<PAGE> 1
BARR ROSENBERG SERIES TRUST
---------------------------------------------------------
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
AXA ROSENBERG JAPAN FUND
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
AXA ROSENBERG INTERNATIONAL EQUITY FUND
AXA ROSENBERG ENHANCED 500 FUND
--------------------------------------------------------------------------------
November 1, 2000
Dear Fellow Shareholder:
As we have shared with you on several occasions in the past, we believe
that companies that produce superior long-term earnings will be rewarded, on
average, with superior market performance. We believe that during the recent
extreme growth environment, investors were simply too enthusiastic about many
"story stocks" that had little hope of living up to the enormous expectations
their prices implied. Simply put, we did not believe the extreme valuations for
many growth stocks in 1999 were justified. Thus, we are encouraged that in the
past six months investors have also begun to question these valuations and to
reward value stocks. Historically our alpha (the difference between a Fund's
return and the return for its benchmark) has been strongest in value markets.
During these value periods, investors turn their focus to the relationship
between company fundamentals and stock prices. Our Funds generally align with
the focus of value investors because our investment process attempts to
construct portfolios that produce more future earnings per dollar of initial
cost. We are delighted that the market shows signs it is entering a new value
cycle. At the same time, we caution investors that while value has outperformed
growth year to date, the recent sharp reversals in leadership month to month
suggest that we are not yet in a sustained value market.
Through October 31, 2000, the S&P 500 Index has lost 1.81% for the year. If
it ends 2000 in the red, it will be the first year that the market (as measured
by the S&P 500 Index) has been down since 1990. Volatility and style wars
continue to dominate the market environment, with value stocks performing
strongly in July and September, but growth stocks surging in August. Generally,
small and midcap value stocks have been the strongest performers, while large
cap growth stocks have been weakest.
U.S. and International Small Capitalization Funds
The year 2000 has proven to be a tumultuous time in the financial markets.
In spite of this historic volatility, for the six months ended September 30,
2000, our flagship fund, the AXA Rosenberg U.S. Small Capitalization Fund and
its international counterpart, the AXA Rosenberg International Small
Capitalization Fund, have both outperformed their respective benchmarks.
<TABLE>
<CAPTION>
QUARTER ENDING QUARTER ENDING 6 MONTHS ENDING
INSTITUTIONAL SHARES JUNE 30, 2000 SEPTEMBER 30, 2000 SEPTEMBER 30, 2000
-------------------- -------------- ------------------ ------------------
<S> <C> <C> <C>
U.S. Small Capitalization Fund................... -3.08% 1.85% -1.29%
Russell 2000 Index(1)............................ -3.78% 1.10% -2.72%
International Small Capitalization Fund.......... 1.61% -4.67% -3.13%
CRIexUS(2)....................................... -2.54% -4.67% -7.10%
</TABLE>
1
<PAGE> 2
Market Neutral Funds
The AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Select
Sectors Market Neutral Fund and the AXA Rosenberg Double Alpha Market Fund all
underperformed their respective benchmarks for the six months ended September
30, 2000, but outperformed their respective benchmarks for the quarter ending
September 30, 2000.
<TABLE>
<CAPTION>
QUARTER ENDING QUARTER ENDING 6 MONTHS ENDING
INSTITUTIONAL SHARES JUNE 30, 2000 SEPTEMBER 30, 2000 SEPTEMBER 30, 2000
-------------------- -------------- ------------------ ------------------
<S> <C> <C> <C>
Value Market Neutral Fund.................................. -3.50% 5.59% 1.89%
Select Sectors Market Neutral Fund......................... -6.88% 2.04% -4.98%
U.S. 90-day T-bills(3)..................................... 1.41% 1.43% 2.86%
Double Alpha Market Fund................................... -7.13% 2.69% -4.64%
S&P 500 Index(4)........................................... -2.66% -0.97% -3.60%
</TABLE>
In response to the need for a market neutral fund that seeks a
well-diversified, absolute-return strategy and is style neutral as well, we
launched the AXA Rosenberg Multi-Strategy Market Neutral Fund on September 29,
2000. We expect the Fund's long-run performance will not have a systematic
relationship to the market value/growth cycles. We will report on the
performance of this Fund in subsequent reports.
Large Capitalization Funds
In June 2000, we launched two new funds, the AXA Rosenberg Enhanced 500
Fund and the AXA Rosenberg International Equity Fund. Since inception, the AXA
Rosenberg Enhanced 500 Fund underperformed its benchmark, and the AXA Rosenberg
International Equity Fund outperformed its benchmark.
<TABLE>
<CAPTION>
QUARTER ENDING SINCE INCEPTION
INSTITUTIONAL SHARES SEPTEMBER 30, 2000 (JUNE 7, 2000)
-------------------- ------------------ ------------------
<S> <C> <C> <C>
Enhanced 500 Fund.......................................... -1.42% -2.60%
S&P 500 Index(4)........................................... -0.97% -1.13%
International Equity Fund.................................. -7.95% -8.50%
MSCI-EAFE Index(5)......................................... -8.01% -9.16%
</TABLE>
Although the AXA Rosenberg Japan Fund outperformed its benchmark for the
six months ended September 30, 2000, Japanese equities declined to their lowest
levels in the third quarter of 2000.
<TABLE>
<CAPTION>
QUARTER ENDING QUARTER ENDING 6 MONTHS ENDING
INSTITUTIONAL SHARES JUNE 30, 2000 SEPTEMBER 30, 2000 SEPTEMBER 30, 2000
-------------------- -------------- ------------------ ------------------
<S> <C> <C> <C>
Japan Fund................................................. -5.30% -11.20% -15.91%
TOPIX(6)................................................... -9.52% -9.21% -17.85%
</TABLE>
For a more detailed discussion of performance, please see the commentary
preceding each Fund's Schedule of Portfolio Investments.
2
<PAGE> 3
As we indicated in prior letters to you, a narrow and reactive market can
be a difficult one for our investment process. Yet, to the extent that investors
are broadening their focus on fundamentals and earnings, we are encouraged. In
the past few months, we have seen signs that investors are again paying
attention to the long-term reality that indeed fundamentals and earnings do
matter.
Thank you for your trust and support,
/s/ Richard L. Saalfeld
Richard L. Saalfeld
President & CEO
AXA Rosenberg Mutual Funds
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 capital 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 AXA
Rosenberg Japan Fund may also be subject to the additional risk of
non-diversified regional investing.
Investments in shares of the AXA Rosenberg Value Market Neutral Fund and
the AXA Rosenberg 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 AXA Rosenberg Value Market Neutral Fund
and the AXA 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 fund typically have a high portfolio turnover that
could increase transaction costs and cause short-term capital gains to be
realized. While it may be the intent of the Manager to take long positions in
stocks that outperform the market and short positions in stocks that
underperform the market, in various market climates, there is no assurance that
the Manager will be successful.
Investment in Index Futures involves risk. Positions in Index Futures may
be closed out by the AXA 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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
For more complete information about the AXA 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 (Investor Shares) for a prospectus. Please read it carefully
before investing.
---------------
(1) The Russell 2000 Index is an unmanaged index of approximately 2000 small
capitalization companies with market value up to $5.6 billion. Investors
cannot invest directly in any Index.
3
<PAGE> 4
(2) 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 $11.6 billion. Investors cannot invest
directly in any Index.
(3) Since risks in the AXA Rosenberg Value Market Neutral Fund and the AXA
Rosenberg Select Sectors 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 AXA Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select
Sectors Market Neutral Fund because T-bills are backed by the full faith and
credit of the U.S. government. T-bills have a fixed rate of return, and
investors do not bear the risk of losing their investment. The income
received from T-bills is free from state income tax.
(4) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks. Investors cannot invest directly in any Index.
(5) The Morgan Stanley Capital International Europe, Australasia, Far East Index
(MSCI-EAFE) is an international, unmanaged, weighted stock market index that
includes over 1,000 securities listed on the stock exchanges of 20 developed
market countries from Europe, Australia, Asia and the Far East. Investors
cannot invest directly in any Index.
(6) The Tokyo Stock Price Index (TOPIX) is the benchmark for the AXA Rosenberg
Japan Fund. It is an unmanaged index of approximately 1,400 Japanese
companies. Investors cannot invest directly in any Index.
4
<PAGE> 5
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/00
<TABLE>
<CAPTION>
SINCE SINCE
FISCAL LAST 1 LAST 3 LAST 5 LAST 10 INCEPTION INCEPTION
YTD YEAR YEARS YEARS YEARS (1/21/97) (10/22/96)
------ ------ ------ ------ ------- --------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Institutional Shares (USCIX)...... -1.29% 16.43% 3.36% 14.07% 19.16%
Adviser Shares (LIFUX)............ -1.40% 16.26% 3.11% -- -- 10.21%
Investor Shares (BRSCX)........... -1.50% 16.16% 3.04% -- -- 12.28%
Russell 2000(1)................... -2.72% 23.38% 5.96% 12.38% 16.93% 10.83% 12.50%
</TABLE>
Stocks declined across the capitalization spectrum in the extremely
volatile six months ended September 30, 2000. During the period, the Russell
2000 Index fell 2.72% compared with a drop of 3.60% for the S&P 500 Index(2).
Small cap stock returns fell in four of the six months with only substantial
rallies in June and August keeping the sector from falling more dramatically.
Small capitalization value stocks have rebounded solidly since April 2000.
In the six months ended September 30, 2000, the Russell 2000 Value Index(3) rose
9.42% compared with a decrease of 11.06% for the Russell 2000 Growth Index(4).
This 20% advantage of value over growth marks a sizable reversal in the fortunes
of value and growth stocks. In the previous six months (October 1, 1999 through
March 31, 2000) the Russell 2000 Growth Index rose 45.78% compared with just a
5.41% rise for the Russell 2000 Value Index. The shift between value and growth
in the past six months was an industry phenomenon as investors dumped
high-priced technology shares in favor of energy and financial stocks.
The Fund outperformed the Russell 2000 Index for the six months ended
September 30, 2000. Although the rebound among small cap value stocks has been
choppy, the shift of investor focus away from the new economy and growth stock
themes toward the relationship between company stock prices and cumulative
future earnings appears to be taking hold. The Manager continues to believe that
a sustained shift toward stronger returns for value stocks relative to growth
stocks could be associated with a market environment that is more favorable to
the Fund's performance relative to the Russell 2000 Index.
For the six months, the Fund's outperformance of its benchmark was helped
solidly by risk exposures, especially the portfolio's higher earnings-to-price
ratio relative to the Russell 2000 Index. The relatively small differences
between the industry weightings of the Fund and the Russell 2000 Index hurt
relative performance slightly. A 3% overweighting in the electronic industry and
a 1% underweighting in drug companies hurt performance. On the positive side,
the Fund's 2.9% underexposure to the extremely weak telecommunications sector
helped the Fund's relative performance.
It is important to note that the differences in risk factors and industry
exposures between the Fund and its benchmark, the Russell 2000 Index, are
modest. In addition, these exposures are the result of the Manager's bottom-up
stock selection models and not based on predictions of the returns for risk
factors or industries. Over time, the return contribution from these exposures
is expected to be small relative to the independent contribution from stock
selection.
Total returns for the Institutional Shares represents the historical
performance for the Rosenberg Series Trust Small Capitalization Series which was
launched in February 1989 until it was converted to the Barr Rosenberg U.S.
Small Capitalization Series on August 5, 1996. On July 31, 2000, the name of the
Fund was changed to the AXA Rosenberg U.S. Small Capitalization Fund, and the
Select Shares were renamed the Investor Shares.
5
<PAGE> 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.
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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
---------------
(1) The Russell 2000 is the benchmark for the AXA Rosenberg U.S. Small
Capitalization Fund. It is an unmanaged index of approximately 2,000 small
capitalization companies with market value up to $5.6 billion. Investors
cannot invest directly in any Index.
(2) The S&P 500 Index is an unmanaged, broad-based index of 500 widely held
common stocks. Investors cannot invest directly in any Index.
(3) The Russell 2000 Value Index measures the performance of the Russell 2000
Index companies with lower price-to-book ratios and lower forecasted
earnings growth values.
(4) The Russell 2000 Growth Index measures the performance of the Russell 2000
Index companies with higher price-to-book ratios and higher forecasted
earnings growth values.
6
<PAGE> 7
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS -- 99.1%
AIRCRAFT -- 0.0%
1,700 Curtiss-Wright.................. $ 80,219
------------
AUTOS -- 0.1%
48,000 American Axle & Manufacturing
Holdings*..................... 516,000
8,100 Arctic Cat...................... 102,263
3,900 Collins Industries.............. 13,650
------------
631,913
------------
BANKING -- 8.0%
75 Abigail Adams National
Bancorp....................... 675
4,200 Acadiana Bancshares............. 66,675
26,600 Ambanc Holding Co............... 425,600
12,400 American Business
Financial Services (b)........ 85,250
4,100 American Financial Holdings..... 72,263
16,900 AmeriCredit*.................... 486,930
17,600 ASTA Funding*................... 101,200
150,900 Astoria Financial............... 5,828,512
13,200 Berkshire Bancorp............... 402,600
10,800 BNCCORP*........................ 62,100
6,940 BostonFed Bancorp............... 147,909
3,100 BSB Bancorp..................... 69,363
13 BWC Financial*.................. 304
500 BYL Bancorp*.................... 5,875
10,100 Cameron Financial............... 179,275
2,300 Capital Corp. of the West*...... 24,725
3,600 Carver Bancorp.................. 29,250
10,100 Chittenden...................... 259,444
74,500 Colonial BancGroup.............. 772,937
30,300 Commercial Bank of New York..... 409,050
9,600 Commonwealth Bancorp............ 139,200
13,200 Community Financial............. 123,750
900 Community First Banking Co...... 16,650
4,300 Corus Bankshares................ 155,136
25 Crusader Holding*............... 217
427 Eagle Bancshares................ 4,537
4,095 Elmira Savings Bank, FSB........ 79,853
14,400 FFLC Bancorp.................... 198,900
8,300 FFW............................. 100,638
8,300 Fidelity Bancorp................ 146,806
9,000 First Bancshares................ 85,500
900 First Banks America*............ 16,088
20,800 First Citizens BancShares, Class
A............................. 1,488,499
2,700 First Federal Bankshares........ 23,456
200 First International Bancorp..... 1,450
12,900 First Investors Financial
Services*..................... 49,988
2,000 First Midwest Financial......... 19,000
9,600 First Mutual Bancshares......... 94,800
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
1,300 First Regional Bancorp*......... $ 9,425
1,000 FIRSTFED AMERICA BANCORP........ 14,125
2,100 FirstSpartan Financial.......... 62,869
17,900 Franklin Bank NA................ 153,269
15,700 FSF Financial................... 196,250
19,700 Greater Bay Bancorp............. 1,367,918
100 Harrodsburg First Financial
Bancorp....................... 1,063
2,800 Hawthorne Financial*............ 33,250
10,500 Hingham Institution for
Savings....................... 153,563
1,900 IBERIABANK...................... 34,794
17,600 Independence Community Bank..... 246,400
600 Independence Federal Savings
Bank.......................... 5,850
3,000 International Bancshares........ 91,875
10,800 Iroquois Bancorp................ 356,400
29,600 ITLA Capital*................... 438,450
3,900 Kankakee Bancorp................ 86,531
17,300 Local Financial*................ 164,350
100 LSB Financial................... 1,263
900 MAF Bancorp..................... 22,388
600 Mahaska Investment Co........... 4,800
8,533 MASSBANK........................ 246,924
8,800 MB Financial*................... 119,350
212,100 Metris Companies................ 8,377,949
2,500 MFB............................. 43,438
16 Mid-America Bancorp............. 418
2,700 Monterey Bay Bancorp............ 23,794
4,300 Nara Bank NA*................... 58,050
4,400 New Hampshire Thrift
Bancshares.................... 57,750
9,100 North Valley Bancorp (b)........ 118,300
2,600 Northeast Indiana Bancorp....... 29,900
2,200 Parkvale Financial.............. 39,600
1,800 PFF Bancorp..................... 39,150
9 Premier National Bancorp........ 182
8,800 Provident Financial Group....... 258,500
23 PVF Capital..................... 227
33,200 Quaker City Bancorp*............ 637,024
118,400 Republic Bancorp................ 1,124,799
5,500 Republic Bancshares*............ 52,938
52,656 Silicon Valley Bancshares*...... 3,066,388
2,200 Southern Financial Bancorp...... 31,625
7,200 Southern Missouri Bancorp....... 90,900
2,100 Southwest Bancorp............... 31,238
17,700 Staten Island Bancorp........... 354,000
36,000 Sterling Financial*............. 409,500
26,000 Student Loan.................... 1,269,124
3,900 Teche Holding................... 52,650
49,200 TFC Enterprises*................ 79,950
89,320 UMB Financial................... 3,327,169
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE> 8
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BANKING (CONTINUED)
16,200 Wainwright Bank & Trust......... $ 122,513
7,300 Wells Financial................. 99,463
20,600 WFS Financial*.................. 348,913
------------
36,130,964
------------
BUILDING -- 1.3%
44,900 AMREP*.......................... 244,144
1,300 D.R. Horton..................... 22,344
25 Dominion Homes*................. 213
88,800 Jacobs Engineering Group*....... 3,579,749
3,400 Matrix Service*................. 16,788
20,500 Meadow Valley*.................. 61,500
9,172 Michael Baker*.................. 71,083
3,400 NESCO*.......................... 13,175
3,700 Orleans Homebuilders*........... 5,781
18,100 Schuler Homes*.................. 175,344
49,700 Skyline......................... 1,059,231
31,000 The Rottlund Company*........... 108,500
34,400 Washington Homes*............... 335,400
------------
5,693,252
------------
CHEMICALS -- 2.8%
58,700 A. Schulman..................... 645,700
7,400 Albemarle....................... 149,388
15,400 American Pacific*............... 95,288
18,630 American Vanguard............... 144,383
31,700 Bairnco......................... 235,769
25,900 Celanese AG..................... 443,538
101,200 Dexter.......................... 7,169,392
56,600 H.B. Fuller..................... 1,627,249
17,800 International Specialty
Products*..................... 95,675
5,000 KMG Chemicals................... 23,125
11,800 Lubrizol........................ 232,313
17,400 The Scotts Company, Class A*.... 582,900
78,500 Wellman......................... 1,133,343
------------
12,578,063
------------
COMPUTER -- 0.3%
137,700 Micron Electronics*............. 1,239,300
------------
CONSTRUCTION MATERIALS -- 0.5%
22,600 Ameron International............ 830,550
14,200 Continental Materials*.......... 186,375
800 Devcon International*........... 5,800
31,700 Donnelly........................ 483,108
31,000 Lancaster Colony................ 761,438
4,200 Miller Building Systems*........ 35,175
------------
2,302,446
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DEFENSE -- 0.2%
11,900 Conrad Industries*.............. $ 94,456
10,200 Cubic........................... 243,525
16,700 EDO............................. 147,169
34,200 Kaman, Class A.................. 431,775
1,500 Pemco Aviation Group*........... 24,750
------------
941,675
------------
DRUGS -- 6.8%
61,600 Alpharma, Class A............... 3,765,300
51,450 Barr Laboratories*.............. 3,411,778
37,200 Biosite Diagnostics*............ 1,483,350
16,100 BioSpecifics Technologies*...... 47,294
15,000 Bradley Pharmaceuticals*........ 18,281
84,700 Cambrex......................... 3,133,900
5,000 CV Therapeutics*................ 388,906
61,500 Diagnostic Products............. 3,297,938
42,700 Dura Pharmaceuticals*........... 1,510,513
2,700 E-Z-EM*......................... 20,250
19,100 Ergo Science*................... 21,488
1,800 GelTex Pharmaceuticals*......... 84,263
18,000 Hi-Tech Pharmacal*.............. 76,500
34,900 Hycor Biomedical*............... 244,300
129,000 IDEXX Laboratories*............. 3,450,750
77,000 Medicis Pharmaceutical, Class
A*............................ 4,735,499
27,711 New Brunswick Scientific*....... 211,296
25,880 Nutraceutical International*.... 68,744
9,900 PDK Labs*....................... 48,881
255,800 Perrigo*........................ 1,750,631
800 Polydex Pharmaceuticals*........ 4,500
500 Quidel*......................... 2,156
263,400 SICOR*.......................... 2,699,850
2,100 Symbollon, Class A*............. 9,975
2,800 Texas Biotechnology*............ 45,640
------------
30,531,983
------------
DURABLES -- 0.6%
54,400 Coachmen Industries............. 567,800
57,800 Harman International
Industries.................... 2,259,980
21,000 Starcraft*...................... 73,500
------------
2,901,280
------------
ELECTRIC UTILITIES -- 2.1%
24,600 Bangor Hydro-Electric........... 595,013
58,300 Central Vermont Public
Service....................... 593,931
900 Maine Public Service............ 22,050
161,900 Public Service Co. of New
Mexico........................ 4,189,162
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE> 9
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC UTILITIES (CONTINUED)
145,300 RGS Energy Group................ $ 4,095,644
11,200 Westmoreland Coal*.............. 57,400
------------
9,553,200
------------
ELECTRONICS -- 13.0%
50,800 ACT Manufacturing* (b).......... 2,679,699
16,900 Actel*.......................... 607,344
30,000 Acuson*......................... 682,500
16,400 Allen Telecom*.................. 277,775
4,800 Alliance Semiconductor*......... 95,400
2,700 Analogic........................ 103,781
4,600 Arrow International............. 167,325
700 Ault*........................... 5,775
2,400 Barringer Technologies*......... 22,050
8,300 Blonder Tongue Laboratories*.... 49,800
35,300 Bogen Communications
International*................ 225,038
14,000 Catalyst Semiconductor*......... 132,125
4,700 Cobra Electronics*.............. 27,906
6,237 Comverse Technology*............ 673,596
40,000 CyberOptics*.................... 732,500
65,600 Datascope....................... 2,197,600
16,400 Datron Systems, California*..... 221,400
2,700 Datum*.......................... 70,200
33,900 Del Global Technologies*........ 334,763
23,800 Diodes*......................... 365,925
3,800.. DRS Technologies*............... 61,750
10,900.. Elamex S.A. de C.V.*............ 32,359
31,000.. Elantec Semiconductor*.......... 3,088,374
14,700.. EMS Technologies*............... 220,500
2,000.. Exar*........................... 242,000
63,900.. FEI*............................ 1,385,831
3,500.. Fischer Imaging*................ 11,375
85,400.. General Semiconductor*.......... 1,040,813
2,300.. Giga-tronics*................... 15,597
3,600.. Glenayre Technologies*.......... 39,150
95,600.. Haemonetics*.................... 2,437,799
10,300.. Hurco Companies*................ 41,200
168,700.. Imation*........................ 3,142,037
500.... Implant Sciences*............... 4,063
34,000.. Invacare........................ 1,092,250
13,600 Kewaunee Scientific............. 149,600
13,300 Lakeland Industries*............ 84,788
700 Logic Devices*.................. 1,356
9,800 Medical Action Industries*...... 38,588
10,100 Medstone International*......... 67,544
7,300 Merrimac Industries*............ 104,025
26,100 Microsemi*...................... 995,063
4,700 Microtest*...................... 21,150
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
21,100 Mine Safety Appliances.......... $ 465,519
40,200 Mitel*.......................... 824,100
2,600 MRV Communications*............. 117,813
2,000 Nanometrics*.................... 106,875
16,900 Napco Security Systems*......... 73,938
25,000 Natural MicroSystems*........... 1,344,922
3,900 PCD*............................ 44,363
460 Pericom Semiconductor*.......... 17,020
31,600 Planar Systems*................. 588,550
42,900 Plantronics*.................... 1,630,200
10,000 Programming & Systems* (a)...... 0
127,200 Respironics*.................... 2,122,650
5,200 Robinson Nugent*................ 88,400
31,100 Salient 3 Communications*....... 79,694
75,500 Sensormatic Electronics*........ 1,132,500
26,700 Sigmatron International*........ 80,100
4,200 Silicon Storage Technology*..... 114,188
17,000 Siliconix*...................... 802,188
10,700 SIPEX*.......................... 450,069
83,700 Standard Microsystems*.......... 1,825,706
35,000 STERIS*......................... 420,000
23,300 StockerYale*.................... 908,700
15,000 Sunrise Medical*................ 90,000
1,500 TCI International*.............. 13,313
37,200 Technitrol...................... 3,757,199
28,900 Teledyne Technologies*.......... 841,713
4,700 Therma-Wave*.................... 135,125
54,000 Tut Systems*.................... 4,660,874
73,200 Varian*......................... 3,152,174
118,700 Varian Medical Systems*......... 5,363,755
62,800 Varian Semiconductor Equipment
Associates*................... 2,351,075
10,800 Video Display*.................. 90,450
16,300 Vodavi Technology*.............. 36,675
21,500 Zoran*.......................... 1,048,125
------------
58,767,687
------------
FINANCIAL INVESTMENTS -- 1.5%
600 4Kids Entertainment*............ 10,125
18,700 Amplicon........................ 271,150
24,800 HPSC*........................... 171,864
25,300 International Aircraft
Investors*.................... 137,569
19,300 IPI*............................ 50,663
31,800 Penn Virginia................... 826,800
15,700 REFAC*.......................... 47,100
12,000 Rent-A-Center*.................. 416,250
32,600 Rent-Way*....................... 990,225
70,200 Security Capital Group, Class
B*............................ 1,329,413
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE> 10
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL INVESTMENTS
(CONTINUED)
26,000 Willis Lease Finance*........... $ 165,750
50,100 XTRA*........................... 2,226,318
------------
6,643,227
------------
FOOD -- 1.2%
15,700 Agribrands International*....... 684,913
5,800 Andersons....................... 50,025
1,400 Cagle's......................... 11,813
44,000 Corn Products International..... 1,001,000
55,000 Dreyer's Grand Ice Cream........ 1,185,938
4,100 Farmer Brothers................. 738,000
500 Griffin Land & Nurseries*....... 6,000
13,200 J & J Snack Foods*.............. 170,775
45,100 John B. Sanfilippo & Son*....... 180,400
5,300 M&F Worldwide*.................. 30,806
1,900 National Beverage*.............. 13,894
2,300 Penford......................... 35,650
6,200 Scheid Vineyards, Class A*...... 23,250
120 Seaboard........................ 19,500
54,500 Smithfield Foods*............... 1,430,624
------------
5,582,588
------------
HEALTH -- 2.3%
110,700 Coventry Health Care*........... 1,674,338
1,667 Dynacq International*........... 14,690
16,300 IntegraMed America*............. 34,638
28,690 Laboratory Corp. of America
Holdings*..................... 3,435,627
84,000 LifePoint Hospitals*............ 2,981,999
900 MEDTOX Scientific*.............. 9,788
1,200 Province Healthcare*............ 47,925
53,900 RehabCare Group*................ 2,290,750
------------
10,489,755
------------
HOUSEHOLD -- 2.4%
700 Allen Organ, Class B............ 46,375
19,700 American Biltrite............... 307,813
5,900 Associated Materials............ 82,600
4,100 Brady........................... 124,025
8,100 Chromcraft Revington*........... 65,813
4,400 Cybex International*............ 13,200
57,000 Direct Focus*................... 2,265,749
167,100 Flowserve*...................... 2,746,705
1,700 Genlyte Group*.................. 43,456
500 Global-Tech Appliances.......... 2,500
53,500 Gundle/SLT Environmental*....... 190,594
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HOUSEHOLD (CONTINUED)
19,900 K2*............................. $ 177,856
117,400 Kimball International, Class
B............................. 2,098,525
1,490 Knape & Vogt Manufacturing...... 20,953
2,200 Lazare Kaplan International*.... 14,025
5,200 Liqui-Box....................... 168,350
6,300 Mikasa.......................... 103,163
27,500 Mikohn Gaming*.................. 207,969
13,200 National Presto Industries...... 395,175
9,400 Pubco*.......................... 69,913
16,100 PW Eagle*....................... 233,450
1,000 Raven Industries................ 15,875
3,600 Rogers*......................... 113,850
71,400 Russ Berrie & Co................ 1,410,150
3,000 Summa Industries*............... 38,250
7,500 Trans-Lux....................... 34,688
4,000 UFP Technologies*............... 8,250
800 WMS Industries*................. 18,000
------------
11,017,272
------------
INSURANCE -- 2.6%
6,700 Amwest Insurance Group.......... 33,500
2,500 Bancinsurance*.................. 11,563
2,700 Citizens Financial, Class A*.... 34,425
15,200 CORE*........................... 91,200
60,000 Enhance Financial Services
Group......................... 780,000
6,200 Everest Re Group................ 306,900
7,000 Farm Family Holdings*........... 221,375
3,100 Fidelity National Financial..... 76,725
6,200 Financial Industries............ 55,800
22,600 Highlands Insurance Group*...... 211,875
7,810 Independence Holding............ 56,623
53,000 InterContinental Life*.......... 516,750
5,100 Interstate National Dealer
Services*..................... 30,281
7,100 Kansas City Life Insurance...... 234,300
2,000 Kaye Group...................... 11,875
1,400 Liberty......................... 48,475
20,700 Midland......................... 548,550
2,100 Motor Club of America*.......... 17,850
79,900 National Data................... 2,621,718
13,500 National Security Group......... 216,000
13,100 National Western Life Insurance,
Class A*...................... 956,300
69,800 PMA Capital..................... 1,256,400
17,400 RenaissanceRe Holdings.......... 1,112,513
39,900 Standard Management*............ 134,663
</TABLE>
See accompanying notes to the financial statements.
10
<PAGE> 11
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
100 United Trust Group*............. $ 625
56,800 W. R. Berkley................... 1,963,149
------------
11,549,435
------------
LIQUOR & TOBACCO -- 0.0%
4,000 Ravenswood Winery*.............. 56,500
3,000 Todhunter International*........ 21,000
------------
77,500
------------
MACHINERY -- 4.1%
13,000 Acme Electric*.................. 112,125
25,100 Aerovox*........................ 69,025
57,300 Ampco-Pittsburgh................ 587,325
9,200 BHA Group Holdings, Class A..... 131,100
15,600 Butler Manufacturing............ 357,825
8,000 Cascade......................... 124,500
5,500 Chicago Rivet & Machine......... 108,625
11,100 Edison Control*................. 66,600
37,300 Electro Scientific
Industries*................... 1,310,163
30,000 Fansteel*....................... 105,000
21,700 Farrel.......................... 29,159
5,600 Federal Screw Works............. 235,200
13,059 Flour City International*....... 45,707
6,300 Foilmark*....................... 35,831
500 General Bearing*................ 2,625
5,000 Gorman-Rupp..................... 82,188
3,900 Graco........................... 125,775
73,200 Griffon*........................ 553,575
5,300 Interlott Technologies*......... 58,300
31,700 Kennametal...................... 816,275
131,800 Kulicke & Soffa Industries*..... 1,754,587
6,700 L.S. Starrett, Class A.......... 128,975
190,500 Lennox International............ 1,785,937
176,100 Lincoln Electric Holdings....... 2,344,330
15,300 Maxco*.......................... 107,100
9,800 McClain Industries*............. 38,894
12,400 Mestek*......................... 203,050
17,600 MFRI*........................... 61,600
23,200 Middleby*....................... 139,200
6,100 Minuteman International......... 54,900
6,950 Oilgear......................... 60,161
12,800 P & F Industries*............... 96,000
100 Paul Mueller Co................. 2,975
8,900 Peerless Mfg.................... 165,206
18,400 Pitt-Des Moines................. 558,900
2,500 Q.E.P. Company*................. 15,469
7,400 Quipp........................... 186,850
12,000 Selas Corporation of America.... 71,250
1,100 Semitool*....................... 14,094
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
300 Shiloh Industries*.............. $ 2,325
122,000 Silicon Valley Group*........... 3,210,124
9,400 Snap-on......................... 221,488
17,000 Spectra-Physics Lasers*......... 910,563
29,000 Tecumseh Products, Class B...... 1,163,625
19,100 TransTechnology................. 116,988
15,500 Twin Disc....................... 259,625
------------
18,631,139
------------
MEDIA -- 3.1%
235,800 American Greetings, Class A..... 4,126,499
106,500 Banta........................... 2,595,938
151,400 Bowne & Co...................... 1,476,150
50 Courier......................... 1,450
3,300 Grey Global Group............... 2,045,278
18,700 Outlook Group*.................. 108,694
16,200 Pulitzer........................ 695,790
43,500 R. H. Donnelley*................ 918,938
49,500 Thomas Nelson................... 405,281
168,400 Topps*.......................... 1,547,175
1,800 Trimark Holdings*............... 16,875
------------
13,938,068
------------
METALS -- 1.9%
23,900 Cleveland-Cliffs................ 546,713
157,236 Harsco.......................... 3,469,019
5,400 Inco*........................... 87,075
3,100 Insteel Industries.............. 12,594
7,500 Intermet........................ 54,375
21,600 Lone Star Technologies*......... 996,840
115,200 Mueller Industries*............. 2,584,800
12,500 Niagara*........................ 46,875
23,500 Olin............................ 380,406
26,100 Olympic Steel*.................. 65,250
7,400 Southern Peru Copper............ 114,700
800 Wolverine Tube*................. 11,900
------------
8,370,547
------------
MISCELLANEOUS FINANCIAL -- 4.2%
5,000 Affiliated Managers Group*...... 284,688
16,900 Atalanta Sosnoff Capital*....... 166,888
49,200 Dain Rauscher................... 4,575,599
112,100 Eaton Vance..................... 5,717,099
2,200 Gabelli Asset Management, Class
A*............................ 66,000
4,300 JB Oxford Holdings*............. 15,453
31,500 John Nuveen, Class A............ 1,523,813
10,200 JWGenesis Financial*............ 103,275
21,900 M.H. Meyerson & Co.*............ 106,763
41,000 Maxcor Financial Group*......... 84,563
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE> 12
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
86,200 Morgan Keegan................... $ 1,508,500
6,600 Paulson Capital*................ 51,975
86,200 Raymond James Financial......... 2,839,212
13,635 Stifel Financial................ 182,368
68,500 Tucker Anthony Sutro............ 1,738,188
------------
18,964,384
------------
OFFICE MACHINERY -- 1.2%
2,006 Autologic Information
International*................ 6,143
74,500 Baldwin Technology, Class A*.... 135,031
11,700 Concord Camera*................. 299,813
14,300 Concurrent Computer*............ 271,700
725 Gradco Systems*................. 906
30,700 InFocus*........................ 1,627,100
101,500 Maxtor*......................... 1,065,750
156,000 Polaroid........................ 2,096,250
2,300 Rainbow Technologies*........... 81,363
4,200 Splash Technology Holdings*..... 38,850
------------
5,622,906
------------
OIL -- 3.0%
1,600 Barnwell Industries............. 27,800
11,700 Cabot Oil & Gas, Class A........ 238,388
49,700 Equity Oil*..................... 150,653
18,616 Greka Energy*................... 293,202
57,600 HS Resources*................... 1,936,800
2,300 Isramco*........................ 14,088
70,000 Louis Dreyfus Natural Gas*...... 2,773,749
1,500 Marine Petroleum Trust.......... 29,344
12,200 Miller Exploration*............. 24,400
3,000 Mitchell Energy & Development,
Class A....................... 139,875
37,500 Patina Oil & Gas................ 750,000
8,500 Remington Oil & Gas*............ 88,719
34,400 Spinnaker Exploration*.......... 1,199,700
47,900 St. Mary Land & Exploration..... 1,104,694
12,400 Texoil*......................... 90,675
111,200 Tom Brown*...................... 2,724,399
20,300 Triton Energy*.................. 791,700
43,800 Vintage Petroleum............... 996,450
------------
13,374,636
------------
OIL -- INTERNATIONAL -- 0.0%
7,100 Holly........................... 87,863
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION -- 0.2%
19,300 Getty Petroleum Marketing*...... $ 71,169
200 Meteor Industries*.............. 1,050
41,000 Quaker Chemical................. 697,000
------------
769,219
------------
OIL SERVICES -- 0.2%
900 Atwood Oceanics*................ 37,744
8,100 Oceaneering International*...... 134,663
7,400 Patterson Energy*............... 254,374
15,900 Petroleum Development*.......... 113,288
4,300 Precision Drilling*............. 153,187
3,400 UTI Energy*..................... 151,725
------------
844,981
------------
OTHER UTILITIES -- 0.3%
10,000 IT Group*....................... 47,500
18,700 NUI............................. 564,506
800 RGC Resources................... 15,350
51,700 Roy F. Weston, Class A*......... 193,875
6,200 Scherer Healthcare*............. 19,763
550 Sevenson Environmental
Services...................... 5,947
27,500 TRC Companies*.................. 488,125
------------
1,335,066
------------
PAPER -- 0.8%
1,900 Badger Paper Mills*............. 6,650
12,300 Baltek*......................... 84,563
6,800 Carmel Container Systems*....... 45,900
600 FiberMark*...................... 6,113
8,900 Greif Brothers, Class A......... 295,925
46,400 Lydall*......................... 530,700
29,100 Nashua*......................... 245,531
115,100 P.H. Glatfelter................. 1,395,587
53,900 Pope & Talbot................... 771,443
500 Rayonier........................ 17,969
20,700 Wausau-Mosinee Paper............ 160,425
------------
3,560,806
------------
REAL ESTATE ASSETS -- 5.7%
11,300 Abrams Industries............... 40,963
5,200 America First Mortgage
Investments................... 27,625
500 American Community Property
Trust*........................ 2,125
65,500 Amli Residential Properties
Trust......................... 1,572,000
16,400 Annaly Mortgage Management...... 149,650
104,900 Brandywine Realty Trust......... 2,124,224
65,800 Cabot Industrial Trust.......... 1,311,888
11,400 Captec Net Lease Realty......... 129,675
66,200 CBL & Associates Properties..... 1,659,138
202,200 Center Trust.................... 1,213,200
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE> 13
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
REAL ESTATE ASSETS (CONTINUED)
50,700 Charles E. Smith Residential
Realty........................ $ 2,300,512
169,300 Cornerstone Realty Income
Trust......................... 1,798,813
4,700 Corporate Office Properties
Trust......................... 46,706
13,000 DeWolfe Companies............... 94,250
5,600 First Industrial Realty Trust... 172,200
8,078 G&L Realty...................... 57,556
47,800 Glenborough Realty Trust........ 860,400
163,200 Healthcare Realty Trust......... 3,447,599
19,900 Highwoods Properties............ 470,138
14,700 ILX Resorts*.................... 23,888
400 Intergroup*..................... 7,825
14,400 J.W. Mays*...................... 126,000
1,400 LNR Property.................... 30,975
128,900 LTC Properties.................. 451,150
114,700 Macerich........................ 2,437,374
4,500 Mego Financial*................. 20,813
22,000 Newmark Homes*.................. 192,500
8,300 NZ*............................. 37,350
8,900 Pan Pacific Retail Properties... 178,000
133,801 Prentiss Properties Trust....... 3,495,550
41,800 Prime Group Realty Trust........ 658,350
28,200 SL Green Realty................. 791,363
1,500 W.P. Carey & Co. LLC............ 26,344
1,857 Wilshire Oil Company of
Texas*........................ 7,428
------------
25,963,572
------------
RETAIL/WHOLESALE -- 6.3%
2,250 Aceto........................... 21,938
12,800 All American Semiconductor*..... 258,400
4,300 Allou Health & Beauty, Class
A*............................ 23,381
4,910 AMCON Distributing.............. 26,391
4,200 Arden Group, Class A*........... 204,750
14,500 Aviall*......................... 93,344
58,200 Bell Microproducts*............. 1,818,749
34,200 Bindley Western Industries...... 1,094,400
9,400 Blair........................... 220,900
8,300 Bon-Ton Stores*................. 17,119
119,300 Burlington Coat Factory
Warehouse..................... 1,707,481
2,000 Cache*.......................... 5,500
6,100 Cantel Medical*................. 61,381
27,200 Cato, Class A................... 340,000
101,600 Central Garden & Pet Co.*....... 704,850
48,400 Chico's FAS*.................... 1,645,600
935 Crown Group*.................... 4,500
55,900 Discount Auto Parts*............ 429,731
64,100 Dress Barn*..................... 1,346,100
4,600 Ellett Brothers................. 12,075
7,600 Foodarama Supermarkets*......... 139,650
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
5,600 Friedman's, Class A............. $ 28,000
47,200 Gadzooks*....................... 843,700
19,900 Gart Sports Company*............ 263,675
19,000 Gottschalks*.................... 116,375
19,300 GTSI*........................... 62,725
24,200 Hancock Fabrics................. 121,000
47,600 Handleman*...................... 589,050
46 Holt's Cigar Holdings*.......... 161
26,700 Homeland Holding*............... 75,928
88,000 Hughes Supply................... 1,726,560
2,200 IIC Industries*................. 27,225
121,350 Insight Enterprises*............ 3,306,787
11,400 International Multifoods........ 198,075
3,700 J. Jill Group*.................. 47,638
1,600 Jaco Electronics*............... 24,000
10,100 Jacobson Stores*................ 43,872
24,150 Johnson Outdoors*............... 167,541
34,500 Katy Industries................. 241,500
7,200 Longs Drug Stores............... 137,700
2,500 McRae Industries, Class A....... 12,500
18,400 Noland.......................... 317,400
10,900 Nu Horizons Electronics*........ 303,156
33,900 OfficeMax*...................... 120,769
25,450 PC Connection*.................. 1,450,650
13,500 Performance Food Group*......... 507,938
3,500 Pomeroy Computer Resources*..... 66,281
12,200 PrimeSource..................... 61,000
9,630 Rag Shops*...................... 20,765
11,348 Reeds Jewelers*................. 19,859
6,100 Richardson Electronics.......... 102,175
50,200 Ruddick......................... 696,525
10,400 S&K Famous Brands*.............. 75,400
11,050 Schultz Sav-O Stores............ 118,788
57,600 SCP Pool*....................... 1,706,400
6,700 Sound Advice*................... 54,228
14,100 Specialty Catalog*.............. 35,250
15,900 Speizman Industries*............ 35,775
70,100 Spiegel, Class A*............... 490,700
28,400 Sport Chalet*................... 152,650
24,200 Sport Supply Group*............. 69,575
107,200 Stein Mart*..................... 1,159,100
19,700 Suprema Specialties*............ 158,523
3,100 Surge Components*............... 13,950
27,900 Swiss Army Brands*.............. 156,938
74,800 Syms*........................... 289,850
9,000 Taitron Components, Class A*.... 33,750
3,000 Tractor Supply*................. 33,000
123,500 Trans World Entertainment*...... 1,235,000
</TABLE>
See accompanying notes to the financial statements.
13
<PAGE> 14
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
63,000 Value City Department Stores*... $ 519,750
20,200 Village Supermarket, Class A*... 242,400
3,100 Wickes*......................... 18,600
14,800 Wolohan Lumber.................. 148,925
------------
28,625,322
------------
SERVICES -- 13.2%
61,900 3DO*............................ 413,956
3,500 4Front Technologies*............ 63,656
56,900 ADVO*........................... 1,877,700
800 American Management Systems*.... 13,750
2,300 American Software, Class A*..... 7,834
48,500 Angelica........................ 469,844
5,400 Argosy Education Group, Class
A*............................ 38,138
4,400 ASA International*.............. 13,750
90,900 Aspen Technology*............... 4,101,862
25,000 Autodesk........................ 634,375
116,000 Avant!*......................... 2,117,000
125,800 AXENT Technologies*............. 2,712,563
4,200 BarPoint.com*................... 14,306
45,700 Barra*.......................... 2,836,256
15,800 Bell Industries................. 36,538
4,600 Catalyst International*......... 21,275
400 CDI*............................ 6,400
600 Cellular Technical Services*.... 4,950
97,600 Cerner*......................... 4,532,299
38,300 Children's Comprehensive
Services*..................... 131,656
1,500 Corinthian Colleges*............ 88,500
76,500 Corporate Executive Board*...... 3,079,124
6,400 Corrpro Companies*.............. 25,600
23,454 CSP*............................ 134,861
36,700 Documentum*..................... 2,979,580
5,800 Dynamics Research*.............. 43,500
1,000 Eclipsys*....................... 16,000
2,800 Elite Information Group*........ 18,900
25,200 Exponent*....................... 215,775
2,600 First American.................. 54,275
44,900 Franklin Covey*................. 328,331
15,150 FTI Consulting*................. 119,306
30 General Employment
Enterprises................... 101
34,222 Group 1 Software*............... 701,551
3,900 GSE Systems*.................... 9,263
29,700 GTECH Holdings*................. 491,906
15,200 GZA GeoEnvironmental
Technologies*................. 95,000
8,900 Healthcare Services Group*...... 43,944
74,200 IMRglobal*...................... 862,575
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
1,600 Intelligent Systems............. $ 6,600
57,200 JDA Software Group*............. 729,300
64,200 Kelly Services, Class A......... 1,516,725
1,000 Korn/Ferry International*....... 37,813
30,700 LCC International, Class A*..... 445,150
34,100 Learning Tree International*.... 1,624,013
600 Manatron*....................... 2,681
41,900 Manugistics Group*.............. 4,111,437
19,600 Marlton Technologies*........... 24,500
303,700 Mentor Graphics*................ 7,155,930
7,700 Monro Muffler Brake*............ 83,738
7,200 National Technical Systems...... 22,500
5,100 NextHealth*..................... 19,125
27,100 Opinion Research*............... 196,475
4,900 Paradigm Geophysical*........... 31,544
81,000 Pharmacopeia*................... 2,065,500
82,700 Phoenix Technologies*........... 1,318,031
11,700 Professional Detailing*......... 666,900
25,000 Quality Systems*................ 168,750
2,000 SeaChange International*........ 66,750
2,112 Simione Central Holdings*....... 6,732
15,000 Software Spectrum* (b).......... 148,125
9,600 SOS Staffing Services*.......... 24,000
108,600 Spherion*....................... 1,296,413
125,800 Structural Dynamics Research*... 2,059,975
17,000 STV Group*...................... 127,500
4,600 Symantec*....................... 202,400
5,400 Symix Systems*.................. 29,869
29,500 Symyx Technologies*............. 1,279,563
122,700 Systems & Computer
Technology*................... 2,154,919
2,750 TALX*........................... 70,813
300 Team*........................... 900
17,800 Tecnomatix Technologies*........ 223,613
600 Teltronics*..................... 1,463
4,500 Thomas Group*................... 31,500
54,700 Tier Technologies, Class B*..... 401,703
41,878 Titan*.......................... 690,987
5,050 Trio-Tech International*........ 30,300
16,000 Volt Information Sciences*...... 344,000
9,058 VSE............................. 61,142
45,900 Westaff*........................ 183,600
------------
59,019,179
------------
SOAPS & COSMETICS -- 0.6%
45,329 Block Drug Company, Class A..... 1,954,813
39,200 Cascade International * (a)
(b)........................... 0
29,200 CPAC............................ 233,600
</TABLE>
See accompanying notes to the financial statements.
14
<PAGE> 15
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS (CONTINUED)
2,400 Guest Supply*................... $ 44,250
8,500 Inter Parfums*.................. 74,375
12,700 NCH............................. 448,469
------------
2,755,507
------------
TELEPHONE -- 0.0%
100 Atlantic Tele-Network........... 1,100
500 Boston Communications Group*.... 9,625
11,700 Hector Communications*.......... 152,100
------------
162,825
------------
TEXTILES -- 2.6%
70,300 Albany International, Class
A*............................ 843,600
7,200 Ashworth*....................... 56,700
64,400 Cyrk*........................... 221,375
7,100 Deckers Outdoor*................ 38,606
12,875 Decorator Industries............ 54,719
15,800 G-III Apparel Group*............ 114,056
19,800 Garan........................... 440,550
25,200 Guess?*......................... 283,500
3,300 Haggar.......................... 41,250
5,900 Hampshire Group*................ 47,200
5,700 Jos. A. Bank Clothiers*......... 25,650
5,600 JPS Industries*................. 28,000
52,600 Kellwood........................ 959,950
6,250 Kenneth Cole Productions*....... 220,703
29,100 Leslie Fay Company*............. 101,850
41,500 Mohawk Industries*.............. 905,219
20,972 Quaker Fabric*.................. 110,103
111,200 Russell......................... 1,765,299
6,200 Saucony, Class A*............... 59,288
23,400 Skechers U.S.A., Class A*....... 353,925
38,100 Sport-Haley*.................... 161,925
42,600 Springs Industries, Class A..... 1,200,788
81,800 Stride Rite..................... 414,113
3,100 Superior Uniform Group.......... 23,444
77,000 Timberland, Class A*............ 3,156,999
------------
11,628,812
------------
TRANSPORTATION -- 2.8%
1,000 Alexander & Baldwin............. 26,000
5,400 Ambassadors International*...... 100,913
92,700 American Freightways*........... 1,471,613
6,700 Avalon Holdings, Class A*....... 20,519
1,450 Boyd Brothers Transportation*... 6,072
37,200 Circle International Group...... 1,125,300
6,600 Emons Transportation Group*..... 11,138
55,200 Forward Air*.................... 1,942,349
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION (CONTINUED)
34,300 Fritz Companies*................ $ 411,600
500 Kenan Transport................. 12,250
35,600 Landstar System*................ 1,588,649
2,050 Marten Transport*............... 27,163
3,300 Motor Cargo Industries*......... 20,213
57,900 Navigant International*......... 607,950
13,100 Old Dominion Freight Line*...... 132,638
12,800 Roadway Express................. 229,600
63,750 SEACOR SMIT*.................... 2,972,343
4,900 U.S. Xpress Enterprises, Class
A*............................ 30,931
39,100 USFreightways................... 887,081
78,200 Yellow*......................... 1,182,775
------------
12,807,097
------------
TRAVEL/ENTERTAINMENT -- 3.2%
1,400 Anchor Gaming*.................. 111,388
2,300 Ark Restaurants*................ 21,131
142,000 Aztar*.......................... 2,183,249
20,700 Black Hawk Gaming &
Development*.................. 135,844
5,600 Bob Evans Farms................. 103,600
18,600 Boca Resorts, Class A*.......... 203,438
47,000 Buffets*........................ 646,250
131,400 CBRL Group...................... 1,888,874
39,400 Dollar Thrifty Automotive
Group*........................ 778,150
25,200 Fresh Choice*................... 69,300
4,800 Frisch's Restaurants............ 49,500
13,500 Garden Fresh Restaurant*........ 157,781
20,500 Isle of Capri Casinos*.......... 317,750
10,200 Janus Hotels and Resorts*....... 12,750
4,000 Jerry's Famous Deli*............ 18,000
23,600 Lakes Gaming*................... 203,550
100,300 Landry's Seafood Restaurants.... 683,294
81,900 Lone Star Steakhouse &
Saloon*....................... 604,013
8,000 Max & Erma's Restaurants*....... 70,000
19,500 Mexican Restaurants*............ 53,625
38,100 Movie Gallery*.................. 147,638
37,000 MTR Gaming Group*............... 300,625
100 NPC International*.............. 978
21,700 Panera Bread*................... 452,988
25,200 Pinnacle Entertainment*......... 548,100
150,500 Prime Hospitality*.............. 1,523,813
6,300 Quintel Communications*......... 38,194
9,700 Roadhouse Grill*................ 32,131
106,100 Ryan's Family Steak Houses*..... 815,644
21,600 Sonesta International Hotels,
Class A....................... 210,600
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE> 16
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT (CONTINUED)
126,800 Station Casinos*................ $ 1,806,899
35,500 Sunburst Hospitality*........... 239,625
17,610 Uno Restaurant*................. 119,968
------------
14,548,690
------------
TOTAL COMMON STOCKS
(COST $398,170,697)........... 447,722,378
------------
REPURCHASE AGREEMENT -- 0.7%
State Street Bank, dated
9/29/00, due 10/2/00 at 3.50%
with a maturity value of
$3,125,911 (Collateralized by
$3,165,000 FNMA, 6.00%,
7/16/01, market value --
$3,189,051)................... 3,125,000
------------
TOTAL REPURCHASE AGREEMENT
(COST $3,125,000)............. 3,125,000
------------
SECURITIES HELD AS COLLATERAL ON
SECURITIES LOANED -- 0.0%
AIM Liquid Assets Portfolio..... 80,039
Federated Treasury Obligations
Fund.......................... 1,618
Scudder Money Market Series..... 122,814
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<C> <S> <C>
TOTAL SECURITIES HELD AS
COLLATERAL ON SECURITIES
LOANED
(COST $204,471)............... $ 204,471
------------
TOTAL INVESTMENTS
(COST $401,500,168)
(c) -- 99.8%.................. 451,051,849
------------
COLLATERAL AS SECURITIES
LOANED -- (0.0)%.............. (204,471)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.2%........... 900,199
------------
TOTAL NET ASSETS -- 100.0%...... $451,747,577
============
</TABLE>
---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) Securities on loan.
(c) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 83,714,936
Unrealized depreciation............... (34,163,255)
------------
Net unrealized appreciation........... $ 49,551,681
============
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE> 17
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG JAPAN FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/00
<TABLE>
<CAPTION>
SINCE
FISCAL LAST 1 LAST 3 LAST 5 LAST 10 INCEPTION
YTD YEAR YEARS YEARS YEARS (10/22/96)
------ ------ ------ ------ ------- ----------
<S> <C> <C> <C> <C> <C> <C>
Institutional Shares (JPYIX)............... -15.91% -10.49% 4.05% -4.24% 0.03%
Investor Shares............................ -15.97% -10.65% 3.85% -4.68%
TOPIX(1)................................... -17.85% -3.11% 6.64% -0.60% 2.77% -0.13%
</TABLE>
Japanese equities declined to their lowest levels and were the worst
performers compared with equities traded in other regional markets. The major
factors contributing to the decline were concerns over further weaknesses in
U.S. markets, the impact of major bankruptcies and a market correction for
high-flying growth stocks. The TOPIX posted a loss of 13.78% in local currency
or -17.85% in U.S. dollar terms for the six months ended September 30, 2000.
The second and the third quarters of 2000 saw a continuation of the
correction in the spread between growth and value stocks. Profit taking in
expensive information technology shares, especially from foreigners, pushed the
growth stocks down while active purchases from "value type" investment trust
funds helped to narrow down the spread between value and growth stocks. Value
stocks outperformed growth stocks by 19.60% for the six-month period.
The stronger value stock environment was favorable for the Fund relative to
the TOPIX. The Manager's stock selection models tend to select stocks that are
seen as under-priced relative to their fundamentals when compared with other
similar stocks. The Fund outperformed its benchmark, the TOPIX, by just under 2%
for the six months ended September 30, 2000.
In addition to the value bias of the portfolio, risk exposure factors
attributed to the positive relative performance, primarily the Fund's negative
exposure to price momentum stocks and a positive exposure to high yield stocks.
An 8% overweighting in the electronics industry also helped relative
performance.
Total returns for the Institutional Shares represents the historical
performance for the Rosenberg Series Trust Japan Series which was launched in
February 1989 until it was converted to the Barr Rosenberg Japan Series on
August 5, 1996. On July 31, 2000, the name of the Fund was changed to the AXA
Rosenberg Japan Fund, and the Select Shares were renamed the Investor Shares.
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 AXA
Rosenberg 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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
---------------
(1) The Tokyo Stock Price Index (TOPIX) is the benchmark for the AXA Rosenberg
Japan Fund. It is an unmanaged index of approximately 1,400 Japanese
companies. Investors cannot invest directly in any Index.
17
<PAGE> 18
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG JAPAN FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS -- 83.5%
AUTOS -- 4.5%
2,000 Fuji Heavy Industries........... $ 12,438
2,000 Keihin.......................... 15,547
3,000 Mazda Motor..................... 5,830
1,000 Mitsubishi Motors*.............. 3,072
2,000 Suzuki Motor.................... 20,784
2,000 Yamaha Motor Co. ............... 14,992
------------
72,663
------------
BANKING -- 11.3%
10 Mizuho Holdings................. 82,362
6,000 The Asahi Bank.................. 24,709
5,000 The Daiwa Bank.................. 11,383
4,000 The Sanwa Bank.................. 35,610
6,000 The Tokai Bank.................. 30,483
------------
184,547
------------
BUILDING -- 2.0%
1,000 Chudenko........................ 11,614
400 Daito Trust Construction Co. ... 6,474
2,000 Daiwa House Industry Co. ....... 13,974
------------
32,062
------------
CHEMICALS -- 2.1%
4,000 Mitsubishi Chemical............. 13,881
1,000 Mitsui Chemicals................ 4,451
3,000 Sumitomo Chemical Co. .......... 14,937
------------
33,269
------------
CONSTRUCTION MATERIALS -- 2.2%
2,000 Matsushita Electric Works....... 23,006
2,000 Mitsubishi Plastics............. 3,961
2,000 Tokuyama........................ 8,939
------------
35,906
------------
DRUGS -- 5.7%
1,000 Chugai Pharmaceutical Co. ...... 18,166
2,000 Nikken Chemicals Co. ........... 7,070
2,000 Sankyo Co. ..................... 44,513
2,000 Tanabe Seiyaku Co. ............. 15,195
2,000 Tsumura & Co.*.................. 6,848
------------
91,792
------------
DURABLES -- 9.2%
2,000 Kenwood......................... 7,311
4,000 Matsushita Electric
Industrial Co. ............... 104,757
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DURABLES (CONTINUED)
1,000 Matsushita-Kotobuki Electronics
Industries.................... $ 19,572
2,000 Victor Company of Japan*........ 17,120
------------
148,760
------------
ELECTRIC UTILITIES -- 0.9%
900 Kyushu Electric Power........... 14,017
------------
ELECTRONICS -- 9.8%
200 Keyence......................... 69,220
4,000 Mitsubishi Electric............. 33,130
2,000 Nissho.......................... 16,250
2,000 Shindengen Electric Mfg. Co. ... 13,048
2,000 Toshiba TEC..................... 8,292
2,000 Yokogawa Electric............... 18,342
------------
158,282
------------
FOOD -- 0.7%
1,000 Kinki Coca-Cola Bottling Co. ... 10,550
------------
HOUSEHOLD -- 0.7%
1,000 Tenma........................... 11,466
------------
INSURANCE -- 0.4%
2,000 The Dai-Tokyo Fire & Marine
Insurance
Co. ............................ 6,052
------------
LIQUOR & TOBACCO -- 1.5%
1,000 Asahi Breweries................. 8,958
2 Japan Tobacco................... 15,695
------------
24,653
------------
MACHINERY -- 4.4%
100 Disco........................... 13,335
2,000 Hitachi Koki Co. ............... 5,960
100 Mabuchi Motor Co. .............. 12,798
2,000 Makita.......................... 15,880
2,000 Nitto Electric Works............ 16,287
2,000 Tokyo Kikai Seisakusho.......... 7,385
------------
71,645
------------
MEDIA -- 1.1%
30 Nippon Television Network....... 17,240
------------
MISCELLANEOUS FINANCIAL -- 3.8%
3,000 Daiwa Securities Co. ........... 35,175
3,000 The Nikko Securities Co. ....... 26,652
------------
61,827
------------
OFFICE MACHINERY -- 5.6%
4,000 NEC............................. 90,875
------------
</TABLE>
See accompanying notes to the financial statements.
18
<PAGE> 19
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG JAPAN FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL DISTRIBUTION -- 0.3%
2,000 Koa Oil Company................. $ 5,127
------------
REAL ESTATE ASSETS -- 0.6%
2,000 Sumitomo Realty & Development
Co. .......................... 10,457
------------
RETAIL/WHOLESALE -- 2.0%
2,000 Kasumi Co. ..................... 8,218
3,000 Mitsui & Co. ................... 18,739
2,000 Tokyu Store Chain Co. .......... 6,034
------------
32,991
------------
SERVICES -- 6.9%
3,000 Fujitsu......................... 69,684
200 Fujitsu Business Systems........ 4,627
4 NTT Data Communications
Systems....................... 37,016
------------
111,327
------------
TELEPHONE -- 5.9%
4 DDI............................. 26,282
7 Nippon Telegraph and
Telephone..................... 68,665
------------
94,947
------------
TRANSPORTATION -- 0.9%
3 West Japan Railway.............. 13,853
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT -- 1.0%
300 Heiwa........................... $ 5,969
300 Sankyo Co., Gunma............... 10,994
------------
16,963
------------
TOTAL INVESTMENTS
(COST $1,418,681)
(a) -- 83.5%.................. 1,351,271
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 16.5%.......... 266,232
------------
TOTAL NET ASSETS -- 100.0%...... $ 1,617,503
============
</TABLE>
---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation.................. $133,077
Unrealized depreciation.................. (200,487)
--------
Net unrealized depreciation.............. $(67,410)
========
</TABLE>
See accompanying notes to the financial statements.
19
<PAGE> 20
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
--------------------------------------------------------------------------------
PERFORMANCE UPDATE AS OF 9/30/00 -- AVERAGE ANNUAL TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE SINCE
FISCAL LAST 1 LAST 3 INCEPTION INCEPTION
YTD YEAR YEARS (9/23/96) (10/29/96)
------ ------ ------ --------- ----------
<S> <C> <C> <C> <C> <C>
Institutional Shares (ICSIX)......................... -3.13% 8.79% 6.13% 4.87%
Investor Shares...................................... -3.23% 8.51% 5.71% 4.58%
CRIexUS(1)........................................... -7.10% -3.24% 0.90% -0.15% -0.16%
</TABLE>
The second and third quarters of 2000 were marked by volatility. The
continued rise in oil prices, the embattled euro and disappointing earnings news
around the world cast a shadow on the stock markets. After a strong performance
in June, markets lost ground in July, due to worries over U.S. interest rate
increases. In August, optimism returned, and the broad market regained its
strength. However, this positive sentiment was dampened in September by the rise
in oil prices and uncertainty over the euro. For the six months, international
small stocks, as measured by the Cazenove Rosenberg Global Smaller Companies
Index excluding the U.S. (CRIexUS), lost 7.10%. The Salomon Smith Barney World
ex U.S. Extended Markets Index, another notable benchmark for international
mid/small stocks, was down 6.92%.
The European markets experienced a period of negative returns. Several
high-profile companies issued disappointing earnings or profit warnings for the
third quarter. The situation was exacerbated by worries and discontent over the
rise in oil prices, which resulted in the "petrol crisis" in both France and the
U.K. that almost brought the two countries to a standstill. After stabilizing in
the second quarter, the euro fell against the U.S. dollar in the third quarter
further eroding confidence. The various central banks eventually had to
intervene to halt the slide. Denmark's decision on not to join the euro added
another level of uncertainty. The British pound also suffered in the midst of
all these developments, only to recover slightly at the end of September. For
the six months, European small stocks lost 7.28%(2).
The Japanese market is still struggling to emerge from a 10-year malaise.
Investors, domestic and foreign alike, returned to Japanese value stocks during
the second and third quarters of 2000. For the six months, small stocks lost
7.59%. There was speculation that the Japanese government would end the zero
interest rate policy. This created mixed reactions in the economy. In the end,
the zero interest rate policy continued to reign. Elsewhere in Asia, markets
posted losses during the second and third quarters. Technology and
internet-related stocks plummeted during September. On the other hand, the
privatization of the Hong Kong Mass Transit Railway was well received by
investors. This is an indication that investors have shifted toward the
defensive sectors of the market at the expense of the internet sector. Small
stocks lost 7.57% for the Pacific ex Japan region.
Canadian stocks surpassed other markets by maintaining their value during
the second and third quarters. Domestic spending remained strong and investors'
confidence remained high. In addition to the companies specializing in natural
resources, there have been more and more quality Canadian companies focusing on
telecommunications and networks. This unusual combination has provided an
internal diversification within the Canadian market. Indeed, this has buffered
volatility and enabled the Canadian market to emerge as one of the few markets
posting positive returns year to date. For the six months, small stocks gained
8.14%.
The Fund outperformed its benchmark, the Cazenove Rosenberg Global Smaller
Companies Index excluding the U.S. (CRIexUS), for the six months ended September
30, 2000. The outperformance was a combination of stock selection and risk
management. The Manager strives to add value consistently through bottom-up
stock selection and avoids heavy
20
<PAGE> 21
bets on countries and industries. The portfolio closely tracks the country and
industry exposures of its 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. Since
inception, the Fund's performance has also exceeded that of the benchmark.
On July 31, 2000, the name of the Fund was changed to the AXA Rosenberg
International Small Capitalization Fund, and the Select Shares were renamed the
Investor Shares.
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.
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.
AXA Rosenberg Mutual Funds 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 AXA Rosenberg International Small
Capitalization Fund. It is an unmanaged index of non-U.S. small
capitalization companies with market capitalization up to $11.6 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) Small stock returns are based on individual country and regional CRIexUS.
21
<PAGE> 22
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS -- 96.8%
AUSTRALIA -- 2.4%
Chemicals -- 0.1%
53,600 Ticor......................... $ 42,090
13,700 Wattyl........................ 21,664
-----------
63,754
-----------
Construction Materials -- 0.2%
106,600 Origin Energy................. 109,688
-----------
Financial Investments -- 0.0%
3,500 Platinum Capital.............. 2,805
-----------
Food -- 0.3%
160,500 Burns, Philp & Company*....... 45,198
88,900 Goodman Fielder............... 57,532
110,000 Ridley Corporation............ 35,147
-----------
137,877
-----------
Household -- 0.2%
99,400 Pacific Dunlop................ 82,576
-----------
Liquor & Tobacco -- 0.2%
29,700 Southcorp..................... 82,464
-----------
Media -- 0.1%
32,800 Prime Television.............. 37,302
-----------
Metals -- 0.1%
10,400 Crane Group................... 45,621
-----------
Oil -- 0.2%
8,200 Henry Walker Eltin Group...... 5,462
4,600 Novus Petroleum*.............. 4,235
66,900 QCT Resources................. 47,099
14,600 Santos........................ 49,812
-----------
106,608
-----------
Oil Distribution -- 0.2%
34,900 Caltex Australia.............. 44,227
43,900 Orogen Minerals............... 36,137
-----------
80,364
-----------
Real Estate Assets -- 0.0%
40,400 Normandy Mt. Leyshon.......... 15,753
-----------
Retail/Wholesale -- 0.2%
8,300 Atkins Carlyle................ 11,956
26,900 G.U.D. Holdings............... 23,600
29,000 Metcash Trading............... 6,596
37,800 Spicers Paper................. 43,398
-----------
85,550
-----------
Telephone -- 0.0%
8,600 Uecomm*....................... 7,452
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
AUSTRALIA (CONTINUED)
Transportation -- 0.0%
10,471 Hills Motorway Group.......... $ 23,079
-----------
Travel/Entertainment -- 0.6%
33,600 Jupiters...................... 57,864
30,357 Spotless Group................ 103,572
45,700 Ten Network Holdings.......... 62,640
32,500 Village Roadshow.............. 27,105
-----------
251,181
-----------
1,132,074
-----------
BELGIUM -- 1.2%
Banking -- 0.3%
143 Banque Nationale de
Belgique.................... 153,443
-----------
Building -- 0.6%
840 Societe Belge des Betons...... 296,494
-----------
Electronics -- 0.3%
6,910 SAIT-RadioHolland*............ 128,719
-----------
578,656
-----------
CANADA -- 4.9%
Banking -- 0.2%
4,300 Laurentian Bank of Canada..... 72,589
2,300 Trilon Financial, Class A..... 15,821
-----------
88,410
-----------
Chemicals -- 0.1%
13,900 Methanex*..................... 68,362
-----------
Electric Utilities -- 0.2%
3,400 ATCO, Class I................. 82,479
-----------
Insurance -- 0.2%
700 E-L Financial................. 81,415
-----------
Liquor & Tobacco -- 0.0%
500 Molson, Class A............... 11,382
-----------
Media -- 0.6%
2,400 Chum, Class B................. 106,870
5,500 Cinram International.......... 21,018
200 Hollinger..................... 2,094
6,700 Torstar, Class B.............. 97,964
4,500 TVA Group, Class B............ 56,824
-----------
284,770
-----------
Metals -- 0.4%
6,800 Dofasco....................... 103,946
15,900 Stelco, Class A............... 68,159
-----------
172,105
-----------
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE> 23
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
Miscellaneous
Financial -- 0.1%
2,700 Fahnestock Viner Holdings,
Class A..................... $ 59,217
-----------
Oil -- 0.6%
8,048 Anderson Exploration*......... 175,982
300 Cabre Exploration*............ 3,090
2,900 Chieftain International*...... 59,749
1,300 Gulf Canada Resources*........ 6,869
5,149 Husky Energy*................. 47,738
-----------
293,428
-----------
Oil Services -- 0.3%
3,700 Precision Drilling*........... 132,421
-----------
Other Utilities -- 0.1%
3,500 BC Gas........................ 65,946
-----------
Paper -- 0.9%
6,600 Canfor........................ 43,865
5,500 Cascades...................... 26,319
15,100 Domtar........................ 129,460
4,700 Fletcher Challenge Canada,
Class A..................... 52,322
10,300 Nexfor........................ 48,945
6,200 Tembec*....................... 61,191
-----------
362,102
-----------
Real Estate Assets -- 0.4%
8,700 Brookfield Properties......... 140,217
6,200 Cambior....................... 2,514
4,800 Franco Nevada Mining.......... 47,214
-----------
189,945
-----------
Retail/Wholesale -- 0.0%
4,800 Emco*......................... 16,589
-----------
Services -- 0.1%
2,900 Open Text*.................... 56,087
85 Philip Services*.............. 353
-----------
56,440
-----------
Telephone -- 0.6%
535 Aliant........................ 13,227
2,600 Cogeco........................ 72,144
6,000 Manitoba Telecom Services..... 120,627
6,700 Telesystem International
Wireless*................... 94,624
-----------
300,622
-----------
Travel/Entertainment -- 0.1%
1,433 Corus Entertainment, Class
B*.......................... 40,953
-----------
2,306,586
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DENMARK -- 3.6%
Banking -- 3.3%
45,200 Sydbank....................... $ 1,513,039
-----------
Food -- 0.3%
7,500 Aarhus Oliefabrik, Class A.... 143,715
-----------
1,656,754
-----------
FINLAND -- 5.4%
Chemicals -- 1.6%
146,000 Kemira........................ 762,696
-----------
Electric Utilities -- 1.0%
137,500 Fortum........................ 467,133
-----------
Insurance -- 0.2%
3,000 Pohjola Group Insurance, Class
B........................... 115,818
-----------
Machinery -- 0.8%
30,200 Partek........................ 351,769
-----------
Paper -- 1.2%
52,700 Metsa Serla, Class B.......... 346,453
23,000 Stora Enso.................... 192,607
-----------
539,060
-----------
Real Estate Assets -- 0.6%
1,125,600 Polar Real Estate*............ 258,246
-----------
2,494,722
-----------
FRANCE -- 6.8%
Banking -- 0.2%
3,992 Via Banque.................... 111,667
-----------
Building -- 1.1%
4,250 Groupe GTM.................... 495,039
-----------
Electronics -- 0.6%
1,377 Sagem......................... 293,932
-----------
Financial Investments -- 0.2%
1,881 Societe Fonciere, Financiere
Et De Participations........ 114,197
-----------
Food -- 1.9%
8,900 Eridania Beghin-Say........... 765,722
387 Sucriere de Pithiviers Le
Vieil....................... 111,670
-----------
877,392
-----------
Machinery -- 1.0%
3,713 Dynaction..................... 93,870
3,860 NSC Groupe.................... 381,830
-----------
475,700
-----------
Metals -- 0.4%
4,026 Vallourec..................... 169,461
-----------
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE> 24
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Paper -- 0.4%
35 Exacompta Clairefontaine...... $ 2,397
13,405 Worms et Compagnie............ 202,274
-----------
204,671
-----------
Retail/Wholesale -- 1.0%
63 Naf Naf*...................... 723
7,685 Rallye........................ 416,379
631 Safic Alcan & Cie............. 28,286
-----------
445,388
-----------
3,187,447
-----------
GERMANY -- 7.9%
Banking -- 1.8%
61,200 Bankgesellschaft Berlin....... 853,268
-----------
Building -- 0.3%
6,070 Hochtief...................... 125,605
-----------
Drugs -- 0.2%
700 Altana........................ 80,294
-----------
Electric Utilities -- 0.4%
8,980 Bewag Aktiengesellschaft,
Class A..................... 92,713
5,704 Hamburgische Electricitaets
Werke....................... 100,667
-----------
193,380
-----------
Electronics -- 2.5%
6,440 Fresenius..................... 1,230,328
-----------
Machinery -- 0.6%
25,345 Sartorius..................... 257,198
-----------
Retail/Wholesale -- 0.1%
5,400 Baywa......................... 29,782
-----------
Services -- 2.0%
12,960 Brokat*....................... 924,045
-----------
3,693,900
-----------
HONG KONG -- 2.8%
Airlines -- 0.1%
24,000 Hong Kong Aircraft
Engineering................. 39,708
-----------
Banking -- 0.6%
24,000 Guoco Group................... 57,715
92,000 HKCB Bank Holding Company..... 25,369
50,000 International Bank of Asia.... 10,838
20,000 JCG Holdings.................. 11,287
56,000 Liu Chong Hing Bank........... 55,663
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Banking (continued)
60,000 Sun Hung Kai & Co............. $ 10,620
24,000 Wing Lung Bank................ 89,882
-----------
261,374
-----------
Building -- 0.0%
50,000 Hong Kong Construction
(Holdings)*................. 9,491
2,000 Shui On Construction and
Materials................... 2,309
-----------
11,800
-----------
Durables -- 0.0%
360,000 Starlight International
Holdings.................... 11,081
-----------
Electric Utilities -- 0.1%
355,000 China Travel International
Investment Hong Kong........ 46,897
-----------
Electronics -- 0.2%
220,000 Wong's International
Holdings.................... 76,184
-----------
Financial Investments -- 0.0%
84,000 Peregrine Investment
Holdings* (a)............... 0
-----------
Food -- 0.1%
162,000 China Foods Holdings.......... 29,504
45,000 Lam Soon Hong Kong*........... 8,369
-----------
37,873
-----------
Household -- 0.0%
36,000 Shell Electric Manufacturing
Company..................... 7,064
-----------
Liquor & Tobacco -- 0.0%
36,000 San Miguel Brewery Hong
Kong........................ 5,725
-----------
Machinery -- 0.1%
6,000 ASM Pacific Technology........ 13,659
170,000 Techtronic Industries
Company..................... 42,517
-----------
56,176
-----------
Media -- 0.1%
74,000 South China Morning Post...... 56,471
-----------
Real Estate Assets -- 0.7%
327,000 Chinese Estates Holdings*..... 38,585
125,000 Continental Mariner
Investment.................. 20,040
17,000 Hopewell Holdings............. 6,323
10,000 Kerry Properties.............. 14,172
8,000 Lee Hing Development.......... 2,052
40,000 Liu Chong Hing Investment..... 22,573
329,000 Mingly........................ 21,098
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE> 25
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HONG KONG (CONTINUED)
Real Estate Assets (continued)
310,000 New Asia Realty & Trust....... $ 67,591
165,000 Realty Development............ 36,188
4,000 Sino Land Company............. 2,001
202,000 Tai Cheung Holdings........... 30,312
66,000 Wheelock and Company.......... 52,059
12,000 Wing On Co. International..... 4,425
-----------
317,419
-----------
Retail/Wholesale -- 0.2%
76,000 Dickson Concepts
International............... 50,687
28,000 Jardine International Motor
Holdings.................... 15,263
50,000 YGM Trading................... 27,254
-----------
93,204
-----------
Textiles -- 0.1%
50,000 High Fashion International.... 8,657
76,000 USI Holdings*................. 14,329
18,000 Yue Yuen Industrial
Holdings.................... 35,322
-----------
58,308
-----------
Transportation -- 0.3%
9,000 China Motor Bus............... 46,403
84,000 New World Infrastructure*..... 79,724
46,000 Orient Overseas
International............... 17,552
-----------
143,679
-----------
Travel/Entertainment -- 0.2%
260,000 Golden Harvest
Entertainment*.............. 29,679
38,000 Great Eagle Holdings.......... 58,972
-----------
88,651
-----------
1,311,614
-----------
ITALY -- 3.8%
Building -- 0.5%
436,000 Impregilo..................... 232,766
-----------
Machinery -- 0.0%
4,500 Saiag......................... 20,609
-----------
Media -- 2.5%
674,000 Cofide*....................... 1,127,057
-----------
Metals -- 0.3%
134,218 GIM........................... 150,178
-----------
Textiles -- 0.5%
44,400 Vincenzo Zucchi............... 219,406
-----------
1,750,016
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN -- 18.1%
Autos -- 0.7%
1,000 Calsonic Kansei............... $ 2,397
15,000 Keihin........................ 116,602
2,000 Nippon Cable System........... 18,878
2,500 Nippon Seiki.................. 15,986
4,000 Sawafuji Electric............. 9,180
6,000 Showa......................... 33,592
2,000 Tokai Rika.................... 17,194
26,000 U-Shin........................ 92,634
2,000 Yasunaga...................... 7,311
-----------
313,774
-----------
Banking -- 1.2%
28,000 First Credit*................. 67,888
800 The Bank of Okinawa........... 17,768
19,000 The Chuo Mitsui Trust &
Banking Co.................. 66,815
51,000 The Keiyo Bank................ 151,027
9,000 The Kyushu Bank............... 26,485
31,000 The Shinwa Bank............... 100,407
15,000 The Tochigi Bank.............. 92,171
4,000 The Tokushima Bank............ 26,245
-----------
548,806
-----------
Building -- 0.8%
9,000 Chudenko...................... 104,525
9,000 Footwork Construction......... 21,655
9,000 Fukuda........................ 23,154
19,000 Maeda Road Construction....... 88,266
6,000 Nippon Dentsu................. 16,713
30,000 Okumura....................... 98,556
8,000 Tetra......................... 17,028
-----------
369,897
-----------
Chemicals -- 0.2%
24,000 Nippon Sanso.................. 82,177
-----------
Construction Materials -- 0.4%
9,000 Komai Tekko................... 21,571
10,000 Mitsubishi Plastics........... 19,804
6,000 Noritz........................ 65,686
17,000 Okabe......................... 51,916
2,000 Takada Kiko................... 7,977
10,000 Takigami Steel Construction
Co.......................... 27,762
-----------
194,716
-----------
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE> 26
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Drugs -- 0.6%
8,000 Hisamitsu Pharmaceutical...... $ 120,304
30,000 Nikken Chemicals.............. 106,052
5,000 Seikagaku..................... 48,121
-----------
274,477
-----------
Durables -- 0.3%
3,100 Aiwa*......................... 30,925
27,000 Kenwood....................... 98,695
-----------
129,620
-----------
Electronics -- 2.1%
1,100 Aiphone....................... 13,335
26,000 Elna*......................... 115,732
3,000 Excel......................... 38,867
7,000 Foster Electric............... 38,932
30,000 Furuno Electric............... 105,497
9,000 Horiba........................ 90,033
8,600 Komatsu Electronic Metals*.... 87,942
17,000 Nihon Inter Electronics....... 54,433
10,000 Nippon Signal................. 42,106
13,000 Nissho........................ 105,627
10,000 Origin Electric............... 76,069
18,000 Shindengen Electric
Manufacturing............... 117,435
9,000 Sumitomo Special Metals....... 96,030
8,000 Toshiba TEC................... 33,167
1,000 Uniden........................ 5,552
-----------
1,020,757
-----------
Financial Investments -- 0.7%
28,000 Daiwa Kosho Lease............. 85,508
9,000 Kyosei Rentemu................ 44,725
1,000 Kyushu Leasing Service*....... 4,905
6,000 Ricoh Leasing................. 112,160
16,000 Tokyo Leasing................. 88,840
-----------
336,138
-----------
Food -- 0.5%
11,500 Asahi Soft Drinks............. 85,138
4,000 Calpis........................ 17,953
13,000 Fuji Coca-Cola Bottling....... 107,311
2,000 Tokatsu Foods................. 4,905
-----------
215,307
-----------
Household -- 0.5%
27,000 Daiwa Seiko................... 35,980
33,000 Mizuno........................ 91,310
9,000 Tenma......................... 103,193
-----------
230,483
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Insurance -- 0.3%
12,000 Chiyoda Fire & Marine
Insurance Co................ $ 35,203
16,000 The Dowa Fire & Marine
Insurance Co................ 39,830
30,000 The Nisshin Fire & Marine
Insurance Company........... 69,406
-----------
144,439
-----------
Machinery -- 1.8%
28,000 Hitachi Koki.................. 83,435
23,000 Juki.......................... 93,865
8,000 Koken......................... 36,054
1,200 Kyoritsu Air Tech............. 5,552
16,000 Makino Milling Machine........ 132,519
7,900 Miura......................... 101,839
40,000 Nissin Electric............... 111,790
4,000 Seibu Electric & Machinery.... 8,625
2,000 Shin-Daiwa Kogyo.............. 5,145
3,200 Shinkawa...................... 128,817
18,000 Takaoka Electric Mfg. Co...... 28,318
22,000 Tokyo Kikai Seisakusho........ 81,233
10,000 Toyo Electric Mfg. Co.*....... 12,030
1,200 Zuiko......................... 10,994
-----------
840,216
-----------
Media -- 0.6%
1,000 Asahi Broadcasting............ 100,870
4,000 Bunkeido...................... 24,616
43,000 Gakken*....................... 75,606
3,000 Nissha Printing............... 17,351
8,000 RKB Mainichi Broadcasting..... 39,904
1,000 Sanko Sangyo.................. 7,866
-----------
266,213
-----------
Metals -- 0.2%
15,000 Showa Electric Wire & Cable... 35,397
7,000 Tonichi Cable................. 23,256
6,000 Yamato Kogyo.................. 20,933
-----------
79,586
-----------
Miscellaneous Financial --0.2%
33,250 Tokyo Securities Co........... 84,617
-----------
Office Machinery -- 0.3%
21,000 Asahi Optical................. 57,524
9,000 Canon Chemicals............... 99,944
-----------
157,468
-----------
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE> 27
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Oil Distribution -- 0.1%
17,000 Koa Oil Company............... $ 43,578
-----------
Paper -- 0.3%
9,000 Daio Paper.................... 87,035
6,000 Rengo......................... 30,539
4,000 Tokushu Paper Manufacturing... 15,325
-----------
132,899
-----------
Real Estate Assets -- 0.5%
31,000 Azel.......................... 87,211
5,000 Hosoda........................ 15,501
3,000 Leopalace21*.................. 9,578
6,000 Sekiwa Real Estate............ 22,765
12,000 Starts........................ 77,624
-----------
212,679
-----------
Retail/Wholesale -- 2.5%
3,000 Atol.......................... 17,213
11,000 Charle........................ 67,999
12,000 Chiyoda....................... 58,856
8,000 Daiwa......................... 13,622
18,000 Denkyosha..................... 72,959
8,000 Eiden......................... 55,155
10,000 Gastec Service................ 40,070
6,000 Gigas Kansai.................. 38,257
20,000 Hankyu Department Stores...... 92,171
5,000 Inabata & Co.................. 29,150
45,000 Joshin Denki.................. 119,933
18,000 Kasumi........................ 73,959
23,000 Laox.......................... 110,466
4,000 Life Corp..................... 24,986
10,000 Lilycolor..................... 14,899
25,000 Matsuyadenki.................. 68,480
1,000 Nagano Tokyu Department
Store....................... 3,304
1,100 Rio Chain..................... 4,469
16,000 Sekido........................ 89,580
37,000 Tokyu Store Chain............. 111,623
1,000 Traveler...................... 7,385
3,000 U.Store....................... 23,015
26,000 Uehara Sei Shoji.............. 67,851
-----------
1,205,402
-----------
Services -- 2.0%
5,400 Computer Engineering &
Consulting.................. 90,949
3,000 CRC Research Institute........ 41,644
3,000 Creo.......................... 27,485
3,000 Diamond Computer Service...... 33,176
14,000 Eikoh......................... 51,823
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Services (continued)
2,700 Fujitsu Business Systems...... $ 62,465
6,000 Hitachi Information Systems... 240,976
12,000 Horiuchi Color................ 57,524
1,000 Japan Maintenance............. 8,838
7,000 Japan Process Development..... 45,993
3,500 Miroku Jyoho Service.......... 33,005
6,000 Nippon Computer System Co..... 35,480
7,000 Nippon Computer Systems
Corp........................ 29,798
1,000 Shingakukai................... 3,331
3,000 Sumisho Electronics........... 41,644
18,000 Tsuzuki Denki*................ 84,120
13,000 Uchida Yoko................... 73,385
1,600 Wesco......................... 4,072
-----------
965,708
-----------
Soaps & Cosmetics -- 0.2%
8,000 Avon Products................. 16,287
2,000 Ivy Cosmetics................. 7,866
17,000 Sunstar....................... 52,073
-----------
76,226
-----------
Telephone -- 0.2%
30 Okinawa Cellular Telephone.... 97,723
-----------
Transportation -- 0.2%
10,000 Hitachi Transport System...... 52,101
6,000 Nippon Konpo Unyu Soko........ 40,422
-----------
92,523
-----------
Travel/Entertainment -- 0.7%
2,200 Daiichi kosho................. 30,742
43,000 Kinki Nippon Tourist*......... 123,357
6,000 Shochiku*..................... 28,873
31,000 Tokyo Dome.................... 146,021
-----------
328,993
-----------
8,444,422
-----------
MALAYSIA -- 0.0%
Durables -- 0.0%
840 Silverstone* (a).............. 0
-----------
Travel/Entertainment -- 0.0%
24,000 Rekapacific*.................. 2,905
-----------
2,905
-----------
NETHERLANDS -- 5.8%
Airlines -- 2.6%
64,840 KLM Royal Dutch Airlines*..... 1,212,986
-----------
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE> 28
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NETHERLANDS (CONTINUED)
Building -- 1.6%
54,747 Hollandsche Beton Groep....... $ 495,178
25,187 Stork......................... 247,815
-----------
742,993
-----------
Chemicals -- 1.6%
78,865 EVC International*............ 730,719
-----------
Food -- 0.0%
558 Koninklijke Wessanen.......... 6,426
-----------
2,693,124
-----------
NEW ZEALAND -- 0.2%
Chemicals -- 0.1%
20,500 Nufarm........................ 32,916
-----------
Electric Utilities -- 0.1%
44,900 Contact Energy................ 47,819
-----------
Retail/Wholesale -- 0.0%
25,900 Hallenstein Glasson
Holdings.................... 23,162
-----------
Textiles -- 0.0%
5,000 Cavalier...................... 8,638
-----------
112,535
-----------
NORWAY -- 0.4%
Oil Services -- 0.0%
1,700 Fred Olsen Energy*............ 14,044
460 Smedvig, Class A.............. 9,019
-----------
23,063
-----------
Paper -- 0.4%
5,800 Norske Skogindustrier......... 146,304
-----------
169,367
-----------
PORTUGAL -- 0.6%
Chemicals -- 0.2%
37,750 Cires-Companhia Industrial de
Resinas Sinteticas.......... 79,948
-----------
Food -- 0.2%
7,189 Sumolis-Companhia Industrial
de Frutas e Bebidas......... 96,425
-----------
Machinery -- 0.2%
14,264 EFACEC Capital, SGPS*......... 84,332
-----------
260,705
-----------
SINGAPORE -- 2.0%
Banking -- 0.3%
22,000 Hong Leong Finance............ 30,593
8,000 Industrial & Commercial
Bank........................ 16,549
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE (CONTINUED)
Banking (continued)
24,000 Keppel TatLee Bank............ $ 43,028
26,000 Overseas Union Trust.......... 35,856
-----------
126,026
-----------
Building -- 0.1%
53,333 United Engineers.............. 34,630
-----------
Defense -- 0.2%
190,000 Sembcorp Marine............... 77,516
-----------
Drugs -- 0.1%
19,000 Haw Par....................... 31,662
-----------
Electronics -- 0.1%
51,000 Sunright...................... 18,170
29,000 WBL........................... 34,161
-----------
52,331
-----------
Financial Investments -- 0.0%
25,000 United Industrial............. 11,636
-----------
Media -- 0.2%
33,000 Times Publishing.............. 71,299
-----------
Miscellaneous Financial --0.0%
8,000 Kay Hian Holdings............. 3,172
-----------
Real Estate Assets -- 0.7%
14,000 Fraser & Neave................ 48,268
45,000 Keppel........................ 91,537
158,000 Lum Chang Holdings............ 34,046
79,000 MCL Land...................... 54,474
174,000 Metro Holdings................ 35,494
98,000 Orchard Parade Holdings....... 35,196
38,000 Singapore Land................ 72,494
-----------
371,509
-----------
Retail/Wholesale -- 0.1%
56,000 Hour Glass.................... 13,837
54,000 Intraco....................... 38,787
5,000 Wearnes International......... 1,796
-----------
54,420
-----------
Transportation -- 0.1%
51,000 Neptune Orient Lines*......... 45,717
36,000 Pacific Carriers.............. 16,963
-----------
62,680
-----------
Travel/Entertainment -- 0.1%
200,000 Hai Sun Hup Group............. 40,798
-----------
937,679
-----------
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE> 29
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SPAIN -- 2.6%
Machinery -- 0.6%
13,214 Construcciones y Auxiliar
de.......................... $ 268,188
-----------
Metals -- 0.6%
33,700 Aceralia Corporacion
Siderurgica................. 276,858
-----------
Oil Distribution -- 1.1%
64,360 Compania Espanola de
Petroleos................... 519,654
-----------
Transportation -- 0.3%
33,685 Europistas Concesionaria
Espanola.................... 162,295
-----------
1,226,995
-----------
SWEDEN -- 1.8%
Building -- 0.5%
29,900 NCC, Class A.................. 239,001
-----------
Financial Investments -- 0.8%
2,300 Bergman & Beving, Class B..... 24,831
51,500 SAS Sverige................... 379,581
-----------
404,412
-----------
Miscellaneous Financial --0.2%
10,709 Nordic Baltic Holding......... 76,706
-----------
Paper -- 0.3%
23,000 Esselte, Class A.............. 133,707
-----------
853,826
-----------
SWITZERLAND -- 8.1%
Banking -- 0.2%
215 Luzerner Kantonalbank......... 97,024
-----------
Defense -- 1.7%
2,860 Oerlikon-Buehrle Holding*..... 797,552
-----------
Electronics -- 1.5%
1,195 Sulzer*....................... 692,758
-----------
Financial Investments -- 4.4%
730 BB Biotech*................... 933,384
850 BK Vision*.................... 204,086
1,100 BT&T Telekommunikations und
Technologie*................ 493,219
529 Pharma Vision 2000*........... 361,146
-----------
1,991,835
-----------
Insurance -- 0.3%
300 Berner Allgemeine
Holdinggesellschaft*........ 93,379
80 Helvetia Patria Holding....... 69,427
-----------
162,806
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
Miscellaneous
Financial -- 0.0%
100 Cie Financiere Tradition...... $ 13,828
-----------
3,755,803
-----------
UNITED KINGDOM -- 18.4%
Autos -- 0.1%
7,000 Laird Group................... 24,891
-----------
Building -- 3.7%
592,377 Crest Nicholson............... 1,002,824
34,200 Kier Group.................... 135,766
63,000 M.J. Gleeson Group............ 617,089
4,000 Prowting...................... 6,387
-----------
1,762,066
-----------
Construction Materials -- 0.3%
41,000 Cape.......................... 23,944
88,000 Pilkington.................... 105,713
-----------
129,657
-----------
Electronics -- 1.0%
163,000 Cookson Group................. 456,687
-----------
Financial Investments -- 0.0%
1,477 Garban-Intercapital........... 5,700
-----------
Household -- 2.1%
243,000 British Polythene
Industries.................. 973,636
-----------
Insurance -- 0.4%
8,000 London Pacific Group.......... 165,296
-----------
Metals -- 0.7%
441,464 Corus Group................... 334,511
-----------
Oil -- 3.1%
1,315,000 Paladin Resources*............ 554,105
454,000 SOCO International*........... 902,816
-----------
1,456,921
-----------
Other Utilities -- 1.2%
97,000 Kelda Group................... 537,805
-----------
Retail/Wholesale -- 2.7%
164,000 Dixon Motors.................. 404,932
78,000 Pendragon..................... 197,202
219,000 Quicks Group.................. 203,989
205,000 Sanderson Bramall Motor
Group....................... 445,546
-----------
1,251,669
-----------
Services -- 0.3%
62,000 Delta......................... 110,000
60,000 Dowding & Mills............... 31,049
-----------
141,049
-----------
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE> 30
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Soaps & Cosmetics -- 0.5%
200,000 McBride....................... $ 246,910
-----------
Textiles -- 0.9%
183,886 Dewhirst Group................ 150,891
230,000 Sirdar........................ 258,442
-----------
409,333
-----------
Transportation -- 0.3%
12,000 National Express Group........ 142,823
-----------
Travel/Entertainment -- 1.1%
72,881 Wolverhampton & Dudley
Breweries................... 507,524
-----------
8,546,478
-----------
TOTAL COMMON STOCKS (COST
$47,126,017)................ 45,115,608
-----------
PREFERRED STOCKS -- 1.2%
CANADA -- 0.1%
Construction Materials -- 0.1%
1,900 Lafarge Canada................ 45,460
-----------
GERMANY -- 1.1%
Telephone -- 1.1%
4,570 Prosieben Media............... 522,231
-----------
TOTAL PREFERRED STOCKS (COST
$496,765)................... 567,691
-----------
WARRANTS -- FOREIGN SECURITIES -- 0.0%
SINGAPORE -- 0.0%
Building -- 0.0%
6,300 IPCO International @ 1.30,
12/17/02.................... 1,796
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<C> <S> <C>
TOTAL WARRANTS -- FOREIGN
SECURITIES (COST $0)........ $ 1,796
-----------
TOTAL INVESTMENTS (COST
$47,622,782) (b) -- 98.0%... 45,685,095
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.0%......... 934,425
-----------
TOTAL NET ASSETS -- 100.0%.... $46,619,520
===========
</TABLE>
---------------
* Non-income producing security.
(a) Bankrupt security; valued by Management (Note 2).
(b) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 3,183,582
Unrealized depreciation............... (5,121,269)
------------
Net unrealized depreciation........... $ (1,937,687)
============
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
DELIVERY CONTRACT AMOUNT UNREALIZED
DATE (LOCAL CURRENCY) GAIN
-------- ---------------- ----------
<S> <C> <C> <C>
Sold Australian
Dollars in exchange
for USD 32,495..... 10/3/00 60,000 $457
</TABLE>
See accompanying notes to the financial statements.
30
<PAGE> 31
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/00
<TABLE>
<CAPTION>
SINCE SINCE
FISCAL LAST 1 INCEPTION INCEPTION
YTD YEAR (12/16/97) (12/18/97)
------ ------ ---------- ----------
<S> <C> <C> <C> <C>
Institutional Shares (BMNIX)............................. 1.89% -6.70% -7.33%
Investor Shares (BRMIX).................................. 1.62% -7.02% -7.70%
U.S. 90-day Treasury Bills............................... 2.86% 5.51% 5.15% 5.13%
</TABLE>
Value stocks recovered in the third quarter of 2000. The Russell 2500 Value
Index(1) outperformed the Russell 2500 Growth Index(2) by 9.83% for the quarter
and by 15.98% for the six months ended September 30, 2000. However, the Russell
2500 Value Index still lagged the Russell 2500 Growth Index by 29.25% for the
trailing 12 months.
The Manager's stock selection models have a value bias. The Manager's stock
selection process focuses on the identification of stocks with attractively
priced current fundamentals and future expected earnings.
The Fund's performance for the six months ended September 30, 2000
benefited from the relatively strong value environment, especially in the third
quarter of 2000. The Fund underperformed its benchmark, U.S. 90-day T-bills, for
the six months ended September 30, 2000. Stock selection accounted for the
majority of the underperformance. The Fund benefited from industry exposures,
principally, net long exposures to miscellaneous financial and oil distribution
industries and net short exposures to the telephone, travel/entertainment and
office machines industries. The effect of the exposure to common risk indices on
performance was minimal.
On July 31, 2000, the name of the Fund was changed to the AXA Rosenberg
Value Market Neutral Fund.
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 AXA Rosenberg Value 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 AXA Rosenberg Value Market
Neutral Fund will involve risks associated with twice the number of investment
decisions made for a typical stock fund. These types of fund typically have a
high portfolio turnover that could increase transaction costs and cause short-
term capital gains to be realized. While it may be the intent of the Manager to
take long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Since risk in the AXA Rosenberg Value 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
AXA Rosenberg Value 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.
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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
---------------
(1) The Russell 2500 Value Index measures the performance of Russell 2500
companies with lower price-to-book ratios and lower forecasted earnings
growth values.
(2) The Russell 2500 Growth Index measures the performance of Russell 2500
companies with higher price-to-book ratios and higher forecasted earnings
growth values.
31
<PAGE> 32
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS -- 96.0%
AIRLINES -- 1.0%
900 AirNet Systems*................. $ 4,106
20,300 AMR*............................ 663,557
------------
667,663
------------
AUTOS -- 0.1%
4,400 American Axle & Manufacturing
Holdings*..................... 47,300
------------
BANKING -- 6.3%
2,500 Ambanc Holding Co. ............. 40,000
8,000 Astoria Financial............... 309,000
2,100 Berkshire Bancorp............... 64,050
1,800 Carver Bancorp.................. 14,625
500 Central Bancorp................. 9,000
10,700 Chittenden...................... 274,856
17,000 Colonial BancGroup.............. 176,375
8,600 Commercial Bank of New York..... 116,100
4,600 Community Financial............. 43,125
1,600 First Bancshares................ 15,200
1,100 First Citizens BancShares, Class
A............................. 78,719
5,000 First Investors Financial
Services*..................... 19,375
1,100 Franklin Bank NA................ 9,419
26,000 GreenPoint Financial............ 770,249
41,600 Hibernia, Class A............... 509,599
300 Iroquois Bancorp................ 9,900
6,100 ITLA Capital*................... 90,356
1,400 Kankakee Bancorp................ 31,063
1,300 LSB Financial................... 16,413
19,800 Metris Companies................ 782,099
3,000 North Central Bancshares........ 50,813
7,900 Quaker City Bancorp*............ 151,581
2,800 Staten Island Bancorp........... 56,000
4,600 Student Loan.................... 224,538
4,400 TFC Enterprises*................ 7,150
8,800 UMB Financial................... 327,800
4,000 UnionBanCal..................... 93,250
3,000 Wainwright Bank & Trust......... 22,688
900 Washington Savings Bank FSB..... 3,263
2,400 WFS Financial*.................. 40,650
------------
4,357,256
------------
BUILDING -- 0.7%
5,600 AMREP*.......................... 30,450
900 Liberty Homes, Class A.......... 5,288
3,300 Meadow Valley*.................. 9,900
2,200 Quanta Services*................ 60,500
11,100 Skyline......................... 236,568
12,400 Washington Homes*............... 120,900
------------
463,606
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS -- 1.8%
11,300 Bairnco......................... $ 84,044
2,700 Dexter.......................... 191,278
8,000 H.B. Fuller..................... 230,000
8,400 ICO*............................ 16,800
35,500 Lubrizol........................ 698,906
------------
1,221,028
------------
CONSTRUCTION MATERIALS -- 1.4%
8,300 Ameron International............ 305,025
1,200 Continental Materials*.......... 15,750
6,300 Donnelly........................ 96,012
25,000 Lafarge......................... 543,750
------------
960,537
------------
DEFENSE -- 0.9%
7,000 Northrop Grumman................ 636,125
------------
DRUGS -- 6.2%
400 ABIOMED*........................ 27,250
12,900 Alpharma, Class A............... 788,512
4,200 Barr Laboratories*.............. 278,513
17,900 Cambrex......................... 662,300
200 Diagnostic Products............. 10,725
5,300 Hi-Tech Pharmacal*.............. 22,525
14,100 IDEXX Laboratories*............. 377,175
6,700 IVAX*........................... 308,200
4,200 Medicis Pharmaceutical, Class
A*............................ 258,300
21,800 Mylan Laboratories.............. 587,238
2,528 New Brunswick Scientific*....... 19,276
5,600 PDK Labs*....................... 27,650
40,600 Perrigo*........................ 277,856
30,800 SICOR*.......................... 315,700
4,500 Sigma-Aldrich................... 148,500
8,000 Texas Biotechnology*............ 130,400
------------
4,240,120
------------
ELECTRIC UTILITIES -- 2.1%
9,900 Allegheny Energy................ 378,056
3,000 Entergy......................... 111,750
6,900 Pinnacle West Capital........... 351,038
24,400 Public Service Co. of New
Mexico........................ 631,350
------------
1,472,194
------------
ELECTRONICS -- 9.6%
1,200 American Technical Ceramics*.... 18,708
12,900 AVX............................. 336,206
547 Comverse Technology*............ 59,076
15,900 Cypress Semiconductor*.......... 660,844
10,100 Datascope....................... 338,350
4,100 Datron Systems, California*..... 55,350
</TABLE>
See accompanying notes to the financial statements.
32
<PAGE> 33
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
1,000 Digital Lightwave*.............. $ 72,625
2,400 Diodes*......................... 36,900
4,500 FEI*............................ 97,594
3,900 Imation*........................ 72,638
12,400 International Rectifier*........ 626,975
5,000 KEMET*.......................... 138,125
1,800 Kewaunee Scientific............. 19,800
1,800 Medical Action Industries*...... 7,088
900 Medstone International*......... 6,019
1,300 Merrimac Industries*............ 18,525
200 Micrel*......................... 13,400
12,900 Mine Safety Appliances.......... 284,606
5,400 NVIDIA*......................... 442,125
2,800 Plantronics*.................... 106,400
4,900 PMC-Sierra*..................... 1,054,724
2,700 Salient 3 Communications*....... 6,919
13,500 Sensormatic Electronics*........ 202,500
5,100 SPX*............................ 723,880
1,100 Tektronix....................... 84,494
7,500 Therma-Wave*.................... 215,625
4,200 Tut Systems*.................... 362,513
2,000 Varian Medical Systems*......... 90,375
15,600 Vishay Intertechnology*......... 479,700
------------
6,632,084
------------
FINANCIAL INVESTMENTS -- 0.4%
6,900 HPSC*........................... 47,817
6,300 International Aircraft
Investors*.................... 34,256
8,700 IPI*............................ 22,838
2,300 REFAC*.......................... 6,900
5,600 Security Capital Group, Class
B*............................ 106,050
2,200 Willis Lease Finance*........... 14,025
700 XTRA*........................... 31,106
------------
262,992
------------
FOOD -- 2.2%
2,200 Agribrands International*....... 95,975
12,600 Corn Products International..... 286,650
1,000 Dreyer's Grand Ice Cream........ 21,563
860 Farmer Brothers................. 154,800
4,800 Flowers Industries.............. 93,600
4,100 John B. Sanfilippo & Son*....... 16,400
18,900 Pepsi Bottling Group............ 568,181
10,800 Smithfield Foods*............... 283,500
------------
1,520,669
------------
HEALTH -- 2.4%
7,500 Beverly Enterprises*............ 44,531
23,500 Coventry Health Care*........... 355,438
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
300 In Home Health*................. $ 1,069
3,890 Laboratory Corp. of America
Holdings*..................... 465,828
2,500 National Home Health Care*...... 15,703
6,900 Quest Diagnostics*.............. 791,774
------------
1,674,343
------------
HOUSEHOLD -- 2.2%
5,300 American Biltrite............... 82,813
300 Associated Materials............ 4,200
23,600 Brunswick....................... 430,699
200 Cybex International*............ 600
200 Educational Insights*........... 213
12,600 Gundle/SLT Environmental*....... 44,888
3,200 Johnson Controls................ 170,199
31,900 Kimball International, Class
B............................. 570,212
1,000 Michael Anthony Jewelers*....... 2,438
9,700 Mikohn Gaming*.................. 73,356
200 Pubco*.......................... 1,488
1,300 PW Eagle*....................... 18,850
9,600 Rotonics Manufacturing*......... 10,200
4,900 Russ Berrie & Co. .............. 96,775
3,400 Trans-Lux....................... 15,725
------------
1,522,656
------------
INSURANCE -- 3.2%
15,000 Everest Re Group................ 742,500
13,400 Foundation Health Systems,
Class A*...................... 222,775
9,000 InterContinental Life*.......... 87,750
2,400 Kaye Group...................... 14,250
4,000 Liberty Financial Companies..... 94,000
400 Midland......................... 10,600
2,000 National Western Life Insurance,
Class A*...................... 146,000
2,600 PMA Capital..................... 46,800
2,200 Radian Group.................... 148,500
5,600 Standard Management*............ 18,900
12,200 Trigon Healthcare*.............. 641,263
------------
2,173,338
------------
LIQUOR & TOBACCO -- 0.1%
1,500 Adolph Coors, Class B........... 94,781
------------
MACHINERY -- 4.2%
8,300 Acme Electric*.................. 71,588
12,200 American Standard Companies*.... 542,137
14,600 Ampco-Pittsburgh................ 149,650
2,500 Edison Control*................. 15,000
4,900 Fansteel*....................... 17,150
</TABLE>
See accompanying notes to the financial statements.
33
<PAGE> 34
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MACHINERY (CONTINUED)
7,200 Farrel.......................... $ 9,675
700 Federal Screw Works............. 29,400
1,100 Griffon*........................ 8,319
11,400 Kulicke & Soffa Industries*..... 151,763
9,300 L.S. Starrett, Class A.......... 179,025
17,700 Lennox International............ 165,938
14,300 Lincoln Electric Holdings....... 190,369
4,800 Maxco*.......................... 33,600
5,100 MFRI*........................... 17,850
1,000 P & F Industries*............... 7,500
1,300 Parker-Hannifin................. 43,875
900 Peerless Mfg.................... 16,706
2,125 Q.E.P. Company*................. 13,148
1,900 Quipp........................... 47,975
6,100 Rockwell International.......... 184,525
500 Silicon Valley Group*........... 13,156
31,000 Snap-on......................... 730,437
6,600 Tecumseh Products, Class B...... 264,825
------------
2,903,611
------------
MEDIA -- 5.0%
1,600 American Greetings, Class A..... 28,000
12,600 Banta........................... 307,125
12,772 Chris-Craft Industries*......... 1,052,093
3,400 Courier......................... 98,600
1,175 Grey Global Group............... 728,242
1,400 John H. Harland Company......... 21,438
1,500 Media General, Class A.......... 64,500
8,900 Metro-Goldwyn-Mayer*............ 213,600
5,600 Outlook Group*.................. 32,550
3,700 Pulitzer........................ 158,915
1,500 TMP Worldwide*.................. 120,750
17,000 Topps*.......................... 156,188
12,900 True North Communications....... 461,175
------------
3,443,176
------------
METALS -- 1.0%
3,400 Atchison Casting*............... 13,388
3,600 Insteel Industries.............. 14,625
1,000 Kentucky Electric Steel*........ 1,750
10,800 Mueller Industries*............. 242,325
2,100 Steel Technologies.............. 13,256
25,400 USX-U.S. Steel Group............ 385,762
------------
671,106
------------
MISCELLANEOUS FINANCIAL -- 4.5%
13,300 A.G. Edwards.................... 695,756
1,200 American Physicians Service
Group*........................ 4,350
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MISCELLANEOUS FINANCIAL
(CONTINUED)
6,500 Atalanta Sosnoff Capital*....... $ 64,188
3,300 Bear Stearns Companies.......... 207,900
8,000 Dain Rauscher................... 743,999
11,200 Eaton Vance..................... 571,200
12,850 Federated Investors............. 318,038
1,400 Gabelli Asset Management, Class
A*............................ 42,000
2,900 John Nuveen, Class A............ 140,288
15,900 Maxcor Financial Group*......... 32,794
2,400 Raymond James Financial......... 79,050
800 Tucker Anthony Sutro............ 20,300
6,000 Waddell & Reed Financial........ 186,000
------------
3,105,863
------------
OFFICE MACHINERY -- 0.5%
3,800 Diebold......................... 100,938
5,000 InFocus*........................ 265,000
------------
365,938
------------
OIL -- 2.7%
1,000 Apache.......................... 59,125
100 Cabot Oil & Gas, Class A........ 2,038
330 Columbus Energy*................ 2,434
12,900 Equity Oil*..................... 39,103
6,100 Key Production Company*......... 134,581
8,400 Louis Dreyfus Natural Gas*...... 332,850
18,900 Murphy Oil...................... 1,224,956
3,300 Occidental Petroleum............ 71,981
------------
1,867,068
------------
OIL DISTRIBUTION -- 3.4%
5,200 Ashland......................... 175,175
4,800 Getty Petroleum Marketing*...... 17,700
14,600 Quaker Chemical................. 248,200
49,400 Ultramar Diamond Shamrock....... 1,253,524
17,100 USX-Marathon Group.............. 485,213
5,000 Valero Energy................... 175,938
------------
2,355,750
------------
OIL SERVICES -- 0.2%
850 Oceaneering International*...... 14,131
15,000 Petroleum Development*.......... 106,875
------------
121,006
------------
OTHER UTILITIES -- 0.1%
2,000 IT Group*....................... 9,500
300 National Fuel Gas............... 16,819
5,700 Roy F. Weston, Class A*......... 21,375
------------
47,694
------------
</TABLE>
See accompanying notes to the financial statements.
34
<PAGE> 35
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER -- 1.5%
500 Badger Paper Mills*............. $ 1,750
5,800 Baltek*......................... 39,875
13,800 Bowater......................... 640,838
1,000 Carmel Container Systems*....... 6,750
100 Greif Brothers, Class A......... 3,325
2,400 Pope & Talbot................... 34,350
11,000 Willamette Industries........... 308,000
------------
1,034,888
------------
REAL ESTATE ASSETS -- 5.0%
27,500 AMB Property.................... 675,468
15,300 Arden Realty.................... 410,231
18,100 Cabot Industrial Trust.......... 360,869
12,100 CBL & Associates Properties..... 303,256
5,200 Charles E. Smith Residential
Realty........................ 235,950
21,900 Cornerstone Realty Income
Trust......................... 232,688
1,800 Corporate Office Properties
Trust......................... 17,888
1,600 DeWolfe Companies............... 11,600
956 G&L Realty...................... 6,812
15,400 Healthcare Realty Trust......... 325,325
2,700 J.W. Mays*...................... 23,625
11,400 Macerich........................ 242,250
17,900 Prentiss Properties Trust....... 467,637
7,500 Prime Group Realty Trust........ 118,125
------------
3,431,724
------------
RETAIL/WHOLESALE -- 6.3%
6,450 Aceto........................... 62,888
200 Alleghany....................... 39,200
1,400 AMCON Distributing.............. 7,525
23,500 Arrow Electronics*.............. 800,468
11,700 BJ's Wholesale Club*............ 399,262
1,100 Blair........................... 25,850
8,400 Bon-Ton Stores*................. 17,325
4,800 Brookstone*..................... 67,200
9,600 Burlington Coat Factory
Warehouse..................... 137,400
4,700 CDW Computer Centers*........... 324,300
33,100 Charming Shoppes*............... 172,741
7,600 Dollar Tree Stores*............. 308,275
3,100 Dress Barn*..................... 65,100
800 Foodarama Supermarkets*......... 14,700
12,200 Gottschalks*.................... 74,725
2,800 Hughes Supply................... 54,936
12,300 International Multifoods........ 213,713
2,900 Jacobson Stores*................ 12,597
11,100 Katy Industries................. 77,700
2,100 Manchester Equipment*........... 8,400
1,800 Moore Medical*.................. 13,725
500 Noland.......................... 8,625
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
3,000 PC Connection*.................. $ 171,000
3,675 Rag Shops*...................... 7,924
5,200 Reeds Jewelers*................. 9,100
200 S&K Famous Brands*.............. 1,450
2,100 Speizman Industries*............ 4,725
11,900 Spiegel, Class A*............... 83,300
3,900 Sport Chalet*................... 20,963
4,700 Suprema Specialties*............ 37,820
13,200 Syms*........................... 51,150
39,900 Toys "R" Us*.................... 648,374
14,600 Trans World Entertainment*...... 146,000
10,100 Value City Department Stores*... 83,325
2,100 Venator Group*.................. 25,988
2,700 Village Supermarket, Class A*... 32,400
6,400 Wilsons The Leather Experts*.... 115,600
------------
4,345,774
------------
SERVICES -- 13.4%
11,700 Angelica........................ 113,344
6,500 Aspen Technology*............... 293,313
17,200 Autodesk........................ 436,450
15,200 Avant!*......................... 277,400
5,300 Barra*.......................... 328,931
1,600 Bell & Howell*.................. 35,000
9,400 Cerner*......................... 436,513
1,000 Corporate Executive Board*...... 40,250
4,598 CSP*............................ 26,439
2,500 Eclipsys*....................... 40,000
14,400 Exponent*....................... 123,300
4,400 GZA GeoEnvironmental
Technologies*................. 27,500
4,000 Harte-Hanks..................... 109,000
15,600 Kelly Services, Class A......... 368,550
4,300 Learning Tree International*.... 204,788
300 Litton Industries*.............. 13,406
1,400 Manugistics Group*.............. 137,375
31,600 Mentor Graphics*................ 744,574
4,200 Micromuse*...................... 843,937
4,200 Monro Muffler Brake*............ 45,675
2,900 Opinion Research*............... 21,025
5,400 Peregrine Systems*.............. 102,263
5,600 Phoenix Technologies*........... 89,250
1,600 Quality Systems*................ 10,800
11,500 Quest Software*................. 714,257
3,100 Robert Half International*...... 107,531
10,800 Siebel Systems*................. 1,202,174
2,500 Software Spectrum*.............. 24,688
600 Spherion*....................... 7,163
</TABLE>
See accompanying notes to the financial statements.
35
<PAGE> 36
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
3,500 Structural Dynamics Research*... $ 57,313
1,900 STV Group*...................... 14,250
22,200 SunGard Data Systems*........... 950,437
18,100 Symantec*....................... 796,399
7,800 Symyx Technologies*............. 338,325
1,600 Systems & Computer
Technology*................... 28,100
5,500 Team*........................... 16,500
14,300 Westaff*........................ 57,200
------------
9,183,420
------------
SOAPS & COSMETICS -- 0.3%
9,400 CPAC............................ 75,200
3,400 Guest Supply*................... 62,688
10,200 Inter Parfums*.................. 89,250
------------
227,138
------------
TELEPHONE -- 0.6%
7,800 Conestoga Enterprises........... 150,150
3,800 Hector Communications*.......... 49,400
2,100 Telephone & Data Systems........ 232,470
------------
432,020
------------
TEXTILES -- 2.9%
8,800 Cyrk*........................... 30,250
1,200 Haggar.......................... 15,000
2,400 Jos. A. Bank Clothiers*......... 10,800
2,200 Kellwood........................ 40,150
3,500 Leslie Fay Company*............. 12,250
19,500 Liz Claiborne................... 750,750
16,700 Russell......................... 265,113
38,100 Shaw Industries................. 704,850
4,800 Timberland, Class A*............ 196,800
------------
2,025,963
------------
TRANSPORTATION -- 1.2%
9,300 American Freightways*........... 147,638
3,800 Landstar System*................ 169,575
9,900 Marten Transport*............... 131,175
6,100 Old Dominion Freight Line*...... 61,763
6,100 Roadway Express................. 109,419
8,300 USFreightways................... 188,305
------------
807,875
------------
TRAVEL/ENTERTAINMENT -- 2.6%
900 Anchor Gaming*.................. 71,606
2,200 Benihana*....................... 29,425
8,800 Black Hawk Gaming &
Development*.................. 57,750
18,300 Brinker International*.......... 551,287
17,300 Buffets*........................ 237,874
2,400 CBRL Group...................... 34,500
12,100 Darden Restaurants.............. 251,830
9,200 Dollar Thrifty Automotive
Group*........................ 181,700
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRAVEL/ENTERTAINMENT (CONTINUED)
100 Fresh Choice*................... $ 275
25 Lakes Gaming*................... 216
2,300 Lone Star Steakhouse &
Saloon*....................... 16,963
6,600 Mexican Restaurants*............ 18,150
8,100 Movie Gallery*.................. 31,388
4,500 Prime Hospitality*.............. 45,563
3,000 Sonesta International Hotels,
Class A....................... 29,250
8,800 Station Casinos*................ 125,400
1,650 Uno Restaurant*................. 11,241
5,400 Wendy's International........... 108,338
------------
1,802,756
------------
TOTAL COMMON STOCKS
(COST $57,398,762)............ 66,119,462
------------
REPURCHASE AGREEMENT -- 3.2%
Bear Stearns, dated 9/29/00, due
10/2/00 at 6.50% with a
maturity value of $2,204,174
(Collateralized by $2,310,000
U.S. Treasury Note, 3.375%,
1/15/07, market
value -- $2,248,280).......... 2,202,981
------------
TOTAL REPURCHASE AGREEMENT
(COST $2,202,981)............. 2,202,981
------------
TOTAL INVESTMENTS
(COST $59,601,743)
(a) -- 99.2%.................. 68,322,443
------------
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT -- 93.1%
Bear Stearns Deposit A/C,
6.29%......................... 64,142,241
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT
(COST $64,142,241)............ 64,142,241
------------
RECEIVABLE FROM BROKERS FOR
SECURITIES SOLD
SHORT -- 5.2%................. 3,603,769
------------
SECURITIES SOLD SHORT
(PROCEEDS
$64,314,409) -- (97.3)%....... (67,010,572)
------------
LIABILITIES IN EXCESS OF OTHER
ASSETS -- (0.2)%.............. (168,365)
------------
TOTAL NET ASSETS -- 100.0%...... $ 68,889,516
============
</TABLE>
---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments......... $14,189,227
Unrealized
depreciation -- Investments......... (5,468,527)
Unrealized appreciation -- Short
Sales............................... 5,727,444
Unrealized depreciation -- Short
Sales............................... (8,423,607)
-----------
Net unrealized appreciation........... $ 6,024,537
===========
</TABLE>
See accompanying notes to the financial statements.
36
<PAGE> 37
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS -- 97.3%
AIRCRAFT -- 0.0%
3,500 Kellstrom Industries*............ $ 18,156
-----------
AIRLINES -- 0.4%
6,900 Atlas Air*....................... 291,525
-----------
AUTOS -- 1.6%
1,000 Aftermarket Technology*.......... 6,000
29,300 Dana............................. 629,950
19,200 Gentex*.......................... 480,000
800 Lund International Holdings*..... 3,600
-----------
1,119,550
-----------
BANKING -- 4.3%
8,800 Banknorth Group.................. 157,300
31,710 Charter One Financial............ 772,931
4,600 First Tennessee National......... 94,013
25,300 National Commerce Bancorp........ 504,419
11,100 North Fork Bancorporation........ 240,038
5,000 Old National Bancorp............. 151,250
2,900 Valley National Bancorp.......... 79,206
1,400 Westamerica Bancorporation....... 46,813
17,800 Zions Bancorporation............. 910,302
-----------
2,956,272
-----------
BUILDING -- 1.0%
15,400 Lennar........................... 457,187
2,500 Modtech Holdings*................ 24,688
12,800 Palm Harbor Homes*............... 176,000
-----------
657,875
-----------
CHEMICALS -- 2.5%
15,600 Advanced Polymer Systems*........ 33,150
1,700 Alcide*.......................... 38,888
14,900 Cabot............................ 472,143
8,400 International Flavors &
Fragrances..................... 153,300
37,300 Lyondell Chemical................ 440,605
5,200 MacDermid........................ 109,200
1,400 RPM.............................. 12,688
32,200 Solutia.......................... 366,275
5,700 Synthetech*...................... 15,141
3,500 Universal Foods.................. 71,313
-----------
1,712,703
-----------
CONSTRUCTION MATERIALS -- 2.1%
5,300 Dal-Tile International*.......... 66,250
2,000 Elcor............................ 29,000
18,700 Martin Marietta Materials........ 715,836
1,000 Puerto Rican Cement.............. 31,375
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSTRUCTION MATERIALS
(CONTINUED)
8,400 Southdown........................ $ 598,500
800 Vulcan Materials................. 32,150
-----------
1,473,111
-----------
DEFENSE -- 0.8%
1,505 Aerosonic*....................... 13,827
17,100 Lockheed Martin.................. 563,616
-----------
577,443
-----------
DRUGS -- 7.9%
11,900 Aphton*.......................... 342,125
1,300 Avigen*.......................... 51,675
1,600 Aviron*.......................... 93,300
3,000 Cerus*........................... 166,500
2,300 Columbia Laboratories*........... 13,369
4,000 Corixa*.......................... 201,000
300 Digene*.......................... 10,800
3,600 EntreMed*........................ 100,350
6,100 Enzon*........................... 402,600
2,300 Geron*........................... 65,263
5,900 Gilead Sciences*................. 647,155
5,700 IDEC Pharmaceuticals*............ 999,547
200 ImClone Systems*................. 23,413
16,900 Ligand Pharmaceuticals, Class
B*............................. 216,531
2,100 Lynx Therapeutics*............... 65,756
16,000 Martek Biosciences*.............. 312,000
1,500 MGI Pharma*...................... 45,000
3,500 Miravant Medical Technologies*... 76,125
8,200 Northfield Laboratories*......... 103,525
4,100 Pharmacyclics*................... 203,463
900 Progenics Pharmaceuticals*....... 24,694
500 Regeneron Pharmaceutical*........ 16,313
6,800 SuperGen*........................ 130,475
2,600 Techne*.......................... 291,200
6,800 Transkaryotic Therapies*......... 292,825
3,100 Ventana Medical Systems*......... 78,663
4,500 Vertex Pharmaceuticals*.......... 380,250
4,300 Vical*........................... 111,263
-----------
5,465,180
-----------
ELECTRIC UTILITIES -- 2.1%
23,100 DPL.............................. 687,225
22,600 Montana Power.................... 754,275
-----------
1,441,500
-----------
ELECTRONICS -- 8.2%
3,100 Active Voice*.................... 36,425
15,500 Advanced Fibre Communications*... 587,062
3,100 Affymetrix*...................... 154,613
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE> 38
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
8,300 Alpha Industries*................ $ 282,719
2,100 Andrea Electronics*.............. 16,065
2,500 ANTEC*........................... 73,750
6,400 Aradigm*......................... 146,800
5,700 ChromaVision Medical Systems*.... 54,150
8,100 Coherent*........................ 550,799
5,400 Com21*........................... 72,900
700 Cree*............................ 81,375
4,000 Davox*........................... 40,250
9,200 Dionex*.......................... 254,150
4,200 DSP Group*....................... 156,975
500 Globecomm Systems*............... 6,438
8,900 Hologic*......................... 66,194
14,100 i-STAT*.......................... 319,013
3,300 Ibis Technology*................. 119,831
1,500 INAMED*.......................... 42,188
9,100 Methode Electronics, Class A..... 403,243
8,400 Millipore........................ 406,874
1,136 MIPS Technologies, Class B*...... 43,736
4,600 Novoste*......................... 195,500
10,900 Possis Medical*.................. 73,575
7,000 Power Integrations*.............. 97,563
10,300 Powerwave Technologies*.......... 391,078
8,400 RF Micro Devices*................ 263,550
6,700 Sawtek*.......................... 258,055
8,000 Thermo Cardiosystems*............ 70,500
14,100 VISX*............................ 379,819
-----------
5,645,190
-----------
FINANCIAL INVESTMENTS -- 1.3%
10,900 GATX............................. 456,437
1,000 Hanover Compressor*.............. 32,938
6,700 IGEN International*.............. 134,838
3,100 Macrovision*..................... 251,100
-----------
875,313
-----------
FOOD -- 1.5%
12,000 Cadiz*........................... 120,000
900 Coca-Cola Bottling............... 37,744
25,900 Coca-Cola Enterprises............ 412,781
15,200 Hormel Foods..................... 253,650
1,700 Starbucks*....................... 68,106
4,400 Tejon Ranch...................... 111,320
888 Tootsie Roll Industries.......... 34,854
-----------
1,038,455
-----------
HEALTH -- 2.1%
19,700 Apria Healthcare Group*.......... 274,569
8,100 Enzo Biochem*.................... 392,850
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH (CONTINUED)
20,600 Hooper Holmes.................... $ 195,906
14,400 Lincare Holdings*................ 413,100
2,000 Osteotech*....................... 19,125
7,800 Prime Medical Services*.......... 60,450
18,800 Psychemedics..................... 93,060
-----------
1,449,060
-----------
HOUSEHOLD -- 1.7%
10,500 Advanced Lighting
Technologies*.................. 129,938
1,700 AEP Industries*.................. 57,694
200 Foamex International*............ 1,250
9,600 Lear*............................ 197,400
500 Research Frontiers*.............. 9,594
8,900 SLI.............................. 65,081
17,600 Thomas & Betts................... 306,900
17,100 Tupperware....................... 307,799
5,600 Uniroyal Technology*............. 84,000
-----------
1,159,656
-----------
INSURANCE -- 4.1%
3,302 Citizens*........................ 22,082
6,300 Express Scripts, Class A*........ 455,175
1,500 HealthAxis*...................... 4,219
700 HSB Group........................ 28,088
20,800 Mercury General.................. 588,900
25,400 Oxford Health Plans*............. 780,652
4,500 Pre-Paid Legal Services*......... 145,406
7,900 Progressive...................... 646,813
4,600 Protective Life.................. 137,425
-----------
2,808,760
-----------
MACHINERY -- 5.0%
7,000 A.S.V.*.......................... 90,125
12,400 Actuant, Class A*................ 48,825
22,300 American Power Conversion*....... 427,881
35,500 Crown Cork & Seal................ 379,406
1,000 Danaher.......................... 49,750
6,800 Helix Technology................. 203,150
9,300 Intevac*......................... 48,825
9,200 Mechanical Technology*........... 99,475
13,900 MEMC Electronic Materials*....... 178,963
30,100 Pall............................. 600,118
38,200 Ralston Purina Group............. 904,862
2,200 Terex*........................... 28,738
14,600 UCAR International*.............. 185,238
13,400 Valence Technology*.............. 231,150
-----------
3,476,506
-----------
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE> 39
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MEDIA -- 4.4%
8,200 Cox Radio*....................... $ 142,988
4,200 E.W. Scripps, Class A............ 226,800
900 Emmis Communications, Class A*... 22,275
11,800 Harcourt General................. 696,199
4,800 Hollinger International.......... 80,400
27,000 Journal Register*................ 448,875
21,000 R.R. Donnelley & Sons............ 515,813
19,100 Reader's Digest Association,
Class A........................ 674,469
4,600 Schawk........................... 42,550
4,000 Wallace Computer Services........ 61,000
3,500 Young Broadcasting, Class A*..... 110,031
-----------
3,021,400
-----------
METALS -- 1.5%
17,200 Andrew*.......................... 450,425
13,700 CommScope*....................... 335,650
2,000 MAXXAM*.......................... 39,750
1,600 Precision Castparts.............. 61,400
2,300 Superior TeleCom................. 13,800
14,400 Titanium Metals.................. 117,900
-----------
1,018,925
-----------
OFFICE MACHINERY -- 3.5%
2,100 Advanced Digital Information*.... 31,894
4,100 Emulex*.......................... 502,249
4,300 Kronos*.......................... 129,000
9,100 Lexmark International*........... 341,250
9,900 MTI Technology*.................. 37,744
2,500 Performance Technologies*........ 35,156
4,900 Pinnacle Systems*................ 55,125
8,800 Proxim*.......................... 391,600
5,600 SanDisk*......................... 373,800
8,600 Symbol Technologies.............. 309,063
10,200 Wave Systems, Class A*........... 170,850
-----------
2,377,731
-----------
OIL -- 0.1%
4,900 Belco Oil & Gas*................. 43,488
5,000 Southwestern Energy*............. 43,750
-----------
87,238
-----------
OIL DISTRIBUTION -- 0.3%
12,300 Northwestern..................... 239,850
-----------
OTHER UTILITIES -- 0.4%
12,285 Southern Union*.................. 243,397
-----------
PAPER -- 2.5%
15,700 Avery Dennison................... 728,087
10,100 Georgia-Pacific (Timber Group)... 271,438
2,800 Nortek*.......................... 49,000
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
PAPER (CONTINUED)
20,200 Playtex Products*................ $ 238,613
23,800 Sonoco Products.................. 429,887
-----------
1,717,025
-----------
REAL ESTATE ASSETS -- 3.8%
8,200 Chateau Communities.............. 219,863
25,100 Crescent Real Estate Equities
Company........................ 560,044
39,200 IndyMac Mortgage Holdings........ 806,049
31,500 Rouse............................ 785,531
2,000 The St. Joe Company.............. 55,500
9,900 Trammell Crow*................... 148,500
1,000 United Park City Mines*.......... 15,938
-----------
2,591,425
-----------
RETAIL/WHOLESALE -- 9.4%
6,000 Abercrombie & Fitch, Class A*.... 114,375
1,200 American Eagle Outfitters*....... 37,800
13,700 Ames Department Stores*.......... 79,203
16,600 Barnes & Noble*.................. 326,813
1,200 Black Box*....................... 55,950
17,600 Champion Enterprises*............ 74,800
20,800 Circuit City Stores -- Circuit
City
Group.......................... 478,400
6,800 Cost Plus*....................... 204,850
2,400 En Pointe Technologies*.......... 15,600
1,600 Factory 2-U Stores*.............. 48,900
14,300 Linens 'n Things*................ 364,650
22,100 McKesson HBOC.................... 675,430
5,100 Netegrity*....................... 357,000
7,000 NuCo2*........................... 43,313
12,700 O'Reilly Automotive*............. 185,738
8,600 Pacific Sunwear of California*... 161,250
7,200 Patterson Dental Company*........ 162,000
26,900 Safeguard Scientifics*........... 536,319
39,400 Saks*............................ 389,075
15,100 Scios*........................... 156,663
15,700 Shop At Home*.................... 38,269
38,400 Staples*......................... 544,799
20,900 Sunglass Hut International*...... 136,503
10,000 United Auto Group*............... 82,500
1,700 ValueVision International, Class
A*............................. 42,713
11,500 Whole Foods Market*.............. 617,405
8,000 Wild Oats Markets*............... 94,000
13,700 Williams-Sonoma*................. 476,075
-----------
6,500,393
-----------
SERVICES -- 14.6%
13,300 ACTV*............................ 182,875
6,900 Acxiom*.......................... 219,075
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE> 40
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SERVICES (CONTINUED)
6,200 American Superconductor*......... $ 304,769
6,000 Aware*........................... 231,000
1,900 CCC Information Services
Group*......................... 15,319
5,500 Central Parking.................. 108,969
25,200 Ceridian*........................ 707,174
34,100 Citrix Systems*.................. 684,130
4,700 Concord Communications*.......... 124,550
5,700 CSG Systems International*....... 165,300
4,200 Datastream Systems*.............. 54,075
8,800 Dendrite International*.......... 235,950
11,100 Emeritus*........................ 23,588
32,300 Gartner Group, Class A........... 375,488
10,400 Getty Images*.................... 316,550
5,800 Globix*.......................... 135,213
5,500 IDX Systems*..................... 88,688
37,600 IMS Health....................... 780,199
28,600 Keane*........................... 497,639
100 Laser Vision Centers*............ 434
5,100 MemberWorks*..................... 167,663
3,500 Mercury Computer Systems*........ 97,344
2,600 National Instruments*............ 114,725
1,000 NetSpeak*........................ 11,313
500 New ERA of Networks*............. 12,164
15,500 Open Market*..................... 97,359
63,500 Parametric Technology*........... 694,530
4,000 Project Software &
Development*................... 62,188
3,900 Radiant Systems*................. 83,363
5,100 RealNetworks*.................... 202,725
13,900 Rollins.......................... 205,894
12,500 Sabre Holdings................... 361,719
6,100 Sanchez Computer Associates*..... 94,550
24,200 Sotheby's Holdings, Class A...... 601,974
8,700 SportsLine USA*.................. 120,169
100 StarTek*......................... 2,900
6,900 Sunrise Assisted Living*......... 149,644
11,000 Sylvan Learning Systems*......... 162,938
1,880 SYNAVANT*........................ 12,573
1,700 THQ*............................. 39,525
20,400 Total System Services............ 342,975
900 Verity*.......................... 32,119
27,000 Viad............................. 717,187
1,800 viaLink*......................... 15,975
8,800 Wind River Systems*.............. 421,850
-----------
10,076,351
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SOAPS & COSMETICS -- 0.5%
1,000 Alberto-Culver, Class B.......... $ 28,813
24,200 Dial............................. 281,325
-----------
310,138
-----------
TELEPHONE -- 1.2%
2,700 AT&T Latin America, Class A*..... 22,781
10,900 Centennial Communications*....... 239,800
2,300 Commonwealth Telephone
Enterprises*................... 84,813
11,900 e.spire Communications*.......... 34,956
700 Electric Lightwave, Class A*..... 5,950
7,400 ITC DeltaCom*.................... 85,100
6,600 Pegasus Communications*.......... 318,862
1,500 PSINet*.......................... 14,438
-----------
806,700
-----------
TEXTILES -- 2.0%
16,400 Cintas........................... 714,424
30,900 Collins & Aikman................. 144,844
12,800 Cone Mills*...................... 57,600
13,700 Gymboree*........................ 74,494
5,200 Jones Apparel Group*............. 137,800
9,500 Polymer Group.................... 70,063
2,200 Tropical Sportswear
International*................. 37,400
11,700 WestPoint Stevens................ 143,325
-----------
1,379,950
-----------
TRANSPORTATION -- 1.8%
3,100 American Classic Voyages*........ 45,338
400 Expeditors International of
Washington..................... 18,025
13,600 Iron Mountain*................... 503,199
27,300 Norfolk Southern................. 399,263
16,100 Trico Marine Services*........... 255,588
-----------
1,221,413
-----------
TRAVEL/ENTERTAINMENT -- 4.7%
9,500 Bally Total Fitness Holding*..... 237,500
5,900 Championship Auto Racing
Teams*......................... 143,813
86,600 Hilton Hotels.................... 1,001,312
3,800 Hollywood Entertainment*......... 28,263
5,600 MeriStar Hospitality............. 113,400
24,200 Six Flags*....................... 375,100
6,400 Speedway Motorsports*............ 133,200
25,900 Tricon Global Restaurants*....... 793,187
19,900 Westwood One*.................... 426,606
-----------
3,252,381
-----------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS
$64,314,409) -- 97.3%.......... $67,010,572
===========
</TABLE>
---------------
* Non-income producing security.
See accompanying notes to the financial statements.
40
<PAGE> 41
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/00
<TABLE>
<CAPTION>
SINCE
FISCAL LAST 1 INCEPTION
YTD YEAR (4/22/98)
------ ------ ---------
<S> <C> <C> <C>
Institutional Shares........................................ -4.64% 0.32% -2.78%
Investor Shares............................................. -4.88% 0.03% -3.08%
S&P 500 Index(1)............................................ -3.60% 13.28% 12.04%
</TABLE>
For the six months ended September 30, 2000, the Fund underperformed its
benchmark, the S&P 500 Index. The Fund invests in the AXA Rosenberg Value Market
Neutral Fund and S&P 500 Index Futures. The Institutional shares of the AXA
Rosenberg Value Market Neutral Fund returned 1.89% for the six months ended
September 30, 2000. (See the separate commentary for the AXA Rosenberg Value
Market Neutral Fund.) Effective September 29, 2000, the Fund began investing in
the AXA Rosenberg Multi-Strategy Market Neutral Fund instead of the AXA
Rosenberg Value Market Neutral Fund.
On July 31, 2000, the name of the Fund was changed to the AXA Rosenberg
Double Alpha Market Fund.
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 AXA Rosenberg Value 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 AXA Rosenberg Value Market
Neutral Fund will involve risks associated with twice the number of investment
decisions made for a typical stock fund. These types of fund typically have a
high portfolio turnover that could increase transaction costs and cause short-
term capital gains to be realized. While it may be the intent of the Manager to
take long positions in stocks that outperform the market and short positions in
stocks that underperform the market, in various market climates, there is no
assurance that the Manager will be successful.
Investment in Index Futures involves risk. Positions in Index Futures may
be closed out by the AXA Rosenberg Double Alpha Market Fund only on the futures
exchanges on which the Index Futures are then traded. There can be no assurance
that a liquid market will exist for any particular contract at any particular
time.
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.
AXA Rosenberg Mutual Funds 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.
41
<PAGE> 42
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
REGISTERED INVESTMENT COMPANY -- 95.0%
922,817 AXA Rosenberg Value Market Neutral Fund (a)................. $6,976,497
----------
TOTAL REGISTERED INVESTMENT COMPANY (COST
$6,971,171) -- 95.0%...................................... 6,976,497
----------
SHORT TERM SECURITIES -- 1.5%
CTC Sweep Account, 6.50%.................................... 112,868
----------
TOTAL SHORT TERM SECURITIES (COST $112,868)................. 112,868
----------
TOTAL INVESTMENTS (COST $7,084,039) (b) -- 96.5%............ 7,089,365
OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.5%............... 255,628
----------
TOTAL NET ASSETS -- 100.0%.................................. $7,344,993
==========
</TABLE>
---------------
(a) Serves as collateral for future contracts.
(b) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................... $5,326
Unrealized depreciation..................................... --
------
Net unrealized appreciation................................. $5,326
======
</TABLE>
<TABLE>
<CAPTION>
NUMBER OPEN CURRENT
OF CONTRACTS CONTRACT TYPE POSITIONS MARKET VALUE
------------ ------------------------------------------------------------ ---------- ------------
<C> <S> <C> <C>
21 Long S&P 500 December 2000 Future $8,055,500 $7,631,925
</TABLE>
See accompanying notes to the financial statements.
42
<PAGE> 43
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
--------------------------------------------------------------------------------
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/00
<TABLE>
<CAPTION>
SINCE SINCE
FISCAL LAST 1 INCEPTION INCEPTION
YTD YEAR (10/19/98) (11/11/98)
------ ------ ---------- ----------
<S> <C> <C> <C> <C>
Institutional Shares (SSMNX).............................. -4.98% 3.17% 4.87%
Investor Shares........................................... -5.10% 2.93% 4.52%
U.S. 90-day Treasury Bills................................ 2.86% 5.51% 5.15% 5.21%
</TABLE>
Growth stocks failed to hold their momentum during the second and the third
quarters of 2000. Overall, the S&P 500 Index(1) returned a -3.60% for the six
months ended September 30, 2000. Concerns over a slowdown in the domestic
economic growth rate precipitated the downward slide among growth stocks. The
growth stock dominated technology sector led the market downturn.
The Fund takes long and short positions primarily in the 500 largest
capitalization stocks principally traded in the U.S. Unlike the AXA Rosenberg
Value Market Neutral Fund, under normal circumstances, the AXA Rosenberg Select
Sectors Market Neutral Fund will be overweighted in its long and short positions
in different sectors and industries based on quantitative bottom-up company
analysis.
For the six months ended September 30, 2000, the Fund underperformed its
benchmark, U.S. 90-day T-bills. The Fund's underperformance resulted primarily
from stock selection and industry exposures. Net long industry exposures in the
auto and service industries hurt performance. The Fund benefited from exposure
to common risk factors, principally net positive exposures to earnings/price and
to relative strength (measure of trailing 12-month price performance).
On July 31, 2000, the name of the Fund was changed to the AXA Rosenberg
Select Sectors Market Neutral Fund.
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 AXA 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 AXA 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 AXA 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
AXA Rosenberg Select Sectors Market Neutral Fund because T-bills are backed by
the full faith and credit of the U.S. government. T-bills have a fixed rate of
return, and investors do not bear the risk of losing their investment. The
income received from T-bills is free from state income tax.
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.
AXA Rosenberg Mutual Funds 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.
43
<PAGE> 44
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS -- 92.8%
AIRLINES -- 1.3%
3,700 AMR*............................ $ 120,944
2,900 Delta Air Lines................. 128,687
------------
249,631
------------
AUTOS -- 1.7%
5,000 General Motors.................. 325,000
------------
BANKING -- 9.6%
8,200 Bank of America................. 429,474
8,700 Chase Manhattan................. 401,831
1,500 Countrywide Credit Industries... 56,625
14,000 FleetBoston Financial........... 545,999
2,100 Mellon Financial................ 97,388
200 SouthTrust...................... 6,288
6,200 SunTrust Banks.................. 308,838
------------
1,846,443
------------
CHEMICALS -- 1.6%
5,800 Dow Chemical.................... 144,638
4,000 PPG Industries.................. 158,750
------------
303,388
------------
COMPUTER -- 2.3%
3,800 Sun Microsystems*............... 443,650
------------
DEFENSE -- 0.8%
1,700 Northrop Grumman................ 154,488
------------
DRUGS -- 1.9%
1,300 Amgen*.......................... 90,777
1,451 MedImmune*...................... 112,090
2,500 Watson Pharmaceuticals*......... 162,187
------------
365,054
------------
ELECTRIC UTILITIES -- 5.3%
1,300 Calpine*........................ 135,688
3,000 Edison International............ 57,938
7,700 Entergy......................... 286,824
5,400 FirstEnergy..................... 145,463
1,700 Florida Progress................ 89,994
300 Sempra Energy................... 6,244
6,000 TXU............................. 237,749
1,100 Unicom.......................... 61,806
------------
1,021,706
------------
ELECTRONICS -- 14.7%
800 Altera*......................... 38,200
4,600 Celestica*...................... 318,550
5,700 Cisco Systems*.................. 314,925
2,700 Cypress Semiconductor*.......... 112,219
5,304 General Motors, Class H*........ 197,203
11,400 Intel........................... 474,524
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
5,500 Maxim Integrated Products*...... $ 442,406
9,500 Motorola........................ 268,375
1,500 PMC-Sierra*..................... 322,875
800 SPX*............................ 113,550
2,600 Vishay Intertechnology*......... 79,950
1,600 Waters*......................... 142,400
------------
2,825,177
------------
FINANCIAL INVESTMENTS -- 1.0%
2,700 Fannie Mae...................... 193,050
------------
FOOD -- 1.2%
11,900 ConAgra Foods................... 238,744
------------
HOUSEHOLD -- 0.6%
2,300 Johnson Controls................ 122,331
------------
INSURANCE -- 1.7%
6,300 John Hancock Financial
Services*..................... 169,313
2,200 MBIA............................ 156,475
------------
325,788
------------
MACHINERY -- 1.6%
400 Applied Materials*.............. 23,725
5,000 Rockwell International.......... 151,250
3,000 Textron......................... 138,375
------------
313,350
------------
MEDIA -- 4.3%
1,400 TMP Worldwide*.................. 112,700
5,500 Viacom, Class A*................ 321,750
10,200 Walt Disney..................... 390,150
------------
824,600
------------
METALS -- 2.2%
9,600 Alcoa........................... 243,000
600 Corning......................... 178,200
------------
421,200
------------
MISCELLANEOUS FINANCIAL -- 7.7%
2,300 A.G. Edwards.................... 120,319
1,800 AMBAC Financial Group........... 131,850
15,733 Citigroup....................... 850,565
2,600 Lehman Brothers Holdings........ 384,150
------------
1,486,884
------------
OFFICE MACHINERY -- 3.1%
3,100 EMC*............................ 307,287
2,300 Network Appliance*.............. 292,963
------------
600,250
------------
</TABLE>
See accompanying notes to the financial statements.
44
<PAGE> 45
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OIL -- 5.5%
2,400 Amerada Hess.................... $ 160,650
2,600 Apache.......................... 153,725
8,400 Conoco, Class B................. 226,275
5,000 Phillips Petroleum.............. 313,750
3,900 Texaco.......................... 204,750
------------
1,059,150
------------
OIL -- INTERNATIONAL -- 2.2%
5,100 Chevron......................... 434,775
------------
OIL DISTRIBUTION -- 1.4%
9,500 USX-Marathon Group.............. 269,563
------------
OIL SERVICES -- 1.5%
2,000 BJ Services*.................... 122,250
3,300 Noble Drilling*................. 165,825
------------
288,075
------------
OTHER UTILITIES -- 0.6%
3,100 KeySpan......................... 124,388
------------
PAPER -- 1.4%
5,600 Weyerhaeuser.................... 226,100
1,900 Willamette Industries........... 53,200
------------
279,300
------------
RETAIL/WHOLESALE -- 2.3%
6,900 Albertson's..................... 144,900
7,500 Sears, Roebuck & Co. ........... 243,150
3,200 Toys "R" Us*.................... 52,000
------------
440,050
------------
SERVICES -- 8.3%
100 Micromuse*...................... 20,094
10,500 Oracle*......................... 826,874
400 Quest Software*................. 24,844
2,200 Robert Half International*...... 76,313
4,800 Siebel Systems*................. 534,299
2,900 SunGard Data Systems*........... 124,156
------------
1,606,580
------------
SOAPS & COSMETICS -- 0.5%
2,900 Estee Lauder Companies, Class
A............................. 106,213
------------
TELEPHONE -- 4.2%
6,400 ALLTEL.......................... 334,000
11,000 AT&T............................ 323,125
1,400 Telephone & Data Systems........ 154,980
------------
812,105
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TRANSPORTATION -- 1.8%
9,000 Burlington Northern Santa Fe.... $ 194,063
4,000 Union Pacific................... 155,500
------------
349,563
------------
TRAVEL/ENTERTAINMENT -- 0.5%
6,800 Park Place Entertainment*....... 102,850
------------
TOTAL COMMON STOCKS
(COST $16,947,311)............ 17,933,346
------------
REPURCHASE AGREEMENT -- 6.2%
Bear Stearns, dated 9/29/00, due
10/2/00 at 6.50% with a
maturity value of $1,206,902
(Collateralized by $1,265,000
U.S. Treasury Note, 3.375%,
1/15/07, market value --
$1,231,201)................... 1,206,249
------------
TOTAL REPURCHASE AGREEMENT
(COST $1,206,249)............. 1,206,249
------------
TOTAL INVESTMENTS
(COST $18,153,560)
(a) -- 99.0%.................. 19,139,595
------------
DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT -- 95.9%
Bear Stearns Deposit A/C,
6.29%......................... 18,537,350
------------
TOTAL DEPOSITS WITH BROKERS FOR
SECURITIES SOLD SHORT
(COST $18,537,350)............ 18,537,350
------------
PAYABLE TO BROKERS FOR
SECURITIES SOLD
SHORT -- (3.5)%............... (670,102)
------------
SECURITIES SOLD SHORT
(PROCEEDS
$17,552,578) -- (91.6)%....... (17,714,920)
------------
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.2%........... 41,838
------------
TOTAL NET ASSETS -- 100.0%...... $ 19,333,761
============
</TABLE>
---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized appreciation as follows:
<TABLE>
<S> <C>
Unrealized
appreciation -- Investments.......... $2,267,655
Unrealized
depreciation -- Investments.......... (1,281,620)
Unrealized appreciation -- Short
Sales................................ 1,549,947
Unrealized depreciation -- Short
Sales................................ (1,712,289)
----------
Net unrealized appreciation............ $ 823,693
==========
</TABLE>
See accompanying notes to the financial statements.
45
<PAGE> 46
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF SECURITIES SOLD SHORT -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS -- 91.6%
BANKING -- 9.8%
13,800 Bank One......................... $ 533,024
4,300 Charter One Financial............ 104,813
5,000 General Electric................. 288,438
3,800 Northern Trust................... 337,724
5,300 Synovus Financial................ 112,294
11,600 Washington Mutual................ 461,824
900 Zions Bancorporation............. 46,027
-----------
1,884,144
-----------
CHEMICALS -- 0.7%
3,700 Praxair.......................... 138,288
-----------
COMPUTER -- 0.6%
3,800 Dell Computer*................... 117,088
-----------
DEFENSE -- 1.4%
8,500 Lockheed Martin.................. 280,160
-----------
DRUGS -- 4.6%
5,000 Abbott Laboratories.............. 237,813
3,400 Biogen*.......................... 207,400
4,700 Eli Lilly & Co. ................. 381,287
1,500 Pfizer........................... 67,406
-----------
893,906
-----------
ELECTRIC UTILITIES -- 2.2%
4,200 Duke Energy...................... 360,150
2,100 Montana Power.................... 70,088
-----------
430,238
-----------
ELECTRONICS -- 12.0%
6,800 Guidant*......................... 480,674
4,400 Johnson & Johnson................ 413,325
2,300 KLA-Tencor*...................... 94,731
2,600 RF Micro Devices*................ 81,575
7,900 Solectron*....................... 364,388
6,100 Texas Instruments................ 287,844
9,400 Tyco International............... 487,624
1,000 Vitesse Semiconductor*........... 88,938
-----------
2,299,099
-----------
FINANCIAL INVESTMENTS -- 0.2%
400 American International Group..... 38,275
-----------
FOOD -- 5.4%
200 Campbell Soup.................... 5,175
12,000 Coca-Cola........................ 661,500
2,200 Hershey Foods.................... 119,075
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FOOD (CONTINUED)
1,700 Starbucks*....................... $ 68,106
2,600 Wm. Wrigley Jr. ................. 194,675
-----------
1,048,531
-----------
INSURANCE -- 1.9%
2,800 Automatic Data Processing........ 187,250
1,900 Cincinnati Financial............. 67,450
1,300 Progressive...................... 106,438
-----------
361,138
-----------
MACHINERY -- 6.1%
2,300 Danaher.......................... 114,425
18,300 Gillette......................... 565,013
5,400 Illinois Tool Works.............. 301,725
8,300 Ralston Purina Group............. 196,606
-----------
1,177,769
-----------
MEDIA -- 2.5%
7,100 Clear Channel Communications*.... 401,150
1,100 Time Warner...................... 86,075
-----------
487,225
-----------
OFFICE MACHINERY -- 5.5%
7,500 3Com*............................ 143,906
4,300 International Business
Machines....................... 483,750
3,100 Lexmark International*........... 116,250
5,700 Pitney Bowes..................... 224,794
1,300 SanDisk*......................... 86,775
-----------
1,055,475
-----------
OIL SERVICES -- 2.1%
5,900 Halliburton...................... 288,731
1,500 Schlumberger..................... 123,469
-----------
412,200
-----------
OTHER UTILITIES -- 0.9%
4,100 Williams Cos..................... 173,225
-----------
PAPER -- 4.1%
10,000 Masco............................ 186,250
9,100 Procter & Gamble................. 609,700
-----------
795,950
-----------
RETAIL/WHOLESALE -- 9.1%
4,800 Circuit City Stores -- Circuit
City
Group.......................... 110,400
1,600 eBay*............................ 109,800
13,600 Gap.............................. 273,700
6,300 McKesson HBOC.................... 192,544
2,100 RadioShack....................... 135,713
</TABLE>
See accompanying notes to the financial statements.
46
<PAGE> 47
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
12,000 Staples*......................... $ 170,250
5,500 Wal-Mart Stores.................. 264,688
12,900 Walgreen......................... 489,393
-----------
1,746,488
-----------
SERVICES -- 6.3%
2,500 Ceridian*........................ 70,156
300 Citrix Systems*.................. 6,019
3,400 Computer Sciences*............... 252,450
4,100 First Data....................... 160,156
7,400 IMS Health....................... 153,550
3,700 Intuit*.......................... 210,900
5,400 Microsoft*....................... 325,351
1,100 RealNetworks*.................... 43,725
370 SYNAVANT*........................ 2,474
-----------
1,224,781
-----------
TELEPHONE -- 7.9%
11,200 America Online*.................. 601,999
2,300 Cablevision Systems, Class A*.... 152,519
3,600 Cox Communications, Class A*..... 137,700
10,500 McLeodUSA, Class A*.............. 150,281
1,000 Metromedia Fiber Network, Class
A*............................. 24,313
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELEPHONE (CONTINUED)
4,323 Qwest Communications
International*................. $ 207,774
2,700 Yahoo!*.......................... 246,544
-----------
1,521,130
-----------
TEXTILES -- 0.6%
2,850 Cintas........................... 124,153
-----------
TRANSPORTATION -- 4.6%
13,600 Carnival......................... 334,900
5,000 Level 3 Communications*.......... 385,625
12,100 Norfolk Southern................. 176,963
-----------
897,488
-----------
TRAVEL/ENTERTAINMENT -- 3.1%
16,900 McDonald's....................... 510,169
3,200 Tricon Global Restaurants*....... 98,000
-----------
608,169
-----------
TOTAL SECURITIES SOLD SHORT
(PROCEEDS
$17,552,578) -- 91.6%.......... $17,714,920
===========
</TABLE>
---------------
* Non-income producing security.
See accompanying notes to the financial statements.
47
<PAGE> 48
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
--------------------------------------------------------------------------------
PERFORMANCE UPDATE AS OF 9/30/00 - CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
INCEPTION
(6/7/00)
---------
<S> <C>
Institutional Shares........................................ -8.50%
MSCI-EAFE Index(1).......................................... -9.16%
</TABLE>
The third quarter of 2000 was again marked by volatility. The continued
rise in oil prices, the embattled euro and disappointing earnings news around
the world cast a shadow on the stock market. After a strong performance in June,
markets lost ground in July, due to worries over U.S. interest rate increases.
In August, optimism returned and the broad market regained its strength.
However, this positive sentiment was dampened in September by the rise in oil
prices and uncertainty over the euro. For the quarter, international large
stocks, as measured by the MSCI-EAFE, fell 8.01%.
The European markets experienced a quarter of negative returns. Large
stocks, in particular, were penalized. Several high-profile companies issued
disappointing earnings or profit warnings. The situation was exacerbated by
worries and discontent over the rise in oil prices, which resulted in the
"petrol crisis" in both France and the U.K. that almost brought the two
countries to a standstill. In addition, confidence eroded as the euro continued
to fall against the U.S. dollar. The various central banks eventually had to
intervene to halt the slide. Denmark's decision on not to join the euro added
another level of uncertainty. The British pound also suffered in the midst of
all these developments, only to recover slightly at the end of September. Large
company stocks suffered losses of 7.25%(2) over the period. Performance of value
and growth stocks were mixed.
The Japanese market is still struggling to emerge from a 10-year malaise.
Investors, domestic and foreign alike, still favored Japanese value stocks.
During this quarter, large stocks lost 4.96%. There was speculation that the
Japanese government would end the zero interest rate policy. This created mixed
reactions in the economy. In the end, the zero interest rate policy continued to
reign. Elsewhere in Asia, markets posted heavy losses during September as
technology and internet-related stocks plummeted. On the other hand, the
privatization of the Hong Kong Mass Transit Railway was well received by
investors. This is an indication that investors have shifted toward the
defensive sectors of the market at the expense of the internet sectors. In spite
of the euphoria associated with the Sydney Olympics, markets were down for the
quarter as a whole. For the quarter, large stocks lost 8.44% for the Pacific ex
Japan region.
The U.S. dollar reassumed its leadership role during the third quarter.
Among the currencies of the developed markets, the New Zealand dollar suffered
the largest depreciation against the U.S. dollar by losing close to 13%. The
Australian dollar also depreciated close to 10%. The British pound also lost 2%
against the U.S. dollar, and the euro depreciated 8%.
The AXA Rosenberg International Equity Fund was launched on June 7, 2000.
The Fund follows a systematic and disciplined approach to international
investing. Since inception, the Fund outperformed its benchmark, the MSCI-EAFE
Index. The outperformance was a combination of stock selection and risk
management. 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 its 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.
48
<PAGE> 49
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.
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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
---------------
(1) The Morgan Stanley Capital International Europe, Australasia, Far East Index
(MSCI-EAFE) is the benchmark for the AXA Rosenberg International Equity
Fund. It is an international, unmanaged, weighted stock market index that
includes over 1,000 securities listed on the stock exchanges of 20 developed
market countries from Europe, Australia, Asia and the Far East. Investors
cannot invest directly in any Index.
(2) Large stock returns are based on individual country and regional MSCI
Standard Indices.
49
<PAGE> 50
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS -- 97.4%
AUSTRALIA -- 2.6%
Banking -- 1.2%
4,600 Australia & New Zealand
Banking Group............... $ 33,083
4,100 National Australia Bank....... 56,635
3,400 Westpac Banking............... 23,476
-----------
113,194
-----------
Financial Investments -- 0.0%
500 AMP........................... 4,441
-----------
Food -- 0.1%
11,100 Goodman Fielder............... 7,183
-----------
Household -- 0.1%
11,400 Pacific Dunlop................ 9,471
-----------
Media -- 0.8%
5,100 News Corporation.............. 71,810
-----------
Metals -- 0.2%
1,100 Rio Tinto..................... 14,744
-----------
Oil -- 0.0%
700 Santos........................ 2,388
-----------
Oil Distribution -- 0.1%
5,900 Orogen Minerals............... 4,857
-----------
Paper -- 0.1%
3,600 Amcor......................... 9,945
-----------
Telephone -- 0.0%
1,300 Uecomm*....................... 1,126
-----------
Travel/Entertainment -- 0.0%
900 Village Roadshow.............. 751
-----------
239,910
-----------
AUSTRIA -- 0.3%
Oil Distribution -- 0.3%
350 OMV........................... 25,288
-----------
BELGIUM -- 0.2%
Retail/Wholesale -- 0.2%
405 Delhaize Le Lion.............. 19,084
-----------
DENMARK -- 0.1%
Insurance -- 0.1%
132 Codan......................... 7,651
-----------
FINLAND -- 2.0%
Drugs -- 0.1%
479 Orion Yhtyma, Class B......... 8,200
-----------
Electric Utilities -- 0.2%
4,749 Fortum........................ 16,134
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINLAND (CONTINUED)
Electronics -- 1.3%
3,000 Nokia......................... $ 121,562
-----------
Insurance -- 0.3%
600 Pohjola Group Insurance, Class
B........................... 23,164
-----------
Paper -- 0.1%
1,800 Metsa Serla, Class B.......... 11,833
-----------
180,893
-----------
FRANCE -- 10.1%
Autos -- 0.7%
382 PSA Peugeot Citroen........... 67,855
-----------
Banking -- 2.1%
1,749 BNP Paribas................... 154,182
700 Societe Generale, Class A..... 39,131
-----------
193,313
-----------
Building -- 0.2%
363 Vinci......................... 18,498
-----------
Chemicals -- 0.2%
1,748 Rhodia........................ 18,988
-----------
Drugs -- 0.5%
648 Aventis....................... 48,604
-----------
Electronics -- 2.9%
3,450 Alcatel....................... 220,715
293 Lagardere..................... 17,749
93 Sagem......................... 19,852
-----------
258,316
-----------
Financial Investments -- 0.1%
188 Societe Fonciere, Financiere
Et De Participations........ 11,414
-----------
Food -- 0.3%
279 Eridania Beghin-Say........... 24,004
-----------
Liquor & Tobacco -- 1.5%
684 Christian Dior................ 36,848
1,300 LVMH.......................... 98,139
-----------
134,987
-----------
Machinery -- 0.3%
1,180 Alstom........................ 27,229
-----------
Metals -- 0.3%
2,744 Usinor........................ 24,916
-----------
Services -- 0.1%
1,325 Bull*......................... 7,986
-----------
</TABLE>
See accompanying notes to the financial statements.
50
<PAGE> 51
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
Telephone -- 0.9%
575 Canal Plus.................... $ 86,105
-----------
922,215
-----------
GERMANY -- 6.8%
Autos -- 1.9%
3,960 DaimlerChrysler............... 177,655
-----------
Chemicals -- 1.0%
2,630 BASF.......................... 93,458
-----------
Electric Utilities -- 1.0%
2,712 RWE........................... 95,725
-----------
Machinery -- 2.9%
2,004 Siemens....................... 258,183
-----------
625,021
-----------
HONG KONG -- 2.1%
Airlines -- 0.8%
12,000 Cathay Pacific Airways........ 22,009
4,000 Hong Kong Aircraft
Engineering................. 6,618
6,000 Swire Pacific, Class A........ 37,399
-----------
66,026
-----------
Autos -- 0.2%
10,000 Johnson Electric Holdings..... 21,483
-----------
Computer -- 0.1%
8,000 Legend Holdings*.............. 7,593
-----------
Electric Utilities -- 0.2%
10,000 China Travel International
Investment Hong Kong........ 1,321
4,000 Citic Pacific................. 17,238
-----------
18,559
-----------
Real Estate Assets -- 0.4%
32,000 Chinese Estates Holdings *.... 3,776
3,000 Sun Hung Kai Properties....... 28,280
10,000 Wheelock and Company.......... 7,888
-----------
39,944
-----------
Retail/Wholesale -- 0.3%
12,000 Li & Fung*.................... 25,317
-----------
Telephone -- 0.1%
2,000 China Mobile (Hong Kong)*..... 13,275
-----------
192,197
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ITALY -- 3.0%
Food -- 0.4%
20,000 Montedison.................... $ 39,533
-----------
Media -- 0.1%
5,203 Cofide*....................... 8,700
-----------
Telephone -- 2.5%
5,000 Tecnost*...................... 15,134
20,068 Telecom Italia................ 213,210
-----------
228,344
-----------
276,577
-----------
JAPAN -- 26.3%
Airlines -- 0.0%
1,000 Japan Airlines Company........ 3,785
-----------
Autos -- 2.5%
5,000 Fuji Heavy Industries......... 31,094
4,000 Honda Motor................... 147,326
2,000 Isuzu Motors*................. 4,220
1,000 Mitsubishi Motors*............ 3,072
3,000 Suzuki Motor.................. 31,177
2,000 Yamaha Motor.................. 14,992
-----------
231,881
-----------
Banking -- 3.6%
23 Mizuho Holdings............... 189,432
11,000 The Asahi Bank................ 45,299
17,000 The Daiwa Bank................ 38,701
11,000 The Tokai Bank................ 55,886
-----------
329,318
-----------
Building -- 0.6%
1,100 Daito Trust Construction...... 17,804
5,000 Daiwa House Industry.......... 34,934
-----------
52,738
-----------
Chemicals -- 0.7%
14,000 Mitsubishi Chemical........... 48,584
4,000 Mitsui Chemicals.............. 17,805
-----------
66,389
-----------
Construction Materials -- 0.4%
3,000 Matsushita Electric Works..... 34,509
1,000 Tokuyama...................... 4,470
-----------
38,979
-----------
</TABLE>
See accompanying notes to the financial statements.
51
<PAGE> 52
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Drugs -- 2.0%
1,000 Ono Pharmaceutical............ $ 41,088
3,000 Sankyo........................ 66,768
3,000 Tanabe Seiyaku................ 22,793
1,000 Yamanouchi Pharmaceutical..... 48,121
-----------
178,770
-----------
Durables -- 1.9%
4,000 Kenwood....................... 14,622
5,000 Matsushita Electric
Industrial.................. 130,946
3,000 Victor Co. of Japan *......... 25,680
-----------
171,248
-----------
Electric Utilities -- 0.8%
1,900 Kansai Electric Power......... 30,946
3,000 Tohoku Electric Power......... 41,977
-----------
72,923
-----------
Electronics -- 5.3%
400 Futaba........................ 16,250
11,000 Hitachi....................... 127,651
1,000 Hitachi Chemical.............. 28,040
2,000 Ibiden........................ 39,700
300 Keyence....................... 103,831
900 Komatsu Electronic Metals*.... 9,203
9,000 Mitsubishi Electric........... 74,542
8,000 Toshiba....................... 64,483
3,000 Toshiba TEC................... 12,438
1,000 Yokogawa Electric............. 9,171
-----------
485,309
-----------
Financial Investments -- 0.2%
800 Nihon Unisys.................. 15,769
1,000 Tokyo Leasing................. 5,552
-----------
21,321
-----------
Liquor & Tobacco -- 0.4%
4,000 Asahi Breweries............... 35,832
-----------
Machinery -- 0.5%
200 Advantest..................... 31,427
2,000 Makita........................ 15,880
-----------
47,307
-----------
Miscellaneous Financial --1.4%
6,000 Daiwa Securities Group........ 70,350
6,000 Nikko Securities Co. ......... 53,304
-----------
123,654
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
JAPAN (CONTINUED)
Office Machinery -- 1.3%
4,000 NEC........................... $ 90,875
2,000 Sharp......................... 30,946
-----------
121,821
-----------
Retail/Wholesale -- 0.5%
7,000 Mitsui & Co. ................. 43,726
-----------
Services -- 1.1%
4,000 Fujitsu....................... 92,911
300 Hitachi Information Systems... 12,049
-----------
104,960
-----------
Telephone -- 1.7%
7 DDI........................... 45,993
11 Nippon Telegraph and
Telephone................... 107,903
-----------
153,896
-----------
Textiles -- 0.2%
2,000 Wacoal........................ 16,583
-----------
Travel/Entertainment -- 1.2%
800 Heiwa......................... 15,917
500 Nintendo...................... 91,292
-----------
107,209
-----------
2,407,649
-----------
NETHERLANDS -- 5.6%
Banking -- 1.1%
4,170 ABN AMRO Holding.............. 97,144
-----------
Chemicals -- 0.2%
366 Akzo Nobel.................... 15,438
-----------
Durables -- 2.2%
4,782 Koninklijke (Royal) Philips
Electronics................. 205,802
-----------
Financial Investments -- 0.1%
5 N.V. Petroleum -- Maatschappij
Moeara Enim................. 10,655
-----------
Food -- 0.1%
1,075 Koninklijke Wessanen.......... 12,379
-----------
Oil Distribution -- 1.9%
2,850 Royal Dutch Petroleum......... 172,246
-----------
513,664
-----------
NEW ZEALAND -- 0.2%
Food -- 0.2%
20,100 Carter Holt Harvey............ 13,399
-----------
</TABLE>
See accompanying notes to the financial statements.
52
<PAGE> 53
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
NEW ZEALAND (CONTINUED)
Oil -- 0.0%
400 Fletcher Challenge Energy..... $ 1,415
-----------
14,814
-----------
PORTUGAL -- 0.8%
Telephone -- 0.8%
7,073 Portugal Telecom.............. 72,712
-----------
SINGAPORE -- 0.8%
Aircraft -- 0.2%
11,000 Singapore Technologies
Engineering................. 16,308
-----------
Real Estate Assets -- 0.0%
2,000 Keppel........................ 4,068
-----------
Telephone -- 0.6%
30,000 Singapore
Telecommunications.......... 46,889
-----------
Transportation -- 0.0%
3,000 Neptune Orient Lines*......... 2,689
-----------
69,954
-----------
SPAIN -- 4.4%
Electric Utilities -- 1.8%
5,440 Empresa Nacional de
Electricidad................ 102,248
4,982 Iberdrola..................... 63,306
-----------
165,554
-----------
Oil Distribution -- 0.5%
2,320 Repsol-YPF.................... 42,685
-----------
Telephone -- 2.1%
9,731 Telefonica*................... 192,775
-----------
401,014
-----------
SWEDEN -- 1.6%
Banking -- 0.7%
4,500 Svenska Handelsbanken, Class
A........................... 72,407
-----------
Durables -- 0.2%
1,181 Electrolux, Class B........... 14,835
-----------
Machinery -- 0.2%
1,321 SKF, Class B.................. 17,142
-----------
Miscellaneous Financial --0.4%
1,660 Skandia Forsakrings........... 32,914
-----------
Paper -- 0.1%
405 Svenska Cellulosa, Class B.... 7,147
-----------
144,445
-----------
SWITZERLAND -- 6.9%
Banking -- 0.4%
180 Credit Suisse Group........... 33,637
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
SWITZERLAND (CONTINUED)
Drugs -- 2.8%
166 Novartis...................... $ 254,507
-----------
Financial Investments -- 0.9%
26 BB Biotech*................... 33,244
69 BK Vision*.................... 16,567
39 BT&T Telekommunikations und
Technologie*................ 17,487
26 Pharma Vision 2000*........... 17,750
-----------
85,048
-----------
Food -- 1.8%
80 Nestle........................ 166,624
-----------
Insurance -- 0.9%
17 Helvetia Patria Holding....... 14,753
80 Schweizerische
Lebensversicherungs-und
Rentenanstalt /Swiss Life... 63,410
-----------
78,163
-----------
Telephone -- 0.1%
4 Ascom Holding................. 13,411
-----------
631,390
-----------
UNITED KINGDOM -- 23.6%
Banking -- 2.8%
9,000 Abbey National................ 119,625
5,000 Barclays...................... 138,388
-----------
258,013
-----------
Building -- 0.2%
6,995 Taylor Woodrow................ 15,358
-----------
Construction Materials -- 0.1%
9,000 Pilkington.................... 10,812
-----------
Financial Investments -- 1.9%
9,656 CGNU.......................... 137,053
5,781 Royal & Sun Alliance Insurance
Group....................... 38,633
-----------
175,686
-----------
Food -- 1.0%
9,827 Allied Domecq................. 48,963
1,526 Associated British Foods...... 8,009
5,000 Unilever...................... 32,379
-----------
89,351
-----------
Insurance -- 0.2%
743 London Pacific Group.......... 15,352
-----------
</TABLE>
See accompanying notes to the financial statements.
53
<PAGE> 54
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UNITED KINGDOM (CONTINUED)
Machinery -- 0.3%
13,739 Invensys...................... $ 30,013
-----------
Miscellaneous Financial --1.0%
10,736 Halifax Group................. 91,588
-----------
Oil -- 1.9%
12,000 BP Amoco...................... 106,807
4,000 Enterprise Oil................ 32,734
16,992 LASMO......................... 32,659
-----------
172,200
-----------
Oil Distribution -- 1.8%
20,604 Shell Transport & Trading
Co. ........................ 167,851
-----------
Other Utilities -- 1.3%
18,000 BG Group...................... 114,369
-----------
Retail/Wholesale -- 3.6%
8,176 Boots Company................. 61,892
17,000 J Sainsbury................... 93,752
2,230 Safeway....................... 9,463
38,979 Tesco......................... 143,212
7,020 Tomkins....................... 17,125
-----------
325,444
-----------
Telephone -- 6.8%
27,000 British Telecommunications.... 283,828
92,000 Vodafone Group................ 343,455
-----------
627,283
-----------
Transportation -- 0.1%
2,725 Arriva........................ 10,274
-----------
Travel/Entertainment -- 0.6%
1,652 Millennium & Copthorne
Hotels...................... 10,100
6,854 Rank Group.................... 16,670
3,551 Scottish & Newcastle.......... 21,644
5,450 Thistle Hotels................ 9,549
-----------
57,963
-----------
2,161,557
-----------
TOTAL COMMON STOCKS (COST
$9,664,882)................. 8,906,035
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
--------- ------------
<C> <S> <C>
Preferred Stocks -- 0.2%
GERMANY -- 0.2%
Telephone -- 0.2%
173 Prosieben Media............... $ 19,769
-----------
TOTAL PREFERRED STOCKS (COST
$18,592).................... 19,769
-----------
TOTAL INVESTMENTS (COST
$9,683,474) (a) -- 97.6%.... 8,925,804
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 2.4%......... 219,855
-----------
TOTAL NET ASSETS -- 100.0%.... $ 9,145,659
===========
</TABLE>
---------------
* Non-income producing security.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 238,254
Unrealized depreciation............... (995,924)
-----------
Net unrealized depreciation........... $ (757,670)
===========
</TABLE>
See accompanying notes to the financial statements.
54
<PAGE> 55
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
--------------------------------------------------------------------------------
PERFORMANCE UPDATE AS OF 9/30/00 -- CUMULATIVE TOTAL RETURNS
<TABLE>
<CAPTION>
SINCE
INCEPTION
(6/7/00)
---------
<S> <C>
Institutional Shares........................................ -2.60%
S&P 500 Index(1)............................................ -1.13%
</TABLE>
During the third quarter, market volatility continued as investors switched
between favoring growth one month and value the next. The Manager believes the
third quarter represented a market in transition in which investors had not
decided which earnings attribute to reward (future cumulative earnings or
earnings change). This indecisiveness was also evident in the volatility between
industries as investors favored then severely punished particular industries
e.g. electronics and computers.
The AXA Rosenberg Enhanced 500 Fund was launched on June 7, 2000. Since
inception, the Fund's performance, relative to its benchmark, the S&P 500 Index,
was negatively impacted by aggregate industry exposures and stock selection
partially offset by the positive contribution of risk exposures. The Fund's
modest overweighting in electronics and underweighting in electric utilities
contributed to the underperformance. The Fund's positive exposure to relative
strength (a risk measure of past price performance) and to trading activity (a
risk measure of share turnover) helped performance.
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.
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.
AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds
Distributor, Inc.
---------------
(1) The S&P 500 Index is the benchmark for the AXA Rosenberg Enhanced 500 Fund.
It is an unmanaged, broad-based index of 500 widely held common stocks.
Investors cannot invest directly in any Index.
55
<PAGE> 56
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
SCHEDULE OF PORTFOLIO INVESTMENTS -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS -- 99.2%
AIRCRAFT -- 0.6%
300 Boeing......................... $ 18,900
300 Honeywell International........ 10,688
------------
29,588
------------
AIRLINES -- 0.4%
300 Delta Air Lines................ 13,313
200 Southwest Airlines............. 4,850
------------
18,163
------------
AUTOS -- 1.1%
400 Dana........................... 8,600
699 Ford Motor Co. ................ 17,693
200 General Motors................. 13,000
300 TRW............................ 12,188
52 Visteon........................ 792
------------
52,273
------------
BANKING -- 10.6%
200 Associates First Capital....... 7,600
200 Astoria Financial.............. 7,725
1,300 Bank of America................ 68,087
200 Bank of New York............... 11,213
400 Bank One....................... 15,450
450 Chase Manhattan................ 20,784
150 Fifth Third Bancorp............ 8,081
300 First Union.................... 9,656
300 Firstar........................ 6,713
1,000 FleetBoston Financial.......... 38,999
200 Freddie Mac.................... 10,813
3,500 General Electric............... 201,905
200 GreenPoint Financial........... 5,925
200 Household International........ 11,325
700 KeyCorp........................ 17,719
300 MBNA........................... 11,550
100 Mellon Financial............... 4,638
200 National City.................. 4,425
200 Provident Financial Group...... 5,875
100 SunTrust Banks................. 4,981
200 U.S. Bancorp................... 4,550
200 UnionBanCal.................... 4,663
200 Washington Mutual.............. 7,963
500 Wells Fargo & Company.......... 22,968
------------
513,608
------------
BUILDING -- 0.2%
300 Pulte.......................... 9,900
------------
CHEMICALS -- 1.5%
400 American Home Products......... 22,625
200 Dow Chemical................... 4,988
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CHEMICALS (CONTINUED)
700 Du Pont (E.I.) de Nemours...... $ 29,005
200 Pharmacia...................... 12,038
300 Sherwin-Williams............... 6,413
------------
75,069
------------
COMPUTER -- 4.3%
600 Compaq Computer................ 16,548
800 Dell Computer*................. 24,650
100 Gateway*....................... 4,675
300 Hewlett-Packard................ 29,100
148 Palm*.......................... 7,835
1,100 Sun Microsystems*.............. 128,425
------------
211,233
------------
CONSTRUCTION MATERIALS -- 0.1%
300 Johns Manville................. 3,394
------------
DEFENSE -- 0.4%
200 Northrop Grumman............... 18,175
------------
DRUGS -- 6.1%
500 Abbott Laboratories............ 23,781
700 Amgen*......................... 48,880
700 Bristol-Myers Squibb........... 39,988
400 Eli Lilly & Co. ............... 32,450
800 Merck & Co. ................... 59,550
1,500 Pfizer......................... 67,405
500 Schering-Plough................ 23,250
------------
295,304
------------
ELECTRIC UTILITIES -- 1.5%
100 AES*........................... 6,850
100 Duke Energy.................... 8,575
200 Enron.......................... 17,524
100 PG&E........................... 2,419
200 PPL............................ 8,350
200 SCANA.......................... 6,175
200 Southern....................... 6,488
400 TXU............................ 15,850
------------
72,231
------------
ELECTRONICS -- 20.1%
600 ADC Telecommunications*........ 16,134
200 Agilent Technologies*.......... 9,788
300 Analog Devices*................ 24,769
100 Boston Scientific*............. 1,644
200 Broadcom, Class A*............. 48,750
3,000 Cisco Systems*................. 165,749
200 Comverse Technology*........... 21,600
100 Conexant Systems*.............. 4,188
200 DENTSPLY International......... 6,988
</TABLE>
See accompanying notes to the financial statements.
56
<PAGE> 57
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
ELECTRONICS (CONTINUED)
100 Guidant*....................... $ 7,069
4,000 Intel.......................... 166,499
500 JDS Uniphase*.................. 47,344
700 Johnson & Johnson.............. 65,755
1,000 Lucent Technologies............ 30,563
200 Mallinckrodt................... 9,125
400 Medtronic...................... 20,725
500 Micron Technology*............. 23,000
600 Motorola....................... 16,950
1,800 Nortel Networks................ 107,212
200 PMC-Sierra*.................... 43,050
200 Qualcomm*...................... 14,250
200 Solectron*..................... 9,225
100 Tellabs*....................... 4,775
700 Texas Instruments.............. 33,031
600 Tyco International............. 31,125
300 Vishay Intertechnology*........ 9,225
400 Xilinx*........................ 34,250
------------
972,783
------------
FINANCIAL INVESTMENTS -- 1.9%
750 American International Group... 71,766
300 Fannie Mae..................... 21,450
------------
93,216
------------
FOOD -- 2.1%
100 Campbell Soup.................. 2,588
800 Coca-Cola...................... 44,099
200 ConAgra Foods.................. 4,013
100 General Mills.................. 3,550
100 H.J. Heinz..................... 3,706
100 Kellogg........................ 2,419
400 PepsiCo........................ 18,400
500 Unilever NV -- ADR............. 24,125
------------
102,900
------------
HEALTH -- 0.2%
200 HCA -- The Healthcare
Company...................... 7,425
------------
HOUSEHOLD -- 0.2%
200 Johnson Controls............... 10,638
------------
INSURANCE -- 2.0%
300 Allstate....................... 10,425
200 American National Insurance.... 12,775
200 Automatic Data Processing...... 13,375
100 CIGNA.......................... 10,440
100 Everest Re Group............... 4,950
190 Wesco Financial................ 47,690
------------
99,655
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
LIQUOR & TOBACCO -- 1.4%
400 Anheuser-Busch Cos............. $ 16,925
1,700 Philip Morris Cos.............. 50,044
------------
66,969
------------
MACHINERY -- 2.1%
100 American Standard Companies*... 4,444
600 Applied Materials*............. 35,587
100 Baker Hughes................... 3,713
100 Caterpillar.................... 3,375
100 Emerson Electric............... 6,700
400 Gillette....................... 12,349
100 Illinois Tool Works............ 5,588
200 Milacron....................... 2,663
300 Parker-Hannifin................ 10,125
200 Snap-on........................ 4,713
200 United Technologies............ 13,849
------------
103,106
------------
MEDIA -- 2.4%
100 Clear Channel
Communications*.............. 5,650
200 Dow Jones & Co. ............... 12,100
400 Gannett........................ 21,200
200 Knight Ridder.................. 10,163
200 Seagram........................ 11,488
400 Time Warner.................... 31,299
700 Walt Disney.................... 26,775
------------
118,675
------------
METALS -- 1.3%
200 Alcoa.......................... 5,063
200 Corning........................ 59,400
------------
64,463
------------
MISCELLANEOUS FINANCIAL -- 5.7%
200 A.G. Edwards................... 10,463
400 American Express............... 24,300
400 Charles Schwab................. 14,200
3,333 Citigroup...................... 180,190
200 Merrill Lynch & Co. ........... 13,200
400 Morgan Stanley, Dean Witter &
Co. ......................... 36,575
------------
278,928
------------
OFFICE MACHINERY -- 5.8%
100 3Com*.......................... 1,919
100 Apple Computer*................ 2,569
100 Eastman Kodak.................. 4,088
1,400 EMC*........................... 138,774
600 International Business
Machines..................... 67,499
</TABLE>
See accompanying notes to the financial statements.
57
<PAGE> 58
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OFFICE MACHINERY (CONTINUED)
500 Network Appliance*............. $ 63,688
200 Xerox.......................... 3,013
------------
281,550
------------
OIL -- 1.7%
200 Amerada Hess................... 13,388
200 Apache......................... 11,825
200 Conoco, Class B................ 5,388
200 Devon Energy................... 12,030
600 Occidental Petroleum........... 13,088
300 Phillips Petroleum............. 18,824
200 Texaco......................... 10,500
------------
85,043
------------
OIL -- INTERNATIONAL -- 0.4%
200 Chevron........................ 17,050
------------
OIL DISTRIBUTION -- 3.2%
1,100 Exxon Mobil.................... 98,037
700 Royal Dutch Petroleum -- ADR... 41,956
200 Sunoco......................... 5,388
200 Ultramar Diamond Shamrock...... 5,075
200 USX-Marathon Group............. 5,675
------------
156,131
------------
OIL SERVICES -- 0.4%
100 Halliburton.................... 4,894
200 Schlumberger................... 16,462
------------
21,356
------------
OTHER UTILITIES -- 0.2%
200 Waste Management............... 3,488
100 Williams Cos. ................. 4,225
------------
7,713
------------
PAPER -- 1.5%
100 International Paper............ 2,869
200 Kimberly-Clark................. 11,163
100 Minnesota Mining & Mfg......... 9,113
400 Procter & Gamble............... 26,799
400 Weyerhaeuser................... 16,150
300 Willamette Industries.......... 8,400
------------
74,494
------------
RETAIL/WHOLESALE -- 5.2%
100 Albertson's.................... 2,100
400 CDW Computer Centers*.......... 27,600
100 Costco Wholesale*.............. 3,494
100 CVS............................ 4,631
</TABLE>
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
RETAIL/WHOLESALE (CONTINUED)
300 Gap............................ $ 6,038
1,100 Home Depot..................... 58,368
100 Kohls*......................... 5,769
300 Kroger*........................ 6,769
100 Limited........................ 2,206
100 Lowe's Cos..................... 4,488
1,000 Office Depot*.................. 7,813
200 Safeway*....................... 9,338
600 Sears, Roebuck & Co. .......... 19,452
100 Sysco.......................... 4,631
500 Toys "R" Us*................... 8,125
1,500 Wal-Mart Stores................ 72,187
300 Walgreen....................... 11,381
------------
254,390
------------
SERVICES -- 7.1%
200 Amdocs*........................ 12,475
200 Cendant*....................... 2,175
200 Computer Associates
International................ 5,038
100 Electronic Data Systems........ 4,150
100 First Data..................... 3,906
100 Mercury Interactive*........... 15,675
2,000 Microsoft*..................... 120,500
1,700 Oracle*........................ 133,874
100 Paychex........................ 5,250
400 Siebel Systems*................ 44,525
------------
347,568
------------
SOAPS & COSMETICS -- 0.1%
100 Colgate-Palmolive.............. 4,720
------------
TELEPHONE -- 5.9%
100 ALLTEL......................... 5,219
700 America Online*................ 37,624
1,400 AT&T........................... 41,124
600 BellSouth...................... 24,150
300 Global Crossing*............... 9,300
200 Nextel Communications, Class
A*........................... 9,350
345 Qwest Communications
International*............... 16,582
1,100 SBC Communications............. 54,999
300 Sprint (FON Group)............. 8,794
200 Sprint (PCS Group)*............ 7,013
600 Verizon Communications......... 29,063
900 WorldCom*...................... 27,338
200 Yahoo!*........................ 18,263
------------
288,819
------------
</TABLE>
See accompanying notes to the financial statements.
58
<PAGE> 59
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES MARKET VALUE
------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TEXTILES -- 0.4%
300 Sara Lee....................... $ 6,094
200 Springs Industries, Class A.... 5,638
300 VF............................. 7,406
------------
19,138
------------
TRANSPORTATION -- 0.7%
600 Burlington Northern Santa Fe... 12,938
200 Carnival....................... 4,925
100 Kansas City Southern
Industries................... 869
400 Union Pacific.................. 15,549
------------
34,281
------------
TRAVEL/ENTERTAINMENT -- 0.4%
500 McDonald's..................... 15,094
300 Ryder System................... 5,531
------------
20,625
------------
TOTAL COMMON STOCKS
(COST $4,966,442)............ 4,830,574
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET VALUE
------------
<C> <S> <C>
REPURCHASE AGREEMENT -- 0.3%
Bear Stearns, dated 9/29/00,
due 10/2/00 at 6.50% with a
maturity value of $15,760
(Collateralized by $25,000
FHLMC, 3.85%, 3/15/09, market
value -- $18,545)............ $ 15,817
------------
TOTAL REPURCHASE AGREEMENT
(COST $15,817)............... 15,817
------------
TOTAL INVESTMENTS
(COST $4,982,259) (a) --
99.5%........................ 4,846,391
OTHER ASSETS IN EXCESS OF
LIABILITIES -- 0.5%.......... 25,350
------------
TOTAL NET ASSETS -- 100.0%..... $ 4,871,741
============
</TABLE>
---------------
* Non-income producing security.
ADR -- American Depository Receipt.
(a) Represents cost for federal tax purposes and differs from value by net
unrealized depreciation as follows:
<TABLE>
<S> <C>
Unrealized appreciation............... $ 377,184
Unrealized depreciation............... (513,052)
------------
Net unrealized depreciation........... $ (135,868)
============
</TABLE>
See accompanying notes to the financial statements.
59
<PAGE> 60
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG
AXA ROSENBERG INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION AXA ROSENBERG CAPITALIZATION
FUND JAPAN FUND FUND
-------------- ------------- --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $401,500,168, $1,418,681,
$47,622,782, respectively)................................ $451,051,849 $1,351,271 $45,685,095
Cash........................................................ 3,905 287,973 --
Foreign currency, at value (cost $0, $4,617, $321,332,
respectively)............................................. -- 4,590 308,761
Dividends and interest receivable........................... 534,110 3,738 105,309
Receivable for investments sold............................. 5,433,223 27,684 1,668,483
Unrealized appreciation on foreign exchange contracts....... -- -- 457
Other assets................................................ -- -- 71,782
------------ ---------- -----------
Total Assets............................................ 457,023,087 1,675,256 47,839,887
------------ ---------- -----------
LIABILITIES
Payable to custodian........................................ -- -- 1,145
Payable for investments purchased........................... 4,590,915 26,137 1,155,331
Payable for capital shares redeemed......................... 11,351 -- --
Collateral for securities loaned, at value.................. 204,471 -- --
Accrued:
Manager fees.............................................. 319,780 -- 25,851
Administration fees....................................... 7,037 -- 755
12b-1 fees (Investor Shares).............................. 4,291 10 329
Service fees (Adviser Shares)............................. 2,724 -- --
Other accrued expenses.................................... 134,941 31,606 36,956
------------ ---------- -----------
Total Liabilities....................................... 5,275,510 57,753 1,220,367
------------ ---------- -----------
NET ASSETS.................................................. $451,747,577 $1,617,503 $46,619,520
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 43,542,052 236,371 3,936,662
Adviser Shares............................................ 818,751 -- --
Investor Shares........................................... 1,159,516 6,610 137,870
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 9.93 $ 6.66 $ 11.44
Adviser Shares............................................ 9.88 -- --
Investor Shares........................................... 9.85 6.63 11.39
NET ASSETS CONSIST OF:
Capital..................................................... $384,208,966 $2,162,702 $42,326,500
Accumulated undistributed net investment income/(loss)...... 1,018,926 (6,684) 552,010
Accumulated net realized gain/(loss) on investments and
foreign currency transactions............................. 16,968,004 (471,049) 5,687,096
Net unrealized depreciation on foreign currency
transactions.............................................. -- (56) (8,399)
Net unrealized appreciation/(depreciation) on investments... 49,551,681 (67,410) (1,937,687)
------------ ---------- -----------
TOTAL NET ASSETS........................................ $451,747,577 $1,617,503 $46,619,520
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
60
<PAGE> 61
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG
VALUE DOUBLE ALPHA SELECT SECTORS
MARKET NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
-------------- ------------- --------------
<S> <C> <C> <C>
ASSETS
Investments, at value (cost $59,601,743, $7,084,039,
$18,153,560, respectively)................................ $ 68,322,443 $7,089,365 $19,139,595
Deposits with broker and custodian bank for securities sold
short..................................................... 64,142,241 -- 18,537,350
Dividends and interest receivable........................... 192,087 869 59,892
Receivable for securities sold short........................ 4,728,236 -- 773,795
Receivable for investments sold............................. 753,198 -- 437,988
Receivable from Manager..................................... -- 4,757 --
Deposits with brokers for futures contracts................. -- 393,750 --
Deferred organization expenses.............................. 21,084 8,829 --
------------ ---------- -----------
Total Assets............................................ 138,159,289 7,497,570 38,948,620
------------ ---------- -----------
LIABILITIES
Securities sold short (proceeds $64,314,409, $0,
$17,552,578, respectively)................................ 67,010,572 -- 17,714,920
Payable for investments purchased........................... 943,373 -- 400,287
Payable to cover securities sold short...................... 1,124,467 -- 1,443,897
Net payable for variation margin on futures contracts....... -- 117,075 --
Accrued:
Manager fees.............................................. 64,842 -- 9,480
Administration fees....................................... 1,066 -- --
12b-1 fees (Investor Shares).............................. 680 8 13
Other accrued expenses.................................... 124,773 35,494 46,262
------------ ---------- -----------
Total Liabilities....................................... 69,269,773 152,577 19,614,859
------------ ---------- -----------
NET ASSETS.................................................. $ 68,889,516 $7,344,993 $19,333,761
============ ========== ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 8,688,442 911,109 1,834,670
Investor Shares........................................... 429,306 4,668 5,720
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 7.56 $ 8.02 $ 10.50
Investor Shares........................................... 7.53 7.99 10.43
NET ASSETS CONSIST OF:
Capital..................................................... $120,833,378 $8,808,039 $19,445,605
Accumulated undistributed net investment income/(loss)...... 2,623,188 9,236 886,739
Accumulated net realized losses on investments, futures
contracts and securities sold short....................... (60,591,587) (1,054,033) (1,822,276)
Net unrealized depreciation on short sales.................. (2,696,163) -- (162,342)
Net unrealized depreciation on futures transactions......... -- (423,575) --
Net unrealized appreciation on investments.................. 8,720,700 5,326 986,035
------------ ---------- -----------
TOTAL NET ASSETS........................................ $ 68,889,516 $7,344,993 $19,333,761
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
61
<PAGE> 62
BARR ROSENBERG SERIES TRUST
STATEMENTS OF ASSETS AND LIABILITIES
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG AXA ROSENBERG
INTERNATIONAL ENHANCED
EQUITY 500
FUND FUND
------------- -------------
<S> <C> <C>
ASSETS
Investments, at value (cost $9,683,474, $4,982,259,
respectively)............................................. $ 8,925,804 $ 4,846,391
Foreign currency, at value (cost $307,442, $0,
respectively)............................................. 314,524 --
Dividends and interest receivable........................... 19,950 4,484
Receivable for investments sold............................. 214,918 --
Receivable from Manager..................................... 11,128 2,755
Other assets................................................ 21,950 18,111
------------ -----------
Total Assets............................................ 9,508,274 4,871,741
------------ -----------
LIABILITIES
Payable for investments purchased........................... 353,678 --
Payable to custodian........................................ 8,937 --
------------ -----------
Total Liabilities....................................... 362,615 --
------------ -----------
NET ASSETS.................................................. $ 9,145,659 $ 4,871,741
============ ===========
Shares of beneficial interest outstanding (unlimited shares
authorized):
Institutional Shares...................................... 1,000,004 500,005
Net Asset Value, offering price and redemption price per
share:
Institutional Shares...................................... $ 9.15 $ 9.74
NET ASSETS CONSIST OF:
Capital..................................................... $ 10,000,040 $ 5,000,050
Accumulated undistributed net investment income/(loss)...... 17,023 10,091
Accumulated net realized losses on investments and foreign
currency transactions..................................... (118,480) (2,532)
Net unrealized appreciation on foreign currency
transactions.............................................. 4,746 --
Net unrealized depreciation on investments.................. (757,670) (135,868)
------------ -----------
TOTAL NET ASSETS........................................ $ 9,145,659 $ 4,871,741
============ ===========
</TABLE>
See accompanying notes to the financial statements.
62
<PAGE> 63
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA
AXA ROSENBERG
ROSENBERG INTERNATIONAL
U.S. SMALL SMALL
CAPITALIZATION AXA ROSENBERG CAPITALIZATION
FUND JAPAN FUND FUND
-------------- ------------- --------------
<S> <C> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $0, $716, and
$115,022, respectively)................................. $ 3,044,148 $ 4,191 $ 709,044
Interest.................................................. 170,218 -- --
Securities lending fees................................... 17,259 -- --
------------ --------- -----------
Total Investment Income................................. 3,231,625 4,191 709,044
------------ --------- -----------
Expenses:
Manager fees.............................................. 2,046,702 7,189 235,769
Administration fees....................................... 340,151 1,076 35,201
12b-1 fees (Investor Shares).............................. 13,301 94 2,026
Service fees (Adviser Shares)............................. 6,949 -- --
Audit fees................................................ 46,089 4,800 6,843
Custodian fees............................................ 124,266 18,699 95,564
Fund accounting fees...................................... 28,463 19,057 40,906
Registration and filing fees.............................. 21,035 9,902 10,664
Transfer agent fees....................................... 46,047 7,911 9,378
Trustees' fees............................................ 88,532 339 9,733
Other expenses............................................ 95,874 529 10,394
------------ --------- -----------
Total expenses before waivers/reimbursements............ 2,857,409 69,596 456,478
Less expenses waived/reimbursed......................... (220,333) (58,721) (100,329)
------------ --------- -----------
Total Net Expenses...................................... 2,637,076 10,875 356,149
------------ --------- -----------
Net Investment Income/(Loss)................................ 594,549 (6,684) 352,895
------------ --------- -----------
Net Realized Gain/(Loss) on:
Foreign currency transactions............................. -- 448 (119,304)
Investments............................................... 4,092,581 111,855 1,783,078
Net Change in Unrealized Appreciation/(Depreciation) on:
Foreign currency transactions............................. -- (451) 14,593
Investments............................................... (10,708,922) (363,786) (3,459,385)
------------ --------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments and
Foreign Currency Transactions............................. (6,616,341) (251,934) (1,781,018)
------------ --------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $ (6,021,792) $(258,618) $(1,428,123)
============ ========= ===========
</TABLE>
See accompanying notes to the financial statements.
63
<PAGE> 64
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG
VALUE DOUBLE ALPHA SELECT SECTORS
MARKET NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND
-------------- ------------- --------------
<S> <C> <C> <C>
Investment Income:
Dividends................................................. $ 568,249 $ 15,742 $ 141,528
Interest.................................................. 2,151,946 4,897 671,569
------------ ---------- -----------
Total Investment Income................................. 2,720,195 20,639 813,097
------------ ---------- -----------
Expenses:
Manager fees.............................................. 636,536 3,699 109,443
Administration fees....................................... 53,835 5,527 16,548
12b-1 fees (Investor Shares).............................. 5,514 62 388
Audit fees................................................ 4,243 120 614
Custodian fees............................................ 13,802 608 4,777
Fund accounting fees...................................... 39,768 25,738 34,552
Organization fees......................................... 4,081 1,416 --
Registration and filing fees.............................. 16,109 15,511 14,745
Transfer agent fees....................................... 22,008 7,549 8,061
Trustees' fees............................................ 11,903 483 3,232
Dividend expense for securities sold short................ 329,266 -- 102,668
Other expenses............................................ 31,147 1,030 7,914
------------ ---------- -----------
Total expenses before waivers/reimbursements............ 1,168,212 61,743 302,942
Less expenses waived/reimbursed......................... (142,820) (48,735) (63,039)
------------ ---------- -----------
Total Net Expenses...................................... 1,025,392 13,008 239,903
------------ ---------- -----------
Net Investment Income/(Loss)................................ 1,694,803 7,631 573,194
------------ ---------- -----------
Net Realized Gain/(Loss) on:
Securities sold short..................................... 5,645,973 -- 1,882,174
Futures contracts......................................... -- 480,718 --
Investments............................................... (10,568,944) (506,051) (1,200,842)
Net Change in Unrealized Appreciation/(Depreciation) on:
Securities sold short..................................... 5,404,333 -- 551,647
Futures contracts......................................... -- (975,288) --
Investments............................................... (1,003,976) 637,714 (3,161,323)
------------ ---------- -----------
Net Realized and Unrealized Gain/(Loss) on Investments,
Securities Sold Short, and Futures Contracts.............. (522,614) (362,907) (1,928,344)
------------ ---------- -----------
Net increase/(decrease) in net assets resulting from
operations................................................ $ 1,172,189 $ (355,276) $(1,355,150)
============ ========== ===========
</TABLE>
See accompanying notes to the financial statements.
64
<PAGE> 65
BARR ROSENBERG SERIES TRUST
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG
INTERNATIONAL AXA ROSENBERG
EQUITY ENHANCED 500
FUND* FUND*
------------- -------------
<S> <C> <C>
Investment Income:
Dividends (Net of withholding taxes of $7,685, and $5,
respectively)........................................... $ 58,126 $ 16,317
Interest.................................................. -- 5,674
--------- ---------
Total Investment Income................................. 58,126 21,991
--------- ---------
Expenses:
Manager fees.............................................. 26,015 7,865
Administration fees....................................... 4,567 2,380
Audit fees................................................ 2,229 1,095
Custodian fees............................................ 20,654 367
Fund accounting fees...................................... 19,811 8,925
Registration and filing fees.............................. 3,352 928
Transfer agent fees....................................... 2,906 1,934
Trustees' fees............................................ 1,225 363
Other expenses............................................ 2,054 1,043
--------- ---------
Total expenses before waivers/reimbursements............ 82,813 24,900
Less expenses waived/reimbursed......................... (41,710) (13,000)
--------- ---------
Total Net Expenses...................................... 41,103 11,900
--------- ---------
Net Investment Income/(Loss)................................ 17,023 10,091
--------- ---------
Net Realized Gain/(Loss) on:
Foreign currency transactions............................. (67,891) --
Investments............................................... (50,589) (2,532)
Net Change in Unrealized Appreciation/(Depreciation) on:
Foreign currency transactions............................. 4,746 --
Investments............................................... (757,670) (135,868)
--------- ---------
Net Realized and Unrealized Gain/(Loss) on Investments and
Foreign Currency Transactions............................. (871,404) (138,400)
--------- ---------
Net increase/(decrease) in net assets resulting from
operations................................................ $(854,381) $(128,309)
========= =========
</TABLE>
---------------
* From commencement of operations on June 7, 2000 (Institutional).
See accompanying notes to the financial statements.
65
<PAGE> 66
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG
U.S. SMALL AXA ROSENBERG
CAPITALIZATION FUND JAPAN FUND
------------------------------------ ------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2000 2000 2000 2000
---------------- ---------------- ---------------- ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 594,549 $ 69,168 $ (6,684) $ (13,391)
Net realized gain/(loss) on:
Foreign currency
transactions............. -- -- 448 3,141
Investments................ 4,092,581 71,390,010 111,855 384,238
Net change in unrealized
appreciation/(depreciation)
on:
Foreign currency
transactions............... -- -- (451) 41
Investments................ (10,708,922) 57,932,228 (363,786) 131,143
------------- ------------- ---------- ----------
Net increase/(decrease) in
net assets resulting from
operations............... (6,021,792) 129,391,406 (258,618) 505,172
------------- ------------- ---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... -- (78,972) -- (1,795)
Adviser Shares............. -- (1,629) -- --
Investor Shares............ -- -- -- --
------------- ------------- ---------- ----------
Net decrease in net assets
resulting from
distributions............ -- (80,601) -- (1,795)
------------- ------------- ---------- ----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 43,909,771 35,392,605 425,000 47,702
Adviser Shares............. 2,201,614 1,202,749 -- --
Investor Shares............ 1,764,543 464,637 121,568 766,279
------------- ------------- ---------- ----------
47,875,928 37,059,991 546,568 813,981
------------- ------------- ---------- ----------
Proceeds from dividends
reinvested
Institutional Shares....... -- 59,693 -- 1,740
Adviser Shares............. -- 1,109 -- --
Investor Shares............ -- -- -- --
------------- ------------- ---------- ----------
-- 60,802 -- 1,740
------------- ------------- ---------- ----------
Cost of shares redeemed
Institutional Shares....... (53,808,996) (155,688,520) (121,492) (58,664)
Adviser Shares............. (1,933,841) (11,652,340) -- --
Investor Shares............ (1,534,513) (9,089,354) (155,625) (754,785)
------------- ------------- ---------- ----------
(57,277,350) (176,430,214) (277,117) (813,449)
------------- ------------- ---------- ----------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... (9,401,422) (139,309,421) 269,451 2,272
------------- ------------- ---------- ----------
Total increase/(decrease) in
net assets................... (15,423,214) (9,998,616) 10,833 505,649
NET ASSETS:
Beginning of period.......... 467,170,791 477,169,407 1,606,670 1,101,021
------------- ------------- ---------- ----------
End of period................ $ 451,747,577 $ 467,170,791 $1,617,503 $1,606,670
============= ============= ========== ==========
<CAPTION>
AXA ROSENBERG
INTERNATIONAL SMALL
CAPITALIZATION FUND
--------------------------------
SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31,
2000 2000
---------------- ------------
(UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment
income/(loss).............. $ 352,895 $ 587,117
Net realized gain/(loss) on:
Foreign currency
transactions............. (119,304) 31,619
Investments................ 1,783,078 6,224,794
Net change in unrealized
appreciation/(depreciation)
on:
Foreign currency
transactions............... 14,593 (27,791)
Investments................ (3,459,385) 4,416,958
------------ ------------
Net increase/(decrease) in
net assets resulting from
operations............... (1,428,123) 11,232,697
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
FROM:
Net investment income
Institutional Shares....... -- (714,484)
Adviser Shares............. -- --
Investor Shares............ -- (26,398)
------------ ------------
Net decrease in net assets
resulting from
distributions............ -- (740,882)
------------ ------------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares....... 7,779,847 12,429,545
Adviser Shares............. -- --
Investor Shares............ 92,977 890,905
------------ ------------
7,872,824 13,320,450
------------ ------------
Proceeds from dividends
reinvested
Institutional Shares....... -- 708,747
Adviser Shares............. -- --
Investor Shares............ -- 26,371
------------ ------------
-- 735,118
------------ ------------
Cost of shares redeemed
Institutional Shares....... (5,982,290) (12,849,222)
Adviser Shares............. -- --
Investor Shares............ (120,929) (1,409,307)
------------ ------------
(6,103,219) (14,258,529)
------------ ------------
Net increase/(decrease) in
net assets from shares of
beneficial interest...... 1,769,605 (202,961)
------------ ------------
Total increase/(decrease) in
net assets................... 341,482 10,288,854
NET ASSETS:
Beginning of period.......... 46,278,038 35,989,184
------------ ------------
End of period................ $ 46,619,520 $ 46,278,038
============ ============
</TABLE>
See accompanying notes to the financial statements.
66
<PAGE> 67
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG AXA ROSENBERG
AXA ROSENBERG VALUE DOUBLE ALPHA SELECT SECTORS
MARKET NEUTRAL FUND MARKET FUND MARKET NEUTRAL FUND
-------------------------------- ------------------------------ --------------------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31, SEPTEMBER 30, MARCH 31,
2000 2000 2000 2000 2000 2000
---------------- ------------- ---------------- ----------- ---------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment
income/(loss).......... $ 1,694,803 $ 3,295,704 $ 7,631 $ 287,279 $ 573,194 $ 1,001,557
Net realized gain/(loss)
on:
Securities sold
short................ 5,645,973 (32,047,111) -- -- 1,882,174 (2,997,790)
Futures contracts...... -- -- 480,718 731,022 -- --
Investments............ (10,568,944) 29,395,747 (506,051) (1,183,478) (1,200,842) 1,444,080
Net change in unrealized
appreciation/(depreciation)
on:
Securities sold
short................ 5,404,333 (30,237,883) -- -- 551,647 162,948
Futures contracts...... -- -- (975,288) 261,913 -- --
Investments............ (1,003,976) 10,257,347 637,714 (102,466) (3,161,323) 2,526,617
------------ ------------- ----------- ----------- ------------ ------------
Net increase/(decrease)
in net assets
resulting from
operations........... 1,172,189 (19,336,196) (355,276) (5,730) (1,355,150) 2,137,412
------------ ------------- ----------- ----------- ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income
Institutional Shares... -- (3,560,971) -- (286,375) -- (912,115)
Investor Shares........ -- (370,869) -- (2,959) -- (41,702)
------------ ------------- ----------- ----------- ------------ ------------
-- (3,931,840) -- (289,334) -- (953,817)
------------ ------------- ----------- ----------- ------------ ------------
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) -- (975,693) -- (953,817)
------------ ------------- ----------- ----------- ------------ ------------
SHARES OF BENEFICIAL
INTEREST:
Proceeds from shares
issued
Institutional Shares... 3,889,456 74,337,066 260,824 4,311,007 441,647 14,727,350
Investor Shares........ 1,394,635 5,793,990 2,691 14,300 43,727 1,050,392
------------ ------------- ----------- ----------- ------------ ------------
5,284,091 80,131,056 263,515 4,325,307 485,374 15,777,742
------------ ------------- ----------- ----------- ------------ ------------
Proceeds from dividends
reinvested
Institutional Shares... -- 3,555,558 -- 965,172 -- 912,172
Investor Shares........ -- 362,450 -- 10,221 -- 37,743
------------ ------------- ----------- ----------- ------------ ------------
-- 3,918,008 -- 975,393 -- 949,915
------------ ------------- ----------- ----------- ------------ ------------
Cost of shares redeemed
Institutional Shares... (13,757,516) (145,961,865) (129,663) (3,813,658) (7,693,669) (17,711,501)
Investor Shares........ (4,366,588) (34,052,994) (37,006) (191,227) (841,937) (813,973)
------------ ------------- ----------- ----------- ------------ ------------
(18,124,104) (180,014,859) (166,669) (4,004,885) (8,535,606) (18,525,474)
------------ ------------- ----------- ----------- ------------ ------------
Net increase/(decrease)
in net assets from
shares of beneficial
interest............. (12,840,013) (95,965,795) 96,846 1,295,815 (8,050,232) (1,797,817)
------------ ------------- ----------- ----------- ------------ ------------
Total increase/(decrease)
in net assets............ (11,667,824) (119,233,831) (258,430) 314,392 (9,405,382) (614,222)
NET ASSETS:
Beginning of period...... 80,557,340 199,791,171 7,603,423 7,289,031 28,739,143 29,353,365
------------ ------------- ----------- ----------- ------------ ------------
End of period............ $ 68,889,516 $ 80,557,340 $ 7,344,993 $ 7,603,423 $ 19,333,761 $ 28,739,143
============ ============= =========== =========== ============ ============
</TABLE>
See accompanying notes to the financial statements.
67
<PAGE> 68
BARR ROSENBERG SERIES TRUST
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AXA ROSENBERG AXA ROSENBERG
INTERNATIONAL EQUITY ENHANCED 500
FUND FUND
-------------------- -------------
PERIOD ENDED PERIOD ENDED
SEPTEMBER 30, SEPTEMBER 30,
2000* 2000*
-------------------- -------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C>
OPERATIONS:
Net investment income/(loss).............................. $ 17,023 $ 10,091
Net realized gain/(loss) on:
Foreign currency transactions.......................... (67,891) --
Investments............................................ (50,589) (2,532)
Net change in unrealized appreciation/(depreciation) on:
Foreign currency transactions.......................... 4,746 --
Investments............................................ (757,670) (135,868)
----------- ----------
Net increase/(decrease) in net assets resulting from
operations............................................ (854,381) (128,309)
----------- ----------
SHARES OF BENEFICIAL INTEREST:
Proceeds from shares issued
Institutional Shares................................... 10,000,040 5,000,050
----------- ----------
Net increase/(decrease) in net assets from shares of
beneficial interest................................... 10,000,040 5,000,050
----------- ----------
Total increase/(decrease) in net assets..................... 9,145,659 4,871,741
NET ASSETS:
Beginning of period....................................... -- --
----------- ----------
End of period............................................. $ 9,145,659 $4,871,741
=========== ==========
</TABLE>
---------------
* From commencement of operations on June 7, 2000 (Institutional).
See accompanying notes to the financial statements.
68
<PAGE> 69
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
1. ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was established as a
Massachusetts business trust under the laws of Massachusetts on April 1, 1988.
The Trust is an open-end diversified management investment company offering nine
portfolios: AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Japan
Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value
Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg
Select Sectors Market Neutral Fund, AXA Rosenberg International Equity Fund
(commenced operations on June 7, 2000), AXA Rosenberg Enhanced 500 Fund
(commenced operations on June 7, 2000) and AXA Rosenberg Multi-Strategy Market
Neutral Fund (commenced operations on September 29, 2000), collectively (the
"Funds"), or individually (the "Fund"), with differing objectives and
strategies. Each Fund is authorized to issue Institutional Shares and Investor
Shares. In addition, the AXA Rosenberg U.S. Small Capitalization Fund is
authorized to issue Adviser Shares. The classes differ primarily with respect to
the level of Service Fees and Distribution 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.
As of July 31, 2000, the following Funds changed their portfolio names as
follows: U.S. Small Capitalization Series to AXA Rosenberg U.S. Small
Capitalization Fund, Japan Series to AXA Rosenberg Japan Fund, International
Small Capitalization Series to AXA Rosenberg International Small Capitalization
Fund, Barr Rosenberg Market Neutral Fund to AXA Rosenberg Value Market Neutral
Fund, Barr Rosenberg Double Alpha Market Fund to AXA Rosenberg Double Alpha
Market Fund and Barr Rosenberg Select Sectors Market Neutral Fund to AXA
Rosenberg Select Sectors Market Neutral Fund. Also, the Select Shares changed
its name to Investor Shares for the AXA Rosenberg U.S. Small Capitalization
Fund, AXA Rosenberg Japan Fund and AXA Rosenberg International Small
Capitalization Fund.
2. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in
conformity with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual amounts could differ from those estimates.
The following is a summary of significant accounting policies consistently
followed by the Trust in the preparation of its financial statements.
Security Valuation
Portfolio securities listed on a national exchange or exchanges for which market
quotations are available are valued at their last quoted sale price on each
business day. If there is no such reported sale, the most recently quoted bid
price is used for long securities and the ask price is used for securities sold
short. Debt obligations with sixty days or less remaining until maturity are
valued at their amortized cost. Unlisted securities for which market quotations
are readily available are valued at the most recent quoted bid price for long
securities and the ask price is used for securities sold short. Other assets and
securities for which no quotation is readily available are valued at fair value
as determined in good faith by the Trustees or persons acting at their
discretion.
Security Transactions and Related Investment Income
Security transactions are accounted for on the trade date, with realized gain or
loss on the sale of investments determined by using the identified cost method.
Corporate actions (including cash dividends) are recorded on the ex-date or
after the ex-date as the Fund becomes aware of such action, net of any
non-refundable tax withholdings. Interest income (including amortization of
premium and accretion of discount) is recorded as earned.
69
<PAGE> 70
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
Foreign Currency Transactions
The accounting records of the Funds are maintained in U.S. dollars. All monetary
items denominated in foreign currencies are translated to U.S. dollars based
upon the prevailing exchange rate at the close of each business day. Net
realized gains and losses on foreign currency transactions represent net gains
and losses from currency gains and losses realized between the trade and
settlement dates on securities transactions, and the difference between the
amount of net investment income accrued and the U.S. dollar amount actually
received. Further, the effects of changes in foreign currency exchange rates on
investments in securities are not segregated in the Statement of Operations from
the effects of changes in market prices of those securities, but are included
with the net realized gain or loss and unrealized appreciation or depreciation
on investments.
Forward Foreign Currency Contracts
Forward foreign currency contracts are valued at the daily exchange rate of the
underlying currency. The forward foreign currency contracts are adjusted by the
daily exchange rate of the underlying currency and any gains or losses are
recorded for financial statement purposes as unrealized appreciation or
depreciation until the contractual settlement date. Gains or losses from the
purchase or sale of forward foreign currency contracts are recorded as realized
on the settlement date.
Foreign Securities
The AXA Rosenberg Japan Fund, AXA Rosenberg International Small Capitalization
Fund and the AXA Rosenberg International Equity Fund 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 AXA Rosenberg 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.
70
<PAGE> 71
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
Short Sales
The AXA Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select Sectors
Market Neutral Fund are authorized to engage in short-selling which obligates
the Fund to replace the security borrowed by purchasing the security at current
market value sometime in the future. The Fund will incur a loss if the price of
the security increases between the date of the short sale and the date on which
the Fund replaces the borrowed security. The Fund will realize a gain if the
price of the security declines between those dates. Until the Fund replaces the
borrowed security, the Fund will maintain a segregated account with cash and/or
U.S. government securities sufficient to cover its short position on a daily
basis. At September 30, 2000, the values of securities sold short in the AXA
Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select Sectors Market
Neutral Fund amounted to $67,010,572 and $17,714,920, against which collateral
of $130,261,703 and $36,470,696 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 AXA Rosenberg U.S.
Small Capitalization Fund are loaned by State Street Bank, as agent, to certain
brokers (the "Borrowers"). The Borrowers provided cash as collateral against
loans in an amount at least equal to 100% of the market value of the loaned
securities.
At September 30, 2000, the value of securities loaned amounted to $76,673
against which cash collateral of $204,471 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 AXA
Rosenberg U.S. Small Capitalization Fund and State Street Bank in its capacity
as lending agent. Security lending fee income, net of related expenses, is
recorded as earned. The AXA Rosenberg U.S. Small Capitalization Fund 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 Fees are solely borne by and
charged to the 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.
71
<PAGE> 72
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (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>
AXA Rosenberg U.S. Small Capitalization Fund...... $(37,598) $ 37,600
AXA Rosenberg Japan Fund.......................... 14,207 (3,141)
AXA Rosenberg International Small Capitalization
Fund............................................ 131,018 (182,352)
AXA Rosenberg Value Market Neutral Fund........... 3,747 (3,748)
AXA Rosenberg Double Alpha Market Fund............ 1,891 0
AXA Rosenberg Select Sectors Market Neutral
Fund............................................ 13,097 (13,096)
</TABLE>
Organizational Expenses
Costs incurred in connection with the organization and initial registration of
the AXA Rosenberg Value Market Neutral Fund and AXA Rosenberg 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 AXA Rosenberg U.S. Small Capitalization Fund,
1.00% for both the AXA Rosenberg Japan Fund and the AXA Rosenberg International
Small Capitalization Fund, 1.50% for the AXA Rosenberg Value Market Neutral
Fund, 0.10% for the AXA Rosenberg Double Alpha Market Fund, 1.00% for the AXA
Rosenberg Select Sectors Market Neutral Fund, 0.85% for the AXA Rosenberg
International Equity Fund and 0.50% for the AXA Rosenberg Enhanced 500 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 AXA Rosenberg U.S. Small Capitalization Fund,
1.50% of the average net assets of the AXA Rosenberg Japan Fund and the AXA
Rosenberg International Small Capitalization Fund, 2.10% of the average net
assets of the AXA Rosenberg Double Alpha Market Fund (1.75% of which reflects
the expense ratio of the AXA Rosenberg Value Market Neutral Fund, which the AXA
Rosenberg Double Alpha Market Fund invests in), 1.35% of the average net assets
of the AXA Rosenberg International Equity Fund and 0.75% of the average net
assets of the AXA Rosenberg Enhanced 500 Fund. 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 AXA
Rosenberg Value Market Neutral Fund of 1.75% and for the AXA Rosenberg Select
Sectors Market Neutral Fund of 1.25% of each Fund's average net assets,
exclusive of the dividend expense on short sales. The operating expense ratio
includes the management fee but excludes the Distribution and Shareholder
Service Fees. For the six months ended September 30, 2000, the amount of such
waivers totaled $96,194, $7,189, $87,482, $123,180, $3,699, $50,672, $26,015 and
$7,865 for the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Japan
Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value
Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg
Select Sectors Market Neutral Fund, AXA Rosenberg International Equity Fund and
the AXA Rosenberg Enhanced 500 Fund, respectively. For the six months ended
September 30, 2000, the amount of such
72
<PAGE> 73
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
reimbursements totaled $0, $50,456, $0, $0, $39,509, $0, $11,128 and $2,755 for
the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA
Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Market
Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg Select
Sectors Market Neutral Fund, AXA Rosenberg International Equity Fund and the AXA
Rosenberg Enhanced 500 Fund, respectively.
On September 29, 2000, the AXA Rosenberg Double Alpha Market Fund began
investing in the AXA Rosenberg Multi-Strategy Market Neutral Fund and ceased
investing in the AXA Rosenberg Value Market Neutral Fund. This resulted in a
change to the annual expense limitation of the AXA Rosenberg Double Alpha Market
Fund to 1.85% of its average net assets (1.50% of which reflects the expense
ratio of the AXA Rosenberg Multi-Strategy Market Neutral Fund).
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 AXA Rosenberg U.S. Small
Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA
Rosenberg Value Market Neutral Fund and AXA Rosenberg Select Sectors Market
Neutral Fund. In addition, the Administrator has agreed to waive all fees in the
AXA Rosenberg Japan Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg
International Equity Fund and the AXA Rosenberg Enhanced 500 Fund until the net
assets reach $25 million. For the six months ended September 30, 2000, the
amount of such waivers totaled $124,139, $1,076, $12,847, $19,640, $5,527,
$12,367, $4,567 and $2,380 for the AXA Rosenberg U.S. Small Capitalization Fund,
AXA Rosenberg Japan Fund, AXA Rosenberg International Small Capitalization Fund,
AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund,
AXA Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg International
Equity Fund and the AXA Rosenberg Enhanced 500 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 AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Japan Fund and
AXA Rosenberg International Small Capitalization Fund, $50,000 for the AXA
Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA
Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg International Equity
Fund and the AXA Rosenberg Enhanced 500 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
Investor Shares, pursuant to Rule 12b-1 under the 1940 Act. The 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 Investor Shares. The Investor Shares are subject to an
annual Distribution and Shareholder Service Fee of up to 0.25% of the respective
average daily net assets. For the six months ended September 30, 2000, the AXA
Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA
Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Market
Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg Select
Sectors Market Neutral Fund, AXA Rosenberg International Equity Fund and the AXA
Rosenberg Enhanced 500 Fund incurred distribution and shareholder service
expenses in the amount of $13,301, $94, $2,026, $5,514, $62, $388, $0 and $0,
respectively. In addition, the Trustees have authorized each Fund to pay up to
0.15% of its average daily net assets attributable to Investor Shares for
sub-transfer and sub-accounting services in connection with such shares.
73
<PAGE> 74
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
Various service organizations act as servicing agents of the Adviser Shares of
the AXA Rosenberg U.S. Small Capitalization Fund. Such shares are subject to an
annual Service Fee of up to 0.25% of the average daily net assets attributable
to such shares in accordance with a Service Plan adopted by the Trust. For the
six months ended September 30, 2000, the Service Fee attributable to the Adviser
Shares was charged as incurred, and amounted to 0.17%.
4. FEDERAL INCOME TAXES. It is each Fund's policy to comply with the
requirements of the Internal Revenue Code under Subchapter M, applicable to
regulated investment companies, and to distribute all of its taxable income,
including any net realized gain on investments, to its shareholders. Therefore,
no provision is made for federal income taxes.
As of March 31, 2000, the AXA Rosenberg Japan Fund 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 AXA Rosenberg
Value 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 AXA Rosenberg Double Alpha Market Fund had a capital loss
carryover of $60,949, which will expire on March 31, 2008. The AXA Rosenberg
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.
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 as of March 31, 2000:
<TABLE>
<CAPTION>
AMOUNT
----------
<S> <C>
AXA Rosenberg International Small Capitalization Fund....... $ 4,395
AXA Rosenberg Value Market Neutral Fund..................... 6,655,360
</TABLE>
5. SECURITY PURCHASES AND SALES. For the six months ended September 30, 2000,
purchases and sales of securities (excluding short-term securities) were as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
AXA Rosenberg U.S. Small Capitalization Fund.............. $373,318,655 $375,500,591
AXA Rosenberg Japan Fund.................................. 576,204 583,978
AXA Rosenberg International Small Capitalization Fund..... 35,384,815 32,996,949
AXA Rosenberg Value Market Neutral Fund................... 38,151,760 53,514,647
AXA Rosenberg Double Alpha Market Fund.................... 3,591,398 10,868,356
AXA Rosenberg Select Sectors Market Neutral Fund.......... 38,072,936 45,666,254
AXA Rosenberg International Equity Fund................... 12,545,676 2,757,892
AXA Rosenberg Enhanced 500 Fund........................... 5,721,954 752,980
</TABLE>
74
<PAGE> 75
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
6. PRINCIPAL SHAREHOLDERS. Fund shareholders who each held in excess of 10% of
the relevant Fund's shares outstanding at September 30, 2000, held the following
aggregate percentages of the respective Fund's shares:
<TABLE>
<CAPTION>
% OF FUND'S
SHARES
-----------
<S> <C>
AXA Rosenberg U.S. Small Capitalization Fund................ 11%
AXA Rosenberg Japan Fund.................................... 87%
AXA Rosenberg International Small Capitalization Fund....... 0%
AXA Rosenberg Value Market Neutral Fund..................... 62%
AXA Rosenberg Double Alpha Market Fund...................... 57%
AXA Rosenberg Select Sectors Market Neutral Fund............ 55%
AXA Rosenberg International Equity Fund..................... 100%
AXA Rosenberg Enhanced 500 Fund............................. 100%
</TABLE>
7. TRUSTEE FEES. The unaffiliated Trustees each receive an annual fee of
$45,540, a $6,600 meeting fee plus out-of-pocket expenses for each meeting
attended.
8. SALES AND REDEMPTIONS OF SHARES. Transactions in shares of beneficial
interest were as follows:
<TABLE>
<CAPTION>
PERIOD ENDED SEPTEMBER 30, 2000
-------------------------------------------------------------------------
AXA AXA AXA
AXA ROSENBERG ROSENBERG ROSENBERG
ROSENBERG AXA INTERNATIONAL VALUE DOUBLE
U.S. SMALL ROSENBERG SMALL MARKET ALPHA
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET
FUND FUND FUND FUND FUND
-------------- ----------- -------------- ----------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
Shares sold:
Institutional........... 4,596,668 61,467 670,872 521,438 32,379
Adviser................. 230,666 -- -- -- --
Investor................ 179,605 15,408 8,114 186,678 323
---------- ------- -------- ---------- -------
5,006,939 76,875 678,986 708,116 32,702
---------- ------- -------- ---------- -------
Issued upon reinvestment
of distributions:
Institutional........... -- -- -- -- --
Adviser................. -- -- -- -- --
Investor................ -- -- -- -- --
---------- ------- -------- ---------- -------
Shares redeemed:
Institutional........... (5,582,325) (15,944) (513,873) (1,858,970) (16,162)
Adviser................. (198,706) -- -- -- --
Investor................ (160,337) (20,838) (10,405) (588,610) (4,569)
---------- ------- -------- ---------- -------
(5,941,368) (36,782) (524,278) (2,447,580) (20,731)
---------- ------- -------- ---------- -------
Net increase/(decrease)
Institutional........... (985,657) 45,523 156,999 (1,337,532) 16,217
Adviser................. 31,960 -- -- -- --
Investor................ 19,268 (5,430) (2,291) (401,932) (4,246)
---------- ------- -------- ---------- -------
(934,429) 40,093 154,708 (1,739,464) 11,971
========== ======= ======== ========== =======
<CAPTION>
PERIOD ENDED SEPTEMBER 30, 2000
--------------------------------------------
AXA
ROSENBERG AXA AXA
SELECT SECTORS ROSENBERG ROSENBERG
MARKET INTERNATIONAL ENHANCED
NEUTRAL EQUITY 500
FUND FUND * FUND *
-------------- ------------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C>
Shares sold:
Institutional........... 41,079 1,000,004 500,005
Adviser................. -- -- --
Investor................ 4,083 -- --
-------- --------- -------
45,162 1,000,004 500,005
-------- --------- -------
Issued upon reinvestment
of distributions:
Institutional........... -- -- --
Adviser................. -- -- --
Investor................ -- -- --
-------- --------- -------
Shares redeemed:
Institutional........... (725,735) -- --
Adviser................. -- -- --
Investor................ (80,690) -- --
-------- --------- -------
(806,425) -- --
-------- --------- -------
Net increase/(decrease)
Institutional........... (684,656) 1,000,004 500,005
Adviser................. -- -- --
Investor................ (76,607) -- --
-------- --------- -------
(761,263) 1,000,004 500,005
======== ========= =======
</TABLE>
---------------
* From commencement of operations on June 7, 2000 (Institutional).
75
<PAGE> 76
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31, 2000
--------------------------------------------------------------------------------------------
AXA
AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG AXA
ROSENBERG AXA INTERNATIONAL VALUE DOUBLE ROSENBERG
U.S. SMALL ROSENBERG SMALL MARKET ALPHA SELECT SECTORS
CAPITALIZATION JAPAN CAPITALIZATION NEUTRAL MARKET MARKET NEUTRAL
FUND FUND FUND 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 -- -- -- -- --
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 -- -- -- -- --
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) -- -- -- -- --
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) -- -- -- -- --
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>
9. LINE OF CREDIT. Lines of credit to a maximum amount of 33.33% of total net
assets per Fund for both the AXA Rosenberg Value Market Neutral Fund and the AXA
Rosenberg Double Alpha Market Fund have been established by the custodian for
temporary purposes. Lines of credit in the amount of $250,000 for the AXA
Rosenberg Japan Fund and $10,000,000 for the AXA Rosenberg International Small
Capitalization Fund 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 AXA Rosenberg Japan Fund and $5,000,000 for the
AXA Rosenberg International Small Capitalization Fund. 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 AXA Rosenberg U.S. Small Capitalization
Fund, the AXA Rosenberg Japan Fund, the AXA Rosenberg International Small
Capitalization Fund and the AXA Rosenberg International Equity Fund.
10. CONCENTRATION OF CREDIT. At September 30, 2000, the AXA Rosenberg U.S. Small
Capitalization Fund, AXA Rosenberg Japan Fund, AXA Rosenberg International Small
Capitalization Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg
Select Sectors Market Neutral Fund, AXA Rosenberg International Equity Fund and
the AXA Rosenberg Enhanced 500 Fund have single industry concentrations in
excess of 10% of their net asset value as shown in the
76
<PAGE> 77
BARR ROSENBERG SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
SEPTEMBER 30, 2000 (UNAUDITED) (CONTINUED)
--------------------------------------------------------------------------------
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 AXA
Rosenberg U.S. Small Capitalization Fund, the AXA Rosenberg Value Market Neutral
Fund, the AXA Rosenberg Double Alpha Market Fund and the AXA Rosenberg Select
Sectors Market Neutral Fund, 100.00%, 36.74%, 22.69% and 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 AXA Rosenberg Japan Fund and the AXA Rosenberg International Small
Capitalization Fund 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>
AXA
ROSENBERG
AXA INTERNATIONAL
ROSENBERG SMALL
JAPAN CAPITALIZATION
FUND FUND
--------- --------------
<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 AXA Rosenberg Double Alpha
Market Fund declared long-term capital gain distributions in the amount of
$405,229.
77
<PAGE> 78
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997 1996
------------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period.......................... $ 10.06 $ 7.66 $ 9.76 $ 7.13 $ 7.60 $ 6.97
-------- -------- -------- -------- ------- -------
Income from investment operations:
Net investment income/(loss).... 0.01 -- 0.01* 0.02* 0.04 0.03
Net realized and unrealized
gain/(loss) on investments.... (0.14) 2.40 (2.02) 3.14 1.39 2.34
-------- -------- -------- -------- ------- -------
Total from investment
operations.................... (0.13) 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.... $ 9.93 $ 10.06 $ 7.66 $ 9.76 $ 7.13 $ 7.60
======== ======== ======== ======== ======= =======
Total return***................... (1.29)% 31.36% (20.56)% 44.95% 19.53% 35.69%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)....................... $432,233 $447,879 $445,476 $537,891 $82,116 $60,046
Net investment income/(loss)
before
waivers/reimbursements...... 0.17%**** (0.05)% 0.10% 0.04% (0.12)% 0.22%
Net investment income/(loss)
net of
waivers/reimbursements...... 0.27%**** 0.02% 0.16% 0.19% 0.35% 0.47%
Expenses before waivers/
reimbursements.............. 1.25%**** 1.23% 1.19% 1.30% 1.54% 1.15%
Expenses net of waivers/
reimbursements.............. 1.15%**** 1.15% 1.15% 1.15% 1.07% 0.90%
Portfolio turnover rate....... 82.69% 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.
*** Total Return for periods less than one year is not annualized.
**** Annualized.
See accompanying notes to the financial statements.
78
<PAGE> 79
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FOR THE FOR THE FOR THE
ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997(a)
------------- ---------- ---------- ---------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
ADVISER SHARES
Net asset value, beginning of period...... $10.02 $ 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....................... (0.14) 2.37 (2.02) 3.14 (0.26)
------ ------- ------- ------- -------
Total from investment operations........ (0.14) 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............ $ 9.88 $ 10.02 $ 7.65 $ 9.75 $ 7.14
====== ======= ======= ======= =======
Total return***........................... (1.40)% 31.00% (20.70)% 44.50% (3.25)%
RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL
DATA:
Net Assets, end of period (000)...... $8,089 $ 7,884 $15,465 $17,448 $ 208
Net investment income/(loss) before
waivers/ reimbursements............ 0.01%**** (0.23)% (0.06)% (0.22)% 0.07%****
Net investment income/(loss) net of
waivers/ reimbursements............ 0.10%**** (0.16)% (0.00)% (0.06)% 0.46%****
Expenses before
waivers/reimbursements............. 1.42%**** 1.39% 1.35% 1.56% 1.54%****
Expenses net of
waivers/reimbursements............. 1.32%**** 1.31% 1.29% 1.40% 1.15%****
Portfolio turnover rate.............. 82.69% 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.
*** Total Return for periods less than one year is not annualized.
**** Annualized.
(a) From commencement of operations on January 21, 1997 to March 31, 1997.
See accompanying notes to the financial statements.
79
<PAGE> 80
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FOR THE FOR THE FOR THE
ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997(a)
------------- ---------- ---------- ---------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period....... $ 10.00 $ 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........................ (0.15) 2.37 (2.01) 3.14 0.47
------- ------- ------- ------- -------
Total from investment operations......... (0.15) 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............. $ 9.85 $ 10.00 $ 7.63 $ 9.73 $ 7.13
======= ======= ======= ======= =======
Total return**............................. (1.50)% 31.06% (20.74)% 44.42% 6.84%
RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL
DATA:
Net Assets, end of period (000)....... $11,425 $11,400 $16,228 $33,724 $ 2,375
Net investment income/(loss) before
waivers/ reimbursements............. (0.10)%*** (0.34)% (0.50)% (0.70)% 0.07%***
Net investment income/(loss) net of
waivers/ reimbursements............. (0.00)%*** (0.13)% (0.15)% (0.24)% 0.46%***
Expenses before
waivers/reimbursements.............. 1.53%*** 1.50% 1.77% 2.05% 1.54%***
Expenses net of
waivers/reimbursements.............. 1.43%*** 1.28% 1.42% 1.59% 1.15%***
Portfolio turnover rate............... 82.69% 141.78% 123.66% 77.70% 126.83%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
80
<PAGE> 81
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG JAPAN FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX MONTHS FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997 1996
------------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period........................... $ 7.92 $ 5.46 $ 4.72 $ 6.20 $ 8.77 $ 8.96
------ ------ ------ ------ ------ ------
Income from investment operations:
Net investment income/(loss)..... (0.02) (0.07) (0.02)* (0.04)* (0.05)* 0.04
Net realized and unrealized
gain/(loss) on investments and
foreign currency
transactions................... (1.24) 2.54 0.76 (1.44) (2.45) (0.15)
------ ------ ------ ------ ------ ------
Total from investment
operations..................... (1.26) 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..... $ 6.66 $ 7.92 $ 5.46 $ 4.72 $ 6.20 $ 8.77
====== ====== ====== ====== ====== ======
Total return**..................... (15.91)% 45.24% 15.68% (23.87)% (28.68)% (1.20)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)........................ $1,574 $1,512 $1,053 $ 866 $1,009 $1,378
Net investment loss before
waivers/ reimbursements...... (9.01)%*** (8.52)% (13.32)% (13.49)% (12.54)% (6.38)%
Net investment loss net of
waivers/ reimbursements...... (0.84)%*** (0.71)% (0.50)% (0.74)% (0.63)% (0.22)%
Expenses before waivers/
reimbursements............... 9.67%*** 9.31% 14.32% 14.25% 13.33% 7.16%
Expenses net of waivers/
reimbursements............... 1.50%*** 1.50% 1.50% 1.50% 1.42% 1.00%
Portfolio turnover rate........ 40.98% 100.31% 152.20% 102.13% 51.70% 60.60%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
See accompanying notes to the financial statements.
81
<PAGE> 82
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG JAPAN FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FOR THE FOR THE FOR THE
ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997(a)
------------- ---------- ---------- ---------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period.......... $ 7.89 $ 5.44 $ 4.71 $ 6.20 $ 8.08
------ ------- ------- ------- -------
Income from investment operations:
Net investment loss......................... (0.07) (0.07) (0.04)* (0.04)* (0.01)*
Net realized and unrealized gain/(loss) on
investments and foreign currency
transactions............................. (1.19) 2.52 0.77 (1.45) (1.80)
------ ------- ------- ------- -------
Total from investment operations............ (1.26) 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................ $ 6.63 $ 7.89 $ 5.44 $ 4.71 $ 6.20
====== ======= ======= ======= =======
Total return**................................ (15.97)% 45.04% 15.50% (24.03)% (22.59)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net Assets, end of period (000)............. $ 44 $ 95 $ 48 $ 50 $ 13
Net investment loss before
waivers/reimbursements................... (9.39)%*** (8.58)% (14.06)% (9.10)% (11.83)%***
Net investment loss net of
waivers/reimbursements................... (1.30)%*** (0.95)% (0.91)% (0.82)% 0.00%***
Expenses before waivers/reimbursements...... 9.83%*** 9.40% 14.95% 10.12% 13.33%***
Expenses net of waivers/reimbursements...... 1.75%*** 1.75% 1.80% 1.85% 1.50%***
Portfolio turnover rate..................... 40.98% 100.31% 152.20% 102.13% 51.70%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on October 22, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
82
<PAGE> 83
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FOR THE FOR THE FOR THE
ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997(a)
------------- ---------- ---------- ---------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period......... $ 11.81 $ 9.11 $ 10.10 $ 10.13 $ 10.00
------- ------- ------- ------- -------
Income from investment operations:
Net investment income...................... 0.06 0.15 0.12* 0.08* 0.02*
Net realized and unrealized gain/(loss) on
investments and foreign currency
transactions............................ (0.43) 2.74 (1.02) 0.14 0.11
------- ------- ------- ------- -------
Total from investment operations........... (0.37) 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............... $ 11.44 $ 11.81 $ 9.11 $ 10.10 $ 10.13
======= ======= ======= ======= =======
Total return**............................... (3.13)% 32.04% (8.83)% 2.51% 1.30%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net Assets, end of period (000)............ $45,050 $44,628 $34,292 $39,218 $12,859
Net investment income/(loss) before
waivers/ reimbursements................. 0.58%*** 0.98% 0.82% (0.32)% (5.85)%***
Net investment income net of waivers/
reimbursements.......................... 1.00%*** 1.43% 1.29% 0.82% 0.11%***
Expenses before waivers/reimbursements..... 1.92%*** 1.96% 1.97% 2.64% 7.46%***
Expenses net of waivers/reimbursements..... 1.50%*** 1.50% 1.50% 1.50% 1.50%***
Portfolio turnover rate.................... 74.22% 148.72% 111.05% 77.72% 6.71%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on September 23, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
83
<PAGE> 84
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
SIX MONTHS FOR THE FOR THE FOR THE FOR THE
ENDED YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED
SEPTEMBER 30, MARCH 31, MARCH 31, MARCH 31, MARCH 31,
2000 2000 1999 1998 1997(a)
------------- ---------- ---------- ---------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period......... $11.77 $ 9.10 $10.09 $10.13 $ 10.04
------ ------ ------ ------ --------
Income from investment operations:
Net investment income...................... 0.04 0.13 0.07* 0.06* 0.02*
Net realized and unrealized gain/(loss) on
investments and foreign currency
transactions............................ (0.42) 2.71 (1.00) 0.14 0.07
------ ------ ------ ------ --------
Total from investment operations........... (0.38) 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............... $11.39 $11.77 $ 9.10 $10.09 $ 10.13
====== ====== ====== ====== ========
Total return**............................... (3.23)% 31.47% (9.16)% 2.22% 0.90%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL
DATA:
Net Assets, end of period (000)............ $1,570 $1,650 $1,697 $1,375 $ 185
Net investment income/(loss) before
waivers/ reimbursements................. 0.26%*** 0.67% 0.08% (0.83)% (5.52)%***
Net investment income net of waivers/
reimbursements.......................... 0.69%*** 1.14% 0.79% 0.61% 0.44%***
Expenses before waivers/reimbursements..... 2.23%*** 2.28% 2.66% 3.35% 7.46%***
Expenses net of waivers/reimbursements..... 1.81%*** 1.81% 1.95% 1.91% 1.50%***
Portfolio turnover rate.................... 74.22% 148.72% 111.05% 77.72% 6.71%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on October 29, 1996 to March 31, 1997.
See accompanying notes to the financial statements.
84
<PAGE> 85
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a)
------------------ -------------- -------------- ------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of
period........................... $ 7.42 $ 8.99 $ 9.97 $ 10.00
------- ------- -------- --------
Income from investment operations:
Net investment income............ 0.18* 0.34 0.29* 0.10*
Net realized and unrealized loss
on investments and securities
sold short.................... (0.04) (1.58) (1.00) (0.13)
------- ------- -------- --------
Total from investment
operations.................... 0.14 (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..... $ 7.56 $ 7.42 $ 8.99 $ 9.97
======= ======= ======== ========
Total return**..................... 1.89% (14.13)% (7.31)% (0.30)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)....................... $65,658 $74,401 $162,404 $168,080
Net investment income before
waivers/reimbursements...... 4.34%*** 2.46% 2.75% 2.72%***
Net investment income net of
waivers/reimbursements...... 4.74%*** 2.82% 2.97% 3.31%***
Expenses (including dividend
expense) before waivers/
reimbursements.............. 3.23%*** 3.40% 3.07% 3.33%***
Expenses (including dividend
expense) net of waivers/
reimbursements.............. 2.84%*** 3.04% 2.85% 2.75%***
Expenses (excluding dividend
expense) net of waivers/
reimbursements.............. 1.92%*** 2.00% 2.00% 2.00%***
Portfolio turnover rate....... 54.67% 139.22% 205.32% 232.93%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on December 16, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
85
<PAGE> 86
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a)
------------------ -------------- -------------- ------------------
(UNAUDITED)
<S> <C> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of
period........................... $ 7.41 $ 8.98 $ 9.96 $ 10.00
------- ------- ------- -------
Income from investment operations:
Net investment income............ 0.16* 0.32 0.25* 0.08*
Net realized and unrealized loss
on investments and securities
sold short.................... (0.04) (1.59) (1.00) (0.12)
------- ------- ------- -------
Total from investment
operations.................... 0.12 (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..... $ 7.53 $ 7.41 $ 8.98 $ 9.96
======= ======= ======= =======
Total return**..................... 1.62% (14.41)% (7.66)% (0.40)%
RATIOS TO AVERAGE NET ASSETS/
SUPPLEMENTAL DATA:
Net Assets, end of period
(000)....................... $ 3,231 $ 6,155 $37,387 $35,223
Net investment income before
waivers/reimbursements...... 3.99%*** 2.01% 2.31% 2.28%***
Net investment income net of
waivers/reimbursements...... 4.38%*** 2.36% 2.53% 2.82%***
Expenses (including dividend
expense) before waivers/
reimbursements.............. 3.55%*** 3.70% 3.52% 3.87%***
Expenses (including dividend
expense) net of waivers/
reimbursements.............. 3.16%*** 3.35% 3.31% 3.34%***
Expenses (excluding dividend
expense) net of waivers/
reimbursements.............. 2.23%*** 2.29% 2.45% 2.50%***
Portfolio turnover rate....... 54.67% 139.22% 205.32% 232.93%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on December 18, 1997 to March 31, 1998.
See accompanying notes to the financial statements.
86
<PAGE> 87
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999(a)
------------------ -------------- ------------------
(UNAUDITED)
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period............... $ 8.41 $ 9.81 $ 10.00
------- ------ -------
Income from investment operations:
Net investment income............................ 0.01 0.35 0.26
Net realized and unrealized loss on investments
and futures contracts......................... (0.40) (0.57) (0.21)
------- ------ -------
Total from investment operations................. (0.39) (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..................... $ 8.02 $ 8.41 $ 9.81
======= ====== =======
Total return*...................................... (4.64)% (2.63)% 0.53%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................. $ 7,308 $7,528 $ 7,032
Net investment income/(loss) before waivers/
reimbursements................................ (1.12)%** 2.12% 1.18%**
Net investment income net of
waivers/reimbursements........................ 0.21%** 3.76% 2.81%**
Expenses before waivers/reimbursements........... 1.67%** 1.99% 1.98%**
Expenses net of waivers/reimbursements........... 0.35%** 0.35% 0.35%**
Portfolio turnover rate.......................... 52.26% 144.75% 154.45%
</TABLE>
---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
87
<PAGE> 88
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999(a)
------------------ -------------- ------------------
(UNAUDITED)
<S> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period............... $ 8.40 $ 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......................... (0.41) (0.56) (0.20)
------- ------- -------
Total from investment operations................. (0.41) (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..................... $ 7.99 $ 8.40 $ 9.79
======= ======= =======
Total return*...................................... (4.88)% (2.78)% 0.18%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000).................. $ 37 $ 75 $ 257
Net investment income/(loss) before waivers/
reimbursements................................ (1.37)%** 0.79% 1.39%**
Net investment income net of
waivers/reimbursements........................ 0.00%** 2.42% 3.07%**
Expenses before waivers/reimbursements........... 1.97%** 2.23% 2.14%**
Expenses net of waivers/reimbursements........... 0.60%** 0.60% 0.45%**
Portfolio turnover rate.......................... 52.26% 144.75% 154.45%
</TABLE>
---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on April 22, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
88
<PAGE> 89
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999(a)
------------------ -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period.............. $ 11.05 $ 10.46 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income........................... 0.28* 0.44 0.11
Net realized and unrealized gain/(loss) on
investments and securities sold short........ (0.83) 0.57 0.40
------- ------- -------
Total from investment operations................ (0.55) 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.................... $ 10.50 $ 11.05 $ 10.46
======= ======= =======
Total return**.................................... (4.98)% 9.82% 5.14%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)................. $19,274 $27,835 $28,814
Net investment income before
waivers/reimbursements....................... 4.67%*** 3.45% 2.00%***
Net investment income net of
waivers/reimbursements....................... 5.24%*** 3.99% 3.15%***
Expenses (including dividend expense) before
waivers/reimbursements....................... 2.76%*** 2.81% 3.90%***
Expenses (including dividend expense) net of
waivers/reimbursements....................... 2.19%*** 2.27% 2.75%***
Expenses (excluding dividend expense) net of
waivers/reimbursements....................... 1.25%*** 1.25% 1.25%***
Portfolio turnover rate......................... 193.85% 368.26% 145.22%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on October 19, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
89
<PAGE> 90
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE YEAR FOR THE PERIOD
SIX MONTHS ENDED ENDED ENDED
SEPTEMBER 30, 2000 MARCH 31, 2000 MARCH 31, 1999(a)
------------------ -------------- -----------------
(UNAUDITED)
<S> <C> <C> <C>
INVESTOR SHARES
Net asset value, beginning of period.............. $ 10.99 $ 10.43 $ 10.00
------- ------- -------
Income from investment operations:
Net investment income........................... 0.25* 0.43 0.07
Net realized and unrealized gain/(loss) on
investments and securities sold short........ (0.81) 0.53 0.40
------- ------- -------
Total from investment operations................ (0.56) 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.................... $ 10.43 $ 10.99 $ 10.43
======= ======= =======
Total return**.................................... (5.10)% 9.39% 4.71%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)................. $ 60 $ 904 $ 539
Net investment income before
waivers/reimbursements....................... 4.09%*** 3.16% 1.30%***
Net investment income net of
waivers/reimbursements....................... 4.67%*** 3.72% 2.26%***
Expenses (including dividend expense) before
waivers/reimbursements....................... 3.13%*** 3.11% 3.73%***
Expenses (including dividend expense) net of
waivers/reimbursements....................... 2.54%*** 2.55% 2.77%***
Expenses (excluding dividend expense) net of
waivers/reimbursements....................... 1.52%*** 1.52% 1.46%***
Portfolio turnover rate......................... 193.85% 368.26% 145.22%
</TABLE>
---------------
* Calculated based on the average shares outstanding during the period.
** Total Return for periods less than one year is not annualized.
*** Annualized.
(a) From commencement of operations on November 11, 1998 to March 31, 1999.
See accompanying notes to the financial statements.
90
<PAGE> 91
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG INTERNATIONAL EQUITY FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
SEPTEMBER 30, 2000(a)
---------------------
(UNAUDITED)
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $10.00
------
Income from investment operations:
Net investment income..................................... 0.02
Net realized and unrealized loss on investments and
foreign currency transactions.......................... (0.87)
------
Total from investment operations.......................... (0.85)
------
Net asset value, end of period.............................. $ 9.15
======
Total return*............................................... (8.50)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $9,146
Net investment income before waivers/reimbursements....... 0.30%**
Net investment income net of waivers/reimbursements....... 1.67%**
Expenses before waivers/reimbursements.................... 2.72%**
Expenses net of waivers/reimbursements.................... 1.35%**
Portfolio turnover rate................................... 29.53%
</TABLE>
---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on June 7, 2000 to September 30, 2000.
See accompanying notes to the financial statements.
91
<PAGE> 92
BARR ROSENBERG SERIES TRUST
AXA ROSENBERG ENHANCED 500 FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE
PERIOD ENDED
SEPTEMBER 30, 2000(a)
---------------------
(UNAUDITED)
<S> <C>
INSTITUTIONAL SHARES
Net asset value, beginning of period........................ $10.00
------
Income from investment operations:
Net investment income..................................... 0.02
Net realized and unrealized loss on investments........... (0.28)
------
Total from investment operations.......................... (0.26)
------
Net asset value, end of period.............................. $ 9.74
======
Total return*............................................... (2.60)%
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net Assets, end of period (000)........................... $4,872
Net investment loss before waivers/reimbursements......... (0.18)%**
Net investment income net of waivers/reimbursements....... 0.64%**
Expenses before waivers/reimbursements.................... 1.57%**
Expenses net of waivers/reimbursements.................... 0.75%**
Portfolio turnover rate................................... 18.99%
</TABLE>
---------------
* Total Return for periods less than one year is not annualized.
** Annualized.
(a) From commencement of operations on June 7, 2000 to September 30, 2000.
See accompanying notes to the financial statements.
92
<PAGE> 93
(Intentionally Left Blank)
<PAGE> 94
(Intentionally Left Blank)
<PAGE> 95
(Intentionally Left Blank)
<PAGE> 96
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-0043) (11/00)
------------------------------------------------
BARR ROSENBERG SERIES TRUST
------------------------------------------------
AXA ROSENBERG U.S. SMALL
CAPITALIZATION FUND
AXA ROSENBERG JAPAN FUND
AXA ROSENBERG INTERNATIONAL SMALL
CAPITALIZATION FUND
AXA ROSENBERG VALUE MARKET
NEUTRAL FUND
AXA ROSENBERG DOUBLE ALPHA
MARKET FUND
AXA ROSENBERG SELECT SECTORS
MARKET NEUTRAL FUND
AXA ROSENBERG INTERNATIONAL
EQUITY FUND
AXA ROSENBERG ENHANCED
500 FUND
SEMI-ANNUAL REPORT
------------------------------------------------
SEPTEMBER 30, 2000
------------------------------------------------
