<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
- --------------------------------------------------------------------------------
May 3, 2000
Dear Fellow Shareholder:
Technology stocks rocketed higher during 1999, carrying most U.S. stock
market indexes along with them. The overall market gained more than 20% for an
unprecedented fifth consecutive year. The market continued posting healthy
returns in the first quarter of 2000. However, by the end of the first quarter
cracks began to emerge in the mania for biotech and Internet issues. In the
first quarter, the NASDAQ suffered no less than four 10% corrections, the final
10% correction of the quarter occurred over the span of just three days.
For the fiscal year, the International Small Capitalization Fund gained
32.04% and 31.47% for Institutional Shares and Select Shares respectively and
exceeded its benchmark, the Cazenove Rosenberg Global Small Companies Index
excluding the U.S.(1) Since inception, the Institutional Shares (September 23,
1996) and the Select Shares (October 29, 1996) have average annual returns of
6.54% and 6.28% respectively. Bullishness among stock investors was an
international phenomenon in 1999. We remain optimistic about the future for
international investing. The International Small Capitalization Fund provides
diversification for investors who are primarily invested in large capitalization
stocks and exposure to the growth potential of the mature international markets
for investors whose portfolios are concentrated in the U.S.
The U.S. Small Capitalization Fund gained over 31% (Institutional Shares
31.36%, Adviser Shares 31.00% and Select Shares 31.06%) although the return for
the Fund's benchmark, the Russell 2000 Index(2) was 37.29% for the year ended
March 31, 2000, driven by the market's focus on growth-oriented technology
companies for most of the year. Small cap growth outperformed small cap value by
45.78%. This was in sharp contrast to the prior fiscal year when small cap value
outperformed small cap growth by 10.99%. Because the Fund has a modest value
bias, the Fund's performance suffered relative to the Russell 2000 Index in the
market environment where growth stocks so overwhelmingly dominated. Over long
periods, the returns from value and growth stocks have been similar, and they've
swapped places as market leaders many times. Over a full market cycle we are not
concerned about this modest style bias. For the 5 and 10-year periods, the
Institutional Shares have outperformed the Russell 2000 Index with average
annual returns of 19.66% and 16.17% respectively. The Adviser Shares (January
21, 1997) and the Select Shares (October 22, 1996) have average annual returns
since inception of 12.40% and 14.69% respectively.
After an analysis and re-evaluation of current and future small cap sector
capacity utilization across all products, we decided to re-open the U.S. Small
Capitalization Series effective March 27, 2000, to all investors.
We strongly believe that companies with superior long-term earnings will be
rewarded, on average, with superior market performance. This core belief makes
us a value investor. Does it mean that we don't like growth stocks, especially
the Internet and biotech stocks? Not at all. We are convinced that Internet and
biotech sectors will be two of the major sectors of the economy in the 21st
century. We believe that the market is too enthusiastic about these sectors and
that the earnings potential for Internet and biotech stocks, and more generally
growth stocks, does not justify the extreme valuation levels observed during
1999.
1
<PAGE> 2
For this reason, the year ending March 31, 2000, was a very difficult one
for our small/mid-cap market neutral strategy. Performance of the Market Neutral
Fund and the Double Alpha Market Fund, which invests in the Market Neutral Fund,
severely suffered in the extreme growth environment of the past 12 months
resulting in losses for the year. Because the stock selection models are based
on fundamental analysis, they tend to produce better results when investors
focus on the relationship between current company fundamentals and prices.
The Select Sectors Market Neutral Fund outperformed its benchmark, U.S.
90-day Treasury Bills, with returns of 9.82% and 9.39% for the Institutional
Shares and the Investor Shares respectively. This Fund holds long and short
positions primarily in the largest 500 companies based on capitalization. It
does not have the same degree of value bias as the Market Neutral Fund. While
the Market Neutral Fund has modest industry and sector exposures, the Select
Sectors Market Neutral Fund will typically over or under weight different
sectors and industries within sectors. Since inception, the Institutional Shares
(October 19, 1998) have returned 10.43% and Investor Shares (November 11, 1998)
10.29%.
Despite the disappointing performance of the Market Neutral and Double
Alpha Funds, we still believe that a market neutral investment strategy makes
sense for investors who are looking for a defensive strategy with the potential
for higher returns than bonds so long as the investor is willing to accept
potentially higher short-term volatility. We believe diversification is the key
to market neutral investing. An investment in both the Market Neutral Fund and
the Select Sectors Market Neutral Fund would have done better in the last year
than an investment in the Market Neutral Fund alone. We will pursue
diversification among market neutral strategies in 2000.
The Japanese equity market was one of the best performers in the world for
the year ended March 31, 2000. Japan rebounded strongly from its economic slumps
and currency problems of 1997 and 1998. However, Japan still remains a mystery.
It seems to be a market that has the potential for great upside but also
significant downside risk. The Japan Fund gained over 45% (Institutional Shares
45.24% and Select Shares 45.04%) for the year although its benchmark, the
TOPIX(3), returned 56.48% for the same period. "Internet mania" contributed
significantly to the strong performance of the TOPIX. Because the Manager's
stock selection models are unable to reconcile current prices for these
high-flying growth stocks with underlying fundamentals, performance of the Fund
suffered. For the 5 and 10-year periods, the average annual return of the
Institutional Shares is -2.07% and 0.82% respectively. The Select Shares have an
average annual return of -0.44% since inception (October 22, 1996),
For a more detailed discussion of performance, please see the commentary
preceding each Fund's Schedule of Portfolio Investments.
In 2000, we expect to expand our product line to different market segments
affording investors additional opportunities to diversify their portfolios. To
take advantage of the strategic alliance between the Funds' manager and AXA,
Barr Rosenberg Mutual Funds will become AXA Rosenberg Mutual Funds in August
2000. The name of the Trust will not change.
Our investment philosophy is founded on sound investment theory and
principles, focusing on the long-term and providing appropriate diversification.
We also strongly believe that by being a disciplined investor, by sticking to
our investment philosophy and by being patient, we will create a solid
foundation for long-term investment success.
Thank you for your trust and support,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President & CEO
Barr Rosenberg Mutual Funds
2
<PAGE> 3
Total returns for the Institutional Shares of the U.S. Small Capitalization
Fund and the Japan Fund represent the historical performance for the Rosenberg
Series Trust Small Capitalization Fund and the Rosenberg Series Trust Japan Fund
until they were converted to the Barr Rosenberg U.S. Small Capitalization Fund
and the Barr Rosenberg Japan Fund on August 5, 1996. Performance data represents
past performance which does not guarantee future results. Investment return and
principal value may increase or decrease depending upon market, economic,
political, currency exchange rates and other conditions affecting a fund's
portfolio, so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
Small capitalization funds typically carry additional risks since smaller
companies generally have experienced a greater degree of market volatility than
average. International investing involves increased risk and volatility. The
Japan Fund may also be subject to the additional risk of non-diversified
regional investing.
Investments in shares of the Market Neutral Fund and the Select Sectors
Market Neutral Fund are more volatile and risky than some other forms of
investments. Since the Funds have both a long and a short portfolio, an
investment in the Market Neutral Fund and the 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 risks in the Market Neutral Fund and the Select Market Neutral Fund
relate 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
Market Neutral Fund and the 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.
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 a particular contract at any particular
time.
Total return includes change in share price and reinvestment of
distributions. Total return set forth may reflect the waiver of a portion of the
Fund's advisory or administrative fees for certain periods since the inception
date. In such instances, and without the waiver of fees, total return would have
been lower.
Institutional Shares are distributed by the Barr Rosenberg Series Trust.
Adviser, Select and Investor Shares are distributed by Barr Rosenberg Funds
Distributor, Inc.
For more complete information about the Barr Rosenberg Mutual Funds,
including management fees, expenses and other ongoing charges, please call
1-800-555-5737 (Institutional Share/Registered Investment Advisors) and
1-800-447-3332 (Select/Investor Shares) for a prospectus. Please read it
carefully before investing.
- ---------------
(1) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRIexUS) is an unmanaged index of non-U.S. small capitalization companies
with market capitalization up to $19.6 billion. Investors cannot invest
directly in any Index.
(2) The Russell 2000 Index is an unmanaged index of approximately 2,000 small
capitalization companies with market value up to $10.5 billion. Investors
cannot invest directly in any Index.
(3) The Tokyo Stock Price Index (TOPIX) is an unmanaged index of approximately
1,400 Japanese companies. Investors cannot invest directly in any Index.
3
<PAGE> 4
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE SINCE
LAST 1 LAST 3 LAST 5 LAST 10 INCEPTION INCEPTION
YEAR YEARS YEARS YEARS (1/21/97) (10/22/96)
------ ------ ------ ------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
Institutional Shares (USCIX)............... 31.36% 14.79% 19.66% 16.17%
Adviser Shares (LIFUX)..................... 31.00% 14.50% -- -- 12.40%
Select Shares (BRSCX)...................... 31.06% 14.48% -- -- 14.69%
Russell 2000(1)............................ 37.29% 17.75% 17.24% 14.43% 13.62% 15.38%
</TABLE>
For the year ended March 31, 2000, small capitalization stocks rose
strongly with the Russell 2000 Index(1) up 37.29%. A surge in small cap stocks
late in 1999 and early in 2000 brought an end to the market leadership by large
cap stocks that had persisted since 1996. All small cap stocks did not fare
equally, however, as small cap growth stocks continued to dominate small cap
value stocks. For the year ending March 31, 2000, the Russell 2000 Growth
Index(2) rose 61.96% compared with a rise of just 12.03% for the Russell 2000
Value Index(3). In general, investors richly rewarded the most actively traded,
highest price momentum growth stocks most strongly associated with the "new
economy" stories.
This market environment was a difficult one for the performance of the Fund
relative to the Russell 2000 Index. The Manager's stock selection models tend to
favor stocks that are seen as underpriced relative to their fundamental
financial characteristics when compared with other similar stocks. This tendency
leads to a portfolio with a modest value bias. In such an extreme growth
environment, this value bias hurt the relative performance of the Fund.
While the Fund's value exposures detracted from relative performance, other
risk factor and industry exposures contributed positively to performance. The
Fund's slight positive exposure to stocks with positive price momentum (relative
strength risk factor) helped the most as the return associated with this feature
of stocks rose to historic highs. Among industries, an overexposure to the
electronics industry (2.8% above the Russell 2000 Index exposure) during the
past 12 months boosted relative performance.
The bulk of the Fund's underperformance was attributable to the independent
effect of stock selection and not the aggregate influence of risk factor and
industry exposures. This result is not surprising given the Fund's tight
management of risk factor and industry exposures and given the types of stocks
that were rewarded and punished by investors over the past 12 months.
Fundamental to the Manager's stock selection process is the belief that a
portfolio of stocks that produce more future earnings per dollar of initial cost
(an "earnings advantage") than the benchmark should be rewarded with above
benchmark performance. In the past year, the stocks held by the Fund did
consistently produce more future earnings per dollar of cost than the benchmark;
however, investors did not reward these superior earnings. In fact, investors
strongly favored stocks with no earnings or negative earnings. In environments
like these, when investors do not focus on reconciling current stock prices with
likely future earnings or other fundamental measures of value, the Manager's
stock selection performance will suffer.
Total returns for the Institutional Shares represents the historical
performance for the Rosenberg Series Trust Small Capitalization Fund which was
launched in February 1989 until it was converted to the Barr Rosenberg U.S.
Small Capitalization Fund on August 5, 1996.
4
<PAGE> 5
Performance data represents past performance which does not guarantee
future results. Investment return and principal value may increase or decrease
depending upon market conditions so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
Small capitalization funds typically carry additional risks since smaller
companies generally have experienced a greater degree of market volatility than
average. Total return includes change in share price and reinvestment of
distributions.
Total return set forth reflects the waiver of a portion of the Fund's
advisory or administrative fees for certain periods since the inception date. In
such cases, and without the waiver of fees, total return would have been lower.
The Institutional Shares of the U.S. Small Capitalization Fund are
distributed by the Barr Rosenberg Series Trust. The Adviser and Select Shares
are distributed by Barr Rosenberg Funds Distributor, Inc.
- ---------------
(1) The Russell 2000 is the benchmark for the Barr Rosenberg U.S. Small
Capitalization Fund. It is an unmanaged index of approximately 2,000 small
capitalization companies with market value up to $10.5 billion. Investors
cannot invest directly in any Index.
(2) The Russell 2000 Growth Index measures the performance of the Russell 2000
Index companies with higher price-to-book ratios and higher forecasted
growth rates.
(3) The Russell 2000 Value Index measures the performance of the Russell 2000
Index companies with lower price-to-book ratios and lower forecasted growth
values.
5
<PAGE> 6
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 99.1%
AIRCRAFT -- 0.0%
1,700 Curtiss-Wright................. $ 62,263
------------
AIRLINES -- 0.0%
1,000 Kitty Hawk*.................... 4,750
------------
AUTOS -- 1.1%
48,000 American Axle & Manufacturing
Holdings*.................... 711,000
48,000 Borg-Warner Automotive......... 1,890,000
61,100 Dura Automotive Systems*....... 1,050,156
12,300 Standard Automotive*........... 84,563
97,500 Wabash National................ 1,358,906
------------
5,094,625
------------
BANKING -- 4.5%
8,575 Abigail Adams National
Bancorp...................... 69,672
4,200 Acadiana Bancshares............ 63,000
26,600 Ambanc Holding Co.............. 362,425
11,600 American Business Financial
Services..................... 205,175
12,100 ASTA Funding*.................. 65,038
18,564 BancWest....................... 366,639
13,100 Berkshire Bancorp.............. 411,830
10,800 BNCCORP*....................... 70,200
4,145 BOK Financial*................. 76,683
3,100 BSB Bancorp.................... 64,713
10,100 Cameron Financial.............. 130,038
17,700 Capital Corp. of the West*..... 148,238
4,000 Carver Bancorp................. 35,000
7,900 CB Bancshares.................. 187,625
47,300 Chittenden..................... 1,404,218
76,800 Colonial BancGroup............. 825,599
30,300 Commercial Bank of New York.... 289,744
13,200 Community Financial............ 122,925
2,625 Crusader Holding*.............. 19,852
3,900 Elmira Savings Bank, FSB....... 78,975
24,400 Federal Agricultural Mortgage,
Class C*..................... 378,200
14,400 FFLC Bancorp................... 163,800
8,300 FFW............................ 88,188
8,300 Fidelity Bancorp............... 144,213
8,000 First Bancshares............... 79,000
2,200 First Banks America*........... 39,325
34,300 First Citizens BancShares,
Class A...................... 1,936,877
58 First Colonial Group........... 928
1,600 First Defiance Financial....... 13,800
9,300 First Investors Financial
Services*.................... 48,825
2,000 First Midwest Financial........ 20,250
17,800 First Mutual Bancshares........ 172,438
1,300 First Regional Bancorp*........ 8,938
500 FIRSTFED AMERICA BANCORP....... 5,313
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
17,900 Franklin Bank NA............... $ 152,150
15,700 FSF Financial.................. 165,831
15,200 Greater Bay Bancorp............ 611,799
100 Harrodsburg First Financial
Bancorp...................... 1,088
11,400 Hawthorne Financial*........... 95,475
10,500 Hingham Institution for
Savings...................... 128,625
600 Independence Federal Savings
Bank......................... 6,900
10,800 Iroquois Bancorp............... 340,200
29,600 ITLA Capital*.................. 377,400
3,900 Kankakee Bancorp............... 82,875
100 LSB Financial.................. 1,138
1,600 Marion Capital Holdings........ 25,400
8,533 MASSBANK....................... 234,391
8,800 MB Financial*.................. 87,450
64,900 Metris Companies............... 2,522,987
16 Mid-America Bancorp............ 416
4,000 Monterey Bay Bancorp........... 34,500
1,000 New Hampshire Thrift
Bancshares................... 11,875
20,300 North Fork Bancorporation...... 362,863
9,100 North Valley Bancorp........... 87,588
2,600 Northeast Indiana Bancorp...... 27,625
40,600 Pacific Century Financial...... 824,687
9 Premier National Bancorp....... 136
18,140 PVF Capital.................... 159,292
33,200 Quaker City Bancorp*........... 464,799
93,400 Republic Bancorp............... 872,705
15,962 Seacoast Financial Services.... 157,625
7,200 Southern Missouri Bancorp...... 83,250
2,100 Southwest Bancorp.............. 35,963
500 Staten Island Bancorp.......... 8,563
37,800 Sterling Financial*............ 378,000
26,000 Student Loan................... 1,064,374
3,900 Teche Holding.................. 48,750
49,200 TFC Enterprises*............... 149,138
89,320 UMB Financial.................. 3,282,509
16,200 Wainwright Bank & Trust........ 113,400
7,300 Wells Financial................ 85,775
------------
21,185,226
------------
BUILDING -- 1.0%
1,700 Ablest*........................ 11,050
44,900 AMREP*......................... 266,594
25 Dominion Homes*................ 138
23,500 Encompass Services*............ 135,125
10,300 Fortress Group*................ 10,300
90,300 Integrated Electrical
Services*.................... 474,075
53,100 Kaufman & Broad Home........... 1,138,330
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING (CONTINUED)
6,900 MasTec*........................ $ 614,100
20,500 Meadow Valley*................. 79,438
9,221 Michael Baker*................. 47,834
3,700 Orleans Homebuilders*.......... 6,706
10,000 Perini*........................ 44,375
16,200 RailWorks*..................... 164,025
49,700 Skyline........................ 1,077,868
27,800 Southern Energy Homes*......... 34,750
31,000 The Rottlund Company*.......... 79,438
14,400 UTILX*......................... 90,000
34,400 Washington Homes*.............. 195,650
------------
4,469,796
------------
CHEMICALS -- 2.2%
79,000 A. Schulman.................... 1,046,750
9,500 American Pacific*.............. 67,094
16,830 American Vanguard.............. 132,536
58,100 Bairnco........................ 403,069
800 ChemFirst...................... 15,550
101,200 Dexter......................... 5,363,599
52,900 H.B. Fuller.................... 2,112,694
93,700 International Specialty
Products*.................... 603,194
16,700 LESCO.......................... 280,769
26,700 USEC........................... 123,488
------------
10,148,743
------------
COMPUTER -- 0.0%
2,600 Digital Lightwave*............. 162,013
------------
CONSTRUCTION MATERIALS -- 0.9%
22,600 Ameron International........... 803,713
22,700 Centex Construction Products... 595,875
14,200 Continental Materials*......... 315,950
11,200 Devcon International*.......... 81,900
26,900 Donnelly....................... 317,756
5,700 Florida Rock Industries........ 159,600
83,100 Lafarge........................ 1,973,625
5,200 Oglebay Norton................. 112,450
------------
4,360,869
------------
DEFENSE -- 0.1%
1,600 Conrad Industries*............. 7,200
14,300 Kaman, Class A................. 139,425
15,100 Primex Technologies............ 321,819
------------
468,444
------------
DRUGS -- 3.3%
4,700 Abgenix*....................... 649,188
600 ABIOMED*....................... 24,300
48,700 Alpharma, Class A.............. 1,789,725
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DRUGS (CONTINUED)
13,200 Atlantic Technology
Ventures*.................... $ 76,725
1,000 Biosite Diagnostics*........... 24,375
1,200 Bradley Pharmaceuticals*....... 2,400
141,500 Cambrex........................ 6,155,249
10,900 Catalytica*.................... 158,731
61,500 Diagnostic Products............ 1,502,906
1,400 Digene*........................ 64,400
37,300 Dura Pharmaceuticals*.......... 459,256
2,700 E-Z-EM*........................ 24,638
800 Ergo Science*.................. 1,325
15,200 Hi-Tech Pharmacal*............. 83,600
2,000 Immucor*....................... 19,750
1,700 InSite Vision*................. 10,094
38,500 King Pharmaceuticals*.......... 1,212,750
7,400 Millennium Pharmaceuticals*.... 961,075
25,192 New Brunswick Scientific*...... 176,344
15,800 Nutraceutical International*... 58,263
20,500 PDK Labs*...................... 79,438
255,800 Perrigo*....................... 1,942,481
------------
15,477,013
------------
DURABLES -- 0.4%
63,000 Coachmen Industries............ 870,188
400 Harman International
Industries................... 24,000
42 Sunbeam*....................... 176
3,050 Thor Industries................ 74,153
60,000 Winnebago Industries........... 1,083,750
------------
2,052,267
------------
ELECTRIC UTILITIES -- 2.9%
29,200 Bangor Hydro-Electric.......... 505,525
58,300 Central Vermont Public
Service...................... 608,506
2,300 CH Energy Group................ 69,863
153,000 CMP Group...................... 4,456,125
900 Maine Public Service........... 15,581
161,900 Public Service Co. of New
Mexico....................... 2,549,925
145,300 RGS Energy Group............... 3,087,625
54,700 TNP Enterprises................ 2,396,544
12,000 Westmoreland Coal*............. 45,750
------------
13,735,444
------------
ELECTRONICS -- 17.5%
800 ACT Manufacturing*............. 44,750
17,500 Advanced Fibre
Communications*.............. 1,095,938
3,800 Affymetrix*.................... 564,063
52,050 ANADIGICS*..................... 3,435,300
21,325 Bogen Communications
International*............... 215,916
300 Cobra Electronics*............. 1,763
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
13,300 Comdial*....................... $ 174,563
2,600 Cree*.......................... 293,963
77,100 CTS............................ 4,394,699
6,400 CyberOptics*................... 271,600
29,300 Cypress Semiconductor*......... 1,444,856
65,600 Datascope...................... 2,082,800
16,400 Datron Systems, California*.... 196,800
4,800 Dental/Medical Diagnostic
Systems*..................... 10,650
14,900 Detection Systems*............. 144,344
52,500 Digital Microwave*............. 1,778,438
1,900 DII Group*..................... 214,819
3,800 DRS Technologies*.............. 37,763
13,600 DSP Group*..................... 897,600
3,900 Elamex S.A. de C.V.*........... 22,181
116,300 General Semiconductor*......... 2,006,175
45,500 GenRad*........................ 563,063
55,000 Haemonetics*................... 1,237,500
76,000 Harmonic*...................... 6,326,999
5,900 Hurco Companies*............... 20,650
4,200 Integrated Device
Technology*.................. 166,425
208,200 International Rectifier*....... 7,937,624
48,900 InterVoice-Brite*.............. 1,411,988
13,600 Kewaunee Scientific............ 182,750
11,600 Lakeland Industries*........... 47,125
76,800 Lattice Semiconductor*......... 5,198,399
4,700 Logic Devices*................. 32,606
1,000 Medical Action Industries*..... 3,625
7,800 Medstone International*........ 49,238
7,300 Merrimac Industries*........... 66,613
45,200 Micrel*........................ 4,339,199
21,700 Mine Safety Appliances......... 1,508,150
12,400 Porta Systems*................. 43,400
1,900 Power-One*..................... 114,713
10,000 Programming & Systems* (a)..... 0
4,000 Robinson Nugent*............... 62,500
31,100 Salient 3 Communications*...... 373,200
2,900 Sigmatron International*....... 15,225
1,500 Silicon Storage Technology*.... 110,813
24,800 Siliconix*..................... 2,357,550
64,100 Spacelabs Medical*............. 1,021,594
55,200 SPX*........................... 6,289,349
58,500 Standard Microsystems*......... 851,906
61,100 Tekelec*....................... 2,268,338
88,200 Tektronix...................... 4,939,199
5,000 Three-Five Systems*............ 300,000
51,900 Triquint Semiconductor*........ 3,814,649
97,500 Varian*........................ 3,741,563
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
118,700 Varian Medical Systems*........ $ 5,415,687
10,800 Video Display*................. 70,875
13,450 Vishay Intertechnology*........ 748,156
9,500 Vodavi Technology*............. 44,531
3,500 Xicor*......................... 49,438
4,500 Zygo*.......................... 217,125
------------
81,270,746
------------
FINANCIAL INVESTMENTS -- 0.7%
18,700 Amplicon....................... 197,519
3,700 Giant Group*................... 6,244
24,800 HPSC*.......................... 195,300
25,300 International Aircraft
Investors*................... 161,288
19,300 IPI*........................... 55,488
19,800 Penn Virginia.................. 339,075
17,500 REFAC*......................... 70,000
50,100 Sunrise International
Leasing*..................... 241,106
5,500 Vari-Lite International*....... 11,000
7,600 Willis Lease Finance*.......... 46,550
50,300 XTRA*.......................... 1,911,399
------------
3,234,969
------------
FOOD -- 1.4%
25,000 Cagle's........................ 200,000
75,600 Corn Products International.... 1,819,125
4,400 Farmer Brothers................ 787,600
100 Griffin Land & Nurseries*...... 1,100
21,400 John B. Sanfilippo & Son*...... 90,950
7,500 M&F Worldwide*................. 32,813
2,300 Penford........................ 41,688
114,400 Ralcorp Holdings*.............. 1,658,800
150 Seaboard....................... 26,550
98,100 Triarc Companies*.............. 1,961,999
------------
6,620,625
------------
HEALTH -- 1.3%
40,000 Coventry Health Care*.......... 340,000
10,400 Dynacq International*.......... 96,200
2,900 IntegraMed America*............ 8,338
117,700 LifePoint Hospitals*........... 1,956,762
4,700 MEDTOX Scientific*............. 38,188
22,106 National Home Health Care*..... 105,004
34,400 NAHC*.......................... 6,880
84,550 Quest Diagnostics*............. 3,360,862
24,000 UniHolding*.................... 24,000
------------
5,936,234
------------
HOUSEHOLD -- 2.0%
19,800 American Biltrite.............. 264,825
19,700 Associated Materials........... 273,338
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
2,500 Aztec Manufacturing............ $ 29,531
65,400 Brady.......................... 2,039,662
2,900 Cybex International*........... 12,144
5,000 Daktronics*.................... 50,625
8,400 Direct Focus*.................. 233,625
15,500 Fotoball USA*.................. 75,563
54,300 Gundle/SLT Environmental*...... 159,506
196,200 Kimball International, Class
B............................ 2,158,199
900 Knape & Vogt Manufacturing..... 14,175
200 Lamson & Sessions*............. 1,488
3,400 PlayCore*...................... 22,950
9,400 Pubco*......................... 72,850
1,900 Pulaski Furniture.............. 41,444
1,000 Raven Industries............... 11,125
25,900 Reunion Industries*............ 61,513
64,000 Russ Berrie & Co............... 1,184,000
33,800 Salton*........................ 1,466,074
3,000 Summa Industries*.............. 28,500
13,800 Total Containment*............. 24,150
7,500 Trans-Lux...................... 50,625
4,000 UFP Technologies*.............. 11,000
47,300 West Pharmaceutical Services... 1,197,281
6,900 WMS Industries*................ 68,138
------------
9,552,331
------------
INSURANCE -- 1.8%
7,700 Amwest Insurance Group......... 66,413
2,400 Arthur J. Gallagher & Co....... 78,000
1,400 Bancinsurance*................. 5,950
13,300 Health Risk Management*........ 84,788
5,700 Independence Holding........... 61,275
53,000 InterContinental Life*......... 530,000
10,800 Kansas City Life Insurance..... 260,550
2,000 Kaye Group..................... 14,000
3,200 Liberty........................ 120,000
6,600 Midland........................ 155,100
11,700 National Security Group........ 130,163
13,100 National Western Life
Insurance, Class A*.......... 1,061,100
18,200 Paula Financial................ 63,700
69,800 PMA Capital.................... 1,221,499
11,800 Point-West Capital*............ 84,444
10,600 RenaissanceRe Holdings......... 433,275
39,900 Standard Management*........... 184,538
200 United Fire & Casualty......... 3,850
29,800 White Mountains Insurance
Group........................ 3,996,924
------------
8,555,569
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
LIQUOR & TOBACCO -- 0.0%
3,505 Robert Mondavi*................ $ 122,237
3,000 Todhunter International*....... 24,000
------------
146,237
------------
MACHINERY -- 7.0%
13,000 Acme Electric*................. 78,000
2,900 Advanced Technical Products*... 11,600
19,100 Aerovox*....................... 106,244
11,100 Alpha Technologies Group*...... 81,863
57,300 Ampco-Pittsburgh............... 623,138
33,900 Asyst Technologies*............ 1,983,150
2,600 BHA Group Holdings, Class A.... 20,475
1,400 Brooks Automation*............. 87,500
25,100 Butler Manufacturing........... 613,381
6,000 C&D Technologies............... 354,000
5,500 Chicago Rivet & Machine........ 121,000
3,000 Credence Systems*.............. 375,375
31,300 Dayton Superior*............... 788,369
38,900 Detroit Diesel................. 743,963
11,100 Edison Control*................ 112,388
3,300 EMCORE*........................ 379,706
26,800 Fansteel*...................... 93,800
21,700 Farrel......................... 42,044
5,600 Federal Screw Works............ 225,400
12,200 Gencor Industries* (a)......... 0
900 Genesis Worldwide.............. 3,375
5,100 Gorman-Rupp.................... 80,325
31,100 Griffon*....................... 242,969
2,500 Key Technology*................ 23,750
48,600 Kulicke & Soffa Industries*.... 3,113,437
6,700 L.S. Starrett, Class A......... 157,450
66,600 Lam Research*.................. 3,001,162
6,700 Lennox International........... 58,625
176,100 Lincoln Electric Holdings...... 4,259,418
9,200 LTX*........................... 415,725
22,500 Maxco*......................... 188,438
8,900 McClain Industries*............ 46,725
12,400 Mestek*........................ 209,250
17,600 MFRI*.......................... 72,600
39,500 Middleby*...................... 224,656
6,100 Minuteman International........ 48,800
5,350 Oilgear........................ 46,478
6,500 Owosso......................... 21,531
10,900 P & F Industries*.............. 95,375
8,900 Peerless Mfg................... 124,600
25,100 Photon Dynamics*............... 1,731,900
18,800 Pitt-Des Moines................ 425,350
22,000 PRI Automation*................ 1,344,750
5,900 Q.E.P.*........................ 50,888
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
7,400 Quipp.......................... $ 114,700
11,000 Selas Corporation of America... 63,250
300 Shiloh Industries*............. 3,131
8,700 Standard Motor Products........ 129,413
8,400 Tecumseh Products, Class B..... 352,800
190,700 Timken......................... 3,098,874
16,600 UNIFAB International*.......... 132,800
94,400 Varian Semiconductor Equipment
Associates*.................. 6,006,199
------------
32,730,140
------------
MEDIA -- 3.6%
106,500 Banta.......................... 1,956,937
115,800 Bowne & Co..................... 1,490,925
9,250 Courier........................ 215,063
25,600 Emmis Communications, Class
A*........................... 1,190,400
3,300 Grey Advertising............... 1,349,700
9,900 iNTELEFILM*.................... 34,650
10,600 Multi-Color*................... 76,188
22,200 Outlook Group*................. 109,613
12,000 Penton Media................... 312,000
4,500 Pulitzer....................... 183,938
43,700 Scholastic*.................... 2,357,068
2,300 Standard Register.............. 29,613
41,100 Thomas Nelson.................. 326,231
21,300 Todd-AO, Class A............... 734,850
168,400 Topps*......................... 1,399,825
128,000 True North Communications...... 5,031,999
4,100 Wave Technologies
International*............... 38,950
------------
16,837,950
------------
METALS -- 2.4%
10,900 Atchison Casting*.............. 75,619
3,800 Brush Wellman.................. 66,975
1,000 Commercial Metals.............. 27,625
128,636 Harsco......................... 3,722,403
3,100 Insteel Industries............. 17,438
5,000 L.B. Foster*................... 20,313
113,400 Mueller Industries*............ 3,444,525
58,300 Quanex......................... 1,049,400
2,000 Reliance Steel & Aluminum...... 44,750
8,700 Southern Peru Copper........... 113,100
7,200 Steel Technologies............. 57,150
60,250 Stillwater Mining*............. 2,410,000
------------
11,049,298
------------
MISCELLANEOUS FINANCIAL -- 3.3%
92,000 Affiliated Managers Group*..... 4,369,999
3,100 American Capital Strategies.... 78,663
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
16,900 Atalanta Sosnoff Capital*...... $ 154,213
42,200 Dain Rauscher.................. 2,782,563
112,400 Eaton Vance.................... 4,826,174
300 Gabelli Asset Management*...... 5,138
31,500 John Nuveen, Class A........... 1,204,875
18,855 JWGenesis Financial*........... 289,896
41,000 Maxcor Financial Group*........ 96,094
6,000 Morgan Keegan.................. 105,000
59,800 Raymond James Financial........ 1,240,850
13,635 Stifel Financial............... 146,576
------------
15,300,041
------------
OFFICE MACHINERY -- 4.7%
24,600 Advanced Digital
Information*................. 842,550
74,500 Baldwin Technology, Class A*... 144,344
70,200 Casino Data Systems*........... 359,775
39,800 Concurrent Computer*........... 504,963
67,100 Emulex*........................ 7,322,287
16,000 GENICOM*....................... 38,250
725 Gradco Systems*................ 1,450
168,700 Imation*....................... 4,502,180
48,300 ION Networks*.................. 1,624,088
3,200 Kronos*........................ 94,800
70,500 Maxtor*........................ 912,094
1,900 Media 100*..................... 66,263
22,900 Netopia*....................... 1,647,369
162,400 Polaroid....................... 3,856,999
------------
21,917,412
------------
OIL -- 1.4%
41,700 Cabot Oil & Gas, Class A....... 753,206
113,100 Energen........................ 1,802,531
49,700 Equity Oil*.................... 76,103
16 Greka Energy*.................. 144
20,100 HS Resources*.................. 424,613
34,800 Key Production*................ 465,450
24,400 Louis Dreyfus Natural Gas*..... 829,600
1,500 Marine Petroleum Trust......... 22,875
13,500 Miller Exploration*............ 17,719
3,000 Mitchell Energy & Development,
Class B...................... 66,000
55,800 Newfield Exploration*.......... 1,966,950
500 North Coast Energy*............ 1,375
47,000 PANACO*........................ 31,945
16,000 Patina Oil & Gas............... 217,000
------------
6,675,511
------------
OIL -- INTERNATIONAL -- 0.0%
12,100 Holly.......................... 139,150
------------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION -- 1.1%
50,400 Castle Energy.................. $ 261,450
6,500 Getty Petroleum Marketing*..... 14,625
53,100 Huntway Refining*.............. 59,738
3,600 Kaneb Services*................ 19,800
41,000 Quaker Chemical................ 697,000
4,200 Streicher Mobile Fueling*...... 23,625
23,200 Tesoro Petroleum*.............. 266,800
126,000 Valero Energy.................. 3,858,750
------------
5,201,788
------------
OIL SERVICES -- 0.2%
19,400 Helmerich & Payne.............. 601,400
1,000 Marine Drilling*............... 27,438
19,900 Oceaneering International*..... 373,125
15,600 Petroleum Development*......... 63,375
2,300 UTI Energy*.................... 86,825
------------
1,152,163
------------
OTHER UTILITIES -- 1.3%
11,900 Clean Harbors*................. 31,238
2,700 Dominguez Services............. 85,725
97,000 Equitable Resources............ 4,346,812
4,200 GTS Duratek*................... 43,575
15,600 Harding Lawson Associates
Group*....................... 165,750
10,000 IT Group*...................... 75,625
18,900 NUI............................ 489,037
800 RGC Resources.................. 15,800
51,700 Roy F. Weston, Class A*........ 126,019
5,500 Scherer Healthcare*............ 19,938
500 Sevenson Environmental
Services..................... 4,828
3,700 SJW............................ 432,899
27,500 TRC Companies*................. 326,563
------------
6,163,809
------------
PAPER -- 0.5%
6,600 Badger Paper Mills*............ 29,700
12,300 Baltek*........................ 89,944
6,800 Carmel Container Systems*...... 61,200
4,000 Chesapeake..................... 118,250
9,300 Greif Brothers, Class A*....... 296,438
3,300 Lynch*......................... 95,700
54,100 P.H. Glatfelter................ 574,812
40,900 Pope & Talbot.................. 751,537
7,000 Rock-Tenn, Class A............. 68,250
5,700 Schweitzer-Mauduit
International................ 73,744
4,400 Tufco Technologies*............ 41,800
------------
2,201,375
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS -- 4.0%
14,500 Abrams Industries.............. $ 56,188
500 Aegis Realty................... 4,281
5,200 America First Mortgage
Investments.................. 28,275
16,400 Annaly Mortgage Management..... 145,550
40,400 Bridgestreet Accommodations*... 106,050
65,800 Cabot Industrial Trust......... 1,225,524
11,400 Captec Net Lease Realty........ 95,119
5,800 Carey Diversified.............. 97,150
81,200 CBL & Associates Properties.... 1,659,524
100,500 Center Trust................... 640,688
32,700 Charles E. Smith Residential
Realty....................... 1,181,287
53,100 Commercial Assets.............. 258,863
149,800 Cornerstone Realty Income
Trust........................ 1,619,712
4,700 Corporate Office Properties
Trust........................ 38,481
13,000 DeWolfe Companies.............. 95,063
80,200 Excel Legacy*.................. 270,675
8,078 G&L Realty..................... 74,722
7,600 Great Lakes REIT............... 114,950
152,200 Healthcare Realty Trust........ 2,549,349
4,200 Humphrey Hospitality Trust..... 28,088
14,700 ILX Resorts*................... 27,563
14,400 J.W. Mays*..................... 79,200
4,500 Kaiser Ventures*............... 63,281
13,000 LNR Property................... 247,813
46,200 Macerich....................... 952,875
17,700 Mego Financial*................ 64,163
173,040 New Plan Excel Realty Trust.... 2,379,299
12,500 Newmark Homes*................. 73,438
8,900 Pan Pacific Retail
Properties................... 164,094
133,801 Prentiss Properties Trust...... 2,985,434
41,800 Prime Group Realty Trust....... 598,263
60,700 Prison Realty Trust............ 174,513
17,400 Saxton*........................ 20,663
1,857 Wilshire Oil Company of
Texas*....................... 7,776
66,700 Winston Hotels................. 516,925
------------
18,644,839
------------
RETAIL/WHOLESALE -- 5.7%
2,250 Aceto.......................... 20,250
625 Advanced Marketing Services.... 12,969
7,242 Alleghany*..................... 1,361,495
5,600 Allou Health & Beauty, Class
A*........................... 39,550
4,910 AMCON Distributing............. 33,143
4,200 Arden Group, Class A*.......... 121,275
73,400 Audiovox, Class A*............. 3,202,074
17,300 Bell Microproducts*............ 298,425
266,700 BJ's Wholesale Club*........... 10,301,287
7,800 Blair.......................... 124,800
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE> 12
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
62,500 Cameron Ashley Building
Products*.................... $ 1,078,124
35,600 Charming Shoppes*.............. 202,475
500 CompuCom Systems*.............. 2,625
10,900 Crown Group*................... 63,356
15,400 DAMARK International, Class
A*........................... 587,125
500 DEB Shops...................... 6,875
42,400 Discount Auto Parts*........... 378,950
15,300 Ellett Brothers................ 87,019
2,400 Environmental Technologies*.... 30,600
24,800 EZCORP, Class A................ 97,650
7,600 Foodarama Supermarkets*........ 188,100
5,600 Friedman's, Class A............ 34,475
2,800 Handleman*..................... 24,850
5,000 Hastings Entertainment*........ 17,500
10,300 Haverty Furniture.............. 109,438
2,800 Hirsch International, Class
A*........................... 3,675
46 Holt's Cigar Holdings*......... 193
94,300 Hughes Supply.................. 1,461,649
11,700 Insight Enterprises*........... 426,319
1,000 International Multifoods....... 13,375
20,850 Johnson Outdoors*.............. 129,009
35,600 Katy Industries................ 327,075
600 Longs Drug Stores.............. 13,650
2,500 McRae Industries, Class A...... 14,063
12,700 Noland......................... 185,738
16,300 PC Connection*................. 460,475
4,300 Phar-Mor*...................... 13,706
100 Piercing Pagoda*............... 1,338
12,200 PrimeSource.................... 65,194
630 Rag Shops*..................... 1,280
11,348 Reeds Jewelers*................ 34,044
11,800 Richardson Electronics......... 129,800
47,500 Ruddick........................ 519,531
6,650 Schultz Sav-O Stores........... 70,656
6,800 Shoe Carnival*................. 62,900
26,600 Software Spectrum*............. 563,588
17,300 Sound Advice*.................. 192,463
14,100 Specialty Catalog*............. 39,656
7,500 Speizman Industries*........... 28,594
70,100 Spiegel, Class A*.............. 560,800
28,400 Sport Chalet*.................. 133,125
19,700.. Suprema Specialties*........... 195,769
22,045.. Syms*.......................... 88,180
18,800 Today's Man*................... 13,513
6,500 Track 'n Trail*................ 6,500
2,100 Tractor Supply*................ 43,050
7,100 Trans World Entertainment*..... 71,000
13,200 United Retail Group*........... 125,400
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
86,800 Value City Department
Stores*...................... $ 1,204,349
20,200 Village Supermarket, Class
A*........................... 272,700
8,200 WESCO International*........... 63,550
12,400 Whitehall Jewellers*........... 291,400
17,000 Wolohan Lumber................. 178,500
1,200 Zale*.......................... 56,625
------------
26,486,862
------------
SERVICES -- 16.5%
17,500 3DO*........................... 169,531
3,100 Actuate*....................... 166,819
9,500 ADVO*.......................... 237,500
27,400 Allaire*....................... 2,072,125
49,400 Angelica....................... 490,913
23,800 ASA International*............. 74,375
133,100 Avant!*........................ 1,663,750
43,400 AVT*........................... 512,663
39,400 Aztec Technology Partners*..... 313,969
45,700 Barra*......................... 1,548,088
15,800 Bell Industries................ 52,338
1,400 Berlitz International*......... 16,013
35,700 BrightStar Information
Technology Group*............ 236,513
15,500 Caredata.com*.................. 118,188
600 Catalyst International*........ 7,725
49,900 Cerner*........................ 1,347,300
3,800 Corporate Executive Board*..... 192,850
30,200 Corrpro Companies*............. 139,675
31,300 CPI............................ 729,681
8,100 Craig*......................... 41,513
3,200 Creditrust*.................... 9,600
23,454 CSP*........................... 268,255
56,500 Datastream Systems*............ 1,638,500
16,200 Diamond Technology Partners*... 1,065,150
6,900 Documentum*.................... 538,200
1,000 Eclipsys*...................... 19,375
25,200 Exponent*...................... 277,200
30 General Employment
Enterprises.................. 124
11,600 GP Strategies*................. 47,850
34,222 Group 1 Software*.............. 641,672
118,800 GTECH Holdings*................ 2,205,224
27,000 GZA GeoEnvironmental
Technologies*................ 148,500
22,800 Heidrick & Struggles
International*............... 914,850
15,200 Identix*....................... 423,700
2,000 InfoCure*...................... 34,750
46,300 Informatica*................... 3,556,418
146,150 Informix*...................... 2,475,415
6,000 Interim Services*.............. 111,375
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
11,600 INTERLINQ Software*............ $ 62,350
44,300 IntraNet Solutions*............ 2,037,800
700 JDA Software Group*............ 10,238
9,000 JUDGE.com*..................... 24,750
113,300 Kelly Services, Class A........ 2,712,118
126,600 Korn/Ferry International*...... 3,766,349
5,700 Logility*...................... 78,019
16,200 Loronix Information Systems*... 588,263
131,600 Magellan Health Services*...... 633,325
29,500 Magic Software Enterprises*.... 560,500
1,100 Manatron*...................... 10,656
19,600 Marlton Technologies*.......... 49,000
1,200 Mediware Information
Systems*..................... 8,175
227,800 Mentor Graphics*............... 3,445,474
33,190 MERANT plc -- ADR*............. 904,428
82,600 Mercury Computer Systems*...... 4,037,074
77,200 Mercury Interactive*........... 6,118,099
49,300 Micromuse*..................... 6,843,455
120,900 Midway Games*.................. 1,647,263
24,000 Modem Media Poppe Tyson*....... 777,000
190,100 Morrison Knudsen*.............. 1,401,988
2,100 National Technical Systems..... 7,284
3,400 NBC Internet*.................. 146,413
4,900 Net Perceptions*............... 180,994
30,700 Nextera Enterprises*........... 243,681
1,800 ON Technology*................. 18,900
27,100 Opinion Research*.............. 228,656
8,400 Peregrine Systems*............. 563,325
11,500 Pharmacopeia*.................. 563,500
15,900 Phoenix Technologies*.......... 335,888
12,500 Pittston Brink's Group......... 212,500
600 Project Software &
Development*................. 33,900
19,924 ProMedCo Management*........... 48,565
28,900 Quality Systems*............... 440,725
19,800 Radiant Systems*............... 1,244,925
20,300 Razorfish*..................... 558,250
15,700 SalesLogix*.................... 424,881
29,900 SeaChange International*....... 1,842,588
3,893 Simione Central Holdings*...... 15,085
1,700 SOS Staffing Services*......... 7,544
17,000 STV Group*..................... 119,000
39,100 Sybase*........................ 794,219
29,500 Symantec*...................... 2,216,187
13,800 TALX*.......................... 262,200
500 Teltronics*.................... 3,281
101,610 Titan*......................... 5,182,109
7,650 Trio-Tech International*....... 53,550
2,100 TSI International Software*.... 174,431
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
8,700 VSE............................ $ 61,988
45,900 Westaff*....................... 418,838
------------
76,627,418
------------
SOAPS & COSMETICS -- 0.5%
55,044 Block Drug Company, Class A.... 1,517,157
5,200 Carter-Wallace................. 97,500
39,200 Cascade International* (a)
(b).......................... 0
29,200 CPAC........................... 218,088
2,700 Guest Supply*.................. 48,094
1,300 Inter Parfums*................. 16,250
12,500 NCH............................ 566,406
------------
2,463,495
------------
TELEPHONE -- 0.7%
36,400 Boston Communications Group*... 263,900
12,900 Hector Communications*......... 183,825
5,500 Lynch Interactive*............. 715,000
84,061 Price Communications*.......... 1,933,403
------------
3,096,128
------------
TEXTILES -- 2.2%
55,300 Ashworth*...................... 238,481
2,600 Columbia Sportswear*........... 63,700
58,800 Cyrk*.......................... 518,175
12,875 Decorator Industries........... 62,766
51,700 Dixie Group*................... 229,419
10,000 G-III Apparel Group*........... 46,250
19,800 Garan.......................... 499,950
4,500 Guess?*........................ 144,000
10,100 Haggar......................... 138,875
6,800 Hampshire Group*............... 83,300
3,423 Hampton Industries*............ 6,204
108,500 Kellwood....................... 1,905,531
2,850 Kenneth Cole Productions*...... 111,863
29,100 Leslie Fay*.................... 167,325
22,700 Perry Ellis International*..... 224,163
8,500 PremiumWear*................... 76,500
18,700 Rocky Shoes & Boots*........... 91,163
111,200 Russell........................ 1,591,550
5,400 Samsonite*..................... 30,375
15,200 Saucony, Class A*.............. 148,200
42,600 Springs Industries, Class A.... 1,618,800
4,100 Tandy Brands Accessories*...... 35,875
41,300 Timberland, Class A*........... 2,106,299
------------
10,138,764
------------
TRANSPORTATION -- 1.9%
1,200 Alexander & Baldwin............ 24,750
47,800 American Freightways*.......... 714,013
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
1,700 Avalon Holdings, Class A*...... $ 8,075
9,300 B&H Ocean Carriers*............ 12,206
9,050 Boyd Brothers
Transportation*.............. 49,775
7,100 Circle International Group..... 184,600
36,600 Covenant Transport, Class A*... 581,025
12,100 Forward Air*................... 286,619
600 International Shipholding...... 4,800
1,000 Kenan Transport................ 18,313
1,000 KLLM Transport Services*....... 6,938
35,600 Landstar System*............... 1,949,099
25,100 Marine Transport*.............. 62,750
2,050 Marten Transport*.............. 28,956
46,700 Navigant International*........ 443,650
17,000 Old Dominion Freight Line*..... 202,938
26,166 RailAmerica*................... 176,621
12,800 Roadway Express................ 259,200
2,400 SEACOR SMIT*................... 144,900
34,800 USFreightways.................. 1,302,825
133,900 Yellow*........................ 2,468,780
------------
8,930,833
------------
TRAVEL/ENTERTAINMENT -- 1.0%
39,000 AMERCO*........................ 716,624
20,300 Ark Restaurants*............... 134,488
2,500 Aztar*......................... 23,750
20,700 Black Hawk Gaming &
Development*................. 124,200
54,400 Buffets*....................... 491,300
3,100 Dollar Thrifty Automotive
Group*....................... 53,281
4,800 Frisch's Restaurants........... 42,000
20,300 Garden Fresh Restaurant*....... 223,300
7,600 ICH*........................... 48,450
10,200 Janus Hotels and Resorts*...... 31,875
64,800 Lone Star Steakhouse &
Saloon*...................... 660,150
3,300 Luby's......................... 31,144
8,000 Max & Erma's Restaurants*...... 66,000
21,300 Mexican Restaurants*........... 67,894
20,300 Movie Gallery*................. 84,372
2,700 Panera Bread*.................. 20,250
9,900 Phoenix Restaurant Group*...... 3,713
25,200 Pinnacle Entertainment*........ 511,875
93,700 Ryan's Family Steak Houses*.... 896,005
12,685 Sedona Worldwide* (a).......... 0
21,600 Sonesta International Hotels,
Class A...................... 172,800
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT
(CONTINUED)
1,100 Sonic*......................... $ 29,975
7,800 Sunburst Hospitality*.......... 38,513
9,610 Uno Restaurant*................ 104,509
11,700 VICORP Restaurants*............ 244,238
------------
4,820,706
------------
TOTAL COMMON STOCKS (COST
$402,862,576) -- 99.1%....... 463,115,846
------------
WARRANTS -- 0.0%
DURABLES -- 0.0%
5,867 Sunbeam @ 7.00, 8/24/03*....... 7,334
------------
TOTAL WARRANTS................. 7,334
------------
REPURCHASE AGREEMENT -- 0.7%
State Street Bank, dated
3/31/00, due 4/3/00 at 3.50%
with a maturity value of
$3,230,942 (Collateralized by
$3,300,000 U.S. Treasury
Note, 4.63%, 12/31/00, market
value -- $3,295,875)......... 3,230,000
------------
TOTAL REPURCHASE AGREEMENT
(COST $3,230,000) -- 0.7%.... 3,230,000
------------
SECURITIES HELD AS COLLATERAL
ON SECURITIES LOANED -- 0.0%
AIM Liquid Assets Portfolio.... 120,172
AIM Prime Portfolio............ 19,903
AIM Treasury Portfolio......... 1,860
Federated Treasury Obligations
Fund......................... 1,619
PNC Temp Fund.................. 4,640
Scudder Money Market Series.... 44,306
------------
TOTAL SECURITIES HELD AS
COLLATERAL ON SECURITIES
LOANED
(COST $192,500) -- 0.0%...... 192,500
------------
TOTAL INVESTMENTS
(COST $406,285,077) (c) --
99.8%........................ 466,545,680
------------
COLLATERAL AS SECURITIES
LOANED -- (0.0)%............. (192,500)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.2%.......... 817,611
------------
TOTAL NET ASSETS -- 100.0%..... $467,170,791
============
</TABLE>
See accompanying notes to the financial statements.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
- ---------------
* Non-income producing security.
ADR -- American Depository Receipt.
(a) Bankrupt security; valued by Management (Note 2).
(b) Securities on loan.
(c) At March 31, 2000, the aggregate cost of investment securities for income
tax purposes was $407,638,451. Cost for federal tax purposes differs from
value by net unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 97,909,800
Unrealized depreciation............... (39,002,571)
------------
Net unrealized appreciation........... $ 58,907,229
============
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE
LAST 1 LAST 3 LAST 5 LAST 10 INCEPTION
YEAR YEARS YEARS YEARS (10/22/96)
------ ------ ------ ------- ----------
<S> <C> <C> <C> <C> <C>
Institutional Shares (JPYIX)......................... 45.24% 8.55% -2.07% 0.82%
Select Shares........................................ 45.04% 8.37% -0.44%
TOPIX(1)............................................. 56.48% 15.46% 3.20% 2.67% 5.83%
</TABLE>
The broader Japanese equity market, as measured by the TOPIX(1), delivered
a 56.48% return for the year ended March 31, 2000, making the Japanese equity
market one of best performers in the world. While the stronger yen contributed
more than 15% to return, the TOPIX posted a 35.54% gain in local currency and
stabilized itself above the 1,600 level.
Although tepid, investors saw an indication of improvement in corporate
earnings. According to latest survey by Toyo Keizai Inc., consolidated net
profits for Tokyo Stock Exchange First Section non-financial firms are expected
to rise 58% for the fiscal year 2000 versus a 65% decline in fiscal year 1999,
despite substantial write-offs for restructuring of expenses and special losses
resulting from new accounting standards.
However, strong earnings growth was not evenly spread across all sectors.
In fact only 7 out of 34 Tokyo Stock Exchange defined industries outperformed
the TOPIX for the year. Securities (+196%), communications (+192%), wholesale
(+144%), services (+138%) and electric machinery (+108%) were the top
performers. The companies in these industries are either booming "new economy"
stocks or cyclical stocks that benefit from a rosier economic picture. The worst
performers were those stocks in aged industries that have not provided a good
story for growth-hungry investors. Mining (-33%), construction (-20%) and many
basic industries were the laggards amid the bull market.
The Fund gained more than 45% but under-performed its benchmark, the TOPIX,
by more than 11% for the year ended March 31, 2000. The unprecedented
performance spread between growth stocks and value stocks, especially during the
second half of the year as high flying large growth stocks drove the market,
created an unfavorable market environment for the Fund. Stock selection and the
portfolio's negative exposure to relative strength (measure of trailing 12-month
price performance) were the major contributors to the Fund's underperformance.
The Manager's stock selection models, based on fundamental analysis, favor value
stocks. In a momentum market, driven by growth stocks with relative strength,
the models are unable to reconcile current prices with the underlying company
fundamentals.
Total returns for the Institutional Shares represents the historical
performance for the Rosenberg Series Trust Japan Fund which was launched in
February 1989 until it was converted to the Barr Rosenberg Japan Fund on August
5, 1996. Return and principal value may increase or decrease depending upon
market, economic, political, currency exchanges rates and other conditions
affecting a fund's portfolio so that an investor's shares, when redeemed, may be
worth more or less than their original cost.
International investing involves increased risk and volatility. The Japan
Fund may also be subject to the additional risk of non-diversified regional
investing. Total return includes change in share price and reinvestment of
distributions.
Total return set forth reflects the waiver of a portion of the Fund's
advisory or administrative fees for certain periods since the inception date. In
such cases, and without the waiver of fees, total return would have been lower.
The Institutional Shares of the Japan Fund are distributed by the Barr
Rosenberg Series Trust. Select Shares are distributed by Barr Rosenberg Funds
Distributor, Inc.
- ---------------
(1) The Tokyo Stock Price Index (TOPIX) is an unmanaged index of approximately
1,400 Japanese companies. Investors cannot invest directly in any Index.
16
<PAGE> 17
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ ----------
<C> <S> <C>
COMMON STOCKS -- 100.3%
AUTOS -- 2.0%
2,000 Fuji Heavy Industries............. $ 16,243
1,000 Suzuki Motor...................... 15,259
----------
31,502
----------
BANKING -- 12.1%
6,000 The Asahi Bank.................... 33,637
6,000 The Dai-Ichi Kangyo Bank.......... 55,925
4,000 The Daiwa Bank.................... 11,856
2,000 The Sakura Bank................... 15,229
4,000 The Sanwa Bank.................... 41,652
6,000 The Tokai Bank.................... 36,270
----------
194,569
----------
CONSTRUCTION MATERIALS -- 1.3%
2,000 Matsushita Electric Works......... 20,845
----------
DRUGS -- 4.9%
2,000 Nikken Chemicals Co............... 7,995
2,000 Sankyo Co......................... 50,408
2,000 Tanabe Seiyaku Co................. 12,460
2,000 Tsumura & Co.*.................... 7,741
----------
78,604
----------
DURABLES -- 10.4%
4,000 Matsushita Electric Industrial
Co.............................. 119,728
2,000 Matsushita-Kotobuki Electronics
Industries...................... 47,775
----------
167,503
----------
ELECTRONICS -- 14.3%
1,000 Alps Electric Co.................. 13,669
2,000 FDK*.............................. 15,795
1,000 Ibiden Co......................... 12,958
220 Keyence........................... 87,945
5,000 Mitsubishi Electric............... 47,190
1,000 Nippon Chemi-Con.................. 4,602
2,000 Nissho............................ 16,945
2,000 Shindengen Electric Mfg. Co....... 10,861
2,000 Yokogawa Electric................. 18,603
----------
228,568
----------
HOUSEHOLD -- 1.1%
2,000 Mizuno............................ 5,070
1,000 Tenma............................. 11,895
----------
16,965
----------
INSURANCE -- 0.3%
2,000 The Dai-Tokyo Fire & Marine
Insurance Co.................... 5,479
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ ----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
LIQUOR & TOBACCO -- 1.5%
1,000 Asahi Breweries................... $ 10,042
2 Japan Tobacco..................... 14,333
----------
24,375
----------
MACHINERY -- 8.1%
100 Advantest......................... 21,245
3,000 Amada Sonoike Co.................. 6,406
2,000 Hitachi Koki Co................... 5,343
4,000 Mitsubishi Heavy Industries....... 12,597
300 Miura Co.......................... 3,478
2,000 Nitto Electric Works.............. 11,778
600 Shinkawa.......................... 24,394
4,000 Toshiba........................... 40,793
2,000 Toshiba Tungaloy Co............... 4,836
----------
130,870
----------
MEDIA -- 1.8%
40 Nippon Television Network......... 28,431
----------
MISCELLANEOUS FINANCIAL -- 5.2%
1,000 Daiwa Securities Co............... 18,817
2,000 The Nomura Securities Co.......... 65,325
----------
84,142
----------
OFFICE MACHINERY -- 7.6%
2,000 Asahi Optical Co.................. 4,582
4,000 NEC............................... 118,169
----------
122,751
----------
REAL ESTATE ASSETS -- 0.7%
2,000 Daiwa Danchi Co................... 4,777
2,000 Sumitomo Realty & Development
Co.............................. 6,767
----------
11,544
----------
RETAIL/WHOLESALE -- 3.9%
4,000 Itochu*........................... 21,333
2,000 Kasumi Co......................... 7,995
3,000 Mitsui & Co....................... 24,277
3,000 Nissho Iwai*...................... 3,188
2,000 Tokyu Store Chain Co.............. 5,499
----------
62,292
----------
SERVICES -- 12.7%
2,000 Fujitsu........................... 61,424
200 Fujitsu Business Systems.......... 7,410
2,000 Intec............................. 59,279
4 NTT Data Communications Systems... 75,270
----------
203,383
----------
</TABLE>
See accompanying notes to the financial statements.
17
<PAGE> 18
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
- ------ ----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS -- 0.2%
100 Aderans Co........................ $ 3,549
----------
TELEPHONE -- 8.5%
1 DDI............................... 8,180
200 KDD............................... 16,848
7 Nippon Telegraph and Telephone.... 111,247
----------
136,275
----------
TRANSPORTATION -- 1.1%
5 West Japan Railway................ 17,842
----------
TRAVEL/ENTERTAINMENT -- 2.6%
300 Heiwa............................. 6,289
200 Nintendo Co....................... 35,197
----------
41,486
----------
TOTAL INVESTMENTS (COST
$1,314,599) (a) -- 100.3%....... 1,610,975
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.3)%................ (4,305)
----------
TOTAL NET ASSETS -- 100.0%........ $1,606,670
==========
</TABLE>
- ---------------
* Non-income producing security.
(a) At March 31, 2000, the aggregate cost of investment securities for income
tax purposes was $1,319,717. Cost for federal tax purposes differs from
value by net unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation.................. $387,072
Unrealized depreciation.................. (95,814)
--------
Net unrealized appreciation.............. $291,258
========
</TABLE>
See accompanying notes to the financial statements.
18
<PAGE> 19
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE SINCE
LAST 1 LAST 3 INCEPTION INCEPTION
YEAR YEARS (9/23/96) (10/29/96)
------ ------ --------- ----------
<S> <C> <C> <C> <C>
Institutional Shares (ICSIX)................................ 32.04% 7.26% 6.54%
Select Shares............................................... 31.47% 6.88% 6.28%
CRIexUS(1).................................................. 21.15% 2.58% 1.95% 1.99%
</TABLE>
The global equity markets went through a strong but volatile year. On the
one hand, consumer confidence remained high and investors' enthusiasm for
technology stocks continued to climb. This provided a rejuvenating force for the
equity markets. On the other hand, worries about an overheated economy led to
fears over further increases in interest rates. This, together with the anxiety
over Y2K, cast a shadow over global stocks. Overall, most markets posted
impressive gains for the year ending March 31, 2000. International small stocks,
as measured by the Cazenove Rosenberg Global Smaller Companies Index excluding
the U.S. (CRIexUS)(1), posted a long-awaited rebound by returning over 21%. The
Salomon Smith Barney World ex U.S. Extended Markets Index, another notable
benchmark for international mid/small stocks, gained 24%. 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), were also up 25%.
After enjoying spectacular growth in 1997 and 1998, the European markets
underperformed other developed markets in 1999. Since its inception, the euro
depreciated close to 23% against the U.S. Dollar. The weakness of the euro,
together with the associated concerns over the success of Euroland, dampened the
European stock markets in the first part of 1999. On the positive side, since
July, corporate restructurings and merger and acquisition activities have
proceeded at a record pace. The numerous high-profile cross-border transactions
helped to buoy investors' interests in the European markets. For the year ending
March 31, 2000, European small stocks gained close to 17%(2), while large stocks
returned 19%(2). From October 1999 through February 2000, technology related
"new economy" growth stocks reigned over the market. However, the trend reversed
in March when the market refocused on the more traditional value-based companies
e.g. those in banking and retail/wholesale. Investors' confidence remained
strong and domestic consumption was still robust. In spite of the formation of
Euroland, market performance across Europe diverged rather than converged over
the past 12 months. While small company stocks in Norway and Sweden posted
strong double-digit returns, the performance of small stocks in Belgium and
Spain were in negative territory.
After to close to 10 years of malaise, Japan re-emerged as one of the best
performing markets last year. Japanese small stocks delivered gains of over
35%(2), and large company stocks returned in excess of 45%(2) over this period.
Part of the gains came from the appreciation of the yen, which gained 15%
against the U.S. dollar during the past 12 months. The resurgence of the
Japanese market was a direct result of renewed interest and buying from overseas
investors. With the high domestic savings rate and the low yield from
traditional bank deposits, it was expected that Japanese locals would eventually
re-enter the equity market. Much of the growth in the market was in anticipation
of this cash injection. Domestic investors, on the other hand, have thus far
remained cautious. Meanwhile, the Japanese government has made a conscious
effort to revitalize the economy. For example, the abolishment of securities
transaction taxes, allowing companies to reorganize, and the promotion of
greater accounting transparency were all positive measures that contributed to
the growth of the economy. Similar to the U.S. and Europe, technology and
Internet-related growth stocks
19
<PAGE> 20
were extraordinarily strong since fourth quarter 1999. However, after close to
six months of extreme enthusiasm toward Internet companies, investors, domestic
and foreign alike, opted to return to Japanese value stocks in March 2000.
Elsewhere in Asia, the various countries are now on a solid path of
recovery. Real estate prices have stabilized, and domestic consumption has also
picked up. Strong demand from U.S. and Europe is also helping to boost Asian
exports and hence industrial activities. Similar to the rest of the world,
numerous start-up companies focusing on technology and Internet-related
businesses have sprung up. The various Asian countries are still highly
susceptible to the U.S. interest rate policy and the political situations within
the region. For example, in the first quarter of 2000, markets posted losses
throughout as a result of fears of a U.S. interest rate hike and the political
worries surrounding the presidential election in Taiwan. Overall, for the year
ending March 31, 2000, small company stocks reaped 36%(2), surpassing the 24%(2)
gains from large stocks.
Canadians have been enjoying one of the healthiest economies in history. A
sound budget led to the long-awaited tax cuts in Ontario. This was welcomed by
businesses and consumers alike and helped to boost already-strong domestic
spending and investors' confidence. Expanding beyond the metals and commodities
industries, Canadian companies are increasingly active in the field of
telecommunications and network equipment. This helped to propel the Canadian
market last year. Thanks to the frenzy in telecommunications related stocks,
large stocks delivered over 68%(2) while small stocks gained over 27%(2).
Most European currencies lost ground against the U.S. dollar over the past
12 months, with the euro depreciating over 11% and the British pound losing a
slight 1%. The Canadian dollar had strengthened over 4%, thanks to a rebound in
world commodity prices. Of all the currencies of the developed markets, the
Japanese yen appreciated the most against the U.S. dollar. During the past 12
months, the yen gained over 15%.
For the year ending March 31, 2000, the Fund outperformed its benchmark,
the Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.(1) The
outperformance was a combination of stock selection and risk management. The
portfolio had a slight value bias, which hurt performance during the fourth
quarter of 1999, but on average, helped over the whole year. The Manager strives
to add value consistently through bottom-up stock selection and avoids heavy
bets on countries and industries. The portfolio closely tracks the country and
industry exposures of the benchmark. As a result, the contributions to the
outperformance from industry and country selection were positive but modest,
whereas stock selection accounted for most of the outperformance. In particular,
the Manager's stock selection models worked well in Europe. Since inception, the
Fund's performance has also exceeded that of the benchmark.
The Manager follows a systematic and disciplined approach to international
investing. The portfolio holdings are diversified over 21 countries and 300
companies. As of March 31, 2000, the top 10 holdings accounted for about 23% of
the total portfolio. Approximately 68% of the holdings were invested in Europe.
Financial companies and those engaged in electronic components together
represented over 20% of the portfolio. The price-to-positive-earnings ratio of
the portfolio was about 13, and the median market capitalization of the holdings
was approximately $300 million.
Performance data represents past performance which does not guarantee
future results. Investment return and principal value may increase or decrease
depending upon market, economic, political, currency exchange rates and other
conditions affecting a fund's portfolio, so that an investor's shares, when
redeemed, may be worth more or less than their original cost.
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.
20
<PAGE> 21
Total return includes change in share price and reinvestment of
distributions. Total return set forth may reflect the waiver of a portion of the
Fund's advisory or administrative fees for certain periods since the inception
date. In such instances, and without the waiver of fees, total return would have
been lower.
The Institutional Shares of the International Small Capitalization Fund are
distributed by the Barr Rosenberg Series Trust. The Select Shares are
distributed by Barr Rosenberg Funds Distributor, Inc.
- ---------------
(1) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S.
(CRIexUS) is the benchmark for the Barr Rosenberg International Small
Capitalization Fund. It is an unmanaged index of non-U.S. small
capitalization companies with market capitalization up to $19.6 billion. The
index includes 21 developed countries: Australia, Austria, Belgium, Canada,
Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, the
Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden,
Switzerland and U.K. Investors cannot invest directly in any Index.
(2) Large stock returns are based on individual country and regional MSCI
Standard Indices; small stock returns are based on individual country and
regional CRIexUS.
21
<PAGE> 22
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS -- 97.7%
AUSTRALIA -- 1.5%
Chemicals -- 0.1%
98,600 Ticor......................... $ 62,842
-----------
Construction Materials -- 0.0%
1 Henry Walker Eltin Group...... 1
-----------
Electronics -- 0.0%
10,100 OPSM Protector................ 15,327
-----------
Food -- 0.0%
50,000 Ridley Corporation............ 14,568
-----------
Metals -- 0.2%
8,200 Bougainville Copper*.......... 1,120
152,000 M.I.M. Holdings............... 96,876
-----------
97,996
-----------
Miscellaneous Financial --0.2%
72,000 Australian Foundation
Investment Company.......... 103,053
-----------
Office Machinery -- 0.2%
7,800 Keycorp*...................... 80,251
-----------
Oil Distribution -- 0.1%
23,800 James Hardie Industries....... 53,105
-----------
Paper -- 0.1%
22,700 Spicers Paper................. 24,251
-----------
Real Estate Assets -- 0.1%
36,000 Normandy Mt. Leyshon.......... 34,744
-----------
Travel/Entertainment -- 0.5%
33,600 Jupiters...................... 52,619
17,500 Spotless Group................ 49,713
38,000 Spotless Services............. 30,447
32,500 Village Roadshow.............. 54,900
-----------
187,679
-----------
673,817
-----------
BELGIUM -- 2.7%
Banking -- 1.4%
560 Banque Nationale de
Belgique.................... 660,168
-----------
Building -- 0.7%
840 Societe Belge des Betons...... 333,566
-----------
Electronics -- 0.5%
7,469 SAIT-RadioHolland*............ 240,493
-----------
Financial Investments -- 0.1%
116 Surongo....................... 26,639
-----------
1,260,866
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA -- 4.3%
Airlines -- 0.2%
9,800 Air Canada*................... $ 104,627
-----------
Banking -- 0.1%
4,300 Laurentian Bank of Canada..... 50,647
-----------
Defense -- 0.1%
5,600 SNC-Lavalin Group............. 46,479
-----------
Insurance -- 0.1%
700 E-L Financial................. 62,680
-----------
Media -- 0.8%
2,400 Chum, Class B................. 65,297
5,500 Cinram International.......... 28,602
200 Hollinger..................... 1,378
1,600 Quebecor, Class B............. 41,878
5,800 Torstar, Class B.............. 67,914
5,600 TVA Group, Class B............ 123,817
-----------
328,886
-----------
Metals -- 0.4%
5,900 Dofasco....................... 103,222
15,900 Stelco, Class A............... 83,233
-----------
186,455
-----------
Miscellaneous Financial --0.1%
2,700 Fahnestock Viner Holdings,
Class A..................... 45,098
-----------
Oil -- 0.4%
300 Cabre Exploration*............ 2,108
2,900 Chieftain International*...... 55,630
22,000 Gulf Canada Resources*........ 81,070
6,800 Renaissance Energy*........... 51,755
500 Ulster Petroleums*............ 2,497
-----------
193,060
-----------
Other Utilities -- 0.1%
3,500 BC Gas........................ 60,269
-----------
Paper -- 0.6%
1,000 Canfor........................ 10,504
5,500 Cascades...................... 28,981
10,600 Domtar........................ 109,516
10,300 Nexfor........................ 59,594
3,000 St. Laurent Paperboard*....... 57,342
-----------
265,937
-----------
Real Estate Assets -- 0.3%
8,700 Brookfield Properties......... 100,373
6,200 Cambior....................... 4,698
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Real Estate Assets (continued)
4,482 Cambridge Shopping Centres*... $ 26,549
1,500 Franco Nevada Mining.......... 15,808
-----------
147,428
-----------
Retail/Wholesale -- 0.1%
4,800 Emco*......................... 20,664
100 Sears Canada.................. 2,345
2,500 Westburne*.................... 21,955
-----------
44,964
-----------
Services -- 0.4%
400 AGRA.......................... 4,339
1,800 Hummingbird Communications*... 76,993
2,900 Open Text*.................... 85,892
23,200 Philip Services*.............. 2,876
-----------
170,100
-----------
Telephone -- 0.5%
535 Aliant........................ 14,372
3,300 Cogeco........................ 95,466
300 QuebecTel Group............... 4,629
5,200 Shaw Communications, Class
B........................... 139,685
-----------
254,152
-----------
Travel/Entertainment -- 0.1%
1,433 Corus Entertainment, Class
B*.......................... 37,507
-----------
1,998,289
-----------
DENMARK -- 0.3%
Banking -- 0.2%
1,575 Unidanmark, Class A........... 101,012
-----------
Retail/Wholesale -- 0.1%
3,800 Ostasiatiske Kompagni*........ 50,793
-----------
151,805
-----------
FINLAND -- 3.9%
Building -- 0.7%
1,125,600 Polar Real Estate*............ 323,117
-----------
Drugs -- 0.9%
17,100 Orion Yhtyma, Class A......... 433,608
-----------
Electronics -- 0.1%
1,359 Instrumentarium, Class A...... 39,675
-----------
Metals -- 0.6%
23,700 Outokumpu..................... 294,813
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINLAND (CONTINUED)
Paper -- 1.6%
52,700 Metsa Serla, Class B.......... $ 468,974
23,000 Stora Enso.................... 246,491
-----------
715,465
-----------
1,806,678
-----------
FRANCE -- 12.0%
Banking -- 0.6%
1,835 Comptoir des Entrepreneurs*... 64,616
9,438 Via Banque.................... 230,290
-----------
294,906
-----------
Building -- 0.7%
4,250 Groupe GTM.................... 314,764
-----------
Electronics -- 4.9%
1,748 Sagem......................... 2,291,485
-----------
Financial Investments -- 0.3%
2,067 Societe Fonciere, Financiere
Et De Participations........ 153,976
-----------
Food -- 0.3%
466 Sucriere de Pithiviers Le
Vieil....................... 127,974
-----------
Insurance -- 1.7%
14,790 Assurances Generales de
France...................... 764,925
-----------
Machinery -- 0.8%
3,860 NSC Groupe.................... 369,354
-----------
Metals -- 0.7%
10,883 Vallourec..................... 338,444
-----------
Other Utilities -- 0.3%
2,420 Constructions Industrielles de
la Mediterranee............. 137,086
-----------
Paper -- 0.0%
35 Exacompta Clairefontaine...... 2,780
-----------
Retail/Wholesale -- 0.1%
631 Safic Alcan & Cie............. 34,778
-----------
Services -- 1.6%
6,105 Cegedim....................... 630,906
180 Havas Advertising............. 97,314
-----------
728,220
-----------
5,558,692
-----------
GERMANY -- 6.5%
Building -- 0.5%
7,890 Hochtief...................... 222,717
-----------
Construction Materials -- 0.1%
441 Oberland Glas................. 59,943
-----------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
GERMANY (CONTINUED)
Drugs -- 0.8%
11,660 Merck KGAA.................... $ 372,649
-----------
Electric Utilities -- 0.5%
11,716 Hamburgische Electricitaets
Werke....................... 224,215
-----------
Electronics -- 2.4%
6,440 Fresenius..................... 1,124,615
-----------
Machinery -- 0.6%
3,550 SGL Carbon*................... 271,752
-----------
Metals -- 1.5%
38,680 Metallgesellschaft............ 712,479
-----------
Retail/Wholesale -- 0.1%
5,400 Baywa......................... 35,395
-----------
3,023,765
-----------
HONG KONG -- 2.2%
Aircraft -- 0.1%
19,000 Hong Kong Aircraft Engineering
Company..................... 30,258
-----------
Banking -- 0.3%
42,000 Guoco Group................... 93,584
32,900 HKR International............. 14,366
42,000 JCG Holdings.................. 19,014
8,800 Wing Lung Bank................ 32,661
-----------
159,625
-----------
Electronics -- 0.1%
220,000 Wong's International
Holdings.................... 61,453
-----------
Financial Investments -- 0.0%
84,000 Peregrine Investment
Holdings* (a)............... 0
-----------
Food -- 0.0%
45,000 Lam Soon Hong Kong*........... 8,091
-----------
Media -- 0.2%
86,000 South China Morning Post...... 82,836
-----------
Miscellaneous Financial --0.0%
8,000 Lee Hing Development.......... 2,363
-----------
Real Estate Assets -- 0.7%
327,000 Chinese Estates Holdings*..... 55,434
224,000 Chuang's Consortium
International............... 12,082
109,400 Hopewell Holdings............. 57,605
329,000 Mingly........................ 49,013
62,000 New Asia Realty & Trust....... 63,700
33,000 Realty Development............ 44,924
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Real Estate Assets (continued)
50,000 Tai Cheung Holdings........... $ 11,045
76,000 USI Holdings*................. 20,497
12,000 Wing On Co. International..... 5,625
-----------
319,925
-----------
Retail/Wholesale -- 0.2%
76,000 Dickson Concepts
International............... 82,964
16,000 Jardine International Motor
Holdings.................... 4,675
50,000 YGM Trading................... 26,970
-----------
114,609
-----------
Textiles -- 0.1%
18,000 Yue Yuen Industrial
Holdings.................... 40,339
-----------
Transportation -- 0.3%
9,000 China Motor Bus............... 55,712
251,000 China Travel International
Investment Hong Kong........ 54,478
11,000 Orient Overseas
International............... 5,933
-----------
116,123
-----------
Travel/Entertainment -- 0.2%
113,337 CDL Hotels International...... 33,842
86,000 Hongkong & Shanghai Hotels.... 43,903
-----------
77,745
-----------
1,013,367
-----------
ITALY -- 8.1%
Autos -- 1.4%
182,000 Magneti Marelli............... 670,482
-----------
Banking -- 1.6%
18,000 Banca Popolare di Bergamo..... 345,336
52,000 Banca Popolare di Milano...... 360,245
-----------
705,581
-----------
Building -- 0.5%
436,000 Impregilo..................... 249,901
-----------
Construction Materials -- 0.0%
1,000 Italmobiliare................. 21,338
-----------
Food -- 1.0%
402,000 Parmalat Finanziaria.......... 447,364
-----------
Household -- 0.1%
4,500 Saiag......................... 23,510
-----------
Media -- 0.9%
177,000 Cofide*....................... 398,012
-----------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ITALY (CONTINUED)
Metals -- 0.5%
260,518 GIM........................... $ 249,283
-----------
Paper -- 1.1%
82,000 Cartiere Burgo................ 520,999
-----------
Retail/Wholesale -- 0.5%
51,500 La Rinascente................. 246,395
-----------
Textiles -- 0.5%
44,400 Vincenzo Zucchi............... 233,669
-----------
3,766,534
-----------
JAPAN -- 21.2%
Autos -- 0.7%
11,000 Calsonic Kansei............... 25,096
11,000 Kansei........................ 24,667
15,600 Keihin........................ 122,592
3,000 Nachi-Fujikoshi............... 5,382
26,000 U-Shin........................ 119,144
2,000 Yasunaga...................... 7,410
-----------
304,291
-----------
Banking -- 0.9%
28,000 First Credit*................. 87,905
2,900 The Bank of Okinawa........... 69,273
36,000 The Shinwa Bank............... 117,935
17,000 The Tochigi Bank.............. 111,383
4,800 The Tokushima Bank............ 36,972
-----------
423,468
-----------
Building -- 0.2%
9,000 Footwork Construction......... 31,503
9,000 Fukuda........................ 22,288
5,000 Maeda Road Construction....... 22,912
-----------
76,703
-----------
Chemicals -- 0.3%
61,000 Ishihara Sangyo Kaisha*....... 114,191
20,000 Nippon Valqua Industries...... 35,295
-----------
149,486
-----------
Construction Materials -- 0.4%
6,000 Bunka Shutter................. 13,630
9,000 Noritz........................ 106,527
19,000 Okabe......................... 51,129
-----------
171,286
-----------
Drugs -- 0.8%
10,000 Hisamitsu Pharmaceutical...... 150,148
30,000 Nikken Chemicals.............. 119,924
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Drugs (continued)
7,000 Nippon Shinyaku............... $ 47,365
18,000 Tsumura & Co.*................ 69,673
-----------
387,110
-----------
Durables -- 0.1%
2,000 Alpine Electronics............ 29,542
-----------
Electronics -- 4.1%
6,100 Aiphone....................... 93,375
14,000 Denki Kogyo................... 155,335
26,000 Elna*......................... 121,679
24,000 FDK*.......................... 189,537
30,000 Furuno Electric............... 122,849
9,000 Horiba........................ 71,603
19,000 Japan Aviation Electronics
Industry*................... 118,744
15,000 New Japan Radio............... 149,173
17,000 Nihon Inter Electronics....... 52,211
8,000 Nikkiso....................... 39,624
28,000 Nippon Chemi-Con.............. 128,854
10,000 Nippon Signal................. 46,020
13,000 Nireco........................ 86,189
13,000 Nissho........................ 110,145
5,000 Nitsuko....................... 29,445
220 Rohm.......................... 76,576
10,000 Shin-Etsu Polymer............. 62,692
18,000 Shindengen Electric
Manufacturing............... 97,753
21,000 Sokkia Company*............... 29,484
9,000 Sumitomo Special Metals....... 96,524
17,000 Toshiba TEC................... 77,902
-----------
1,955,714
-----------
Financial Investments -- 0.8%
28,000 Daiwa Kosho Lease............. 81,899
9,000 Kyosei Rentemu................ 64,934
1,000 Kyushu Leasing Service*....... 5,167
6,000 Ricoh Leasing................. 134,550
16,000 Tokyo Leasing................. 91,259
-----------
377,809
-----------
Household -- 0.5%
35,000 Daiwa Seiko................... 50,163
33,000 Mizuno........................ 83,654
9,000 Tenma......................... 107,055
-----------
240,872
-----------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Machinery -- 1.7%
36,000 Amada Sonoike................. $ 76,868
28,000 Hitachi Koki.................. 74,801
30,000 Juki.......................... 56,159
8,000 Koken......................... 37,440
7,900 Miura......................... 91,582
900 Oiles......................... 14,303
4,000 OSG........................... 19,032
4,000 Seibu Electric & Machinery.... 9,243
3,700 Shinkawa...................... 150,432
18,000 Sintokogio.................... 44,577
13,000 The Japan Steel Works*........ 14,576
22,000 Tokyo Kikai Seisakusho........ 86,657
38,000 Toshiba Tungaloy.............. 91,883
-----------
767,553
-----------
Media -- 0.7%
1,000 Asahi Broadcasting............ 107,248
4,000 Bunkeido...................... 23,790
1,000 Chubu-Nippon Broadcasting..... 9,282
20,000 Gakken*....................... 52,455
51,000 Nippon Columbia*.............. 91,493
8,000 RKB Mainichi Broadcasting..... 49,920
-----------
334,188
-----------
Metals -- 0.3%
30,000 Mitsubishi Cable Industries... 75,464
6,000 Tonichi Cable................. 19,305
6,000 Yamato Kogyo.................. 23,166
-----------
117,935
-----------
Miscellaneous Financial --0.7%
26,000 Mito Securities............... 154,380
19,000 Tokai Maruman Securities...... 166,538
-----------
320,918
-----------
Office Machinery -- 0.2%
33,000 Asahi Optical................. 75,611
-----------
Paper -- 0.1%
6,000 Rengo......................... 34,398
4,000 Tokushu Paper Manufacturing... 17,628
-----------
52,026
-----------
Real Estate Assets -- 0.6%
31,000 Azel.......................... 92,789
5,000 Fuji Corp..................... 23,985
5,000 Hosoda........................ 18,184
4,000 Recruit Cosmos*............... 19,695
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Real Estate Assets (continued)
6,000 Sekiwa Real Estate............ $ 23,107
19,000 Starts........................ 92,254
-----------
270,014
-----------
Retail/Wholesale -- 2.7%
3,000 Atol.......................... 14,947
11,000 Charle........................ 77,970
12,000 Chiyoda....................... 63,998
7,000 Daiwa......................... 12,899
18,000 Denkyosha..................... 58,792
8,000 Eiden......................... 74,099
6,000 Gigas Kansai.................. 29,133
7,500 Himaraya...................... 60,693
800 Inaba Denkisangyo............. 8,744
45,000 Joshin Denki.................. 125,482
18,000 Kasumi........................ 71,954
23,000 Laox.......................... 118,852
1,000 Life Corp..................... 5,362
10,000 Lilycolor..................... 18,232
25,000 Matsuyadenki.................. 72,149
1,000 Nagano Tokyu Department
Store....................... 3,559
3,600 Nishimatsuya Chain............ 73,709
9,000 Parco......................... 28,518
2,000 Sanshin Electronics........... 13,786
16,000 Sekido........................ 107,952
37,000 Tokyu Store Chain............. 101,732
3,000 U.Store....................... 24,862
26,000 Uehara Sei Shoji.............. 74,021
-----------
1,241,445
-----------
Services -- 3.4%
2,000 Computer Engineering &
Consulting.................. 38,902
4,000 CRC Research Institute........ 97,499
3,000 Diamond Computer Service...... 61,424
14,000 Eikoh......................... 57,056
2,700 Fujitsu Business Systems...... 100,034
10,000 Hitachi Information Systems... 517,721
12,000 Horiuchi Color................ 86,579
5,000 Intec......................... 148,199
3,100 Japan Maintenance............. 28,744
9,000 Japan Process Development..... 69,322
2,000 Kokusai Kogyo................. 12,597
3,850 Miroku Jyoho Service.......... 51,426
6,000 Nippon Computer System Co..... 49,140
7,000 Nippon Computer Systems
Corp........................ 35,217
2,000 Shingakukai................... 7,351
3,000 Sumisho Electronics........... 61,424
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Services (continued)
18,000 Tsuzuki Denki*................ $ 114,074
13,000 Uchida Yoko................... 65,656
1,600 Wesco......................... 5,460
-----------
1,607,825
-----------
Soaps & Cosmetics -- 0.2%
8,000 Avon Products................. 17,628
1,000 Ivy Cosmetics................. 4,875
17,000 Sunstar....................... 57,349
-----------
79,852
-----------
Telephone -- 0.5%
30 Okinawa Cellular Telephone.... 233,413
-----------
Textiles -- 0.2%
22,000 Gunze......................... 57,056
9,000 Kosugi Sangyo*................ 14,128
5,000 Tsukamoto*.................... 8,044
-----------
79,228
-----------
Transportation -- 0.0%
1,000 Nippon Konpo Unyu Soko........ 5,928
-----------
Travel/Entertainment -- 1.1%
900 Daiichi kosho................. 26,062
10,000 Fuji Kyuko.................... 31,980
43,000 Kinki Nippon Tourist*......... 133,739
9,000 MOS Food Services............. 96,349
7,000 Ohsho Food Service............ 92,137
6,000 Seiyo Food Systems............ 21,820
93 Taito Corp.................... 109,715
-----------
511,802
-----------
9,814,019
-----------
MALAYSIA -- 0.0%
Durables -- 0.0%
840 Silverstone* (a).............. 0
-----------
Travel/Entertainment -- 0.0%
24,000 Rekapacific*.................. 2,905
-----------
2,905
-----------
NETHERLANDS -- 3.3%
Banking -- 0.7%
27,310 KAS Associatie................ 303,134
-----------
Building -- 1.6%
54,747 Hollandsche Beton Groep....... 720,307
-----------
Chemicals -- 0.4%
16,475 EVC International*............ 205,727
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NETHERLANDS (CONTINUED)
Retail/Wholesale -- 0.6%
9,140 Apothekers Cooperatie Opg..... $ 209,900
3,040 Buhrmann...................... 77,086
-----------
286,986
-----------
1,516,154
-----------
NEW ZEALAND -- 0.2%
Liquor & Tobacco -- 0.2%
49,100 DB Group...................... 69,506
9,800 Lion Nathan................... 16,793
-----------
86,299
-----------
Retail/Wholesale -- 0.0%
7,028 Hallenstein Glasson
Holdings.................... 6,179
-----------
92,478
-----------
NORWAY -- 2.8%
Defense -- 0.5%
181,500 Navis*........................ 214,852
-----------
Machinery -- 1.9%
112,300 Fred Olsen Energy*............ 918,177
-----------
Oil Services -- 0.0%
600 Smedvig, Class A.............. 9,100
-----------
Paper -- 0.4%
5,800 Norske Skogindustrier......... 173,878
-----------
1,316,007
-----------
PORTUGAL -- 0.2%
Chemicals -- 0.2%
7,850 Cires-Companhia Industrial de
Resinas Sinteticas.......... 87,884
-----------
SINGAPORE -- 1.8%
Banking -- 0.2%
22,000 Hong Leong Finance............ 34,598
8,000 Industrial & Commercial
Bank........................ 17,024
26,000 Overseas Union Trust.......... 38,304
-----------
89,926
-----------
Building -- 0.5%
139,000 Lum Chang Holdings............ 54,039
114,000 Sembcorp Industries........... 115,964
40,000 United Engineers.............. 41,391
-----------
211,394
-----------
Construction Materials -- 0.1%
30,000 SsangYong Cement
(Singapore)................. 27,535
-----------
Defense -- 0.2%
85,000 Sembcorp Marine............... 72,551
-----------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE (CONTINUED)
Household -- 0.0%
56,000 Hour Glass.................... $ 13,750
-----------
Machinery -- 0.1%
17,000 Prima......................... 43,133
-----------
Media -- 0.1%
33,000 Times Publishing.............. 66,751
-----------
Miscellaneous Financial --0.0%
16,000 United International
Securities.................. 11,412
-----------
Real Estate Assets -- 0.1%
79,000 MCL Land...................... 48,494
-----------
Retail/Wholesale -- 0.2%
61,000 ACMA.......................... 48,143
54,000 Intraco....................... 51,143
18,000 Isetan (Singapore)............ 21,572
-----------
120,858
-----------
Services -- 0.1%
15,000 Singapore Computer Systems.... 42,093
5,000 Wearnes International......... 2,119
-----------
44,212
-----------
Transportation -- 0.1%
26,000 Neptune Orient Lines*......... 22,952
16,000 Pacific Carriers.............. 9,307
-----------
32,259
-----------
Travel/Entertainment -- 0.1%
88,000 Hai Sun Hup Group............. 38,842
-----------
821,117
-----------
SPAIN -- 0.4%
Transportation -- 0.4%
34,620 Europistas Concesionaria
Espanola.................... 198,762
-----------
SWEDEN -- 2.7%
Building -- 0.7%
29,900 NCC, Class A.................. 301,076
-----------
Financial Investments -- 2.0%
17,600 Custos, Class A............... 468,519
10,800 Oresund Investment............ 447,500
-----------
916,019
-----------
Metals -- 0.0%
800 SSAB, Class B................. 9,444
-----------
1,226,539
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND -- 5.9%
Airlines -- 1.2%
2,910 SAirGroup..................... $ 546,928
-----------
Banking -- 1.4%
1,416 Luzerner Kantonalbank......... 642,980
-----------
Defense -- 1.5%
2,860 Oerlikon-Buehrle Holding*..... 691,479
-----------
Electric Utilities -- 0.2%
161 Centralschweizerische
Kraftwerke.................. 110,387
-----------
Insurance -- 0.2%
300 Berner Allgemeine
Holdinggesellschaft*........ 93,824
-----------
Miscellaneous Financial --0.0%
100 Cie Financiere Tradition...... 14,374
-----------
Services -- 1.4%
930 Sulzer*....................... 626,452
-----------
2,726,424
-----------
UNITED KINGDOM -- 17.7%
Autos -- 0.4%
364,000 Burndene Investments.......... 206,145
-----------
Banking -- 3.0%
247,000 Woolwich...................... 1,375,197
-----------
Building -- 0.1%
100,000 Try Group..................... 45,067
-----------
Construction Materials -- 1.8%
174,000 Aggregate Industries.......... 183,204
41,000 Cape.......................... 34,993
30,000 Meyer International........... 244,799
315,000 Pilkington.................... 366,840
-----------
829,836
-----------
Electric Utilities -- 0.9%
37,000 Viridian Group................ 402,263
-----------
Electronics -- 1.0%
163,000 Cookson Group................. 472,612
-----------
Financial Investments -- 0.0%
1,477 Garban-Intercapital........... 6,515
-----------
Household -- 0.2%
24,879 Avon Rubber................... 82,753
-----------
Insurance -- 0.1%
13,000 Jardine Lloyd Thompson
Group....................... 50,292
-----------
Liquor & Tobacco -- 0.9%
72,882 Wolverhampton & Dudley
Breweries................... 434,842
-----------
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Machinery -- 1.8%
7,000 Caradon....................... $ 15,578
127,000 FKI........................... 467,001
97,000 IMI........................... 351,269
-----------
833,848
-----------
Metals -- 1.6%
441,464 Corus Group................... 718,353
-----------
Paper -- 1.9%
243,000 British Polythene
Industries.................. 866,416
-----------
Real Estate Assets -- 1.4%
52,000 Antofagasta Holdings.......... 327,675
107,000 Great Portland Estates........ 343,101
-----------
670,776
-----------
Retail/Wholesale -- 1.2%
277,000 Quicks Group.................. 203,273
205,000 Sanderson Bramall Motor
Group....................... 335,213
-----------
538,486
-----------
Services -- 0.3%
60,000 Dowding & Mills............... 34,459
16,046 MERANT*....................... 89,593
-----------
124,052
-----------
Textiles -- 0.5%
246,000 Sirdar........................ 253,126
-----------
Transportation -- 0.1%
29,000 Fisher (James) & Sons......... 34,235
-----------
Travel/Entertainment -- 0.5%
119,000 Thistle Hotels................ 227,809
-----------
8,172,623
-----------
TOTAL COMMON STOCKS (COST
$43,688,815) -- 97.7%....... 45,228,725
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- --------- ------------
<C> <S> <C>
PREFERRED STOCKS -- 0.1%
CANADA -- 0.1%
Construction Materials -- 0.1%
1,900 Lafarge Canada................ $ 46,262
-----------
TOTAL PREFERRED STOCKS (COST
$66,774) -- 0.1%............ 46,262
-----------
WARRANTS -- FOREIGN
SECURITIES -- 0.0%
SINGAPORE -- 0.0%
Building -- 0.0%
6,300 IPCO International @ 1.30,
12/17/02.................... 2,300
-----------
TOTAL INVESTMENTS (COST
$43,755,589) (b) -- 97.8%... 45,277,287
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.2%......... 1,000,751
-----------
TOTAL NET ASSETS -- 100.0%.... $46,278,038
===========
</TABLE>
- ---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) At March 31, 2000, the aggregate cost of investment securities for income
tax purposes was $44,059,595. Cost for federal tax purposes differs from
value by net unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 6,178,608
Unrealized depreciation............... (4,960,916)
-----------
Net unrealized appreciation........... $ 1,217,692
===========
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE SINCE
LAST 1 INCEPTION INCEPTION
YEAR (12/16/97) (12/18/97)
------ ---------- ----------
<S> <C> <C> <C>
Institutional Shares (BMNIX)................................ -14.13% -9.60%
Investor Shares (BRMIX)..................................... -14.41% -9.94%
U.S. 90-day Treasury Bills.................................. 4.94% 5.01% 5.00%
</TABLE>
For the year ended March 31, 2000, the broad market barometer as measured
by the Russell 3000(1) climbed 22.28%. Mid-small growth stocks were the best
performers for the year, surging 80.94% while large cap value stocks were the
worst, gaining only 6.34%. The overall picture, however, masks a volatile
market. Throughout the year, worries about interest rates hikes, smooth Y2K
transitions, oil price increases and rising inflationary pressures constantly
caused stock market jitters. Not all industries participated in the rally
equally. The biggest winner was the technology industry, especially the small
cap technology stocks.
Investors continued to show enthusiasm for stocks with high price momentum,
high price/earnings and high trading activity, which translated into huge gains
for growth across all capitalization sectors. Over the trailing 18-month period,
for example, the Russell 2500 Growth Index(2) outperformed the Russell 2500
Value Index(3) by more than 100%.
Looking at performance along the capitalization dimension, small stocks
gained almost twice as much as large stocks over the trailing year. The Russell
2000 returned 37.29%(4), while the Russell 1000 returned 21.19%(5), and the S&P
500 gained 17.94%(6). Much of small cap's success related to the sizzling
performance of technology-related, small growth stocks (particularly in
February, 2000).
The year ending March 31, 2000 was extremely difficult for the Fund. The
Fund underperformed its benchmark, U.S. 90-day Treasury Bills, by more than
- -19%.
The Manager's stock selection models produce long and short portfolios with
a consistent net exposure to value characteristics, as well as a bias toward
companies whose stock is less frequently traded. When the long portfolio is
compared to the short portfolio, it is possible to gauge approximately how much
was gained and lost due to the net portfolio characteristics. The two largest
risk exposures reflect the value bias in the net portfolio: positive exposure to
earnings/price and book/price. The negative exposure to trading activity
indicates the net portfolio's moderate dislike of stocks that are frequently
traded. Of particular significance over the last year (especially the first
quarter of 2000) was the positive exposure to relative strength, a measure of
price momentum.
Exposure to common risk factors contributed -5.18% to the Fund's
underperformance. The positive exposures to earnings/price and yield, -2.89% and
- -1.97% respectively, negatively impacted performance. In comparison, the bias
toward stocks whose performance is momentum driven made the most significant
positive contribution to return because of the very large contribution of
relative strength (+6.75%). The exposure to trading activity (-3.78%) worked to
further dampen performance for the same reason.
The bulk of the Fund's underperformance is unexplained by common risk
factor exposures. The most significant factor was stock selection. Reviewing the
types of stocks that were rewarded (and the types that were punished) over the
last year gives insight into why the contribution attributable to stock
selection was so negative. Fundamental to the
30
<PAGE> 31
Manager's stock selection process is the belief that a portfolio with a net
earnings advantage will be rewarded. Though the stocks that the Manager bought
long did consistently produce more future earnings per dollar of cost than the
stocks sold short, the market did not reward earnings. In fact, at certain times
over the year, the market seemed to be actively penalizing stocks with good
long-term earnings prospects in favor of those with no earnings or negative
earnings. In sum, the Manager's stock selection process will suffer when
investors are not interested in reconciling current prices with future earnings
or other fundamental measures of value.
Performance data represents past performance which does not guarantee
future results. Investment return and principal value may increase or decrease
depending upon market conditions so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
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 no bear the risk of losing their investment. The income received
from T-bills is free from state income tax.
Total return includes change in share price and reinvestment of
distributions. Total return set forth may reflect the waiver of a portion of the
Fund's advisory or administrative fees for certain periods since the inception
date. In such instances, and without the waiver of fees, total return would have
been lower.
The Institutional Shares of the Barr Rosenberg Market Neutral Fund are
distributed by the Barr Rosenberg Series Trust. The Investor Shares are
distributed by Barr Rosenberg Funds Distributor, Inc.
- ---------------
(1) The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(2) The Russell 2500 Growth Index measures the performance of the Russell 2500
Index companies with higher price-to-book ratios and higher forecasted
growth values.
(3) The Russell 2500 Value Index measures the performance of the Russell 2500
Index companies with lower price-to-book ratios and lower forecasted growth
values.
(4) The Russell 2000 measures the performance of the smallest 2,000 companies,
which represents approximately 8% of the total capitalization of the Russell
3000 Index.
(5) The Russell 1000 measures the performance of the 1,000 largest companies in
the Russell 3000 Index, which represents approximately 92% of the total
market capitalization of the Russell 3000 Index.
(6) The S&P 500 Index is a broad-based index of 500 widely held common stocks.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS -- 96.2%
AIRLINES -- 0.0%
1,000 AirNet Systems*................. $ 4,875
------------
AUTOS -- 0.4%
2,600 American Axle & Manufacturing
Holdings*..................... 38,513
9,000 Dura Automotive Systems*........ 154,687
2,100 PACCAR.......................... 105,000
------------
298,200
------------
BANKING -- 5.2%
2,500 Ambanc Holding Co............... 34,063
8,000 Astoria Financial............... 226,999
2,100 Berkshire Bancorp............... 66,019
3,200 Carver Bancorp.................. 28,000
500 Central Bancorp................. 7,438
12,200 Chittenden...................... 362,187
17,000 Colonial BancGroup.............. 182,750
8,600 Commercial Bank of New York..... 82,238
4,600 Community Financial............. 42,838
5,800 Federal Agricultural Mortgage,
Class C*...................... 89,900
1,600 First Bancshares................ 15,800
1,100 First Citizens BancShares, Class
A............................. 62,116
5,000 First Investors Financial
Services*..................... 26,250
1,100 Franklin Bank NA................ 9,350
22,500 GreenPoint Financial............ 441,562
41,600 Hibernia, Class A............... 436,799
300 Iroquois Bancorp................ 9,450
6,100 ITLA Capital*................... 77,775
1,400 Kankakee Bancorp................ 29,750
1,300 LSB Financial................... 14,788
3,000 North Central Bancshares........ 39,750
61,800 Pacific Century Financial....... 1,255,312
7,900 Quaker City Bancorp*............ 110,600
4,600 Student Loan.................... 188,313
4,400 TFC Enterprises*................ 13,338
8,800 UMB Financial................... 323,399
3,000 Wainwright Bank & Trust......... 21,000
3,100 Walter Industries............... 24,025
900 Washington Savings Bank FSB..... 2,925
------------
4,224,734
------------
BUILDING -- 0.5%
5,600 AMREP*.......................... 33,250
900 Liberty Homes, Class A.......... 6,525
600 MasTec*......................... 53,400
3,300 Meadow Valley*.................. 12,788
5,500 Perini*......................... 24,406
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BUILDING (CONTINUED)
11,100 Skyline......................... $ 240,731
12,400 Washington Homes*............... 70,525
------------
441,625
------------
CHEMICALS -- 2.1%
11,300 Bairnco......................... 78,394
2,700 Dexter.......................... 143,100
8,000 H.B. Fuller..................... 319,500
8,400 ICO*............................ 13,388
12,500 International Specialty
Products*..................... 80,469
35,500 Lubrizol........................ 1,022,843
------------
1,657,694
------------
COMPUTER -- 0.2%
2,900 Digital Lightwave*.............. 180,706
------------
CONSTRUCTION MATERIALS -- 2.4%
8,300 Ameron International............ 295,169
1,200 Continental Materials*.......... 26,700
6,300 Donnelly........................ 74,419
25,000 Lafarge......................... 593,750
700 Oglebay Norton.................. 15,138
300 Oil-Dri Corporation of
America....................... 2,269
22,300 USG............................. 935,205
------------
1,942,650
------------
DRUGS -- 5.8%
12,900 Alpharma, Class A............... 474,075
20,800 Bausch & Lomb................... 1,085,500
17,900 Cambrex......................... 778,650
1,700 CV Therapeutics*................ 85,319
4,000 Dura Pharmaceuticals*........... 49,250
1,900 Gene Logic*..................... 79,919
1,200 Genzyme*........................ 60,150
5,300 Hi-Tech Pharmacal*.............. 29,150
2,100 IDEXX Laboratories*............. 48,956
6,600 Immucor*........................ 65,175
34,200 Mylan Laboratories.............. 940,500
2,299 New Brunswick Scientific*....... 16,093
5,600 PDK Labs*....................... 21,700
40,600 Perrigo*........................ 308,306
23,700 Sigma-Aldrich................... 636,938
------------
4,679,681
------------
DURABLES -- 0.0%
1,500 Winnebago Industries............ 27,094
------------
ELECTRIC UTILITIES -- 2.7%
20,000 Allegheny Energy................ 551,250
19,400 Entergy......................... 391,638
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
41,500 FirstEnergy..................... $ 855,937
24,400 Public Service Co. of New
Mexico........................ 384,300
------------
2,183,125
------------
ELECTRONICS -- 12.2%
1,100 American Technical Ceramics*.... 40,150
18,600 CTS............................. 1,060,199
10,100 Datascope....................... 320,675
4,100 Datron Systems, California*..... 49,200
1,600 Diodes*......................... 60,000
11,200 International Rectifier*........ 427,000
5,000 Keithley Instruments............ 238,125
1,800 Kewaunee Scientific............. 24,188
1,400 Lattice Semiconductor*.......... 94,763
50,500 Mallinckrodt.................... 1,451,874
1,800 Medical Action Industries*...... 6,525
900 Medstone International*......... 5,681
1,300 Merrimac Industries*............ 11,863
4,300 Mine Safety Appliances.......... 298,850
6,500 PMC-Sierra*..................... 1,323,968
4,400 Porta Systems*.................. 15,400
8,600 RF Micro Devices*............... 1,155,624
2,700 Salient 3 Communications*....... 32,400
11,400 Spacelabs Medical*.............. 181,688
3,700 Sparton*........................ 18,038
10,600 SPX*............................ 1,207,737
9,600 Tektronix....................... 537,600
2,700 ThermoQuest*.................... 45,225
24,300 U.S. Industries................. 268,819
2,000 Varian Medical Systems*......... 91,250
13,500 Vishay Intertechnology*......... 750,938
------------
9,717,780
------------
FINANCIAL INVESTMENTS -- 0.4%
6,900 HPSC*........................... 54,337
6,300 International Aircraft
Investors*.................... 40,163
8,700 IPI*............................ 25,013
2,300 REFAC*.......................... 9,200
2,400 SLM Holding..................... 79,949
10,600 Sunrise International
Leasing*...................... 51,013
16,400 Vari-Lite International*........ 32,800
------------
292,475
------------
FOOD -- 1.5%
17,100 Corn Products International..... 411,469
4,500 Dreyer's Grand Ice Cream........ 115,875
860 Farmer Brothers................. 153,940
4,100 John B. Sanfilippo & Son*....... 17,425
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
18,100 Ralcorp Holdings*............... $ 262,450
11,500 Triarc Companies*............... 230,000
------------
1,191,159
------------
HEALTH -- 1.4%
23,500 Coventry Health Care*........... 199,750
400 Diagnostic Health Services*..... 36
300 In Home Health*................. 769
19,400 LifePoint Hospitals*............ 322,525
2,500 National Home Health Care*...... 11,875
35,900 NAHC*........................... 7,180
15,600 Quest Diagnostics*.............. 620,100
4,800 UniHolding*..................... 4,800
------------
1,167,035
------------
HOUSEHOLD -- 1.2%
5,300 American Biltrite............... 70,888
300 Associated Materials............ 4,163
200 Educational Insights*........... 338
12,600 Gundle/SLT Environmental*....... 37,013
31,900 Kimball International, Class
B............................. 350,899
1,000 Michael Anthony Jewelers*....... 2,625
9,700 Mikohn Gaming*.................. 70,325
200 Pubco*.......................... 1,550
600 Pulaski Furniture............... 13,088
4,300 Reunion Industries*............. 10,213
9,800 Rotonics Manufacturing*......... 15,925
4,900 Russ Berrie & Co................ 90,650
4,000 Salton*......................... 173,499
3,400 Trans-Lux....................... 22,950
4,000 West Pharmaceutical Services.... 101,249
------------
965,375
------------
INSURANCE -- 3.0%
2,400 Everest Re Group................ 78,300
30,600 Foundation Health Systems, Class
A*............................ 244,800
9,000 InterContinental Life*.......... 90,000
2,400 Kaye Group...................... 16,800
4,000 Liberty Financial Companies..... 79,250
400 Midland......................... 9,400
2,000 National Western Life Insurance,
Class A*...................... 162,000
8,100 PacifiCare Health Systems, Class
A*............................ 403,988
700 PMA Capital..................... 12,250
17,400 PMI Group....................... 825,412
2,500 Point West Capital*............. 17,891
5,600 Standard Management*............ 25,900
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
12,200 Trigon Healthcare*.............. $ 436,150
400 White Mountains Insurance
Group......................... 53,650
------------
2,455,791
------------
MACHINERY -- 6.0%
8,300 Acme Electric*.................. 49,800
14,600 Ampco-Pittsburgh................ 158,775
2,100 Butler Manufacturing............ 51,319
21,900 Cummins Engine.................. 822,618
8,000 Dayton Superior*................ 201,500
2,500 Edison Control*................. 25,313
7,200 Farrel.......................... 13,950
700 Federal Screw Works............. 28,175
9,700 Gencor Industries* (a).......... 0
4,900 Genesis Worldwide............... 18,375
17,900 Gerber Scientific............... 345,693
8,700 Griffon*........................ 67,969
1,000 Kulicke & Soffa Industries*..... 64,063
10,500 Lennox International............ 91,875
3,400 Lincoln Electric Holdings....... 82,238
9,300 L.S. Starrett, Class A.......... 218,550
5,300 Maxco*.......................... 44,388
5,100 MFRI*........................... 21,038
1,000 P & F Industries*............... 8,750
2,000 Peerless Mfg.................... 28,000
10,000 Pentair......................... 370,624
2,900 Pitt-Des Moines................. 65,613
100 PRI Automation*................. 6,113
1,700 Q.E.P. Company*................. 14,663
1,900 Quipp........................... 29,450
31,000 Snap-on......................... 811,812
6,600 Tecumseh Products, Class B...... 277,199
1,500 Teleflex........................ 53,250
1,000 Trinity Industries.............. 23,688
13,600 Varian Semiconductor Equipment
Associates*................... 865,299
------------
4,860,100
------------
MEDIA -- 3.4%
12,600 Banta........................... 231,525
12,772 Chris-Craft Industries*......... 813,416
3,400 Courier......................... 79,050
11,800 Four Media*..................... 182,163
1,175 Grey Advertising................ 480,575
7,900 Houghton Mifflin................ 335,256
1,500 Media General, Class A.......... 78,563
5,600 Outlook Group*.................. 27,650
500 TMP Worldwide*.................. 38,875
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA (CONTINUED)
3,900 Todd-AO, Class A................ $ 134,550
17,000 Topps*.......................... 141,313
6,000 True North Communications....... 235,875
------------
2,778,811
------------
METALS -- 1.3%
5,300 Atchison Casting*............... 36,769
4,700 Insteel Industries.............. 26,438
1,000 Kentucky Electric Steel*........ 2,000
6,300 Mueller Industries*............. 191,363
15,900 Steel Technologies.............. 126,206
25,400 USX-U.S. Steel Group............ 634,999
------------
1,017,775
------------
MISCELLANEOUS FINANCIAL -- 4.3%
26,600 A.G. Edwards.................... 1,063,999
8,900 Affiliated Managers Group*...... 422,750
1,200 American Physicians Service
Group*........................ 3,675
6,500 Atalanta Sosnoff Capital*....... 59,313
8,000 Dain Rauscher................... 527,500
11,900 Eaton Vance..................... 510,956
21,100 Federated Investors............. 576,294
2,900 John Nuveen, Class A............ 110,925
15,900 Maxcor Financial Group*......... 37,266
4,000 Waddell & Reed Financial........ 169,250
------------
3,481,928
------------
OFFICE MACHINERY -- 1.6%
700 Dataram*........................ 16,275
300 Emulex*......................... 32,738
5,000 GENICOM*........................ 11,953
3,900 Imation*........................ 104,081
4,600 ION Networks*................... 154,675
8,700 Key Tronic*..................... 28,275
19,800 Maxtor*......................... 256,163
400 Netopia*........................ 28,775
4,400 Network Appliance*.............. 364,099
12,400 Polaroid........................ 294,500
------------
1,291,534
------------
OIL -- 3.8%
16,400 Apache.......................... 815,900
330 Columbus Energy*................ 1,815
12,900 Equity Oil*..................... 19,753
10,800 Kerr-McGee...................... 623,700
7,400 Key Production Company*......... 98,975
8,400 Louis Dreyfus Natural Gas*...... 285,600
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL (CONTINUED)
20,800 Murphy Oil...................... $ 1,198,600
4,800 Parallel Petroleum*............. 10,200
------------
3,054,543
------------
OIL -- INTERNATIONAL -- 0.1%
7,200 Holly........................... 82,800
------------
OIL DISTRIBUTION -- 2.4%
15,300 Castle Energy................... 79,369
4,800 Getty Petroleum Marketing*...... 10,800
33,300 Huntway Refining*............... 37,463
14,600 Quaker Chemical................. 248,199
53,500 Ultramar Diamond Shamrock....... 1,357,562
6,600 USX-Marathon Group.............. 172,013
------------
1,905,406
------------
OIL SERVICES -- 0.5%
4,000 Marine Drilling*................ 109,750
7,900 Oceaneering International*...... 148,125
15,000 Petroleum Development*.......... 60,938
1,600 UTI Energy*..................... 60,400
------------
379,213
------------
OTHER UTILITIES -- 1.6%
7,100 Harding Lawson Associates
Group*........................ 75,438
2,000 IT Group*....................... 15,125
37,400 KeySpan......................... 1,033,174
4,200 National Fuel Gas............... 187,163
5,700 Roy F. Weston, Class A*......... 13,894
------------
1,324,794
------------
PAPER -- 0.7%
500 Badger Paper Mills*............. 2,250
5,900 Baltek*......................... 43,144
6,600 Bowater......................... 352,275
1,500 Carmel Container Systems*....... 13,500
1,000 Lynch*.......................... 29,000
2,500 Mead............................ 87,344
2,400 Pope & Talbot................... 44,100
------------
571,613
------------
REAL ESTATE ASSETS -- 4.0%
27,500 AMB Property.................... 591,249
21,900 Arden Realty.................... 457,162
18,100 Cabot Industrial Trust.......... 337,113
3,700 Castle & Cooke*................. 62,206
12,100 CBL & Associates Properties..... 247,294
4,400 Charles E. Smith Residential
Realty........................ 158,950
10,400 Commercial Assets............... 50,700
21,900 Cornerstone Realty Income
Trust......................... 236,794
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
1,800 Corporate Office Properties
Trust......................... $ 14,738
1,600 DeWolfe Companies............... 11,700
4,900 Excel Legacy*................... 16,538
956 G&L Realty...................... 8,843
15,400 Healthcare Realty Trust......... 257,950
2,700 J.W. Mays*...................... 14,850
900 Kaiser Ventures*................ 12,656
7,500 Macerich........................ 154,688
17,900 Prentiss Properties Trust....... 399,393
7,500 Prime Group Realty Trust........ 107,344
3,600 ProLogis Trust.................. 69,300
------------
3,209,468
------------
RETAIL/WHOLESALE -- 6.7%
6,450 Aceto........................... 58,050
1,800 Arden Group, Class A*........... 51,975
2,600 Audiovox, Class A*.............. 113,425
42,700 BJ's Wholesale Club*............ 1,649,287
8,400 Bon-Ton Stores*................. 25,463
4,800 CDW Computer Centers*........... 405,300
6,300 DEB Shops....................... 86,625
10,500 Dollar Tree Stores*............. 547,312
2,100 EZCORP, Class A................. 8,269
800 Foodarama Supermarkets*......... 19,800
12,200 Gottschalks*.................... 64,050
7,600 Hahn Automotive Warehouse*...... 9,738
8,600 Hughes Supply................... 133,300
12,300 International Multifoods........ 164,513
1,500 Johnson Outdoors*............... 9,281
11,100 Katy Industries................. 101,981
10,500 Limited......................... 442,312
2,100 Manchester Equipment*........... 11,025
1,800 Moore Medical*.................. 20,700
500 Noland.......................... 7,313
15,100 Polo Ralph Lauren*.............. 282,181
3,675 Rag Shops*...................... 7,465
5,200 Reeds Jewelers*................. 15,600
2,100 Speizman Industries*............ 8,006
11,900 Spiegel, Class A*............... 95,200
3,900 Sport Chalet*................... 18,281
4,700 Suprema Specialties*............ 46,706
13,200 Syms*........................... 52,800
8,100 Today's Man*.................... 5,822
34,100 Toys "R" Us*.................... 505,105
11,600 Trans World Entertainment*...... 116,000
10,100 Value City Department Stores*... 140,138
2,700 Village Supermarket, Class A*... 36,450
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
4,000 Wesco International*............ $ 31,000
2,800 Zale*........................... 132,125
------------
5,422,598
------------
SERVICES -- 13.7%
4,000 3DO*............................ 38,750
700 AC-Nielsen*..................... 15,750
4,200 Allaire*........................ 317,625
11,700 Angelica........................ 116,269
22,000 Avant!*......................... 275,000
1,600 Barra*.......................... 54,200
2,800 Bell & Howell*.................. 87,500
3,900 Castle Dental Centers*.......... 9,750
4,598 CSP*............................ 52,590
1,700 DataTRAK International*......... 11,369
300 Documentum*..................... 23,400
10,800 DST Systems*.................... 701,324
2,500 Eclipsys*....................... 48,438
14,400 Exponent*....................... 158,400
17,100 GTECH Holdings*................. 317,419
4,400 GZA GeoEnvironmental
Technologies*................. 24,200
1,200 Identix*........................ 33,450
3,300 Informatica*.................... 253,481
38,150 Informix*....................... 646,165
2,000 Interim Services*............... 37,125
4,200 INTERLINQ Software*............. 22,575
15,600 Kelly Services, Class A......... 373,425
14,300 Korn/Ferry International*....... 425,425
2,200 Loronix Information Systems*.... 79,888
12,300 Magic Software Enterprises*..... 233,700
31,600 Mentor Graphics*................ 477,949
900 Mercury Computer Systems*....... 43,988
4,300 Micromuse*...................... 596,893
12,400 Midway Games*................... 168,950
4,200 Monro Muffler Brake*............ 34,913
13,700 Morrison Knudsen*............... 101,038
2,900 Opinion Research*............... 24,469
4,700 Outsource International*........ 7,638
1,600 Quality Systems*................ 24,400
4,600 Radiant Systems*................ 289,225
3,700 Razorfish*...................... 101,750
11,000 Siebel Systems*................. 1,313,812
3,400 Simione Central Holdings*....... 13,175
30,800 Sterling Software*.............. 939,399
1,900 STV Group*...................... 13,300
5,800 SunGard Data Systems*........... 218,950
18,100 Symantec*....................... 1,359,762
3,400 TALX*........................... 64,600
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
5,500 Team*........................... $ 14,438
10,100 Titan*.......................... 515,099
2,000 TSI International Software*..... 166,125
14,300 Westaff*........................ 130,488
------------
10,977,579
------------
SOAPS & COSMETICS -- 1.2%
13,314 Block Drug Company, Class A..... 366,967
20,100 Carter-Wallace.................. 376,875
2,100 CCA Industries*................. 2,494
9,400 CPAC............................ 70,206
3,400 Guest Supply*................... 60,563
6,800 Inter Parfums*.................. 85,000
------------
962,105
------------
TELEPHONE -- 2.0%
7,800 Conestoga Enterprises........... 172,088
3,800 Hector Communications*.......... 54,150
9,000 IDT*............................ 375,750
1,000 Lynch Interactive*.............. 130,000
7,700 Playboy Enterprises, Class A*... 128,975
34,335 Price Communications*........... 789,705
------------
1,650,668
------------
TEXTILES -- 2.9%
1,000 Columbia Sportswear*............ 24,500
8,800 Cyrk*........................... 77,550
9,300 Dixie Group*.................... 41,269
18,600 Kellwood........................ 326,663
3,500 Leslie Fay Company*............. 20,125
19,500 Liz Claiborne................... 893,343
1,300 PremiumWear*.................... 11,700
16,700 Russell......................... 239,019
38,100 Shaw Industries................. 578,644
2,000 Timberland, Class A*............ 102,000
------------
2,314,813
------------
TRANSPORTATION -- 0.6%
2,500 B+H Ocean Carriers*............. 3,281
5,900 Forward Air*.................... 139,756
200 Landstar System*................ 10,950
9,900 Marten Transport*............... 139,838
6,100 Old Dominion Freight Line*...... 72,819
11,433 RailAmerica*.................... 77,173
------------
443,817
------------
TRAVEL/ENTERTAINMENT -- 0.4%
2,200 Benihana*....................... 31,350
8,800 Black Hawk Gaming &
Development*.................. 52,800
</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, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT (CONTINUED)
10,200 Darden Restaurants.............. $ 181,687
25 Lakes Gaming*................... 198
6,600 Mexican Restaurants*............ 21,038
3,000 Sonesta International Hotels,
Class A....................... 24,000
1,650 Uno Restaurant*................. 17,944
------------
329,017
------------
TOTAL COMMON STOCKS
(COST $67,765,429) -- 96.2%..... 77,488,581
------------
WARRANTS -- 0.0%
DURABLES -- 0.0%
1,219 Sunbeam @ 7.00, 8/24/03*........ 1,524
------------
TOTAL WARRANTS.................. 1,524
------------
REPURCHASE AGREEMENT -- 2.2%
Bear Stearns, dated 3/31/00, due
4/3/00 at 6.08% with a maturity
value of $1,733,960
(Collateralized
by $1,835,000 U.S. Treasury
Bond,
3.63%, 4/15/28, market value --
$1,772,197)................... 1,733,082
------------
TOTAL REPURCHASE AGREEMENT
(COST $1,733,082)............. 1,733,082
------------
TOTAL INVESTMENTS
(COST $69,498,511) (b) --
98.4%......................... 79,223,187
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<S> <C>
DEPOSITS WITH BROKERS FOR SECURITIES SOLD
SHORT -- 95.0%
Bear Stearns Deposit A/C, 6.01%.......... $ 76,548,785
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT (COST
$76,548,785)........................... 76,548,785
------------
RECEIVABLE FROM BROKERS FOR SECURITIES
SOLD SHORT -- 2.1%..................... 1,705,815
------------
SECURITIES SOLD SHORT (PROCEEDS
$69,131,669) -- (95.9)%................ (77,232,165)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.4%.................... 311,718
------------
TOTAL NET ASSETS -- 100.0%............... $ 80,557,340
============
</TABLE>
- ---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) At March 31, 2000, the aggregate cost of investment securities and proceeds
for securities sold short for income tax purposes was $70,055,682 and
$77,232,165, respectively. Cost for federal tax purposes differs from value
by net unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments......... $ 15,576,591
Unrealized
depreciation -- Investments......... (6,409,086)
Unrealized appreciation -- Short
Sales............................... 5,198,589
Unrealized depreciation -- Short
Sales............................... (13,299,085)
------------
Net unrealized appreciation........... $ 1,067,009
============
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE> 38
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS -- 95.9%
AIRCRAFT -- 0.1%
9,400 Kellstrom Industries*........... $ 53,756
-----------
AIRLINES -- 0.8%
7,100 Atlantic Coast Airlines
Holdings*..................... 183,713
6,900 Atlas Air*...................... 188,888
8,400 US Airways Group*............... 233,624
-----------
606,225
-----------
AUTOS -- 1.6%
22,300 Dana............................ 628,581
5,200 Federal Signal.................. 93,925
4,000 Gentex*......................... 148,250
1,100 Lund International Holdings*.... 5,088
28,200 MascoTech....................... 331,350
800 Navistar International*......... 32,100
500 Oshkosh Truck................... 15,531
-----------
1,254,825
-----------
BANKING -- 5.2%
54,800 AmSouth Bancorporation.......... 818,575
3,100 Bank of Granite................. 61,806
21,800 Bank United..................... 688,063
33,600 Charter One Financial........... 705,600
900 Citizens Banking Corp.,
Michigan...................... 17,550
27,000 Concord EFS*.................... 619,313
10,000 Doral Financial................. 113,125
1,400 First Financial Bancorp......... 25,200
3,200 Harris Financial................ 23,000
5,100 Irwin Financial................. 76,500
17,900 National Commerce Bancorp....... 331,150
28,000 Peoples Heritage Financial
Group......................... 420,000
800 S & T Bancorp................... 13,700
18,900 Sovereign Bancorp............... 142,931
6,400 Synovus Financial............... 120,800
-----------
4,177,313
-----------
BUILDING -- 0.7%
6,700 Dycom Industries*............... 326,625
2,500 Modtech Holdings*............... 20,000
12,800 Palm Harbor Homes*.............. 196,800
-----------
543,425
-----------
CHEMICALS -- 1.7%
15,600 Advanced Polymer Systems*....... 78,000
1,000 Alcide*......................... 18,000
52,000 Lyondell Chemical............... 767,000
9,300 MacDermid....................... 246,450
5,700 Synthetech*..................... 23,869
6,500 The Scotts Company*............. 273,000
-----------
1,406,319
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COMPUTER -- 0.6%
14,900 MMC Networks*................... $ 491,700
-----------
CONSTRUCTION MATERIALS -- 2.1%
21,300 Dal-Tile International*......... 169,069
18,700 Martin Marietta Materials....... 888,250
35,000 Owens-Illinois*................. 590,625
1,500 Puerto Rican Cement............. 48,000
-----------
1,695,944
-----------
DEFENSE -- 1.3%
1,505 Aerosonic*...................... 16,461
15,300 GenCorp......................... 118,575
44,200 Lockheed Martin................. 903,337
-----------
1,038,373
-----------
DRUGS -- 5.7%
18,500 Amylin Pharmaceuticals*......... 250,906
1,500 Anika Therapeutics*............. 13,219
11,900 Aphton*......................... 397,162
1,600 Aviron*......................... 44,500
2,200 COR Therapeutics*............... 145,028
1,400 Corixa*......................... 57,750
9,000 Enzon*.......................... 339,188
11,700 Gilead Sciences*................ 741,487
800 IDEC Pharmaceuticals*........... 78,600
200 ImClone Systems*................ 15,375
10,500 Liposome*....................... 183,422
16,000 Martek Biosciences*............. 210,000
400 Myriad Genetics*................ 24,100
8,800 Neose Technologies*............. 283,250
8,200 Northfield Laboratories*........ 164,000
5,300 Orphan Medical*................. 57,638
1,500 Pharmacyclics*.................. 83,531
500 Regeneron Pharmaceutical*....... 14,781
3,300 SangStat Medical*............... 91,369
6,800 Transkaryotic Therapies*........ 378,250
14,800 Triangle Pharmaceuticals*....... 233,100
13,900 Vical*.......................... 465,649
4,000 ViroPharma*..................... 245,250
11,700 XOMA*........................... 89,213
-----------
4,606,768
-----------
DURABLES -- 0.9%
2,200 Fountain Powerboat
Industries*................... 6,875
21,900 Maytag.......................... 725,438
-----------
732,313
-----------
ELECTRIC UTILITIES -- 0.7%
31,100 CMS Energy...................... 563,688
-----------
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS -- 5.2%
1,700 ADE*............................ $ 37,400
400 Advanced Energy Industries*..... 20,400
7,000 Aetrium*........................ 70,000
600 Alpha Industries*............... 57,000
2,600 Andrea Electronics*............. 29,088
5,700 ANTEC*.......................... 255,431
4,100 Aradigm*........................ 85,588
400 ArthroCare*..................... 36,800
6,400 Barringer Technologies*......... 40,200
23,600 Becton Dickinson & Co........... 620,974
2,400 C.R. Bard....................... 92,850
7,000 Chad Therapeutics*.............. 12,250
6,500 Coherent*....................... 338,000
7,600 Dionex*......................... 250,325
8,700 Energy Conversion Devices*...... 177,806
1,000 Focal*.......................... 8,000
1,200 Globecomm Systems*.............. 32,025
11,100 Hologic*........................ 88,106
14,100 i-STAT*......................... 224,719
30,200 Input/Output*................... 184,975
3,200 MiniMed*........................ 414,400
200 Molecular Devices*.............. 15,350
10,800 Novoste*........................ 432,000
14,800 Oakley*......................... 157,250
10,900 Possis Medical*................. 108,319
6,300 SIPEX*.......................... 222,469
2,200 Thermo Cardiosystems*........... 30,800
1,200 ThermoTrex*..................... 12,300
10,906 TriPath Imaging*................ 97,472
-----------
4,152,297
-----------
FINANCIAL INVESTMENTS -- 0.6%
5,800 GATX............................ 220,400
6,700 IGEN International*............. 167,500
20,500 Royal Gold*..................... 70,469
4,400 US Energy*...................... 13,200
-----------
471,569
-----------
FOOD -- 2.7%
4,700 Cadiz*.......................... 39,950
600 Coca-Cola Bottling.............. 31,763
15,000 Dole Food....................... 291,563
800 Opta Food Ingredients*.......... 2,025
19,600 Smithfield Foods*............... 392,000
17,600 Suiza Foods*.................... 708,399
4,400 Tejon Ranch..................... 99,825
20,394 Tootsie Roll Industries......... 642,411
-----------
2,207,936
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH -- 2.3%
6,600 Apria Healthcare Group*......... $ 95,288
74,300 Health Management Associates*... 1,058,774
14,400 Lincare Holdings*............... 408,600
7,800 Prime Medical Services*......... 69,225
200 Province Healthcare*............ 5,725
18,800 Psychemedics.................... 94,000
3,400 Renal Care Group*............... 73,738
400 Universal Health Services, Class
B*............................ 19,600
-----------
1,824,950
-----------
HOUSEHOLD -- 1.5%
14,000 Advanced Lighting
Technologies*................. 262,500
15,400 Hillenbrand Industries.......... 523,600
800 Rawlings Sporting Goods*........ 3,600
500 Research Frontiers*............. 14,750
9,400 Simula*......................... 33,488
22,400 Tupperware...................... 354,200
-----------
1,192,138
-----------
INSURANCE -- 5.2%
100 Allcity Insurance*.............. 938
8,400 AON............................. 270,900
800 Cincinnati Financial............ 30,100
5,602 Citizens*....................... 36,763
59,200 Conseco......................... 677,099
4,300 HealthAxis*..................... 61,813
1,800 HSB Group....................... 52,088
20,800 Mercury General................. 613,600
2,300 National Wireless Holdings*..... 64,400
34,500 Oxford Health Plans*............ 526,125
7,100 Philadelphia Consolidated
Holding*...................... 104,725
15,200 Progressive..................... 1,156,149
5,900 Protective Life................. 187,325
9,000 Reinsurance Group of America.... 214,313
400 Transatlantic Holdings.......... 34,200
6,000 W.R. Berkley.................... 138,375
-----------
4,168,913
-----------
LIQUOR & TOBACCO -- 0.2%
3,700 Beringer Wine Estates Holdings,
Class B*...................... 132,738
-----------
MACHINERY -- 6.1%
7,000 A.S.V.*......................... 105,000
10,300 Applied Power................... 293,550
7,300 Astec Industries*............... 193,906
6,000 Ball............................ 207,375
6,000 CFM Technologies*............... 73,500
16,100 Crane Co........................ 379,356
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
7,500 Crown Cork & Seal............... $ 120,000
4,300 Danaher......................... 219,300
8,200 DT Industries................... 104,550
400 EMCORE*......................... 46,025
9,600 Gardner Denver Machinery*....... 180,600
9,300 Intevac*........................ 43,013
13,400 MagneTek*....................... 122,275
13,900 MEMC Electronic Materials*...... 279,738
13,300 Smith International*............ 1,030,749
35,700 Stanley Works................... 941,587
8,000.. UCAR International*............. 105,500
14,200 Unique Mobility*................ 137,563
4,500 Veeco Instruments*.............. 333,000
-----------
4,916,587
-----------
MEDIA -- 1.9%
3,300 Cox Radio*...................... 277,200
3,200 Harcourt General................ 119,200
4,800 Hollinger International......... 51,600
27,000 Journal Register*............... 398,250
14,200 Primedia*....................... 454,400
3,500 R.R. Donnelley & Sons........... 73,281
6,500 Schawk.......................... 51,188
4,000 Valassis Communications*........ 133,250
-----------
1,558,369
-----------
METALS -- 1.6%
5,200 CommScope*...................... 237,250
6,700 Maverick Tube*.................. 217,331
200 MAXXAM*......................... 5,700
12,900 Phelps Dodge.................... 612,750
5,600 Precision Castparts............. 204,400
11,300 Titanium Metals................. 49,438
-----------
1,326,869
-----------
MISCELLANEOUS FINANCIAL -- 1.1%
4,000 Data Broadcasting*.............. 30,500
28,600 E*TRADE Group*.................. 861,575
-----------
892,075
-----------
OFFICE MACHINERY -- 1.8%
8,300 Auspex Systems.................. 91,300
2,400 Coinstar*....................... 30,263
6,600 Drexler Technology*............. 92,400
3,800 MRV Communications*............. 348,175
9,900 MTI Technology*................. 261,113
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE MACHINERY (CONTINUED)
1,900 Presstek*....................... $ 45,125
17,200 S3*............................. 361,199
7,200 SoftNet Systems*................ 210,600
-----------
1,440,175
-----------
OIL -- 1.6%
22,700 Pogo Producing.................. 648,369
41,400 Union Pacific Resources Group... 600,300
-----------
1,248,669
-----------
OIL DISTRIBUTION -- 0.6%
3,800 Dynegy, Class A................. 238,450
12,300 Northwestern.................... 253,688
-----------
492,138
-----------
OIL SERVICES -- 1.6%
18,000 Diamond Offshore Drilling....... 718,875
3,200 R & B Falcon*................... 63,000
16,900 Tidewater....................... 537,631
-----------
1,319,506
-----------
PAPER -- 1.6%
45,000 Fort James...................... 990,000
4,600 Gaylord Container, Class A*..... 29,325
20,200 Playtex Products*............... 262,600
-----------
1,281,925
-----------
REAL ESTATE ASSETS -- 3.7%
2,100 Avatar Holdings*................ 42,000
2,600 Chateau Communities............. 66,300
25,300 General Growth Properties....... 770,068
6,900 Host Marriott................... 61,238
39,200 IndyMac Mortgage Holdings....... 585,550
2,800 JP Realty....................... 49,875
1,800 Newmont Mining.................. 40,388
31,500 Rouse........................... 665,438
29,100 Simon Property Group............ 698,399
1,000 United Park City Mines*......... 25,000
-----------
3,004,256
-----------
RETAIL/WHOLESALE -- 9.5%
2,300 AmeriSource Health, Class A*.... 34,500
8,700 Ames Department Stores*......... 213,694
6,400 Anixter International*.......... 178,400
36,800 AutoZone*....................... 1,021,199
8,100 Aviall*......................... 68,344
28,100 Barnes & Noble*................. 646,300
26,600 Bed Bath & Beyond*.............. 1,047,374
7,400 Brightpoint*.................... 90,650
38,200 DIMON........................... 90,725
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
1,300 En Pointe Technologies*......... $ 52,000
11,900 Genesco*........................ 156,188
15,700 Guitar Center*.................. 179,569
20,200 HA-LO Industries*............... 159,075
26,000 J.C. Penney..................... 386,750
18,800 MSC Industrial Direct, Class
A*............................ 338,400
34,900 Nordstrom....................... 1,029,549
7,000 NuCo2*.......................... 93,625
700 O'Reilly Automotive*............ 9,931
2,600 Owens & Minor................... 27,625
1,600 Priority Healthcare, Class B*... 80,400
13,300 Scios*.......................... 68,994
15,700 Shop At Home*................... 135,413
11,100 ShopKo Stores*.................. 197,025
15,000 Stewart & Stevenson Services.... 168,750
20,900 Sunglass Hut International*..... 163,281
2,100 TESSCO Technologies*............ 43,050
3,000 United Natural Foods*........... 44,250
12,900 Whole Foods Market*............. 534,544
13,700 Williams-Sonoma*................ 424,700
-----------
7,684,305
-----------
SERVICES -- 14.5%
7,400 ACTV*........................... 259,463
1,800 American Superconductor*........ 80,100
41,700 Apollo Group, Class A*.......... 1,175,418
5,200 Aware*.......................... 208,650
1,600 Boron Lepore & Associates*...... 14,200
5,400 Cambridge Technology
Partners*..................... 73,238
38,700 Ceridian*....................... 742,555
6,400 CIBER*.......................... 131,200
7,500 Coinmach Laundry*............... 74,531
14,700 CSG Systems International*...... 717,543
1,600 Dendrite International*......... 33,500
30,500 DeVry*.......................... 930,249
11,100 Education Management*........... 160,256
11,100 Emeritus*....................... 48,563
5,000 Excalibur Technologies*......... 198,125
32,300 Gartner Group, Class A.......... 508,725
7,600 Getty Images*................... 273,125
600 Globix*......................... 22,875
900 HNC Software*................... 64,856
28,600 Keane*.......................... 722,149
3,300 Kroll-O'Gara*................... 36,094
4,700 Labor Ready*.................... 46,413
6,000 Laser Vision Centers*........... 41,625
3,000 LCC International*.............. 118,875
4,000 Maxwell Technologies*........... 55,000
900 MemberWorks*.................... 36,113
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
500 New ERA of Networks*............ $ 19,625
6,800 NFO Worldwide*.................. 149,600
3,600 Novadigm*....................... 58,500
5,800 On Assignment*.................. 261,000
2,800 Pegasus Systems*................ 44,275
10,700 Primark*........................ 258,138
7,500 ProxyMed*....................... 63,750
2,600 QRS*............................ 195,650
15,100 Robert Half International*...... 716,305
13,900 Rollins......................... 206,763
8,300 SatCon Technology*.............. 216,319
24,200 Sotheby's Holdings, Class A..... 446,188
10,200 SportsLine USA*................. 300,263
5,200 Spyglass*....................... 403,244
2,000 Stone & Webster................. 29,000
1,700 Strayer Education............... 44,200
8,100 Sunrise Assisted Living*........ 107,325
20,400 Total System Services........... 325,125
9,800 Transaction Systems Architects,
Class A*...................... 282,975
13,400 Valence Technology*............. 315,738
500 Visual Networks*................ 28,375
8,300 Wind River Systems*............. 300,875
2,700 Zixit*.......................... 196,594
-----------
11,743,268
-----------
SOAPS & COSMETICS -- 0.8%
22,800 Dial............................ 313,500
9,400 Ecolab.......................... 344,863
-----------
658,363
-----------
TELEPHONE -- 4.4%
1,500 Advanced Radio Telecom*......... 49,688
17,100 ICG Communications*............. 617,738
13,200 Intermedia Communications*...... 637,725
25,200 ITC DeltaCom*................... 897,749
1,800 Metricom*....................... 83,475
6,900 Primus Telecommunications
Group*........................ 356,644
1,300 PSINet*......................... 44,220
9,800 RCN*............................ 527,975
400 Viatel*......................... 20,075
5,600 WinStar Communications*......... 336,000
-----------
3,571,289
-----------
TEXTILES -- 2.6%
33,300 Cintas.......................... 1,304,943
30,900 Collins & Aikman................ 175,744
15,900 Jones Apparel Group*............ 506,813
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES (CONTINUED)
7,200 North Face*..................... $ 27,000
6,400 Thomaston Mills, Class A*....... 9,200
4,000 WestPoint Stevens............... 76,000
-----------
2,099,700
-----------
TRANSPORTATION -- 1.0%
13,600 Iron Mountain*.................. 463,249
3,300 Matlack Systems*................ 8,663
38,000 OMI -- ADR*..................... 144,875
18,300 Trico Marine Services*.......... 161,269
-----------
778,056
-----------
TRAVEL/ENTERTAINMENT -- 2.4%
6,900 AMC Entertainment*.............. 34,931
4,000 Ameristar Casinos*.............. 14,500
3,500 Bally Total Fitness Holding*.... 85,750
10,300 CKE Restaurants................. 65,663
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT (CONTINUED)
7,000 Hertz, Class A.................. $ 238,438
114,200 Hilton Hotels................... 885,049
6,000 Penn National Gaming*........... 66,656
10,800 Premier Parks*.................. 226,800
6,400 Speedway Motorsports*........... 159,600
3,800 Tricon Global Restaurants*...... 118,038
-----------
1,895,425
-----------
TOTAL COMMON STOCKS............. 77,232,165
-----------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS $69,131,669) --
95.9%......................... $77,232,165
===========
</TABLE>
- ---------------
* Non-income producing security.
ADR -- American Depository Receipt.
See accompanying notes to the financial statements.
42
<PAGE> 43
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE
LAST 1 INCEPTION
YEAR (4/22/98)
------ ---------
<S> <C> <C>
Institutional Shares........................................ -2.63% -1.09%
Investor Shares............................................. -2.78% -1.35%
S&P 500 Index(1)............................................ 17.94% 17.64%
</TABLE>
The Fund underperformed the S&P 500 Index(1) for the year ended March 31,
2000, by more than -20.5%. This Fund holds S&P 500 Index Futures contracts and
shares in the Market Neutral Fund. The Institutional shares of the Market
Neutral Fund returned -14.13% for year. (See separate commentary for the Market
Neutral Fund.) Investment in S&P 500 Futures also contributed negatively to
performance during the year by slightly more than -6%.
Performance data represents past performance which does not guarantee
future results. Investment return and principal value may increase or decrease
depending upon market conditions so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
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 a particular contract at any particular
time.
Total return includes change in share price and reinvestment of
distributions. Total return set forth may reflect the waiver of a portion of the
Fund's advisory or administrative fees for certain periods since the inception
date. In such instances, and without the waiver of fees, total return would have
been lower.
The Institutional Shares of the Barr Rosenberg Double Alpha Market Fund are
distributed by the Barr Rosenberg Series Trust. The Investor Shares are
distributed by Barr Rosenberg Funds Distributor, Inc.
- ---------------
(1) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks. Investors cannot invest directly in any Index.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------- ------------
<C> <S> <C>
REGISTERED INVESTMENT COMPANY -- 93.9%
962,304 Barr Rosenberg Market Neutral Fund (a)...................... $7,140,295
----------
TOTAL REGISTERED INVESTMENT COMPANY (COST
$7,772,683) -- 93.9%...................................... 7,140,295
----------
SHORT TERM SECURITIES -- 2.1%
CTC Sweep Account, 6.08%.................................... 161,101
----------
TOTAL SHORT TERM SECURITIES (COST $161,101)................. 161,101
----------
TOTAL INVESTMENTS (COST $7,933,784) (b) -- 96.0%............ 7,301,396
OTHER ASSETS IN EXCESS OF LIABILITIES -- 4.0%............... 302,027
----------
TOTAL NET ASSETS -- 100.0%.................................. $7,603,423
==========
</TABLE>
- ---------------
(a) Serves as collateral for future contracts.
(b) At March 31, 2000, the aggregate cost of investment securities for income
tax purposes was $8,349,820. Cost for federal tax purposes differs from
value by net unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation................................... $ --
Unrealized depreciation................................... (1,048,424)
-----------
Net unrealized depreciation............................... $(1,048,424)
===========
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF OPEN CURRENT
CONTRACTS CONTRACT TYPE POSITIONS MARKET VALUE
--------- ------------------------------------------------------------ ---------- ------------
<S> <C> <C> <C>
20 Long S&P 500 June 2000 Future $7,024,787 $7,576,500
</TABLE>
See accompanying notes to the financial statements.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
- --------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/00
<TABLE>
<CAPTION>
SINCE SINCE
LAST 1 INCEPTION INCEPTION
YEAR (10/19/98) (11/11/98)
------ ---------- ----------
<S> <C> <C> <C>
Institutional Shares (SSMNX)................................ 9.82% 10.43%
Investor Shares............................................. 9.39% 10.29%
U.S. 90 Day Treasury Bills.................................. 4.94% 4.92% 4.99%
</TABLE>
For the year ended March 31, 2000, the S&P 500 Index(1) gained 17.94%, the
broad market Russell 3000 Index(2) returned 22.28% and the small cap barometer
Russell 2000 Index(3) surged 37.29%. The year saw a much wider gulf between the
fortunes of value and growth stocks. The large cap Russell 1000 Value Index(4)
returned 6.34% while the Russell 1000 Growth Index(5) added 34.12%. The U.S.
market rally has been narrowly focused on growth stocks with high price
momentum, high price/earnings and high trading activity. The returns for the
year were more volatile than other time periods. Market jitters were primarily
caused by concerns over rising interest rates, fears about Y2K transition and
pressures over increasing oil prices throughout the year.
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, which has modest sector over and under weights, the Select
Sectors Market Neutral Fund will typically have larger exposures to different
business sectors and industries based on quantitative bottom-up company
analysis.
For the year ended on March 31, 2000, the Fund outperformed its benchmark,
U.S. 90-day Treasury Bills, by more than 4%. In addition to the positive
contributions from the exposures to relative strength (measure of trailing
12-month price performance) (+4.99%) and to trading activity (measure of
trailing 12-month share turnover) (+3.17%) during this period, the Fund
benefited from long industry exposures to office machinery (+2.87%), services
(+1.96%) and electric utilities (+1.49%). Short industry exposures to drugs
(-2.59%), paper (-0.77%) and media (-0.67%) contributed negatively to
performance. Stock selection further dampened performance (-4.72%).
Performance data represents past performance which does not guarantee
future results. Investment return and principal value may increase or decrease
depending upon market conditions so that an investor's shares, when redeemed,
may be worth more or less than their original cost.
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
45
<PAGE> 46
full faith and credit of the U.S. Government. T-bills have a fixed rate of
return, and investors do no bear the risk of losing their investment. The income
received from T-bills is free from state income tax.
Total return includes change in share price and reinvestment of
distributions. Total return set forth may reflect the waiver of a portion of the
Fund's advisory or administrative fees for certain periods since the inception
date. In such instances, and without the waiver of fees, total return would have
been lower.
The Institutional Shares of the Barr Rosenberg Select Sectors Market
Neutral Fund are distributed by the Barr Rosenberg Series Trust. The Investor
Shares are distributed by Barr Rosenberg Funds Distributor, Inc.
- ---------------
(1) The S&P 500 Index is a broad-based index of 500 widely held common stocks.
(2) The Russell 3000 Index measures the performance of the 3,000 largest U.S.
companies based on total market capitalization, which represents
approximately 98% of the investable U.S. equity market.
(3) The Russell 2000 measures the performance of the smallest 2,000 companies,
which represents approximately 8% of the total capitalization of the Russell
3000 Index.
(4) The Russell 1000 Value Index measures the performance of the Russell 1000
Index companies with lower price-to-book ratios and lower forecasted growth
values.
(5) The Russell 1000 Growth Index measures the performance of the Russell 1000
Index companies with higher price-to-book ratios and higher forecasted
growth values.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS -- 92.6%
AIRLINES -- 0.5%
2,600 Delta Air Lines................. $ 138,450
------------
AUTOS -- 0.9%
1,600 General Motors.................. 132,500
2,000 TRW............................. 117,000
------------
249,500
------------
BANKING -- 7.7%
22,600 Bank of America................. 1,185,087
8,000 Chase Manhattan................. 697,499
1,700 Mellon Financial................ 50,150
2,900 SunTrust Banks.................. 167,475
2,900 Wells Fargo & Company........... 118,719
------------
2,218,930
------------
CHEMICALS -- 2.2%
3,900 Dow Chemical.................... 444,600
3,500 PPG Industries.................. 183,094
------------
627,694
------------
COMPUTER -- 6.4%
13,300 Dell Computer*.................. 717,369
12,100 Sun Microsystems*............... 1,133,807
------------
1,851,176
------------
DRUGS -- 1.7%
2,200 Bausch & Lomb................... 114,813
1,600 Forest Laboratories, Class A*... 135,200
1,500 Genzyme*........................ 75,188
900 MedImmune*...................... 156,712
------------
481,913
------------
DURABLES -- 0.3%
1,400 Whirlpool....................... 82,075
------------
ELECTRIC UTILITIES -- 2.5%
2,300 Allegheny Energy................ 63,394
3,900 Central & South West............ 66,544
1,700 Constellation Energy Group...... 54,188
3,000 Edison International............ 49,688
5,500 Entergy......................... 111,030
4,600 FirstEnergy..................... 94,875
1,700 Florida Progress................ 77,988
4,300 Reliant Energy.................. 100,781
3,000 Sempra Energy................... 50,250
1,100 Unicom.......................... 40,150
------------
708,888
------------
ELECTRONICS -- 12.0%
19,200 Cisco Systems*.................. 1,484,399
1,200 Comverse Technology*............ 226,800
2,200 Cypress Semiconductor*.......... 108,488
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
2,000 Jabil Circuit*.................. $ 86,500
2,400 JDS Uniphase*................... 290,400
13,300 Lucent Technologies............. 807,974
800 RF Micro Devices*............... 107,500
2,600 SCI Systems*.................... 139,913
1,400 Stryker......................... 97,650
1,500 Tellabs*........................ 94,477
200 Texas Instruments............... 32,000
------------
3,476,101
------------
FINANCIAL INVESTMENTS -- 2.0%
10,000 Fannie Mae...................... 564,375
------------
FOOD -- 2.5%
5,100 Bestfoods....................... 238,744
600 Campbell Soup................... 18,450
6,000 General Mills................... 217,125
7,000 H.J. Heinz...................... 244,125
------------
718,444
------------
HOUSEHOLD -- 0.4%
1,800 Johnson Controls................ 100,913
------------
INSURANCE -- 2.8%
2,900 Aetna........................... 161,494
14,900 Allstate........................ 354,806
2,000 MBIA............................ 104,125
2,900 United HealthCare............... 172,913
------------
793,338
------------
MACHINERY -- 2.4%
800 Applied Materials*.............. 75,400
4,000 Deere & Co...................... 151,999
1,500 Eaton........................... 117,000
2,900 Ingersoll-Rand.................. 128,325
2,200 Parker-Hannifin................. 90,888
3,000 Rockwell International.......... 125,438
------------
689,050
------------
MEDIA -- 4.0%
2,400 Fox Entertainment Group*........ 71,850
3,300 New York Times, Class A......... 141,694
3,400 Tribune......................... 124,313
19,800 Walt Disney..................... 819,224
------------
1,157,081
------------
METALS -- 2.9%
3,400 Corning......................... 659,600
1,700 Nucor........................... 85,000
1,200 Reynolds Metals................. 80,250
------------
824,850
------------
</TABLE>
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL -- 5.2%
20,400 Citigroup....................... $ 1,209,975
2,300 Lehman Brothers Holdings........ 223,100
1,400 Paine Webber Group.............. 61,600
------------
1,494,675
------------
OFFICE MACHINERY -- 8.7%
8,700 EMC*............................ 1,087,499
8,400 International Business
Machines...................... 991,200
1,600 Lexmark International Group,
Class A*...................... 169,200
3,000 Network Appliance*.............. 248,250
------------
2,496,149
------------
OIL -- 2.1%
1,500 Amerada Hess.................... 96,938
2,200 Apache.......................... 109,450
1,000 Kerr-McGee...................... 57,750
7,400 Occidental Petroleum............ 153,550
4,200 Phillips Petroleum.............. 194,250
------------
611,938
------------
OIL -- INTERNATIONAL -- 3.4%
10,600 Chevron......................... 979,838
------------
OIL DISTRIBUTION -- 0.9%
2,700 Tosco........................... 82,181
6,900 USX-Marathon Group.............. 179,832
------------
262,013
------------
OIL SERVICES -- 0.4%
2,600 Noble Drilling*................. 107,738
------------
OTHER UTILITIES -- 0.2%
2,600 KeySpan......................... 71,825
------------
PAPER -- 1.4%
1,800 Champion International.......... 95,850
8,200 Masco........................... 168,100
2,000 Mead............................ 69,875
1,900 Willamette Industries........... 76,238
------------
410,063
------------
REAL ESTATE ASSETS -- 0.4%
2,600 Equity Residential Properties
Trust......................... 104,488
------------
RETAIL/WHOLESALE -- 5.5%
7,700 Albertson's..................... 238,699
1,000 CVS............................. 37,563
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
3,700 Federated Department Stores*.... $ 154,475
1,200 Gap............................. 59,775
10,900 Home Depot...................... 703,049
2,900 Limited......................... 122,163
100 May Department Stores........... 2,850
6,100 Sears, Roebuck & Co............. 188,337
4,600 Toys "R" Us*.................... 68,138
------------
1,575,049
------------
SERVICES -- 7.2%
2,000 Citrix Systems*................. 132,500
6,600 Computer Associates
International................. 390,637
15,100 Oracle*......................... 1,178,743
2,400 Siebel Systems*................. 286,650
1,100 Symantec*....................... 82,638
------------
2,071,168
------------
TELEPHONE -- 4.6%
21,600 AT&T............................ 1,215,000
1,000 Telephone & Data Systems........ 111,000
------------
1,326,000
------------
TRANSPORTATION -- 1.3%
9,000 Burlington Northern Santa Fe.... 199,125
4,600 Union Pacific................... 179,975
------------
379,100
------------
TRAVEL/ENTERTAINMENT -- 0.1%
2,800 Park Place Entertainment*....... 32,375
------------
TOTAL COMMON STOCKS
(COST $22,457,839) -- 92.6%..... 26,605,197
------------
REPURCHASE AGREEMENT -- 7.9%
Bear Stearns, dated 3/31/00, due
4/3/00 at 6.08% with a
maturity value of $2,267,291
(Collateralized by $2,395,000
U.S. Treasury Bond, 3.63%,
4/15/28, market value --
$2,313,032)................... 2,266,143
------------
TOTAL REPURCHASE AGREEMENT (COST
$2,266,143)................... 2,266,143
------------
TOTAL INVESTMENTS (COST
$24,723,982) (a) -- 100.5%.... 28,871,340
------------
</TABLE>
See accompanying notes to the financial statements.
48
<PAGE> 49
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET VALUE
------------
<S> <C>
DEPOSITS WITH BROKERS FOR SECURITIES SOLD
SHORT -- 93.4%
Bear Stearns Deposit A/C, 6.01%.......... $ 26,832,441
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT (COST
$26,832,441)........................... 26,832,441
------------
PAYABLE TO BROKERS FOR SECURITIES SOLD
SHORT -- (3.2)%........................ (909,956)
------------
SECURITIES SOLD SHORT (PROCEEDS
$25,064,297) -- (89.7)%................ (25,778,286)
------------
LIABILITIES IN EXCESS OF OTHER ASSETS --
(1.0)%................................. (276,396)
------------
TOTAL NET ASSETS -- 100.0%............... $ 28,739,143
============
</TABLE>
- ---------------
* Non-income producing security.
(a) At March 31, 2000, the aggregate cost of investment securities and proceeds
for securities sold short for income tax purposes was $25,041,004 and
$25,778,286, respectively. Cost for federal tax purposes differs from value
by net unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments.......... $ 4,598,524
Unrealized
depreciation -- Investments.......... (768,188)
Unrealized appreciation -- Short
Sales................................ 1,451,709
Unrealized depreciation -- Short
Sales................................ (2,165,698)
-----------
Net unrealized appreciation............ $ 3,116,347
===========
</TABLE>
See accompanying notes to the financial statements.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS -- 89.7%
AIRLINES -- 0.5%
7,000 Southwest Airlines............... $ 145,688
-----------
AUTOS -- 0.3%
3,200 Dana............................. 90,200
-----------
BANKING -- 8.7%
7,500 AmSouth Bancorporation........... 112,031
13,200 Bank of New York................. 548,624
3,600 Capital One Financial............ 172,575
3,800 Concord EFS*..................... 87,163
4,700 Fifth Third Bancorp.............. 296,099
900 General Electric................. 139,669
3,700 Huntington Bancshares............ 82,788
8,600 KeyCorp.......................... 163,400
1,700 Marshall & Ilsley................ 98,175
3,400 Northern Trust................... 229,713
2,100 PNC Financial Services Group..... 94,631
2,800 Providian Financial.............. 242,550
10,000 Synovus Financial................ 188,750
2,700 Washington Mutual................ 71,550
-----------
2,527,718
-----------
CHEMICALS -- 2.3%
2,100 International Flavors &
Fragrances..................... 73,631
11,400 Monsanto*........................ 587,100
-----------
660,731
-----------
DEFENSE -- 0.8%
2,500 General Dynamics................. 124,375
4,500 Lockheed Martin.................. 91,969
-----------
216,344
-----------
DRUGS -- 12.5%
20,900 Abbott Laboratories.............. 735,419
13,700 Eli Lilly & Co................... 863,099
2,200 IDEC Pharmaceuticals*............ 216,150
11,700 Merck & Co....................... 726,863
29,600 Pfizer........................... 1,082,249
-----------
3,623,780
-----------
DURABLES -- 0.7%
2,400 Harley-Davidson.................. 190,500
-----------
ELECTRIC UTILITIES -- 1.4%
2,700 AES*............................. 212,625
2,100 Montana Power.................... 134,400
1,300 PECO Energy...................... 47,938
-----------
394,963
-----------
ELECTRONICS -- 7.3%
4,400 Becton Dickinson & Co............ 115,775
5,000 Boston Scientific*............... 106,563
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
15,200 Johnson & Johnson................ $ 1,064,949
16,500 Tyco International............... 822,938
-----------
2,110,225
-----------
FINANCIAL INVESTMENTS -- 4.3%
11,300 American International Group..... 1,237,350
-----------
FOOD -- 4.7%
24,900 Coca-Cola........................ 1,168,743
4,300 Coca-Cola Enterprises............ 92,719
1,800 Hershey Foods.................... 88,200
300 Kellogg.......................... 7,688
-----------
1,357,350
-----------
HOUSEHOLD -- 0.5%
5,400 Newell Rubbermaid................ 133,988
-----------
INSURANCE -- 2.7%
4,800 AFLAC............................ 218,700
4,300 AON.............................. 138,675
3,100 Cincinnati Financial............. 116,638
7,100 Conseco.......................... 81,206
2,100 Jefferson-Pilot.................. 139,781
1,000 Progressive...................... 76,063
-----------
771,063
-----------
MACHINERY -- 2.7%
1,800 Danaher.......................... 91,800
18,300 Gillette......................... 689,681
-----------
781,481
-----------
MEDIA -- 4.7%
17,300 AT&T -- Liberty Media Group*..... 1,025,025
3,400 Omnicom Group.................... 317,688
-----------
1,342,713
-----------
MISCELLANEOUS FINANCIAL -- 4.9%
7,300 American Express................. 1,087,243
5,400 Charles Schwab................... 306,788
-----------
1,394,031
-----------
OIL DISTRIBUTION -- 3.5%
12,800 Exxon Mobil...................... 996,000
-----------
OIL SERVICES -- 1.2%
4,000 Schlumberger..................... 306,000
774 Transocean Sedco Forex........... 39,736
-----------
345,736
-----------
OTHER UTILITIES -- 1.1%
7,400 Williams Cos..................... 325,138
-----------
</TABLE>
See accompanying notes to the financial statements.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER -- 1.0%
5,000 Fort James....................... $ 110,000
3,100 Procter & Gamble................. 174,375
100 Sealed Air*...................... 5,431
-----------
289,806
-----------
RETAIL/WHOLESALE -- 7.8%
2,100 Amazon.Com*...................... 140,700
2,100 Bed Bath & Beyond*............... 82,688
2,900 Kohls*........................... 297,250
3,500 Kroger*.......................... 61,469
8,600 Safeway*......................... 389,150
8,700 Staples*......................... 174,000
3,800 Tandy............................ 192,850
7,500 Wal-Mart Stores.................. 416,250
18,600 Walgreen......................... 478,949
-----------
2,233,306
-----------
SERVICES -- 5.5%
13,500 Cendant*......................... 249,750
2,500 Ceridian*........................ 47,969
300 Intuit*.......................... 16,313
10,900 Microsoft*....................... 1,158,124
5,000 Parametric Technology*........... 105,313
-----------
1,577,469
-----------
SOAPS & COSMETICS -- 2.8%
4,400 Clorox........................... 143,000
10,000 Colgate-Palmolive................ 563,750
2,300 Ecolab........................... 84,381
-----------
791,131
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
- ------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE -- 3.1%
1,100 DoubleClick*..................... $ 102,988
1,500 Metromedia Fiber Network, Class
A*............................. 145,031
1,800 PSINet*.......................... 61,228
9,700 SBC Communications............... 407,399
900 US West.......................... 65,363
600 Verio*........................... 27,038
1,500 WinStar Communications*.......... 90,000
-----------
899,047
-----------
TEXTILES -- 0.6%
2,250 Cintas........................... 88,172
1,800 NIKE............................. 71,325
-----------
159,497
-----------
TRANSPORTATION -- 1.7%
11,300 Carnival......................... 280,381
2,000 Level 3 Communications*.......... 211,500
-----------
491,881
-----------
TRAVEL/ENTERTAINMENT -- 2.4%
18,400 McDonald's....................... 691,150
-----------
TOTAL COMMON STOCKS.............. 25,778,286
-----------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS
$25,064,297) -- 89.7%.......... $25,778,286
===========
</TABLE>
- ---------------
* Non-income producing security.
See accompanying notes to the financial statements.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION CAPITALIZATION
SERIES JAPAN SERIES SERIES
-------------- ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $406,285,077, $1,314,599,
$43,755,589, respectively)................................ $466,545,680 $1,610,975 $45,277,287
Cash........................................................ 4,278 3,611 113,016
Foreign currency, at value (cost $0, $8,450, $0,
respectively)............................................. -- 8,696 --
Dividends and interest receivable........................... 628,024 4,370 316,876
Receivable for capital shares issued........................ 8,229 -- --
Receivable for investments sold............................. 9,871,389 -- 2,433,276
Other assets................................................ -- -- 47,213
------------ ---------- -----------
Total Assets............................................ 477,057,600 1,627,652 48,187,668
------------ ---------- -----------
LIABILITIES
Payable to custodian........................................ -- -- 394,363
Payable for investments purchased........................... 9,170,166 -- 1,418,194
Collateral for securities loaned, at value.................. 192,500 -- --
Accrued:
Manager fees.............................................. 325,888 -- 37,068
Administration fees....................................... 6,246 -- 606
12b-1 fees (Select Shares)................................ 2,884 19 346
Service fees (Adviser Shares)............................. 3,503 -- --
Other accrued expenses.................................... 185,622 20,963 59,053
------------ ---------- -----------
Total Liabilities....................................... 9,886,809 20,982 1,909,630
------------ ---------- -----------
NET ASSETS.................................................. $467,170,791 $1,606,670 $46,278,038
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 44,527,709 190,848 3,779,663
Adviser Shares............................................ 786,791 -- --
Select Shares............................................. 1,140,248 12,040 140,161
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 10.06 $ 7.92 $ 11.81
Adviser Shares............................................ 10.02 -- --
Select Shares............................................. 10.00 7.89 11.77
NET ASSETS CONSIST OF:
Capital..................................................... $393,610,388 $1,893,251 $40,556,895
Accumulated undistributed net investment income/(loss)...... 424,377 -- 199,115
Accumulated net realized gain/(loss) on investments and
foreign currency transactions............................. 12,875,423 (583,352) 4,023,322
Net unrealized appreciation/(depreciation) on foreign
currency transactions..................................... -- 395 (22,992)
Net unrealized appreciation on investments.................. 60,260,603 296,376 1,521,698
------------ ---------- -----------
TOTAL NET ASSETS........................................ $467,170,791 $1,606,670 $46,278,038
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET DOUBLE ALPHA SELECT SECTORS
NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
------------ ------------ --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $69,498,511, $7,933,784,
$24,723,982, respectively)................................ $ 79,223,187 $7,301,396 $28,871,340
Deposits with broker and custodian bank for securities sold
short..................................................... 76,548,785 -- 26,832,441
Dividends and interest receivable........................... 256,208 855 93,926
Receivable for securities sold short........................ 4,297,098 -- 1,815,360
Receivable for investments sold............................. 1,320,785 -- 1,107,863
Receivable from Manager..................................... -- 5,125 --
Deposits with brokers for futures contracts................. -- 375,000 --
Net receivable for variation margin on futures contracts.... -- 55,000 --
Deferred organization expenses.............................. 25,165 10,245 --
------------ ---------- -----------
Total Assets............................................ 161,671,228 7,747,621 58,720,930
------------ ---------- -----------
LIABILITIES
Securities sold short (proceeds $69,131,669, $0,
$25,064,297, respectively)................................ 77,232,165 -- 25,778,286
Payable for investments purchased........................... 1,021,124 109,224 1,401,807
Payable to cover securities sold short...................... 2,591,283 -- 2,725,316
Accrued:
Manager fees.............................................. 127,405 -- 23,426
Administration fees....................................... 1,039 -- 378
12b-1 fees (Investor Shares).............................. 1,388 16 196
Other accrued expenses.................................... 139,484 34,958 52,378
------------ ---------- -----------
Total Liabilities....................................... 81,113,888 144,198 29,981,787
------------ ---------- -----------
NET ASSETS.................................................. $ 80,557,340 $7,603,423 $28,739,143
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 10,025,974 894,892 2,519,326
Investor Shares........................................... 831,238 8,914 82,327
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 7.42 $ 8.41 $ 11.05
Investor Shares........................................... 7.41 8.40 10.99
NET ASSETS CONSIST OF:
Capital..................................................... $133,673,391 $8,711,193 $27,495,837
Accumulated undistributed net investment income/(loss)...... 928,385 1,605 313,545
Accumulated net realized losses on investments, futures
contracts and securities sold short....................... (55,668,616) (1,028,700) (2,503,608)
Net unrealized depreciation on short sales.................. (8,100,496) -- (713,989)
Net unrealized appreciation on futures transactions......... -- 551,713 --
Net unrealized appreciation/(depreciation) on investments... 9,724,676 (632,388) 4,147,358
------------ ---------- -----------
TOTAL NET ASSETS........................................ $ 80,557,340 $7,603,423 $28,739,143
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
53
<PAGE> 54
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2000
- --------------------------------------------------------------------------------
<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 $0, $1,433, and
$156,699, respectively)................................. $ 5,284,541 $ 8,109 $ 1,211,124
Interest.................................................. 234,498 -- --
Securities lending fees................................... 26,299 -- --
------------ --------- -----------
Total Investment Income................................. 5,545,338 8,109 1,211,124
------------ --------- -----------
Expenses:
Manager fees.............................................. 4,256,903 14,156 412,576
Administration fees....................................... 709,490 2,123 61,887
12b-1 fees (Select Shares)................................ 34,400 266 4,504
Service fees (Adviser Shares)............................. 16,923 -- --
Audit fees................................................ 74,211 13,721 9,866
Custodian fees............................................ 210,400 33,424 180,773
Fund accounting fees...................................... 59,822 37,206 76,550
Registration and filing fees.............................. 42,118 16,303 17,084
Transfer agent fees....................................... 95,528 13,340 17,746
Trustees' fees............................................ 198,701 586 17,034
Other expenses............................................ 162,284 747 14,380
------------ --------- -----------
Total expenses before waivers/reimbursements............ 5,860,780 131,872 812,400
Less expenses waived/reimbursed......................... (384,610) (110,372) (188,393)
------------ --------- -----------
Total Net Expenses...................................... 5,476,170 21,500 624,007
------------ --------- -----------
Net Investment Income/(Loss)................................ 69,168 (13,391) 587,117
------------ --------- -----------
Net Realized Gain on:
Foreign currency transactions............................. -- 3,141 31,619
Investments............................................... 71,390,010 384,238 6,224,794
Net Change in Unrealized Appreciation/(Depreciation) on:
Foreign currency transactions............................. -- 41 (27,791)
Investments............................................... 57,932,228 131,143 4,416,958
------------ --------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments and
Foreign Currency Transactions............................. 129,322,238 518,563 10,645,580
------------ --------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $129,391,406 $ 505,172 $11,232,697
============ ========= ===========
</TABLE>
See accompanying notes to the financial statements.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2000 (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 $220, $0, and $0,
respectively)........................................... $ 1,356,681 $ 302,538 $ 334,181
Interest.................................................. 5,613,947 11,774 1,240,232
------------ ----------- -----------
Total Investment Income................................. 6,970,628 314,312 1,574,413
------------ ----------- -----------
Expenses:
Manager fees.............................................. 2,268,838 7,682 251,180
Administration fees....................................... 179,120 11,523 37,677
12b-1 fees (Investor Shares).............................. 38,217 290 2,469
Audit fees................................................ 19,146 2,731 5,784
Custodian fees............................................ 45,866 3,008 12,622
Fund accounting fees...................................... 88,693 51,202 59,849
Organization fees......................................... 7,911 2,833 --
Registration and filing fees.............................. 35,862 49,270 30,995
Transfer agent fees....................................... 48,607 16,228 15,261
Trustees' fees............................................ 48,146 3,216 11,151
Dividend expense for securities sold short................ 1,239,489 -- 256,524
Other expenses............................................ 81,741 5,137 25,801
------------ ----------- -----------
Total expenses before waivers/reimbursements............ 4,101,636 153,120 709,313
Less expenses waived/reimbursed......................... (426,712) (126,087) (136,457)
------------ ----------- -----------
Total Net Expenses...................................... 3,674,924 27,033 572,856
------------ ----------- -----------
Net Investment Income/(Loss)................................ 3,295,704 287,279 1,001,557
------------ ----------- -----------
Net Realized Gain/(Loss) on:
Securities sold short..................................... (32,047,111) -- (2,997,790)
Futures contracts......................................... -- 731,022 --
Investments............................................... 29,395,747 (1,183,478) 1,444,080
Net Change in Unrealized Appreciation/(Depreciation) on:
Securities sold short..................................... (30,237,883) -- 162,948
Futures contracts......................................... -- 261,913 --
Investments............................................... 10,257,347 (102,466) 2,526,617
------------ ----------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments,
Securities Sold Short, and Futures Contracts.............. (22,631,900) (293,009) 1,135,855
------------ ----------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $(19,336,196) $ (5,730) $ 2,137,412
============ =========== ===========
</TABLE>
See accompanying notes to the financial statements.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. SMALL 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,
2000 1999 2000 1999 2000 1999
------------- ------------- ---------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 69,168 $ 806,217 $ (13,391) $ (4,688) $ 587,117 $ 538,747
Net realized gain/(loss) on:
Foreign currency
transactions............. -- -- 3,141 7,278 31,619 36,733
Investments................ 71,390,010 (57,710,206) 384,238 (175,464) 6,224,794 (1,621,342)
Net change in unrealized
appreciation/(depreciation)
on:
Foreign currency
transactions............. -- -- 41 674 (27,791) 8,321
Investments................ 57,932,228 (79,559,913) 131,143 315,831 4,416,958 (3,719,763)
------------- ------------- ---------- ---------- ------------ ------------
Net increase/(decrease) in
net assets resulting from
operations............... 129,391,406 (136,463,902) 505,172 143,631 11,232,697 (4,757,304)
------------- ------------- ---------- ---------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... (78,972) (748,548) (1,795) -- (714,484) (403,961)
Adviser Shares............. (1,629) -- -- -- -- --
Select Shares.............. -- -- -- -- (26,398) (15,734)
------------- ------------- ---------- ---------- ------------ ------------
(80,601) (748,548) (1,795) -- (740,882) (419,695)
------------- ------------- ---------- ---------- ------------ ------------
Net realized gain on
investments
Institutional Shares....... -- (5,068,928) -- -- -- --
Adviser Shares............. -- (244,354) -- -- -- --
Select Shares.............. -- (259,575) -- -- -- --
------------- ------------- ---------- ---------- ------------ ------------
-- (5,572,857) -- -- -- --
------------- ------------- ---------- ---------- ------------ ------------
Net decrease in net assets
resulting from
distributions............ (80,601) (6,321,405) (1,795) -- (740,882) (419,695)
------------- ------------- ---------- ---------- ------------ ------------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 35,392,605 196,873,799 47,702 769,151 12,429,545 24,896,742
Adviser Shares............. 1,202,749 23,937,536 -- -- -- --
Select Shares.............. 464,637 8,142,464 766,279 18,199 890,905 3,029,959
------------- ------------- ---------- ---------- ------------ ------------
37,059,991 228,953,799 813,981 787,350 13,320,450 27,926,701
------------- ------------- ---------- ---------- ------------ ------------
Proceeds from dividends
reinvested
Institutional Shares....... 59,693 4,951,583 1,740 -- 708,747 401,708
Adviser Shares............. 1,109 201,395 -- -- -- --
Select Shares.............. -- 250,798 -- -- 26,371 15,628
------------- ------------- ---------- ---------- ------------ ------------
60,802 5,403,776 1,740 -- 735,118 417,336
------------- ------------- ---------- ---------- ------------ ------------
Cost of shares redeemed
Institutional Shares....... (155,688,520) (164,834,333) (58,664) (720,516) (12,849,222) (25,345,483)
Adviser Shares............. (11,652,340) (19,514,429) -- -- -- --
Select Shares.............. (9,089,354) (19,117,051) (754,785) (25,334) (1,409,307) (2,424,898)
------------- ------------- ---------- ---------- ------------ ------------
(176,430,214) (203,465,813) (813,449) (745,850) (14,258,529) (27,770,381)
------------- ------------- ---------- ---------- ------------ ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... (139,309,421) 30,891,762 2,272 41,500 (202,961) 573,656
------------- ------------- ---------- ---------- ------------ ------------
Total increase/(decrease) in
net assets................... (9,998,616) (111,893,545) 505,649 185,131 10,288,854 (4,603,343)
NET ASSETS:
Beginning of period.......... 477,169,407 589,062,952 1,101,021 915,890 35,989,184 40,592,527
------------- ------------- ---------- ---------- ------------ ------------
End of period................ $ 467,170,791 $ 477,169,407 $1,606,670 $1,101,021 $ 46,278,038 $ 35,989,184
============= ============= ========== ========== ============ ============
</TABLE>
See accompanying notes to the financial statements.
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
DOUBLE ALPHA SELECT SECTORS
MARKET NEUTRAL FUND MARKET FUND MARKET NEUTRAL FUND
------------------------------ --------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED
MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 1999 2000 1999* 2000 1999**
------------- ------------- ----------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 3,295,704 $ 7,985,288 $ 287,279 $ 189,591 $ 1,001,557 $ 294,261
Net realized gain/(loss) on:
Securities sold short...... (32,047,111) (29,819,160) -- -- (2,997,790) (1,570,000)
Futures contracts.......... -- -- 731,022 385,581 -- --
Investments................ 29,395,747 (21,000,267) (1,183,478) (275,466) 1,444,080 644,967
Net change in unrealized
appreciation/(depreciation)
on:
Securities sold short...... (30,237,883) 39,028,579 -- -- 162,948 (876,937)
Futures contracts.......... -- -- 261,913 289,800 -- --
Investments................ 10,257,347 (18,091,355) (102,466) (529,922) 2,526,617 1,620,741
------------- ------------- ----------- ----------- ------------ ------------
Net increase/(decrease) in
net assets resulting from
operations............... (19,336,196) (21,896,915) (5,730) 59,584 2,137,412 113,032
------------- ------------- ----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... (3,560,971) (6,521,535) (286,375) (182,541) (912,115) (52,697)
Investor Shares............ (370,869) (1,184,406) (2,959) (5,281) (41,702) (625)
------------- ------------- ----------- ----------- ------------ ------------
(3,931,840) (7,705,941) (289,334) (187,822) (953,817) (53,322)
------------- ------------- ----------- ----------- ------------ ------------
Net realized gain on
investments
Institutional Shares....... -- -- (678,798) -- -- --
Investor Shares............ -- -- (7,561) -- -- --
------------- ------------- ----------- ----------- ------------ ------------
-- -- (686,359) -- -- --
------------- ------------- ----------- ----------- ------------ ------------
Net decrease in net assets
resulting from
distributions............ (3,931,840) (7,705,941) (975,693) (187,822) (953,817) (53,322)
------------- ------------- ----------- ----------- ------------ ------------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 74,337,066 218,927,575 4,311,007 11,090,373 14,727,350 34,996,504
Investor Shares............ 5,793,990 47,256,015 14,300 538,359 1,050,392 578,074
------------- ------------- ----------- ----------- ------------ ------------
80,131,056 266,183,590 4,325,307 11,628,732 15,777,742 35,574,578
------------- ------------- ----------- ----------- ------------ ------------
Proceeds from dividends
reinvested
Institutional Shares....... 3,555,558 6,381,723 965,172 182,541 912,172 52,491
Investor Shares............ 362,450 1,131,149 10,221 5,281 37,743 231
------------- ------------- ----------- ----------- ------------ ------------
3,918,008 7,512,872 975,393 187,822 949,915 52,722
------------- ------------- ----------- ----------- ------------ ------------
Cost of shares redeemed
Institutional Shares....... (145,961,865) (206,509,383) (3,813,658) (4,117,465) (17,711,501) (6,333,645)
Investor Shares............ (34,052,994) (41,095,835) (191,227) (281,820) (813,973) --
------------- ------------- ----------- ----------- ------------ ------------
(180,014,859) (247,605,218) (4,004,885) (4,399,285) (18,525,474) (6,333,645)
------------- ------------- ----------- ----------- ------------ ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... (95,965,795) 26,091,244 1,295,815 7,417,269 (1,797,817) 29,293,655
------------- ------------- ----------- ----------- ------------ ------------
Total increase/(decrease) in
net assets................... (119,233,831) (3,511,612) 314,392 7,289,031 (614,222) 29,353,365
NET ASSETS:
Beginning of period.......... 199,791,171 203,302,783 7,289,031 -- 29,353,365 --
------------- ------------- ----------- ----------- ------------ ------------
End of period................ $ 80,557,340 $ 199,791,171 $ 7,603,423 $ 7,289,031 $ 28,739,143 $ 29,353,365
============= ============= =========== =========== ============ ============
</TABLE>
- ---------------
* From commencement of operations on April 22, 1998 (Institutional) and April
22, 1998 (Investor).
** From commencement of operations on October 19, 1998 (Institutional) and
November 11, 1998 (Investor).
See accompanying notes to the financial statements.
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000
- --------------------------------------------------------------------------------
1. ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was established as a
Massachusetts business trust under the laws of Massachusetts on April 1, 1988.
The Trust is an open-end diversified management investment company offering six
portfolios: U.S. Small Capitalization Series, Japan Series, International Small
Capitalization Series, Market Neutral Fund, Double Alpha Market Fund and Select
Sectors Market Neutral Fund, collectively (the "Funds"), or individually (the
"Fund"), with differing objectives and strategies. Each Fund is authorized to
issue Institutional Shares. In addition, the U.S. Small Capitalization Series is
authorized to issue Select Shares and Adviser Shares, the Japan Series and
International Small Capitalization Series are authorized to issue Select Shares,
and the Market Neutral Fund, Double Alpha Market Fund and Select Sectors Market
Neutral Fund are authorized to issue Investor Shares. The classes differ
primarily with respect to the level of Service Fees and Distribution Fees and
Shareholder Service Fees borne by each class. In addition, an investor's
eligibility to purchase each of the three classes of shares generally depends on
the amount invested in a particular Fund and on whether the investor makes the
investment in the Fund directly or through a financial adviser.
The U.S. Small Capitalization Series was reopened to all investors effective
March 27, 2000.
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.
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
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
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 contracts involves, to varying degrees, elements of market
risk. Risks arise from 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.
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,
2000, the values of securities sold short in the Market Neutral Fund and the
Select Sectors Market Neutral Fund amounted to $77,232,165
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
and $25,778,286, against which collateral of $154,037,366 and $53,437,638 was
held, respectively. The collateral includes the Bear Stearns Deposit Account 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, 2000, the value of securities loaned amounted to $0 against which
cash collateral of $192,500 was held. The cash collateral is invested in
short-term investments and is included in the Schedule of Portfolio Investments.
A portion of the income generated upon investment of the collateral is remitted
to the Borrowers, and the remainder is allocated between the U.S. Small
Capitalization Series and State Street Bank in its capacity as lending agent.
Security lending fee income, net of related expenses, is recorded as earned. The
U.S. Small Capitalization Series bears the risk of loss with respect to the
investment of the cash collateral.
Determination of Net Asset Value and Calculation of Expenses
Expenses specific to an individual Fund are charged to that Fund, while the
expenses that are attributable to more than one Fund of the Trust are allocated
among the respective Funds. Net asset value per share of each class, investment
income, realized and unrealized gains and losses and expenses other than class
specific expenses are allocated daily to each class of shares based upon the
proportion of shares outstanding attributed to each class at the beginning of
each day. Distribution and Shareholder Service expenses are solely borne by and
charged to the Select Shares and Investor Shares; Service fees are charged to
the Adviser Shares.
Dividends and Distributions
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Distributions are made on a tax basis which may differ from generally
accepted accounting principles. These differences are primarily due to differing
treatments for foreign currency transactions, Real Estate Investment Trusts
(REITS), redemptions-in-kind and wash sales for book and tax purposes. Permanent
book and tax basis differences will result in reclassifications to capital
accounts.
Dividends and distributions to shareholders which exceed net investment income
and net realized capital gains for financial reporting purposes but not for tax
purposes are reported as dividends in excess of net investment income or
distributions in excess of net realized gains. To the extent they exceed net
investment income and net realized gains for tax purposes, they are reported as
distributions of capital.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
As of March 31, 2000, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to capital:
<TABLE>
<CAPTION>
ACCUMULATED ACCUMULATED UNDISTRIBUTED NET
UNDISTRIBUTED NET REALIZED GAIN/(LOSS) ON INVESTMENTS
INVESTMENT INCOME/(LOSS) AND FOREIGN CURRENCY TRANSACTIONS
------------------------ -----------------------------------
<S> <C> <C>
U.S. Small Capitalization Series $(37,598) $ 37,600
Japan Series 14,207 (3,141)
International Small Capitalization Series 131,018 (182,352)
Market Neutral Fund 3,747 (3,748)
Double Alpha Market Fund 1,891 0
Select Sectors Market Neutral Fund 13,097 (13,096)
</TABLE>
Organizational Expenses
Costs incurred in connection with the organization and initial registration of
the Market Neutral Fund and Double Alpha Market Fund have been deferred and are
being amortized on a straight-line basis over a sixty month period commencing
December 1997 and April 1998, respectively.
3. MANAGEMENT, ADMINISTRATION, FUND ACCOUNTING, DISTRIBUTION AND SHAREHOLDER
SERVICES AGREEMENTS. AXA Rosenberg Investment Management LLC (the "Manager")
provides advisory and management services to the Funds under separate management
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 2.35% of the
average net assets of the Double Alpha Market Fund (2.00% of which reflects the
expense ratio of the Market Neutral Fund, which the Double Alpha Market Fund
invests in). This includes the management fee but excludes the Service fees, and
the Distribution and Shareholder Service fees. The Manager has agreed to
maintain an operating expense ratio for the Market Neutral Fund of 2.00% and for
the Select Sectors Market Neutral Fund of 1.25% of each Fund's average net
assets, exclusive of the dividend expense on short sales. The operating expense
ratio includes the management fee but excludes the Distribution and Shareholder
Service fees. For the year ended March 31, 2000, the amount of such waivers
totaled $99,734, $14,156, $165,265, $359,765, $7,682 and $108,374 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, 2000, the amount
of such reimbursements totaled $0, $94,093, $0, $0, $106,882 and $0 for the U.S.
Small Capitalization Series, Japan Series, International Small Capitalization
Series, Market Neutral Fund, Double Alpha Market Fund and the Select Sectors
Market Neutral Fund, respectively.
BISYS Fund Services Ohio, Inc. ("BISYS" or the "Administrator"), a wholly-owned
subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and
assists the Trust in all aspects of its administration and operation. The
Administrator is entitled to a fee, computed daily and paid monthly, at an
annual rate of 0.15% of the average net assets of the Funds. The Administrator
has voluntarily waived a portion of its fees in the U.S. Small Capitalization
Series, International Small Capitalization Series, Market Neutral Fund and
Select Sectors Market Neutral Fund. In addition, the
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
Administrator has agreed to waive all fees in the Japan Series and the Double
Alpha Market Fund until the net assets reach $25 million. For the year ended
March 31, 2000, the amount of such waivers totaled $265,333, $2,123, $23,128,
$66,947, $11,523 and $28,083 for the U.S. Small Capitalization Series, Japan
Series, International Small Capitalization Series, Market Neutral Fund, Double
Alpha Market Fund and the Select Sectors Market Neutral Fund, respectively.
BISYS serves the Trust as fund accountant. Under the terms of the fund
accounting agreement, BISYS is entitled to receive an annual fee of $30,000 for
the U.S. Small Capitalization Series, Japan Series and International Small
Capitalization Series, $50,000 for the Market Neutral Fund, Double Alpha Market
Fund and the Select Sectors Market Neutral Fund, and is reimbursed for certain
out-of-pocket expenses incurred in providing fund accounting services.
The Trust has adopted a Distribution and Shareholder Service Plan for its Select
Shares and Investor Shares, pursuant to Rule 12b-1 under the 1940 Act. The
Select Shares and Investor Shares of the Funds are sold on a continuous basis by
the Trust's Distributor, Barr Rosenberg Funds Distributor, Inc. (the
"Distributor"), an indirect wholly owned subsidiary of The BISYS Group, Inc.
Under the Distribution and Shareholder Service Plan, the Funds pay the
Distributor for expenses primarily intended to result in the sale of the Select
Shares and Investor Shares. The Select Shares and Investor Shares are subject to
an annual Distribution and Shareholder Service Fee of up to 0.25% of the
respective average daily net assets. For the year ended March 31, 2000, the U.S.
Small Capitalization Series, Japan Series, International Small Capitalization
Series, Market Neutral Fund, Double Alpha Market Fund and the Select Sectors
Market Neutral Fund incurred distribution and shareholder service expenses in
the amount of $34,400, $266, $4,504, $38,217, $290 and $2,469, respectively. Due
to the closing of the U.S. Small Capitalization Series, the distributor has
agreed to waive distribution and shareholder service expenses in connection with
shares that were directly purchased prior to the closing of the fund. For the
year ended March 31, 2000, the amount of the waiver was $19,543. In addition,
the Trustees have authorized each Fund to pay up to 0.15% of its average daily
net assets attributable to Select Shares and Investor Shares for sub-transfer
and sub-accounting services in connection with such shares.
Various service organizations act as servicing agents of the Adviser Shares of
the U.S. Small Capitalization Series. Such shares are subject to an annual
Service Fee of up to 0.25% of the average daily net assets attributable to such
shares in accordance with a Service Plan adopted by the Trust. For the year
ended March 31, 2000, the Service Fee attributable to the Adviser Shares was
charged as incurred, and amounted to 0.16%.
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, 2000, the Japan Series had a capital loss carryover of $578,234
of which $13,801, $20,835, $261,584, and $282,014 will expire on March 31 of the
years 2002, 2004, 2006 and 2007, respectively. The Market Neutral Fund had a
capital loss carryover of $48,444,104, of which $20,880,748 and $27,563,356 will
expire on March 31 of the years 2007 and 2008, respectively. The Double Alpha
Market Fund had a capital loss carryover of $60,949, which will expire on March
31, 2008. The Select Sectors Market Neutral Fund had a capital loss carryover of
$2,186,540, which will expire on March 31, 2008. Capital loss carryovers will be
available to offset future realized capital gains through the stated years. In
order to meet certain excise tax distribution requirements, each Fund is
required to measure and distribute annually, net capital gains and net foreign
currency gains realized during a twelve-month period ending October 31. In
connection with this, each Fund is permitted for tax purposes to defer into its
next fiscal year any net capital losses or net foreign currency losses incurred
between November 1 and the end of its fiscal year.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
Capital and currency losses incurred after October 31, within a Fund's fiscal
year are deemed to arise on the first business day of the following fiscal year
for tax purposes. The following Funds have incurred and will elect to defer such
losses:
<TABLE>
<CAPTION>
AMOUNT
----------
<S> <C>
International Small Capitalization Series $ 4,395
Market Neutral Fund 6,655,360
</TABLE>
5. SECURITY PURCHASES AND SALES. For the year ended March 31, 2000, purchases
and sales of securities (excluding short-term securities) were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
U.S. Small Capitalization Series $657,539,442 $794,237,196
Japan Series 1,403,193 1,389,360
International Small Capitalization Series 59,304,272 60,578,132
Market Neutral Fund 158,087,117 296,754,707
Double Alpha Market Fund 11,604,060 9,983,887
Select Sectors Market Neutral Fund 84,852,558 87,843,362
</TABLE>
6. PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess of 10% of
the relevant Fund's shares outstanding at March 31, 2000, held the following
aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
% OF FUND'S
SHARES
-----------
<S> <C>
U.S. Small Capitalization Series 13%
Japan Series 73%
International Small Capitalization Series 0%
Market Neutral Fund 60%
Double Alpha Market Fund 55%
Select Sectors Market Neutral Fund 56%
</TABLE>
7. TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of
$45,540, a $4,950 meeting fee plus out-of-pocket expenses for each meeting
attended.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
8. SALES AND REDEMPTIONS OF SHARES. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31, 2000
--------------------------------------------------------------------------------
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....................... 3,972,514 6,745 1,148,958 8,828,864 469,619 1,352,268
Adviser............................. 137,311 -- -- -- -- --
Select/Investor..................... 55,293 109,499 83,162 698,315 1,570 104,834
----------- -------- ---------- ----------- -------- ----------
4,165,118 116,244 1,232,120 9,527,179 471,189 1,457,102
----------- -------- ---------- ----------- -------- ----------
Issued upon reinvestment of
distributions:
Institutional....................... 6,662 234 68,478 438,416 111,067 86,293
Adviser............................. 124 -- -- -- -- --
Select/Investor..................... -- -- 2,553 44,747 1,178 3,588
----------- -------- ---------- ----------- -------- ----------
6,786 234 71,031 483,163 112,245 89,881
----------- -------- ---------- ----------- -------- ----------
Shares redeemed:
Institutional....................... (17,580,260) (9,003) (1,200,870) (17,298,215) (402,660) (1,673,676)
Adviser............................. (1,372,900) -- -- -- -- --
Select/Investor..................... (1,043,111) (106,215) (132,178) (4,077,148) (20,138) (77,812)
----------- -------- ---------- ----------- -------- ----------
(19,996,271) (115,218) (1,333,048) (21,375,363) (422,798) (1,751,488)
----------- -------- ---------- ----------- -------- ----------
Net increase/(decrease)
Institutional....................... (13,601,084) (2,024) 16,566 (8,030,935) 178,026 (235,115)
Adviser............................. (1,235,465) -- -- -- -- --
Select/Investor..................... (987,818) 3,284 (46,463) (3,334,086) (17,390) 30,610
----------- -------- ---------- ----------- -------- ----------
(15,824,367) 1,260 (29,897) (11,365,021) 160,636 (204,505)
=========== ======== ========== =========== ======== ==========
</TABLE>
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERIOD ENDED MARCH 31, 1999
--------------------------------------------------------------------------------
SELECT
INTERNATIONAL DOUBLE SECTORS
U.S. SMALL SMALL MARKET ALPHA MARKET
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET NEUTRAL
SERIES SERIES SERIES FUND FUND* FUND**
-------------- -------- -------------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Shares sold:
Institutional....................... 22,599,032 189,362 2,699,769 22,044,753 1,130,218 3,351,263
Adviser............................. 2,607,621 -- -- -- -- --
Select/Investor..................... 951,183 3,723 324,076 4,740,977 55,337 51,695
----------- -------- ---------- ----------- --------- ---------
26,157,836 193,085 3,023,845 26,785,730 1,185,555 3,402,958
----------- -------- ---------- ----------- --------- ---------
Issued upon reinvestment of
distributions:
Institutional....................... 629,172 -- 46,173 661,319 19,034 5,082
Adviser............................. 25,655 -- -- -- -- --
Select/Investor..................... 32,030 -- 1,797 117,217 551 22
----------- -------- ---------- ----------- --------- ---------
686,857 -- 47,970 778,536 19,585 5,104
----------- -------- ---------- ----------- --------- ---------
Shares redeemed:
Institutional....................... (20,192,247) (179,905) (2,866,134) (21,509,301) (432,386) (601,904)
Adviser............................. (2,399,867) -- -- -- -- --
Select/Investor..................... (2,321,370) (5,570) (275,479) (4,230,293) (29,584) --
----------- -------- ---------- ----------- --------- ---------
(24,913,484) (185,475) (3,141,613) (25,739,594) (461,970) (601,904)
----------- -------- ---------- ----------- --------- ---------
Net increase/(decrease)
Institutional....................... 3,035,957 9,457 (120,192) 1,196,771 716,866 2,754,441
Adviser............................. 233,409 -- -- -- -- --
Select/Investor..................... (1,338,157) (1,847) 50,394 627,901 26,304 51,717
----------- -------- ---------- ----------- --------- ---------
1,931,209 7,610 (69,798) 1,824,672 743,170 2,806,158
=========== ======== ========== =========== ========= =========
</TABLE>
- ---------------
* From commencement of operations on April 22, 1998 (Institutional) and April
22, 1998 (Investor).
** From commencement of operations on October 19, 1998 (Institutional) and
November 11, 1998 (Investor).
9. LINE OF CREDIT. A line of credit to a maximum amount of 33.33% of total net
assets for the Market Neutral Fund has been established by the custodian for
temporary purposes. Lines of credit in the amount of $250,000 for the Japan
Series and $10,000,000 for the International Small Capitalization Series have
been established by the custodian for the purposes of foreign exchange
contracts. The maximum daily settlement amount under the line of credit is
$125,000 for the Japan Series and $5,000,000 for the International Small
Capitalization Series. In addition, an unsecured line of credit to a maximum
amount of $20,000,000 has been established by the custodian for general purposes
for the U.S. Small Capitalization Series, the Japan Series and the International
Small Capitalization Series.
10. CONCENTRATION OF CREDIT. At March 31, 2000, the U.S. Small Capitalization
Series, the Japan Series, the International Small Capitalization Series, the
Market Neutral Fund and the Select Sectors Market Neutral Fund have single
industry concentrations in excess of 10% of their net asset value as shown in
the Schedule of Portfolio Investments for each Fund. Such concentrations may
result in increased volatility in the return of these funds.
11. OTHER TAX INFORMATION (UNAUDITED). For corporate shareholders of the U.S.
Small Capitalization Series, the Market Neutral Fund, the Double Alpha Market
Fund and the Select Sectors Market Neutral Fund, 100.00%, 36.74%, 22.69% and
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
MARCH 31, 2000 (CONTINUED)
- --------------------------------------------------------------------------------
25.22% of the total ordinary income distributions paid during the fiscal year
ended March 31, 2000, qualify for the corporate dividends received deduction,
respectively.
The Japan Series and 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, 2000. The following information is presented with respect to the
election:
<TABLE>
<CAPTION>
JAPAN INTERNATIONAL SMALL
SERIES CAPITALIZATION SERIES
------- ---------------------
<S> <C> <C>
Gross Income from Foreign Countries $11,535 $1,289,634
Gross Income from Foreign Countries Per Share $ 0.057 $ 0.329
Income Taxes Paid to Foreign Countries $ 1,433 $ 156,699
Income Taxes Paid to Foreign Countries Per Share $ 0.007 $ 0.040
</TABLE>
During the fiscal year ended March 31, 2000, the Double Alpha Market Fund
declared long-term capital gain distributions in the amount of $405,229.
66
<PAGE> 67
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, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997 MARCH 31, 1996
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period.......................... $ 7.66 $ 9.76 $ 7.13 $ 7.60 $ 6.97
-------- -------- -------- ------- -------
Income from investment operations:
Net investment income/(loss).... -- 0.01* 0.02* 0.04 0.03
Net realized and unrealized
gain/(loss) on investments... 2.40 (2.02) 3.14 1.39 2.34
-------- -------- -------- ------- -------
Total from investment
operations................... 2.40 (2.01) 3.16 1.43 2.37
-------- -------- -------- ------- -------
Distributions to shareholders
from:
Net investment income........... --** (0.01) (0.01) (0.05) (0.01)
Net realized gain on
investments.................. -- (0.08) (0.52) (1.85) (1.73)
-------- -------- -------- ------- -------
Total distributions to
shareholders................. -- (0.09) (0.53) (1.90) (1.74)
-------- -------- -------- ------- -------
Net asset value, end of period.... $ 10.06 $ 7.66 $ 9.76 $ 7.13 $ 7.60
======== ======== ======== ======= =======
Total return...................... 31.36% (20.56)% 44.95% 19.53% 35.69%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)...................... $447,879 $445,476 $537,891 $82,116 $60,046
Net investment income/(loss)
before
waivers/reimbursements..... (0.05)% 0.10% 0.04% (0.12)% 0.22%
Net investment income/(loss)
net of
waivers/reimbursements..... 0.02% 0.16% 0.19% 0.35% 0.47%
Expenses before waivers/
reimbursements............. 1.23% 1.19% 1.30% 1.54% 1.15%
Expenses net of waivers/
reimbursements............. 1.15% 1.15% 1.15% 1.07% 0.90%
Portfolio turnover rate...... 141.78% 123.66% 77.70% 126.83% 71.87%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Distribution per share was less than $0.005.
See accompanying notes to the financial statements.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
ADVISER SHARES
Net asset value, beginning of
period.............................. $ 7.65 $ 9.75 $ 7.14 $ 7.38
------- ------- ------- -------
Income from investment operations:
Net investment income/(loss)........ -- --* (0.01)* 0.02
Net realized and unrealized
gain/(loss) on investments....... 2.37 (2.02) 3.14 (0.26)
------- ------- ------- -------
Total from investment operations.... 2.37 (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........ $ 10.02 $ 7.65 $ 9.75 $ 7.14
======= ======= ======= =======
Total return.......................... 31.00% (20.70)% 44.50% (3.25)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000).......................... $7,884 $15,465 $17,448 $208
Net investment income/(loss)
before
waivers/reimbursements......... (0.23)% (0.06)% (0.22)% 0.07%***
Net investment income/(loss) net
of waivers/reimbursements...... (0.16)% (0.00)% (0.06)% 0.46%***
Expenses before waivers/
reimbursements................. 1.39% 1.35% 1.56% 1.54%***
Expenses net of waivers/
reimbursements................. 1.31% 1.29% 1.40% 1.15%***
Portfolio turnover rate.......... 141.78% 123.66% 77.70% 126.83%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Distribution per share was less than $0.005.
*** Annualized.
(a) From commencement of operations on January 21, 1997 to March 31, 1997.
See accompanying notes to the financial statements.
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
U.S. SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of
period.............................. $ 7.63 $ 9.73 $ 7.13 $ 8.49
------- ------- ------- -------
Income from investment operations:
Net investment income/(loss)........ -- (0.01)* (0.02)* 0.07
Net realized and unrealized
gain/(loss) on investments....... 2.37 (2.01) 3.14 0.47
------- ------- ------- -------
Total from investment operations.... 2.37 (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........ $ 10.00 $ 7.63 $ 9.73 $ 7.13
======= ======= ======= =======
Total return.......................... 31.06% (20.74)% 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000).......................... $11,400 $16,228 $33,724 $2,375
Net investment income/(loss)
before
waivers/reimbursements......... (0.34)% (0.50)% (0.70)% 0.07%**
Net investment income/(loss) net
of waivers/reimbursements...... (0.13)% (0.15)% (0.24)% 0.46%**
Expenses before waivers/
reimbursements................. 1.50% 1.77% 2.05% 1.54%**
Expenses net of waivers/
reimbursements................. 1.28% 1.42% 1.59% 1.15%**
Portfolio turnover rate.......... 141.78% 123.66% 77.70% 126.83%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
69
<PAGE> 70
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997 MARCH 31, 1996
-------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period........................... $ 5.46 $ 4.72 $ 6.20 $ 8.77 $ 8.96
------- ------- ------- ------- ------
Income from investment operations:
Net investment income/(loss)..... (0.07) (0.02)* (0.04)* (0.05)* 0.04
Net realized and unrealized
gain/(loss) on investments and
foreign currency
transactions.................. 2.54 0.76 (1.44) (2.45) (0.15)
------- ------- ------- ------- ------
Total from investment
operations.................... 2.47 0.74 (1.48) (2.50) (0.11)
------- ------- ------- ------- ------
Distributions to shareholders from:
Net investment income............ (0.01) -- -- (0.04) --
In excess of net investment
income........................ -- -- -- (0.03) (0.08)
------- ------- ------- ------- ------
Total distributions to
shareholders.................. (0.01) -- -- (0.07) (0.08)
------- ------- ------- ------- ------
Net asset value, end of period..... $ 7.92 $ 5.46 $ 4.72 $ 6.20 $ 8.77
======= ======= ======= ======= ======
Total return....................... 45.24% 15.68% (23.87)% (28.68)% (1.20)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)....................... $1,512 $1,053 $866 $1,009 $1,378
Net investment loss before
waivers/ reimbursements..... (8.52)% (13.32)% (13.49)% (12.54)% (6.38)%
Net investment loss net of
waivers/ reimbursements..... (0.71)% (0.50)% (0.74)% (0.63)% (0.22)%
Expenses before
waivers/reimbursements...... 9.31% 14.32% 14.25% 13.33% 7.16%
Expenses net of waivers/
reimbursements.............. 1.50% 1.50% 1.50% 1.42% 1.00%
Portfolio turnover rate....... 100.31% 152.20% 102.13% 51.70% 60.60%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
See accompanying notes to the financial statements
70
<PAGE> 71
BARR ROSENBERG SERIES TRUST
JAPAN SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of
period.............................. $ 5.44 $ 4.71 $ 6.20 $ 8.08
------- ------- ------- -------
Income from investment operations:
Net investment loss................. (0.07) (0.04)* (0.04)* (0.01)*
Net realized and unrealized
gain/(loss) on investments and
foreign currency transactions.... 2.52 0.77 (1.45) (1.80)
------- ------- ------- -------
Total from investment operations.... 2.45 0.73 (1.49) (1.81)
------- ------- ------- -------
Distributions to shareholders from:
Net investment income............... -- -- -- (0.04)
In excess of net investment
income........................... -- -- -- (0.03)
------- ------- ------- -------
Total distributions to
shareholders..................... -- -- -- (0.07)
------- ------- ------- -------
Net asset value, end of period........ $ 7.89 $ 5.44 $ 4.71 $ 6.20
======= ======= ======= =======
Total return.......................... 45.04% 15.50% (24.03)% (22.59)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000).......................... $95 $48 $50 $13
Net investment loss before
waivers/ reimbursements........ (8.58)% (14.06)% (9.10)% (11.83)%**
Net investment loss net of
waivers/ reimbursements........ (0.95)% (0.91)% (0.82)% 0.00%**
Expenses before waivers/
reimbursements................. 9.40% 14.95% 10.12% 13.33%**
Expenses net of waivers/
reimbursements................. 1.75% 1.80% 1.85% 1.50%**
Portfolio turnover rate.......... 100.31% 152.20% 102.13% 51.70%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period.............................. $ 9.11 $ 10.10 $ 10.13 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income............... 0.15 0.12* 0.08* 0.02*
Net realized and unrealized
gain/(loss) on investments and
foreign currency transactions.... 2.74 (1.02) 0.14 0.11
------- ------- ------- -------
Total from investment operations.... 2.89 (0.90) 0.22 0.13
------- ------- ------- -------
Distributions to shareholders from:
Net investment income............... (0.19) (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..................... (0.19) (0.09) (0.25) --
------- ------- ------- -------
Net asset value, end of period........ $ 11.81 $ 9.11 $ 10.10 $ 10.13
======= ======= ======= =======
Total return.......................... 32.04% (8.83)% 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000).......................... $44,628 $34,292 $39,218 $12,859
Net investment income/(loss)
before
waivers/reimbursements......... 0.98% 0.82% (0.32)% (5.85)%**
Net investment income net of
waivers/reimbursements......... 1.43% 1.29% 0.82% 0.11%**
Expenses before waivers/
reimbursements................. 1.96% 1.97% 2.64% 7.46%**
Expenses net of waivers/
reimbursements................. 1.50% 1.50% 1.50% 1.50%**
Portfolio turnover rate.......... 148.72% 111.05% 77.72% 6.71%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on September 23, 1996 to March 31, 1997.
See accompanying notes to the financial statements
72
<PAGE> 73
BARR ROSENBERG SERIES TRUST
INTERNATIONAL SMALL CAPITALIZATION SERIES
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 MARCH 31, 1997(a)
-------------- -------------- -------------- -----------------
<S> <C> <C> <C> <C>
SELECT SHARES
Net asset value, beginning of
period.............................. $ 9.10 $ 10.09 $10.13 $10.04
------- ------- ------ ------
Income from investment operations:
Net investment income............... 0.13 0.07* 0.06* 0.02*
Net realized and unrealized
gain/(loss) on investments and
foreign currency transactions.... 2.71 (1.00) 0.14 0.07
------- ------- ------ ------
Total from investment operations.... 2.84 (0.93) 0.20 0.09
------- ------- ------ ------
Distributions to shareholders from:
Net investment income............... (0.17) (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..................... (0.17) (0.06) (0.24) --
------- ------- ------ ------
Net asset value, end of period........ $ 11.77 $ 9.10 $10.09 $10.13
======= ======= ====== ======
Total return.......................... 31.47% (9.16)% 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000).......................... $1,650 $1,697 $1,375 $185
Net investment income/(loss)
before
waivers/reimbursements......... 0.67% 0.08% (0.83)% (5.52)%**
Net investment income net of
waivers/ reimbursements........ 1.14% 0.79% 0.61% 0.44%**
Expenses before waivers/
reimbursements................. 2.28% 2.66% 3.35% 7.46%**
Expenses net of waivers/
reimbursements................. 1.81% 1.95% 1.91% 1.50%**
Portfolio turnover rate.......... 148.72% 111.05% 77.72% 6.71%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on October 29, 1996 to March 31, 1997.
See accompanying notes to the financial statements
73
<PAGE> 74
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a)
-------------- -------------- -----------------
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period................. $ 8.99 $ 9.97 $ 10.00
------- -------- --------
Income from investment operations:
Net investment income.............................. 0.34 0.29* 0.10*
Net realized and unrealized loss on investments and
securities sold short........................... (1.58) (1.00) (0.13)
------- -------- --------
Total from investment operations................... (1.24) (0.71) (0.03)
------- -------- --------
Distributions to shareholders from:
Net investment income.............................. (0.33) (0.27) --
------- -------- --------
Total distributions to shareholders................ (0.33) (0.27) --
------- -------- --------
Net asset value, end of period....................... $ 7.42 $ 8.99 $ 9.97
======= ======== ========
Total return......................................... (14.13)% (7.31)% (0.30)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................... $74,401 $162,404 $168,080
Net investment income before
waivers/reimbursements.......................... 2.46% 2.75% 2.72%**
Net investment income net of
waivers/reimbursements.......................... 2.82% 2.97% 3.31%**
Expenses (including dividend expense) before
waivers/reimbursements.......................... 3.40% 3.07% 3.33%**
Expenses (including dividend expense) net of
waivers/reimbursements.......................... 3.04% 2.85% 2.75%**
Expenses (excluding dividend expense) net of
waivers/reimbursements.......................... 2.00% 2.00% 2.00%**
Portfolio turnover rate............................ 139.22% 205.32% 232.93%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on December 16, 1997 to March 31, 1998.
See accompanying notes to the financial statements
74
<PAGE> 75
BARR ROSENBERG SERIES TRUST
MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE YEAR FOR THE PERIOD
ENDED ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a)
-------------- -------------- -----------------
<S> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period................. $ 8.98 $ 9.96 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income.............................. 0.32 0.25* 0.08*
Net realized and unrealized loss on investments and
securities sold short........................... (1.59) (1.00) (0.12)
------- ------- -------
Total from investment operations................... (1.27) (0.75) (0.04)
------- ------- -------
Distributions to shareholders from:
Net investment income.............................. (0.30) (0.23) --
------- ------- -------
Total distributions to shareholders................ (0.30) (0.23) --
------- ------- -------
Net asset value, end of period....................... $ 7.41 $ 8.98 $ 9.96
======= ======= =======
Total return......................................... (14.41)% (7.66)% (0.40)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................... $6,155 $37,387 $35,223
Net investment income before
waivers/reimbursements.......................... 2.01% 2.31% 2.28%**
Net investment income net of
waivers/reimbursements.......................... 2.36% 2.53% 2.82%**
Expenses (including dividend expense) before
waivers/ reimbursements......................... 3.70% 3.52% 3.87%**
Expenses (including dividend expense) net of
waivers/ reimbursements......................... 3.35% 3.31% 3.34%**
Expenses (excluding dividend expense) net of
waivers/ reimbursements......................... 2.29% 2.45% 2.50%**
Portfolio turnover rate............................ 139.22% 205.32% 232.93%
</TABLE>
- ---------------
* Calculated based on the average shares outstanding during the period.
** Annualized.
(a) From commencement of operations on December 18, 1997 to March 31, 1998.
See accompanying notes to the financial statements
75
<PAGE> 76
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999(a)
-------------- -----------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 9.81 $ 10.00
------- -------
Income from investment operations:
Net investment income..................................... 0.35 0.26
Net realized and unrealized loss on investments and
futures contracts...................................... (0.57) (0.21)
------- -------
Total from investment operations.......................... (0.22) 0.05
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.35) (0.24)
Net realized gain on investments and futures contracts.... (0.83) --
------- -------
Total distributions to shareholders....................... (1.18) (0.24)
------- -------
Net asset value, end of period.............................. $ 8.41 $ 9.81
======= =======
Total return................................................ (2.63)% 0.53%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $7,528 $7,032
Net investment income before waivers/reimbursements....... 2.12% 1.18%*
Net investment income net of waivers/reimbursements....... 3.76% 2.81%*
Expenses before waivers/reimbursements.................... 1.99% 1.98%*
Expenses net of waivers/reimbursements.................... 0.35% 0.35%*
Portfolio turnover rate................................... 144.75% 154.45%
</TABLE>
- ---------------
* Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements
76
<PAGE> 77
BARR ROSENBERG SERIES TRUST
DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999(a)
-------------- -----------------
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 9.79 $ 10.00
------- -------
Income from investment operations:
Net investment income..................................... 0.32 0.21
Net realized and unrealized loss on investments and
futures contracts...................................... (0.56) (0.20)
------- -------
Total from investment operations.......................... (0.24) 0.01
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.32) (0.22)
Net realized gain on investments and futures contracts.... (0.83) --
------- -------
Total distributions to shareholders....................... (1.15) (0.22)
------- -------
Net asset value, end of period.............................. $ 8.40 $ 9.79
======= =======
Total return................................................ (2.78)% 0.18%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $75 $257
Net investment income before waivers/reimbursements....... 0.79% 1.39%*
Net investment income net of waivers/reimbursements....... 2.42% 3.07%*
Expenses before waivers/reimbursements.................... 2.23% 2.14%*
Expenses net of waivers/reimbursements.................... 0.60% 0.45%*
Portfolio turnover rate................................... 144.75% 154.45%
</TABLE>
- ---------------
* Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements
77
<PAGE> 78
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999(a)
-------------- ------------------
<S> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $ 10.46 $ 10.00
------- -------
Income from investment operations:
Net investment income..................................... 0.44 0.11
Net realized and unrealized gain on investments and
securities sold short.................................. 0.57 0.40
------- -------
Total from investment operations.......................... 1.01 0.51
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.42) (0.05)
------- -------
Total distributions to shareholders....................... (0.42) (0.05)
------- -------
Net asset value, end of period.............................. $ 11.05 $ 10.46
======= =======
Total return................................................ 9.82% 5.14%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $27,835 $28,814
Net investment income before waivers/reimbursements....... 3.45% 2.00%*
Net investment income net of waivers/reimbursements....... 3.99% 3.15%*
Expenses (including dividend expense) before
waivers/reimbursements................................. 2.81% 3.90%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.27% 2.75%*
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 1.25% 1.25%*
Portfolio turnover rate................................... 368.26% 145.22%
</TABLE>
- ---------------
* Annualized.
(a) From commencement of operations on October 19, 1998 to March 31, 1999.
See accompanying notes to the financial statements
78
<PAGE> 79
BARR ROSENBERG SERIES TRUST
SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE YEAR FOR THE PERIOD
ENDED ENDED
MARCH 31, 2000 MARCH 31, 1999(a)
-------------- -----------------
<S> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period........................ $ 10.43 $ 10.00
------- -------
Income from investment operations:
Net investment income..................................... 0.43 0.07
Net realized and unrealized gain on investments and
securities sold short.................................. 0.53 0.40
------- -------
Total from investment operations.......................... 0.96 0.47
------- -------
Distributions to shareholders from:
Net investment income..................................... (0.40) (0.04)
------- -------
Total distributions to shareholders....................... (0.40) (0.04)
------- -------
Net asset value, end of period.............................. $ 10.99 $ 10.43
======= =======
Total return................................................ 9.39% 4.71%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $904 $539
Net investment income before waivers/reimbursements....... 3.16% 1.30%*
Net investment income net of waivers/reimbursements....... 3.72% 2.26%*
Expenses (including dividend expense) before
waivers/reimbursements................................. 3.11% 3.73%*
Expenses (including dividend expense) net of
waivers/reimbursements................................. 2.55% 2.77%*
Expenses (excluding dividend expense) net of
waivers/reimbursements................................. 1.52% 1.46%*
Portfolio turnover rate................................... 368.26% 145.22%
</TABLE>
- ---------------
* Annualized.
(a) From commencement of operations on November 11, 1998 to March 31, 1999.
See accompanying notes to the financial statements
79
<PAGE> 80
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of Barr Rosenberg Series Trust,
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 the Barr
Rosenberg Series Trust (the "Trust") at March 31, 2000, 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 accounting principles
generally accepted in the United States. 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 auditing standards
generally accepted in the United States 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,
2000 by correspondence with the custodian and brokers, provide a reasonable
basis of the opinion expressed above.
PRICEWATERHOUSECOOPERS LLP
San Francisco
May 11, 2000
80
<PAGE> 81
(Intentionally Left Blank)
<PAGE> 82
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-0055) (5/00)
------------------------------------------------
BARR ROSENBERG SERIES TRUST
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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
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MARCH 31, 2000
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