...... 187,200
20,500 Royal Gold, Inc.*.............. 82,000
8,200 US Energy Corp.*............... 29,725
10,000 Western Water Co.*............. 50,000
------------
376,425
------------
FOOD -- 1.6%
50,300 Cadiz, Inc.*................... 402,400
62,100 Dole Food Company, Inc. ....... 1,847,474
29,400 Dreyers Grand Ice Cream,
Inc. ........................ 380,363
2,800 Gardenburger, Inc.*............ 27,650
12,370 Midwest Grain Products,
Inc.*........................ 123,700
800 Opta Food Ingredients, Inc.*... 2,025
4,900 Suiza Foods Corp.*............. 165,069
8,700 Tejon Ranch Co. ............... 144,094
10,300 Thorn Apple Valley, Inc.*...... 22,531
------------
3,115,306
------------
HEALTH -- 1.0%
14,500 Apria Healthcare Group,
Inc.*........................ 172,188
19,200 Cryolife, Inc.*................ 211,200
17,900 Curative Health Services,
Inc.*........................ 205,850
5,900 Daxor Corp.*................... 81,125
38,400 Enzo Biochem, Inc.*............ 359,999
28,100 Health Management Associates,
Inc.*........................ 342,469
11,200 Impath, Inc.*.................. 274,399
5,700 Integrated Orthopaedics,
Inc.*........................ 10,688
19,100 Prime Medical Services,
Inc.*........................ 140,863
18,800 Psychemedics Corp. ............ 75,200
20,600 Quorum Health Group, Inc.*..... 206,000
4,700 Sun Healthcare Group, Inc.*.... 4,700
------------
2,084,681
------------
HOUSEHOLD -- 2.5%
10,000 BE Aerospace, Inc.*............ 147,500
10,300 Bush Industries, Inc. ......... 126,819
57,000 Callaway Golf Co. ............. 580,688
13,900 Cross (A.T.) Co., Class A...... 101,644
19,000 Ethan Allen Interiors, Inc. ... 789,688
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
68,200 Miller (Herman), Inc. ......... $ 1,244,649
1,200 Lear Corp.*.................... 51,225
10,600 Marvel Enterprises, Inc.*...... 69,563
600 Ohio Art Co. .................. 6,900
13,200 Simula, Inc.*.................. 75,075
21,900 Synetic, Inc.*................. 1,223,662
36,100 Tupperware Corp. .............. 649,800
------------
5,067,213
------------
INSURANCE -- 2.9%
1,800 Allcity Insurance Co.*......... 12,713
3,100 Allmerica Financial Corp. ..... 170,694
28,900 Citizens, Inc.*................ 86,700
6,500 CMAC Investment Corp. ......... 253,500
2,600 Comprehensive Care Corp.*...... 2,275
75,300 Erie Indemnity Co., Class A.... 2,070,749
33,200 Gainsco, Inc. ................. 161,850
5,600 Leucadia National Corp.*....... 169,400
17,500 Maxicare Health Plans, Inc.*... 89,688
32,100 Mercury General Corp. ......... 1,119,487
3,100 MGIC Investment Corp. ......... 108,694
10,900 Orion Capital Corp. ........... 340,625
33,600 Oxford Health Plans, Inc.*..... 525,000
16,500 Pre-Paid Legal Services,
Inc.*........................ 404,250
16,700 RTW, Inc. ..................... 79,325
19,600 Vesta Insurance Group, Inc. ... 101,675
------------
5,696,625
------------
MACHINERY -- 5.8%
14,200 Ag-Chem Equipment Co., Inc.*... 142,000
60,900 AGCO Corp. .................... 399,656
4,300 Ametek, Inc. .................. 78,475
5,000 Asyst Technologies, Inc.*...... 68,750
4,300 Brooks Automation, Inc.*....... 96,213
90,600 Case Corp. .................... 2,298,974
3,500 Central Sprinkler Corp.*....... 49,875
7,600 CFM Technologies, Inc.*........ 55,100
22,500 Cooper Cameron Corp.*.......... 762,187
21,400 Cuno, Inc.*.................... 299,600
5,300 Cymer, Inc.*................... 105,338
29,100 Electroglas, Inc.*............. 374,663
20,400 Etec Systems, Inc.*............ 600,525
8,200 FSI International, Inc.*....... 49,200
58,900 Harnischfeger Industries,
Inc. ........................ 334,994
30,100 Helix Technology Corp. ........ 462,788 \
26,100 Idex Corp. .................... 614,981
9,300 Industrial Holdings, Inc.*..... 69,169
16,100 Intevac, Inc.*................. 92,575
</TABLE>
See accompanying notes to the financial statements.
45
<PAGE> 46
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
2,900 Kulicke & Soffa Industries,
Inc.*........................ $ 73,225
34,400 Lam Research Corp.*............ 997,599
35,700 Littlefuse, Inc.*.............. 655,988
13,200 Mattson Technology, Inc.*...... 89,100
4,800 Osmonics, Inc.*................ 38,100
43,500 Pall Corp. .................... 720,468
4,900 PRI Automation, Inc.*.......... 102,900
4,500 Recovery Engineering, Inc.*.... 42,188
26,000 Roper Industries, Inc. ........ 620,750
19,900 Semitool, Inc.*................ 124,375
17,000 Speedfam International,
Inc.*........................ 204,000
24,000 UCAR International, Inc.*...... 339,000
17,500 Unique Mobility, Inc.*......... 77,656
7,100 Weatherford International
Inc.*........................ 185,488
16,200 Whittaker Corp.*............... 355,388
------------
11,581,288
------------
MEDIA -- 1.6%
8,700 Ackerley Group, Inc. .......... 147,356
2,900 Central Newspapers, Inc. ...... 90,263
10,600 Day Runner, Inc.*.............. 128,525
20,700 E.W. Scripps Co. .............. 915,974
7,100 Harvey Entertainment Co.*...... 31,063
4,600 Knight Ridder, Inc. ........... 230,000
22,650 Lamar Advertising Co.*......... 768,684
2,400 Metromedia International Group,
Inc.*........................ 11,700
60,100 Primedia, Inc.*................ 841,400
3,000 Sinclair Broadcast Group, Inc.,
Class A*..................... 43,688
1,600 The McClatchy Co. ............. 53,700
------------
3,262,353
------------
METALS -- 4.5%
15,200 Acme Metals, Inc.*............. 3,800
4,600 Andrew Corp.*.................. 56,638
43,200 ASARCO, Inc. .................. 594,000
58,600 Bethlehem Steel Corp.*......... 483,450
700 Citation Corp.*................ 7,175
108,000 Cyprus Amax Minerals Co. ...... 1,309,500
207,900 Freeport-McMoran Copper & Gold,
Inc., Class A................ 2,130,975
4,200 Harsco Corp. .................. 105,788
52,900 Kaiser Aluminum Corp.*......... 287,644
16,200 Keystone Consolidated
Industries, Inc.*............ 89,100
35,700 Lone Star Technologies,
Inc.*........................ 446,250
10,000 Maverick Tube Corp.*........... 70,625
3,400 National-Standard Co.*......... 10,200
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
METALS (CONTINUED)
59,300 Phelps Dodge Corp. ............ $ 2,920,524
10,000 Titan International, Inc. ..... 76,875
8,300 USX-U.S. Steel Group, Inc. .... 195,050
17,200 WHX Corp.*..................... 135,450
10,000 Worthington Industries,
Inc. ........................ 117,500
------------
9,040,544
------------
MISCELLANEOUS FINANCIAL -- 0.6%
23,800 Paine Webber Group, Inc. ...... 949,024
7,000 Pioneer Group, Inc. ........... 103,688
4,100 Price (T. Rowe) Associates,
Inc. ........................ 140,938
800 Ziegler Company, Inc. ......... 14,100
------------
1,207,750
------------
OFFICE MACHINERY -- 2.2%
5,800 Acres Gaming, Inc.*............ 15,950
11,200 Adaptec, Inc.*................. 255,500
1,500 C-Cube Microsystems, Inc.*..... 29,719
3,000 Cabletron Systems, Inc.*....... 24,563
4,200 Cirrus Logic, Inc.*............ 26,775
44,100 Diamond Multimedia Systems,
Inc.*........................ 270,113
500 Digital Link Corp.*............ 3,000
3,600 Drexler Technology Corp.*...... 35,100
53,700 HMT Technology Corp.*.......... 187,950
10,100 In Focus Systems, Inc.*........ 88,375
210,800 Iomega Corp. .................. 1,080,349
37,400 MTI Technology Corp.*.......... 206,869
14,000 Network Computing Devices,
Inc.*........................ 70,000
8,000 Network Peripherals, Inc.*..... 42,500
8,100 ODS Networks, Inc.*............ 22,781
8,000 Polaroid Corp. ................ 160,500
53,700 S3, Inc.*...................... 402,750
5,800 SanDisk Corp.*................. 153,700
11,500 Security Dynamics Technologies,
Inc.*........................ 214,188
33,700 Silicon Graphics, Inc.*........ 562,368
9,700 Softnet Systems, Inc.*......... 355,263
29,600 Western Digital Corp.*......... 234,950
3,600 X-Rite, Inc. .................. 23,400
------------
4,466,663
------------
OIL -- 4.3%
9,400 Abraxas Petroleum Corp.*....... 16,450
2,400 Belco Oil & Gas Corp.*......... 14,250
41,800 Benton Oil & Gas Co.*.......... 151,525
2,500 Berry Petroleum Co. ........... 27,500
31,200 Coho Energy, Inc.*............. 19,500
5,200 Cross Timbers Oil Co. ......... 36,725
17,500 Enron Oil & Gas Co. ........... 290,938
</TABLE>
See accompanying notes to the financial statements.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
78,700 MCN Energy Group, Inc. ........ $ 1,264,118
15,300 Newfield Exploration Co.*...... 346,163
50,600 Noble Affiliates, Inc. ........ 1,467,399
24,200 Nuevo Energy Co.*.............. 326,700
44,000 Pogo Producing Co. ............ 572,000
5,000 Stone Energy Corp.*............ 160,000
14,000 Tom Brown, Inc.*............... 169,750
273,300 Union Pacific Resources Group,
Inc. ........................ 3,245,437
51,900 Vintage Petroleum, Inc. ....... 467,100
11,700 Wiser Oil Co. ................. 24,863
------------
8,600,418
------------
OIL DISTRIBUTION -- 0.6%
47,700 Tosco Corp. ................... 1,183,556
------------
OIL SERVICES -- 4.6%
41,400 Diamond Offshore Drilling,
Inc. ........................ 1,309,275
106,400 ENSCO International, Inc. ..... 1,416,450
167,400 Global Marine, Inc.*........... 1,966,949
15,200 Key Energy Group, Inc.*........ 71,250
60,600 Marine Drilling Companies,
Inc.*........................ 666,600
33,400 Nabors Industries, Inc.*....... 607,463
1,500 Noble Drilling Corp.*.......... 25,969
13,700 Patterson Energy, Inc.*........ 76,206
3,500 Pride International, Inc.*..... 28,875
97,400 Rowan Companies, Inc.*......... 1,235,763
67,000 Tidewater, Inc. ............... 1,733,625
------------
9,138,425
------------
OTHER UTILITIES -- 0.5%
3,600 Atmos Energy Corp. ............ 86,625
980 K N Energy, Inc. .............. 19,539
84,500 Newpark Resources, Inc.*....... 612,625
600 Superior Services, Inc.*....... 11,888
34,500 Western Gas Resources, Inc. ... 258,750
------------
989,427
------------
PAPER -- 1.5%
2,800 Buckeye Technologies, Inc.*.... 39,200
72,100 Consolidated Papers, Inc. ..... 1,694,350
12,700 Crown Vantage, Inc.*........... 31,750
62,400 Gaylord Container Corp., Class
A*........................... 468,000
26,200 Playtex Products, Inc.*........ 396,275
13,400 Pope & Talbot, Inc. ........... 85,425
5,600 Temple-Inland, Inc. ........... 351,400
------------
3,066,400
------------
REAL ESTATE ASSETS -- 4.0%
3,800 Alexander's, Inc.*............. 257,450
74,600 Catellus Development Corp.*.... 997,775
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
15,300 Centertrust Retail Properties,
Inc. ........................ $ 175,950
32,000 Chateau Communities, Inc. ..... 880,000
68,000 Hecla Mining Co.*.............. 187,000
43,000 Homestake Mining Co. .......... 370,875
3,600 Mack-Cali Realty Corp. ........ 105,750
144,664 Newmont Mining Corp. .......... 2,531,619
72,000 Rouse Co. ..................... 1,597,500
17,600 Saul Centers, Inc. ............ 257,400
6,500 Simon Property Group, Inc. .... 178,344
27,800 Town & Country Trust........... 418,738
------------
7,958,401
------------
RETAIL/WHOLESALE -- 9.3%
27,800 Agribiotech, Inc.*............. 173,750
3,100 Airgas, Inc.*.................. 25,963
29,700 American Mobile Satellite
Corp.*....................... 222,750
9,100 Barnes & Noble, Inc.*.......... 292,338
14,100 Barnett, Inc.*................. 123,375
700 Bindley Western Industries,
Inc. ........................ 19,994
23,000 Brightpoint, Inc.*............. 135,844
7,800 Burlington Coat Factory
Warehouse Corp. ............. 91,650
3,700 Central Garden & Pet Co.*...... 62,438
80,900 CompUSA, Inc.*................. 566,300
118,900 Consolidated Stores Corp.*..... 3,604,155
19,700 Corporate Express, Inc.*....... 102,194
4,800 Daisytek International
Corp.*....................... 79,800
10,200 Damark International, Inc.,
Class A*..................... 87,975
4,200 dELiA*s, Inc.*................. 132,300
92,100 Dillards, Inc., Class A........ 2,337,037
70,400 Dimon, Inc. ................... 268,400
23,700 Egghead.com, Inc.*............. 431,044
2,100 Finish Line, Inc., Class A*.... 27,038
49,900 Fleming Companies, Inc. ....... 427,269
3,800 Gadzooks, Inc.*................ 28,263
44,300 General Nutrition Companies.... 620,199
15,000 Genesis Health Ventures,
Inc.*........................ 73,125
5,300 Glacier Water Services,
Inc.*........................ 108,650
9,000 Good Guys, Inc.*............... 34,875
13,500 Goody's Family Clothing,
Inc.*........................ 188,156
2,600 Great Train Store Co.*......... 2,763
206,200 Ikon Office Solutions, Inc. ... 2,641,937
1,000 Ingram Micro, Inc.*............ 22,813
38,300 Kent Electronics Corp.*........ 380,606
18,100 Keystone Automotive Industries,
Inc.*........................ 294,125
11,600 NuCo2, Inc.*................... 77,575
12,700 Party City Corp.*.............. 50,006
5,600 Piercing Pagoda, Inc.*......... 50,050
</TABLE>
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
800 Richfood Holdings, Inc. ....... $ 17,250
51,100 Scios, Inc.*................... 463,094
4,900 Smart & Final, Inc. ........... 45,938
40,800 Stage Stores, Inc.*............ 295,800
30,900 Strategic Distribution,
Inc.*........................ 61,800
44,700 Summit Technology, Inc.*....... 491,700
61,800 Sunglass Hut International,
Inc.*........................ 648,899
38,800 Tech Data Corp.*............... 889,974
6,800 Tessco Technologies, Inc.*..... 143,650
24,400 Toys R Us, Inc.*............... 459,025
8,700 Unisource Worldwide, Inc.*..... 61,988
10,000 United Auto Group, Inc.*....... 76,250
35,000 Whole Foods Market, Inc.*...... 1,203,124
5,000 Wilmar Industries, Inc.*....... 74,063
------------
18,717,312
------------
SERVICES -- 7.8%
11,100 ACE *COMM Corp.*............... 34,688
13,000 Alternative Resources Corp.*... 82,875
22,900 American Superconductor
Corp.*....................... 208,963
5,100 Analysts International
Corp. ....................... 58,650
11,900 Analytical Surveys, Inc.*...... 309,400
9,200 Apollo Group, Inc., Class A*... 274,850
9,300 Aspen Technology, Inc.*........ 131,944
13,300 BTG, Inc.*..................... 74,813
37,500 CCC Information Services Group,
Inc.*........................ 435,938
24,400 Comforce Corp.*................ 93,025
700 Computer Learning Centers,
Inc.*........................ 3,719
15,300 CTC Communications Corp.*...... 189,338
12,000 Cyberguard Corp.*.............. 15,000
3,200 Data Systems Network Corp.*.... 3,450
8,600 Data Transmission Network
Corp.*....................... 205,325
20,200 DBT Online, Inc.*.............. 502,475
4,300 Edify Corp.*................... 23,381
4,200 Emeritus Corp.*................ 42,000
21,700 Excalibur Technologies
Corp.*....................... 283,456
71,900 Gartner Group, Inc.*........... 1,622,243
11,400 Geoworks Corp.*................ 35,981
9,400 GRC International, Inc.*....... 62,275
31,700 Block (H.R.), Inc. ............ 1,501,787
7,500 HNC Software, Inc.*............ 245,625
26,900 Identix, Inc.*................. 178,213
34,200 Incyte Pharmaceuticals,
Inc.*........................ 686,137
200 Informix Corp.*................ 1,475
49,800 Intergraph Corp.*.............. 336,150
64,300 Keane, Inc.*................... 1,370,393
25,400 LCC International, Inc.*....... 104,775
17,200 Learning Tree International,
Inc.*........................ 172,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
11,100 Level 8 Systems, Inc.*......... $ 87,413
5,600 Metacreations Corp.*........... 38,150
3,500 Nova Corp.*.................... 91,875
4,000 On Assignment, Inc.*........... 102,500
44,200 Open Market, Inc.*............. 571,837
14,900 Peerless Systems Corp.*........ 126,650
23,700 Pharmacopeia, Inc.*............ 171,825
2,500 Phoenix Technologies, Ltd.*.... 21,250
15,300 Platinum Software Corp.*....... 112,838
23,700 PSINet, Inc.*.................. 1,008,730
5,000 Puma Technology, Inc.*......... 18,750
22,800 Rollins, Inc. ................. 383,325
19,000 Romac International, Inc.*..... 161,500
12,900 SatCon Technology Corp.*....... 63,694
3,500 Shared Medical Systems
Corp. ....................... 194,906
15,100 Socrates Technologies Corp.*... 35,863
1,700 Stewart Enterprises, Inc. ..... 27,306
53,000 System Software Associates,
Inc.*........................ 119,250
19,000 TAVA Technologies, Inc.*....... 95,000
11,700 Teletech Holdings, Inc.*....... 76,781
1,900 Tesseract Group, Inc.*......... 5,463
31,800 Transaction Systems Architects,
Inc., Class A*............... 1,144,799
14,600 Transmedia Network, Inc.*...... 56,575
22,900 Tuboscope, Inc.*............... 206,100
28,200 Valence Technology, Inc.*...... 186,825
32,100 Visio Corp.*................... 902,812
16,200 West Teleservices Corp.*....... 137,700
9,400 Wind River Systems, Inc.*...... 167,438
------------
15,607,499
------------
SOAPS & COSMETICS -- 0.1%
6,200 Beauticontrol Cosmetics,
Inc. ........................ 33,325
12,900 French Fragrances, Inc.*....... 74,175
------------
107,500
------------
TELEPHONE -- 4.9%
31,200 E Spire Communications,
Inc.*........................ 429,000
47,100 ICG Communications, Inc.*...... 942,000
2,300 Intellicall, Inc.*............. 5,606
23,000 Intermedia Communications of
Florida*..................... 612,375
51,200 McLeodUSA, Inc., Class A*...... 2,150,399
65,200 Metrocall, Inc.*............... 197,638
56,900 Omnipoint Corp.*............... 821,494
43,000 Paging Network, Inc.*.......... 201,563
23,700 Powertel, Inc.*................ 337,725
10,600 Primus Telecommunications
Group, Inc.*................. 107,325
</TABLE>
See accompanying notes to the financial statements.
48
<PAGE> 49
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
25,600 Skytel Communications, Inc.*... $ 425,600
45,000 United International Holdings,
Inc., Class A*............... 1,957,500
41,900 Winstar Communications,
Inc.*........................ 1,522,803
------------
9,711,028
------------
TEXTILES -- 2.1%
21,400 Authentic Fitness Corp. ....... 330,363
7,800 Chic by H.I.S., Inc.*.......... 18,525
85,600 Collins & Aikman Corp. ........ 406,600
1,800 Crown Crafts, Inc. ............ 9,000
7,500 Cyrk, Inc.*.................... 56,719
83,300 Fruit of the Loom, Inc.*....... 864,237
31,100 Gymboree Corp.*................ 277,956
29,100 Interface, Inc. ............... 280,088
6,900 Jones Apparel Group, Inc.*..... 192,769
3,800 Nine West Group, Inc.*......... 93,813
43,500 Polymer Group, Inc.*........... 402,375
59,000 Reebok International, Ltd.*.... 936,624
8,500 Thomaston Mills, Inc., Class
A............................ 27,625
13,600 Westpoint Stevens, Inc.*....... 376,550
------------
4,273,244
------------
TRANSPORTATION -- 1.3%
43,000 Air Express International
Corp. ....................... 650,375
9,900 Heartland Express, Inc.*....... 150,356
20,600 Iron Mountain, Inc.*........... 643,750
3,800 Marine Transport Corp.*........ 10,925
38,000 OMI Corp.*..................... 76,000
10,900 SEACOR SMIT, Inc.*............. 586,556
33,800 Trico Marine Services, Inc.*... 192,238
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
29,200 Wisconsin Central
Transportation Corp.*........ $ 386,900
------------
2,697,100
------------
TRAVEL/ENTERTAINMENT -- 2.4%
9,100 American Coin Merchandising*... 36,400
2,500 Amerihost Properties, Inc.*.... 8,047
24,600 Ameristar Casinos, Inc.*....... 67,650
4,500 Bally Total Fitness Holding*... 107,438
3,920 Crestline Capital Corp.*....... 60,270
7,500 ELXSI Corp.*................... 76,875
1,700 GC Companies, Inc.*............ 53,444
7,610 Host Marriott Corp. ........... 84,661
31,400 Host Marriott Services
Corp.*....................... 211,950
2,000 John Q. Hammons Hotels,
Inc.*........................ 7,250
116,500 Mirage Resorts, Inc.*.......... 2,475,624
23,300 Penn National Gaming, Inc.*.... 161,644
5,600 Speedway Motorsports, Inc.*.... 231,000
2,500 Taco Cabana, Inc., Class A*.... 22,031
42,700 Westwood One, Inc.*............ 1,216,950
------------
4,821,234
------------
TOTAL COMMON STOCKS............ 183,544,598
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $205,681,985) --
91.9%........................ $183,544,598
============
</TABLE>
- ---------------
* Non-income producing security.
See accompanying notes to the financial statements.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The S&P 500 Index(1) rose 18.44% for the year ended March 31, 1999, while
the Russell 2500 Index(2) declined 13.26%. The past year has been marked by
investor exuberance for stocks with "compelling stories" rather than compelling
fundamentals. The market rally in the latter half of 1998 and the first quarter
of 1999 was led by large cap stocks and the growth sector.
PORTFOLIO REPORT
The Fund invests in the Barr Rosenberg Market Neutral Fund and S&P 500
Index Futures. Investing in the Barr Rosenberg Market Neutral Fund contributed a
- -8.5% to the total return of the Fund for the period April 22, 1998 (inception
of the Fund), to March 31, 1999 while the investment in S&P 500 Index Futures
contributed positively (approximately 9.4%) to performance over this period. See
the separate commentary for the Barr Rosenberg 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 funds typically have a high
portfolio turnover that could increase transaction costs and cause short-term
capital gains to be realized. While it may be the intent of the Manager to take
long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Investment in Index Futures involves risk. Positions in Index Futures may
be closed out by the Barr Rosenberg Double Alpha Market Fund only on the futures
exchanges on which the Index Futures are then traded. There can be no assurance
that a liquid market will exist for any particular contract at any particular
time.
Past performance does not guarantee future results.
- ---------------
(1) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks.
(2) The Russell 2500 Index is an unmanaged index of approximately 2,500 smallest
companies in the Russell 3000 Index and represents approximately 22% of the
total market capitalization of the Russell 3000 Index. The Russell 3000
Index is an unmanaged index of the 3,000 largest U.S. companies based on
total market capitalization.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
REGISTERED INVESTMENT COMPANY -- 93.7%
759,815 Barr Rosenberg Market Neutral Fund (b)...................... $ 6,830,738
------------
TOTAL REGISTERED INVESTMENT COMPANY (COST
$7,360,660) -- 93.7%...................................... 6,830,738
------------
SHORT TERM SECURITIES -- 1.5%
CTC Sweep Account, 4.9%, 4/1/99............................. 109,657
------------
TOTAL SHORT TERM SECURITIES (COST $109,657)................. 109,657
------------
TOTAL INVESTMENTS (COST $7,470,317) (a) -- 95.2%............ 6,940,395
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.8%............... 348,636
------------
TOTAL NET ASSETS -- 100.0%.................................. $ 7,289,031
============
</TABLE>
- ---------------
(a) At March 31, 1999, the aggregate cost of investment securities for income
tax purposes was $7,756,762. Cost for federal income tax purposes differs
from value by net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $ --
Unrealized depreciation..................................... (816,367)
---------
Net unrealized depreciation................................. $(816,367)
=========
</TABLE>
(b) Serves as collateral for future contracts.
<TABLE>
<CAPTION>
NUMBER
OF OPEN CURRENT
CONTRACTS CONTRACT TYPE POSITIONS MARKET VALUE
--------- ------------------------------------------------------------ ---------- ------------
<C> <S> <C> <C>
23 Long S&P 500 June 1999 Future $7,146,675 $7,436,475
</TABLE>
See accompanying notes to the financial statements.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
MARKET COMMENTARY
The Barr Rosenberg Select Sectors Market Neutral Fund began operations
during the last quarter of 1998. This followed a volatile market caused by the
world financial turmoil in August and September resulting from the political
uncertainty and economic collapse of Russia and the deteriorating financial
crises in Asia. The U.S. stock market rebounded strongly in October following
the Federal Reserve's interest rate cuts. The market's upward move continued
through the first quarter of 1999 led by the largest cap stocks and growth
sectors. The U.S. market rally has been narrowly focused on growth stocks with
high price momentum, high price-earnings and high trading activity. However, the
returns for the first quarter were more volatile than in previous months. The
S&P 500 Index(1) exhibited strong positive performance in January and March but
negative performance in February. By mid-quarter investors became concerned
about the hint of returning inflation when year-end economic indicators were
reported stronger than expected. However, these concerns were short-lived.
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 Barr Rosenberg 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.
From inception (October 19, 1998, for Institutional shares and November 11,
1998, for Investor shares) to March 31, 1999, the Fund outperformed its
benchmark, 3-month U.S. Treasury Bills, by 2.01% and 1.69%, respectively. In
addition to the positive contribution from the exposure to relative strength
(measure of trailing 12-month price performance) during this period, the Fund
benefited from long industry exposures to autos, banks and telephones. Short
industry exposures to oils and oil services contributed negatively to
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.
- ---------------
(1) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 88.0%
AIRLINES -- 1.6%
7,800 AMR Corp. *.................... $ 456,788
------------
AUTOS -- 7.1%
7,300 Dana Corp. .................... 277,400
2,200 Federal-Mogul Corp. ........... 94,600
300 Ford Motor Co. ................ 17,025
15,200 General Motors Corp. .......... 1,320,499
5,400 ITT Industries, Inc. .......... 191,025
4,400 TRW, Inc. ..................... 200,200
------------
2,100,749
------------
BANKING -- 5.5%
5,200 Chase Manhattan Corp. ......... 422,825
16,200 Fleet Financial Group, Inc. ... 609,525
17,800 KeyCorp........................ 539,563
100 M&T Bank Corp. ................ 47,900
------------
1,619,813
------------
CHEMICALS -- 3.2%
9,200 Du Pont (E.I.) De Nemours...... 534,175
7,900 PPG Industries, Inc. .......... 404,875
------------
939,050
------------
COMPUTER -- 2.1%
13,500 Dell Computer Corp.*........... 551,813
800 Hewlett-Packard Co. ........... 54,250
------------
606,063
------------
CONSTRUCTION MATERIALS -- 0.5%
3,300 Vulcan Materials Co. .......... 136,331
------------
DEFENSE -- 0.9%
4,300 Raytheon Corp. ................ 252,088
------------
DRUGS -- 10.7%
16,900 Amgen, Inc.*................... 1,265,387
2,200 Bausch & Lomb, Inc. ........... 143,000
2,900 Biogen, Inc.*.................. 331,506
3,500 Genzyme Corp.*................. 176,531
22,000 Schering-Plough Corp. ......... 1,216,875
------------
3,133,299
------------
ELECTRIC UTILITIES -- 6.7%
6,700 Baltimore Gas & Electric
Co. ......................... 170,013
14,400 Edison International........... 320,400
10,300 Entergy Corp. ................. 283,250
5,800 GPU, Inc. ..................... 216,413
4,400 NIPSCO Industries, Inc. ....... 118,800
5,900 Northern States Power Co. ..... 136,806
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
3,600 Pinnacle West Capital Co. ..... $ 130,950
1,600 SCANA Corp. ................... 34,700
5,400 Texas Utilities Co. ........... 225,113
8,900 Unicom Corp. .................. 325,405
------------
1,961,850
------------
ELECTRONICS -- 4.3%
1,600 Biomet, Inc. .................. 67,100
9,200 Lucent Technologies, Inc. ..... 991,300
2,100 Tellabs, Inc.*................. 205,275
------------
1,263,675
------------
FINANCIAL INVESTMENTS -- 4.5%
19,000 Federal National Mortgage
Association.................. 1,315,750
------------
HOUSEHOLD -- 0.5%
2,500 Johnson Controls, Inc. ........ 155,938
------------
INSURANCE -- 4.6%
3,300 Loews Corp. ................... 246,263
6,500 Providian Financial Corp. ..... 714,999
1,800 St. Paul Companies, Inc. ...... 55,913
4,600 Transamerica Corp. ............ 326,600
------------
1,343,775
------------
LIQUOR & TOBACCO -- 1.2%
14,600 RJR Nabisco Holdings Corp. .... 365,000
------------
MEDIA -- 1.0%
4,600 Tribune Co. ................... 301,013
------------
MISCELLANEOUS FINANCIAL -- 3.9%
4,100 Edwards (A.G.), Inc. .......... 134,019
10,400 Schwab (Charles) Corp. ........ 999,700
------------
1,133,719
------------
OFFICE MACHINERY -- 3.9%
5,600 EMC Corp.*..................... 715,400
2,900 Lexmark International Group,
Inc., Class A*............... 324,075
4,700 Storage Technology Corp.*...... 131,013
------------
1,170,488
------------
OIL -- INTERNATIONAL -- 4.3%
16,200 Texaco, Inc. .................. 919,350
12,300 USX-Marathon Group, Inc. ...... 338,250
------------
1,257,600
------------
</TABLE>
See accompanying notes to the financial statements.
53
<PAGE> 54
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OTHER UTILITIES -- 2.8%
7,300 Browning-Ferris Industries,
Inc. ........................ $ 281,506
3,700 Columbia Energy Group.......... 193,325
5,300 El Paso Energy Corp. .......... 173,244
9,600 Sempra Energy.................. 184,200
------------
832,275
------------
RETAIL/WHOLESALE -- 7.7%
2,000 Abercrombie & Fitch Co.*....... 184,000
8,900 Federated Department Stores,
Inc.*........................ 357,113
16,100 Gap, Inc. ..................... 1,083,730
10,600 K-Mart Corp.*.................. 178,213
13,200 TJX Companies, Inc. ........... 448,799
------------
2,251,855
------------
SERVICES -- 7.1%
4,800 American Online, Inc. ......... 700,800
4,600 Compuware Corp.*............... 109,825
14,200 Microsoft Corp.*............... 1,272,675
------------
2,083,300
------------
TELEPHONE -- 1.8%
13,100 Bellsouth Corp................. 524,819
------------
TRANSPORTATION -- 2.1%
18,900 Burlington Northern Santa Fe
Corp. ....................... 621,337
------------
TOTAL COMMON STOCKS (COST
$24,205,834) -- 88.0%........ 25,826,575
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<S> <C> <C>
SHORT TERM SECURITIES -- 15.0%
Bear Stearns dated 3/31/99, due 4/1/99, at
4.92% with a maturity value of $4,390,476
(collateralized by $4,348,346 of various
U.S. Treasury Bonds, 10.375% 11/15/12,
total value including accrued interest
$4,477,722)................................ $ 4,389,874
------------
TOTAL SHORT TERM SECURITIES (COST
$4,389,874)................................ 4,389,874
------------
TOTAL INVESTMENTS (COST $28,595,708)(a) --
103.0%..................................... 30,216,449
------------
DEPOSITS WITH BROKERS FOR SECURITIES SOLD
SHORT -- 100.3%
Bear Stearns Deposit A/C, 4.8%, 4/1/99....... 29,456,461
------------
TOTAL DEPOSITS WITH BROKERS FOR SECURITIES
SOLD SHORT (COST $29,456,461).............. 29,456,461
------------
PAYABLE TO BROKERS FOR SECURITIES PURCHASED
SHORT -- (15.6)%........................... (4,587,313)
------------
SECURITIES SOLD SHORT (PROCEEDS
$23,772,615) -- (84.0)%.................... (24,649,552)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (3.7)%........................... (1,082,680)
------------
TOTAL NET ASSETS -- 100.0%................... $ 29,353,365
============
</TABLE>
- ---------------
* Non-income producing security.
(a) At March 31, 1999, the aggregate cost of investment securities for income
tax purposes was $82,879,482. Cost for federal income tax purposes differs
from value by net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments.......... $ 2,377,245
Unrealized appreciation -- Short
Sales................................ 1,006,902
Unrealized
depreciation -- Investments.......... (934,265)
Unrealized depreciation -- Short
Sales................................ (1,883,839)
-----------
Net unrealized appreciation............ $ 566,043
===========
</TABLE>
See accompanying notes to the financial statements.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS -- 84.0%
AIRLINES -- 0.7%
4,200 US Airways Group, Inc.*.... $ 205,013
------------
BANKING -- 8.5%
11,600 BB&T Corp.................. 419,774
7,700 First Security Corp........ 148,706
11,700 General Electric Co........ 1,294,312
9,500 Huntington Bancshare,
Inc...................... 293,906
500 Regions Financial Corp..... 17,313
10,000 Synovus Financial Corp..... 204,375
2,900 Washington Mutual, Inc..... 118,538
------------
2,496,924
------------
CHEMICALS -- 1.9%
1,600 Dow Chemical Co............ 149,100
3,800 International Flavors &
Fragrances, Inc.......... 142,738
7,400 Praxair, Inc............... 266,862
------------
558,700
------------
CONSTRUCTION
MATERIALS -- 1.3%
4,000 Corning, Inc............... 240,000
6,000 Owens-Illinois, Inc.*...... 150,000
------------
390,000
------------
DEFENSE -- 0.7%
3,300 Northrop Grumman Corp...... 197,588
------------
DRUGS -- 9.5%
19,200 American Home Products
Corp..................... 1,252,799
21,500 Bristol-Myers Squibb Co.... 1,382,718
3,300 Watson Pharmaceutical,
Inc.*.................... 145,613
------------
2,781,130
------------
ELECTRIC UTILITIES -- 1.9%
5,500 AES Corp.*................. 204,875
7,900 PP&L Resources, Inc........ 195,525
5,900 Reliant Energy, Inc........ 153,769
------------
554,169
------------
ELECTRONICS -- 6.1%
6,900 Analog Devices, Inc.*...... 205,275
14,000 Johnson & Johnson.......... 1,311,625
3,200 Medtronic, Inc............. 229,600
300 Perkin-Elmer Corp.......... 29,119
200 Sepracor, Inc.*............ 22,450
------------
1,798,069
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD -- 7.6%
20,300 Coca-Cola Co............... $ 1,245,912
19,800 ConAgra, Inc............... 506,137
7,800 Kellogg Co................. 263,737
7,800 Starbucks Corp.*........... 218,888
------------
2,234,674
------------
HEALTH -- 1.0%
10,300 Health Management
Associates, Inc.*........ 125,531
14,900 Healthsouth Corp.*......... 154,588
------------
280,119
------------
INSURANCE -- 1.5%
7,100 Cincinnati Financial
Corp..................... 258,707
5,300 MGIC Investment Corp....... 185,831
------------
444,538
------------
MACHINERY -- 6.6%
11,500 Baker Hughes, Inc.......... 279,594
4,700 Crown Cork & Seal Co.,
Inc...................... 134,244
20,200 Gillette Co................ 1,200,637
12,200 Ralston Purina Co.......... 325,588
------------
1,940,063
------------
MEDIA -- 0.8%
8,400 New York Times Co.......... 239,400
------------
METALS -- 0.4%
2,300 Phelps Dodge Corp.......... 113,275
------------
MISCELLANEOUS FINANCIAL -- 5.3%
4,395 Bear Stearns Companies,
Inc...................... 196,402
7,200 Franklin Resources, Inc.... 202,500
9,400 Merrill Lynch & Co.,
Inc...................... 831,312
4,600 Paine Webber Group, Inc.... 183,425
4,000 Price (T. Rowe) Associates,
Inc...................... 137,500
------------
1,551,139
------------
OFFICE MACHINERY -- 1.1%
3,700 Eastman Kodak Co........... 236,338
4,600 Quantum Corp.*............. 82,800
------------
319,138
------------
OIL -- 0.7%
4,300 Anadarko Petroleum Corp.... 162,325
3,800 Union Pacific Resources
Group, Inc............... 45,125
------------
207,450
------------
</TABLE>
See accompanying notes to the financial statements.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION -- 1.3%
3,700 Amerada Hess Corp.......... $ 186,156
8,400 Tosco Corp................. 208,425
------------
394,581
------------
OIL SERVICES -- 6.4%
17,100 Halliburton Co............. 658,350
20,200 Schlumberger, Ltd.......... 1,215,788
------------
1,874,138
------------
PAPER -- 6.5%
4,000 Champion International
Corp..................... 164,250
7,600 Fort James Corp............ 240,825
4,300 Kimberly-Clark Corp........ 206,131
11,000 Minnesota Mining &
Manufacturing Co......... 778,250
2,600 Temple-Inland, Inc......... 163,150
3,300 Weyerhaeuser Co............ 183,150
4,100 Williamette Industries,
Inc...................... 154,775
------------
1,890,531
------------
REAL ESTATE ASSETS -- 0.1%
2,400 Newmont Mining Corp........ 42,000
------------
SERVICES -- 5.6%
6,700 BMC Software, Inc.*........ 248,319
10,000 Electronic Data Systems
Corp..................... 486,874
4,300 Block (H.R.), Inc.......... 203,713
12,900 Parametric Technology
Corp.*................... 254,774
7,300 PeopleSoft, Inc.*.......... 106,763
5,000 Robert Half International,
Inc.*.................... 164,063
11,800 Service Corp.
International............ 168,150
------------
1,632,656
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS -- 3.3%
7,200 Colgate-Palmolive Co....... $ 662,400
3,200 Procter & Gamble Co........ 313,400
------------
975,800
------------
TELEPHONE -- 3.3%
5,200 Nextel Communications,
Inc.*.................... 190,450
16,300 SBC Communications, Inc.... 768,138
------------
958,588
------------
TEXTILES -- 0.8%
3,800 Nike, Inc.................. 219,213
------------
TRANSPORTATION -- 0.6%
3,500 Union Pacific Corp......... 187,031
------------
TRAVEL/ENTERTAINMENT -- 0.5%
7,700 Mirage Resorts, Inc.*...... 163,625
------------
TOTAL COMMON STOCKS........ 24,649,552
------------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $23,772,615) --
84.0%.................... $ 24,649,552
============
</TABLE>
- ---------------
* Non-income producing security.
See accompanying notes to the financial statements.
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
-------------- ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $478,064,421, $916,528 and
$38,783,810, respectively)................................ $480,392,796 $1,081,761 $35,888,550
Foreign currency, at value (cost $0, $9,304, and $642,436,
respectively)............................................. -- 9,574 646,657
Cash........................................................ 3,325 19,830 --
Receivable for investments sold............................. 7,481,316 -- 934,574
Dividends and interest receivable........................... 542,689 5,997 201,923
Other assets................................................ 12,769 5,430 5,092
Reclaim receivable.......................................... -- -- 83,625
------------ ---------- -----------
Total Assets............................................ 488,432,895 1,122,592 37,760,421
------------ ---------- -----------
LIABILITIES
Payable to Custodian........................................ -- -- 423,661
Payable for investments purchased........................... 7,942,105 -- 1,256,322
Payable for Fund shares redeemed............................ 50,519 -- --
Accrued:
Manager fees.............................................. 373,438 -- 39,431
Administration fees....................................... 5,965 -- 449
Shareholder Services fees (Adviser Shares)................ 2,427 -- --
Shareholder Services fees (Select Shares)................. 1,792 5 337
12b-1 fees (Select Shares)................................ 922 9 419
Transfer agent fees....................................... 1,599 3 112
Audit fees................................................ 27,830 9,830 17,830
Other accrued expenses.................................... 104,797 11,724 32,676
Collateral for securities loaned, at value.................. 2,752,094 -- --
------------ ---------- -----------
Total Liabilities....................................... 11,263,488 21,571 1,771,237
------------ ---------- -----------
NET ASSETS.................................................. $477,169,407 $1,101,021 $35,989,184
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 58,128,793 192,872 3,763,097
Adviser Shares............................................ 2,022,256 -- --
Select Shares............................................. 2,128,066 8,756 186,624
Net Asset value, offering price and redemption price per
share:
Institutional Shares...................................... $ 7.66 $ 5.46 $ 9.11
Adviser Shares............................................ 7.65 -- --
Select Shares............................................. 7.63 5.44 9.10
NET ASSETS CONSIST OF:
Capital..................................................... $532,919,811 $1,902,045 $40,708,522
Accumulated undistributed net investment income/(loss)...... 473,408 979 221,862
Accumulated net realized gain/(loss) on investments and
foreign currency transactions............................. (58,552,187) (967,590) (2,050,739)
Net unrealized appreciation/(depreciation) on investments... 2,328,375 165,233 (2,895,260)
Net unrealized appreciation/(depreciation) on foreign
currency transactions..................................... -- 354 4,799
------------ ---------- -----------
TOTAL NET ASSETS............................................ $477,169,407 $1,101,021 $35,989,184
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET DOUBLE ALPHA SELECT SECTORS
NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
------------ ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $191,898,355, $7,470,317 and
$28,595,708, respectively)................................ $191,365,684 $6,940,395 $30,216,449
Deposits with brokers and custodian bank for securities sold
short..................................................... 193,202,541 -- 29,456,461
Cash........................................................ -- 86,164 --
Deposits with broker for futures contracts.................. -- 379,500 --
Receivable for securities sold short........................ 409,979 -- --
Receivable for investments sold............................. 6,388,735 -- 4,844,178
Dividends and interest receivable........................... 544,745 584 100,111
Receivable from Manager..................................... -- 5,479 1,796
Deferred organizational expenses............................ 33,076 13,078 --
Other assets................................................ 17,340 9,131 15,726
------------ ---------- -----------
Total Assets............................................ 391,962,100 7,434,331 64,634,721
------------ ---------- -----------
LIABILITIES
Securities sold short (proceeds $205,681,985, $0 and
$23,772,615, respectively)................................ 183,544,598 -- 24,649,552
Payable for investments purchased........................... 1,022,707 -- 98,498
Payable for Fund shares redeemed............................ -- -- 5,856,076
Payable to cover securities sold short...................... 7,060,168 -- 4,587,313
Payable for dividends on securities sold short.............. 137,093 -- 45,528
Payable for variation margin on futures contracts........... -- 128,800 --
Accrued:
Manager fees.............................................. 316,015 -- --
Administration fees....................................... 2,513 -- 439
Shareholder Services fees (Investor Shares)............... 7,009 3 9
12b-1 fees (Investor Shares).............................. 8,406 56 108
Transfer agent fees....................................... 786 25 114
Audit fees................................................ 27,830 12,430 14,600
Other accrued expenses.................................... 43,804 3,986 29,119
------------ ---------- -----------
Total Liabilities....................................... 192,170,929 145,300 35,281,356
------------ ---------- -----------
NET ASSETS.................................................. $199,791,171 $7,289,031 $29,353,365
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 18,056,909 716,866 2,754,441
Investor Shares........................................... 4,165,324 26,304 51,717
Net Asset value, offering price and redemption price per
share:
Institutional Shares...................................... $ 8.99 $ 9.81 $ 10.46
Investor Shares........................................... 8.98 9.79 10.43
NET ASSETS CONSIST OF:
Capital..................................................... $229,639,185 $7,417,269 $29,293,655
Accumulated undistributed net investment income/(loss)...... 1,560,774 1,769 252,708
Accumulated net realized gain/(loss) on investments and
futures contracts......................................... (19,445,433) 110,115 633,198
Accumulated net realized gain/(loss) on securities sold
short..................................................... (33,568,071) -- (1,570,000)
Net unrealized appreciation/(depreciation) on investments... (532,671) (529,922) 1,620,741
Net unrealized appreciation/(depreciation) on short sales... 22,137,387 -- (876,937)
Net unrealized appreciation/(depreciation) on future
contracts................................................. -- 289,800 --
------------ ---------- -----------
TOTAL NET ASSETS........................................ $199,791,171 $7,289,031 $29,353,365
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
-------------- ------------ --------------
<S> <C> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $1,953, $1,614, and
$162,556, respectively)................................. $ 6,782,141 $ 8,994 $ 1,171,281
Interest.................................................. 403,518 -- 14,187
Security lending fees..................................... 82,301 -- --
------------- --------- -----------
Total Investment Income................................. 7,267,960 8,994 1,185,468
------------- --------- -----------
Expenses:
Manager fees.............................................. 5,065,260 9,032 424,779
Administration fees....................................... 844,211 1,355 63,717
Shareholder Services fee (Adviser Shares)................. 39,242 -- --
Shareholder Services fee (Select Shares).................. 20,918 23 4,133
12b-1 fees (Select Shares)................................ 131,917 221 10,810
Audit fees................................................ 34,100 16,100 24,100
Custodian fees............................................ 233,824 39,066 185,956
Fund accounting fees...................................... 60,767 38,842 90,266
Legal fees................................................ 66,834 101 4,728
Registration and filing fees.............................. 39,944 11,164 10,472
Transfer agent fees....................................... 123,075 12,870 17,677
Trustees' fees............................................ 110,189 180 7,921
Other expenses............................................ 110,223 700 6,937
------------- --------- -----------
Total expenses before waivers/reimbursements............ 6,880,504 129,654 851,496
Less expenses waived/reimbursed......................... (418,761) (115,972) (204,775)
------------- --------- -----------
Total Net Expenses...................................... 6,461,743 13,682 646,721
------------- --------- -----------
Net Investment Income/(Loss)................................ 806,217 (4,688) 538,747
------------- --------- -----------
Net Realized Gain/(Loss) on:
Investments............................................... (57,710,206) (175,464) (1,621,342)
Foreign currency transactions............................. -- 7,278 36,733
Net Change in Unrealized Appreciation/(Depreciation) on:
Investments............................................... (79,559,913) 315,831 (3,719,763)
Foreign currency transactions............................. -- 674 8,321
------------- --------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments and
Foreign Currency Transactions............................. (137,270,119) 148,319 (5,296,051)
------------- --------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $(136,463,902) $ 143,631 $(4,757,304)
============= ========= ===========
</TABLE>
See accompanying notes to the financial statements.
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 1999 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET DOUBLE ALPHA SELECT SECTORS
NEUTRAL MARKET MARKET NEUTRAL
FUND FUND(*) FUND(**)
------------- ------------ --------------
<S> <C> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $947, $0, and $0,
respectively)........................................... $ 2,820,364 $ 8,954 $ 129,396
Dividends from investment company shares.................. -- 195,369 --
Interest.................................................. 13,248,586 9,335 423,190
------------- --------- -----------
Total Investment Income................................. 16,068,950 213,658 552,586
------------- --------- -----------
Expenses:
Manager fees.............................................. 5,247,271 6,732 93,840
Administration fees....................................... 414,258 10,097 14,076
Shareholder Services fee (Investor Shares)................ 96,711 58 17
12b-1 fees (Investor Shares).............................. 120,307 448 379
Audit fees................................................ 34,110 16,100 18,100
Custodian fees............................................ 65,064 3,128 5,846
Fund accounting fees...................................... 107,649 42,666 24,816
Legal fees................................................ 29,141 666 13,276
Registration and filing fees.............................. 24,975 33,620 19,405
Transfer agent fees....................................... 54,543 14,433 6,299
Trustees' fees............................................ 50,700 1,230 1,261
Organization expenses..................................... 6,558 1,053 --
Dividend expense for securities sold short................ 2,342,464 -- 140,631
Other expenses............................................ 97,916 3,563 27,685
------------- --------- -----------
Total expenses before waivers/reimbursements............ 8,691,667 133,794 365,631
Less expenses waived/reimbursed......................... (608,005) (109,727) (107,306)
------------- --------- -----------
Total Net Expenses...................................... 8,083,662 24,067 258,325
------------- --------- -----------
Net Investment Income/(Loss)................................ 7,985,288 189,591 294,261
------------- --------- -----------
Net Realized Gain/(Loss) on:
Investments............................................... (21,000,267) (275,466) 644,967
Securities sold short..................................... (29,819,160) -- (1,570,000)
Futures contracts......................................... -- 385,581 --
Net Change in Unrealized Appreciation/(Depreciation) on:
Investments............................................... (18,091,355) (529,922) 1,620,741
Securities sold short..................................... 39,028,579 -- (876,937)
Futures contracts......................................... -- 289,800 --
------------- --------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments,
Securities Sold Short and Futures Contracts............... (29,882,203) (130,007) (181,229)
------------- --------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $ (21,896,915) $ 59,584 $ 113,032
============= ========= ===========
</TABLE>
- ---------------
(*) From commencement of operations on April 22, 1998.
(**) From commencement of operations on October 19, 1998.
See accompanying notes to the financial statements.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL INTERNATIONAL SMALL
CAPITALIZATION SERIES JAPAN SERIES CAPITALIZATION SERIES
---------------------------- ----------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1999 1998 1999 1998 1999 1998
------------- ------------ ---------- ---------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 806,217 $ 475,937 $ (4,688) $ (7,910) $ 538,747 $ 200,863
Net Realized Gain/(Loss) on:
Investments................ (57,710,206) 19,147,257 (175,464) (343,069) (1,621,342) 174,225
Securities sold short...... -- -- -- -- -- --
Foreign currency
transactions............. -- -- 7,278 (2,126) 36,733 (2,034)
Futures contracts.......... -- -- -- -- -- --
Net Change in Unrealized
Appreciation/(Depreciation)
on:
Investments................ (79,559,913) 76,349,937 315,831 77,352 (3,719,763) 783,154
Securities sold short...... -- -- -- -- -- --
Foreign currency
transactions............. -- -- 674 (353) 8,321 (2,077)
Futures contracts.......... -- -- -- -- -- --
------------- ------------ ---------- ---------- ------------ -----------
Net increase/(decrease) in
net assets resulting from
operations............... (136,463,902) 95,973,131 143,631 (276,106) (4,757,304) 1,154,131
------------- ------------ ---------- ---------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... (748,548) (215,612) -- -- (403,961) (157,717)
Adviser Shares............. -- -- -- -- -- --
Select Shares.............. -- -- -- -- (15,734) (2,051)
------------- ------------ ---------- ---------- ------------ -----------
(748,548) (215,612) -- -- (419,695) (159,768)
------------- ------------ ---------- ---------- ------------ -----------
Net realized gain on
investments
Institutional Shares....... (5,068,928) (17,308,082) -- -- -- (170,982)
Adviser Shares............. (244,354) (857,326) -- -- -- --
Select Shares.............. (259,575) (904,903) -- -- -- (3,243)
------------- ------------ ---------- ---------- ------------ -----------
(5,572,857) (19,070,311) -- -- -- (174,225)
------------- ------------ ---------- ---------- ------------ -----------
In excess of net realized
gain on investments
Institutional Shares....... -- -- -- -- -- (402,580)
Adviser Shares............. -- -- -- -- -- --
Select Shares.............. -- -- -- -- -- (7,635)
------------- ------------ ---------- ---------- ------------ -----------
-- -- -- -- -- (410,215)
------------- ------------ ---------- ---------- ------------ -----------
Net decrease in net assets
resulting from
distributions............ (6,321,405) (19,285,923) -- -- (419,695) (744,208)
------------- ------------ ---------- ---------- ------------ -----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 196,873,799 415,229,113 769,151 124,326 24,896,742 33,199,668
Adviser Shares............. 23,937,536 27,837,688 -- -- -- --
Select Shares.............. 8,142,464 29,283,366 18,199 57,599 3,029,959 1,450,168
------------- ------------ ---------- ---------- ------------ -----------
228,953,799 472,350,167 787,350 181,925 27,926,701 34,649,836
------------- ------------ ---------- ---------- ------------ -----------
Proceeds from dividends
reinvested
Institutional Shares....... 4,951,583 15,973,086 -- -- 401,708 731,279
Adviser Shares............. 201,395 855,526 -- -- -- --
Select Shares.............. 250,798 856,484 -- -- 15,628 11,756
------------- ------------ ---------- ---------- ------------ -----------
5,403,776 17,685,096 -- -- 417,336 743,035
------------- ------------ ---------- ---------- ------------ -----------
Cost of shares redeemed
Institutional Shares....... (164,834,333) (47,544,332) (720,516) -- (25,345,483) (7,931,282)
Adviser Shares............. (19,514,429) (12,678,996) -- -- -- --
Select Shares.............. (19,117,051) (2,134,889) (25,334) (11,907) (2,424,898) (323,070)
------------- ------------ ---------- ---------- ------------ -----------
(203,465,813) (62,358,217) (745,850) (11,907) (27,770,381) (8,254,352)
------------- ------------ ---------- ---------- ------------ -----------
Net increase/(decrease) in
net assets from shares of
beneficial interest........ 30,891,762 427,677,046 41,500 170,018 573,656 27,138,519
------------- ------------ ---------- ---------- ------------ -----------
Total increase/(decrease) in
net assets................... (111,893,545) 504,364,254 185,131 (106,088) (4,603,343) 27,548,442
NET ASSETS:
Beginning of period.......... 589,062,952 84,698,698 915,890 1,021,978 40,592,527 13,044,085
------------- ------------ ---------- ---------- ------------ -----------
End of period................ $ 477,169,407 $589,062,952 $1,101,021 $ 915,890 $ 35,989,184 $40,592,527
============= ============ ========== ========== ============ ===========
</TABLE>
See accompanying notes to the financial statements.
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOUBLE ALPHA SELECT SECTORS
MARKET NEUTRAL FUND MARKET FUND MARKET NEUTRAL FUND
----------------------------- ------------ -------------------
YEAR ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31,
1999 1998(*) 1999(**) 1999(***)
------------- ------------ ------------ -------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income/(loss).............................. $ 7,985,288 $ 1,195,002 $ 189,591 $ 294,261
Net Realized Gain/(Loss) on:
Investments............................................. (21,000,267) 1,639,174 (275,466) 644,967
Securities sold short................................... (29,819,160) (3,748,911) -- (1,570,000)
Foreign currency transactions........................... -- -- -- --
Futures contracts....................................... -- -- 385,581 --
Net Change in Unrealized Appreciation/(Depreciation) on:
Investments............................................. (18,091,355) 17,558,684 (529,922) 1,620,741
Securities sold short................................... 39,028,579 (16,891,192) -- (876,937)
Foreign currency transactions........................... -- -- -- --
Futures contracts....................................... -- -- 289,800 --
------------- ------------ ----------- -----------
Net increase/(decrease) in net assets resulting from
operations............................................ (21,896,915) (247,243) 59,584 113,032
------------- ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income
Institutional Shares.................................... (6,521,535) -- (182,541) (52,697)
Investor Shares......................................... (1,184,406) -- (5,281) (625)
------------- ------------ ----------- -----------
(7,705,941) -- (187,822) (53,322)
------------- ------------ ----------- -----------
Net realized gain on investments
Institutional Shares.................................... -- -- -- --
Investor Shares......................................... -- -- -- --
------------- ------------ ----------- -----------
-- -- -- --
------------- ------------ ----------- -----------
In excess of net realized gain on investments
Institutional Shares.................................... -- -- -- --
Investor Shares......................................... -- -- -- --
------------- ------------ ----------- -----------
-- -- -- --
------------- ------------ ----------- -----------
Net decrease in net assets resulting from
distributions......................................... (7,705,941) -- (187,822) (53,322)
------------- ------------ ----------- -----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares.................................... 218,927,575 174,349,116 11,090,373 34,996,504
Investor Shares......................................... 47,256,015 36,924,433 538,359 578,074
------------- ------------ ----------- -----------
266,183,590 211,273,549 11,628,732 35,574,578
------------- ------------ ----------- -----------
Proceeds from dividends reinvested
Institutional Shares.................................... 6,381,723 -- 182,541 52,491
Investor Shares......................................... 1,131,149 -- 5,281 231
------------- ------------ ----------- -----------
7,512,872 -- 187,822 52,722
------------- ------------ ----------- -----------
Cost of shares redeemed
Institutional Shares.................................... (206,509,383) (6,091,804) (4,117,465) (6,333,645)
Investor Shares......................................... (41,095,835) (1,631,719) (281,820) --
------------- ------------ ----------- -----------
(247,605,218) (7,723,523) (4,399,285) (6,333,645)
------------- ------------ ----------- -----------
Net increase/(decrease) in net assets from shares of
beneficial interest..................................... 26,091,244 203,550,026 7,417,269 29,293,655
------------- ------------ ----------- -----------
Total increase/(decrease) in net assets.................... (3,511,612) 203,302,783 7,289,031 29,353,365
NET ASSETS:
Beginning of period....................................... 203,302,783 -- -- --
------------- ------------ ----------- -----------
End of period............................................. $ 199,791,171 $203,302,783 $ 7,289,031 $29,353,365
============= ============ =========== ===========
</TABLE>
- ---------------
(*) From commencement of operations on December 16, 1997 (Institutional) and
December 18, 1997 (Investor).
(**) 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.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 1999
- --------------------------------------------------------------------------------
1. -- ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was
established as a Massachusetts business trust under the laws of Massachusetts on
April 1, 1988. The Trust is an open-end diversified management investment
company offering six portfolios: U.S. Small Capitalization Series, Japan Series,
International Small Capitalization Series, Market Neutral Fund, Double Alpha
Market Fund (commenced operations on April 22, 1998) and the Select Sectors
Market Neutral Fund (commenced operations on October 19, 1998), collectively
(the "Funds"), or individually (the "Fund"), with differing objectives and
strategies. Each Fund is authorized to issue Institutional Shares. In addition,
the U.S. Small Capitalization Series is authorized to issue Select Shares and
Adviser Shares, the Japan Series and International Small Capitalization Series
are authorized to issue Select Shares and the Market Neutral Fund, Double Alpha
Market Fund and the Select Sectors Market Neutral Fund are authorized to issue
Investor Shares. The classes differ primarily with respect to the level of
Shareholder Services Fees and Distribution Fees borne by each class. In
addition, an investor's eligibility to purchase each of the three classes of
shares generally depends on the amount invested in a particular Fund and on
whether the investor makes the investment in the Fund directly or through a
financial adviser.
The Trustees approved the closing of the U.S. Small Capitalization Series
to new investors as of February 20, 1998, when the Fund reached $500 million in
market value. 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.
2. -- SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial
statements in conformity with generally accepted accounting principles requires
management to make estimates and assumptions that affect the reported amounts
and disclosures in the financial statements. Actual amounts could differ from
those estimates. The following is a summary of significant accounting policies
consistently followed by the Trust in the preparation of its financial
statements.
Security Valuation
Portfolio securities listed on a national exchange or exchanges for which
market quotations are available are valued at their last quoted sale price
on each business day. If there is no such reported sale, the most recently
quoted bid price is used for long securities and the ask price is used for
securities sold short. Debt obligations with sixty days or less remaining
until maturity are valued at their amortized cost. Unlisted securities for
which market quotations are readily available are valued at the most recent
quoted bid price for long securities and the ask price is used for
securities sold short. Other assets and securities for which no quotation
is readily available are valued at fair value as determined in good faith
by the Trustees.
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date, with realized
gain or loss on the sale of investments determined by using the identified
cost method. Corporate actions (including cash dividends) are recorded on
the ex-date or 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.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (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.
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (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 March 31, 1999, the values of securities sold
short in the Market Neutral Fund and the Select Sectors Market Neutral Fund
amounted to $183,544,598 and $24,649,552, against which collateral of
$384,568,225 and $59,672,910 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 March 31, 1999, the value of securities loaned amounted to $2,332,768
against which cash collateral of $2,752,094 was held. The cash collateral
is invested in short-term investments and is included in the Schedule of
Portfolio Investments. A portion of the income generated upon investment of
the collateral is remitted to the Borrowers, and the remainder is allocated
between the U.S. Small Capitalization Series and State Street Bank in its
capacity as lending agent. Security lending fee income, net of related
expenses, is recorded as earned. The U.S. Small Capitalization Series bears
the risk of loss with respect to the investment of the cash collateral.
Determination of Net Asset Value and Calculation of Expenses
Expenses specific to an individual Fund are charged to that Fund, while the
expenses that are attributable to more than one Fund of the Trust are
allocated among the respective Funds. Net asset value per share of each
class, investment income, realized and unrealized gains and losses and
expenses other than class specific expenses are allocated daily to each
class of shares based upon the proportion of shares outstanding attributed
to each class at the beginning of each day. Distribution expenses are
solely borne by and charged to the Select Shares and Investor Shares;
Shareholder Services fees are charged to the Adviser Shares, Select Shares
and Investor Shares.
Dividends and Distributions
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions, Real Estate
Investment Trusts (REITS), redemptions-in-kind and wash sales for book and
tax purposes. Permanent book and tax basis differences will result in
reclassifications to capital accounts.
Dividends and distributions to shareholders which exceed net investment
income and net realized capital gains for financial reporting purposes but
not for tax purposes are reported as dividends in excess of net investment
income
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
or distributions in excess of net realized gains. To the extent they exceed
net investment income and net realized gains for tax purposes, they are
reported as distributions of capital.
As of March 31, 1999, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to
capital:
<TABLE>
<CAPTION>
ACCUMULATED UNDISTRIBUTED
ACCUMULATED NET REALIZED GAIN/(LOSS)
UNDISTRIBUTED NET ON INVESTMENTS
INVESTMENT AND FOREIGN CURRENCY
INCOME/(LOSS) TRANSACTIONS
------------------------ -----------------------------------
<S> <C> <C>
U.S. Small Capitalization Series............ $(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 will be amortized on a straight-line basis over a sixty month period
commencing April 1998 and November 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 contracts. 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 0.35% of
the average net assets of the Double Alpha Market Fund. This includes the
management fee but excludes the Shareholder Service fees and the Distribution
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 Shareholder Service fees and the Distribution fees. For the year
ended March 31, 1999, the amount of such waivers totaled $0, $9,032, $173,417,
$439,246, $6,732 and $93,840 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 year ended March 31, 1999, the amount of such reimbursements totaled $0,
$105,475, $0, $0, $92,898, and $6,511 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 ("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
66
<PAGE> 67
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 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 year ended March 31, 1999, the
amount of such waivers totaled $343,817, $1,355, $25,953, $168,759, $10,097 and
$6,955 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 Plan for its Select Shares and
Investor Shares, pursuant to Rule 12b-1 under the 1940 Act. The Select Shares
and Investor Shares of the Funds are sold on a continuous basis by the Trust's
Distributor, Barr Rosenberg Funds Distributor, Inc. (the "Distributor"), an
indirect wholly owned subsidiary of The BISYS Group, Inc. Under the Distribution
Plan, the Funds pay the Distributor for expenses primarily intended to result in
the sale of the Select Shares and Investor Shares. The Select Shares and
Investor Shares were subject to an annual Distribution Fee of up to 0.50% of the
respective average daily net assets. For the year ended March 31, 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 expenses in the amount of $131,917,
$221, $10,810, $120,307, $448 and $379, respectively. Of these amounts, the
Distributor retained $24,206, $54, $1,021, $21,517, $394 and $291 and waived
$74,944, $110, $5,405, $0, $0 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.
Various service organizations act as the shareholder servicing agents of
the Adviser, Select and Investor Shares of the Funds. Such shares were subject
to an annual Shareholder Services Fee of up to 0.25% of the average daily net
assets attributable to such shares in accordance with a Service Plan adopted by
the Trust. For the year ended March 31, 1999, the Shareholder Services Fee
attributable to the Adviser, Select and Investor Shares was charged as incurred.
<TABLE>
<CAPTION>
ADVISER SELECT INVESTOR
SHARES SHARES SHARES
------- ------ --------
<S> <C> <C> <C>
U.S. Small Capitalization Series............................ 0.16% 0.08%
Japan Series................................................ -- 0.05% --
International Small Capitalization Series................... -- 0.19% --
Market Neutral Fund......................................... -- -- 0.20%
Double Alpha Market Fund.................................... -- -- 0.03%
Select Sectors Market Neutral Fund.......................... -- -- 0.01%
</TABLE>
In February 1999, the Trustees eliminated the Shareholder Service Fees for
the Select and Investor Shares of the Funds and adopted an amended and restated
Distribution and Shareholder Service Plan with respect to the Select and
Investor Shares. The maximum payable under the new Plan is limited to 0.25% of
average daily net assets. These changes became effective April 1, 1999.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
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 on 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 on 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.
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 year ended March 31, 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.......................... $711,665,316 $681,475,740
Japan Series.............................................. 1,396,807 1,373,857
International Small Capitalization Series................. 46,723,594 45,477,703
Market Neutral Fund....................................... 546,064,213 510,256,794
Double Alpha Market Fund.................................. 17,572,587 9,937,732
Select Sectors Market Neutral Fund........................ 55,636,727 32,639,811
</TABLE>
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
6. -- PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess of
10% of the relevant Fund's shares outstanding at March 31, 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................................................ 79%
International Small Capitalization Series................... 92%
Market Neutral Fund......................................... 57%
Double Alpha Market Fund.................................... 92%
Select Sectors Market Neutral Fund.......................... 63%
</TABLE>
7. -- TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of
$37,950 plus a $4,125 meeting fee for each meeting attended. Trustee
compensation was increased to an annual fee of $45,540 plus a $4,950 meeting fee
for each meeting attended effective October 19, 1998.
8. -- SALES AND REDEMPTIONS OF SHARES. Transactions in shares of beneficial
interest were as follows:
<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
=========== ======== ========== =========== ========= =========
<CAPTION>
YEAR/PERIOD ENDED MARCH 31, 1998
-----------------------------------------------------
INTERNATIONAL
U.S. SMALL SMALL MARKET
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL
SERIES SERIES SERIES FUND(*)
-------------- ------ -------------- ----------
<S> <C> <C> <C> <C>
Shares sold:
Institutional........ 47,015,598 20,749 3,397,025 17,468,715
Adviser.............. 3,077,253 -- -- --
Select/Investor...... 3,268,357 10,839 149,355 3,701,007
---------- ------ --------- ----------
53,361,208 31,588 3,546,380 21,169,722
---------- ------ --------- ----------
Issued upon
reinvestment of
distributions:
Institutional........ 1,792,715 -- 82,129 --
Adviser.............. 96,019 -- -- --
Select/Investor...... 96,342 -- 1,325 --
---------- ------ --------- ----------
1,985,076 -- 83,454 --
---------- ------ --------- ----------
Shares redeemed:
Institutional........ (5,225,333) -- (865,143) (608,577)
Adviser.............. (1,413,595) -- -- --
Select/Investor...... (231,371) (2,284) (32,677) (163,584)
---------- ------ --------- ----------
(6,870,299) (2,284) (897,820) (772,161)
---------- ------ --------- ----------
Net
increase/(decrease)
Institutional........ 43,582,980 20,749 2,614,011 16,860,138
Adviser.............. 1,759,677 -- -- --
Select/Investor...... 3,133,328 8,555 118,003 3,537,423
---------- ------ --------- ----------
48,475,985 29,304 2,732,014 20,397,561
========== ====== ========= ==========
</TABLE>
- ---------------
(*) The fund commenced operations on December 16, 1997 (Institutional shares)
and December 18, 1997 (Investor shares).
(**) The fund commenced operations on April 22, 1998.
(***) The fund commenced operations on October 19, 1998 (Institutional shares)
and November 11, 1999 (Investor shares).
69
<PAGE> 70
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- --------------------------------------------------------------------------------
9. -- LINE OF CREDIT. Lines of credit in the amount of $250,000 for the
Japan Series and $10,000,000 for the International Small Capitalization Series
have been established by the custodian for the purposes of foreign exchange
contracts. The maximum daily settlement amount under the line of credit is
$125,000 for the Japan Series and $5,000,000 for the International Small
Capitalization Series.
10. -- CONCENTRATION OF CREDIT. At March 31, 1999, the U.S. Small
Capitalization Series had the following industry concentrations in excess of 10%
of its net assets: Banking -- 10.2%, Electronics -- 11.2% and Services --
16.1%,. The Japan Series had the following industry concentrations in excess of
10% of its net assets: Banking -- 16.9%. The International Small Capitalization
Series had the following country concentrations in excess of 10% of its net
assets: Japan -- 19.5% and United Kingdom -- 18.9%. The Select Sectors Market
Neutral Fund had the following industry concentrations in excess of 10% of its
net assets: Drugs -- 10.7%.
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.
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED). A Special Meeting of Shareholders
took place on December 28, 1998 for the Barr Rosenberg Series Trust. The meeting
was to vote on the approval of a new investment management agreement between
each of 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 of the Trust and AXA Rosenberg Investment
Management LLC. The results of the vote were as follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN
---- ---------- ------- ---------
<S> <C> <C> <C>
U.S. Small Capitalization Series............................ 37,512,181 213,043 2,316,919
Japan Series................................................ 188,979 0 0
International Small Capitalization Series................... 4,281,422 22,041 15,412
Market Neutral Fund......................................... 21,633,888 531,409 534,426
Double Alpha Market Fund.................................... 475,292 0 2,513
Select Sectors Market Neutral Fund.......................... 105,000 0 0
</TABLE>
The Special Meeting of Shareholders on December 28, 1998 also included the
election of two persons to the Board of Trustees to serve in accordance with the
By-laws. The results of the vote were as follows:
<TABLE>
<CAPTION>
FOR AGAINST ABSTAIN
- ---------- ------- -------
<S> <C> <C>
66,989,808 0 845,718
</TABLE>
70
<PAGE> 71
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997 MARCH 31, 1996 MARCH 31, 1995
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period......................... $ 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................. (2.02) 3.14 1.39 2.34 0.78
-------- -------- ------- ------- -------
Total from investment
operations.................. (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...................... $ 7.66 $ 9.76 $ 7.13 $ 7.60 $ 6.97
======== ======== ======= ======= =======
Total return..................... (20.56%) 44.95% 19.53% 35.69% 12.21%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net assets, end of period
(000)..................... $445,476 $537,891 $82,116 $60,046 $56,910
Net investment income/(loss)
before
waivers/reimbursements.... 0.10% 0.04% (0.12%) 0.22% 0.33%
Net investment income/(loss)
net of
waivers/reimbursements.... 0.16% 0.19% 0.35% 0.47% 0.60%
Expenses before
waivers/reimbursements.... 1.19% 1.30% 1.54% 1.15% 1.17%
Expenses net of
waivers/reimbursements.... 1.15% 1.15% 1.07% 0.90% 0.90%
Portfolio turnover rate..... 123.66% 77.70% 126.83% 71.87% 57.27%
</TABLE>
- ---------------
(**) Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- ------------------
<S> <C> <C> <C>
ADVISER SHARES
Net asset value, beginning of period................ $ 9.75 $ 7.14 $ 7.38
-------- -------- --------
Income from investment operations:
Net investment income/(loss)...................... --(**) (0.01)(**) 0.02
Net realized and unrealized gain/(loss) on
investments.................................... (2.02) 3.14 (0.26)
-------- -------- --------
Total from investment operations.................. (2.02) 3.13 (0.24)
-------- -------- --------
Distributions to shareholders from:
Net investment income............................. -- -- --
Net realized gain on investments.................. (0.08) (0.52) --
-------- -------- --------
Total distributions to shareholders............... (0.08) (0.52) --
-------- -------- --------
Net asset value, end of period...................... $ 7.65 $ 9.75 $ 7.14
======== ======== ========
Total return........................................ (20.70%) 44.50% (3.25%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)................ $ 15,465 $ 17,448 $ 208
Net investment income/(loss) before
waivers/reimbursements....................... (0.06%) (0.22%) 0.07%(*)
Net investment income/(loss) net of
waivers/reimbursements....................... (0.00%) (0.06%) 0.46%(*)
Expenses before waivers/reimbursements......... 1.35% 1.56% 1.54%(*)
Expenses net of waivers/reimbursements......... 1.29% 1.40% 1.15%(*)
Portfolio turnover rate........................ 123.66% 77.70% 126.83%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on January 21, 1997 to March 31, 1997.
See accompanying notes to the financial statements.
72
<PAGE> 73
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period..................... $ 9.73 $ 7.13 $ 8.49
------- ------- -------
Income from investment operations:
Net investment income/(loss)........................... (0.01)(**) (0.02)(**) 0.07
Net realized and unrealized gain/(loss) on
investments......................................... (2.01) 3.14 0.47
------- ------- -------
Total from investment operations....................... (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........................... $ 7.63 $ 9.73 $ 7.13
======= ======= =======
Total return............................................. (20.74%) 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)..................... $16,228 $33,724 $ 2,375
Net investment income/(loss) before
waivers/reimbursements............................ (0.50%) (0.70%) 0.07%(*)
Net investment income/(loss) net of
waivers/reimbursements............................ (0.15%) (0.24%) 0.46%(*)
Expenses before waivers/reimbursements.............. 1.77% 2.05% 1.54%(*)
Expenses net of waivers/reimbursements.............. 1.42% 1.59% 1.15%(*)
Portfolio turnover rate............................. 123.66% 77.70% 126.83%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
73
<PAGE> 74
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997 MARCH 31, 1996 MARCH 31, 1995
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period...... $ 4.72 $ 6.20 $ 8.77 $ 8.96 $ 8.25
------ ------ ------ ------ ------
Income from investment operations:
Net investment income/(loss)............ (0.02)(**) (0.04)(**) (0.05)(**) 0.04 0.10
Net realized and unrealized gain/(loss)
on investments and foreign currency
transactions.......................... 0.76 (1.44) (2.45) (0.15) 0.63
------ ------ ------ ------ ------
Total from investment operations........ 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............ $ 5.46 $ 4.72 $ 6.20 $ 8.77 $ 8.96
====== ====== ====== ====== ======
Total return.............................. 15.68% (23.87%) (28.68%) (1.20%) 8.86%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net assets, end of period (000)....... $1,053 $ 866 $1,009 $1,378 $1,385
Net investment income/(loss) before
waivers/reimbursements.............. (13.32%) (13.49%) (12.54%) (6.38%) (6.22%)
Net investment income/(loss) net of
waivers/reimbursements.............. (0.50%) (0.74%) (0.63%) (0.22%) (0.20%)
Expenses before
waivers/reimbursements.............. 14.32% 14.25% 13.33% 7.16% 7.02%
Expenses net of
waivers/reimbursements.............. 1.50% 1.50% 1.42% 1.00% 1.00%
Portfolio turnover rate............... 152.20% 102.13% 51.70% 60.60% 57.10%
</TABLE>
- ---------------
(**) Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements.
74
<PAGE> 75
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period................. $ 4.71 $ 6.20 $ 8.08
------ ------ ------
Income from investment operations:
Net investment income/(loss)....................... (0.04)(**) (0.04)(**) (0.01)(**)
Net realized and unrealized gain/(loss) on
investments and foreign currency transactions... 0.77 (1.45) (1.80)
------ ------ ------
Total from investment operations................... 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....................... $ 5.44 $ 4.71 $ 6.20
====== ====== ======
Total return......................................... 15.50% (24.03%) (22.59%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000).................... $ 48 $ 50 $ 13
Net investment income/(loss) before
waivers/reimbursements.......................... (14.06%) (9.10%) (11.83%)(*)
Net investment income/(loss) net of
waivers/reimbursements.......................... (0.91%) (0.82%) 0.00%(*)
Expenses before waivers/reimbursements............. 14.95% 10.12% 13.33%(*)
Expenses net of waivers/reimbursements............. 1.80% 1.85% 1.50%(*)
Portfolio turnover rate............................ 152.20% 102.13% 51.70%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
75
<PAGE> 76
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
--------------- --------------- ------------------
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period............ $ 10.10 $ 10.13 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income/(loss).................. 0.12(**) 0.08(**) 0.02(**)
Net realized and unrealized gain/(loss) on
investment and foreign currency
transactions............................... (1.02) 0.14 0.11
------- ------- -------
Total from investment operations.............. (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.................. $ 9.11 $ 10.10 $ 10.13
======= ======= =======
Total return.................................... (8.83%) 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)............... $34,292 $39,218 $12,859
Net investment income/(loss) before
waivers/reimbursements..................... 0.82% (0.32%) (5.85%)(*)
Net investment income/(loss) net of
waivers/reimbursements..................... 1.29% 0.82% 0.11%(*)
Expenses before waivers/reimbursements........ 1.97% 2.64% 7.46%(*)
Expenses net of waivers/reimbursements........ 1.50% 1.50% 1.50%(*)
Portfolio turnover rate....................... 111.05% 77.72% 6.71%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on September 23, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
76
<PAGE> 77
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -----------------
<S> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of period................. $10.09 $10.13 $ 10.04
------ ------ -------
Income from investment operations:
Net investment income/(loss)....................... 0.07(**) 0.06(**) 0.02(**)
Net realized and unrealized gain/(loss) on
investments and foreign currency transactions... (1.00) 0.14 0.07
------ ------ -------
Total from investment operations................... (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....................... $ 9.10 $10.09 $ 10.13
====== ====== =======
Total return......................................... (9.16%) 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000).................... $1,697 $1,375 $ 185
Net investment income/(loss) before
waivers/reimbursements.......................... 0.08% (0.83%) (5.52%)(*)
Net investment income/(loss) net of
waivers/reimbursements.......................... 0.79% 0.61% 0.44%(*)
Expenses before waivers/reimbursements............. 2.66% 3.35% 7.46%(*)
Expenses net of waivers/reimbursements............. 1.95% 1.91% 1.50%(*)
Portfolio turnover rate............................ 111.05% 77.72% 6.71%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on October 29, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
77
<PAGE> 78
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998(a)
-------------- -----------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 9.97 $ 10.00
-------- --------
Income from investment operations:
Net investment income/(loss).............................. 0.29(**) 0.10(**)
Net realized and unrealized gain/(loss) on investments.... (1.00) (0.13)
-------- --------
Total from investment operations.......................... (0.71) (0.03)
-------- --------
Distributions to shareholders from:
Net investment income..................................... (0.27) --
Net realized gain on investments.......................... -- --
-------- --------
Total distributions to shareholders....................... (0.27) --
-------- --------
Net asset value, end of period.............................. $ 8.99 $ 9.97
======== ========
Total return................................................ (7.31%) (0.30%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $162,404 $168,080
Net investment income/(loss) before
waivers/reimbursements................................ 2.75% 2.72%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 2.97% 3.31%(*)
Expenses before waivers/reimbursements and dividend
expense............................................... 3.07% 3.33%(*)
Expenses (including dividend expense) net of
waivers/reimbursements................................ 2.85% 2.75%(*)
Expenses (excluding dividend expense) net of
waivers/reimbursements................................ 2.00% 2.00%(*)
Portfolio Turnover Rate................................ 205.32% 232.93%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on December 16, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
78
<PAGE> 79
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 1999 MARCH 31, 1998(a)
-------------- -----------------
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 9.96 $ 10.00
------- -------
Income from investment operations:
Net investment income/(loss).............................. 0.25(**) 0.08(**)
Net realized and unrealized gain/(loss) on investments.... (1.00) (0.12)
------- -------
Total from investment operations.......................... (0.75) (0.04)
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.23) --
Net realized gain on investments.......................... -- --
------- -------
Total distributions to shareholders....................... (0.23) --
------- -------
Net asset value, end of period.............................. $ 8.98 $ 9.96
======= =======
Total return................................................ (7.66%) (0.40%)
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $37,387 $35,223
Net investment income/(loss) before
waivers/reimbursements................................ 2.31% 2.28%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 2.53% 2.82%(*)
Expenses before waivers/reimbursements and dividend
expense............................................... 3.52% 3.87%(*)
Expenses (including dividend expense) net of
waivers/reimbursements................................ 3.31% 3.34%(*)
Expenses (excluding dividend expense) net of
waivers/reimbursements................................ 2.45% 2.50%(*)
Portfolio turnover rate................................ 205.32% 232.93%
</TABLE>
- ---------------
(*) Annualized.
(**) Calculated based on the average shares outstanding during the period.
(a) From commencement of operations on December 18, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
79
<PAGE> 80
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31, 1999 (a)
------------------
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $10.00
------
Income from investment operations:
Net investment income/(loss).............................. 0.26
Net realized and unrealized gain/(loss) on investments.... (0.21)
------
Total from investment operations.......................... 0.05
------
Distributions to shareholders from:
Net investment income..................................... (0.24)
Net realized gain on investments.......................... --
------
Total distributions to shareholders....................... (0.24)
------
Net asset value, end of period.............................. $ 9.81
======
Total return................................................ 0.53%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $7,032
Net investment income/(loss) before
waivers/reimbursements................................ 1.18%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 2.81%(*)
Expenses before waivers/reimbursements................. 1.98%(*)
Expenses net of waivers/reimbursements................. 0.35%(*)
Portfolio Turnover Rate................................ 154.45%
</TABLE>
- ---------------
(*) Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
80
<PAGE> 81
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31, 1999(a)
-----------------
<S> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $10.00
------
Income from investment operations:
Net investment income/(loss).............................. 0.21
Net realized and unrealized gain/(loss) on investments.... (0.20)
------
Total from investment operations.......................... 0.01
------
Distributions to shareholders from:
Net investment income..................................... (0.22)
Net realized gain on investments.......................... --
------
Total distributions to shareholders....................... (0.22)
------
Net asset value, end of period.............................. $ 9.79
======
Total return................................................ 0.18%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $ 257
Net investment income/(loss) before
waivers/reimbursements................................ 1.39%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 3.07%(*)
Expenses before waivers/reimbursements................. 2.14%(*)
Expenses net of waivers/reimbursements................. 0.45%(*)
Portfolio turnover rate................................ 154.45%
</TABLE>
- ---------------
(*) Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
81
<PAGE> 82
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31, 1999(a)
-----------------
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.00
-------
Income from investment operations:
Net investment income/(loss).............................. 0.11
Net realized and unrealized gain/(loss) on investments.... 0.40
-------
Total from investment operations.......................... 0.51
-------
Distributions to shareholders from:
Net investment income..................................... (0.05)
Net realized gain on investments.......................... --
-------
Total distributions to shareholders....................... (0.05)
-------
Net asset value, end of period.............................. $ 10.46
=======
Total return................................................ 5.14%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $28,814
Net investment income/(loss) before
waivers/reimbursements................................ 2.00%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 3.15%(*)
Expenses before waivers/reimbursements and dividend
expense............................................... 3.90%(*)
Expenses (including dividend expense) net of
waivers/reimbursements................................ 2.75%(*)
Expenses (excluding dividend expense) net of
waivers/reimbursements................................ 1.25%(*)
Portfolio Turnover Rate................................ 145.22%
</TABLE>
- ---------------
(*) Annualized.
(a) From commencement of operations on October 19, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
82
<PAGE> 83
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED
MARCH 31, 1999(a)
-----------------
<S> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $10.00
------
Income from investment operations:
Net investment income/(loss).............................. 0.07
Net realized and unrealized gain/(loss) on investments.... 0.40
------
Total from investment operations.......................... 0.47
------
Distributions to shareholders from:
Net investment income..................................... (0.04)
Net realized gain on investments.......................... --
------
Total distributions to shareholders....................... (0.04)
------
Net asset value, end of period.............................. $10.43
======
Total return................................................ 4.71%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $ 539
Net investment income/(loss) before
waivers/reimbursements................................ 1.30%(*)
Net investment income/(loss) net of
waivers/reimbursements................................ 2.26%(*)
Expenses before waivers/reimbursements and dividend
expense............................................... 3.73%(*)
Expenses (including dividend expense) net of
waivers/reimbursements................................ 2.77%(*)
Expenses (excluding dividend expense) net of
waivers/reimbursements................................ 1.46%(*)
Portfolio turnover rate................................ 145.22%
</TABLE>
- ---------------
(*) Annualized.
(a) From commencement of operations on November 11, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
83
<PAGE> 84
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees of Barr Rosenberg Series Trust,
the Shareholders of U.S. Small Capitalization Series,
Japan Series, International Small Capitalization Series, Market Neutral Fund,
Double Alpha Market Fund and Select Sectors Market Neutral Fund.
In our opinion, the accompanying statements of assets and liabilities,
including the schedules of portfolio investments and schedules of securities
sold short, and the related statements of operations and of changes in net
assets and the financial highlights present fairly, in all material respects,
the financial position of U.S. Small Capitalization Series, Japan Series,
International Small Capitalization Series, Market Neutral Fund, Double Alpha
Market Fund and Select Sectors Market Neutral Fund, each a series of Barr
Rosenberg Series Trust (the "Trust") at March 31, 1999, the results of each of
their operations, the changes in each of their net assets and their financial
highlights for the periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
Trust's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at March 31, 1999 by correspondence with the
custodian and brokers and the application of alternative auditing procedures
where confirmations from brokers were not received, provide a reasonable basis
of the opinion expressed above.
PRICEWATERHOUSECOOPERS LLP
San Francisco, CA
May 18, 1999
84
<PAGE> 85
(Intentionally Left Blank)
<PAGE> 86
(Intentionally Left Blank)
<PAGE> 87
(Intentionally Left Blank)
<PAGE> 88
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
ANNUAL REPORT
------------------------------------------------
MARCH 31, 1999
------------------------------------------------
