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Previous: LEAPFROG SMART PRODUCTS INC, 3/A, 2000-09-05 |
Next: BARR ROSENBERG SERIES TRUST, N-30D/A, 2000-09-05 |
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks - 91.6%
Banking - 5.6%
400 Ambanc Holding Co. $ 6,100
1,800 BancWest 29,588
400 Capital Corp. of the West * 4,150
100 Carver Bancorp 1,094
300 Franklin Bank NA 2,400
1,900 GreenPoint Financial 35,624
500 ITLA Capital * 7,250
1,500 Metris Companies 37,687
2,100 Pacific Century Financial 30,713
100 Pinnacle Bancshares 900
300 Quaker City Bancorp * 4,613
300 Student Loan 12,600
800 UnionBanCal 14,850
300 Wells Financial 3,675
-----------
191,244
-----------
Building - 0.4%
300 AMREP * 1,688
100 Liberty Homes, Class A 613
150 MasTec * 5,727
100 Skyline 2,150
500 UTILX * 2,953
100 Washington Homes * 600
-----------
13,731
-----------
Chemicals - 1.8%
330 American Vanguard 2,682
100 Bairnco 738
600 H.B. Fuller 27,337
1,900 High Plains * 4,750
1,300 Lubrizol 27,300
-----------
62,807
-----------
Computer - 0.9%
300 Digital Lightwave * 30,169
-----------
Construction Materials - 1.5%
200 Ameron International 7,150
200 Continental Materials * 3,350
600 Donnelly 7,800
1,500 Lafarge 31,500
-----------
49,800
-----------
Defense - 0.1%
500 EDO 3,156
-----------
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Drugs - 6.4%
800 Alpharma, Class A $ 49,800
800 Cambrex 36,000
600 Diagnostic Products 19,200
300 Hi-Tech Pharmacal * 1,294
600 MedImmune * 44,400
1,300 Mylan Laboratories 23,725
550 New Brunswick Scientific * 3,300
2,800 Perrigo * 17,675
2,800 SICOR * 22,400
-----------
217,794
-----------
Durables - 0.3%
200 Whirlpool 9,325
-----------
Electric Utilities - 1.9%
100 Entergy 2,719
1,300 Pinnacle West Capital 44,037
1,300 Public Service Co. of New Mexico 20,069
-----------
66,825
-----------
Electronics - 10.6%
500 Cobra Electronics * 3,375
400 Cypress Semiconductor * 16,900
100 Diodes * 4,288
600 General Semiconductor * 8,850
200 GlobeSpan * 24,416
500 Harmon Industries 6,625
800 International Rectifier * 44,799
900 KEMET * 22,556
1,800 Mallinckrodt 78,187
300 Mine Safety Appliances 7,200
200 PMC-Sierra * 35,538
300 Silicon Storage Technology * 26,494
800 Tektronix 59,199
500 Varian * 23,063
-----------
361,490
-----------
Financial Investments - 0.0%
300 Air Methods * 946
100 IPI * 313
-----------
1,259
-----------
Food - 1.7%
400 Agribrands International * 16,775
900 Corn Products International 24,019
100 Farmer Brothers 17,500
-----------
58,294
-----------
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Health - 1.8%
310 Laboratory Corp. of America Holdings * $ 23,909
400 LifePoint Hospitals * 8,900
400 Quest Diagnostics * 29,900
-----------
62,709
-----------
Household - 2.0%
900 Associated Materials 13,500
2,400 Brunswick 39,750
1,000 Gundle/SLT Environmental * 3,750
100 Johnson Controls 5,131
300 Kimball International, Class B 4,425
300 Michael Anthony Jewelers * 825
-----------
67,381
-----------
Insurance - 3.1%
200 Citizens Financial * 2,325
1,100 Everest Re Group 36,163
200 National Western Life Insurance, Class A * 14,400
300 Point West Capital * 1,050
100 Standard Management * 356
1,000 Trigon Healthcare * 51,562
-----------
105,856
-----------
Machinery - 5.6%
400 Ampco-Pittsburgh 4,450
200 Credence Systems * 11,038
400 Gehl * 5,700
500 Kinark * 625
600 Kulicke & Soffa Industries * 35,625
200 L.S. Starrett, Class A 3,500
1,800 Lennox International 23,850
1,400 Lincoln Electric Holdings 19,950
100 Maxco * 750
1,900 Snap-on 50,587
800 Teleflex 29,650
800 United Industrial 7,300
-----------
193,025
-----------
Media - 5.1%
1,700 American Greetings, Class A 32,300
1,000 Banta 18,938
618 Chris-Craft Industries * 40,827
300 Media General, Class A 14,569
1,800 Topps * 20,700
1,100 True North Communications 48,399
-----------
175,733
-----------
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Metals - 1.1%
1,200 Steel Technologies $ 8,550
1,500 USX-U.S. Steel Group 27,844
-------
36,394
-------
Miscellaneous Financial - 7.1%
1,100 A.G. Edwards 42,900
700 Affiliated Managers Group * 31,850
700 Atalanta Sosnoff Capital * 7,000
900 Eaton Vance 41,625
1,500 Federated Investors 52,593
462 JWGenesis Financial * 4,043
900 Maxcor Financial Group * 1,406
300 Paulson Capital * 1,950
1,800 Waddell & Reed Financial 59,062
-------
242,429
-------
Office Machinery - 1.7%
900 Baldwin Technology, Class A * 1,913
100 Diebold * 2,788
2,400 Maxtor * 25,350
200 Miltope Group * 375
1,600 Polaroid 28,899
-------
59,325
-------
Oil - 2.7%
600 Apache 35,288
800 Murphy Oil 47,550
400 Occidental Petroleum 8,425
-------
91,263
-------
Oil Distribution - 3.4%
1,200 Sunoco 35,325
1,900 Ultramar Diamond Shamrock 47,143
1,400 USX-Marathon Group 35,088
-------
117,556
-------
Oil Services - 2.6%
500 BJ Services Co. * 31,250
500 Noble Drilling * 20,594
200 Oceaneering International * 3,800
1,000 Patterson Energy * 28,500
1,200 Petroleum Development * 6,150
-------
90,294
-------
Other Utilities - 0.9%
600 Equitable Resources 28,950
200 TRC Companies * 2,300
-------
31,250
-------
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Paper - 0.0%
300 Badger Paper Mills * $ 1,219
-------
Real Estate Assets - 2.7%
300 Abrams Industries 1,238
600 CBL & Associates Properties 14,962
1,400 Cornerstone Realty Income Trust 14,000
808 Equity Office Properties Trust 22,270
100 ILX Resorts * 213
1,100 Macerich 24,268
800 Newmark Homes * 5,150
600 Prime Group Realty Trust 9,113
-------
91,214
-------
Retail/Wholesale - 5.6%
500 Bell Microproducts * 9,188
700 BJ's Wholesale Club * 23,100
500 Brookstone * 4,797
900 Burlington Coat Factory Warehouse 9,731
900 Dollar Tree Stores * 35,605
500 Fastenal * 25,313
200 Foodarama Supermarkets * 4,788
1,400 Friedman's, Class A 6,913
900 Gottschalks * 5,681
500 Katy Industries 5,875
300 Noland 5,100
1,700 Pier 1 Imports 16,575
300 S & K Famous Brands * 2,063
300 Speizman Industries * 956
1,000 Spiegel, Class A * 8,500
400 Suprema Specialties * 3,750
800 Syms * 3,150
400 The Sportsman's Guide * 675
900 Toys "R" Us * 13,106
900 Value City Department Stores * 8,550
-------
193,416
-------
Services - 9.9%
300 Angelica 2,400
900 Autodesk 31,219
1,500 Avant! * 28,102
500 Barra * 24,781
1,000 Cerner * 27,250
450 Group 1 Software * 7,763
1,400 GTECH Holdings * 31,763
400 Kelly Services, Class A 9,250
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Shares Market Value
------ ------------
Common Stocks (continued)
Services (continued)
200 Korn/Ferry International * $ 6,338
2,300 Mentor Graphics * 45,712
400 Opinion Research * 2,650
1,200 Progress Software * 21,525
500 Quality Systems * 3,750
300 Software Spectrum * 5,194
200 STV Group * 1,350
1,100 SunGard Data Systems * 34,099
800 Symantec * 43,149
400 TALX * 6,850
1,100 Westaff * 4,881
-------
338,026
-------
Soaps & Cosmetics - 0.3%
500 Carter-Wallace 10,063
100 CPAC 750
-------
10,813
-------
Telephone - 0.4%
400 Atlantic Tele-Network 3,775
400 CT Communications 11,375
-------
15,150
-------
Textiles - 1.5%
900 Cyrk * 4,500
600 Deckers Outdoor * 1,913
300 Haggar 3,525
400 Jos. A. Bank Clothiers * 1,550
300 Liz Claiborne 10,575
300 Russell 6,000
500 Springs Industries, Class A 16,094
100 Timberland, Class A * 7,081
-------
51,238
-------
Transportation - 0.9%
1,100 Alexander & Baldwin 24,269
300 Old Dominion Freight Line * 2,925
300 Yellow * 4,425
-------
31,619
-------
Travel/Entertainment - 2.0%
900 Argosy Gaming Co. * 12,938
500 CBRL Group 7,344
2,500 Darden Restaurants 40,624
300 Max & Erma's Restaurants * 2,484
300 Sonesta International Hotels, Class A 2,513
220 Uno Restaurant * 2,351
-------
68,254
-------
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Portfolio Investments (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market Value
------------
<S> <C>
Total Common Stocks
(Cost $2,935,755) - 91.6% $ 3,140,058
---------
Repurchase Agreement - 6.5%
Bear Stearns, dated 6/30/00, due 7/3/00 at 6.55% with a maturity value of
$223,065 (Collateralized by $1,115,000 U.S. Treasury Bond, 6.625%, 2/15/27,
market value -- $227,527) 222,943
---------
Total Short Term Securities (Cost $222,943) 222,943
---------
Total Investments (Cost $3,158,698) (a) - 98.1% 3,363,001
---------
Deposits with Brokers and Custodian Bank for Securities Sold Short - 96.4%
Bear Stearns Deposit A/C, 6.69% 3,302,011
---------
Total Deposits with Brokers and Custodian Bank for Securities Sold Short
(Cost $3,302,011) 3,302,011
---------
Receivable from Brokers for Securities Sold Short - 0.4% 15,122
---------
Securities Sold Short (Proceeds $3,059,631) - (94.0)% (3,221,313)
---------
Liabilities in excess of other assets - (0.9)% (31,629)
---------
Total Net Assets - 100.0% $3,427,192
==========
</TABLE>
------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by
net unrealized appreciation as follows:
Unrealized appreciation - Investments $479,237
Unrealized depreciation - Investments (274,934)
Unrealized appreciation - Short Sales 256,766
Unrealized depreciation - Short Sales (418,448)
--------
Net unrealized appreciation $ 42,621
========
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks - 94.0%
Airlines - 1.0%
600 Atlas Air * $ 21,525
600 Midwest Express Holdings * 12,900
-------
34,425
-------
Autos - 0.5%
1,700 MascoTech 18,381
-------
Banking - 5.9%
1,100 Bank United 38,706
1,323 Charter One Financial 30,429
200 Coastal Bancorp 2,875
400 Concord EFS * 10,400
1,900 National Commerce Bancorp 30,519
2,300 North Fork Bancorporation 34,788
800 S & T Bancorp 14,600
900 Zions Bancorporation 41,301
-------
203,618
-------
Building - 0.3%
600 Palm Harbor Homes * 8,700
-------
Chemicals - 2.1%
300 Alcide * 5,250
1,900 Lyondell Chemical 31,825
2,600 Solutia 35,750
-------
72,825
-------
Computer - 0.9%
600 MMC Networks * 32,063
-------
Construction Materials - 1.2%
1,000 Martin Marietta Materials 40,438
-------
Defense - 0.1%
200 Aerosonic * 2,075
100 Lockheed Martin 2,481
-------
4,556
-------
Drugs - 7.1%
600 Aphton * 15,450
200 Digene * 8,075
600 Gilead Sciences * 42,674
300 IDEC Pharmaceuticals * 35,194
1,700 Ligand Pharmaceuticals, Class B * 22,419
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Drugs (continued)
1,100 Martek Biosciences * $ 20,625
200 Northfield Laboratories * 3,263
500 Pharmacyclics * 30,500
300 Transkaryotic Therapies * 11,025
400 Vertex Pharmaceuticals * 42,150
600 Vical * 11,550
-------
242,925
-------
Electronics - 9.9%
600 Active Voice * 4,800
600 Advanced Fibre Communications * 27,188
800 Alpha Industries * 35,250
800 Aradigm * 14,000
700 Coherent * 58,712
900 Hologic * 6,075
900 i-STAT * 15,694
400 Ibis Technology * 24,150
700 Methode Electronics 27,038
700 Microwave Power Devices * 3,675
600 MRV Communications * 40,349
400 Possis Medical * 2,506
400 RF Monolithics * 6,400
900 Thermo Cardiosystems * 9,000
1,300 ThermoTrex * 14,381
1,100 Thoratec Laboratories * 17,806
400 Transwitch * 30,875
-------
337,899
-------
Financial Investments - 0.6%
800 Comdisco 17,850
100 IGEN International * 1,656
-------
19,506
-------
Food - 3.0%
200 Coca-Cola Bottling 9,100
1,700 Smithfield Foods * 47,706
400 Tejon Ranch 9,025
1,100 Tootsie Roll Industries 38,500
-------
104,331
-------
Health - 2.8%
1,800 Apria Healthcare Group * 22,050
2,800 Health Management Associates * 36,574
1,300 Lincare Holdings * 32,013
400 Osteotech * 4,200
200 Psychemedics 1,038
-------
95,875
-------
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Household - 0.2%
300 Baldwin Piano & Organ Co. * $ 1,800
500 SLI 6,063
-------
7,863
-------
Insurance - 4.3%
700 Express Scripts, Class A * 43,487
300 HealthAxis * 1,144
600 HSB Group 18,675
500 Mercury General 11,813
1,700 Oxford Health Plans * 40,481
1,200 Protective Life 31,950
-------
147,550
-------
Machinery - 4.4%
600 A.S.V. * 8,625
700 Astec Industries * 17,763
200 EMCORE * 24,000
600 Intevac * 2,288
200 Ionics * 6,125
600 Lancer * 2,625
1,200 MEMC Electronic Materials * 21,600
1,700 Ralston-Ralston Purina Group 33,893
1,600 UCAR International * 20,900
800 Ultratech Stepper * 11,900
-------
149,719
-------
Media - 4.6%
900 Cox Radio * 25,200
1,400 Deluxe 32,987
600 Harcourt General 32,625
500 Hollinger International 6,813
1,700 Journal Register * 31,025
1,300 Primedia * 29,575
-------
158,225
-------
Metals - 1.6%
1,000 CommScope * 41,000
300 MAXXAM * 5,325
600 Rouge Industries, Class A 1,800
1,200 Titanium Metals 5,625
-------
53,750
-------
Office Machinery - 2.2%
400 Emulex * 26,274
700 MTI Technology * 5,600
200 Proxim * 19,794
1,400 Wave Systems, Class A * 22,138
-------
73,806
-------
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Oil Distribution - 0.7%
300 Frontier Oil * $ 2,400
900 Northwestern 20,813
------
23,213
------
Oil Services - 0.0%
100 Dawson Geophysical * 1,125
-----
Other Utilities - 0.6%
1,300 Southern Union * 20,556
------
Paper - 1.9%
1,900 Fort James 43,937
2,500 Gaylord Container, Class A * 6,719
1,200 Playtex Products * 13,575
------
64,231
------
Real Estate Assets - 4.4%
800 Chateau Communities 22,600
1,300 General Growth Properties 41,275
2,400 IndyMac Mortgage Holdings 32,550
1,800 Rouse 44,550
1,000 Trammell Crow * 10,750
------
151,725
-------
Retail/Wholesale - 8.2%
1,200 Ames Department Stores * 9,300
1,100 Barnes & Noble * 24,475
2,100 Champion Enterprises * 10,238
700 Cost Plus * 20,081
900 Guitar Center * 9,450
900 International FiberCom * 22,950
700 Lands' End * 23,363
1,100 Linens 'n Things * 29,838
500 Netegrity * 37,655
800 Safeguard Scientifics * 25,650
1,500 Shop At Home * 7,008
1,800 Sunglass Hut International * 14,794
300 The Right Start * 1,369
500 United Natural Foods * 6,875
1,200 Williams-Sonoma * 38,924
------
281,970
-------
Services - 13.2%
1,100 ACTV * 16,431
700 American Superconductor * 33,775
1,600 Apollo Group, Class A * 44,799
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Services (continued)
300 Aware * $ 15,338
1,400 Ceridian * 33,688
100 CIBER * 1,325
500 Education Management * 9,031
1,500 Gartner Group, Class A 18,000
1,000 Getty Images * 37,063
500 Globix * 14,656
700 ITT Educational Services * 12,294
1,700 Keane * 36,763
600 Maxwell Technologies * 8,100
600 MemberWorks * 20,175
3,500 Parametric Technology * 38,499
1,500 Sotheby's Holdings, Class A 26,250
1,500 Total System Services 23,813
1,000 Valence Technology * 18,438
1,400 Viad 38,149
100 Visual Networks * 2,850
-----
449,437
-------
Soaps & Cosmetics -0.2%
500 Del Laboratories 6,063
-----
Telephone - 3.4%
200 DoubleClick * 7,625
1,800 ICG Communications * 39,713
800 ITC DeltaCom * 17,850
400 Powertel * 28,375
100 RealNetworks * 5,056
800 Teligent, Class A * 18,900
------
117,519
-------
Textiles - 1.6%
900 Cintas 33,019
800 Cone Mills * 4,950
1,100 Polymer Group 10,175
300 Tropical Sportswear International * 5,250
-----
53,394
------
Transportation - 2.0%
600 Iron Mountain * 20,400
2,000 Norfolk Southern 29,750
1,500 Trico Marine Services * 19,125
------
69,275
------
Travel/Entertainment - 5.1%
1,000 Bally Total Fitness Holding * 25,375
600 Championship Auto Racing Teams * 15,300
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Schedule of Securities Sold Short (continued) - June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C>
Common Stocks (continued)
Travel/Entertainment (continued)
5,200 Hilton Hotels 48,750
1,100 Outback Steakhouse * 32,175
1,800 Premier Parks * 40,950
600 Speedway Motorsports * 13,800
------
176,350
-------
Total Common Stocks 3,221,313
---------
Total Securities Sold Short
(Proceeds $3,059,631) - 94.0% $ 3,221,313
==============
</TABLE>
----------
* Non-income producing security.
See accompanying notes to the financial statements.
13
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statement of Assets and Liabilities
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at value (cost $3,158,698) $ 3,363,001
Deposits with broker for securities sold short 3,302,011
Dividends and interest receivable 9,994
Receivable for securities sold short 19,033
Receivable for investments sold 5,250
Receivable from Manager 7,211
---------------
Total Assets 6,706,500
---------------
LIABILITIES
Securities sold short (proceeds $3,059,631) 3,221,313
Payable to cover securities sold short 3,911
Other accrued liabilities 54,084
---------------
Total Liabilities 3,279,308
---------------
NET ASSETS $ 3,427,192
===============
Shares of beneficial interest outstanding (unlimited shares 410,000
authorized)
Net Asset Value, offering price and redemption price per share $8.36
NET ASSETS CONSIST OF:
Capital $ 4,094,924
Accumulated undistributed net investment income 147,423
Accumulated net realized gain/(loss) on investments and (857,776)
securities sold short
Net unrealized depreciation on short sales (161,682)
Net unrealized appreciation on investments 204,303
---------------
TOTAL NET ASSETS $ 3,427,192
===============
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statement of Operations
For the Six Months Ended June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
Investment Income:
Dividends $ 127,961
----------------
Total Investment Income 127,961
----------------
Expenses:
Manager fees 33,918
Administration fees 2,678
Fund accounting fees 23,530
Trustees' fees 23,197
Dividend expense for securities sold short 16,518
Printing fees 15,243
Insurance fees 7,753
Transfer agent fees 7,045
Custodian fees 1,279
Other expenses 8,094
----------------
Total expenses before waivers/reimbursements 139,255
Less expenses waived/reimbursed (87,034)
----------------
Total Net Expenses 52,221
----------------
Net Investment Income 75,740
----------------
Net Realized Gain/(Loss) on:
Securities sold short (1,035,668)
Investments 373,840
Net Change in Unrealized Appreciation/(Depreciation) on:
Securities sold short 150,259
Investments (80,615)
----------------
Net Realized and Unrealized Gain/(Loss) on Investments and
Securities sold short (592,184)
----------------
Net decrease in net assets resulting from operations $ (516,444)
================
</TABLE>
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Statements of Changes in Net Assets
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended Period Ended
June 30, 2000 December 31, 1999 (a)
------------------ -----------------------
(Unaudited)
<S> <C> <C>
Operations:
Net investment income $ 75,740 $ 65,764
Net realized gain/(loss) on:
Securities sold short (1,035,668) (195,205)
Investments 373,840 100
Net change in unrealized
appreciation/(depreciation) on:
Securities sold short 150,259 (311,941)
Investments (80,615) 284,918
------------------ -----------------------
Net decrease in net assets resulting from operations (516,444) (156,364)
------------------ -----------------------
Shares of Beneficial Interest:
Proceeds from shares issued - 4,000,000
------------------ -----------------------
Net increase in net assets from shares of beneficial interest - 4,000,000
------------------ -----------------------
Total increase/(decrease) in net assets (516,444) 3,843,636
Net Assets:
Beginning of period 3,943,636 100,000
------------------ -----------------------
End of period $ 3,427,192 $ 3,943,636
================== =======================
</TABLE>
______________________
(a) From commencement of operations on July 1, 1999 to December 31, 1999.
See accompanying notes to the financial statements.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Notes to Financial Statements
June 30, 2000 (Unaudited)
-------------------------------------------------------------------------------
1. Organization. Barr Rosenberg Variable Insurance Trust (the "Trust") was
established as a Massachusetts business trust under the laws of Massachusetts on
March 1, 1998. The Trust is an open-end diversified management investment
company registered under the Investment Company Act of 1940 (the "1940 Act").
There are an unlimited number of authorized units of beneficial interest
("shares") of the Trust which may be divided into an unlimited number of series
of shares. Currently, there is one series; the Barr Rosenberg VIT Market
Neutral Fund (the "Fund").
2. Significant Accounting Policies. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual amounts could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
Security Valuation
Portfolio securities listed on a national exchange or exchanges for which market
quotations are available are valued at their last quoted sale price on each
business day. If there is no such reported sale, the most recently quoted bid
price is used for long securities, and the ask price is used for securities sold
short. Debt obligations with sixty days or less remaining until maturity are
valued at their amortized cost. Unlisted securities for which market quotations
are readily available are valued at the most recent quoted bid price for long
securities, and the ask price is used for securities sold short. Other assets
and securities for which no quotation is readily available are valued at fair
value as determined in good faith by the Trustees or persons acting at their
discretion.
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date, with realized gain or
loss on the sale of investments determined by using the identified cost method.
Corporate actions (including cash dividends) are recorded on the ex-date or
after the ex-date as the Fund becomes aware of such action, net of any non-
refundable tax withholdings. Interest income (including amortization of premium
and accretion of discount) is recorded as earned.
Short Sales
The Fund is authorized to engage in short-selling which obligates the Fund to
replace the security borrowed by purchasing the security at current market value
sometime in the future. The Fund will incur a loss if the price of the security
increases between the date of the short sale and the date on which the Fund
replaces the borrowed security. The Fund will realize a gain if the price of
the security declines between those dates. Until the Fund replaces the borrowed
security, the Fund will maintain a segregated account with cash and/or U.S.
government securities sufficient to cover its short position on a daily basis.
At June 30, 2000, the values of securities sold short in the Fund amounted to
$3,221,313, against which collateral of $6,442,069 was held. The collateral
includes the Bear Stearns Deposit Account and the securities held long, as shown
in the Schedule of Portfolio Investments.
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 redemptions-in-kind and wash sales for book and tax purposes.
Permanent book and tax basis differences will result in reclassifications to
capital accounts.
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
<PAGE>
BARR ROSENBERG VARIABLE INSURANCE Trust
Notes to Financial Statements
June 30, 2000 (Unaudited) (continued)
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3. Management, Administration, Fund Accounting Agreements. AXA Rosenberg
Investment Management LLC (the "Manager") provides advisory and management
services to the Fund under a management contract. The Manager is entitled to a
fee, computed daily and paid monthly, at the annual rate of 1.90% of the Fund's
average net assets. The Manager has voluntarily agreed to waive fees and
reimburse the Fund to limit annual expenses to 2.00% of the average net assets,
exclusive of the dividend expense on short sales. For the period ended June 30,
2000, the amount of such waivers totaled $33,918. For the period ended June 30,
2000, the amount of such reimbursements totaled $50,398.
BISYS Fund Services Ohio, Inc. ("BISYS" or the "Administrator"), a wholly-owned
subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and
assists the Trust in all aspects of its administration and operation. The
Administrator is entitled to a fee, computed daily and paid monthly, at an
annual rate of 0.15% of the average net assets of the Fund. For the period
ended June 30, 2000, the amount of the waiver totaled $2,678.
BISYS serves the Trust as fund accountant. Under the terms of the fund
accounting agreement, BISYS is entitled to receive an annual fee and is
reimbursed for certain out-of-pocket expenses incurred in providing fund
accounting services.
The Trust has adopted a distribution and shareholder service plan in conformance
with Rule 12b-1. Pursuant to this plan, the Fund is authorized to pay certain
fees for the sale and distribution of its shares and services provided to its
shareholders at an annual rate not to exceed 0.25% of the Fund's average daily
net assets. No payments were made under the plan for the period January 1, 2000,
to June 30, 2000.
4. Federal Income Taxes. It is the 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.
5. Security Purchases and Sales. For the period ended June 30, 2000, purchases
and sales of securities (excluding short-term securities) were $3,611,257 and
$4,331,366, respectively.
6. Trustee Fees. The unaffiliated Trustees each receive an annual fee of $7,590
plus a $825 meeting fee for each meeting attended.
7. Sales and Redemptions of Shares. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
Period ended Period ended
June 30, 2000 December 31, 1999*
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(Unaudited)
<S> <C> <C>
Shares sold - 400,000
Issued upon reinvestment of distributions - -
Shares redeemed - -
Net increase --- -------
- 400,000
=== =======
</TABLE>
* From the commencement of operations on July 1, 1999.
8. Concentration of Credit. At June 30, 2000, the Fund had the following
industry concentrations in excess of 10% of its assets: Electronics - 10.6%.
9. Principal Shareholder. AXA Rosenberg Group held 100% of the Fund's shares
outstanding at June 30, 2000.
<PAGE>
<TABLE>
<CAPTION>
BARR ROSENBERG VARIABLE INSURANCE Trust
Market Neutral Fund
Financial Highlights
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Six Months Ended Period Ended
June 30, 2000 December 31, 1999 (a)
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(Unaudited)
<S> <C> <C>
Net asset value, beginning of period $ 9.62 $ 10.00
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Income from investment operations:
Net investment income 0.18 0.16
Net realized and unrealized loss on investments and
securities sold short (1.44) (0.54)
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Total from investment operations (1.26) (0.38)
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Net asset value, end of period $ 8.36 $ 9.62
============================ =============================
Total return* (13.10)% (3.80)%
Ratios to Average Net Assets/Supplemental Data:
Net Assets, end of period (000) $ 3,427 $ 3,944
Net investment loss before waivers/reimbursements** (0.63)% (2.04)%
Net investment income net of waivers/reimbursements** 4.24% 3.28%
Expenses (including dividend expense) before 7.80% 8.10%
waivers/reimbursements**
Expenses (including dividend expense) net of 2.93% 2.78%
waivers/reimbursements**
Expenses (excluding dividend expense) net of 2.00% 2.00%
waivers/reimbursements**
Portfolio turnover rate 109.49% 106.83%
</TABLE>
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(a) From commencement of operations on July 1, 1999 to December 31, 1999.
* Total return for periods less than one year is not annualized.
** Annualized.
See accompanying notes to the financial statements.
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