-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, JEwGK/zco5mOdSgDQRjRps9lt11+3+9ksLRbThL39KImCI+QQFz1LJUAqeF79DgV j5qDXMdRov/IUKJ7zdzvTw== 0000912057-01-007029.txt : 20010307 0000912057-01-007029.hdr.sgml : 20010307 ACCESSION NUMBER: 0000912057-01-007029 CONFORMED SUBMISSION TYPE: N-14/A PUBLIC DOCUMENT COUNT: 7 FILED AS OF DATE: 20010301 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BARR ROSENBERG SERIES TRUST CENTRAL INDEX KEY: 0000832545 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] STATE OF INCORPORATION: CA FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-14/A SEC ACT: SEC FILE NUMBER: 333-54916 FILM NUMBER: 1558774 BUSINESS ADDRESS: STREET 1: 3435 STELZER RD STREET 2: C/O FURMAN SELZ CITY: COLUMBUS STATE: OH ZIP: 43219 BUSINESS PHONE: 2128083942 MAIL ADDRESS: STREET 1: C/O FURMAN SELZ STREET 2: 237 PARK AVE CITY: NEW YORK STATE: NY ZIP: 10017 FORMER COMPANY: FORMER CONFORMED NAME: ROSENBERG SERIES TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: ROSENBERG SMALL CAPITALIZATION FUND DATE OF NAME CHANGE: 19881030 N-14/A 1 a2040299zn-14a.txt N-14/A Document is copied. As filed with the Securities and Exchange Commission on March 1, 2001 Registration No. 333-54916 U.S. SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 ------------------------- FORM N-14 |X|Pre-Effective Amendment No. 1 |_| Post-Effective Amendment No._ REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 ------------------------- BARR ROSENBERG SERIES TRUST* (Exact Name of Registrant as Specified in Charter) 800-447-3332 (Area Code and Telephone Number) 3435 Stelzer Road, Columbus, Ohio 43219-8021 (Address of Principal Executive Offices) ------------------------- EDWARD H. LYMAN, ESQ. AXA Rosenberg Investment Management, LLC Four Orinda Way, Building E Orinda California 94563 (Name and Address of Agents for Service) Approximate Date of Proposed Public Offering: As soon as practicable after this Registration Statement becomes effective. ------------------------- No filing fee is required because an indefinite number of shares have previously been registered pursuant to Rule 24f-2 under the Investment Company Act of 1940, as amended. Pursuant to Rule 429 under the Securities Act of 1933, this Registration Statement relates to shares previously registered on the aforesaid Registration Statement. *On behalf of its AXA Rosenberg International Equity Fund. BARR ROSENBERG SERIES TRUST AXA ROSENBERG JAPAN FUND (A SERIES OF BARR ROSENBERG SERIES TRUST (THE "TRUST")) March 5, 2001 Dear AXA Rosenberg Japan Fund Shareholder: The attached information statement describes an agreement and plan of reorganization (the "Agreement") by which substantially all the assets of the AXA Rosenberg Japan Fund (the "Japan Fund") will be sold to the AXA Rosenberg International Equity Fund (the "International Fund" and, together with the Japan Fund, the "Funds"). AXA Rosenberg Group LLC, the majority shareholder of the Japan Fund, has indicated that it will approve the Agreement. Accordingly, no shareholder proxies will be solicited with respect to the transactions contemplated by the Agreement. After the Agreement has received SEC approval and has been implemented, each shareholder of the Japan Fund will automatically become a shareholder of the International Fund, and the Japan Fund will be terminated by the Trust's Board of Trustees (the "Board"). THE BOARD HAS UNANIMOUSLY APPROVED THE MERGER. The Board believes that combining the two Funds will benefit the shareholders of the Japan Fund. The attached information statement provides more information about the proposed reorganization and the Funds. NO PROXY IS SOLICITED BY THIS INFORMATION STATEMENT; NO PROXY CARD IS ENCLOSED. The holder of a majority of the issued shares of the Japan Fund has indicated that it will give written consent to the Agreement and the transactions contemplated thereby. Accordingly, your vote is not being solicited by this information statement, and no proxy card is enclosed. You may elect to redeem your shares or exchange your shares at any time in accordance with the Second Amended and Restated Agreement and Declaration of Trust, as amended, of the Trust. Very truly yours, Richard L. Saalfeld President Barr Rosenberg Series Trust NO SHAREHOLDER PROXIES ARE SOLICITED IN CONNECTION WITH THE MATTERS DESCRIBED IN THIS PROSPECTUS/INFORMATION STATEMENT. WE ARE NOT ASKING YOU FOR A PROXY AND YOU ARE REQUESTED NOT TO SEND US A PROXY. PROSPECTUS/INFORMATION STATEMENT MARCH 5, 2001 INTRODUCTION This Prospectus/Information Statement relates to the planned sale (the "Merger") of substantially all the assets of the AXA Rosenberg Japan Fund (the "Acquired Fund") to the AXA Rosenberg International Equity Fund (the "Acquiring Fund"). Both the Acquired Fund and the Acquiring Fund are series of Barr Rosenberg Series Trust (the "Trust"). The Acquired Fund and the Acquiring Fund are referred to collectively in this Information Statement as the "Funds." The Merger is to be effected through the transfer of all of the assets of the Acquired Fund to the Acquiring Fund in exchange for shares of beneficial interest of the Acquiring Fund (the "Merger Shares") and the assumption by the Acquiring Fund of all of the liabilities of the Acquired Fund. This will be followed by the distribution of the Merger Shares to the shareholders of the Acquired Fund in liquidation of the Acquired Fund. As a result of the Merger, each shareholder of the Acquired Fund will receive in exchange for his or her Acquired Fund shares a number of Merger Shares of the same class equal in value on the date of the exchange to the aggregate value of such shareholder's Acquired Fund shares. This means that you may end up with a different number of shares than you originally held, but the total dollar value of your shares will remain the same. Because a majority of the outstanding shares of the Acquired Fund has indicated that it will approve the Merger, your proxy is not being solicited. However, because you will receive shares of the Acquiring Fund in exchange for your shares of the Acquired Fund as a result of the Merger, this Information Statement both describes the Merger and serves as a Prospectus for the Merger Shares of the Acquiring Fund. The Trust is an open-end series management investment company organized as Massachusetts business trust. The Trust has its principal executive offices at 3435 Stelzer Road, Columbus, Ohio 43219-8021 and can be reached through its toll-free telephone numbers: (800) 555-5737 (Institutional Shares) and (800) 447-3332 (Investor Shares). The Acquiring Fund invests in the common stocks of large foreign companies in Asia (including Japan), Europe, Australia and the Far East and, under normal circumstances, will invest in securities principally traded in at least three different countries. The Acquired Fund invests primarily in the common stocks of large Japanese companies that are listed and traded on any of the eight Japanese exchanges or traded over the counter. Ordinarily, the Acquired Fund maintains at least 65% of its total assets invested in such Japanese securities. This Prospectus/Information Statement explains concisely what you should know about an investment in the Acquiring Fund. Please read it carefully and keep it for future reference. THE SEC HAS NOT APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED UPON THE ACCURACY OR ADEQUACY OF THIS PROSPECTUS/INFORMATION STATEMENT. ANY REPRESENTATION TO THE CONTRARY IS A CRIME. You may lose money by investing in the Acquiring Fund. The Acquiring Fund may not achieve its goals and is not intended as a complete investment program. An investment in the Acquiring Fund is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The following documents have been filed with the Securities and Exchange Commission (the "SEC") and are incorporated by reference into this Prospectus/Information Statement: - the Funds' current Prospectus, dated July 31, 2000, as supplemented through the date hereof (the "Prospectus"); and - the Statement of Additional Information relating to this Prospectus/Information Statement dated March 5, 2001 (the "Merger SAI"). 2 This Prospectus/Information Statement is accompanied by a copy of the Prospectus. You may obtain text-only copies of the Prospectus and the Funds' current Statement of Additional Information (the "SAI") for free from the Edgar database on the SEC's Internet website at http://www.sec.gov. For a free copy of the Prospectus, the SAI, the Merger SAI, the Trust's Annual Report to Shareholders for the year ended March 31, 2000 (the "Annual Report") or the Trust's Semi-Annual Report dated September 30, 2000 (the "Semi-Annual Report"), please call Barr Rosenberg Series Trust shareholder services at (800) 555-5737 (Institutional Shares) or (800) 447-3332 (Investor Shares), or write to: Barr Rosenberg Series Trust 3435 Stelzer Road Columbus, Ohio 43219-8021 TABLE OF CONTENTS
PAGE ---- INTRODUCTION................................................ 2 OVERVIEW OF MERGER.......................................... 4 Planned Transaction....................................... 4 Operating Expenses and Fees............................... 4 Federal Income Tax Consequences........................... 6 Comparison of Investment Objectives, Policies and Restrictions............................................ 6 Comparison of Distribution Policies and Purchase, Exchange and Redemption Procedures............................... 7 Advisory Services......................................... 7 RISK FACTORS................................................ 7 Investment Risks.......................................... 8 Special Risks of Foreign Investments...................... 8 Currency Risk............................................. 8 Portfolio Turnover........................................ 8 Management Risk........................................... 8 THE MERGER.................................................. 8 Agreement and Plan of Reorganization...................... 8 Background and Reasons for the Proposed Merger............ 9 Other Alternatives........................................ 10 INFORMATION ABOUT THE MERGER................................ 10 Application for Exemptive Order........................... 10 No Shareholder Vote will be Taken......................... 10 Agreement and Plan of Reorganization...................... 10 Description of the Merger Shares.......................... 11 Organization.............................................. 12 Federal Income Tax Consequences........................... 12 Sale of Assets............................................ 13 Capitalization............................................ 13 INFORMATION ABOUT THE FUNDS................................. 15 APPENDIX A -- FORM OF AGREEMENT AND PLAN OF REORGANIZATION............................................ A-1
3 OVERVIEW OF MERGER PLANNED TRANSACTION The Trustees of the Trust have approved the Merger on behalf of the Funds. AXA Rosenberg Group LLC, the majority shareholder of the Acquired Fund (the "Majority Shareholder"), has indicated that it will approve the Merger. The Merger will be accomplished pursuant to an Agreement and Plan of Reorganization providing for the sale of all of the assets of the Acquired Fund to the Acquiring Fund in exchange for shares of the Acquiring Fund and the assumption by the Acquiring Fund of all the liabilities of the Acquired Fund, followed by the liquidation of the Acquired Fund. As a result of the Merger, the Acquired Fund will receive a number of Investor and Institutional Merger Shares of the Acquiring Fund equal in aggregate value to the net assets of the Acquired Fund attributable to its Investor and Institutional Shares, respectively. Following the transfer, (i) the Acquired Fund will distribute to each of its Investor and Institutional shareholders a number of full and fractional Investor or Institutional Merger Shares, as applicable, equal in value to the aggregate value of the shareholder's Investor or Institutional Acquired Fund shares, and (ii) the Acquired Fund will be liquidated. The Investor and Institutional Shares of the Acquired Fund have identical characteristics to the corresponding classes of shares of the Acquiring Fund, as described in the Funds' Prospectus. As described more fully below, the Trustees of the Trust have approved the Merger. In reaching their decision, the Trustees considered that, since its inception over ten years ago, the Acquired Fund has attracted little outside investor interest, and, as a result, approximately 82% of its outstanding voting securities are currently owned by the Majority Shareholder. Furthermore, because AXA Rosenberg Investment Management LLC (the "Adviser") has agreed to waive its management fee and bear certain expenses, it continually incurs expenses in connection with the Acquired Fund averaging approximately $100,000 per annum. The Adviser's subsidy of the Acquired Fund presents a constant drain on the Adviser's resources. The Adviser has no desire to continue expending its resources on a Fund which, because of its shrinking assets base promises to continue to drain resources while providing benefits to only a relatively small number of shareholders. Of course, the Majority Shareholder could save the costs of the Merger by simply redeeming its shares and reinvesting the proceeds in the Acquiring Fund, and the Trustees have the power under the Declaration of Trust to liquidate the Acquired Fund. However, either of these courses of action would trigger a realization event for tax and accounting purposes for all shareholders. To avoid such an event, the Trustees and Majority Shareholder have elected instead to proceed with the Merger as proposed. See "Background and Reasons for the Proposed Merger." Moreover, the Merger offers shareholders of the Acquired Fund the opportunity to invest in a Fund with a larger asset base, which should offer economies of scale and opportunities for greater diversification of risk. If, as intended, the Merger qualifies as a tax-free reorganization, neither the Acquired Fund nor its shareholders will recognize gain or loss in connection with the Merger. The Acquiring Fund will take a "carry over" basis in the securities acquired from the Acquired Fund, and each Acquired Fund shareholder will take a basis in its Acquiring Fund shares equal to the basis such shareholder had in its Acquired Fund shares prior to the Merger. See "Federal Income Tax Consequences." OPERATING EXPENSES AND FEES As the following tables suggest, the Merger should result in Acquired Fund shareholders experiencing lower Fund expenses. Of course, there can be no assurance that the Merger will result in expense savings for shareholders. These tables summarize, for both Investor Shares and Institutional Shares, expenses: - that the Acquired Fund incurred in its fiscal year ended March 31, 2000; 4 - that the Acquiring Fund is estimated to incur during its current fiscal year on an annualized basis; and - that the Acquiring Fund would have incurred in its most recent fiscal year on a pro forma basis, giving effect to the proposed Merger, as if the Merger had occurred as of the beginning of such fiscal year. The tables are provided to help you understand an investor's share of the operating expenses which each Fund incurs. ANNUAL FUND OPERATING EXPENSES (as a percentage of average daily net assets)
PRO FORMA CURRENT CURRENT EXPENSES EXPENSES EXPENSES INTERNATIONAL INTERNATIONAL JAPAN FUND EQUITY FUND* EQUITY FUND* ---------- ---------------- ------------- MANAGEMENT FEES Investor........................................... 1.00% 0.85% 0.85% Institutional...................................... 1.00% 0.85% 0.85% SERVICE (12B-1) FEES Investor........................................... 0.25% 0.25% 0.25% Institutional...................................... None None None OTHER EXPENSES Investor**......................................... 8.46% 1.85% 1.85% Institutional...................................... 8.31% 1.70% 1.70% TOTAL ANNUAL FUND OPERATING EXPENSES Investor........................................... 9.71% 2.95% 2.95% Institutional...................................... 9.31% 2.55% 2.55% FEE WAIVER AND/ OR EXPENSE REIMBURSEMENT*** Investor........................................... 7.81% 1.20% 1.20% Institutional...................................... 7.81% 1.20% 1.20% NET EXPENSES Investor........................................... 1.90% 1.75% 1.75% Institutional...................................... 1.50% 1.35% 1.35%
- ------------------------ * Because the International Equity Fund became operational on June 7, 2000, its expenses and the pro forma expenses shown in the table are based on estimates for the current fiscal year. Through December 31, 2000, the International Equity Fund's actual total expenses, expressed on an annualized basis, were 3.00% and 3.68%, for Institutional and Investor Shares, respectively, of its average daily net assets, before the Adviser's fee waiver and/or expense reimbursement. ** The Trustees have authorized the payment of up to 0.15% of the fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting services in connection with such shares. *** The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/02). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 5 EXAMPLE OF FUND EXPENSES: An investment of $10,000 would incur the following expenses, assuming a 5% annual return, constant expenses and, except as indicated, redemption at the end of each time period. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
INTERNATIONAL INTERNATIONAL EQUITY FUND* JAPAN FUND EQUITY FUND* (PRO FORMA) ---------- ------------- ------------- Investor 1 year.............................................. $193 $178 $178 3 years............................................. $2,102 $800 $800 5 years............................................. $3,835 -- -- 10 years............................................ $7,503 -- -- Institutional 1 year.............................................. $153 $137 $137 3 years............................................. $1,998 $679 $679 5 years............................................. $3,687 -- -- 10 years............................................ $7,313 -- --
- ------------------------ * Because the International Equity Fund became operational on June 7, 2000, it is a "New Fund" as that term is defined in Form N-1A under the Investment Company Act of 1940, as amended (the "1940 Act"), and therefore expenses shown in the indicated columns above are estimates and are provided for the 1 year and 3 year periods only. FEDERAL INCOME TAX CONSEQUENCES For federal income tax purposes, the Merger is structured to qualify as a tax-free reorganization. Accordingly, no gain or loss will be recognized by the Acquired Fund or its shareholders as a result of the Merger, and the aggregate tax basis of the Merger Shares received by each Acquired Fund shareholder will be the same as the aggregate tax basis of the shareholder's Acquired Fund shares. Some portion of the portfolio assets of the Acquired Fund may be sold immediately prior to the Merger. The actual tax impact of such sales will depend on the difference between the price at which such portfolio assets are sold and the Acquired Fund's basis in such assets. Any capital gains recognized in these sales will be distributed to the Acquired Fund's shareholders as capital gain dividends (to the extent of net realized long-term capital gains over net realized short-term capital losses) and/or ordinary dividends (to the extent of net realized short-term capital gains) during or with respect to the year of sale, and such distributions may be taxable to the shareholders. For more information about the federal income tax consequences of the Merger, see "Information about the Merger--Federal Income Tax Consequences." COMPARISON OF INVESTMENT OBJECTIVES, POLICIES AND RESTRICTIONS The Acquiring Fund has investment objectives that are generally similar to those of the Acquired Fund, except that the Acquiring Fund may invest in a wider geographical area, as noted below. Both Funds invest in the equity securities of large companies which are traded in overseas markets, and because the Acquiring Fund's investment universe includes that of the Acquired Fund, it is expected that a significant portion of the holdings of the Acquired Fund will constitute suitable investments for the Acquiring Fund. Under normal circumstances, each Fund invests at least 65% of its total assets in the common stocks of corporations with characteristics similar to those of corporations traded on their respective benchmark indices. The Acquired Fund specifically limits such investments to securities traded on the eight major Japanese stock markets, while the Acquiring Fund has the authority to invest in securities traded in the securities markets of any country in the world (but generally will limit its investments to securities traded in the markets of Asia, Europe, Australia and the Far East). 6 For a more detailed description of the investment techniques used by the Acquired Fund and the Acquiring Fund, please see the Prospectus and the SAI. The total return for the Acquired Fund and the Acquiring Fund is set forth in the chart below. TOTAL RETURN COMPARISON AS OF 12/31/00*
SINCE 5 YEARS 10 YEARS 6/7/00 1 YEAR ANNUALIZED ANNUALIZED CUMULATIVE** --------------- -------------- -------------- --------------- Japan Fund....................................... -28.33% -8.97% -2.49% -25.27% International Equity Fund........................ N/A N/A N/A -9.70%
- ------------------------ * Performance is for Institutional Shares of both Funds. Fund performance data shown is net of all expenses and sales charges. For further information about each Fund's performance, including information about waivers/reimbursements that affected each Fund's performance, see the Prospectus. ** Since Acquiring Fund's inception. COMPARISON OF DISTRIBUTION POLICIES AND PURCHASE, EXCHANGE AND REDEMPTION PROCEDURES As noted above, both the Acquired Fund and the Acquiring Fund are series of the Trust, and therefore the Funds have identical distribution and purchase procedures, exchange rights and redemption rights. Both Funds distribute substantially all net realized capital gains at least annually. The Acquired Fund and the Acquiring Fund have the same procedures for purchasing shares, as described in the Prospectus. Shares of each Fund may be exchanged for shares of the same class of any other fund or portfolio offered by the Trust in accordance with the Second Amended and Restated Agreement and Declaration of Trust, as amended (the "Declaration of Trust"), and Bylaws of the Trust. See the Prospectus and the SAI for further information. ADVISORY SERVICES AXA Rosenberg Group LLC, ("AXA Rosenberg Group") a holding company for the AXA Rosenberg businesses is the sole member and 100% owner of the Adviser. The Adviser provides investment advice to a wide variety of institutional and investment company clients and, together with its affiliates, had aggregate assets under management or supervision, as of December 31, 2000, of more than $8 billion. As investment adviser to the Funds, the Adviser is responsible for making investment decisions for the Funds and managing the Funds' other affairs and business, subject to the supervision of the Trust's Board of Trustees. The Adviser also provides investment advisory services to the other portfolios of the Trust. RISK FACTORS As with any stock mutual fund, you may lose money by investing in the Acquiring Fund. Certain risks associated with an investment in the Acquiring Fund are summarized below. Because the Acquiring Fund and the Acquired Fund share certain policies described more fully above under "Overview of Merger Comparison of Investment Objectives, Policies and Restrictions," many of the risks of an investment in the Acquiring Fund are substantially similar to the risks of an investment in the Acquired Fund. The values of all securities and other instruments held by the Acquiring Fund vary from time to time in response to a wide variety of market factors. Consequently, the net asset value per share of the Acquiring Fund will vary and may be less at the time of redemption than it was at the time of investment. The following subsections identify and explain the principal risks that affect an investment in the Acquiring Fund. 7 INVESTMENT RISKS The Acquiring Fund is subject to investment risks, or the risk that the value of Fund shares may vary depending on external conditions affecting the Fund's portfolio. These conditions depend upon the market, economic, political, regulatory and other factors. An investment in the Acquired Fund is also subject to this risk. In addition, the Acquired Fund is subject to the risks associated with investing almost exclusively in the stocks of companies which are subject to Japanese economic factors and conditions. Since the Japanese economy is dependent to a significant extent on foreign trade, the relationships between Japan and its trading partners and between the yen and other currencies are expected to have a significant impact on particular Japanese companies and on the Japanese economy generally. SPECIAL RISKS OF FOREIGN INVESTMENTS Investments in securities of foreign issuers involve certain risks that are less significant for investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions, changes in currency exchange rates or exchange control regulations (including currency blockage). The Acquiring Fund may be unable to obtain and enforce judgments against foreign entities, and issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. Also, the securities of some foreign companies may be less liquid and at times more volatile than securities of comparable U.S. companies. An investment in the Acquired Fund is also subject to this risk. CURRENCY RISK As a result of its investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Acquiring Fund is subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar, causing the dollar value of these types of investments to be adversely effected. An investment in the Acquired Fund is also subject to this risk. PORTFOLIO TURNOVER The Acquiring Fund is actively managed and, in some cases, the Fund's portfolio turnover may exceed 100%. Higher portfolio turnover rates are likely to result in comparatively greater brokerage commissions or transaction costs. Such costs will reduce the Acquiring Fund's return. A higher portfolio turnover rate may also result in the realization of substantial net short-term gains, which are taxable as ordinary income to shareholders when distributed. An investment in the Acquired Fund is also subject to this risk. MANAGEMENT RISK The Acquiring Fund is subject to management risk because it is an actively managed investment portfolio. The success of the Fund's investment strategy depends upon the Adviser's skill in determining which securities to buy and which securities to sell. Therefore, as with any actively managed investment portfolio, the Fund is subject to the risk that the Adviser will make poor stock selections. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Acquiring Fund, but there can be no guarantee that they will meet stated objectives or produce desired results. An investment in the Acquired Fund is also subject to this risk. THE MERGER AGREEMENT AND PLAN OF REORGANIZATION The Merger will take place pursuant to an Agreement and Plan of Reorganization (the "Agreement") between the Acquired Fund and the Acquiring Fund in the form attached to this Prospectus/Information Statement as APPENDIX A. 8 The Agreement provides, among other things, for the sale of all of the assets of the Acquired Fund to the Acquiring Fund in exchange for (i) the issuance to the Acquired Fund of the Investor and Institutional Merger Shares, the number of which will be calculated based on the value of the net assets attributable to the Investor and Institutional Shares, respectively, of the Acquired Fund acquired by the Acquiring Fund and the net asset value per share of the Investor and Institutional Shares of the Acquiring Fund and (ii) the assumption by the Acquiring Fund of all of the liabilities of the Acquired Fund, all as more fully described below under "Information About the Merger." After receipt of the Merger Shares, the Acquired Fund will cause the Investor Merger Shares to be distributed to its Investor shareholders and the Institutional Merger Shares to be distributed to its Institutional shareholders, in complete liquidation of the Acquired Fund. Each shareholder of the Acquired Fund will receive a number of full and fractional Investor and/or Institutional Merger Shares equal in value at the date of the exchange to the aggregate value of such shareholder's Investor or Institutional Acquired Fund Shares. BACKGROUND AND REASONS FOR THE PROPOSED MERGER The Board of Trustees, including all the Trustees who are not "interested persons" (as defined in the 1940 Act) of the Funds (the "Independent Trustees"), has unanimously determined that the Merger is in the best interests of the Funds, and that the interests of the Acquiring Fund's shareholders will not be diluted as a result of effecting the Merger. Accordingly, at a meeting held on December 4, 2000, the Trustees unanimously approved the Merger. Before reaching their conclusions, the Board considered (i) that the shareholders of the Funds will not incur any expenses associated with the Merger (except brokerage fees, if any, and other similar expenses), including those described under "Information about the Merger," (ii) that all securities will be consistently valued for all purposes in accordance with the Trust's valuation procedures, (iii) the overall operating expenses expected to be borne by Acquired Fund's shareholders, (iv) the prospects for growth of the Acquiring Fund, possibly enabling further economies of scale and even lower fees for all shareholders of the Acquiring Fund in the future, and (v) the increasing difficulties of managing the Acquired Fund as its assets continue to shrink. In addition, the Trustees considered the relative investment performance of the Acquiring Fund and the Acquired Fund. The principal reasons why the Board approved the Merger are as follows: (i) SUSTAINABLE DECREASES IN OVERALL EXPENSES. As noted above, the Acquired Fund historically has been expensive to operate, and the Adviser has borne a majority of the Fund's expenses. The Acquired Fund's expenses are not likely to decrease as a percentage of its assets in the future, and the Adviser does not intend to continue subsidizing a small, shrinking fund indefinitely. If the Adviser discontinued its fee waiver and/or expense reimbursement, the Fund's shareholders would incur its high expenses directly. As described more fully in the overview under "Operating Expenses" the Merger is expected to result in aggregate ongoing operating expenses for the Acquired Fund shareholders that would be lower than those they have borne historically as shareholders of the Acquired Fund and lower than those that would be borne if the Adviser were to discontinue its fee waiver and/or expense reimbursement. Of course, there can be no assurance that the Merger will result in savings in operating expenses to shareholders. (ii) APPROPRIATE INVESTMENT OBJECTIVES, DIVERSIFICATION, ETC. The investment objective, policies, and restrictions of the Acquiring Fund are generally similar to those of the Acquired Fund, with the exception that the Acquiring Fund is not limited to investing primarily in Japanese securities. The Merger offers shareholders, on a tax free basis, an investment opportunity comparable to that currently afforded by the Acquired Fund, but with the potential for reduced investment risk because of the opportunities for additional diversification of portfolio investments through increased Fund assets and a more broad investment universe. Shareholders who prefer a more concentrated investment profile will, of course, be able to redeem their shares of the Acquiring Fund. 9 (iii) TAX-ADVANTAGED METHOD OF LIQUIDATING THE ACQUIRED FUND. As noted above, the high operating expenses of the Acquired Fund are such that it is in the interests of the Acquired Fund, its shareholders and the Adviser to terminate the Fund. Under the Declaration of Trust, the Trustees have the power to liquidate and terminate the Acquired Fund, but this course of action would have created a recognition event for tax and accounting purposes for the Fund and its shareholders. By effecting the Merger, the Trust will terminate the Acquired Fund on a tax free basis. OTHER ALTERNATIVES At any time prior to the Merger Date, shareholders of the Acquired Fund may redeem their shares and receive the net asset value thereof pursuant to the procedures set forth under "Redemption of Shares" in the Prospectus. Shareholders may also exchange their shares of the Acquired Fund for shares of the same class of any other Fund of the Trust that offers that class, as described under "Exchanging Shares" in the Prospectus. A redemption or exchange may be taxable as a sale of a security on which a gain or loss would be recognized. Shareholders should consult their tax advisers regarding the tax treatment applicable to the redemption of their shares for federal income tax purposes and also regarding possible state and local tax consequences. See "Information About the Merger--Federal Income Tax Consequences." INFORMATION ABOUT THE MERGER APPLICATION FOR EXEMPTIVE ORDER AXA Rosenberg Group, a holding company for the AXA Rosenberg businesses, is the sole member and 100% owner of the Adviser and the majority shareholder of the Acquired Fund and as such may be deemed to be an affiliate of both the Adviser and the Acquired Fund under the 1940 Act. Due to these affiliations and the affiliation between the Adviser and each Fund, SEC approval is required to effect the Merger. On November 22, 2000, the Trust filed an application for an order, pursuant to Section 17(b) of the 1940 Act, which, if granted, will exempt the Merger from the prohibitions of Section 17(a) of such Act. The consummation of the Merger is dependent upon the receipt of such exemptive order from the SEC. If the order is issued by the SEC prior to March 30, 2001, the Merger will be effected on or about that date. NO SHAREHOLDER PROXIES WILL BE SOLICITED Approval of the Merger requires the approval not only of a majority of the Trustees, but also of a "majority of the outstanding voting securities" (as defined in the 1940 Act) of the Acquired Fund, which means the lesser of (A) 67% or more of the shares of the fund present at a meeting, if the holders of more than 50% of the outstanding shares of the fund are present or represented by proxy, or (B) more than 50% of the outstanding shares of the relevant fund. Under the Declaration of Trust, shareholders are entitled to one vote for each full share held, with fractional votes for fractional shares held, and separate classes vote together as one group on matters, such as the Merger, that affect classes equally. As of January 31, 2001, there were 195,463.184 shares of record of the Acquired Fund entitled to vote, of which the Majority Shareholder owned 160,153.845, or approximately 82%. The Majority Shareholder has indicated that, on or about March 28, 2001, it will execute a Consent of Majority Shareholder approving the Merger. Since the Majority Shareholder has indicated that it will consent to the Merger, no shareholder proxies will be solicited in connection with the Merger and no meeting of shareholders will be held. AGREEMENT AND PLAN OF REORGANIZATION The Agreement provides that the Acquiring Fund will acquire all of the assets of the Acquired Fund in exchange for the issuance of the Merger Shares and for the assumption by the Acquiring Fund of all of the liabilities of the Acquired Fund, all as of the Exchange Date (defined in such Agreement to be March 29, 2001 or such other date as may be agreed upon by the Acquiring Fund and the Acquired Fund). The 10 following discussion of the Agreement is qualified in its entirety by the full text of the Agreement, a form of which is attached as APPENDIX A to this Prospectus/Information Statement. The Acquired Fund will sell all of its assets to the Acquiring Fund, and, in exchange, the Acquiring Fund will assume all of the liabilities of the Acquired Fund and deliver to the Acquired Fund (i) a number of full and fractional Investor Merger Shares having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to its Investor Shares, less the value of the liabilities of the Acquired Fund assumed by the Acquiring Fund attributable to the Investor Shares of the Acquired Fund, and (ii) a number of full and fractional Institutional Merger Shares having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to its Institutional Shares, less the value of the liabilities of the Acquired Fund assumed by the Acquiring Fund attributable to the Institutional Shares of the Acquired Fund. Immediately following the Exchange Date, the Acquired Fund will distribute PRO RATA to its shareholders of record (as of the close of business on the Exchange Date), the full and fractional Merger Shares received by the Acquired Fund, with Investor Merger Shares being distributed to holders of Investor Shares of the Acquired Fund and Institutional Merger Shares being distributed to holders of Institutional Shares of the Acquired Fund. As a result of the Merger, each holder of Investor or Institutional Shares of the Acquired Fund will receive a number of Investor or Institutional Merger Shares, as applicable, equal in aggregate value as of the Exchange Date to the value of the Investor and Institutional Shares of the Acquired Fund held by such shareholder. This distribution will be accomplished by the establishment of accounts on the share records of the Acquiring Fund in the names of the Acquired Fund shareholders, each account representing the respective number of full and fractional Investor and/or Institutional Merger Shares due such shareholder. Because the shares of the Acquiring Fund are not represented by certificates, certificates for Merger Shares will not be issued. The consummation of the Merger is subject to the conditions set forth in the Agreement, any of which may be waived by the party entitled to its benefits. The Agreement may be terminated and the Merger abandoned at any time prior to the Exchange Date by mutual consent of the Funds or, if any condition set forth in the Agreement has not been fulfilled and has not been waived by the party entitled to its benefits, by such party. All legal and accounting fees and expenses, printing and other fees and expenses (other than portfolio transfer taxes, if any, brokerage and other similar expenses) incurred in connection with the consummation of the transactions contemplated by the Agreement will be borne by the Adviser. Notwithstanding the foregoing, expenses will in any event be paid by the party directly incurring such expenses if and to the extent that the payment by any other party of such expenses would result in the disqualification of the first party as a "regulated investment company" within the meaning of Section 851 of the Internal Revenue Code of 1986, as amended (the "Code"). DESCRIPTION OF THE MERGER SHARES Full and fractional Merger Shares will be issued to the Acquired Fund's shareholders in accordance with the procedures under the Agreement, as summarized above. The Merger Shares are Investor and Institutional Shares of the Acquiring Fund that have characteristics identical in all respects to those of the corresponding class of Acquired Fund shares. For purposes of effecting a subsequent conversion of Merger Shares to any other shares, the Merger Shares will be treated as having been purchased as of the date that the Acquired Fund shares exchanged for such Merger Shares were originally purchased (so that the conversion of such shares will be unaffected by the Merger). See the Prospectus for more information about the characteristics of Investor and Institutional Shares of the Funds. 11 ORGANIZATION Each of the Merger Shares will be fully paid and nonassessable by the Acquiring Fund when issued, will be transferable without restriction, and will have no preemptive rights. The Declaration of Trust permits the Trustees of the Trust to divide its shares, without shareholder approval, into two or more series of shares representing separate investment portfolios and to further divide any such series, without shareholder approval, into two or more classes of shares having such preferences and special or relative rights and privileges as the Trustees may determine. The Acquiring Fund's shares are currently divided into five classes: Class A, Class B, Class C, Investor and Institutional. No Class A, B or C Shares are currently outstanding. Under Massachusetts law, shareholders of a Massachusetts business trust could, under certain circumstances, be held personally liable for the obligations of the trust. However, the Declaration of Trust disclaims shareholder liability for acts or obligations of the Acquiring Fund and requires that notice of such disclaimer be given in each agreement, undertaking or obligation entered into or executed by the Trust. The Declaration of Trust provides for indemnification out of Acquiring Fund property for all loss and expense of any shareholder held personally liable for the obligations of the Acquiring Fund. Thus, the risk of a shareholder incurring financial loss from shareholder liability is limited to circumstances in which the Acquiring Fund's assets would be insufficient to meet its obligations. The likelihood of such circumstances is considered remote. The shareholders of the Acquired Fund are currently subject to substantially the same risk of shareholder liability under Massachusetts law and the Declaration of Trust. The Declaration of Trust requires only the vote of a majority of the Trustees for the liquidation of any series. The Declaration of Trust also provides that Barr Rosenberg Series Trust or any fund thereof may be terminated by a vote of at least 50% of the shares of each fund entitled to vote (voting separately by fund) or by a majority of the Trustees by written notice to shareholders. FEDERAL INCOME TAX CONSEQUENCES The Merger is intended and is structured to qualify as a tax-free reorganization. The Merger will be conditioned upon receipt of an opinion from Ropes & Gray, counsel to the Trust, to the effect that, for federal income tax purposes, based on the existing provisions of the Internal Revenue Code of 1986, as amended (the "Code"), current administrative rules and court decisions: (i) under Section 361 of the Code, no gain or loss will be recognized by the Acquired Fund as a result of the Merger; (ii) under Section 354 of the Code, no gain or loss will be recognized by shareholders of the Acquired Fund on the distribution of Merger Shares to them in exchange for their shares of the Acquired Fund; (iii) under Section 358 of the Code, the aggregate tax basis of the Merger Shares that the Acquired Fund's shareholders receive in place of their Acquired Fund shares will, in each case, be the same as the aggregate tax basis of the Acquired Fund shares; (iv) under Section 1223(1) of the Code, each Acquired Fund's shareholder's holding period for the Merger Shares received pursuant to the Agreement will be determined by including the holding period for the Acquired Fund shares exchanged for the Merger Shares, provided that the shareholder held the Acquired Fund shares as a capital asset; (v) under Section 1032 of the Code, no gain or loss will be recognized by the Acquiring Fund as a result of the reorganization; (vi) under Section 362(b) of the Code, the Acquiring Fund's tax basis in the assets that the Acquiring Fund receives from the Acquired Fund will be the same as the Acquired Fund's tax basis in such assets; and (vii) under Section 1223(2) of the Code, the Acquiring Fund's holding period in such assets will include the Acquired Fund's holding period in such assets. The opinion will be based on certain factual certifications made by officers of the Trust and on customary assumptions and certain qualifications. The actual tax consequences of the Merger will depend on whether it meets the "continuity of business enterprise" test, which requires that the Acquiring Fund either (1) continue the Acquired Fund's "historic business" or (2) continue to use a significant portion of the Acquired Fund's historic assets. 12 SALE OF ASSETS A portion of the portfolio assets of the Acquired Fund may be sold immediately prior to the Merger. The actual tax impact of such sales will depend on the difference between the price at which such portfolio assets are sold and the Acquired Fund's basis in such assets. Any capital gains recognized in these sales will be distributed PRO RATA to the Acquired Fund's shareholders as capital gain dividends (to the extent of net realized long-term capital gains over net realized short-term capital losses) and/or ordinary dividends (to the extent of net realized short-term capital gains) during or with respect to the year of sale, and such distributions may be taxable to the shareholders. The foregoing description of the federal income tax consequences of the Merger is made without regard to the particular circumstances of any shareholder. Shareholders are therefore urged to consult their tax advisers as to the specific consequences of the Merger to them, including the applicability and effect of state, local, foreign and other taxes. CAPITALIZATION The following tables show the capitalization of the Acquiring Fund and the Acquired Fund as of 12/31/00 and of the Acquiring Fund on a PRO FORMA basis as of that date, giving effect to the proposed acquisition by the Acquiring Fund of the assets and liabilities of the Acquired Fund at net asset value: CAPITALIZATION TABLES DECEMBER 31, 2000 (UNAUDITED)
INTERNATIONAL INTERNATIONAL EQUITY FUND JAPAN FUND EQUITY FUND (PRO FORMA) ------------- -------------- -------------- Net assets (000's omitted) Investor...................................... $ 35 $ 2 $ 37 Institutional................................. $ 1,028 $ 9,031 $ 10,059 Shares outstanding Investor...................................... $ 6,481.873 $ 207.928 $ 4,090.676 Institutional................................. $ 188,981.311 $1,000,002.000 $1,113,914.791 Net Asset Value Investor...................................... $ 35,061.24 $ 1,877.56 $ 36,938.80 Institutional................................. $1,028,006.34 $9,030,644.23 $10,058,650.57 Net asset value per share Investor...................................... $ 5.41 $ 9.03 $ 9.03 Institutional................................. $ 5.44 $ 9.03 $ 9.03
13 OWNERS OF 5% OR MORE OF THE FUNDS' SHARES The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially and of record 5% or more of the outstanding shares of the Acquired Fund as of January 31, 2001. Those persons who beneficially own more than 25% of a particular class of shares may be deemed to control such class. INSTITUTIONAL SHARES
EXPECTED OWNERSHIP PERCENTAGE OWNERSHIP UPON MERGER NAME AND ADDRESS PERCENTAGE CONSUMMATION Koko M. Baker c/o RIEM 4 Orinda Way Orinda, CA 94563 7.60% .77% Axa Rosenberg Group 4 Orinda Way Bldg E Orinda, CA 94563 84.74% 8.54%
INVESTOR SHARES
EXPECTED OWNERSHIP PERCENTAGE OWNERSHIP UPON MERGER NAME AND ADDRESS PERCENTAGE CONSUMMATION Sandra B. Cook Sandra B. Cook Family Trust 425 N Martingale Rd 19 Floor Schaumburg, IL 60173 19.26% 18.26% National Investor Services Corp 55 Water St. 32nd Floor New York, NY 10041 22.75% 26.69% Jeremy Liss 4266 Strathdale Lane West Bloomfield, MI 48323 6.65% 6.31% Arthur Y. Liss 1400 N Woodward Ave 100 Bloomfield, MI 48304 30.63% 29.05% Charles B. Murdock Amanda S. Murdock 818 Thackston Dr. Spartanburg, SC 29307 14.83% 14.07% Gail Elizabeth Swope RR2 Box 1053 Bar Harbor, ME 04609 5.62% 5.33%
14 The following chart sets forth the names, addresses and percentage ownership of those shareholders owning beneficially and of record 5% or more of the outstanding shares of the Acquiring Fund as of January 31, 2001. Those persons who beneficially own more than 25% of a particular class of shares may be deemed to control such class. INSTITUTIONAL SHARES
EXPECTED OWNERSHIP PERCENTAGE OWNERSHIP UPON MERGER NAME AND ADDRESS PERCENTAGE CONSUMMATION Equitable Life Assurance Society of the United States 1290 Avenue of the Americas New York, New York 10104 99.99% 89.92%
INVESTOR SHARES
EXPECTED OWNERSHIP PERCENTAGE OWNERSHIP UPON MERGER NAME AND ADDRESS PERCENTAGE CONSUMMATION National Investor Services Corp. 55 Water Street, 32nd Floor New York, NY 10041 99.03% 26.69%
INFORMATION ABOUT THE FUNDS Other information regarding the Funds, including information with respect to their investment objectives, policies, restrictions and financial histories may be found in the Prospectus, the SAI, the Merger SAI, the Semi-Annual Report and the Annual Report, which are available upon request by calling Barr Rosenberg Series Trust Shareholder Services at (800) 555-5737 (Institutional Shares) or (800) 447-3332 (Investor Shares). Proxy materials, reports and other information filed by the Trust with respect to the Funds can be inspected and copied at the Securities and Exchange Commission's public reference room, located at 450 5th Street NW, Room 1200, Washington DC 20549. You may call the Commission at 1-202-942-8090 for information about the operation of the public reference room. You may also access reports and other information about the Trust on the EDGAR database or the Commission's Internet site at http://www.sec.gov. You may also obtain copies of this information, with payment of a duplication fee, by electronic request at the following email address: publicinfo@sec.gov or by writing the Public Reference Section of the Commission, Washington, D.C. 20549-0102. You may need to refer to the following file number: FILE NO. 811-05547 15 APPENDIX A AGREEMENT AND PLAN OF REORGANIZATION This Agreement and Plan of Reorganization (the "Agreement") is made as of March , 2001 in Boston, Massachusetts, by and between the Barr Rosenberg Series Trust, a Massachusetts business trust (the "Trust"), on behalf of its AXA Rosenberg Japan Fund (the "Acquired Fund"), and the Trust, on behalf of its AXA Rosenberg International Equity Fund (the "Acquiring Fund"). PLAN OF REORGANIZATION (a) The Acquired Fund will sell, assign, convey, transfer and deliver to the Acquiring Fund on the Exchange Date (as defined in Section 6) all of its properties and assets. In consideration therefore, the Acquiring Fund shall, on the Exchange Date, assume all of the liabilities of the Acquired Fund existing at the Valuation Time (as defined in Section 3(c)) and deliver to the Acquired Fund (i) a number of full and fractional Investor shares of beneficial interest of the Acquiring Fund (the "Investor Merger Shares") having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to the Investor shares of the Acquired Fund transferred to the Acquiring Fund on such date less the value of the liabilities of the Acquired Fund attributable to the Investor shares of the Acquired Fund assumed by the Acquiring Fund on that date, and (ii) a number of full and fractional Institutional shares of beneficial interest of the Acquiring Fund (the "Institutional Merger Shares") having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to the Institutional shares of the Acquired Fund transferred to the Acquiring Fund on such date less the value of the liabilities of the Acquired Fund attributable to the Institutional shares of the Acquired Fund assumed by the Acquiring Fund on that date. (The Investor Merger Shares and the Institutional Merger Shares shall be referred to collectively as the "Merger Shares"). It is intended that the reorganization described in this Agreement shall be a reorganization within the meaning of Section 368 of the Internal Revenue Code of 1986, as amended (the "Code"). (b) Upon consummation of the transaction described in paragraph (a) of this Agreement, the Acquired Fund shall distribute in complete liquidation to its Institutional and Investor shareholders of record as of the Exchange Date the Institutional and Investor Merger Shares, each such shareholder being entitled to receive that proportion of such Institutional and Investor Merger Shares which the number of Investor and Institutional shares, as applicable, of beneficial interest of the Acquired Fund held by such shareholder bears to the number of Institutional and Investor shares of the Acquired Fund outstanding on such date. Certificates representing the Institutional and Investor Merger Shares will not be issued. All issued and outstanding Institutional and Investor shares of the Acquired Fund will simultaneously be canceled on the books of the Acquired Fund. (c) As promptly as practicable after the liquidation of the Acquired Fund as aforesaid, the Acquired Fund shall be dissolved pursuant to the provisions of the Second Amended and Restated Agreement and Declaration of Trust of the Trust, as amended (the "Declaration of Trust"), and applicable law, and its legal existence will be terminated. Any reporting responsibility of the Acquired Fund is and shall remain the responsibility of the Acquired Fund up to and including the Exchange Date or, if applicable, such later date on which the Acquired Fund is liquidated. AGREEMENT The Acquiring Fund and the Acquired Fund agree as follows: 1. REPRESENTATIONS, WARRANTIES AND AGREEMENTS OF THE ACQUIRING FUND. The Acquiring Fund represents and warrants to and agrees with the Acquired Fund that: a. The Acquiring Fund is a series of the Trust, a Massachusetts business trust duly established and validly existing under the laws of The Commonwealth of Massachusetts, and has power to own all of its A-1 properties and assets and to carry out its obligations under this Agreement. The Trust is qualified as a foreign association in every jurisdiction where required, except to the extent that failure to so qualify would not have a material adverse effect on the Trust. Each of the Trust and the Acquiring Fund has all necessary federal, state and local authorizations to carry on its business as now being conducted and to carry out this Agreement. b. The Acquiring Fund is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company, and such registration has not been revoked or rescinded and is in full force and effect. c. The statement of assets and liabilities, statement of operations, statement of changes in net assets and a schedule of investments (indicating their market values) of the Acquiring Fund as of and for the period from June 7, 2000, the inception date of the Acquiring Fund, through September 30, 2000 have been furnished to the Acquired Fund. Such statement of assets and liabilities and schedule fairly present the financial position of the Acquiring Fund as of that date and such statements of operations and changes in net assets fairly reflect the results of its operations and changes in net assets for the periods covered thereby in conformity with generally accepted accounting principles. d. The current prospectus and statement of additional information of the Trust, each dated July 31, 2000 (collectively, as from time to time amended and supplemented, the "Prospectus"), which have previously been furnished to the Acquired Fund, did not as of such date and does not as of the date hereof contain, with respect to the Acquiring Fund, any untrue statement of a material fact or omit to state a material fact required to be stated therein or necessary to make the statements therein not misleading. e. There are no material legal, administrative or other proceedings pending or, to the knowledge of the Trust or the Acquiring Fund, threatened against the Trust or the Acquiring Fund, which assert liability on the part of the Acquiring Fund. The Acquiring Fund knows of no facts which might form the basis for the institution of any such proceedings and is not a party to or subject to the provisions of any order, decree or judgment of any court or governmental body which materially and adversely affects its business or its ability to consummate the transactions herein contemplated. f. The Acquiring Fund has no known liabilities of a material nature, contingent or otherwise, other than those shown belonging to it on its statement of assets and liabilities as of September 30, 2000, those incurred in the ordinary course of its business as an investment company since September 30, 2000 and those to be assumed pursuant to this Agreement. Prior to the Exchange Date, the Acquiring Fund will endeavor to quantify and to reflect on its balance sheet all of its material known liabilities and will advise the Acquired Fund of all material liabilities, contingent or otherwise, incurred by it subsequent to September 30, 2000, whether or not incurred in the ordinary course of business. g. As of the Exchange Date, the Acquiring Fund will have filed all federal and other tax returns and reports which, to the knowledge of the officers of the Trust, are required to have been filed by the Acquiring Fund and will have paid or will pay all federal and other taxes shown to be due on said returns or on any assessments received by the Acquiring Fund. All tax liabilities of the Acquiring Fund have been adequately provided for on its books, and no tax deficiency or liability of the Acquiring Fund has been asserted, and no question with respect thereto has been raised or is under audit by the Internal Revenue Service or by any state or local tax authority for taxes in excess of those already paid. h. No consent, approval, authorization or order of any court or governmental authority is required for the consummation by the Acquiring Fund of the transactions contemplated by this Agreement, except such as may be required under the Securities Act of 1933, as amended (the "1933 Act"), the Securities Exchange Act of 1934, as amended (the "1934 Act"), the Investment Company Act of 1940, as amended (the "1940 Act") and state insurance, securities or blue sky laws (which term as used herein shall include the relevant laws of the District of Columbia and of Puerto Rico). A-2 i. The registration and information statement (the "Information Statement") filed on Form N-14 with the Securities and Exchange Commission (the "Commission") by the Trust on behalf of the Acquiring Fund and relating to the Merger Shares issuable hereunder, on the effective date of the Information Statement, (i) will comply in all material respects with the provisions of the 1933 Act, the 1934 Act and the 1940 Act and the rules and regulations thereunder and (ii) will not contain any untrue statement of a material fact or omit to state a material fact required to be stated therein or necessary to make the statements therein not misleading; and on the Exchange Date, the prospectus which is contained in the Information Statement, as amended or supplemented by any amendments or supplements filed with the Commission by the Trust will not contain any untrue statement of a material fact or omit to state a material fact required to be stated therein or necessary to make the statements therein not misleading; provided, however, that none of the representations and warranties in this subsection shall apply to statements in or omissions from the Information Statement made in reliance upon and in conformity with information furnished in writing by the Acquired Fund to the Acquiring Fund specifically for use in the Information Statement. j. There are no material contracts outstanding to which the Acquiring Fund is a party, other than as are or will be disclosed in the Trust's registration statement on Form N-1A under the 1940 Act, as amended (the "Registration Statement"), and the Information Statement. k. All of the issued and outstanding shares of beneficial interest of the Acquiring Fund have been offered for sale and sold in conformity with all applicable federal and state securities laws (including any applicable exemptions therefrom), or the Acquiring Fund has taken any action necessary to remedy any prior failure to have offered for sale and sold such shares in conformity with such laws. l. The Acquiring Fund qualifies and will at all times through the Exchange Date qualify for taxation as a "regulated investment company" under Sections 851 and 852 of the Code. m. The issuance of the Merger Shares pursuant to this Agreement will be in compliance with all applicable federal and state securities laws. n. The Merger Shares to be issued to the Acquired Fund have been duly authorized and, when issued and delivered pursuant to this Agreement, will be legally and validly issued and will be fully paid and non-assessable by the Acquiring Fund, and no shareholder of the Acquiring Fund will have any preemptive right of subscription or purchase in respect thereof. o. All issued and outstanding shares of the Acquiring Fund are, and at the Exchange Date will be, duly authorized, validly issued, fully paid and non-assessable by the Acquiring Fund. The Acquiring Fund does not have outstanding any options, warrants or other rights to subscribe for or purchase any Acquiring Fund shares, nor is there outstanding any security convertible into any Acquiring Fund shares. 2. REPRESENTATIONS, WARRANTIES AND AGREEMENTS OF THE ACQUIRED FUND. The Acquired Fund represents and warrants to and agrees with the Acquiring Fund that: a. The Acquired Fund is a series of the Trust, a Massachusetts business trust duly established and validly existing under the laws of The Commonwealth of Massachusetts, and has power to own all of its properties and assets and to carry out this Agreement. The Trust is qualified as a foreign association in every jurisdiction where required, except to the extent that failure to so qualify would not have a material adverse effect on the Trust. Each of the Trust and the Acquired Fund has all necessary federal, state and local authorizations to own all of its properties and assets, to carry on its business as now being conducted and to carry out this Agreement. b. The Trust is registered under the 1940 Act as an open-end management investment company, and such registration has not been revoked or rescinded and is in full force and effect. c. A statement of assets and liabilities, statement of operations, statement of changes in net assets and a schedule of investments (indicating their market values) of the Acquired Fund as of and for the year A-3 ended March 31, 2000 have been furnished to the Acquiring Fund. Such statement of assets and liabilities and schedule fairly present the financial position of the Acquired Fund as of that date, and such statements of operations and changes in net assets fairly reflect the results of its operations and changes in net assets for the period covered thereby, in conformity with generally accepted accounting principles. d. The Prospectus, which has been previously furnished to the Acquiring Fund, did not as of its effective date and does not as of the date hereof contain, with respect to the Trust and the Acquired Fund, any untrue statement of a material fact or omit to state a material fact required to be stated therein or necessary to make the statements therein not misleading. e. There are no material legal, administrative or other proceedings pending or, to the knowledge of the Trust or the Acquired Fund, threatened against the Trust or the Acquired Fund, which assert liability on the part of the Acquired Fund. The Acquired Fund knows of no facts which might form the basis for the institution of such proceedings and is not a party to or subject to the provisions of any order, decree or judgment of any court or governmental body which materially and adversely affects its business or its ability to consummate the transactions herein contemplated. f. There are no material contracts outstanding to which the Acquired Fund is a party, other than as are disclosed in the Registration Statement and the Information Statement. g. The Acquired Fund has no known liabilities of a material nature, contingent or otherwise, other than those shown on the Acquired Fund's statement of assets and liabilities as of March 31, 2000 referred to above and those incurred in the ordinary course of its business as an investment company since such date. Prior to the Exchange Date, the Acquired Fund will endeavor to quantify and to reflect on its balance sheet all of its material known liabilities and will advise the Acquiring Fund of all material liabilities, contingent or otherwise, incurred by it subsequent to March 31, 2000, whether or not incurred in the ordinary course of business. h. As of the Exchange Date, the Acquired Fund will have filed all federal and other tax returns and reports which, to the knowledge of the officers of the Trust, are required to have been filed by the Acquired Fund and has paid or will pay all federal and other taxes shown to be due on said returns or on any assessments received by the Acquired Fund. All tax liabilities of the Acquired Fund have been adequately provided for on its books, and no tax deficiency or liability of the Acquired Fund has been asserted, and no question with respect thereto has been raised or is under audit, by the Internal Revenue Service or by any state or local tax authority for taxes in excess of those already paid. i. At the Exchange Date, the Trust, on behalf of the Acquired Fund, will have full right, power and authority to sell, assign, transfer and deliver the Investments (as defined below) and any other assets and liabilities of the Acquired Fund to be transferred to the Acquiring Fund pursuant to this Agreement. At the Exchange Date, subject only to the delivery of the Investments and any such other assets and liabilities as contemplated by this Agreement, the Acquiring Fund will acquire the Investments and any such other assets and liabilities subject to no encumbrances, liens or security interests whatsoever and without any restrictions upon the transfer thereof, except as previously disclosed to the Acquiring Fund. As used in this Agreement, the term "Investments" shall mean the Acquired Fund's investments shown on the schedule of its investments as of March 31, 2000 referred to in Section 2(c) hereof, as supplemented with such changes in the portfolio as the Acquired Fund shall make, and changes resulting from stock dividends, stock split-ups, mergers and similar corporate actions through the Exchange Date. j. No registration under the 1933 Act of any of the Investments would be required if they were, as of the time of such transfer, the subject of a public distribution by either of the Acquiring Fund or the Acquired Fund, except as previously disclosed to the Acquiring Fund by the Acquired Fund. k. No consent, approval, authorization or order of any court or governmental authority is required for the consummation by the Acquired Fund of the transactions contemplated by this Agreement, except A-4 such as may be required under the 1933 Act, 1934 Act, the 1940 Act or state insurance, securities or blue sky laws. l. Reserved m. The Acquired Fund qualifies and will at all times through the Exchange Date qualify for taxation as a "regulated investment company" under Section 851 and 852 of the Code. n. At the Exchange Date, the Acquired Fund will have sold such of its assets, if any, as are necessary to assure that, after giving effect to the acquisition of the assets of the Acquired Fund pursuant to this Agreement, the Acquiring Fund will remain a "diversified company" within the meaning of Section 5(b)(1) of the 1940 Act and in compliance with such other mandatory investment restrictions as are set forth in the Prospectus, as amended through the Exchange Date. Notwithstanding the foregoing, nothing herein will require the Acquired Fund to dispose of any assets if, in the reasonable judgment of the Acquired Fund, such disposition would adversely affect the tax-free nature of the reorganization or would violate the Acquired Fund's fiduciary duty to its shareholders. o. All of the issued and outstanding shares of beneficial interest of the Acquired Fund shall have been offered for sale and sold in conformity with all applicable federal and state securities laws (including any applicable exemptions therefrom), or the Acquired Fund has taken any action necessary to remedy any prior failure to have offered for sale and sold such shares in conformity with such laws. p. All issued and outstanding shares of the Acquired Fund are, and at the Exchange Date will be, duly authorized, validly issued, fully paid and non-assessable by the Acquired Fund. The Acquired Fund does not have outstanding any options, warrants or other rights to subscribe for or purchase any of the Acquired Fund shares, nor is there outstanding any security convertible into any of the Acquired Fund shares. 3. REORGANIZATION. a. The holder of a majority of the outstanding voting securities of the Acquired Fund has indicated that it will approve the transactions contemplated hereby. Subject to such approval and to the other terms and conditions contained herein (including the Acquired Fund's obligation to distribute to its shareholders all of its investment company taxable income and net capital gain as described in Section 8(l) hereof), the Acquired Fund agrees to sell, assign, convey, transfer and deliver to the Acquiring Fund, and the Acquiring Fund agrees to acquire from the Acquired Fund, on the Exchange Date all of the Investments and all of the cash and other properties and assets of the Acquired Fund, whether accrued or contingent (including cash received by the Acquired Fund upon the liquidation by the Acquired Fund of any Investments), in exchange for that number of shares of beneficial interest of the Acquiring Fund provided for in Section 4 and the assumption by the Acquiring Fund of all of the liabilities of the Acquired Fund, whether accrued or contingent, existing at the Valuation Time (as defined below) except for the Acquired Fund's liabilities, if any, arising in connection with this Agreement. Pursuant to this Agreement, the Acquired Fund will, as soon as practicable after the Exchange Date, distribute all of the Investor and Institutional Merger Shares received by it to the shareholders of the Acquired Fund in exchange for their Investor and Institutional shares of the Acquired Fund. b. The Acquired Fund will pay or cause to be paid to the Acquiring Fund any interest, cash or such dividends, rights and other payments received by it on or after the Exchange Date with respect to the Investments and other properties and assets of the Acquired Fund, whether accrued or contingent, received by it on or after the Exchange Date. Any such distribution shall be deemed included in the assets transferred to the Acquiring Fund at the Exchange Date and shall not be separately valued unless the securities in respect of which such distribution is made shall have gone "ex" such distribution prior to the Valuation Time, in which case any such distribution which remains unpaid at the Exchange Date shall be included in the determination of the value of the assets of the Acquired Fund acquired by the Acquiring Fund. A-5 c. The Valuation Time shall be 4:00 p.m. Eastern time on the Exchange Date or such earlier or later day as may be mutually agreed upon in writing by the parties hereto (the "Valuation Time"). 4. TRANSACTION. On the Exchange Date, the Acquiring Fund will deliver to the Acquired Fund (i) a number of full and fractional Investor Merger Shares having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to the Investor shares of the Acquired Fund transferred to the Acquiring Fund on such date less the value of the liabilities of the Acquired Fund attributable to the Investor shares of the Acquired Fund assumed by the Acquiring Fund on that date and (ii) a number of full and fractional Institutional Merger Shares having an aggregate net asset value equal to the value of the assets of the Acquired Fund attributable to the Institutional shares of the Acquired Fund transferred to the Acquiring Fund on such date less the value of the liabilities of the Acquired Fund attributable to the Institutional shares of the Acquired Fund assumed by the Acquiring Fund on that date. a. The net asset value of the Investor and Institutional Merger Shares to be delivered to the Acquired Fund, the value of the assets attributable to the Investor and Institutional shares of the Acquired Fund, and the value of the liabilities attributable to the Investor and Institutional shares of the Acquired Fund to be assumed by the Acquiring Fund, shall in each case be determined as of the Valuation Time. b. The net asset value of the Investor and Institutional Merger Shares shall be computed in the manner set forth in the Registration Statement. The value of the assets and liabilities of the Investor and Institutional shares of the Acquired Fund shall be determined by the Acquiring Fund, in cooperation with the Acquired Fund, pursuant to procedures which the Acquiring Fund would use in determining the fair market value of the Acquiring Fund's assets and liabilities. c. No adjustment shall be made in the net asset value of either the Acquired Fund or the Acquiring Fund to take into account differences in realized and unrealized gains and losses. d. The Acquired Fund shall distribute the Merger Shares to the shareholders of the Acquired Fund by furnishing written instructions to the Acquiring Fund's transfer agent, which will as soon as practicable set up an open account for each Acquired Fund shareholder in accordance with such written instructions. e. The Acquiring Fund shall assume all liabilities of the Acquired Fund, whether accrued or contingent, in connection with the acquisition of assets and subsequent dissolution of the Acquired Fund or otherwise, except for the Acquired Fund's liabilities, if any, pursuant to this Agreement. 5. EXPENSES, FEES, ETC. a. The parties hereto understand and agree that the costs of the transactions contemplated by this Agreement (other than portfolio transfer taxes, if any, brokerage and other similar expenses) are being borne by the Funds' investment adviser, AXA Rosenberg Investment Management LLC, and/or its affiliates. Notwithstanding the foregoing, expenses will in any event be paid by the party directly incurring such expenses if and to the extent that the payment by the other party of such expenses would result in the disqualification of such party as a "regulated investment company" within the meaning of Section 851 of the Code. b. Reserved c. Reserved d. Reserved e. Notwithstanding any other provisions of this Agreement, if for any reason the transactions contemplated by this Agreement are not consummated, no party shall be liable to the other party for any damages resulting therefrom, including, without limitation, consequential damages. 6. EXCHANGE DATE. Delivery of the assets of the Acquired Fund to be transferred, assumption of the liabilities of the Acquired Fund to be assumed, and the delivery of the Merger Shares to be issued shall be A-6 made at Boston, Massachusetts, on and as of March 29, 2001, or at such other date agreed to by the Acquiring Fund and the Acquired Fund, the date and time upon which such delivery is to take place being referred to herein as the "Exchange Date." 7. DISSOLUTION. a. The Acquired Fund agrees that the liquidation and dissolution of the Acquired Fund will be effected in the manner provided in the Declaration of Trust in accordance with applicable law, and that on and after the Exchange Date, the Acquired Fund shall not conduct any business except in connection with its liquidation and dissolution. b. The Acquiring Fund has, in consultation with the Acquired Fund and based in part on information furnished by the Acquired Fund, filed the Information Statement with the Commission. Each of the Acquired Fund and the Acquiring Fund will cooperate with the other, and each will furnish to the other the information relating to itself required by the 1933 Act, the 1934 Act and the 1940 Act and the rules and regulations thereunder to be set forth in the Information Statement. 8. CONDITIONS TO THE ACQUIRING FUND'S OBLIGATIONS. The obligations of the Acquiring Fund hereunder shall be subject to the following conditions: a. That this Agreement shall have been adopted and the transactions contemplated hereby shall have been approved by the requisite votes of the holders of the outstanding shares of beneficial interest of the Acquired Fund entitled to vote. b. That the Acquired Fund shall have furnished to the Acquiring Fund a statement of the Acquired Fund's assets and liabilities, with values determined as provided in Section 4 of this Agreement, together with a list of Investments with their respective tax costs, all as of the Valuation Time, certified on the Acquired Fund's behalf by the Trust's President (or any Vice President) and Treasurer (or any Assistant Treasurer), and a certificate of both such officers, dated the Exchange Date, certifying that there has been no material adverse change in the financial position of the Acquired Fund since March 31, 2000, other than changes in the Investments and other assets and properties since that date or changes in the market value of the Investments and other assets of the Acquired Fund, or changes due to dividends paid or losses from operations. c. That the Acquired Fund shall have furnished to the Acquiring Fund a statement, dated the Exchange Date, signed by the Trust's President (or any Vice President) and Treasurer (or any Assistant Treasurer) certifying that as of the Valuation Time and as of the Exchange Date all representations and warranties of the Acquired Fund made in this Agreement are true and correct in all material respects as if made at and as of such dates and that the Acquired Fund has complied with all the agreements and satisfied all the conditions on its part to be performed or satisfied at or prior to such dates. d. Reserved e. That there shall not be any material litigation pending with respect to the matters contemplated by this Agreement. f. That the Acquiring Fund shall have received an opinion of Ropes & Gray, counsel to the Trust, in form satisfactory to the Acquiring Fund, and dated the Exchange Date, to the effect that (i) the Trust is a Massachusetts business trust duly formed and is validly existing under the laws of The Commonwealth of Massachusetts and has the power to own all its properties and to carry on its business as presently conducted; (ii) this Agreement has been duly authorized, executed and delivered by the Trust on behalf of the Acquired Fund and, assuming that the Information Statement complies with the 1933 Act, the 1934 Act and the 1940 Act and assuming due authorization, execution and delivery of this Agreement by the Trust on behalf of the Acquiring Fund, is a valid and binding obligation of the Trust and the Acquired Fund; (iii) the Trust, on behalf of the Acquired Fund, has power to sell, assign, convey, transfer and deliver the A-7 assets contemplated hereby and, upon consummation of the transactions contemplated hereby in accordance with the terms of this Agreement, the Acquired Fund will have duly sold, assigned, conveyed, transferred and delivered such assets to the Acquiring Fund; (iv) the execution and delivery of this Agreement did not, and the consummation of the transactions contemplated hereby will not, violate the Declaration of Trust or By-Laws of the Trust; and (v) to the knowledge of such counsel, no consent, approval, authorization or order of any court or governmental authority is required for the consummation by the Trust on behalf of the Acquired Fund of the transactions contemplated hereby, except such as will have been obtained under the 1933 Act, the 1934 Act and the 1940 Act and such as may be required under state securities or blue sky laws. g. That the Acquiring Fund shall have received an opinion of Ropes & Gray (which opinion would be based upon certain factual representations and subject to certain qualifications), dated the Exchange Date, in form satisfactory to the Acquiring Fund, to the effect that, on the basis of the existing provisions of the Code, current administrative rules and court decisions, for federal income tax purposes (i) no gain or loss will be recognized by the Acquiring Fund upon receipt of the assets transferred to and assumption of liabilities from the Acquiring Fund pursuant to this Agreement in exchange for the Merger Shares; (ii) the basis to the Acquiring Fund of the assets will be the same as the basis of the assets in the hands of the Acquired Fund immediately prior to such exchange; and (iii) the Acquiring Fund's holding periods with respect to the assets will include the respective periods for which the assets were held by the Acquired Fund. h. That the assets of the Acquired Fund to be acquired by the Acquiring Fund will include no assets which the Acquiring Fund, by reason of charter limitations or of investment restrictions disclosed in the Information Statement in effect on the Exchange Date, may not properly acquire. i. That the Information Statement shall have become effective under the 1933 Act, and no stop order suspending such effectiveness shall have been instituted or, to the knowledge of the Trust or the Acquiring Fund, threatened by the Commission. j. That the Trust shall have received from the Commission, any relevant state securities administrator and any relevant state insurance regulatory authority such order or orders as are reasonably necessary or desirable under the 1933 Act, the 1934 Act, the 1940 Act, and any applicable state securities or blue sky laws or state insurance laws in connection with the transactions contemplated hereby, and that all such orders shall be in full force and effect. k. That all actions taken by the Trust on behalf of the Acquired Fund in connection with the transactions contemplated by this Agreement and all documents incidental thereto shall be satisfactory in form and substance to the Acquiring Fund. l. That, prior to the Exchange Date, the Acquired Fund shall have declared a dividend or dividends which, together with all previous such dividends, shall have the effect of distributing to the shareholders of the Acquired Fund (i) all of the excess of (x) the Acquired Fund's investment income excludable from gross income under Section 103(a) of the Code over (y) the Acquired Fund's deductions disallowed under Sections 265 and 171(a)(2) of the Code, (ii) all of the Acquired Fund's investment company taxable income (as defined in Section 852 of the Code) (computed without regard to any deduction for dividends paid), and (iii) all of the Acquired Fund's net capital gain (i.e., the excess of net long-term capital gain over net short-term capital gain) realized (after reduction for any capital loss carryover), in each case for its taxable years ending on or after March 31, 2000 and on or prior to the Exchange Date. m. That the Acquired Fund shall have furnished to the Acquiring Fund a certificate, signed by the President (or any Vice President) and the Treasurer (or any Assistant Treasurer) of the Trust, as to the tax cost to the Acquired Fund of the securities delivered to the Acquiring Fund pursuant to this Agreement, together with any such other evidence as to such tax cost as the Acquiring Fund may reasonably request. A-8 n. That the Acquired Fund's custodian shall have delivered to the Acquiring Fund a certificate identifying all of the assets of the Acquired Fund held or maintained by such custodian as of the Valuation Time. o. That the Acquired Fund's transfer agent shall have provided to the Acquiring Fund (i) the originals or true copies of all of the records of the Acquired Fund in the possession of such transfer agent as of the Exchange Date, (ii) a certificate setting forth the number of shares of the Acquired Fund outstanding as of the Valuation Time, and (iii) the name and address of each holder of record of any shares and the number of shares held of record by each such shareholder. p. That the Acquired Fund's transfer agent shall have provided to the acquiring Fund (i) the originals or true copies of all of the records of the Acquired Fund in the possession of such transfer agent as of the Exchange Date, (ii) a certificate setting forth the number of shares of the Acquired Fund outstanding as of the Valuation Time, and (iii) the name and address of each holder of record of any share and the number of shares held of record by each such shareholder. q. Reserved r. Reserved 9. CONDITIONS TO THE ACQUIRED FUND'S OBLIGATIONS. The obligations of the Acquired Fund hereunder shall be subject to the following conditions: a. That this Agreement shall have been adopted and the transactions contemplated hereby shall have been approved by the requisite votes of the holders of the outstanding shares of beneficial interest of the Acquired Fund entitled to vote. b. That the Trust, on behalf of the Acquiring Fund, shall have executed and delivered to the Acquired Fund an Assumption of Liabilities dated as of the Exchange Date pursuant to which the Acquiring Fund will assume all of the liabilities of the Acquired Fund existing at the Valuation Time in connection with the transactions contemplated by this Agreement, other than liabilities arising pursuant to this Agreement. c. That the Acquiring Fund shall have furnished to the Acquired Fund a statement, dated the Exchange Date, signed by the Trust's President (or any Vice President) and Treasurer (or any Assistant Treasurer) certifying that as of the Valuation Time and the Exchange Date all representations and warranties of the Acquiring Fund made in this Agreement are true and correct in all material respects as if made at and as of such date, and that the Acquiring Fund has complied with all of the agreements and satisfied all of the conditions on its part to be performed or satisfied at or prior to each of such dates; and that the Trust shall have furnished to the Acquired Fund a statement, dated the Exchange Date, signed by an officer of the Trust certifying that as of the Valuation Time and as of the Exchange Date, to the best of the Trust's knowledge, after due inquiry, all representations and warranties of the Acquiring Fund made in this Agreement are true and correct in all material respects as if made at and as of such date. d. That there shall not be any material litigation pending or threatened with respect to the matters contemplated by this Agreement. e. That the Acquired Fund shall have received an opinion of Ropes & Gray, counsel to the Acquiring Fund, in form satisfactory to the Acquired Fund, and dated the Exchange Date, to the effect that (i) the Trust is a Massachusetts business trust duly formed and is validly existing under the laws of The Commonwealth of Massachusetts and has the power to own all its properties and to carry on its business as presently conducted; (ii) the Merger Shares to be delivered to the Acquired Fund as provided for by this Agreement are duly authorized and upon such delivery will be validly issued and will be fully paid and non-assessable by the Trust and the Acquiring Fund and no shareholder of the Acquiring Fund has any preemptive right to subscription or purchase in respect thereof; (iii) this Agreement has been duly authorized, executed and delivered by the Trust on behalf of the Acquiring Fund and, assuming that the A-9 Information Statement and the Registration Statement comply with the 1933 Act, the 1934 Act and the 1940 Act and assuming due authorization, execution and delivery of this Agreement by the Trust on behalf of the Acquired Fund, is a valid and binding obligation of the Trust and the Acquiring Fund; (iv) the execution and delivery of this Agreement did not, and the consummation of the transactions contemplated hereby will not, violate the Declaration of Trust or By-Laws of the Trust; (v) no consent, approval, authorization or order of any court or governmental authority is required for the consummation by the Trust on behalf of the Acquiring Fund of the transactions contemplated herein, except such as have been obtained under the 1933 Act, the 1934 Act and the 1940 Act and such as may be required under state securities or blue sky laws; and (vi) the Information Statement has become effective under the 1933 Act, and to best of the knowledge of such counsel, no stop order suspending the effectiveness of the Information Statement has been issued and no proceedings for that purpose have been instituted or are pending or contemplated under the 1933 Act. Such opinion may state that such counsel does not express any opinion or belief as to the financial statements or other financial data, or as to the information relating to the Acquired Fund, contained in the Information Statement, and may contain other customary or appropriate qualifications. f. That the Acquired Fund shall have received anopinion of Ropes & Gray, dated the Exchange Date (which opinion would be based upon certain factual representations and subject to certain qualifications), in form satisfactory to the Acquired Fund, to the effect that, on the basis of the existing provisions of the Code, current administrative rules and court decisions, for federal income tax purposes: (i) no gain or loss will be recognized by the Acquired Fund as a result of the reorganization; (ii) no gain or loss will be recognized by shareholders of the Acquired Fund on the distribution of Merger Shares to them in exchange for their shares of the Acquired Fund; (iii) the aggregate tax basis of the Merger Shares that the Acquired Fund's shareholders receive in place of their Acquired Fund shares will, in each case, be the same as the aggregate basis of the Acquired Fund shares; and (iv) an Acquired Fund shareholder's holding period for the Merger Shares received pursuant to the Agreement will be determined by including such shareholder's holding period for the Acquired Fund shares exchanged for the Merger Shares, provided that the shareholder held the Acquired Fund shares as a capital asset. g. That all actions taken by the Trust on behalf of the Acquiring Fund in connection with the transactions contemplated by this Agreement and all documents incidental thereto shall be satisfactory in form and substance to the Acquired Fund. h. That the Information Statement shall have become effective under the 1933 Act, and no stop order suspending such effectiveness shall have been instituted or, to the knowledge of the Trust or the Acquiring Fund, threatened by the Commission. i. That the Trust shall have received from the Commission, any relevant state securities administrator and any relevant state insurance regulatory authority such order or orders as are reasonably necessary or desirable under the 1933 Act, the 1934 Act, the 1940 Act, and any applicable state securities or blue sky laws or state insurance laws in connection with the transactions contemplated hereby, and that all such orders shall be in full force and effect. j. That the sale of substantially all the assets of the Acquired Fund to the Acquiring Fund shall be approved by the requisite votes of the holders of the outstanding shares of beneficial interest of the Acquired Fund. 10. INDEMNIFICATION. a. The Acquired Fund shall indemnify and hold harmless, out of the assets of the Acquired Fund (which shall be deemed to include the assets of the Acquiring Fund represented by the Merger Shares following the Exchange Date) but no other assets, the trustees and officers of the Trust (for purposes of this subparagraph, the "Indemnified Parties") against any and all expenses, losses, claims, damages and liabilities at any time imposed upon or reasonably incurred by any one or more of the Indemnified Parties A-10 in connection with, arising out of, or resulting from any claim, action, suit or proceeding in which any one or more of the Indemnified Parties may be involved or with which any one or more of the Indemnified Parties may be threatened by reason of any untrue statement or alleged untrue statement of a material fact relating to the Acquired Fund contained in the Information Statement or any amendment or supplement thereof, or arising out of or based upon the omission or alleged omission to state in any of the foregoing a material fact relating to the Acquired Fund required to be stated therein or necessary to make the statements relating to the Acquired Fund required to be stated therein not misleading, including, without limitation, any amounts paid by any one or more of the Indemnified Parties in a reasonable compromise or settlement of any such claim, action, suit or proceeding, or threatened claim, action, suit, proceeding, legal process or any suit brought against or claim made with the consent of the Acquired Fund. The Indemnified Parties will notify the Acquired Fund in writing within ten (10) days after the receipt by any one or more of the Indemnified Parties of any notice of legal process or any suit brought against or claim made against such Indemnified Party as to any matters covered by this Section 10(a). The Acquired Fund shall be entitled to participate at its own expense in the defense of any claim, action, suit or proceeding covered by this Section 10(a), or, if it so elects, to assume at its expense by counsel satisfactory to the Indemnified Parties the defense of any such claim, action, suit or proceeding, and if the Acquired Fund elects to assume such defense, the Indemnified Parties shall be entitled to participate in the defense of any such claim, action, suit or proceeding at their expense. The Acquired Fund's obligation under Section 10(a) to indemnify and hold harmless the Indemnified Parties shall constitute a guarantee of payment so that the Acquired Fund will pay in the first instance any expenses, losses, claims, damages and liabilities required to be paid by it under this Section 10(a) without the necessity of the Indemnified Parties first paying the same. The indemnification obligations of the Acquired Fund under this Section 10(a) shall be assumed by the Acquiring Fund upon the Exchange Date, at which time the Acquired Fund shall be automatically released from such indemnification obligations. b. The Acquiring Fund shall indemnify and hold harmless, out of the assets of the Acquiring Fund but no other assets, the directors and officers of the Acquired Fund (for purposes of this subparagraph, the "Indemnified Parties") against any and all expenses, losses, claims, damages and liabilities at any time imposed upon or reasonably incurred by any one or more of the Indemnified Parties in connection with, arising out of, or resulting from any claim, action, suit or proceeding in which any one or more of the Indemnified Parties may be involved or with which any one or more of the Indemnified Parties may be threatened by reason of any untrue statement or alleged untrue statement of a material fact relating to the Acquiring Fund contained in the Information Statement or any amendment or supplement thereof, or arising out of, or based upon, the omission or alleged omission to state in any of the foregoing a material fact relating to the Trust or the Acquiring Fund required to be stated therein or necessary to make statements relating to the Trust or the Acquiring Fund therein not misleading, including without limitation, any amounts paid by any one or more of the Indemnified Parties in a reasonable compromise or settlement of any such claim, action, suit or proceeding, or threatened claim, action, suit or proceeding, legal process or any suit brought against or claim made with the consent of the Trust or the Acquiring Fund. The Indemnified Parties will notify the Trust and the Acquiring Fund in writing within ten (10) days after the receipt by any one or more of the Indemnified Parties of any notice of legal process or any suit brought against or claim made against such Indemnified Party as to any matters covered by this Section 10(b). The Acquired Fund shall be entitled to participate at its own expense in the defense of any claim, action, suit or proceeding covered by the Section 10(b), or, if it so elects, to assume at its expense by counsel satisfactory to the Indemnified Parties the defense of any such claim, action, suit or proceeding, and if the Acquired Fund elects to assume such defense, the Indemnified Parties shall be entitled to participate in the defense of any such claim, action, suit or proceeding at their expense. The Acquired Fund's obligation under Section 10(b) to indemnify and hold harmless the Indemnified Parties shall constitute a guarantee of payment so that the Acquired Fund will pay in the first instance any expenses, losses, claims, damages and liabilities required to be paid by it under this Section 10(b) without the necessity of the Indemnified Parties first paying the same. A-11 11. WAIVER OF CONDITIONS. Each of the Acquired Fund or the Acquiring Fund, after consultation with counsel and by consent of the trustees of the Trust on its behalf, or an officer authorized by such trustees, may waive any condition to their respective obligations hereunder, except for the conditions set forth in Sections 8(a) and 9(a). 12. NO BROKER, ETC. Each of the Acquired Fund and the Acquiring Fund represents that there is no person who has dealt with it or the Trust who by reason of such dealings is entitled to any broker's or finder's or other similar fee or commission arising out of the transactions contemplated by this Agreement. 13. TERMINATION. The Acquired Fund and the Acquiring Fund may, by consent of the trustees of the Trust on behalf of each Fund, terminate this Agreement. If the transactions contemplated by this Agreement have not been substantially completed by March 31, 2001, this Agreement shall automatically terminate on that date unless a later date is agreed to by the Acquired Fund and the Acquiring Fund. 14. RESERVED 15. COVENANTS, ETC. DEEMED MATERIAL. All covenants, agreements, representations and warranties made under this Agreement and any certificates delivered pursuant to this Agreement shall be deemed to have been material and relied upon by each of the parties, notwithstanding an investigation made by them or on their behalf. 16. SOLE AGREEMENT; AMENDMENTS. This Agreement supersedes all previous correspondence and oral communications between the parties regarding the subject matter hereof, constitutes the only understanding with respect to such subject matter, may not be changed except by a letter of agreement signed by each party hereto, and shall be construed in accordance with and governed by the laws of The Commonwealth of Massachusetts. 17. DECLARATION OF TRUST. A copy of the Declaration of Trust of the Trust is on file with the Secretary of State of The Commonwealth of Massachusetts, and notice is hereby given that this instrument is executed on behalf of the Trustees of the Trust, on behalf of the Acquired Fund and the Acquiring Fund, as Trustees and not individually and that the obligations of this instrument are not binding upon any of the Trustees, officers or shareholders of the Trust individually but are binding only upon the assets and property of the Acquired Fund and the Acquiring Fund. BARR ROSENBERG SERIES TRUST on behalf of its AXA Rosenberg Japan Fund By: ____________________________________ Title: President BARR ROSENBERG SERIES TRUST on behalf of its AXA Rosenberg International Equity By: ____________________________________ Title: President A-12 FORM N-14 PART B STATEMENT OF ADDITIONAL INFORMATION March 5, 2001 This Statement of Additional Information (the "SAI") relates to the proposed sale (the "Merger") of substantially all the assets and the assumption of the liabilities of the AXA Rosenberg Japan Fund (the "Acquired Fund"), a series of Barr Rosenberg Series Trust, (the "Trust") by the AXA Rosenberg International Equity Fund (the "Acquiring Fund"), also a series of the Trust. This SAI contains information which may be of interest to shareholders but which is not included in the Prospectus/Information Statement dated March 5, 2001 (the "Prospectus/Information Statement") of the Acquiring Fund which relates to the Merger. As described in the Prospectus/Information Statement, the Merger would involve the transfer of all the assets of the Acquired Fund in exchange for shares of the Acquiring Fund and the assumption of all the liabilities of the Acquired Fund by the Acquiring Fund. The Acquired Fund would distribute the Acquiring Fund shares it receives to its shareholders in complete liquidation of the Acquired Fund. This SAI is not a prospectus and should be read in conjunction with the Prospectus/Information Statement. The Prospectus/Information Statement has been filed with the Securities and Exchange Commission and is available upon request and without charge by writing to Barr Rosenberg Series Trust at 3435 Stelzer Road, Columbus, Ohio 43219-8021 or by calling the Trust's shareholder services at (800) 555-5737 (Institutional Shares) or (800) 447-3332 (Investor Shares). Table of Contents I. Additional Information about the Acquiring Fund and the Acquired Fund..1 II. Financial Statements...................................................1 I. Additional Information about the Acquiring Fund and the Acquired Fund Incorporated by reference to Post-Effective Amendment No. 33 to the Registrant's Registration Statement Form N-1A (filed on July 28, 2000) (Registration Nos. 33-21677 and 811-05547). II. Financial Statements. This SAI is accompanied by the Semi-Annual Report for the six months ended September 30, 2000 of the Acquiring Fund and the Acquired Fund and the Annual Report for the year ended March 31, 2000 of the Acquired Fund,each of which contains historical financial information regarding such 1 Funds. Such reports have been filed with the Securities and Exchange Commission and are incorporated herein by reference. Pro forma financial statements of the Acquiring Fund for the Merger are provided on the following pages. Pro Forma Combining Condensed Statements of Operations For the Periods Ended September 30, 2000 (Unaudited)
- ----------------------------------------------------- ------------- ---------- AXA Rosenberg International AXA Rosenberg Equity Pro Forma Pro Forma Japan Fund* Fund ** Adjustments Combined ------------- ------------- ------------ ---------- Investment Income: Dividends $ 8,435 $ 58,126 $ 66,561 Expenses: Manager fees 14,866 26,015 (2,382)(a) 38,499 Administration fees 2,111 4,567 - 6,678 12b-1 fees (Investor Shares) 242 242 Custodian fees 31,842 20,654 12,493 (b) 64,989 Fund accounting fees 32,452 19,811 10,073 (b) 62,336 Transfer agent fees 13,472 2,906 (7,234)(b) 9,144 Trustees' fees 577 1,225 1,802 Other expenses 28,048 7,635 35,683 ------------- ------------- --------- Total expenses before 123,610 82,813 219,373 waivers/reimbursements Less expenses waived/reimbursed (101,084) (41,710) (15,434)(c) (158,228) ------------- ------------- --------- Total Net Expenses 22,526 41,103 61,146 ------------- ------------- --------- Net Investment Income/(Loss) (14,091) 17,023 5,415.27 ------------- ------------- --------- Net Realized Gain/(Loss) on: Foreign currency transactions 641 (67,891) (67,250) Investments 263,552 (50,589) 212,963 Net Change in Unrealized Appreciation/(Depreciation) on: Foreign currency transactions (25) 4,746 4,721 Investments (411,802) (757,670) (1,169,472) ------------- ------------- ---------- Net Realized and Unrealized Gain/(Loss) on Investments and Foreign Currency Transactions (147,634) (871,404) (1,019,038) ------------- ------------- ---------- Net increase/(decrease) in net assets $(161,725) $(854,381) $ (1,013,623) resulting from operations ============= ============= ============
- ----------- * ONE YEAR OF ACTIVITY FROM OCTOBER 1, 1999 TO SEPTEMBER 30, 2000 (365 DAYS). ** BECAUSE THE ACQUIRING FUND (AXA ROSENBERG INTERNATIONAL EQUITY FUND) COMMENCED OPERATIONS ON JUNE 7, 2000, INFORMATION FOR THAT FUND REFLECTS ONLY THE PERIOD FROM THAT DATE THROUGH SEPTEMBER 30, 2000 (116 DAYS). AS NOTED ABOVE, HOWEVER, INFORMATION FOR THE ACQUIRED FUND (AXA ROSENBERG JAPAN FUND) REFLECTS THE TWELVE MONTH PERIOD ENDED SEPTEMBER 30, 2000. THE PRO FORMA COMBINED COLUMN THEREFORE REFLECTS A COMBINATION OF THE TWO OPERATIONAL PERIODS. IF THE ACQUIRING FUND COLUMN WERE EXPRESSED ON AN ANNUALIZED BASIS, THE PRO FORMA COMBINED RESULTS WOULD BE HIGHER (FOR ITEMS THAT CORRESPOND TO POSITIVE NUMBERS IN THE ACQUIRING FUND COLUMN) AND LOWER (FOR ITEMS THAT CORRESPOND TO NEGATIVE NUMBERS IN THE ACQUIRING FUND COLUMN) THAN THOSE SHOWN. (a) ADJUSTMENT TO REFLECT THE CONTRACTUAL FEE STRUCTURE OF THE INTERNATIONAL EQUITY FUND (MANAGER FEE 0.85% OF NET ASSETS). (b) ADJUSTMENT TO REFLECT THE INTERNATIONAL EQUITY FUND'S CURRENT EXPENSE STRUCTURE. (c) ADJUSTMENT TO REFLECT THE EXPENSE CAPS OF THE INTERNATIONAL EQUITY FUND (TOTAL EXPENSES 1.35%-INSTITUTIONAL AND 1.60%-INVESTOR OF NET ASSETS). See accompanying notes to the financial statements. Pro Forma Combining Condensed Statements of Assets and Liabilities as of September 30, 2000 (Unaudited)
- -------------------------------------------------------------------------------------------------- AXA Rosenberg International AXA Rosenberg Equity Pro Forma Pro Forma Japan Fund Fund Adjustments Combined ------------ ------------- ------------- ASSETS Investments, at value $ 1,351,271 $ 8,925,804 $ 10,277,075 Cash 287,973 - 287,973 Foreign currency, at value 4,590 314,524 319,114 Dividends and interest receivable 3,738 19,950 23,688 Receivable for investments sold 27,684 214,918 242,602 Receivable from Manager - 11,128 11,128 Other assets - 21,950 21,950 ------------ ------------- ------------ Total Assets 1,675,256 9,508,274 11,183,530 ------------ ------------- ------------ LIABILITIES Payable for investments purchased 26,137 353,678 379,815 Payable to custodian - 8,937 8,937 Distributions payable 10 - 10 Other accrued expenses 31,606 - 31,606 ------------ ------------- ------------ Total Liabilities 57,753 362,615 420,368 ------------ ------------- ------------ NET ASSETS 1,617,503 $ 9,145,659 $ 10,763,162 ============ ============= ============ NET ASSETS Institutional Shares $ 1,573,708 $ 9,145,659 $ 10,719,367 Select Shares 43,795 - 43,795 Shares of beneficial interest outstanding (unlimited shares authorized): Institutional Shares 236,371 1,000,004 (64,299)* 1,172,076 Investor Shares 6,610 - (1,821)* 4,789 Net Asset Value, offering price and redemption price per share: Institutional Shares $ 6.66 $ 9.15 $ 9.15 Investor Shares 6.63 - $ 9.15 NET ASSETS CONSIST OF: Capital $ 2,162,702 $ 10,000,040 $ 12,162,742 Accumulated undistributed net investment income/(loss) (6,684) 17,023 10,339 Accumulated net realized losses on investments and foreign currency transactions (471,049) (118,480) (589,529) Net unrealized appreciation on foreign currency transactions (56) 4,746 4,690 Net unrealized depreciation on investments (67,410) (757,670) (825,080) ------------ ------------- ------------ TOTAL NET ASSETS $ 1,617,503 $ 9,145,659 $ 10,763,162 ============ ============= ============
- ----------- * ADJUSTMENT TO SHARES SO THE NAV WILL EQUAL $9.15. See accompanying notes to the financial statements. BARR ROSENBERG SERIES TRUST Notes to Pro Forma Financial Statements (Unaudited) 1. Basis of Combination: The unaudited Pro Forma Combining Statements of Assets and Liabilities, Statements of Operations, and Schedules of Portfolio Investments reflect the combined financial information of the AXA Rosenberg Japan Fund and the AXA Rosenberg International Equity Fund, both series of the Barr Rosenberg Series Trust (the "Company"), as if the proposed reorganization occurred as of June 7, 2000. These statements have been derived from books and records utilized in calculating daily net asset values at September 30, 2000. The Reorganization Agreement provides that on the Closing Date of the Reorganization, all of the assets and liabilities will be transferred such that at and after the Reorganization, the assets and liabilities of the Japan Fund will become the assets and liabilities of the International Equity Fund. In exchange for the transfer of assets and liabilities, the Company will issue to the Japan Fund full and fractional shares of the International Equity Fund, and Japan Fund will make a distribution of such shares to its shareholders. The number of shares of the International Equity Fund so issued will be equal in value to the full and fractional shares of the Japan Fund that are outstanding immediately prior to the Reorganization. At and after the Reorganization, all debts, liabilities and obligations of Japan Fund will become the debts, liabilities and obligations of the International Equity Fund and may thereafter be enforced against the International Equity Fund to the same extent as if the International Equity Fund had incurred them. The pro forma statements give effect to the proposed transfer described above. Under the purchase method of accounting for business combinations under generally accepted accounting principles, the basis on the part of the International Equity Fund, of the assets of the Japan Fund will be the fair market value of such assets on the Closing Date of the Reorganization. The International Equity Fund will recognize no gain or loss for federal tax purposes on its issuance of shares in the Reorganization, and the basis to the International Equity Fund of the assets of Japan Fund received pursuant to the Reorganization will equal the fair market value of the consideration furnished, and costs incurred, by the International Equity Fund in the Reorganization -- i.e., the sum of the liabilities assumed, the fair market value of the International Equity Fund shares issued, and such costs. For accounting purposes, the International Equity Fund is the surviving portfolio of this Reorganization. The pro forma statements reflect the combined results of operations of Japan Fund and the International Equity Fund. However, should such Reorganization be effected, the statement of operations of the International Equity Fund will not be restated for pre-combination periods to include the corresponding Japan Fund. The Pro Forma Combining Statements of Assets and Liabilities, Statements of Operations, and Schedules of Portfolio Investments should be read in conjunction with the historical financial statements of the Funds incorporated by reference in the Statement of Additional Information. The International Equity Fund and Japan Fund are each separate series of the Barr Rosenberg Series Trust which is registered as an open-end management company under the Investment Company Act of 1940. The investment objectives of each fund are listed below. The International Equity Fund seeks a total return greater that that of the Morgan Stanley Capital International Europe Australasia, Far East Index (the "MSCI-EAFE Index). The Japan Fund seeks a total return greater than that of the Tokyo Stock Price Index ("TOPIX"). Expenses 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 1.00% for Japan Fund and 0.85% for the AXA Rosenberg International Equity 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 1.50% of the average net assets of the AXA Rosenberg Japan Fund and 1.35% of the average net assets of the AXA Rosenberg International Equity Fund. This includes the management fee but excludes the Service Fees, and the Distribution and Shareholder Service Fees. For the twelve month period ended September 30, 2000, BARR ROSENBERG SERIES TRUST Notes to Pro Forma Financial Statements (Unaudited) the amount of such waivers totaled $14,866 for the Japan Fund and from June 7, 2000 through September 30, 2000 totaled $26,015 for the International Equity Fund The amount of such expense reimbursements for the twelve month period ended September 30, 2000 totaled $84,107 for the Japan Fund and from June 7, 2000 through September 30, 2000 totaled $11,128 for the International Equity 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 agreed to waive all fees in the Japan Fund and the International Equity Fund until the net assets reach $25 million. For the twelve month period ended September 30, 2000, the amount of such waivers totaled $2,111 for the Japan Fund and from June 7, 2000 through September 30, 2000 totaled $4,567 for the International Equity Fund. 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 Japan Fund and $50,000 for the International Equity 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 twelve month period ended September 30, 2000, Japan Fund incurred distribution and shareholder service expenses of $242. 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. Pro Forma Adjustments and Pro Forma Combined Columns The pro forma adjustments and pro forma combined columns of the Statements of Operations reflect the adjustments necessary to show expenses at the rates which would have been in effect if Japan Fund were included in the International Equity Fund from June 7, 2000 through September 30, 2000. Investment advisory, administration, 12b-1, shareholder service, accounting and custodian fees in the pro forma combined column are calculated at the rates in effect for the International Equity Fund based upon the combined net assets of the corresponding Japan Fund and the International Equity Fund. Certain pro forma adjustments were made to estimate the benefit of combining operations of separate funds into one survivor fund. The pro forma Schedules of Portfolio Investments give effect to the proposed transfer of such assets as if the Reorganization had occurred at September 30, 2000. 2. Portfolio Valuation, Securities Transactions and Related Income: 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. BARR ROSENBERG SERIES TRUST Notes to Pro Forma Financial Statements (Unaudited) Security Transactions and Related Investment Income Security transactions are accounted for on the trade date, with realized gain or loss on the sale of investments determined by using the identified cost method. Corporate actions (including cash dividends) are recorded on the ex-date or after the ex-date as the Fund becomes aware of such action, net of any non-refundable tax withholdings. Interest income (including amortization of premium and accretion of discount) is recorded as earned. Foreign Currency Transactions The accounting records of the Funds are maintained in U.S. dollars. All monetary items denominated in foreign currencies are translated to U.S. dollars based upon the prevailing exchange rate at the close of each business day. Net realized gains and losses on foreign currency transactions represent net gains and losses from currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. Further, the effects of changes in foreign currency exchange rates on investments in securities are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized gain or loss and unrealized appreciation or depreciation on investments. Forward Foreign Currency Contracts Forward foreign currency contracts are valued at the daily exchange rate of the underlying currency. The forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized appreciation or depreciation until the contractual settlement date. Gains or losses from the purchase or sale of forward foreign currency contracts are recorded as realized on the settlement date. Foreign Securities The Japan Fund and the 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. 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. BARR ROSENBERG SERIES TRUST MERGER FUND SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2000
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ COMMON STOCKS (99.8%): AUSTRALIA (2.3%): BANKING (1.2%): 4,600 4,600 Australia & New Zealand Banking Group $ - $ 33,083 $ 33,083 4,100 4,100 National Australia Bank 56,635 56,635 3,400 3,400 Westpac Banking 23,476 23,476 113,194 113,194 FINANCIAL INVESTMENTS (0.0%): 500 500 AMP 4,441 4,441 FOOD (0.1%): 11,100 11,100 Goodman Fielder 7,183 7,183 HOUSEHOLD (0.1%): 11,400 11,400 Pacific Dunlop 9,471 9,471 MEDIA (0.7%): 5,100 5,100 News Corporation 71,810 71,810 METALS (0.1%): 1,100 1,100 Rio Tinto 14,744 14,744 OIL (0.0%): 700 700 Santos 2,388 2,388 OIL DISTRIBUTION (0.0%): 5,900 5,900 Orogen Minerals 4,857 4,857 PAPER (0.1%): 3,600 3,600 Amcor 9,945 9,945 TELEPHONE (0.0%): 1,300 1,300 Uecomm * 1,126 1,126 TRAVEL/ENTERTAINMENT (0.0%): 900 900 Village Roadshow 751 751 239,910 239,910 AUSTRIA (0.2%): OIL DISTRIBUTION (0.2%): 350 350 OMV 25,288 25,288 BELGIUM (0.2%): RETAIL/WHOLESALE (0.2%): 405 405 Delhaize Le Lion 19,084 19,084 DENMARK (0.1%): INSURANCE (0.1%): 132 132 Codan 7,651 7,651 FINLAND (1.8%): DRUGS (0.1%): 479 479 Orion Yhtyma, Class B 8,200 8,200 ELECTRIC UTILITIES (0.2%): 4,749 4,749 Fortum 16,134 16,134 ELECTRONICS (1.2%): 3,000 3,000 Nokia 121,562 121,562 INSURANCE (0.2%): 600 600 Pohjola Group Insurance, Class B 23,164 23,164 PAPER (0.1%): 1,800 1,800 Metsa Serla, Class B 11,833 11,833 180,893 180,893 FRANCE (9.0%): AUTOS (0.7%): 382 382 PSA Peugeot Citroen 67,855 67,855 BANKING (1.9%): 1,749 1,749 BNP Paribas 154,182 154,182 700 700 Societe Generale, Class A 39,131 39,131 193,313 193,313 BUILDING & CONSTRUCTION (0.2%): 363 363 Vinci 18,498 18,498 CHEMICALS (0.2%): 1,748 1,748 Rhodia 18,988 18,988 DRUGS (0.5%): 648 648 Aventis 48,604 48,604 ELECTRONIC EQUIPMENT (0.2%): 93 93 Sagem SA 19,852 19,852 ELECTRONICS (2.3%): 3,450 3,450 Alcatel 220,715 220,715 293 293 Lagardere 17,749 17,749 238,464 238,464 FINANCIAL INVESTMENTS (0.1%): 188 188 Societe Fonciere, Financiere 11,414 11,414 Et De Participations FOOD (0.2%): 279 279 Eridania Beghin-Say 24,004 24,004 LIQUOR & TOBACCO (1.3%): 684 684 Christian Dior 36,848 36,848 1,300 1,300 LVMH 98,139 98,139 134,987 134,987 MACHINERY (0.3%): 1,180 1,180 Alstom 27,229 27,229 METALS (0.2%): 2,744 2,744 Usinor 24,916 24,916 SERVICES (0.1%): 1,325 1,325 Bull * 7,986 7,986 TELEPHONE (0.8%): 575 575 Canal Plus 86,105 86,105 922,215 922,215
BARR ROSENBERG SERIES TRUST MERGER FUND SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2000
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ GERMANY (6.1%): AUTOS (1.7%): 3,960 3,960 DaimlerChrysler 177,655 177,655 CHEMICALS (0.9%): 2,630 2,630 BASF 93,458 93,458 ELECTRIC UTILITIES (0.9%): 2,712 2,712 RWE 95,725 95,725 MACHINERY (2.6%): 2,004 2,004 Siemens 258,183 258,183 625,021 625,021 HONG KONG (1.9%): AIRLINES (0.7%): 12,000 12,000 Cathay Pacific Airways 22,009 22,009 4,000 4,000 Hong Kong Aircraft Engineering 6,618 6,618 6,000 6,000 Swire Pacific, Class A 37,399 37,399 66,026 66,026 AUTOS (0.2%): 10,000 10,000 Johnson Electric Holdings 21,483 21,483 COMPUTER (0.1%): 8,000 8,000 Legend Holdings * 7,593 7,593 ELECTRIC UTILITIES (0.2%): 10,000 10,000 China Travel International 1,321 1,321 Investment Hong Kong 4,000 4,000 Citic Pacific 17,238 17,238 18,559 18,559 REAL ESTATE ASSETS (0.4%): 32,000 32,000 Chinese Estates Holdings * 3,776 3,776 3,000 3,000 Sun Hung Kai Properties 28,280 28,280 10,000 10,000 Wheelock and Company 7,888 7,888 39,944 39,944 RETAIL/WHOLESALE (0.2%): 12,000 12,000 Li & Fung * 25,317 25,317 TELEPHONE (0.1%): 2,000 2,000 China Mobile (Hong Kong) * 13,275 13,275 192,197 192,197 ITALY (2.7%): FOOD (0.4%): 20,000 20,000 Montedison 39,533 39,533 MEDIA (0.1%): 5,203 5,203 Cofide * 8,700 8,700 TELEPHONE (2.2%): 5,000 5,000 Tecnost * 15,134 15,134 20,068 20,068 Telecom Italia 213,210 213,210 228,344 228,344 276,577 276,577 JAPAN (36.6%): AIRLINES (0.0%): 1,000 1,000 Japan Airlines Company 3,785 3,785 AUTOS (3.0%): 2,000 5,000 7,000 Fuji Heavy Industries 12,438 31,094 43,532 4,000 4,000 Honda Motor 147,326 147,326 2,000 2,000 Isuzu Motors * 4,220 4,220 2,000 2,000 Keihin 15,547 15,547 3,000 3,000 Mazda Motor Corp. 5,830 5,830 1,000 1,000 2,000 Mitsubishi Motors * 3,072 3,072 6,144 2,000 3,000 5,000 Suzuki Motor 20,784 31,177 51,961 2,000 2,000 4,000 Yamaha Motor 14,992 14,992 29,984 72,663 231,881 304,544 BANKING (5.1%): 10 23 33 Mizuho Holdings 82,362 189,432 271,794 6,000 11,000 17,000 The Asahi Bank 24,709 45,299 70,008 5,000 17,000 22,000 The Daiwa Bank 11,383 38,701 50,084 4,000 4,000 The Sanwa Bank 35,610 35,610 6,000 11,000 17,000 The Tokai Bank 30,483 55,886 86,369 184,547 329,318 513,865 BUILDING (0.8%): 1,000 1,000 Chudenko 11,614 11,614 400 1,100 1,500 Daito Trust Construction 6,474 17,804 24,278 2,000 5,000 7,000 Daiwa House Industry 13,974 34,934 48,908 32,062 52,738 84,800 CHEMICALS (1.0%): 4,000 14,000 18,000 Mitsubishi Chemical 13,881 48,584 62,465 1,000 4,000 5,000 Mitsui Chemicals 4,451 17,805 22,256 3,000 3,000 Sumitomo Chemical Co. 14,937 14,937 33,269 66,389 99,658 CONSTRUCTION MATERIALS (0.9%): 2,000 3,000 5,000 Matsushita Electric Works 23,006 34,509 57,515 1,000 1,000 Matsushita-Kotobuki 19,572 19,572 2,000 2,000 Mitsubishi Plastics 3,961 3,961 2,000 1,000 3,000 Tokuyama 8,939 4,470 13,409 55,478 38,979 94,457 DRUGS (2.6%): 1,000 1,000 Chugai Pharmaceutical Co. 18,166 18,166 2,000 2,000 Nikken Chemicals 7,070 7,070 1,000 1,000 Ono Pharmaceutical 41,088 41,088 2,000 3,000 5,000 Sankyo 44,513 66,768 111,281 2,000 3,000 5,000 Tanabe Seiyaku 15,195 22,793 37,988
BARR ROSENBERG SERIES TRUST MERGER FUND SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2000
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ 2,000 2,000 Tsumura & Co. 6,848 6,848 1,000 1,000 Yamanouchi Pharmaceutical 48,121 48,121 91,792 178,770 270,562 DURABLES (2.9%): 2,000 4,000 6,000 Kenwood 7,311 14,622 21,933 4,000 5,000 9,000 Matsushita Electric Industrial 104,756 130,946 235,702 2,000 3,000 5,000 Victor Co. of Japan * 17,120 25,680 42,800 129,187 171,248 300,435 ELECTRIC UTILITIES (0.8%): 1,900 1,900 Kansai Electric Power 30,946 30,946 900 900 Kyushu Electric Power 14,017 14,017 3,000 3,000 Tohoku Electric Power 41,977 41,977 14,017 72,923 86,940 ELECTRONICS (6.4%): 400 400 Futaba 16,250 16,250 11,000 11,000 Hitachi 127,651 127,651 1,000 1,000 Hitachi Chemical 28,040 28,040 2,000 2,000 Ibiden 39,700 39,700 200 300 500 Keyence 69,221 103,831 173,052 900 900 Komatsu Electronic Metals * 9,203 9,203 4,000 9,000 13,000 Mitsubishi Electric 33,130 74,542 107,672 2,000 2,000 Nissho 16,250 16,250 2,000 2,000 Shindengen Electric Manufacturing 13,048 13,048 8,000 8,000 Toshiba 64,483 64,483 2,000 3,000 5,000 Toshiba TEC 8,292 12,438 20,730 2,000 1,000 3,000 Yokogawa Electric 18,342 9,171 27,513 158,283 485,309 643,592 FINANCIAL INVESTMENTS (0.2%): 800 800 Nihon Unisys 15,769 15,769 1,000 1,000 Tokyo Leasing 5,552 5,552 21,321 21,321 FOOD (0.1%): 1,000 1,000 Kinki Coca-Cola Bottling Co. 10,550 10,550 HOUSEHOLD (0.1%): 1,000 1,000 Tenma 11,466 11,466 INSURANCE (0.1%): 2,000 2,000 The Dai-Tokyo Fire & Marine Insurance 6,052 6,052 LIQUOR & TOBACCO (0.6%): 1,000 4,000 5,000 Asahi Breweries 8,958 35,832 44,790 2 2 Japan Tobacco 15,695 15,695 24,653 35,832 60,485 MACHINERY (1.0%): 200 200 Advantest 31,427 31,427 100 100 Disco 13,335 13,335 2,000 2,000 Hitachi Koki 5,960 5,960 2,000 2,000 4,000 Makita 15,880 15,880 31,760 2,000 2,000 Nitto Electric Works 16,287 16,287 2,000 2,000 Tokyo Kikai Seisakusho 7,385 7,385 58,847 47,307 106,154 MEDIA (0.2%): 30 30 Nippon Television Network 17,240 17,240 MISCELLANEOUS FINANCIAL (1.8%): 3,000 6,000 9,000 Daiwa Securities Group 35,175 70,350 105,525 3,000 6,000 9,000 Nikko Securities Co. 26,652 53,304 79,956 61,827 123,654 185,481 OFFICE MACHINERY (2.1%): 4,000 4,000 8,000 NEC 90,875 90,875 181,750 2,000 2,000 Sharp 30,946 30,946 90,875 121,821 212,696 OIL DISTRIBUTION (0.0%): 2,000 2,000 Koa Oil Company 5,127 5,127 PUERTO RICO (0.1%): 100 100 Mabuchi Motor Co. Ltd. 12,798 12,798 REAL ESTATE (0.1%): 2,000 2,000 Sumitomo Realty & Development Co. 10,457 10,457 RETAIL/WHOLESALE (0.7%): 2,000 2,000 Kasumi 8,218 8,218 3,000 7,000 10,000 Mitsui & Co. 18,739 43,726 62,465 2,000 2,000 Tokyu Store Chain 6,034 6,034 32,991 43,726 76,717 SERVICES (2.1%): 3,000 4,000 7,000 Fujitsu 69,684 92,911 162,595 200 200 Fujitsu Business Systems 4,627 4,627 300 300 Hitachi Information Systems 12,049 12,049 4 4 NTT Data Communications Systems 37,016 37,016 111,327 104,960 216,287 TELEPHONE (2.4%): 4 7 11 DDI 26,282 45,993 72,275 7 11 18 Nippon Telegraph and Telephone 68,665 107,903 176,568 94,947 153,896 248,843 TEXTILES (0.2%): 2,000 2,000 Wacoal 16,583 16,583 TRANSPORTATION (0.1%): 3 3 West Japan Railway Co. 13,853 13,853 TRAVEL/ENTERTAINMENT (1.2%): 300 800 1,100 Heiwa 5,969 15,917 21,886
BARR ROSENBERG SERIES TRUST MERGER FUND SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2000
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ 500 500 Nintendo 91,292 91,292 300 300 Sankyo Co., Gunma 10,994 10,994 16,963 107,209 124,172
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ 1,351,271 2,407,649 3,758,920 NETHERLANDS (5.0%): BANKING (0.9%): 4,170 4,170 ABN AMRO Holding 97,144 97,144 CHEMICALS (0.2%): 366 366 Akzo Nobel 15,438 15,438 DURABLES (2.0%): 4,782 4,782 Koninklijke (Royal) 205,802 205,802 Philips Electronics FINANCIAL INVESTMENTS (0.1%): 5 5 N.V. Petroleum - Maatschappij 10,655 10,655 Moeara Enim FOOD (0.1%): 1,075 1,075 Koninklijke Wessanen 12,379 12,379 OIL DISTRIBUTION (1.7%): 2,850 2,850 Royal Dutch Petroleum 172,246 172,246 513,664 513,664 NEW ZEALAND (0.1%): FOOD (0.1%): 20,100 20,100 Carter Holt Harvey 13,399 13,399 OIL (0.0%): 400 400 Fletcher Challenge Energy 1,415 1,415 14,814 14,814 PORTUGAL (0.7%): TELEPHONE (0.7%): 7,073 7,073 Portugal Telecom 72,712 72,712 SINGAPORE (0.7%): AIRCRAFT (0.2%): 11,000 11,000 Singapore Technologies Engineering 16,308 16,308 REAL ESTATE ASSETS (0.0%): 2,000 2,000 Keppel 4,068 4,068 TELEPHONE (0.5%): 30,000 30,000 Singapore Telecommunications 46,889 46,889 TRANSPORTATION (0.0%): 3,000 3,000 Neptune Orient Lines * 2,689 2,689 69,954 69,954 SPAIN (3.9%): ELECTRIC UTILITIES (1.6%): 5,440 5,440 Empresa Nacional de Electricidad 102,248 102,248 4,982 4,982 Iberdrola 63,306 63,306 165,554 165,554 OIL DISTRIBUTION (0.4%): 2,320 2,320 Repsol-YPF 42,685 42,685 TELEPHONE (1.9%): 9,731 9,731 Telefonica * 192,775 192,775 401,014 401,014 SWEDEN (1.4%): BANKING (0.7%): 4,500 4,500 Svenska Handelsbanken, Class A 72,407 72,407 DURABLES (0.1%): 1,181 1,181 Electrolux, Class B 14,835 14,835 MACHINERY (0.2%): 1,321 1,321 SKF, Class B 17,142 17,142 MISCELLANEOUS FINANCIAL (0.3%): 1,660 1,660 Skandia Forsakrings 32,914 32,914 PAPER (0.1%): 405 405 Svenska Cellulosa, Class B 7,147 7,147 144,445 144,445 SWITZERLAND (6.1%): BANKING (0.3%): 180 180 Credit Suisse Group 33,637 33,637 DRUGS (2.5%): 166 166 Novartis 254,507 254,507 FINANCIAL INVESTMENTS (0.8%): 26 26 BB Biotech * 33,244 33,244 69 69 BK Vision * 16,567 16,567 39 39 BT&T Telekommunikations und 17,487 17,487 Technologie * 26 26 Pharma Vision 2000 * 17,750 17,750 85,048 85,048 FOOD (1.6%): 80 80 Nestle 166,624 166,624 INSURANCE (0.8%): 17 17 Helvetia Patria Holding 14,753 14,753 80 80 Schweizerische Lebensversicherungs-und 63,410 63,410 Rentenanstalt/Swiss Life 78,163 78,163 TELEPHONE (0.1%): 4 4 Ascom Holding 13,411 13,411 631,390 631,390 UNITED KINGDOM (21.0%): BANKING (2.5%): 9,000 9,000 Abbey National 119,625 119,625 5,000 5,000 Barclays 138,388 138,388 258,013 258,013 BUILDING (0.1%): 6,995 6,995 Taylor Woodrow 15,358 15,358 CONSTRUCTION MATERIALS (0.1%): 9,000 9,000 Pilkington 10,812 10,812 FINANCIAL INVESTMENTS (1.7%):
BARR ROSENBERG SERIES TRUST MERGER FUND SCHEDULE OF PORTFOLIO INVESTMENTS SEPTEMBER 30, 2000
INTERNATIONAL COMBINED MARKET INTERNATIONAL COMBINED JAPAN EQUITY SHARES DESCRIPTION JAPAN EQUITY MARKET VALUE - ------------------------------------------------------------------------------------------------------------------------------------ 9,656 9,656 CGNU 137,053 137,053 5,781 5,781 Royal & Sun Alliance Insurance Group 38,633 38,633 175,686 175,686 FOOD (0.9%): 9,827 9,827 Allied Domecq 48,963 48,963 1,526 1,526 Associated British Foods 8,009 8,009 5,000 5,000 Unilever 32,379 32,379 89,351 89,351 INSURANCE (0.1%): 743 743 London Pacific Group 15,352 15,352 MACHINERY (0.3%): 13,739 13,739 Invensys 30,013 30,013 MISCELLANEOUS FINANCIAL (0.9%): 10,736 10,736 Halifax Group 91,588 91,588 OIL (1.7%): 12,000 12,000 BP Amoco 106,807 106,807 4,000 4,000 Enterprise Oil 32,734 32,734 16,992 16,992 LASMO 32,659 32,659 172,200 172,200 OIL DISTRIBUTION (1.6%): 20,604 20,604 Shell Transport & Trading Co. 167,851 167,851 OTHER UTILITIES (1.1%): 18,000 18,000 BG Group 114,369 114,369 RETAIL/WHOLESALE (3.2%): 8,176 8,176 Boots Company 61,892 61,892 17,000 17,000 J Sainsbury 93,752 93,752 2,230 2,230 Safeway 9,463 9,463 38,979 38,979 Tesco 143,212 143,212 7,020 7,020 Tomkins 17,125 17,125 325,444 325,444 TELEPHONE (6.1%): 27,000 27,000 British Telecommunications 283,828 283,828 92,000 92,000 Vodafone Group 343,455 343,455 627,283 627,283 TRANSPORTATION (0.1%): 2,725 2,725 Arriva 10,274 10,274 TRAVEL/ENTERTAINMENT (0.6%): 1,652 1,652 Millennium & Copthorne Hotels 10,100 10,100 6,854 6,854 Rank Group 16,670 16,670 3,551 3,551 Scottish & Newcastle 21,644 21,644 5,450 5,450 Thistle Hotels 9,549 9,549 57,963 57,963 2,161,557 2,161,557 TOTAL COMMON STOCKS 1,351,271 8,906,035 10,257,306 PREFERRED STOCKS (0.2%): GERMANY (0.2%): TELEPHONE (0.2%): 173 173 Prosieben Media 19,769 19,769 TOTAL PREFERRED STOCKS 19,769 19,769 TOTAL INVESTMENTS (COST $11,102,155) 1,351,271 8,925,804 10,277,075 OTHER ASSETS IN EXCESS OF LIABILITIES 266,232 219,855 486,087 TOTAL NET ASSETS $1,617,503 $9,145,659 $10,763,162
PART C. OTHER INFORMATION ITEM 15 INDEMNIFICATION Article VIII of the Registrant's Second Amended and Restated Agreement and Declaration of Trust, as amended, reads as follows (referring to the Registrant as the "Trust"): ARTICLE VIII Indemnification SECTION 1. TRUSTEES, OFFICERS, ETC. The Trust shall indemnify each of its Trustees and officers (including persons who serve at the Trust's request as directors, officers or trustees of another organization in which the Trust has any interest as a shareholder, creditor or otherwise) (hereinafter referred to as a "Covered Person") against all liabilities and expenses, including but not limited to amounts paid in satisfaction of judgments, in compromise or as fines and penalties, and counsel fees reasonably incurred by any Covered Person in connection with the defense or disposition of any action, suit or other proceeding, whether civil or criminal, before any court or administrative or legislative body, in which such Covered Person may be or may have been involved as a party or otherwise or with which such Covered Person may be or may have been threatened, while in office or thereafter, by reason of being or having been such a Covered Person except with respect to any matter as to which such Covered person shall have been finally adjudicated in any such action, suit or other proceeding to be liable to the Trust or its Shareholders by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of such Covered Person's office. Expenses, including counsel fees so incurred by any such Covered Person (but excluding amounts paid in satisfaction of judgments, in compromise or as fines or penalties), shall be paid from time to time by the Trust in advance of the final disposition of any such action, suit or proceeding upon receipt of an undertaking by or on behalf of such Covered Person to repay amounts so paid to the Trust if it is ultimately determined that indemnification of such expenses is not authorized under this Article, provided, however, that either (a) such Covered Person shall have provided appropriate security for such undertaking, (b) the Trust shall be insured against losses arising from any such advance payments or (c) either a majority of the disinterested Trustees acting on the matter (provided that a majority of the disinterested Trustees then in office act on the matter), or independent legal counsel in a written opinion, shall have determined, based upon a review of readily available facts (as opposed to a full trial type inquiry) that there is reason to believe that such Covered Person will be found entitled to indemnification under this Article. SECTION 2. COMPROMISE PAYMENT. As to any matter disposed of (whether by a compromise payment, pursuant to a consent decree or otherwise) without an adjudication by a court, or by any other body before which the proceeding was brought, that such Covered Person is liable to the Trust or its Shareholders by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his or her office, indemnification shall be provided if (a) approved, after notice that it involves such indemnification, by at least a majority of the disinterested Trustees acting on the matter provided that a majority of the disinterested Trustees then in office act on the matter) upon a determination, based upon a review of readily available fact (as opposed to a full trial type inquiry) that such Covered Person is not liable to the Trust or its Shareholders by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his or her office, or (b) there has been obtained an opinion in writing of independent legal counsel, based upon a review of readily available facts (as opposed to a full trial type inquiry) to the effect that such indemnification would not protect such Person against any liability to the Trust to which he would otherwise be subject by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of his office. Any approval pursuant to this Section shall not prevent the recovery from any Covered Person of any amount paid to such Covered Person in accordance with this Section as indemnification if such Covered Person is subsequently adjudicated by a court of competent jurisdiction to have been liable to the Trust or its Shareholders by reason of willful misfeasance, bad faith, gross negligence or reckless disregard of the duties involved in the conduct of such Covered Person's office. SECTION 3. INDEMNIFICATION NOT EXCLUSIVE. The right of indemnification hereby provided shall not be exclusive of or affect any other rights to which such Covered Person may be entitled. As used in this Article VIII, the term "Covered Person" shall include such person's heirs, executors and administrators and a "disinterested Trustee" is a Trustee who is not an "interested person" of the Trust as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended, (or who has been exempted from being an "interested person" by any rule, regulation or order of the Commission ) and against whom none of such actions, suits or other proceedings or another action, suit or other proceeding on the same or similar grounds is then or has been pending. Nothing contained in this Article shall affect any rights to indemnification to which personnel of the Trust, other than Trustees or officers, and other persons may be entitled by contract or otherwise under law, nor the power of the Trust to purchase and maintain liability insurance on behalf of any such person; provided, however, that the Trust shall not purchase or maintain any such liability insurance in contravention of applicable law, including without limitation the 1940 Act. SECTION 4. SHAREHOLDERS. In case any Shareholder or former Shareholder shall be held to be personally liable solely by reason of his or her being or having been a Shareholder and not because of his or her acts or omissions or for some other reason, the Shareholder or former Shareholder (or his or her heirs, executors, administrators or other legal representatives or in the case of a corporation or other entity, its corporate or other general successor) shall be entitled to be held harmless from and indemnified against all loss and expense arising from such liability, but only out of the assets of the particular series of Shares of which he or she is or was a Shareholder." ITEM 16 EXHIBITS. The number of each exhibit relates to the exhibit designation in Form N-14 1. (a) Second Amendment and Restated Agreement and Declaration of Trust of the Registrant -- incorporated by reference to Post-Effective Amendment No. 19 to the Registration Statement filed on July 29, 1998; (b) Amendment No. 1 to Second Amended and Restated Agreement and Declaration of Trust of the Registrant -- incorporated by reference to Post-Effective Amendment No. 19 to the Registration Statement filed on July 29, 1998; (c) Amendment No. 2 to Second Amended and Restated Agreement and Declaration of Trust of the Registrant -- incorporated by reference to Post-Effective Amendment No. 24 to the Registration Statement filed on May 28, 1999; (d) Amendment No. 3 to the Second Amended and Restated Agreement and Declaration of Trust of the Registrant -- incorporated by reference to Post-Effective Amendment No. 33 to the Registration Statement filed on July 28, 1999; (e) Amendment No. 4 to the Second Amended and Restated Agreement and Declaration of Trust of the Registrant -- incorporated by reference to Post-Effective Amendment No. 33 to the Registration Statement filed on July 28, 2000; 2. Bylaws of the Registrant -- incorporated by reference to Post- Effective Amendment No. 17 to the Registration Statement filed on December 9, 1997. 3. None. 4. Form of Agreement and Plan of Reorganization - Filed as Appendix A to Part A hereof. 5. None. 6. (a) Management Contract between the Registrant on behalf of its AXA Rosenberg Japan Fund and AXA Rosenberg Investment Management LLC -- incorporated by reference to Post-Effective Amendment No. 31 to the Registrant's Registration Statement filed on May 1, 2000; (b) Management Contract between the Registrant on behalf of its AXA Rosenberg International Equity Fund and AXA Rosenberg Investment Management LLC -- incorporated by reference to Post-Effective Amendment No. 31 to the Registration Statement filed on May 1, 2000; 7. Further Amended and Restated Distributor's Contract between the Registrant and Barr Rosenberg Funds Distributor, Inc., -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; 8. None. 9. (a) Form of Custody Agreement between the Registrant on behalf of its Japan Series (renamed the AXA Rosenberg Japan Fund) and State Street Bank and Trust Company -- incorporated by reference to Post- Effective Amendment No. 2 to the Registration Statement filed on August 18, 1998; (b) Form of Custody Agreement between the Registrant on behalf of its AXA Rosenberg International Equity Fund and State Street Bank and Trust Company -- incorporated by reference to Post-Effective Amendment No. 31 to the Registration Statement filed on May 1, 2000; 10. (a) Amended and Restated Distribution and Shareholder Service Plan for Investor shares -- incorporated by reference to Post-Effective Amendment No. 24 filed on May 28, 1999; (b) Further Amended and Restated Multi-Class Plan -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; 11. Opinion and Consent of Ropes & Gray -- previously filed; 12. Opinion and Consent of Ropes & Gray -- to be supplied; 13. (a) Transfer Agency Agreement between the Registrant and BISYS Fund Services Ohio, Inc. -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; (b) Expense Limitation Agreement between AXA Rosenberg Investment Management LLC and the Registrant on behalf of the Fund -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; (c) Administration Agreement between the Registrant and BISYS Fund Services Ohio, Inc. -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; (d) Fund Accounting Agreement between the Registrant and BISYS Fund Services Ohio, Inc. -- incorporated by reference to Post-Effective Amendment No. 35 to the Registration Statement filed on December 4, 2000; 14. Consent of PricewaterhouseCoopers LLP -- filed herewith; 15. [None.] 16. (a) Power of Attorney for William F. Sharpe -- filed herewith; (b) Power of Attorney for Nils H. Hakansson -- filed herewith; (c) Power of Attorney for Dwight M. Jaffee -- incorporated by reference to Post-Effective Amendment No. 24 to the Registration Statement filed on May 28, 1999; (d) Power of Attorney for Po-Len Hew -- filed herewith; 17. (a) The Registrant's Current Prospectus dated July 31, 2000 (b) Supplement to the Registrant's Current Prospectus dated August 18, 2000 ITEM 17 UNDERTAKINGS 1. The undersigned Registrant agrees that prior to any public reoffering of the securities registered through the use of a prospectus which is a part of this Registration Statement by any person or party who is deemed to be an underwriter within the meaning of Rule 145(c) under the Securities Act of 1933, the reoffering prospectus will contain the information called for by the applicable registration form for the reofferings by persons who may be deemed underwriters, in addition to the information called for by the other items of the applicable form. 2. The undersigned Registrant agrees that every prospectus that is filed under paragraph (a) above will be filed as a part of an amendment to this Registration Statement and will not be used until the amendment is effective, and that, in determining any liability under the Securities Act of 1933, each post-effective amendment shall be deemed to be a new Registration Statement for the securities offered therein, and the offering of the securities at that time shall be deemed to be the initial bona fide offering of them. ITEM 17 RIDER 3. The Registrant agrees to file, by post-effective amendment, an opinion of counsel or a copy of an Internal Revenue Service ruling supporting the tax consequences of the proposed mergers described in this Registration Statement within a reasonable time after receipt of such opinion or ruling. SIGNATURES Pursuant to the requirements of the Securities Act of 1933, the Registrant has duly caused this Pre-Effective Amendment No. 1 to its Registration Statement to be signed on its behalf by the undersigned, thereunto duly authorized in the City of Orinda in the State of California on the 28th day of February, 2001. BARR ROSENBERG SERIES TRUST By: /s/ RICHARD L. SAALFELD ------------------------ Richard Saalfeld President Pursuant to the Requirements of the Securities Act of 1933, this Pre-Effective Amendment No. 1 has been signed below by the following persons in the capacities indicated and on the 28th day of February, 2001.
SIGNATURE TITLE DATE RICHARD L. SAALFELD President (Principal February 28, 2001 - ------------------- Executive Officer Richard L. Saalfeld KENNETH REID - ------------------- Trustee February 28, 2001 Kenneth Reid Po-Len Hew* Treasurer (Principal February 28, 2001 Accounting and Financial Officer) William F. Sharpe* Trustee February 28, 2001 Nils H. Hakansson* Trustee February 28, 2001 Dwight M. Jaffee* Trustee February 28, 2001 *By: KENNETH REID Kenneth Reid Attorney-in-Fact Date: February 2, 2001
EXHIBIT LIST EXHIBIT NO. EXHIBIT NAME 14 Consent of PricewaterhouseCoopers LLP 16 (a) Power of Attorney for William F. Sharpe 16 (b) Power of Attorney for Nils H. Hakansson 16 (d) Power of Attorney for Po-Len Hew 17 (a) The Registrant's Current Prospectus dated July 31, 2000. 17 (b) Supplement to the Registrant's Current Prospectus dated August 18, 2000. EX-99.14 2 a2040299zex-99_14.txt EXHIBIT 99.14 EXHIBIT 14 CONSENT OF INDEPENDENT ACCOUNTANTS We hereby consent to the incorporation by reference in to the registration statement on Form N-14 ("Registration Statement") of our report dated May 15, 2000, relating to the financial statements and financial highlights which appears in the March 31, 2000 Annual Report to Shareholders of Barr Rosenberg Series Trust, which are also incorporated by reference into the Registration Statement. PRICEWATERHOUSECOOPERS LLP PricewaterhouseCoopers LLP San Francisco, California February 28, 2001 EX-99.16(A) 3 a2040299zex-99_16a.txt EXHIBIT 99.16(A) EXHIBIT 16(a) POWER OF ATTORNEY The undersigned hereby constitutes Kenneth Reid his true and lawful attorney, with full power to sign for him, in his name and in the capacity indicated below, any and all registration statements of Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust, each a Massachusetts business trust, under the Securities Act of 1933 or the Investment Company Act of 1940, and generally to do all things in his name and on his behalf to enable Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust to comply with the provisions of the Securities Act of 1933, the Investment Company Act of 1940, and all requirements and regulations of the Securities and Exchange Commission, hereby ratifying and confirming his signature as it may be signed by his said attorney to any and all registration statements and amendments thereto. Witness my hand this 1st day of February, 2001. WILLIAM F. SHARPE -------------------------- William F. Sharpe Trustee EX-99.16(B) 4 a2040299zex-99_16b.txt EXHIBIT 99.16(B) EXHIBIT 16(b) POWER OF ATTORNEY The undersigned hereby constitutes Kenneth Reid his true and lawful attorney, with full power to sign for him, in his name and in the capacity indicated below, any and all registration statements of Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust, each a Massachusetts business trust, under the Securities Act of 1933 or the Investment Company Act of 1940, and generally to do all things in his name and on his behalf to enable Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust to comply with the provisions of the Securities Act of 1933, the Investment Company Act of 1940, and all requirements and regulations of the Securities and Exchange Commission, hereby ratifying and confirming his signature as it may be signed by his said attorney to any and all registration statements and amendments thereto. Witness my hand this 1st day of February, 2001. NILS H. HAKANSSON ------------------------- Nils H. Hakansson Trustee EX-99.16(D) 5 a2040299zex-99_16d.txt EXHIBIT 99.16(D) EXHIBIT 16(d) POWER OF ATTORNEY The undersigned hereby constitutes Kenneth Reid her true and lawful attorney, with full power to sign for her, in her name and in the capacity indicated below, any and all registration statements of Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust, each a Massachusetts business trust, under the Securities Act of 1933 or the Investment Company Act of 1940, and generally to do all things in her name and on her behalf to enable Barr Rosenberg Series Trust and Barr Rosenberg Variable Insurance Trust to comply with the provisions of the Securities Act of 1933, the Investment Company Act of 1940, and all requirements and regulations of the Securities and Exchange Commission, hereby ratifying and confirming her signature as it may be signed by her said attorney to any and all registration statements and amendments thereto. Witness my hand this 1st day of February, 2001. PO-LEN HEW ----------------- Po-Len Hew Treasurer EX-99.17(A) 6 a2040299zex-99_17a.txt EXHIBIT 99.17(A) Exhibit 17(a) - ----------------------------------------------------------------------------- BARR ROSENBERG SERIES Trust - ----------------------------------------------------------------------------- -AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND -AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND -AXA ROSENBERG JAPAN FUND -AXA ROSENBERG VALUE MARKET NEUTRAL FUND -AXA ROSENBERG DOUBLE ALPHA MARKET FUND -AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND -AXA ROSENBERG ENHANCED 500 FUND -AXA ROSENBERG INTERNATIONAL EQUITY FUND -AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND JULY 31, 2000 THE SECURITIES AND EXCHANGE COMMISSION HAS NOT APPROVED OR DISAPPROVED OF THE SHARES DESCRIBED IN THIS PROSPECTUS OR DETERMINED WHETHER THIS PROSPECTUS IS ACCURATE OR COMPLETE. ANY REPRESENTATION TO THE CONTRARY IS A CRIME. - ----------------------------------------------------------------------------- Shareholder Services 1.800.555.5737 Institutional Shares 1.800.447.3332 Investor Shares - ----------------------------------------------------------------------------- [LOGO] TABLE OF CONTENTS
PAGE ---- RISK/RETURN SUMMARY......................................... 3 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND.............. 3 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND..... 5 AXA ROSENBERG JAPAN FUND.................................. 8 AXA ROSENBERG VALUE MARKET NEUTRAL FUND................... 10 AXA ROSENBERG DOUBLE ALPHA MARKET FUND.................... 12 AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND.......... 15 AXA ROSENBERG ENHANCED 500 FUND........................... 17 AXA ROSENBERG INTERNATIONAL EQUITY FUND................... 18 AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND.......... 19 FEES AND EXPENSES........................................... 21 INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES... 30 PRINCIPAL RISKS............................................. 37 CERTAIN ADDITIONAL INVESTMENT TECHNIQUES AND RELATED RISKS..................................................... 41 MANAGEMENT DISCUSSION OF FUND PERFORMANCE................... 44 THE ADVISER'S GENERAL INVESTMENT PHILOSOPHY................. 52 MANAGEMENT OF THE TRUST..................................... 54 MULTIPLE CLASSES............................................ 58 PURCHASING SHARES........................................... 60 IRA ACCOUNTS................................................ 62 REDEMPTION OF SHARES........................................ 62 EXCHANGING SHARES........................................... 63 HOW THE TRUST PRICES SHARES OF THE FUNDS.................... 64 DISTRIBUTIONS............................................... 65 TAXES....................................................... 66 OTHER INFORMATION........................................... 66
2 RISK/RETURN SUMMARY The following is a summary of certain key information about the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund, AXA Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg Enhanced 500 Fund, AXA Rosenberg International Equity Fund and AXA Rosenberg Multi-Strategy Market Neutral Fund (each a "Fund" and, collectively, the "Funds"). This Summary identifies each Fund's investment objective, principal investment strategies and principal risks. The principal risks of each Fund are identified and more fully discussed beginning on page 37. You can find more detailed descriptions of the Funds further back in this Prospectus. Please be sure to read this additional information BEFORE you invest. Other important things for you to note: - You may lose money by investing in the Funds. - An investment in the Funds is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND INVESTMENT OBJECTIVE The Fund seeks a return greater than that of the Russell 2000 Index. The Russell 2000 Index consists of the smallest 2000 securities in the Russell 3000 Index. The Russell 2000 Index represents approximately 8% of the Russell 3000 Index total market capitalization. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund invests primarily in the common stocks of smaller companies that are traded principally in the markets of the United States. At all times, at least 65% of the Fund's total assets will be invested in these Small Capitalization Securities. The Fund will place relatively greater emphasis on capital appreciation than on current income. The Adviser uses fundamental and quantitative investment principles to determine which securities to buy and sell. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. These models tend to produce a "value" style of investment by favoring securities believed to be selling below a price that would accurately value the underlying company. The appraisal model is more likely to identify stocks that have lower price-to-earnings and price-to-book ratios (as compared to companies in the same industry) as attractive for purchase. While the Fund's portfolio has a modest value bias, there are other factors beyond value/growth exposures that affect the Fund's performance, such as industry exposures and risks associated with specific individual stock selections. 3 SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. The Funds' investment adviser, AXA Rosenberg Investment Management LLC (the "Adviser") will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there can be no guarantee that they will produce the desired results. SMALLER COMPANY RISK. Market risk is particularly pronounced for this Fund because it invests a significant percentage of its assets in the stocks of companies with relatively small market capitalizations. These companies may have limited product lines, markets or financial resources or may depend on a few key employees. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. YEARLY PERFORMANCE (%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE CALENDAR YEAR END 1990 -19.88% 1991 34.45% 1992 22.00% 1993 22.50% 1994 5.41% 1995 38.18% 1996 26.53% 1997 30.63% 1998 -4.03% 1999 15.00%
ANNUAL RETURN (%) During all periods shown in the bar graph, the Fund's highest quarterly return was 26.06%, for the quarter ended 3/31/91, and its lowest quarterly return was -24.66%, for the quarter ended 9/30/90. 4 PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of a broad based securities market index. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE SINCE INCEPTION INCEPTION OF INVESTOR OF ADVISER PAST ONE PAST FIVE PAST 10 SHARES SHARES YEAR YEARS YEARS (10/22/96) (1/21/97) -------- --------- -------- ----------- ---------- Institutional Shares......................... 15.00% 20.31% 15.64% Investor Shares.............................. 14.81% 14.49% Adviser Shares............................... 14.78% 12.04% Russell 2000 Index*.......................... 21.26% 16.69% 13.40% 14.20% 12.21%
- ------------------------ * The Russell 2000 Index consists of the smallest 2000 securities in the Russell 3000 Index. (The Russell 3000 Index represents approximately 98% of the investable U.S. equity market.) The Russell 2000 Index represents approximately 8% of the total market capitalization of the Russell 3000 Index. For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares, Investor Shares and Adviser Shares were 0.83%, 0.73% and 0.73%, respectively. The Russell 2000 Index return for that period was 3.03%. AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND INVESTMENT OBJECTIVE The Fund seeks a return greater than that of the Casenove Rosenberg Global Smaller Companies Index excluding the United States ("CRIexUS"). The CRIexUS is an unmanaged index of non-U.S. companies with market capitalizations up to $3.5 billion. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund invests primarily in equity securities of smaller companies that are traded principally in markets outside the United States with market capitalizations of between $5 million and $3.5 billion at the time of purchase by the Fund. Under normal circumstances, the Fund invests at least 90% of its net assets in these International Small Capitalization Companies. The Fund will place relatively greater emphasis on capital appreciation than on current income. The Adviser uses fundamental and quantitative investment principles to determine which securities to buy and sell. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. These models tend to produce a "value" style of investment by favoring securities believed to be selling below a price that would accurately value the underlying company. The appraisal model is more likely to identify stocks that have lower price-to-earnings and price-to-book ratios (as compared to companies in the same industry) as attractive for purchase. While the Fund's portfolio has a modest value bias, there are other factors beyond value/growth exposures that affect the Fund's performance such as industry exposures and risks associated with specific individual stock selections. 5 SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there can be no guarantee that they will produce the desired results. SMALLER COMPANY RISK. Market risk is particularly pronounced for this Fund because it invests a significant percentage of its assets in the stocks of companies with relatively small market capitalizations. These companies may have limited product lines, markets or financial resources or may depend on a few key employees. FOREIGN INVESTMENT RISK. As a result of its foreign investments, the Fund may experience more rapid and extreme changes in value than funds that invest solely in securities of U.S. companies. This is because the securities markets of many foreign countries are relatively small, with a limited number of companies representing a small number of industries. Additionally, issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting and auditing standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or confiscatory taxation, currency blockage, political changes or diplomatic developments could adversely affect the Fund's investments in a foreign country. CURRENCY RISK. As a result of its investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar, or, in the case of hedging positions, that the U.S. Dollar will decline in value relative to the currency hedged. In either event, the dollar value of these types of investments would be adversely affected. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. 6 YEARLY PERFORMANCE(%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE
ANNUAL RETURN (%) 1997 -11.73% 1998 4.12% 1999 24.67%
CALENDAR YEAR END During all periods shown in the bar graph, the Fund's highest quarterly return was 17.17%, for the quarter ended 3/31/98, and its lowest quarterly return was -18.39%, for the quarter ended 9/30/98. PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of an index with a similar investment objective and the returns of a broad based securities market index. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE SINCE INCEPTION OF INCEPTION INSTITUTIONAL OF INVESTOR PAST ONE SHARES SHARES YEAR (9/23/96) (10/29/96) -------- ------------- ----------- Institutional Shares........................................ 24.67% 4.38% Investor Shares............................................. 24.34% 4.08% Salomon Smith Barney World ex US EMI*....................... 23.52% 7.04% 7.36% CRIexUS**................................................... 20.39% 1.55% 1.59%
- ------------------------ * The Salomon Smith Barney World ex US EMI is an unmanaged, broad-based index of non-U.S. small/ mid-capitalization companies. The Index includes 21 countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. ** 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. companies with market capitalizations up to $3.5 billion. The Index includes 21 developed countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and U.K. Investors cannot invest directly in any Index. For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares and Investor Shares were 10.40% and 10.14%, respectively. Returns for the Salomon Smith Barney World ex US EMI and the CRIexUS for that period were 0.25% and -0.82%, respectively. 7 AXA ROSENBERG JAPAN FUND INVESTMENT OBJECTIVE The Fund seeks a return greater than that of the Tokyo Stock Price Index ("TOPIX"). TOPIX is a capitalization-weighted index of all stocks in the First Section of the Tokyo Stock Exchange. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund invests primarily in the common stocks of Japanese companies that are listed and traded on any of the eight Japanese exchanges or traded over the counter. The Fund may also invest in other Japanese Securities, such as convertible preferred stock or debentures, and may purchase futures contracts or options on futures contracts on the Tokyo Stock Price Index or the NIKKEI 225 Index. At all times, at least 65% of the Fund's total assets will be invested in Japanese Securities. The Adviser may hedge up to 100% of the Fund's total assets against a possible decline in the Japanese Securities market by utilizing futures and options on futures on Japanese stock indices. The Adviser uses fundamental and quantitative investment principles to determine which securities to buy and sell. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. These models tend to produce a "value" style of investment by favoring securities believed to be selling below a price that would accurately value the underlying company. The appraisal model is more likely to identify stocks that have lower price-to-earnings and price-to-book ratios (as compared to companies in the same industry), as attractive for purchase. While the Fund's portfolio has a modest value bias, there are other factors beyond value/growth exposures that affect the Fund's performance such as industry exposures and risks associated with specific individual stock selections. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. The Adviser will apply its investment techniques and risk analyses in making investment decisions for the Fund, but there can be no guarantee that they will produce the desired results. FOREIGN INVESTMENT RISK. As a result of its foreign investments, the Fund may experience more rapid and extreme changes in value than funds that invest solely in securities of U.S. companies. Additionally, issuers of foreign securities are usually not subject to the same degree of regulation as U.S. issuers. Reporting, accounting and auditing standards of foreign countries differ, in some cases significantly, from U.S. standards. Also, nationalization, expropriation or confiscatory taxation, currency blockage, political changes or diplomatic developments could adversely affect the Fund's investments in a foreign country. RISKS OF INVESTING IN JAPANESE SECURITIES. Unlike other mutual funds which invest in the securities of many countries, the Fund will invest almost exclusively in Japanese Securities. In addition to the risks associated with investing in foreign securities generally, investments in the Fund will be subject to the 8 market risk associated with investing almost exclusively in stocks of companies which are subject to Japanese economic factors and conditions. Since the Japanese economy is dependent to a significant extent on foreign trade, the relationships between Japan and its trading partners and between the yen and other currencies are expected to have a significant impact on particular Japanese companies and on the Japanese economy generally. DERIVATIVES RISK. As noted above, the Adviser may hedge up to 100% of the Fund's total assets by utilizing derivative instruments, which in this case are financial contracts whose value depends upon, or is derived from, the value of an underlying index. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with relevant indices. CURRENCY RISK. As a result of its investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar, or, in the case of hedging positions, that the U.S. Dollar will decline in value relative to the currency hedged. In either event, the dollar value of these types of investments would be adversely affected. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. YEARLY PERFORMANCE (%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE CALENDAR YEAR END 1990 -29.75% 1991 3.57% 1992 -21.57% 1993 21.73% 1994 25.59% 1995 0.10% 1996 -19.09% 1997 -34.75% 1998 5.65% 1999 56.37%
ANNUAL RETURN (%) During all periods shown in the bar graph, the Fund's highest quarterly return was 28.23%, for the quarter ended 12/31/98, and its lowest quarterly return was -26.71%, for the quarter ended 3/31/90. PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of a broad based securities market index. 9 AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE INCEPTION OF INVESTOR PAST ONE PAST FIVE PAST TEN SHARES YEAR YEARS YEARS (10/22/96) -------- -------------- -------------- -------------- Institutional Shares................................. 56.37% -2.68% -2.69% Investor Shares...................................... 55.88% -1.79% TOPIX*............................................... 78.61% 2.64% -0.75% 6.50%
- ------------------------ * The Tokyo Stock Price Index is a capitalization-weighted index of all stocks in the First Section of the Tokyo Stock Exchange. For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares and Investor Shares were - -1.19% and -1.19%, respectively. The TOPIX return for that period was -10.43%. AXA ROSENBERG VALUE MARKET NEUTRAL FUND INVESTMENT OBJECTIVE The Fund seeks to increase the value of your investment in bull markets and in bear markets through strategies designed to maintain limited net exposure to general equity market risk. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund seeks to achieve its investment objective by buying common stocks that the Adviser believes are undervalued and by "selling short" stocks that the Adviser believes are overvalued. The Fund seeks to have approximately equal dollar amounts invested in long and short positions and near neutral exposure to specific industries, specific capitalization ranges and certain other risk factors. The Fund invests in small and mid-capitalization stocks that are principally traded in the markets of the United States. The Fund measures its return by a comparison to the return on 3-Month U.S. Treasury Bills. By buying and selling short different stocks, the Fund attempts to limit the effect on its performance of, and the risk associated with, general U.S. stock market movements. Given this use of long and short positions, the Fund expects that its shares will increase in value if the securities in its long portfolio outperform the securities in its short portfolio. By contrast, the Fund expects that its shares will decline in value if the securities in its short portfolio outperform the securities in its long portfolio. The Adviser uses fundamental and quantitative investment principles to determine which securities to buy, sell and sell short. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy-sell recommendations. These models tend to produce a "value" style of investment by favoring securities believed to be selling below a price that would accurately value the underlying company. Because the Adviser's stock selection models typically find more bargains among value stocks and more overpriced securities (short sale opportunities) among growth stocks, the Fund's portfolio has a value exposure. There are other factors beyond value/growth exposures that affect the Fund's performance such as risks associated with specific individual stock selections. 10 SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. Although the Fund's investment strategy seeks to limit the risk associated with investing in the equity market, the value of Fund shares still may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. Because the Adviser could make poor investment decisions about both the long and the short positions of the Fund, the Fund's potential losses exceed those of conventional stock mutual funds that hold only long portfolios. MARKET RISK. Although the Fund seeks to have approximately equal dollar amounts invested in long and short positions, there is a risk that the Adviser will fail to construct a portfolio of long and short positions that has limited exposure to general U.S. stock market movements, capitalization or other risk factors. RISK OF SHORT SALES. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. The Fund is then obligated to buy the security on a later date so it can return the security to the lender. Short sales therefore involve the risk that the Fund will incur a loss by subsequently buying a security at a higher price than the price at which the Fund previously sold the security short. Moreover, because a Fund's loss on a short sale arises from increases in the value of the security sold short, such loss, like the price of the security sold short, is theoretically unlimited. By contrast, a Fund's loss on a long position arises from decreases in the value of the security and therefore is limited by the fact that a security's value cannot drop below zero. SMALL AND MID-SIZE COMPANY RISK. The Fund is subject to additional risk because it invests primarily in the stocks of companies with small and mid-sized market capitalizations, which tend to be less liquid and more volatile than stocks of companies with relatively large market capitalizations. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. 11 YEARLY PERFORMANCE (%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE
CALENDAR YEAR END ANNUAL RETURN (%) 1998 -0.71% 1999 -11.41%
During all periods shown in the bar graph, the Fund's highest quarterly return was 1.90%, for the quarter ended 9/30/98, and its lowest quarterly return was -9.51%, for the quarter ended 3/31/00. PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of 3-Month U.S. Treasury Bills. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE SINCE INCEPTION OF INCEPTION INSTITUTIONAL OF INVESTOR PAST ONE SHARES SHARES YEAR (12/16/97) (12/18/97) --------------- -------------- -------------- Institutional Shares...................................... -11.41% -6.23% Investor Shares........................................... -11.70% -6.61% 3-Month U.S. T-Bills*..................................... 4.74% 4.97% 4.95%
- ------------------------ * Treasury Bills have a fixed rate of return, investors in Treasury Bills do not risk losing their investment, and an investment in the Fund is more volatile than an investment in Treasury Bills. For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares and Investor Shares were - -12.68% and -12.82%, respectively. The return on 3-Month U.S. T-Bills for that period was 2.74%. AXA ROSENBERG DOUBLE ALPHA MARKET FUND The AXA Rosenberg Double Alpha Market Fund currently invests in the AXA Rosenberg Value Market Neutral Fund. Once the AXA Rosenberg Multi-Strategy Market Neutral Fund becomes operational, the Fund will invest in that Fund instead of the AXA Rosenberg Value Market Neutral Fund. The Trust expects the AXA Rosenberg Multi-Strategy Market Neutral Fund to become operational within the next year. At the time of the switch from investing in the AXA Rosenberg Value Market Neutral Fund to investing in the AXA Rosenberg Multi-Strategy Market Neutral Fund, gains, if any, on shares of the AXA Rosenberg Value Market Neutral Fund will be recognized for tax purposes. The Trust will supplement this prospectus to reflect that change when and if it occurs. Therefore, you should consider the principal investment strategies and principal risks of the AXA Rosenberg Value Market Neutral Fund and/or the 12 risks of the AXA Rosenberg Multi-Strategy Market Neutral Fund, as applicable, as described above and below, respectively, in deciding whether to invest in the AXA Rosenberg Double Alpha Market Fund. INVESTMENT OBJECTIVE The Fund seeks a total return greater than that of the Standard & Poor's 500 Composite Stock Price Index (the "S&P 500 Index"). SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund invests primarily in shares of the AXA Rosenberg Value Market Neutral Fund (or, when it becomes operational, the AXA Rosenberg Multi-Strategy Market Neutral Fund) while simultaneously utilizing S&P 500 Index Futures, options on S&P 500 Index Futures and/or equity swap contracts to gain exposure to the equity market as measured by the S&P 500 Index. The Fund will purchase these S&P 500 Index instruments in an amount approximately equal to the net asset value of the Fund in order to gain full net exposure to the U.S. equity market as measured by the S&P 500 Index. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. Because the Adviser could make poor investment decisions about both the long and the short positions of the Fund, the Fund's potential losses exceed those of conventional stock mutual funds that hold only long portfolios. INDEX FUTURES RISK. As indicated above, the Fund uses S&P 500 Index Futures, options on S&P 500 Index Futures and/or equity swap contracts, each of which is a financial contract whose value depends on, or is derived from, the value of an underlying asset, reference rate or index. In addition to other risks such as the risk that the counterparty will be unable or unwilling to perform its obligations, derivatives involve the risk of mispricing or improper valuation and the risk that changes in the value of a derivative may not correlate perfectly with relevant assets, rates and indices, such as the S&P 500 Index. The liquidity and the value of a derivative may be subject to significant fluctuations, and the Fund may at times be unable to sell a derivative and may incur ongoing costs associated with that inability. RISKS OF EQUITY SWAP CONTRACTS. The Fund may engage in equity swap contracts, through which a counterparty generally agrees to pay the amount, if any, by which the agreed upon or "notional" amount specified in the equity swap contract would have increased in value had it been invested in the basket of stocks comprising the S&P 500 Index, plus the dividends that would have been received on those stocks. If there is a default by the counterparty to an equity swap contract, the Fund will be limited to contractual remedies pursuant to the agreements related to the transaction, which may entail additional expense for the Fund. The Fund's use of equity swap contracts may result in the Fund realizing more income subject to tax at ordinary income tax rates than it would if it did not engage in equity swap contracts. There is no assurance that the equity swap contract counterparties will be able to meet their obligations or that, in the event of default, the AXA Rosenberg Double Alpha Market Fund will succeed in pursing contractual remedies. The Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to these contracts. RISKS THROUGH INVESTMENT IN THE AXA ROSENBERG VALUE MARKET NEUTRAL FUND OR THE AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND, AS APPLICABLE. Through its investment in shares of the AXA Rosenberg 13 Value Market Neutral Fund (or, once it becomes operational, the AXA Rosenberg Multi-Strategy Market Neutral Fund), the Fund is subject to the risks to which the applicable underlying Fund is subject (see above and below). For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. YEARLY PERFORMANCE (%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE
CALENDAR YEAR END ANNUAL RETURN (%) 1999 2.17%
During all periods shown in the bar graph, the Fund's highest quarterly return was 14.21%, for the quarter ended 12/31/99, and its lowest quarterly return was -8.19%, for the quarter ended 9/30/99. PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of a broad-based securities market index. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE INCEPTION OF INSTITUTIONAL AND INVESTOR PAST ONE SHARES YEAR (4/22/98) --------------- --------------- Institutional Shares........................................ 2.17% 3.66% Investor Shares............................................. 1.91% 3.35% S&P 500 Index*.............................................. 21.04% 18.92%
- ------------------------ * The S&P 500 Index is an unmanaged, weighted index of 500 U.S. industrial, transportation, utility and financial companies. 14 For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares and Investor Shares were - -14.46% and -14.58%, respectively. The S&P 500 Index return for that period was - -0.42%. AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND INVESTMENT OBJECTIVE The Fund seeks to increase the value of your investment in bull markets and in bear markets through strategies designed to maintain minimal net exposure to general equity market risk. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund seeks to achieve its investment objective by buying common stocks that the Adviser believes are undervalued and by "selling short" stocks that the Adviser believes are overvalued. The Fund seeks to have approximately equal dollar amounts invested in long and short positions. The Fund invests primarily in the 500 largest capitalization stocks that are principally traded in the markets of the United States. The Fund measures its return by a comparison to the return on 3-Month U.S. Treasury Bills. By buying and selling short different stocks, the Fund attempts to limit the effect on its performance of, and the risk associated with, general U.S. stock market movements. Given this use of long and short positions, the Fund expects that its shares will increase in value if the securities in its long portfolio outperform the securities in its short portfolio. By contrast, the Fund expects that its shares will decline in value if the securities in its short portfolio outperform the securities in its long portfolio. Under normal circumstances, the Adviser's stock selection models will result in the Fund's long and short positions being overweighted in different sectors (including industries within different sectors). The Adviser uses fundamental and quantitative investment principles to determine which securities to buy, sell and sell short. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. The Adviser selects sectors to overweight or underweight based on a bottom-up evaluation of the stocks within a sector. If the stock selection models find most stocks within a sector to be attractive, then the Adviser would tend to overweight that sector. If the stock selection models find most stocks within a sector to be unattractive then the Adviser would tend to engage in more short sales with regard to that sector. The optimizer weighs the potential gain of a position against the risk in having overweighted/ underweighted industry exposures (in addition to other risk measures) and suggests trades to improve the return and risk characteristics of the portfolio. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. Although the Fund's investment strategy seeks to limit the risk associated with investing in the equity market, the value of Fund shares still may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. Because the Adviser could make poor investment decisions 15 about both the long and the short positions of the Fund, the Fund's potential losses exceed those of conventional stock mutual funds that hold only long portfolios. MARKET RISK. Although the Fund seeks to have approximately equal dollar amounts invested in long and short positions, there is a risk that the Adviser will fail to construct a portfolio of long and short positions that has limited exposure to general U.S. stock market movements, capitalization, or other risk factors. RISK OF SHORT SALES. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. The Fund is then obligated to buy the security on a later date so it can return the security to the lender. Short sales therefore involve the risk that the Fund will incur a loss by subsequently buying a security at a higher price than the price at which the Fund previously sold the security short. Moreover, because a Fund's loss on a short sale arises from increases in the value of the security sold short, such loss, like the price of the security sold short, is theoretically unlimited. By contrast, a Fund's loss on a long position arises from decreases in the value of the security and therefore is limited by the fact that a security's value cannot drop below zero. RISK OF OVERWEIGHTING. This is the risk that, by overweighting investments in certain sectors or industries of the U.S. stock market, the Fund will suffer a loss because of general advances or declines on the prices of stocks in those sectors or industries. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund's past performance is not necessarily indicative of its future performance. YEARLY PERFORMANCE (%) -- INSTITUTIONAL SHARES This chart provides some indication of the risks of investing in the Fund by showing changes in the Fund's performance from year to year. EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC YEARLY PERFORMANCE
CALENDAR YEAR END ANNUAL RETURN (%) 1999 7.58%
During all periods shown in the bar graph, the Fund's highest quarterly return was 7.99%, for the quarter ended 12/31/98, and its lowest quarterly return was -1.53%, for the quarter ended 6/30/99. 16 PERFORMANCE TABLE This table shows how the Fund's performance compares with the returns of 3-Month U.S. Treasury Bills. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDING DECEMBER 31, 1999)
SINCE SINCE INCEPTION OF INCEPTION INSTITUTIONAL OF INVESTOR PAST ONE SHARES SHARES YEAR (10/19/98) (11/11/98) -------- --------------- ----------- Institutional Shares................................... 7.58% 12.22% Investor Shares........................................ 7.15% 12.14% 3-Month U.S. T-Bills*.................................. 4.74% 4.83% 4.91%
- ------------------------ * Treasury Bills have a fixed rate of return, investors in Treasury Bills do not risk losing their investment, and an investment in the Fund is more volatile than an investment in Treasury Bills. For the period January 1, 2000 through June 30, 2000, the aggregate (non-annualized) total returns of Institutional Shares and Investor Shares were - -6.37% and -6.40%, respectively. 3-Month U.S. T-Bills return for that period was 2.74%. AXA ROSENBERG ENHANCED 500 FUND INVESTMENT OBJECTIVE The Fund seeks to outperform the total return of the S&P 500 Composite Index (the "S&P 500"). The S&P 500 is an unmanaged, weighted index of 500 U.S. industrial, transportation, utility and financial companies. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund seeks to achieve its investment objective by investing in companies that are included in the S&P 500 and domiciled in the United States. The Fund will generally overweight investments in such companies that the Adviser believes will outperform the S&P 500 and will generally underweight, or avoid altogether, investments in such companies that the Adviser believes will underperform the S&P 500. The Fund attempts to maintain a level of risk that is similar to that associated with the S&P 500 generally. The Adviser uses fundamental and quantitative investment principles to determine which securities to buy and sell. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. The success of the Fund's investment strategy depends upon the Adviser's skill in determining which securities to overweight, underweight or avoid altogether. Therefore, as with any 17 actively managed investment portfolio, the Fund is subject to the risk that its investment adviser will make poor stock selections. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund does not have performance information because it has not yet been operational for a full calendar year. AXA ROSENBERG INTERNATIONAL EQUITY FUND INVESTMENT OBJECTIVE The Fund seeks a total return greater than that of the Morgan Stanley Capital International Europe Australasia, Far East Index (the "MSCI-EAFE Index"). The MSCI-EAFE Index 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. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund invests in the common stocks of large foreign companies. Although the Fund invests primarily in the stocks of companies that comprise the MSCI-EAFE Index, it may invest up to 40% of its assets in the stocks of companies which are not part of the MSCI-EAFE Index but which have characteristics (such as industry classification and country of domicile) similar to those of the MSCI-EAFE companies. The Adviser uses proprietary and quantitative investment principles to determine which securities to buy and sell. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. These models tend to produce a "value" style of investment by favoring securities believed to be selling below a price that would accurately value the underlying company. The appraisal model is more likely to identify stocks with lower price-to-earnings and price-to-book ratios (as compared with companies in the same industry) as attractive for purchase. While the Fund's portfolio has a modest value bias, there are other factors beyond value/growth exposures that affect the Fund's performance, such as industry exposures and risks associated with specific individual stock selections. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. The value of Fund shares may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. The success of the Fund's investment strategy depends upon the Adviser's skill in determining which securities to buy and which securities to sell. Therefore, as with any actively managed investment portfolio, the Fund is subject to the risk that the Adviser will make poor stock selections. FOREIGN INVESTMENT RISK. Investments in securities of foreign issuers involve certain risks that are less significant for investments in securities of U.S. issuers. These include risks of adverse changes in foreign 18 economic, political, regulatory and other conditions, changes in currency exchange rates or exchange control regulations (including currency blockage). A Fund may be unable to obtain and enforce judgments against foreign entities, and issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. Also, the securities of some foreign companies may be less liquid and at times more volatile than securities of comparable U.S. companies. CURRENCY RISK. As a result of its investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar. In either event, the dollar value of these types of investments would be adversely affected. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund does not have performance information because it has not yet been operational for a full calendar year. AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND INVESTMENT OBJECTIVE The Fund seeks to increase the value of your investment in bull markets and in bear markets through strategies designed to maintain minimal net exposure to general equity market risk. SUMMARY OF PRINCIPAL INVESTMENT STRATEGIES The Fund seeks to achieve its investment objective by buying common stocks from all capitalization ranges that the Adviser believes are undervalued and by "selling short" such stocks that the Adviser believes are overvalued. There are no prescribed limits on the Fund's geographic asset distribution, and the Fund has the authority to invest in common stocks traded in securities markets of any country in the world. Initially, however, investments will be limited to securities traded in markets of the United States. The Adviser's computerized investment process is designed to maintain continually approximately equal dollar amounts invested in long and short positions. The Fund measures its return by a comparison to the return on 3-Month U.S. Treasury Bills. By buying and selling short different stocks, the Fund attempts to limit the effect on its performance of, and the risk associated with, general stock market movements and value/growth cycles. Given this use of long and short positions, the Fund expects that its shares will increase in value if the securities in its long portfolio outperform the securities in its short portfolio. By contrast, the Fund expects that its shares will decline in value if the securities in its short portfolio outperform the securities in its long portfolio. The Adviser's stock selection models may result in the Fund's long and short positions being overweighted in different sectors (including industries within sectors). The Adviser uses fundamental and quantitative investment principles to determine which securities to buy, sell and sell short. Using these principles, the Adviser employs a bottom-up approach based on two stock selection models: (1) an appraisal model, which estimates a fair value for each company in the Adviser's database based on various fundamental data and (2) a near-term prospects model, which estimates year-ahead earnings based on fundamental data as well as investor sentiment data such as analysts' earnings estimates and broker buy/sell recommendations. The Adviser selects sectors to overweight or underweight based on a bottom-up evaluation of the stocks within a sector. If the stock selection models find most stocks within a sector to be attractive, then 19 the Adviser would tend to overweight that sector. If the stock selection models find most stocks within a sector to be unattractive then the Adviser would tend to engage in more short sales with regard to that sector. The optimizer weighs the potential gain of a position against the risk in having overweighted/ underweighted industry exposures (in addition to other risk measures) and suggests trades to improve the return and risk characteristics of the portfolio. SUMMARY OF PRINCIPAL RISKS As with any stock mutual fund, you may lose money if you invest in the Fund. Among the principal risks that could adversely affect the value of the Fund's shares and cause you to lose money on your investment are: INVESTMENT RISKS. Although the Fund's investment strategy seeks to limit the risk associated with investing in the equity market, the value of Fund shares still may increase or decrease depending on external conditions affecting the Fund's portfolio. These conditions depend upon market, economic, political, regulatory and other factors. MANAGEMENT RISK. Any actively managed investment portfolio is subject to the risk that its investment adviser will make poor stock selections. Because the Adviser could make poor investment decisions about both the long and the short positions of the Fund, the Fund's potential losses exceed those of conventional stock mutual funds that hold only long portfolios. MARKET RISK. Although the Fund seeks to have approximately equal dollar amounts invested in long and short positions, there is a risk that the Adviser will fail to construct a portfolio of long and short positions that has limited exposure to general global stock market movements, capitalization, or other risk factors. RISK OF SHORT SALES. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. The Fund is then obligated to buy the security on a later date so it can return the security to the lender. Short sales therefore involve the risk that the Fund will incur a loss by subsequently buying a security at a higher price than the price at which the Fund previously sold the security short. Moreover, because a Fund's loss on a short sale arises from increases in the value of the security sold short, such loss, like the price of the security sold short, is theoretically unlimited. By contrast, a Fund's loss on a long position arises from decreases in the value of the security and therefore is limited by the fact that a security's value cannot drop below zero. FOREIGN INVESTMENT RISK. Investments in securities of foreign issuers involve certain risks that are less significant for investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions, changes in currency exchange rates or exchange control regulations (including currency blockage). A Fund may be unable to obtain and enforce judgments against foreign entities, and issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. Also, the securities of some foreign companies may be less liquid and at times more volatile than securities of comparable U.S. companies. CURRENCY RISK. As a result of its investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar, or, in the case of hedging positions, that the U.S. Dollar will decline in value relative to the currency hedged. In either event, the dollar value of these types of investments would be adversely affected. 20 SMALL AND MID-SIZE COMPANY RISK. The Fund is subject to additional risk because it invests a portion of its assets in the stocks of companies with small and mid-sized market capitalizations, which tend to be less liquid and more volatile than stocks of companies with relatively large market capitalizations. RISK OF OVERWEIGHTING. This is the risk that, by overweighting investments in certain sectors or industries of the stock market, the Fund will suffer a loss because of general advances or declines on the prices of stocks in those sectors or industries. For a more detailed description of these and other risks associated with an investment in the Fund, turn to page 37. PERFORMANCE INFORMATION The Fund does not have performance information because it has not yet been operational for a full calendar year. FEES AND EXPENSES THESE TABLES DESCRIBE THE FEES AND EXPENSES THAT YOU MAY PAY IF YOU BUY AND HOLD SHARES OF THE FUNDS. AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND
INSTITUTIONAL INVESTOR ADVISER ------------- -------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None None Maximum Deferred Sales Charge (Load)...................... None None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None None Redemption Fee............................................ None None None Exchange Fee.............................................. None None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR ADVISER - --------------- ------------- -------- -------- Management Fees............................................. 0.90% 0.90% 0.90% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% 0.25% Other Expenses.............................................. 0.33% 0.48%(a) 0.33% Total Annual Fund Operating Expenses........................ 1.23% 1.63% 1.48% ---- ---- ---- Fee Waiver and/or Expense Reimbursement (b)................. 0.08% 0.08% 0.08% Net Expenses................................................ 1.15% 1.55% 1.40% ==== ==== ====
- ------------------------ (a) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (b) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 21 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional........... $117 $382 $668 $1,482 Investor................ $158 $506 $879 $1,926 Adviser................. $143 $460 $800 $1,762
AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 1.00% 1.00% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses.............................................. 0.96% 1.11%(a) Total Annual Fund Operating Expenses........................ 1.96% 2.36% ---- ---- Fee Waiver and/or Expense Reimbursement (b)................. 0.46% 0.46% Net Expenses................................................ 1.50% 1.90% ==== ====
- ------------------------ (a) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (b) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 22 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional.......... $153 $571 $1,015 $2,248 Investor............... $193 $693 $1,219 $2,661
AXA ROSENBERG JAPAN FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 1.00% 1.00% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses.............................................. 8.31% 8.46%(a) Total Annual Fund Operating Expenses........................ 9.31% 9.71% ---- ---- Fee Waiver and/or Expense Reimbursement (b)................. 7.81% 7.81% Net Expenses................................................ 1.50% 1.90% ==== ====
- ------------------------ (a) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (b) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual 23 Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional.......... $153 $1,998 $3,687 $7,313 Investor............... $193 $2,102 $3,835 $7,503
AXA ROSENBERG VALUE MARKET NEUTRAL FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 1.50% 1.50% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses Dividend Expenses on Securities Sold Short................ 1.04% 1.04% Remainder of Other Expenses............................... 0.46% 0.61%(a) Total..................................................... 1.50% 1.65% ---- ---- Total Annual Fund Operating Expenses........................ 3.00% 3.40% ---- ---- Fee Waiver and/or Expense Reimbursement (b)................. 0.21% 0.21% Net Expenses................................................ 2.79% 3.19% ==== ====
- ------------------------ (a) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (b) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees, extraordinary expenses and dividends and interest paid on securities sold short) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual 24 Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional.......... $282 $908 $1,559 $3,303 Investor............... $322 $1,025 $1,751 $3,671
AXA ROSENBERG DOUBLE ALPHA MARKET FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 0.10% 0.10% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses (a) Dividend Expenses on Securities Sold Short................ 1.04% 1.04% Remainder of Other Expenses............................... 3.64% 3.79%(b) ---- ---- Total....................................................... 4.68% 4.83% ---- ---- Total Annual Fund Operating Expenses........................ 4.78% 5.18% ---- ---- Fee Waiver and/or Expense Reimbursement (c)................. 1.64% 1.64% Net Expenses................................................ 3.14% 3.54% ==== ====
- ------------------------ (a) Because the AXA Rosenberg Double Alpha Market Fund invests in the AXA Rosenberg Value Market Neutral Fund, its "Other Expenses" include the net expenses of that Fund, including that Fund's net management fees after waiver and its expenses from dividends on securities sold short. As explained above and below, the Trust expects that at some time during the next year the Fund will switch from investing in the AXA Rosenberg Value Market Neutral Fund to investing in the AXA Rosenberg Multi-Strategy Market Neutral Fund. After that switch occurs (if it occurs), the Fund's "Other Expenses" will include the net expenses of that Fund instead of those of the AXA Rosenberg Value Market Neutral Fund. At that time, the Trust will supplement this Prospectus, and included in that supplement will be an explanation of the impact on the Fund's "Other Expenses". (b) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (c) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees, extraordinary expenses and dividends and interest paid on securities sold short) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 25 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional.......... $317 $1,293 $2,273 $4,743 Investor............... $357 $1,406 $2,451 $5,049
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 1.00% 1.00% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses Dividend Expenses on Securities Sold Short................ 1.02% 1.02% Remainder of Other Expenses............................... 0.79% 0.94%(a) Total....................................................... 1.81% 1.96% ---- ---- Total Annual Fund Operating Expenses........................ 2.81% 3.21% ---- ---- Fee Waiver and/or Expense Reimbursement (b)................. 0.54% 0.54% Net Expenses................................................ 2.27% 2.67% ==== ====
- ------------------------ (a) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (b) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees, extraordinary expenses and dividends and interest paid on securities sold short) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 26 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS 5 YEARS 10 YEARS - ----- -------- -------- -------- -------- Institutional.......... $230 $820 $1,436 $3,099 Investor............... $270 $939 $1,632 $3,476
AXA ROSENBERG ENHANCED 500 FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 0.50% 0.50% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses (a).......................................... 0.58% 0.73%(b) Total Annual Fund Operating Expenses........................ 1.08% 1.48% ---- ---- Fee Waiver and/or Expense Reimbursement (c)................. 0.33% 0.33% Net Expenses................................................ 0.75% 1.15% ==== ====
- ------------------------ (a) Because the Fund is a new fund (as defined in Form N-1A under the Investment Company Act of 1940, as amended), "Other Expenses" are based on estimated amounts for the current fiscal year. (b) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (c) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 27 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS - ----- -------- -------- Institutional......................................... $77 $311 Investor.............................................. $117 $436
AXA ROSENBERG INTERNATIONAL EQUITY FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 0.85% 0.85% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses (a).......................................... 1.70% 1.85% (b) Total Annual Fund Operating Expenses........................ 2.55% 2.95% ------- ----- Fee Waiver and/or Expense Reimbursement (c)................. 1.20% 1.20% Net Expenses................................................ 1.35% 1.75% ======= =====
- ------------------------ (a) Because the Fund is a new fund (as defined in Form N-1A under the Investment Company Act of 1940, as amended), "Other Expenses" are based on estimated amounts for the current fiscal year. (b) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (c) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees and extraordinary expenses) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. 28 EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS - ----- -------- -------- Institutional......................................... $137 $679 Investor.............................................. $178 $800
AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND
INSTITUTIONAL INVESTOR ------------- -------- SHAREHOLDER FEES (paid directly from your investment): Maximum Sales Charge (Load) Imposed on Purchases.......... None None Maximum Deferred Sales Charge (Load)...................... None None Maximum Sales Charge (Load) Imposed on Reinvested Dividends............................................... None None Redemption Fee............................................ None None Exchange Fee.............................................. None None
ANNUAL FUND OPERATING EXPENSES (EXPENSES THAT ARE DEDUCTED FROM FUND ASSETS)
CLASS OF SHARES INSTITUTIONAL INVESTOR - --------------- ------------- -------- Management Fees............................................. 1.50% 1.50% Distribution and Shareholder Service (12b-1) Fees........... None 0.25% Other Expenses (a) Dividend Expenses on Securities Sold Short................ 1.00% 1.00% Remainder of Other Expenses (b)........................... 0.55% 0.70% Total..................................................... 1.55% 1.70%(c) Total Annual Fund Operating Expenses........................ 3.05% 3.45% ---- ---- Fee Waiver and/or Expense Reimbursement (d)................. 0.55% 0.55% Net Expenses................................................ 2.50% 2.90% ==== ====
- ------------------------ (a) Because the Fund is a new fund (as defined in Form N-1A under the Investment Company Act of 1940, as amended), "Other Expenses" are based on estimated amounts for the current fiscal year. (b) The Trust expects that the Fund will begin investing globally at some time within a year of the date of this Prospectus. Foreign investments involve greater custodial costs than domestic investments. When the Fund begins investing globally, therefore, the Fund's "Remainder of Other Expenses" will increase to 0.69% for Institutional Shares and to 0.84% for Investor Shares and its "Total Other Expenses" will similarly increase to 1.69% for Institutional Shares and to 1.84% for Investor Shares. At that time, the Fund's "Fee Waiver and/or Expense Reimbursement" will also increase to 0.69% for both classes, however, so the "Net Expenses" to the shareholder will remain unchanged. The Trust plans to supplement the Prospectus to notify shareholders when this change occurs. 29 (c) The Trustees have authorized the payment of up to 0.15% of the Fund's average daily net assets attributable to Investor Shares for subtransfer and subaccounting service in connection with such shares. (d) The Adviser has contractually undertaken to waive its management fee and bear certain expenses (exclusive of nonrecurring account fees, extraordinary expenses and dividends and interest paid on securities sold short) until further notice (and in any event at least until 3/31/01). Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. EXAMPLE This example is intended to help you compare the cost of investing in the Fund with the cost of investing in other mutual funds. The example assumes that you invest $10,000 in the Fund for the time periods indicated and then redeem all of your shares at the end of those periods. The example also assumes that your investment earns a 5% return each year and that the Fund's operating expenses remain the same as the Total Annual Fund Operating Expenses shown above. Your actual costs may be higher or lower. Based on these assumptions, your costs would be:
CLASS 1 YEAR 3 YEARS - ----- -------- -------- Institutional......................................... $253 $891 Investor.............................................. $293 $1,008
INVESTMENT OBJECTIVES AND PRINCIPAL INVESTMENT STRATEGIES Except as explicitly described otherwise, the investment objective and policies of each of the Funds may be changed without shareholder approval. AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND The Fund seeks a total return greater than that of the Russell 2000 Index through investment primarily in the common stocks of smaller companies (i.e. - companies that have market capitalizations of up to $3.85 billion, which corresponds with the market capitalization of the largest company in the Russell 2000 after the reconstitution of the Index on May 31, 2000) that are traded principally in the markets of the United States ("Small Capitalization Securities"). The definition of Small Capitalization Securities may change from time to time to correspond with the market capitalization of the largest company in the Russell 2000. Total return is a combination of capital appreciation and current income (dividend or interest). Because the companies in which the Fund invests typically do not distribute significant amounts of company earnings to shareholders, the Fund's objective will place relatively greater emphasis on capital appreciation than on current income. The Fund's investment objective is non-fundamental and thus may be changed by the Trustees without shareholder approval. It is currently expected that, under normal circumstances, most of the Fund's assets will be invested in Small Capitalization Securities. Investments in issuers of Small Capitalization Securities may present greater opportunities for capital appreciation because of high potential earnings growth, but may also involve greater risk. See "Principal Risks -- Smaller Company Risk." During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long-term capital gain distributions. 30 FUNDAMENTAL POLICIES. It is a fundamental policy of the Fund, which may not be changed without shareholder approval, that at least 65% of the Fund's total assets will be invested in Small Capitalization Securities. AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND The Fund seeks a total return greater than that of the Cazenove Rosenberg Global Smaller Companies Index excluding the United States ("CRIexUS") through investment primarily in equity securities that are traded principally in securities markets outside of the United States of companies with market capitalizations of $5 million and $3.5 billion at the time of purchase by the Fund ("International Small Capitalization Companies"). This corresponds with the defining range (as of May 1, 2000) of market capitalization of companies in the CRIexUS, which represents the performance of companies in the lowest 15% by market capitalization in mature markets(1) other than the United States. The definition of International Small Capitalization Companies may change from time to time to correspond with the capitalization range of companies included in CRIexUS. Total return is a combination of capital appreciation and current income (dividend or interest). Because the companies in which the Fund invests typically do not distribute significant amounts of company earnings to shareholders, the Fund's objective will place relatively greater emphasis on capital appreciation than on current income. There are no prescribed limits on the Fund's geographic asset distribution, and the Fund has the authority to invest in securities traded in securities markets of any country in the world. It is currently expected that the Fund will invest in approximately twenty-one different countries across three regions -- Europe, Pacific and North America (excluding the United States). Under certain adverse investment conditions, the Fund may restrict the number of securities markets in which its assets will be invested, although under normal market circumstances, the Fund's investments will involve securities principally traded in at least three different countries. So long as the Fund's name remains unchanged, at least 65% of the Fund's total assets will be invested in common stocks of International Small Capitalization Companies. Investments in such companies may present greater opportunities for capital appreciation because of high potential earnings growth, but may also involve greater risk. See "Principal Risks -- Smaller Company Risk." The Fund will not normally invest in securities of United States issuers traded on United States securities markets. During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long-term capital gain distributions. AXA ROSENBERG JAPAN FUND The Fund seeks a total return greater than that of the Tokyo Stock Price Index ("TOPIX") of the Tokyo Stock Exchange. TOPIX is a capitalization-weighted index of all stocks in the First Section of the Tokyo Stock Exchange. The Fund will seek to meet this objective primarily through investment in Japanese equity securities, primarily in common stocks of Japanese Companies. Total return is a combination of capital appreciation and current income (dividend or interest). The Fund expects that any income it derives will be from dividend or interest payments on securities. It is currently expected that, under normal circumstances, the Fund will invest at least 90% of its net assets in "Japanese Securities," that is, securities issued by entities ("Japanese Companies") that are - ------------------------ (1) The Index includes 21 developed countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K. 31 organized under the laws of Japan and that either have 50% or more of their assets in Japan or derive 50% or more of their revenues from Japan. Although the Fund will invest primarily in common stocks of Japanese Companies, it may also invest in other Japanese Securities, such as convertible preferred stock or debentures, warrants or rights, as well as short-term government debt securities or other short-term prime obligations (I.E., high quality debt obligations maturing not more than one year from the date of issuance). The Fund will not ordinarily purchase warrants or rights, although it may receive warrants or rights through distributions on other securities it owns. In those cases, the Fund expects to sell such warrants and rights within a reasonable period of time following their distribution to the Fund. The Fund currently intends to make its investments principally in the securities of Japanese Companies that have an active market for their shares and have been subject for at least two years to the financial accounting rules for a company whose securities are traded on a Japanese securities exchange. In the discretion of the Fund's management, the balance of the Fund's investments may be in companies that do not meet such qualifications, although the nature of the market for the shares will always be an important consideration in determining whether the Fund will invest in such shares. The Fund anticipates that most Japanese equity securities in which it will invest, either directly or indirectly (by means of convertible debentures), will be listed on securities exchanges in Japan. The Fund will invest almost exclusively in Japanese Securities. It is a fundamental policy of the Fund, which may not be changed without shareholder approval, that at least 65% of the Fund's total assets will be invested in Japanese Securities. Generally, the Adviser will not vary the percentage of the Fund's assets which are invested in Japanese Securities based on its assessment of Japanese economic, political or regulatory developments or changes in currency exchange rates. However, the Adviser has from time to time hedged up to 21% of the Fund's portfolio value and reserves the right to hedge up to 100% of the Fund's total assets against a possible decline in the Japanese securities market by utilizing futures and options on futures on Japanese stock indices as described above. Because a high percentage of the Fund's assets will be invested in Japanese Securities, investment in the Fund will involve the general risks associated with investing in foreign securities. See "Principal Risks -- Foreign Investment Risk." In addition, investors will be subject to the market risk associated with investing almost exclusively in stocks of companies which are subject to Japanese economic factors and conditions. Since the Japanese economy is dependent to a significant extent on foreign trade, the relationships between Japan and its trading partners and between the yen and other currencies are expected to have a significant impact on particular Japanese Companies and on the Japanese economy generally. The Fund is designed for investors who are willing to accept the risks associated with changes in such conditions and relationships. During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long-term capital gain distributions. INDEX FUTURES. The Fund may also purchase futures contracts or options on futures contracts on TOPIX or the NIKKEI 225 Index ("NIKKEI") for investment purposes. TOPIX futures are traded on the Chicago Board of Trade and NIKKEI futures are traded on the Chicago Mercantile Exchange. See "Certain Investment Techniques and Related Risks -- Stock Index Futures." AXA ROSENBERG VALUE MARKET NEUTRAL FUND The Fund seeks to increase the value of your investment in bull markets and in bear markets through strategies designed to maintain limited net exposure to general equity market risk. The Fund measures its return by a comparison to the return on 3-Month U.S. Treasury Bills. The Fund attempts to achieve its objective by taking long positions in stocks principally traded in the markets of the United States that the Adviser has identified as undervalued and short positions in such stocks that the Adviser has identified as 32 overvalued. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. By taking long and short positions in different stocks, the Fund attempts to limit the effect of general stock market movements on the Fund's performance. The Adviser's stock selection process focuses on the identification of stocks with attractively priced fundamentals and future expected earnings at reasonable current prices. Because the Adviser's stock selection models typically find more bargains among value stocks and more overpriced securities (short sale opportunities) among growth stocks, the Fund's portfolio has a value exposure. It is expected that the Fund can achieve a positive return if the securities in the Fund's long portfolio outperform the securities in the Fund's short portfolio. Conversely, it is expected that the Fund will incur losses if the securities in the Fund's long portfolio underperform the securities in the Fund's short portfolio. The Adviser will determine the size of each long or short position by analyzing the tradeoff between the attractiveness of each position and its impact on the risk characteristics of the overall portfolio. The Fund seeks to construct a diversified portfolio that has limited net exposure to the U.S. equity market risk generally and near neutral exposure to specific industries, specific capitalization ranges and certain other risk factors. It is currently expected that the long and short positions of the Fund will be invested primarily in small and mid-capitalization stocks. For purposes of the preceding sentence, the 200 stocks principally traded stocks in the markets of the United States with the largest market capitalizations are considered large capitalization stocks, the next 800 largest stocks are considered mid-capitalization stocks and all other stocks are considered small capitalization stocks. Stocks of companies with relatively small market capitalizations tend to be less liquid and more volatile than stocks of companies with relatively large market capitalizations. The Adviser uses the return that an investor could achieve through an investment in 3-month U.S. Treasury Bills as a benchmark against which to measure the Fund's performance. The Adviser attempts to achieve returns for the Fund's shareholders that exceed the benchmark. An investment in the Fund is different from an investment in 3-month U.S. Treasury Bills because, among other things, Treasury Bills are backed by the full faith and credit of the U.S. Government, Treasury Bills have a fixed rate of return, investors in Treasury Bills do not risk losing their investment, and an investment in the Fund is more volatile than an investment in Treasury Bills. During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long- term capital gain distributions. AXA ROSENBERG DOUBLE ALPHA MARKET FUND The Fund seeks a total return greater than the return of the S&P 500 Index. The Fund seeks to achieve its objective by investing in shares of the AXA Rosenberg Value Market Neutral Fund (or the AXA Rosenberg Multi-Strategy Market Neutral Fund, once that Fund becomes operational) while simultaneously utilizing, with the majority of the remainder of its assets, S&P 500 Index Futures, options on S&P 500 Index Futures, equity swap contracts or a combination thereof to gain exposure to the equity market as measured by the S&P 500 Index. The "double alpha" component of the Fund's name refers to the fact that the AXA Rosenberg Value Market Neutral Fund can achieve gains on both long and short positions, unlike most conventional mutual funds. The "market" component of the name refers to the exposure to the general equity market that the Fund gains through its investments in S&P 500 instruments. Once the AXA Rosenberg Multi-Strategy Market Neutral Fund becomes operational, the Fund will invest in that Fund instead of the AXA Rosenberg Value Market Neutral Fund. The Trust expects the AXA Rosenberg Multi-Strategy Market Neutral Fund to become operational within the next year. At the time of the switch from investing in the AXA Rosenberg Value Market Neutral Fund to investing in the AXA 33 Rosenberg Multi-Strategy Market Neutral Fund, gains, if any, on shares of the AXA Rosenberg Value Market Neutral Fund will be recognized for tax purposes. The Trust will supplement this prospectus to reflect that change when and if it occurs. The Fund has received an exemptive order from the Securities and Exchange Commission allowing it to invest in securities other than those described in Section 12(d)(1)(G) of the Investment Company Act of 1940, as amended (the "1940 Act") while investing without limit in other Funds of the Trust. Once the Fund has indirectly constructed a diversified long and short portfolio through the purchase of shares of the AXA Rosenberg Value Market Neutral Fund (or the AXA Rosenberg Multi-Strategy Market Neutral Fund, once that Fund becomes operational), the Fund will purchase S&P 500 Index Futures, options on S&P 500 Index Futures or equity swap contracts in an amount approximately equal to the net asset value of the Fund in order to gain full net exposure to the U.S. equity market as measured by the S&P 500 Index. The S&P 500 Index is an unmanaged, weighted index of 500 U.S. industrial transportation, utility and finance companies. As noted above, the Fund may engage in equity swap contracts, through which a counterparty generally agrees to pay the amount, if any, by which the agreed upon or "notional" amount specified in the equity swap contract would have increased in value had it been invested in the basket of stocks comprising the S&P 500 Index, plus the dividends that would have been received on those stocks. The Fund agrees to pay to the counterparty a floating rate of interest (typically the London Inter Bank Offered Rate) on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to the Fund on any equity swap contract should be the gain or loss on the notional amount plus dividends on the stocks comprising the S&P 500 Index (as if the Fund had invested the notional amount in stocks comprising the S&P 500 Index) less the interest paid by the Fund on the notional amount. Therefore, the Fund will generally realize a loss if the value of the S&P 500 Index declines and will generally realize a gain if the value of the S&P 500 Index rises. The Fund will enter into equity swap contracts only on a net basis, I.E., where the two parties' obligations are netted out, with the Fund paying or receiving, as the case may be, only the net amount of any payments. Equity swap contracts involve special risks that are described in the Principal Risks section. During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long-term capital gain distributions. AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND The Fund seeks long-term capital appreciation while maintaining minimal exposure to general equity market risk. The Fund measures its return by a comparison to the return on 3-month U.S. Treasury Bills. The Fund attempts to achieve its investment objective by taking long positions in stocks principally traded in the markets of the United States that the Adviser has identified as undervalued and short positions in such stocks that the Adviser has identified as overvalued. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. By taking long and short positions in different stocks, the Fund attempts to cancel out the effect of general stock market movements on the Fund's performance. It is expected that the Fund can achieve a positive return if the securities in the Fund's long portfolio outperform the securities in the Fund's short portfolio. Conversely, it is expected that the Fund will incur losses if the securities in the Fund's long portfolio underperform the securities in the Fund's short portfolio. The Fund seeks to construct a diversified portfolio that has minimal net exposure to the U.S. equity market generally. It is currently expected that the long and short positions of the Fund will be invested primarily in the 500 largest capitalization stocks principally traded in the markets of the United States. Under normal circumstances, the Adviser's stock selection models will result in the Fund's long and short 34 positions being overweighted in different sectors (including industries within different sectors). In other words, the Fund may take long positions in a sector of the market that are not offset by short positions in that sector and vice versa. Consequently, the Fund may have net exposures to different industries and sectors of the market, thereby increasing the risk of the Fund and the opportunity for loss should the stocks in a particular industry or sector not perform as predicted by the Adviser's stock selection models. The Adviser will determine the size of each long or short position by analyzing the tradeoff between the attractiveness of each position and its impact on the risk characteristics of the overall portfolio. The Adviser uses the return that an investor could achieve through an investment in 3-month U.S. Treasury Bills as a benchmark against which to measure the Fund's performance. The Adviser attempts to achieve returns for the Fund's shareholders which exceed the benchmark. An investment in the Fund is different from an investment in 3-month U.S. Treasury Bills because, among other differences, Treasury Bills are backed by the full faith and credit of the U.S. Government, Treasury Bills have a fixed rate of return, investors in Treasury Bills do not risk losing their investment, and an investment in the Fund is more volatile than an investment in Treasury Bills. During the fiscal year ended March 31, 2000, the Fund engaged in active and frequent trading. Because of the frequency with which the Fund buys and sells portfolio securities, a larger portion of distributions you would receive from the Fund are likely to be short-term capital gains, which are taxed like ordinary dividends, rather than long-term capital gain distributions. AXA ROSENBERG ENHANCED 500 FUND The Fund seeks to outperform the total return of the S&P 500 Composite Index (the "S&P 500") while maintaining a level of risk similar to that associated with the S&P 500 generally. The S&P 500 is an unmanaged, weighted index of 500 U.S. industrial, transportation, utility and financial companies. Total return is a combination of capital appreciation and current income (dividend or interest). The Fund seeks to achieve its investment objective by investing in companies that are included in the S&P 500 ("S&P 500 Companies"). The Fund generally will overweight investments in S&P 500 Companies that the Adviser expects to outperform the S&P 500 and underweight, or avoid altogether, investments in such companies that the Adviser expects to underperform the S&P 500. AXA ROSENBERG INTERNATIONAL EQUITY FUND The Fund seeks a total return greater than that of the Morgan Stanley Capital International Europe Australasia, Far East Index (the "MSCI-EAFE Index"). The MSCI-EAFE Index 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. Total return is a combination of capital appreciation and current income (dividend or interest). The Fund invests in common stocks of large foreign companies. In selecting securities for the Fund, the Adviser seeks to match the capitalization profile of the MSCI-EAFE Index. Although the Fund invests primarily in the stocks of companies that comprise the MSCI-EAFE Index, it may invest up to 40% of its assets in the stocks of companies which are not part of the MSCI-EAFE Index but which have characteristics (such as industry classification and country of domicile) similar to those of the MSCI-EAFE companies. There are no prescribed limits on the Fund's geographic asset distribution, and the Fund has the authority to invest in securities traded in securities markets of any country in the world. It is currently expected that the Fund will invest in approximately 20 different countries across three regions -- Europe, the Far East and Australia. Under certain adverse investment conditions, the Fund may restrict the number of securities markets in which its assets will be invested, although under normal market circumstances, the Fund's investments will involve securities principally traded in at least three different countries. So long as 35 the Fund's name remains unchanged, at least 65% of its assets will be invested in international equity securities. The Fund will not normally invest in securities of United States issuers traded on United States securities markets. AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND The Fund seeks long term growth of capital while maintaining minimal net exposure to general equity market risk by investing primarily in stocks from across all capitalization ranges. There are no prescribed limits on the Fund's geographic asset distribution, and the Fund has the authority to invest in common stocks traded in the securities markets of any country in the world. Initially, however, investments will be limited to securities traded in the markets of the United States. The Fund measures its return by a comparison to the return on 3-Month U.S. Treasury Bills. The Fund seeks to achieve its investment objective by taking long positions in stocks that the Adviser has identified as undervalued and by "selling short" such stocks that the Adviser has identified as overvalued. When the Adviser believes that a security is overvalued relative to other securities in the Fund's long portfolio, it may sell the security short by borrowing it from a third party and selling it at the then current market price. The Adviser's computerized investment process is designed to maintain continually approximately equal dollar amounts invested in long and short positions. By taking long and short positions in different stocks, the Fund attempts to limit the effect on its performance of, and the risk associated with, general stock market movements of each of the countries the Fund invests in. The Fund also seeks "style neutrality," i.e., on average, in the long run, the Adviser expects that there will not be a systematic relationship between the returns of the Fund and the market value/ growth cycles. The Fund can achieve a positive return if the securities in its long portfolio outperform the securities in its short portfolio. Conversely, it is expected that the Fund will incur a loss if the securities in its short portfolio outperform the securities in its long portfolio. The Adviser selects sectors, including industries within sectors, to overweight or underweight based on a bottom-up evaluation of the stocks within a sector. In other words, the Fund may take long positions in a sector of the market that are not offset by short positions in that sector and vice versa. Consequently, the Fund may have net exposures to different industries and sectors of the market, thereby increasing the risk of the Fund and the opportunity for loss should the stocks in a particular industry or sector not perform as predicted by the Adviser's stock selection models. The Adviser will determine the size of each long or short position by analyzing the tradeoff between the attractiveness of each position and its impact on the risk characteristics of the overall portfolio. The Adviser uses the return that an investor could achieve through an investment in 3-month U.S. Treasury Bills as a benchmark against which to measure the Fund's performance. The Adviser attempts to achieve returns for the Fund's shareholders which exceed the benchmark. An investment in the Fund is different from an investment in 3-month U.S. Treasury Bills because, among other differences, Treasury Bills are backed by the full faith and credit of the U.S. Government, Treasury Bills have a fixed rate of return, investors in Treasury Bills do not risk losing their investment, and an investment in the Fund is more volatile than an investment in Treasury Bills. 36 PRINCIPAL RISKS The value of your investment in a Fund changes with the values of the Fund's investments. Many factors can affect those values. This section describes the principal risks that may affect a particular Fund's investments as a whole. Any Fund could be subject to additional risks because the types of investments made by the Funds can change over time. PRINCIPAL RISKS BY FUND
RISKS OF S&P 500 SPECIAL INDEX RISKS SMALL RISKS FUTURES OF AND RISKS OF AND EQUITY MID-SIZED OF INVESTMENT FOREIGN RELATED SWAP COMPANY CURRENCY SHORT PORTFOLIO RISKS INVESTMENTS OPTIONS CONTRACTS RISK RISK SALES TURNOVER ---------- ----------- -------- --------- --------- --------- -------- --------- AXA Rosenberg U.S. Small Capitalization Fund X X X AXA Rosenberg International Small Capitalization Fund X X X X X AXA Rosenberg Japan Fund X X X X AXA Rosenberg Value Market Neutral Fund X X X X AXA Rosenberg Double Alpha Market Fund X X** X X X* X** X* X AXA Rosenberg Select Sectors Market Neutral Fund X X X AXA Rosenberg Enhanced 500 Fund X X AXA Rosenberg International Equity Fund X X X X AXA Rosenberg Multi-Strategy Market Neutral Fund X X X X X X JAPANESE RISKS MANAGEMENT MARKET SECURITIES OF DERIVATIVES RISK RISK RISK OVERWEIGHTING RISK ------------ -------- ---------- ------------- ----------- AXA Rosenberg U.S. Small Capitalization Fund X AXA Rosenberg International Small Capitalization Fund X AXA Rosenberg Japan Fund X X X AXA Rosenberg Value Market Neutral Fund X X AXA Rosenberg Double Alpha Market Fund X X* AXA Rosenberg Select Sectors Market Neutral Fund X X X AXA Rosenberg Enhanced 500 Fund X AXA Rosenberg International Equity Fund X AXA Rosenberg Multi-Strategy Market Neutral Fund X X X
- ---------------------------------------- * This risk is incurred by virtue of the Fund's investment in the AXA Rosenberg Value Market Neutral Fund or, once it becomes operational, the AXA Rosenberg Multi-Strategy Market Neutral Fund. ** This risk will be incurred by virtue of the Fund's investment in the AXA Rosenberg Multi-Strategy Market Neutral Fund once it becomes operational and holds securities traded in markets outside of the United States. INVESTMENT RISKS. An investment in the Funds involves risks similar to those of investing in common stocks directly. Just as with common stocks, the value of Fund shares may increase or decrease depending on market, economic, political, regulatory and other conditions affecting a Fund's portfolio. These types of risks may be greater with respect to investments in securities of foreign issuers. Investment in shares of the Funds is, like investment in common stocks, more volatile and risky than some other forms of investment. Also, each of the AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund and AXA Rosenberg Multi-Strategy Market Neutral Fund (collectively, the "Market Neutral Funds") is subject to the risk that its long positions may decline in value at the same time that the market value of securities sold short increases, thereby increasing the magnitude of the loss that you may suffer on your investment as compared with other stock mutual funds. 37 SPECIAL RISKS OF FOREIGN INVESTMENTS. Investments in securities of foreign issuers involve certain risks that are less significant for investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions, changes in currency exchange rates or exchange control regulations (including limitations on currency movements and exchanges). A foreign government may expropriate or nationalize invested assets, or impose withholding taxes on dividend or interest payments. A Fund may be unable to obtain and enforce judgments against foreign entities. Furthermore, issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. In certain countries, legal remedies available to investors may be more limited than those available with respect to investments in the United States or other countries. The securities of some foreign companies may be less liquid and at times more volatile than securities of comparable U.S. companies. RISKS OF S&P 500 INDEX FUTURES AND RELATED OPTIONS. The AXA Rosenberg Double Alpha Market Fund may invest in S&P 500 Index futures and related options. An S&P 500 Index Future contract (an "Index Future") 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. A unit is the value at a given time of the S&P 500 Index. Entering into a contract to buy units is commonly referred to as buying or purchasing a contract or holding a long position in the S&P 500 Index. An option on an Index Future gives the purchaser the right, in return for the premium paid, to assume a long or a short position in an Index Future. The AXA Rosenberg Double Alpha Market Fund will realize a loss if the value of the S&P 500 Index declines between the time the Fund purchases an Index Future or takes a long position in an Index Future and may realize a gain if the value of the S&P 500 Index rises between such dates. The AXA Rosenberg Double Alpha Market Fund may close out a futures contract purchase by entering into a futures contract sale. This will operate to terminate the Fund's position in the futures contract. Positions in Index Futures may be closed out by the 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. The liquidity of the market in futures contracts could be adversely affected by "daily price fluctuation limits" established by the relevant futures exchange which limit the amount of fluctuation in the price of an Index Future during a single trading day. Once the daily limit has been reached in the contract, no trades may be entered into at a price beyond the limit. In such event, it may not be possible for the Fund to close its futures contract purchase, and, in the event of adverse price movements, the Fund would continue to be required to make daily cash payments of variation margin (payments to and from a broker made on a daily basis as the price of the Index Future fluctuates). The futures market may also attract more speculators than does the securities market, because deposit requirements in the futures market are less onerous than margin requirements in the securities market. Increased participation by speculators in the futures market may also cause price distortions. In addition, the price of Index Futures may not correlate perfectly with movement in the underlying index due to certain market distortions. Further, when the AXA Rosenberg Double Alpha Market Fund purchases an Index Future, it is required to maintain, at all times while an Index Future is held by the Fund, cash, U.S. government securities or other high grade liquid securities in a segregated account with its Custodian, in an amount which, together with the initial margin deposit on the futures contract, is equal to the current value of the futures contract. The ability to establish and close out positions in options on future contracts will be subject to the development and maintenance of a liquid secondary market. It is not certain that such a market will develop. Although the AXA Rosenberg Double Alpha Market Fund generally will purchase only those options for which there appears to be an active secondary market, there is no assurance that a liquid secondary market on an exchange will exist for any particular option or at any particular time. In the event no such market exists for particular options, it might not be possible to effect closing transactions in such options, with the result that the Fund would have to exercise the options in order to realize any profit. 38 RISKS OF EQUITY SWAP CONTRACTS. The AXA Rosenberg Double Alpha Market Fund may engage in equity swap contracts, through which a counterparty generally agrees to pay the amount, if any, by which the agreed upon or "notional" amount specified in the equity swap contract would have increased in value had it been invested in the basket of stocks comprising the S&P 500 Index, plus the dividends that would have been received on those stocks. In exchange for (or as a "swap" for) that agreement by the counterparty, the Fund agrees to pay to the counterparty a floating rate of interest (typically the London Inter Bank Offered Rate) on the notional amount of the equity swap contract plus the amount, if any, by which that notional amount would have decreased in value had it been invested in such stocks. Therefore, the return to the Fund on any equity swap contract should be the gain or loss on the notional amount plus dividends on the stocks comprising the S&P 500 Index (as if the Fund had invested the notional amount in stocks comprising the S&P 500 Index) less the interest paid by the Fund on the notional amount. Therefore, the Fund will generally realize a loss if the value of the S&P 500 Index declines and will generally realize a gain if the value of the S&P 500 Index rises. The Fund will enter into equity swap contracts only on a net basis, I.E., where the two parties' obligations are netted out, with the Fund paying or receiving, as the case may be, only the net amount of any payments. If there is a default by the counterparty to an equity swap contract, the Fund will be limited to contractual remedies pursuant to the agreements related to the transaction. The Fund's use of equity swap contracts may result in the Fund realizing more income subject to tax at ordinary income tax rates than it would if it did not engage in equity swap contracts. There is no assurance that the equity swap contract counterparties will be able to meet their obligations or that, in the event of default, the AXA Rosenberg Double Alpha Market Fund will succeed in pursing contractual remedies. Pursing contractual remedies will also entail additional expense for the Fund. The Fund thus assumes the risk that it may be delayed in or prevented from obtaining payments owed to it pursuant to these contracts. The Fund will closely monitor the credit of equity swap contract counterparties in order to minimize this risk. The Fund will not use equity swap contracts for leverage. The AXA Rosenberg Double Alpha Market Fund will not enter into any equity swap contract unless, at the time of entering into such transaction, the unsecured senior debt of the counterparty is rated at least A by Moody's or S&P. In addition, the staff of the Securities and Exchange Commission considers equity swap contracts to be illiquid securities. Consequently, while the staff maintains this position, the Fund will not invest in equity swap contracts if, as a result of the investment, the total value of such investments together with that of all other illiquid securities which the Fund owns would exceed 15% of the Fund's net assets. The net amount of the excess, if any, of the Fund's obligations over its entitlement with respect to each equity swap contract will be accrued on a daily basis, and an amount of cash, U.S. government securities or other liquid securities having an aggregate market value at least equal to the accrued excess will be maintained in a segregated account by the Fund's Custodian. The Fund does not believe that the Fund's obligations under equity swap contracts are senior securities, so long as such a segregated account is maintained, and accordingly, the Fund will not treat them as being subject to its borrowing restrictions. SMALL AND MID-SIZE COMPANY RISK. Companies with small or mid-sized market capitalizations may be dependent upon a single proprietary product or market niche, may have limited product lines, markets or financial resources, or may depend on a limited management group. Typically, such companies have fewer securities outstanding, which may be less liquid than securities of larger companies. Their common stock and other securities may trade less frequently and in limited volume and are generally more sensitive to purchase and sale transactions. Therefore, the prices of such securities tend to be more volatile than the prices of securities of companies with larger market capitalizations. As a result, the absolute values of changes in the price of securities of companies with small or mid-sized market capitalizations may be greater than those of larger, more established companies. CURRENCY RISK. As a result of their investments in securities denominated in, and/or receiving revenues in, foreign currencies, the International Equity Portfolios of the Trust (I.E. the AXA Rosenberg 39 International Small Capitalization Fund, the AXA Rosenberg Japan Fund, the AXA Rosenberg International Equity Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund) will be subject to currency risk. This is the risk that those currencies will decline in value relative to the U.S. Dollar. In that event, the dollar value of these types of investments would be adversely affected. RISKS OF SHORT SALES. When the Adviser believes that a security is overvalued, it may cause one or more of the Market Neutral Funds to sell the security short by borrowing it from a third party and selling it at the then current market price. The Fund will incur a loss if the price of the borrowed security increases between the time the Fund sells it short and the time the Fund replaces it. The Fund may incur a gain if the price of the borrowed security decreases during that period of time. No Fund can guarantee that it will be able to replace a security at any particular time or at an acceptable price. While the Fund is short a security, it is always subject to the risk that the security's lender will terminate the loan at a time when the Fund is unable to borrow the same security from another lender. If this happens, the Fund must buy the replacement share immediately at the stock's then current market price or "buy in" by paying the lender an amount equal to the cost of purchasing the security to close out the short position. The Fund's gain on a short sale is limited to the difference between the price at which it sold the borrowed security and the price it paid to purchase the security to return to the lender. By contrast, its potential loss on a short sale is unlimited because the loss increases as the price of the security sold short increases, and this price may rise indefinitely. Short sales also involve other costs. Each Market Neutral Fund must repay to the lender any dividends or interest that accrue while it is holding a security sold short. To borrow the security, the Fund also may be required to pay a premium. The Fund also will incur transaction costs in effecting short sales. The amount of any ultimate gain for the Fund resulting from a short sale will be decreased, and the amount of any ultimate loss will be increased, by the amount of premiums, dividends, interest or expenses the Fund may be required to pay in connection with a short sale. Until the relevant Market Neutral Fund replaces a borrowed security, it will maintain daily a segregated account with its Custodian containing cash, U.S. government securities, or other liquid securities. The amount deposited in the segregated account plus any amount deposited as collateral with a broker or other custodian will at least equal the current market value of the security sold short. Depending on the arrangements made with such broker or custodian, the Fund might not receive any payments (including interest) on collateral deposited with the broker or custodian. The assets used to cover the relevant Fund's short sales will not be available to use for redemptions. No Fund will make a short sale if after giving effect to the sale the market value of all securities sold short would exceed 100% of the value of such Fund's net assets. PORTFOLIO TURNOVER. The consideration of portfolio turnover will not constrain the Adviser's investment decisions. Each of the Funds is actively managed and, in some cases, each Fund's portfolio turnover may exceed 100%. Higher portfolio turnover rates are likely to result in comparatively greater brokerage commissions or transaction costs. Such costs will reduce the relevant Fund's return. A higher portfolio turnover rate may also result in the realization of substantial net short-term gains, which are taxable as ordinary income to shareholders when distributed. MANAGEMENT RISK. Each Fund is subject to management risk because it is an actively managed investment portfolio. Management risk is the risk that Adviser will make poor stock selections. The Adviser will apply its investment techniques and risk analyses in making investment decisions for each Fund, but there can be no guarantee that the Adviser will produce the desired results. In some cases, certain investments may be unavailable or the Adviser may not choose certain investments under market conditions when, in retrospect, their use would have been beneficial to a particular Fund or Funds. Each Market Neutral Fund will lose money if the Adviser fails to purchase, sell or sell short different stocks such that the securities in the relevant Fund's long portfolio outperform the securities in the Fund's 40 short portfolio. In addition, management risk is heightened for those Funds because the Adviser could make poor stock selections for both the long and the short portfolios. Also, the Adviser may fail to construct a portfolio for a Market Neutral Fund that has limited exposure to general equity market risk or that has limited exposure to specific industries (in the case of the AXA Rosenberg Value Market Neutral Fund), specific capitalization ranges and certain other risk factors. MARKET RISK. Although each of the Market Neutral Funds seeks to have approximately equal dollar amounts invested in long and short positions, there is a risk that the Adviser will fail to construct for any given Fund a portfolio of long and short positions that has limited exposure to general stock market movements, capitalization or other risk factors. JAPANESE SECURITIES RISK. Investment in the AXA Rosenberg Japan Fund will involve foreign investment risk because that Fund will invest almost exclusively in Japanese Securities. In addition, investors will be subject to the market risk associated with investing almost exclusively in stocks of companies which are subject to Japanese economic factors and conditions. Since the Japanese economy is dependent to a significant extent on foreign trade, the relationships between Japan and its trading partners and between the yen and other currencies are expected to have a significant impact on particular Japanese Companies and on the Japanese economy generally. RISK OF OVERWEIGHTING. This is the risk that, by overweighting investments in certain sectors or industries of the stock market, the AXA Rosenberg Select Sectors Market Neutral Fund and/or the AXA Rosenberg Multi-Strategy Market Neutral Fund will suffer a loss because of general advances or declines on the prices of stocks in those sectors or industries. DERIVATIVES RISK. As noted above, the Adviser may hedge up to 100% of the AXA Rosenberg Japan Fund's total assets by utilizing derivative instruments, which in this case are financial contracts whose value depends upon, or is derived from, the value of an underlying index. In addition to other risks such as the credit risk of the counterparty, derivatives involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate perfectly with relevant indices. CERTAIN ADDITIONAL INVESTMENT TECHNIQUES AND RELATED RISKS The Funds have the flexibility to invest, within limits, in a variety of instruments designed to enhance their investment capabilities. A brief description of certain of these investment instruments and the risks associated with them appears below. You can find more detailed information in the Trust's Statement of Additional Information ("SAI"). CERTAIN ADDITIONAL TECHNIQUES OF THE AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND, AXA ROSENBERG VALUE MARKET NEUTRAL FUND, AXA ROSENBERG DOUBLE ALPHA MARKET FUND, AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND, AXA ROSENBERG ENHANCED 500 FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND. To meet redemption requests or for investment purposes, each of these Funds may temporarily hold a portion of its assets in full faith and credit obligations of the United States government (E.G., U.S. Treasury Bills) and in short-term notes, commercial paper or other money market instruments of high quality (I.E., rated at least "A-2" or "AA" by Standard & Poor's ("S&P") or Prime 2 or "Aa" by Moody's Investors Service, Inc. ("Moody's")) issued by companies having an outstanding debt issue rated at least "AA" by S&P or at least "Aa" by Moody's, or determined by the Adviser to be of comparable quality to any of the foregoing. FOREIGN EXCHANGE TRANSACTIONS. The International Equity Portfolios do not currently intend to hedge the currency risk associated with investments in securities denominated in foreign currencies. However, in order to hedge against possible variations in foreign exchange rates pending the settlement of securities transactions, the International Equity Portfolios reserve the right to buy or sell foreign currencies or to deal in forward foreign currency contracts; that is, to agree to buy or sell a specified currency at a specified 41 price and future date. The International Equity Portfolios also reserve the right to purchase currency futures contracts and related options thereon for similar purposes. For example, if the Adviser anticipates that the value of the yen will rise relative to the dollar, a Fund could purchase a currency futures contract or a call option thereon or sell (write) a put option to protect against a currency-related increase in the price of yen-denominated securities such Fund intends to purchase. If the Adviser anticipates a fall in the value of the yen relative to the dollar, a Fund could sell a currency futures contract or a call option thereon or purchase a put option on such futures contract as a hedge. If the International Equity Portfolios change their present intention and decide to utilize hedging strategies, futures contracts and related options will be used only as a hedge against anticipated currency rate changes (not for investment purposes) and all options on currency futures written by a Fund will be covered. These practices, if utilized, may present risks different from or in addition to the risks associated with investments in foreign currencies. STOCK INDEX FUTURES. A stock index futures contract (an "Index Future") is a contract to buy an integral number of units of the relevant index at a specified future date at a price agreed upon when the contract is made. A unit is the value at a given time of the relevant index. An option on an Index Future gives the purchaser the right, in return for the premium paid, to assume a long or a short position in an Index Future. A Fund will realize a loss if the value of an Index Future declines between the time the Fund purchases an Index Future and the time it sells it and may realize a gain if the value of the Index Future rises between such dates. In connection with a Fund's investment in common stocks, each Fund may invest in Index Futures while the Adviser seeks favorable terms from brokers to effect transactions in common stocks selected for purchase. A Fund may also invest in Index Futures when the Adviser believes that there are not enough attractive common stocks available to maintain the standards of diversity and liquidity set for the Fund, pending investment in such stocks when they do become available. Through the use of Index Futures, a Fund may maintain a portfolio with diversified risk without incurring the substantial brokerage costs which may be associated with investment in multiple issuers. This may permit a Fund to avoid potential market and liquidity problems (E.G., driving up or forcing down the price by quickly purchasing or selling shares of a portfolio security) which may result from increases or decreases in positions already held by a Fund. A Fund may also use Index Futures in order to hedge its equity positions. In contrast to purchases of a common stock, no price is paid or received by a Fund upon the purchase of a futures contract. Upon entering into a futures contract, a Fund will be required to deposit with its custodian in a segregated account in the name of the futures broker a specified amount of cash or securities. This is known by participants in the market as "initial margin." The type of instruments that may be deposited as initial margin, and the required amount of initial margin, are determined by the futures exchange on which the Index Futures are traded. The nature of initial margin in futures transactions is different from that of margin in securities transactions in that futures contract margin does not involve the borrowing of funds by the customer to finance the transactions. Rather, the initial margin is in the nature of a performance bond or good faith deposit on the contract which is returned to the Fund upon termination of the futures contract, assuming all contractual obligations have been satisfied. Subsequent payments, called "variation margin," to and from the broker, will be made on a daily basis as the price of the particular index fluctuates, making the position in the futures contract more or less valuable, a process known as "marking to the market." A Fund may close out a futures contract purchase by entering into a futures contract sale. This will operate to terminate the Fund's position in the futures contract. Final determinations of variation margin are then made, additional cash is required to be paid by or released to the Fund, and the Fund realizes a loss or a gain. A Fund's use of Index Futures involves risk. Positions in Index Futures may be closed out by a 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. The liquidity of the market in 42 futures contracts could be adversely affected by "daily price fluctuation limits" established by the relevant futures exchange which limit the amount of fluctuation in the price of an Index Futures contract during a single trading day. Once the daily limit has been reached in the contract, no trades may be entered into at a price beyond the limit. In such events, it may not be possible for a Fund to close its futures contract purchase, and, in the event of adverse price movements, a Fund would continue to be required to make daily cash payments of variation margin. The futures market may also attract more speculators than does the securities market, because deposit requirements in the futures market are less onerous than margin requirements in the securities market. Increased participation by speculators in the futures market may also cause price distortions. In addition, the price of Index Futures may not correlate perfectly with movement in the underlying index due to certain market disturbances. A Fund will not purchase Index Futures if, as a result, the Fund's initial margin deposits on transactions that do not constitute "bona fide hedging" under relevant regulations of the Commodities Futures Trading Commission would be greater than 5% of the Fund's total assets. In addition to margin deposits, when a Fund purchases an Index Future, it is required to maintain, at all times while an Index Future is held by the Fund, cash, U.S. government securities or other high grade liquid securities in a segragated account with its Custodian in an amount which, together with the initial margin deposit on the futures contract, is equal to the current value of the futures contract. Further, the ability to establish and close out positions in options on future contracts will be subject to the development and maintenance of a liquid secondary market. It is not certain that such a market will develop. There is no assurance that a liquid secondary market will exist for any particular option or at any particular time. REPURCHASE AGREEMENTS. Each Fund may enter into repurchase agreements, by which a Fund purchases a security and obtains a simultaneous commitment from the seller (a bank or, to the extent permitted by the 1940 Act, a recognized securities dealer) to repurchase the security at an agreed-upon price and date (usually seven days or less from the date of original purchase). The resale price is in excess of the purchase price and reflects an agreed-upon market rate unrelated to the coupon rate on the purchased security. Such transactions afford a Fund the opportunity to earn a return on temporarily available cash. Although the underlying security may be a bill, certificate of indebtedness, note or bond issued by an agency, authority or instrumentality of the U.S. government, the obligation of the seller is not guaranteed by the U.S. government, and there is a risk that the seller may fail to repurchase the underlying security. There is a risk, therefore, that the seller will fail to honor its repurchase obligation. In such event, the relevant Fund would attempt to exercise rights with respect to the underlying security, including possible disposition in the market. However, a Fund may be subject to various delays and risks of loss, including (a) possible declines in the value of the underlying security during the period while a Fund seeks to enforce its rights thereto and (b) inability to enforce rights and the expenses involved in attemped enforcement. LOANS OF PORTFOLIO SECURITIES. Each Fund may lend some or all of its portfolio securities to broker-dealers. Securities loans are made to broker-dealers pursuant to agreements requiring that loans be continuously secured by collateral in cash or U.S. government securities at least equal at all times to the market value of the securities lent. The borrower pays to the lending Fund an amount equal to any dividends or interest received on the securities lent. When the collateral is cash, the Fund may invest the cash collateral in interest-bearing, short-term securities. When the collateral is U.S. government securities, the Fund usually receives a fee from the borrower. Although voting rights or rights to consent with respect to the loaned securities pass to the borrower, a Fund retains the right to call the loans at any time on reasonable notice, and it will do so in order that the securities may be voted by the Fund if the holders of such securities are asked to vote upon or consent to matters materially affecting the investment. A Fund may also call loans in order to sell the securities involved. The risks in lending portfolio securities, as with other extensions of credit, include possible delay in recovery of the securities or possible loss of rights in 43 the collateral should the borrower fail financially. However, such loans will be made only to broker-dealers that are believed by the Adviser to be of relatively high credit standing. ILLIQUID SECURITIES. Each Fund may purchase "illiquid securities," defined as securities which cannot be sold or disposed of in the ordinary course of business within seven days at approximately the value at which a Fund has valued such securities, so long as no more than 15% of the Fund's net assets would be invested in such illiquid securities after giving effect to the purchase. Investment in illiquid securities involves the risk that, because of the lack of consistent market demand for such securities, the Fund may be forced to sell them at a discount from the last offer price. FOREIGN INVESTMENTS BY THE AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND, THE AXA ROSENBERG VALUE MARKET NEUTRAL FUND AND THE AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND. Although they invest primarily in securities principally traded in U.S. markets, these Funds may occasionally invest in (and, in the case of the AXA Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select Sectors Market Neutral Fund, engage in short sales with respect to) stocks of foreign companies that trade on U.S. markets. Investments in securities of foreign issuers involve certain risks that are less significant for investments in securities of U.S. issuers. These include risks of adverse changes in foreign economic, political, regulatory and other conditions, changes in currency exchange rates or exchange control regulations (including currency blockage). A Fund may be unable to obtain and enforce judgments against foreign entities, and issuers of foreign securities are subject to different, and often less comprehensive, accounting, reporting and disclosure requirements than domestic issuers. Also, the securities of some foreign companies may be less liquid and at times more volatile than securities of comparable U.S. companies. MANAGEMENT DISCUSSION OF FUND PERFORMANCE AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND The dominance of small cap growth stocks over small cap value stocks during the last fiscal year was a difficult market environment for the Fund. The Adviser's stock selection models tend to favor stocks that are seen as underpriced relative to their fundamental financial characteristics when compared with other similar stocks. This tendency leads to a portfolio with a modest value bias. In such an extreme growth environment, this modest value bias hurt the performance of the Fund relative to its benchmark. While the Fund's value exposures detracted from relative performance, other risk factor and industry exposures contributed positively to performance. The Fund's slight positive exposure to stocks with positive price momentum (relative strength risk factor) helped the most as the return associated with this feature of stocks rose to historic highs. Among industries, an overexposure to the electronics industry (2.8% above the Russell 2000 Index exposure) during the past 12 months boosted relative performance. The bulk of the Fund's underperformance was attributable to the independent effect of stock selection and not the aggregate influence of risk factor and industry exposures. This result is not surprising given the Fund's tight management of risk factor and industry exposures and given the types of stocks that were rewarded and punished by investors over the past 12 months. Fundamental to the Adviser's stock selection process is the belief that a portfolio of stocks that produces more future earnings per dollar of initial cost (an "earnings advantage") than the benchmark should be rewarded with above benchmark performance. In the past year, the stocks held by the Fund did consistently produce more future earnings per dollar of cost than the benchmark; however, investors did not reward these superior earnings. In fact, investors strongly favored stocks with no earnings or negative earnings. In environments like these, when investors do not focus on reconciling current stock prices with likely future earnings or other fundamental measures of value, the Adviser's stock selection performance will suffer. 44 AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG US SMALL CAP FUND RUSSELL 2000 1990 $1,000,000 $1,000,000 1991 $1,115,738 $1,015,575 1992 $1,292,236 $1,175,973 1993 $1,484,144 $1,440,644 1994 $1,647,444 $1,625,432 1995 $1,738,046 $1,824,170 1996 $2,243,170 $2,475,109 1997 $2,357,811 $2,958,598 1998 $3,348,401 $4,288,455 1999 $2,803,871 $3,406,785 2000 $3,849,527 $4,474,185
$4,474,185 Portfolio $3,849,527 Benchmark
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION SINCE INCEPTION OF INVESTOR OF ADVISER PAST PAST PAST SHARES SHARES ONE YEAR FIVE YEARS TEN YEARS (10/22/96) (1/21/97) -------------- ---------- --------- --------------- --------------- Institutional Shares............. 31.36% 19.66% 16.17% Investor Shares.................. 31.06% 14.69 Adviser Shares................... 31.00% 12.40% Russell 2000 Index............... 37.29% 17.24% 14.43% 15.38% 13.62%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCES. THE PERFORMANCE OF ADVISER SHARES AND INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASSES. 45 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND For the year ending March 31, 2000, the Fund outperformed its benchmark. The outperformance was a combination of stock selection and risk management. The portfolio had a slight value bias, which hurt performance during the fourth quarter of 1999, but on average, helped over the whole year. The Adviser strives to add value consistently through bottom-up stock selection and avoids heavy bets on countries and industries. The portfolio closely tracks the country and industry exposures of the benchmark. As a result, the contributions to the outperformance from industry and country selection were positive but modest, whereas stock selection accounted for most of the outperformance. In particular, the Manager's stock selection models worked well in Europe. AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG INT'L SALOMON SMITH SMALL CAP FUND CRIEXUS BARNEY WORLD EX US EMI 1996 $1,000,000 $1,000,000 $1,000,000 1997 $1,013,000 $991,182 975,527 1998 $1,036,436 $995,775 1,055,416 1999 $946,721 $883,210 1,024,279 2000 $1,250,015 $1,070,013 1,272,838
$1,272,838 Benchmark $1,250,015 Portfolio $1,070,013 Benchmark
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION SINCE INCEPTION OF INSTITUTIONAL OF INVESTOR PAST ONE SHARES SHARES YEAR (9/23/96) (10/29/96) -------------- ---------------- --------------- Institutional Shares................................. 32.04% 6.54% Investor Shares...................................... 31.47% 6.28% Salomon Smith Barney World ex US EMI................. 24.27% 7.14% 7.44% CRIexUS.............................................. 21.15% 1.95% 1.99%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE RESULTS. THE PERFORMANCE OF INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASS. 46 AXA ROSENBERG JAPAN FUND The Fund gained more than 45% but underperformed its benchmark by more than 11% for the year ended March 31, 2000. The unprecedented performance spread between growth stocks and value stocks, especially during the second half of the year as high flying large growth stocks drove the market, created an unfavorable market environment for the Fund. Stock selection and the portfolio's negative exposure to relative strength (measure of trailing 12-month price performance) were the major contributors to the Fund's underperformance. The Adviser's stock selection models, based on fundamental analysis, favor value stocks. In a momentum market, driven by growth stocks with relative strength, the Fund's performance relative to its benchmark will suffer. AXA ROSENBERG JAPAN FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG JAPAN FUND TOPIX 1990 $1,000,000 $1,000,000 1991 $1,019,430 $998,804 1992 $804,449 $766,384 1993 $919,018 $902,752 1994 $1,106,054 $1,113,902 1995 $1,203,848 $1,111,487 1996 $1,188,945 $1,160,711 1997 $847,954 $845,416 1998 $645,539 $721,618 1999 $746,746 $831,622 2000 $1,084,561 $1,298,747
$1,298,747 Benchmark $1,084,561 Portfolio
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION OF INVESTOR PAST PAST PAST SHARES ONE YEAR FIVE YEARS TEN YEARS (10/22/96) -------------- ------------- ------------- --------------- Institutional Shares............................ 45.24% -2.07% -0.82% Investor Shares................................. 45.04% -0.44% TOPIX........................................... 56.17% 3.16% 2.65% 5.83%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLES REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCES. THE PERFORMANCE OF INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASS. 47 AXA ROSENBERG VALUE MARKET NEUTRAL FUND The year ending March 31, 2000 was extremely difficult for the Fund. The Fund underperformed its benchmark by more than 19%. The Adviser's stock selection models produce long and short portfolios with a consistent net exposure to value characteristics, as well as a bias toward companies whose stock is less frequently traded. When the long portfolio is compared to the short portfolio, it is possible to gauge approximately how much was gained and lost due to the net portfolio characteristics. The two largest risk exposures reflect the value bias in the net portfolio: positive exposure to earnings/price and book/price. The negative exposure to trading activity indicates the net portfolio's moderate dislike of stocks that are frequently traded. Of particular significance over the last year (especially the first quarter of 2000) was the positive exposure to relative strength, a measure of price momentum. Exposure to common risk factors contributed -5.18% to the Fund's underperformance. The positive exposures to earnings/price and yield, -2.89% and - -1.97% respectively, negatively impacted performance. In comparison, the bias toward stocks whose performance is momentum driven made the most significant positive contribution to return because of the very large contribution of relative strength (+6.75%). The exposure to trading activity (-3.78%) worked to further dampen performance for the same reason. The bulk of the Fund's underperformance is UNEXPLAINED by common risk factor exposures. The most significant factor was stock selection. Reviewing the types of stocks that were rewarded (and the types that were punished) over the last year gives insight into why the contribution attributable to stock selection was so negative. Fundamental to the Adviser's stock selection process is the belief that a portfolio with a net earnings advantage will be rewarded. Though the stocks that the Adviser bought long did consistently produce more future earnings per dollar of cost than the stocks sold short, the market did not reward earnings. In fact, at certain times over the year, the market seemed to be actively penalizing stocks with good long-term earnings prospects in favor of those with no earnings or negative earnings. In sum, the Adviser's stock selection process will suffer when investors are not interested in reconciling current prices with future earnings or other fundamental measures of value. 48 AXA ROSENBERG VALUE MARKET NEUTRAL FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG VALUE MARKET NEUTRAL FUND 3-MONTH U.S. T-BILLS 1997 $1,000,000 $1,000,000 1998 $997,000 $1,015,083 1999 $924,000 $1,063,832 2000 $793,556 $1,116,384
$1,116,384 Benchmark $793,556 Portfolio
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION SINCE INCEPTION OF INSTITUTIONAL OF INVESTOR PAST SHARES SHARES ONE YEAR (12/16/97) (12/18/97) -------------- ---------------- --------------- Institutional Shares................................. -14.13% -9.60% Investor Shares...................................... -14.41% -9.94% 3-Month U.S. T-Bills................................. 4.94% 5.01% 5.00%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCES. THE PERFORMANCE OF INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASS. 49 AXA ROSENBERG DOUBLE ALPHA MARKET FUND The Fund underperformed its benchmark for the year ended March 31, 2000, by more than 20.5%. The Fund holds S&P 500 Index Futures contracts and shares in the AXA Rosenberg Value Market Neutral Fund. The Institutional shares of the AXA Rosenberg Value Market Neutral Fund returned -14.13% for year. Investment in S&P 500 Futures also contributed negatively to performance during the year by slightly more than 6%. AXA ROSENBERG DOUBLE ALPHA MARKET FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG DOUBLE ALPHA MARKET FUND S&P 500 1998 $1,000,000 $1,000,000 1999 $1,005,301 $1,157,668 2000 $978,875 $1,365,402
$1,365,402 Benchmark $978,875 Portfolio
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURN (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION OF INSTITUTIONAL AND INVESTOR PAST ONE SHARES YEAR (4/22/98) -------------- ---------------- Institutional Shares........................................ -2.63% -1.09% Investor Shares............................................. -2.78% -1.35% S&P 500..................................................... 17.94% 17.64%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCES. THE PERFORMANCE OF INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASS. 50 AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND For the year ended on March 31, 2000, the Fund outperformed its benchmark, 3-Month U.S. T-Bills, by more than 4%. In addition to the positive contributions from the exposures to relative strength (measure of trailing 12-month price performance) (+4.99%) and to trading activity (measure of trailing 12-month share turnover) (+3.17%) during this period, the Fund benefited from long industry exposures to office machinery (+2.87%), services (+1.96%) and electric utilities (+1.49%). Short industry exposures to drugs (-2.59%), paper (-0.77%) and media (-0.67%) contributed negatively to performance. Stock selection further dampened performance (-4.72%). AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC $ Millions
AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND 3-MONTH U.S. T-BILLS 1998 $1,000,000 $1,000,000 1999 $1,051,381 $1,020,064 2000 $1,154,631 $1,070,438
$1,154,631 Portfolio $1,070,438 Benchmark
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE PERFORMANCE. AVERAGE ANNUAL TOTAL RETURNS (FOR PERIODS ENDED MARCH 31, 2000)
SINCE INCEPTION SINCE INCEPTION OF INSTITUTIONAL OF INVESTOR PAST SHARES SHARES ONE YEAR (10/19/98) (11/11/98) -------- ---------------- --------------- Institutional Shares.................................... 9.82% 10.43% Investor Shares......................................... 9.39% 10.29% 3-Month U.S. T-Bills.................................... 4.94% 4.92% 4.99%
THE NUMBERS REPORTED IN BOTH THE GRAPH AND THE TABLE REPRESENT PAST PERFORMANCE AND ARE NOT PREDICTIVE OF FUTURE PERFORMANCES. THE PERFORMANCE OF INVESTOR SHARES WILL BE LOWER THAN THE PERFORMANCE OF INSTITUTIONAL SHARES BECAUSE OF THE HIGHER FEES PAID BY SHAREHOLDERS INVESTING IN SUCH CLASS. 51 THE ADVISER'S GENERAL INVESTMENT PHILOSOPHY The Adviser attempts to add value relative to each designated benchmark through a quantitative stock selection process and seeks to diversify investment risk across the holdings in each of the Funds. In seeking to outperform each Fund's designated benchmark, the Adviser also attempts to control risk in the Fund's portfolio relative to the securities constituting that benchmark. Since each Fund is substantially invested in equities at all times, the Adviser does not earn extraordinary return, or "alpha," by timing the market. The Adviser seeks to avoid constructing portfolios that significantly differ from the relevant benchmark with respect to characteristics such as market capitalization, historic volatility or "beta," and industry weightings. Each Fund seeks to have exposure to these factors similar to that of the designated benchmark. INVESTMENT PHILOSOPHY The Adviser's investment strategy is based on the belief that stock prices imperfectly reflect the present value of the expected future earnings of companies, their "fundamental value." The Adviser believes that market prices will converge towards fundamental value over time, and that therefore, if the Adviser can accurately determine fundamental value, and can apply a disciplined investment process to select those stocks that are currently undervalued (in the case of purchases) or overvalued (in the case of short sales), the Adviser will outperform a Fund's benchmark over time. The premise of the Adviser's investment philosophy is that there is a link between the price of a stock and the underlying financial and operational characteristics of the company. In other words, the price reflects the market's assessment of how well the company is positioned to generate future earnings and/or future cash flow. The Adviser identifies and purchases those stocks that are undervalued (I.E., they are currently cheaper than similar stocks with the same characteristics) and sells (or engages in short sales in the case of the Market Neutral Funds) those stocks that are overvalued (I.E., they are currently more expensive than similar stocks with the same characteristics). The Adviser believes that the market will recognize the "better value" and that the mispricings will be corrected as the stocks in the Fund's portfolios are purchased or sold by other investors. In determining whether or not a stock is attractive, the Adviser estimates the company's current fundamental value, changes in the company's future earnings and investor sentiment toward the stock. The Adviser identifies and causes a Fund to purchase undervalued stocks and to hold them in the Fund's portfolio until the market recognizes and corrects for the mispricings. Conversely, the Adviser identifies and causes a Fund to sell (or sell short, in the case of the Market Neutral Funds) overvalued stocks. DECISION PROCESS The Adviser's decision process is a continuum. Its research function develops models that analyze the more than 14,000 securities in the global universe. These models include analyses of both fundamental data and historical price performance. The portfolio management function optimizes each portfolio's composition, executes trades, and monitors performance and trading costs. The essence of the Adviser's approach is attention to important aspects of the investment process. Factors crucial to successful stock selection include: (1) accurate and timely data on a large universe of companies; (2) subtle quantitative descriptors of value and predictors of changes in value; and (3) insightful definitions of similar businesses. The Adviser assimilates, checks and structures the input data on which its models rely. The Adviser believes that with correct data, the recommendations made by the system will be sound. STOCK SELECTION Fundamental valuation of stocks is key to the Adviser's investment process, and the heart of the valuation process lies in the Adviser's proprietary Appraisal Model. Analysis of companies in the United States and Canada is conducted in a single unified model. The Appraisal Model discriminates where the 52 two markets are substantially different, while simultaneously comparing companies in the two markets according to their degrees of similarity. European companies and Asian companies (other than Japanese Companies) are analyzed in a nearly global model, which includes the United States and Canada as a further basis for comparative valuation, but which excludes Japan. Japanese Companies are analyzed in an independent national model. The Appraisal Model incorporates the various accounting standards that apply in different markets and makes adjustments to ensure meaningful comparisons. An important feature of the Appraisal Model is the classification of companies into one or more of 170 groups of "similar" businesses. Each company is broken down into its individual business segments. Each segment is compared with similar segments of other companies doing business in the same geographical market and, in most cases, in different markets. The Adviser appraises the company's assets, operating earnings and sales within each business segment, using the market's valuation of the relevant category of business as a guide where possible. The Adviser then puts the segment appraisals together to create balance sheet, income statement, and sales valuation models for each total company, while adjusting the segment appraisals to reflect variables which apply only to the total company, such as taxes, capital structure, and pension funding. The Adviser's proprietary Near-Term Prospects Model attempts to predict the earnings change for companies over a one-year period. This Model examines, among other things, measures of company profitability, measures of operational efficiency, analysts earnings estimates and measures of investor sentiment, including broker recommendations, earnings surprise and prior market performance. In different markets around the world, the Adviser has different levels of investor sentiment data available and observes differing levels of market response to the model's various predictors. The Adviser combines the results of the Near-Term Prospects Model with the results of the Appraisal Model to determine the attractiveness of a stock for purchase or sale. OPTIMIZATION The Adviser's portfolio optimization system attempts to construct a Fund portfolio that will outperform the relevant benchmark. The optimizer simultaneously considers both the recommendations of the Adviser's stock selection models and the risks in determining portfolio transactions. No transaction will be executed unless the opportunity offered by a purchase or sale candidate sufficiently exceeds the potential of an existing holding to justify the transaction costs. TRADING The Adviser's trading system aggregates the recommended transactions for a Fund and determines the feasibility of each recommendation in light of the stock's liquidity, the expected transaction costs, and general market conditions. It relays target price information to a trader for each stock considered for purchase or sale. Trades are executed through any one of four trading strategies: traditional brokerage, networks, accommodation, and package or "basket" trades. In the United States, the network arrangements the Adviser has developed with Instinet Matching System (IMS) and Portfolio System for Institutional Trading (POSIT) facilitate large volume trading with little or no price disturbance and low commission rates. Accommodative trading (also referred to herein as the Adviser's "match system") allows institutional buyers and sellers of stock to electronically present the Adviser with their "interest" lists each morning. Any matches between the inventory that the brokers have presented and the Adviser's own recommended trades are signaled to the Adviser's traders. Because the broker is doing agency business and has a client on the other side of the trade, the Adviser expects the other side to be accommodative in setting the price. The Adviser's objective in using this match system is to execute most trades on the Adviser's side of the bid/ask spread so as to minimize market impact. 53 Package trades further allow the Adviser to trade large lists of orders simultaneously using state of the art tools such as the Instinet Real-Time System, Instinet Order Matching System and Lattice Trading System. Those tools provide order entry, negotiation and execution capabilities, either directly to other institutions or electronically to the floor of the exchange. The advantages of using such systems include speed of execution, low commissions, anonymity and very low market impact. The Adviser continuously monitors trading costs to determine the impact of commissions and price disturbances on a Fund's portfolio. MANAGEMENT OF THE TRUST The Trust's trustees oversee the general conduct of the Funds' business. INVESTMENT ADVISER AXA Rosenberg Investment Management LLC (the "Adviser") is the Trust's investment adviser. The Adviser's address is Four Orinda Way, Building E, Orinda, CA 94563. The Adviser is responsible for making investment decisions for the Funds and managing the Funds' other affairs and business, subject to the supervision of the Board of Trustees. The Adviser provides investment advisory services to a number of institutional investors as well as the portfolio of Barr Rosenberg Variable Insurance Trust. Each of the Funds will pay the Adviser a management fee for these services on a monthly basis. The Adviser has entered into a contractual undertaking to reduce its management fee and bear certain expenses until March 31, 2001 to limit each Fund's total annual operating expenses. Any amounts waived or reimbursed in a particular fiscal year will be subject to repayment by the relevant Fund to the Adviser to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the limit, if any, agreed to by the Adviser at that time. The AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund and AXA Rosenberg Select Sectors Market Neutral Fund paid the Adviser $4,157,169, $247,311, $0, $1,909,073, $0 and $142,806, respectively, in fees for the fiscal year ended March 31, 2000. This represented 0.88%, 0.60%, 0%, 1.60%, 0% and 0.57% of the average daily net assets of the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund and AXA Rosenberg Select Sectors Market Neutral Fund. The AXA Rosenberg Enhanced 500 Fund, AXA Rosenberg International Equity Fund and AXA Rosenberg Multi-Strategy Market Neutral Fund were not operational for the fiscal year ended March 31, 2000. Advisory fees for each of those Funds are 0.50%, 0.85% and 1.50%, respectively, of the relevant Fund's average daily net assets. PORTFOLIO MANAGERS Management of the portfolio of each Fund is overseen by the Adviser's executive officers who are responsible for design and maintenance of the Adviser's investment system, and by a portfolio manager who is responsible for research and monitoring each Fund's characteristic performance against the relevant benchmark and for monitoring cash balances. AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND. Dr. Barr Rosenberg, Dr. Kenneth Reid and Floyd Coleman, the portfolio manager, are responsible, and have been responsible since inception, for the day-to-day management of the AXA Rosenberg U.S. Small Capitalization Fund's portfolio. Dr. Rosenberg and Dr. Reid both have been employed by the Adviser or its predecessor since 1985. Mr. Coleman has been a trader and portfolio manager for the Adviser or its predecessor since 1988. He received a B.S. from Northwestern University in 1982, a M.S. from Polytechnic Institute, Brooklyn in 1984 and a M.B.A. from Harvard Business School in 1988. 54 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND AND AXA ROSENBERG INTERNATIONAL EQUITY FUND. Dr. Rosenberg, Dr. Reid and Joseph Leung, the portfolio manager, are responsible, and have been responsible since inception, for the day-to-day management of portfolios of the AXA Rosenberg International Small Capitalization Fund and the AXA Rosenberg International Equity Fund. Mr. Leung is the Chief Investment Officer of AXA Rosenberg Investment Management Ltd. (London) and has been a portfolio manager with the Adviser or its predecessor since 1993. He received a B.S. and a B.A. from Queen's University, Ontario, Canada in 1989 and a M.B.A. from the University of Chicago in 1993. Mr. Leung is a chartered financial analyst. AXA ROSENBERG JAPAN FUND. Dr. Rosenberg, Dr. Reid, and Cheng S. Liao, the portfolio manager, are responsible, and have been responsible since inception, for the day-to-day management of the AXA Rosenberg Japan Fund's portfolio. Mr. Liao is the Chief Executive Officer and Chief Investment Officer of AXA Rosenberg Investment Management Ltd. (Singapore) and has been a portfolio manager, specializing in the Japanese market with the Adviser or its predecessor since 1989. He received a B.S. from Tohobu University, Japan, in 1984, a M.S. from Stanford University in 1986, and a M.S. in Computer Science from Polytechnic Institute, New York in 1988. AXA ROSENBERG VALUE MARKET NEUTRAL FUND, AXA ROSENBERG DOUBLE ALPHA MARKET FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND. Dr. Rosenberg, Dr. Reid and F. William Jump, Jr., C.F.A., the portfolio manager, are responsible for the day-to-day management of the portfolios of the AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Double Alpha Market Fund and AXA Rosenberg Multi-Strategy Market Neutral Fund. Dr. Rosenberg and Dr. Reid both have been employed by the Adviser or its predecessor since 1985. Mr. Jump has had numerous responsibilities including trading, applications programming, new product development and portfolio engineering since he joined the Adviser's predecessor in 1990. He received a B.A. from Swarthmore College in 1977 and an M.B.A. from The Wharton School, University of Pennsylvania in 1983. AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND. Dr. Rosenberg, Dr. Reid and James Kan, the portfolio manager, are responsible for the day-to-day management of the AXA Rosenberg Select Sectors Market Neutral Fund's portfolio. Dr. Rosenberg and Dr. Reid both have been employed by the Adviser or its predecessor since 1985. Mr. Kan has had numerous responsibilities including trading, applications programming and portfolio engineering since he joined the Adviser's predecessor in 1990. He received a B.S. from the University of British Columbia in 1984, an M.S. from the University of Southern California in 1987 and an M.B.A. from the University of Chicago in 1990. Mr. Kan is a chartered financial analyst. AXA ROSENBERG ENHANCED 500 FUND. Dr. Rosenberg, Dr. Reid and Douglas Burton, the portfolio manager, are responsible for the day-to-day management of the AXA Rosenberg Enhanced 500 Fund's portfolio. Dr. Rosenberg and Dr. Reid both have been employed by the Adviser or its predecessor since 1985. Mr. Burton has had portfolio management, marketing and client service responsibilities since he joined the Adviser's predecessor in 1998. He received a B.S. in 1986 and an M.B.A. in 1988 from Brigham Young University. He received an M.S. from the University of Utah in 1997. Mr. Burton is a chartered financial analyst. EXECUTIVE OFFICERS The biography of each of the executive officers of the Adviser is set forth below. Kenneth Reid is also a Trustee of the Trust. BARR ROSENBERG. Dr. Rosenberg is the Director of Research of the Adviser, Chairman of AXA Rosenberg Group LLC, the parent of the Adviser, and Managing Director of Barr Rosenberg Research Center LLC. As such, he has ultimate responsibility for the Adviser's securities valuation and portfolio optimization systems used to manage the Funds and for the implementation of the decisions developed 55 therein. His area of special concentration is the design of the Adviser's proprietary securities valuation model. Dr. Rosenberg earned a B.A. degree from the University of California, Berkeley, in 1963. He earned an M.Sc. from the London School of Economics in 1965, and a Ph.D. from Harvard University, Cambridge, Massachusetts, in 1968. From 1968 until 1983, Dr. Rosenberg was a Professor of Finance, Econometrics, and Economics at the School of Business Administration at the University of California, Berkeley. Concurrently, from 1968 until 1974, Dr. Rosenberg worked as a consultant in applied decision theory in finance, banking and medicine. In 1975, he founded Barr Rosenberg Associates, a financial consulting firm (now known as BARRA) where he was a managing partner, and later chief scientist, until his departure in 1986. Dr. Rosenberg, the founder of the Berkeley Program in Finance, has experience in the modeling of complex processes with substantial elements of risk. From 1985 to 1998, he was the founder and Managing General Partner of Rosenberg Institutional Equity Management, the predecessor company to the Adviser. KENNETH REID. Dr. Reid is the Chief Executive Officer of the Adviser. His work is focused on the design and estimation of the Adviser's valuation models and he has primary responsibility for analyzing the empirical evidence that validates and supports the day-to-day recommendations of the Adviser's securities valuation models. Patterns of short-term price behavior discussed by Dr. Reid as part of his Ph.D. dissertation have been refined and incorporated into the Adviser's proprietary valuation and trading systems. Dr. Reid earned both a B.A. degree (1973) and an M.D.S. (1975) from Georgia State University, Atlanta. In 1982, he earned a Ph.D. from the University of California, Berkeley, where he was awarded the American Bankers Association Fellowship. From 1981 until June 1986, Dr. Reid worked as a consultant at BARRA in Berkeley, California. His responsibilities included estimating multiple-factor risk models, designing and evaluating active management strategies, and serving as an internal consultant on econometric matters in finance. From 1986 to 1998, Dr. Reid was a general partner of Rosenberg Institutional Equity Management, the predecessor company to the Adviser. WILLIAM RICKS. Dr. Ricks is the Chief Investment Officer of the Adviser. His primary responsibilities are the various aspects of the investment process: trading, operations, portfolio engineering, and portfolio construction. He is responsible for the implementation of the investment strategies that are designed by the Research Center. Dr. Ricks earned a B.S. from the University of New Orleans, Louisiana and a Ph.D. from the University of California, Berkeley in 1980. He worked as a senior accountant for Ernst & Ernst in New Orleans from 1974 to 1976. He was a financial and managerial accounting instructor at the University of California, Berkeley from 1978 to 1979, after which he was an associate professor of finance and accounting at Duke University until 1989. From 1989 to 1998, he was a research associate, a portfolio engineer and the Director of Accounting Research at Rosenberg Institutional Equity Management, the predecessor company to the Adviser. INDEPENDENT TRUSTEES William F. Sharpe, Nils H. Hakansson and Dwight M. Jaffee are the Trustees of the Trust who are not "interested persons" (as defined in the 1940 Act) of the Trust or the Adviser. Dr. Sharpe is the STANCO 25 Professor of Finance Emeritus at Stanford University's Graduate School of Business. He is best known as one of the developers of the Capital Asset Pricing Model, including the beta and alpha concepts used in risk analysis and performance measurement. He developed the widely-used binomial method for the valuation of options and other contingent claims. He also developed the computer algorithm used in many asset allocation procedures. Dr. Sharpe has published articles in a number of professional journals. He has also written six books, including PORTFOLIO THEORY AND 56 CAPITAL MARKETS, (McGraw-Hill, 1970), ASSET ALLOCATION TOOLS, (Scientific Press, 1987), FUNDAMENTALS OF INVESTMENTS (with Gordon J. Alexander and Jeffery Bailey, Prentice-Hall, 2000) and INVESTMENTS (with Gordon J. Alexander and Jeffery Bailey, Prentice-Hall, 1999). Dr. Sharpe is a past President of the American Finance Association. He is currently Chairman of Financial Engines Incorporated, an on-line investment advice company. He has also served as consultant to a number of corporations and investment organizations. He is also a member of the Board of Trustees of Smith Breeden Trust, an investment company, and a director of Stanford Management Company. He received the Nobel Prize in Economic Sciences in 1990. Professor Hakansson is the Sylvan C. Coleman Professor of Finance and Accounting at the Haas School of Business, University of California, Berkeley. He is a former member of the faculty at UCLA as well as at Yale University. At Berkeley, he served as Director of the Berkeley Program in Finance (1988-1991) and as Director of the Professional Accounting Program (1985-1988). Professor Hakansson is a Certified Public Accountant and spent three years with Arthur Young & Company prior to receiving his Ph.D. from UCLA in 1966. He has twice been a Visiting Scholar at Bell Laboratories in New Jersey and was, in 1975, the Hoover Fellow at the University of New South Wales in Sydney and, in 1982, the Chevron Fellow at Simon Fraser University in British Columbia. In 1984, Professor Hakansson was a Special Visiting Professor at the Stockholm School of Economics, where he was also awarded an honorary doctorate in economics. He is a past president of the Western Finance Association (1983-1984). Professor Hakansson has published a number of articles in academic journals and in professional volumes. Many of his papers address various aspects of asset allocation procedures as well as topics in securities innovation, information economics and financial reporting. He has served on the editorial boards of several professional journals and been a consultant to the RAND Corporation and a number of investment organizations. Professor Hakansson is a member of the board of two foundations and a past board member of SuperShare Services Corporation and of Theatrix Interactive, Inc. He is also a Fellow of the Accounting Researchers International Association and a member of the Financial Economists Roundtable. Professor Jaffee is the Willis H. Booth Professor of Banking and Finance at the Haas School of Business, University of California, Berkeley. He was previously a Professor of Economics at Princeton University for many years, where he served as the Vice Chairman of the faculty. At Berkeley, he serves on a continuing basis as the Co-chairman of the Fisher Center for Real Estate and Urban Economics and as the Director of the UC Berkeley-St. Petersburg University (Russia) School of Management Program. He has been a Visiting Professor at many universities around the world, most recently at the University of Aix/ Marseille in France and at the European University in Florence Italy. Professor Jaffee has authored five books and numerous articles in academic and professional journals. His research has focused on three key financial markets: business lending, real estate finance, and catastrophe insurance. His current research is focused on methods for securitizing real estate finance and catastrophe insurance risks, and on the impact of international trade on the U.S. computer industry. He has served on the editorial boards of numerous academic journals, and has been a consultant to a number of U.S. government agencies and to the World Bank. In the past, Professor Jaffee has been a member of the Board of Directors of various financial institutions, including the Federal Home Loan Bank of New York. He is currently a Visiting Scholar at the Federal Reserve Bank of San Francisco. DISTRIBUTOR Investor Shares and Institutional Shares of each Fund and the Adviser Shares of the AXA Rosenberg U.S. Small Capitalization Fund are sold on a continuous basis by the Company's distributor, Barr Rosenberg Funds Distributor, Inc. (the "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc. The Distributor's principal offices are located at 3435 Stelzer Road, Columbus, Ohio 43219. Solely for the purpose of compensating the Distributor for services and expenses primarily intended to result in the sale of Investor Shares and/or in connection with the provision of direct client service, personal services, maintenance of shareholder accounts and reporting services to holders of Investor 57 Shares of the Trust, shares of such class are subject to an annual distribution and shareholder service fee (a "Distribution and Shareholder Service Fee") in accordance with a Distribution and Shareholder Service Plan (the "Distribution and Shareholder Service Plan") adopted by the Trust pursuant to Rule 12b-1 under the 1940 Act. Although the Distributor sells Institutional Shares of the Funds, as noted below, the Funds pay no fees to the Distributor for such shares. Under the Distribution and Shareholder Service Plan, the Investor Class of the Funds will pay annual distribution and shareholder service fees up to the following percentages:
INSTITUTIONAL INVESTOR ------------- -------- AXA Rosenberg U.S. Small Capitalization Fund................ None 0.25% AXA Rosenberg International Small Capitalization Fund....... None 0.25% AXA Rosenberg Japan Fund.................................... None 0.25% AXA Rosenberg Value Market Neutral Fund..................... None 0.25% AXA Rosenberg Double Alpha Market Fund...................... None 0.25% AXA Rosenberg Select Sectors Market Neutral Fund............ None 0.25% AXA Rosenberg Enhanced 500 Fund Fund........................ None 0.25% AXA Rosenberg International Equity Fund..................... None 0.25% AXA Rosenberg Multi-Strategy Market Neutral Fund............ None 0.25%
Expenses and services for which the Distributor may be reimbursed include, without limitation, compensation to, and expenses (including overhead and telephone expenses) of, financial consultants or other employees of the Distributor or of participating or introducing brokers who engage in distribution of the relevant Shares, printing of prospectuses and reports for other than existing Investor Class shareholders, advertising, preparing, printing and distributing sales literature and forwarding communications from the Trust to such shareholders. The Distribution and Shareholder Service Plan is of the type known as a "compensation" plan. This means that, although the trustees of the Trust are expected to take into account the expenses of the Distributor in their periodic review of the Distribution and Shareholder Service Plan, the fees are payable to compensate the Distributor for services rendered even if the amount paid exceeds the Distributor's expenses. Because these fees are paid out of the Fund's assets on an ongoing basis, over time these fees will increase the cost of your investment and may cost you more than other types of sales charges. Under a Service Plan adopted by the Trustees, the Distributor may also provide (or arrange for another intermediary or agent to provide) personal and/or account maintenance services to holders of Adviser Shares of the AXA Rosenberg U.S. Small Capitalization Fund (the Distributor or such entity is referred to as a "Servicing Agent" in such capacity). A Servicing Agent will be paid some or all of the Service Fees charged with respect to Adviser Shares pursuant to the Service Plan for such shares. MULTIPLE CLASSES As indicated previously, the Funds offer two classes of shares to investors, with eligibility for purchase depending on the amount invested in a particular Fund. The two classes of shares are Institutional Shares 58 and Investor Shares. The AXA Rosenberg U.S. Small Capitalization Fund also offers a third class: the Adviser Shares. The following table sets forth basic investment and fee information for each class.
ANNUAL DISTRIBUTION AND MINIMUM FUND SUBSEQUENT ANNUAL SHAREHOLDER NAME OF CLASS INVESTMENT* INVESTMENT* SERVICE FEE SERVICE FEE - ------------- ------------ ----------- ----------- ------------ Institutional................................. $1 million $10,000 None None Adviser....................................... $ 100,000 $ 1,000 0.25% None Investor...................................... $ 2,500 $ 500 None 0.25%
- ------------------------ * Certain exceptions apply. See "-- Institutional Shares" and "-- Investor Shares" below." The offering price of Fund shares is based on the net asset value per share next determined after an order is received. See "Purchasing Shares," "How the Trust Prices Shares of the Funds -- Determination of Net Asset Value" and "Redemption of Shares." INSTITUTIONAL SHARES Institutional Shares may be purchased by institutions such as endowments and foundations, plan sponsors of 401(a), 401(k), 457 and 403(b) plans and individuals. In order to be eligible to purchase Institutional Shares, an institution, plan or individual must make an initial investment of at least $1 million in the particular Fund. In its sole discretion, the Adviser may waive this minimum investment requirement. The Adviser intends to do so for employees of the Adviser, for the spouse, parents, children, siblings, grandparents or grandchildren of such employees, for employees of the Administrator and for Trustees of the Trust who are not interested persons of the Trust or Adviser and their spouses. Institutional Shares are sold without any initial or deferred sales charges and are not subject to any ongoing Distribution and Shareholder Service Fee. ADVISER SHARES Adviser shares may be purchased solely through accounts established under a fee-based program which is sponsored and maintained by a registered broker-dealer or other financial adviser approved by the Trust's Distributor and under which each investor pays a fee to the broker-dealer or other financial adviser, or its affiliate or agent, for investment management or administrative services. In order to be eligible to purchase Adviser Shares, a broker-dealer or other financial adviser must make an initial investment of at least $100,000 of its client's assets in the AXA Rosenberg U.S. Small Capitalization Fund. In its sole discretion, the Adviser may waive this minimum asset investment requirement. Adviser Shares are sold without any initial or deferred sales charges and are not subject to ongoing distribution fees, but are subject to a Service Fee at an annual rate equal to 0.25% of the AXA Rosenberg U.S. Small Capitalization Fund's average daily net assets attributable to Adviser Shares. INVESTOR SHARES Investor Shares may be purchased by institutions, certain individual retirement accounts and individuals. In order to be eligible to purchase Investor Shares, an investor must make an initial investment of at least $2,500 in the particular Fund. In its sole discretion, the Adviser may waive this minimum investment requirement. Investor Shares are subject to an annual Distribution and Shareholder Service Fee equal to 0.25% of the average daily net assets attributable to Investor Shares, and the Trustees have authorized each Fund to pay up to 0.15% of its average daily net assets attributable to Investor Shares for subtransfer and subaccounting services in connection with such shares. As described above, the Distribution and Shareholder Service Plan in connection with Investor Shares permits payments of up to 0.25% of the 59 Funds' average daily net assets attributable to Investor Shares. See "Management of the Trust -- Distributor." GENERAL Shares of the Funds may be sold to corporations or other institutions such as trusts, foundations or broker-dealers purchasing for the accounts of others (collectively, "Shareholder Organizations"). Investors purchasing and redeeming shares of the Funds through a Shareholder Organization may be charged a transaction-based fee or other fee for the services provided by the Shareholder Organization. Each such Shareholder Organization is responsible for transmitting to its customers a schedule of any such fees and information regarding any additional or different conditions with respect to purchases and redemptions of Fund shares. Customers of Shareholder Organizations should read this Prospectus in light of the terms governing accounts with their particular organization. PURCHASING SHARES The offering price for shares of each Fund is the net asset value per share next determined after receipt of a purchase order. See "How the Trust Prices Shares of the Funds -- Determination of Net Asset Value." Investors may be charged an additional fee by their broker or agent if they effect transactions through such persons. The AXA Rosenberg U.S. Small Capitalization Fund was reopened to all investors effective March 27, 2000. As with the Trust's other series of beneficial interest, the Trust reserves the right to close the AXA Rosenberg U.S. Small Capitalization Fund to one or more classes of investors at any time. The AXA Rosenberg U.S. Small Capitalization Fund plans to close to all investors when its net assets reach $1 billion except that (i) participants in 401(k) plans may continue to purchase shares of the AXA Rosenberg U.S. Small Capitalization Fund in their plan accounts as long as the 401(k) plan continues to own shares in the Fund, (ii) participants holding shares in the AXA Rosenberg U.S. Small Capitalization Fund in certain "wrap programs" that have entered into contractual agreements with the Trust and/or Distributor will be eligible to purchase shares of the AXA Rosenberg U.S. Small Capitalization Fund to rebalance their accounts as long as the "wrap program" continues to own shares of the Fund, but other participants in the "wrap programs" will not be able to purchase shares, and (iii) participants holding shares in the AXA Rosenberg U.S. Small Capitalization Fund in certain "asset allocation programs" that have entered into a contractual arrangement with the Trust and/or Distributor will be eligible to purchase shares in the AXA Rosenberg U.S. Small Capitalization Fund to rebalance their accounts as long as the "asset allocation program" continues to own shares of the Fund, but other participants in the "asset allocation programs" will not be able to purchase shares. INITIAL CASH INVESTMENTS BY WIRE Subject to acceptance by the Trust, shares of the Funds may be purchased by wiring federal funds. Please first contact the Trust at 1-800-447-3332 for complete wiring instructions. Notification must be given to the Trust at 1-800-447-3332 prior to 4:00 p.m., New York Time, of the wire date. Federal funds purchases will be accepted only on a day on which the Trust, the Distributor and the Custodian are all open for business. A completed Account Application must be overnighted to the Trust at Barr Rosenberg Series Trust c/o BISYS Fund Services, Inc., 3435 Stelzer Road, Columbus, Ohio 43219-8021. Please note the minimum initial investment requirements for each class as set forth above under "Multiple Classes." INITIAL CASH INVESTMENTS BY MAIL Subject to acceptance by the Trust, an account may be opened by completing and signing an Account Application and mailing it to Barr Rosenberg Series Trust, P.O. Box 182495, Columbus, Ohio 43218-2495. 60 The Fund(s) to be purchased should be specified on the Account Application. In all cases, subject to acceptance by the Trust, payment for the purchase of shares received by mail will be credited to a shareholder's account at the net asset value per share of a Fund next determined after receipt, even though the check may not yet have been converted into federal funds. Please note minimum initial investment requirements for each class as set forth above under "Multiple Classes." ADDITIONAL CASH INVESTMENTS Additional cash investments may be made at any time by mailing a check to the Trust at the address noted under "-- Initial Cash Investments by Mail" (payable to Barr Rosenberg Series Trust) or by wiring monies as noted under "-- Initial Cash Investments by Wire." Notification must be given at 1-800-447-3332 or to the appropriate broker-dealer prior to 4:00 p.m., New York time, of the wire date. Please note each class' minimum additional investment requirements as set forth above under "Multiple Classes." In its sole discretion, the Adviser may waive the minimum additional investment requirements. INVESTMENTS IN-KIND (INSTITUTIONAL SHARES) Institutional Shares may be purchased in exchange for common stocks on deposit at The Depository Trust Company ("DTC") or by a combination of such common stocks and cash. Purchase of Institutional Shares of a Fund in exchange for stocks is subject in each case to the determination by the Adviser that the stocks to be exchanged are acceptable. Securities accepted by the Adviser in exchange for Fund shares will be valued as set forth under "How the Trust Prices Shares of the Funds -- Determination of Net Asset Value" (generally the last quoted sale price) as of the time of the next determination of net asset value after such acceptance. All dividends, subscription or other rights which are reflected in the market price of accepted securities at the time of valuation become the property of the Fund and must be delivered to the Fund upon receipt by the investor from the issuer. Generally, the exchange of common stocks for Institutional Shares will be a taxable event for federal income tax purposes, which will trigger gain or loss to an investor subject to federal income taxation, measured by the difference between the value of the Institutional Shares received and the investor's basis in the securities tendered. The Adviser will not approve the acceptance of securities in exchange for Fund shares unless (i) the Adviser, in its sole discretion, believes the securities are appropriate investments for the Fund; (ii) the investor represents and agrees that all securities offered to the Fund are not subject to any restrictions upon their sale by the Fund under the Securities Act of 1933, or otherwise; and (iii) the securities may be acquired under the Fund's investment restrictions. OTHER PURCHASE INFORMATION An eligible shareholder may also participate in the Barr Rosenberg Automatic Investment Program, an investment plan that automatically debits money from the shareholder's bank account and invests it in Investor Shares of one or more of the Funds through the use of electronic funds transfers. Investors may commence their participation in this program with a minimum initial investment of $2,500 and may elect to make subsequent investments by transfers of a minimum of $50 into their established Fund account. You may contact the Trust for more information about the Barr Rosenberg Automatic Investment Program. For purposes of calculating the purchase price of Fund shares, a purchase order is received by the Trust on the day that it is in "good order" unless it is rejected by the Distributor. For a cash purchase order of Fund shares to be in "good order" on a particular day, a check or money wire must be received on or before 4:00 p.m., New York time, of that day. If the consideration is received by the Trust after the deadline, the purchase price of Fund shares will be based upon the next determination of net asset value of Fund shares. No third party or foreign checks will be accepted. In the case of a purchase in-kind of Institutional Shares, such purchase order will be rejected if the investor's securities are not placed on deposit at DTC prior to 10:00 a.m., New York time. 61 The Trust reserves the right, in its sole discretion, to suspend the offering of shares of a Fund or to reject purchase orders when, in the judgment of the Adviser, such suspension or rejection would be in the best interests of the Trust or a Fund. The Funds do not allow investments by market timers. You will be considered a market timer if you buy and sell your shares within 30 days or otherwise seem, in the judgment of the Adviser, to follow a timing pattern. Purchases of each Fund's shares may be made in full or in fractional shares of such Fund calculated to three decimal places. In the interest of economy and convenience, certificates for shares will not be issued. IRA ACCOUNTS Investor Shares of the Funds may be used as funding mediums for IRAs. The minimum initial investment for an IRA is $2,000. A special application must be completed in order to create such an account. Contributions to IRAs are subject to prevailing amount limits set by the Internal Revenue Service. For more information about IRAs, call the Trust at 1-800-447-3332. REDEMPTION OF SHARES Shares of the Funds may be redeemed by mail, or, if authorized by an investor in an Account Application, by telephone. The value of shares redeemed may be more or less than the original cost of those shares, depending on the market value of the investment securities held by the particular Fund at the time of the redemption. BY MAIL The Trust will redeem its shares at the net asset value next determined after the request is received in "good order." See "How the Trust Prices Shares of the Funds -- Determination of Net Asset Value." Requests should be addressed to Barr Rosenberg Series Trust, P.O. Box 182495, Columbus, Ohio 43218-2495. Requests in "good order" must include the following documentation: (a) a letter of instruction specifying the number of shares or dollar amount to be redeemed, signed by all registered owners of the shares in the exact names in which they are registered; (b) any required signature guarantees; and (c) other supporting legal documents, if required, in the case of estates, trusts, guardianships, custodianships, corporations, pension and profit sharing plans and other organizations. SIGNATURE GUARANTEES To protect shareholder accounts, the Trust and the Transfer Agent from fraud, signature guarantees may be required to enable the Trust to verify the identity of the person who has authorized a redemption from an account. Signature guarantees are required for (1) redemptions where the proceeds are to be sent to someone other than the registered shareholder(s) at the registered address, and (2) share transfer requests. Signature guarantees may be obtained from certain eligible financial institutions, including but not limited to, the following: banks, trust companies, credit unions, securities brokers and dealers, savings and loan associations and participants in the Securities and Transfer Association Medallion Program (STAMP), the Stock Exchange Medallion Program (SEMP) or the New York Stock Exchange Medallion Signature Program (MSP). Shareholders may contact the Trust at 1-800-447-3332 for further details. BY TELEPHONE Provided the Telephone Redemption Option has been authorized by an investor in an Account Application, a redemption of shares may be requested by calling the Trust at 1-800-447-3332 and 62 requesting that the redemption proceeds be mailed to the primary registration address or wired per the authorized instructions. If the Telephone Redemption Option or the Telephone Exchange Option (as described below) is authorized, the Transfer Agent may act on telephone instructions from any person representing himself or herself to be a shareholder and believed by the Transfer Agent to be genuine. The Transfer Agent's records of such instructions are binding and the shareholder, and not the Trust or the Transfer Agent, bears the risk of loss in the event of unauthorized instructions reasonably believed by the Transfer Agent to be genuine. The Transfer Agent will employ reasonable procedures to confirm that instructions communicated are genuine and, if it does not, it may be liable for any losses due to unauthorized or fraudulent instructions. The procedures employed in connection with transactions initiated by telephone include tape recording of telephone instructions and requiring some form of personal identification prior to acting upon instructions received by telephone. Telephone Redemption will be suspended for a period of 10 business days following a telephonic address change. SYSTEMATIC WITHDRAWAL PLAN An owner of $12,000 or more of shares of a Fund may elect to have periodic redemptions made from the investor's account to be paid on a monthly, quarterly, semiannual or annual basis. The maximum payment per year is 12% of the account value at the time of the election. The Trust will normally redeem a sufficient number of shares to make the scheduled redemption payments on a date selected by the shareholder. Depending on the size of the payment requested and fluctuation in the net asset value, if any, of the shares redeemed, redemptions for the purpose of making such payments may reduce or even exhaust the account. A shareholder may request that these payments be sent to a predesignated bank or other designated party. Capital gains and dividend distributions paid to the account will automatically be reinvested at net asset value on the distribution payment date. FURTHER REDEMPTION INFORMATION The Trust will not make payment on redemptions of shares purchased by check until payment of the purchase price has been collected, which may take up to fifteen days after purchase. Shareholders can avoid this delay by utilizing the wire purchase option. If the Adviser determines, in its sole discretion, that it would not be in the best interests of the remaining shareholders of a Fund to make a redemption payment to an Institutional Shareholder wholly or partly in cash, such Fund may pay the redemption price of Institutional Shares in whole or in part by a distribution in kind of readily marketable securities held by such Fund in lieu of cash. Securities used to redeem Fund shares in kind will be valued in accordance with the Funds' procedures for valuation described under "How the Trust Prices Shares of the Funds -- Determination of Net Asset Value." Securities distributed by a Fund in kind will be selected by the Adviser in light of each Fund's objective and will not generally represent a pro rata distribution of each security held in a Fund's portfolio. Investors may incur brokerage charges on the sale of any such securities so received in payment of redemptions. The Trust may suspend the right of redemption and may postpone payment for more than seven days when the New York Stock Exchange is closed for other than weekends or holidays, or if permitted by the rules of the Securities and Exchange Commission, during periods when trading on the Exchange is restricted or during an emergency which makes it impracticable for the Funds to dispose of their securities or to fairly determine the value of their net assets, or during any other period permitted by the Securities and Exchange Commission for the protection of investors. EXCHANGING SHARES The Funds offer two convenient ways to exchange shares of one Fund for shares of another Fund. Shares of a particular class of a Fund may be exchanged only for shares of the same class in another Fund. Before engaging in an exchange transaction, a shareholder should read carefully the information in the Prospectus describing the Fund into which the exchange will occur. A shareholder may not exchange shares 63 of a class of one Fund for shares of the same class of another Fund that is not qualified for sale in the state of the shareholder's residence. Although the Trust has no current intention of terminating or modifying the exchange privilege, it reserves the right to do so at any time. An exchange is taxable as a sale of a security on which a gain or loss may be recognized. Shareholders should receive written confirmation of the exchange within a few days of the completion of the transaction. A new account opened by exchange must be established with the same name(s), address and social security number as the existing account. All exchanges will be made based on the respective net asset values next determined following receipt of the request by the Funds containing the information indicated below. EXCHANGE BY MAIL To exchange Fund shares by mail, shareholders should simply send a letter of instruction to the Trust. The letter of instruction must include: (a) the investor's account number; (b) the class of shares to be exchanged; (c) the Fund from and the Fund into which the exchange is to be made; (d) the dollar or share amount to be exchanged; and (e) the signatures of all registered owners or authorized parties. EXCHANGE BY TELEPHONE To exchange Fund shares by telephone or to ask questions about the exchange privilege, shareholders may call the Trust at 1-800-447-3332. If you wish to exchange shares, please be prepared to give the telephone representative the following information: (a) the account number, social security number and account registration; (b) the class of shares to be exchanged; (c) the name of the Fund from which and the Fund into which the exchange is to be made; and (d) the dollar or share amount to be exchanged. Telephone exchanges are available only if the shareholder so indicates by checking the "yes" box on the Account Application. The Trust employs procedures, including recording telephone calls, testing a caller's identity, and written confirmation of telephone transactions, designed to give reasonable assurance that instructions communicated by telephone are genuine, and to discourage fraud. To the extent that a Fund does not follow such procedures, it may be liable for losses due to unauthorized or fraudulent telephone instructions. A Fund will not be liable for acting upon instructions communicated by telephone that it reasonably believes to be genuine. The Trust reserves the right to suspend or terminate the privilege of exchanging by mail or by telephone at any time. The telephone exchange privilege will be suspended for a period of 10 business days following a telephonic address change. HOW THE TRUST PRICES SHARES OF THE FUNDS The price of each Fund's shares is based on its net asset value as next determined after receipt of a purchase order in good order. For purposes of calculating the purchase price of Fund shares, if it does not reject a purchase order, the Trust considers an order received on the day that it receives a check or money order on or before 4:00 p.m., New York Time. If the Trust receives the payment after the deadline, it will base the purchase price of Fund shares on the next determination of net asset value of Fund shares. The Trust reserves the right, in its sole discretion, to suspend the offering of shares of a Fund or Funds or to reject purchase orders when the Adviser believes that suspension or rejection would be in the best interests of the Trust. Purchases of each Fund's shares may be made in full or fractional shares of the relevant Fund calculated to three decimal places. In the interest of economy and convenience, the Trust will not issue certificates for shares. 64 DETERMINATION OF NET ASSET VALUE The net asset value of each class of shares of the Funds will be determined once on each day on which the New York Stock Exchange is open as of 4:00 p.m., New York time. Shares will not be priced on the days on which the New York Stock Exchange is closed for trading. Because the AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Japan Fund, AXA Rosenberg International Equity Fund and AXA Rosenberg Multi-Strategy Market Neutral Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Funds do not price their shares, the net asset value of the shares of those Funds may change on days when shareholders will not be able to purchase or redeem shares. The net asset value per share of each class of a Fund is determined by dividing the particular class's proportionate interest in the total market value of the Fund's portfolio investments and other assets, less any applicable liabilities, by the total outstanding shares of that class of the Fund. Specifically, each Fund's liabilities are allocated among its classes. The total of such liabilities allocated to a particular class, plus that class's distribution and shareholder service expenses, if any, and any other expenses specially allocated to that class are then deducted from the class's proportionate interest in the Fund's assets. The resulting amount for each class is divided by the number of shares of that class outstanding to produce the "net asset value" per share. Portfolio securities listed on a securities exchange for which market quotations are available are valued at the last quoted sale price on each business day, or, if there is no such reported sale, at the most recent quoted bid price for long securities and the most recent quoted ask price for securities sold short. Price information on listed securities is generally taken from the closing price on the exchange where the security is primarily traded. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price or the most recent quoted ask price, except that debt obligations with sixty days or less remaining until maturity may be valued at their amortized cost. Exchange-traded options, futures and options on futures are valued at the settlement price as determined by the appropriate clearing corporation. Other assets and securities for which no quotations are readily available are valued at fair value as determined in good faith by the Trustees of the Trust or by persons acting at their direction. DISTRIBUTIONS Each Fund intends to pay out as dividends substantially all of its net investment income (which comes from dividends and any interest it receives from its investments and net short-term capital gains). Each Fund also intends to distribute substantially all of its net long-term capital gains, if any, after giving effect to any available capital loss carryover. Each Fund's policy is to declare and pay distributions of its dividends and interest annually although it may do so more frequently as determined by the Trustees of the Trust. Each Fund's policy is to distribute net short-term capital gains and net long-term gains annually, although it may do so more frequently as determined by the Trustees of the Trust to the extent permitted by applicable regulations. All dividends and/or distributions will be paid out in the form of additional shares of the relevant Fund to which the dividends and/or distributions relate at net asset value unless the shareholder elects to receive cash. Shareholders may make this election by marking the appropriate box on the Account Application or by writing to the Administrator. If you elect to receive distributions in cash and checks (i) are returned and marked as "undeliverable" or (ii) remain uncashed for six months, your cash election will be changed automatically and your future dividend and capital gains distributions will be reinvested in the Fund at the per share net asset value determined as of the date of payment of the distribution. In addition, any undeliverable checks or checks that remain uncashed for six months will be canceled and will be reinvested in the Fund at the per share net asset value determined as of the date of cancellation. 65 TAXES Each Fund intends to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. So long as a Fund distributes, as dividends, substantially all of the sum of its taxable net investment income and the excess, if any, of net short-term capital gains over net long-term capital losses for such year and otherwise qualifies for the special rules governing the taxation of regulated investment companies, the Fund itself will not pay federal income tax on the amount distributed. Such dividends will be taxable to shareholders subject to income tax as ordinary income. Distributions of long-term capital gains (generally taxed at 20%) will be taxable to shareholders as such, regardless of how long a shareholder has held the shares. Distributions will be taxed as described above whether received in cash or in shares through the reinvestment of distributions. A distribution paid to shareholders by a Fund in January of a year is generally deemed to have been received by shareholders on December 31 of the preceding year, if the distribution was declared and payable to shareholders of record on a date in October, November or December of that preceding year. Each Fund will provide federal tax information annually, including information about dividends and distributions paid during the preceding year. If more than 50% of a Fund's assets at fiscal year-end is represented by debt and equity securities of foreign corporations, the Fund may (and the AXA Rosenberg International Small Capitalization Fund, the AXA Rosenberg Japan Fund, the AXA Rosenberg International Equity Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund intend to) elect to permit shareholders who are U.S. citizens or U.S. corporations to claim a foreign tax credit or deduction (but not both) on their U.S. income tax returns for their pro rata portion of qualified taxes paid by the Fund to foreign countries. As a result, the amounts of foreign income taxes paid by such Fund would be treated as additional income to shareholders of such Fund for purposes of the foreign tax credit. Each such shareholder would include in gross income from foreign sources its pro rata share of such taxes. Certain limitations imposed by the Internal Revenue Code may prevent shareholders from receiving a full foreign tax credit or deduction for their allocable amount of such taxes. To the extent such investments are permissible for a Fund, the Fund's short sales and transactions in options, futures contracts, hedging transactions, forward contracts, equity swap contracts and straddles will be subject to special tax rules (including mark-to-market, constructive sale, straddle, wash sale and short sale rules), the effect of which may be to accelerate income to the Fund, defer losses to the Fund, cause adjustments in the holding periods of the Fund's securities and convert short-term capital losses into long-term capital losses. These rules could therefore affect the amount, timing and character of distributions to shareholders. A Fund's use of such transactions may result in the Fund realizing more short-term capital gains and ordinary income subject to tax at ordinary income tax rates than it would if it did not engage in such transactions. The foregoing is a general summary of the federal income tax consequences of investing in a Fund to shareholders who are U.S. citizens or U.S. corporations. Shareholders should consult their own tax advisers about the tax consequences of an investment in the Funds in light of each shareholder's particular tax situation. Shareholders should also consult their own tax advisers about consequences under foreign, state, local or other applicable tax laws. OTHER INFORMATION Each Fund's investment performance may from time to time be included in advertisements about such Fund. Total return for a Fund is measured by comparing the value of an investment in such Fund at the beginning of the relevant period to the redemption value of the investment in such Fund at the end of such period (assuming immediate reinvestment of any dividends or capital gains distributions). All data are based on a Fund's past investment results and do not predict future performance. Investment performance, which will vary, is based on many factors, including market conditions, the composition of a Fund's portfolio and a Fund's operating expenses. Investment performance also often reflects the risks associated with a Fund's investment objective and policies. These factors should be considered when comparing a 66 Fund's investment results with those of other mutual funds and other investment vehicles. Quotations of investment performance for any period when an expense limitation was in effect will be greater than if the limitation had not been in effect. FINANCIAL HIGHLIGHTS The Report of Independent Accountants, financial highlights and financial statements of the Funds included in its Annual Report for the period ended March 31, 2000 (the "Annual Report") are incorporated herein by reference to such Annual Report. Copies of such Annual Report are available without charge upon request by writing to Barr Rosenberg Series Trust, 3435 Stelzer Road, Columbus, Ohio 43219 or telephoning 1-800-447-3332. The financial statements incorporated by reference into this Statement of Additional Information have been audited by PricewaterhouseCoopers LLP, independent accountants, and have been so included and incorporated by reference in reliance upon the report of said firm, which report is given upon their authority as experts in auditing and accounting. 67 For more information about the funds: Statement of Additional Information (SAI): The SAI provides more detailed information about the Funds. It is incorporated by reference into this prospectus and is legally considered a part of this prospectus. Annual and Semi-Annual Reports: The Funds' Annual and Semi-Annual Reports to shareholders contain additional information on the Funds' investments. The Report of PricewaterhouseCoopers LLP, the Trust's Independent Accountants, financial highlights and financial statements of the Funds included in the Annual Report are incorporated herein by reference to such Annual Report. You may review and copy the Trust's Annual and Semi-Annual Reports and the SAI at the Public Reference Room of the Securities and Exchange Commission. You may obtain text-only copies, for a fee, by writing to the Public Reference Section of the Commission, Washington D.C. 20549-0102, or by calling 1-202-942-8090, or by electronic request via e-mail at the following address: publicinfo@sec.gov. You may obtain text-only copies for free from the Edgar database on the Commission's website at http://www.sec.gov. You can get free copies of the SAI and the Annual and Semi-Annual Reports, request other information about the Funds or make shareholder inquiries by contacting the Funds at: -------------------------------------- Barr Rosenberg Series Trust 3435 Stelzer Road Columbus, Ohio 43219-8021 1.800.555.5737 (Institutional Shares) 1.800.447.3332 (Investor Shares) -------------------------------------- Adviser AXA Rosenberg Investment Management LLC Four Orinda Way, Building E Orinda, California 94563 Administrator, Transfer Agent and Dividend Paying Agent BISYS Fund Services Ohio, Inc. 3435 Stelzer Road Columbus, Ohio 43219 Custodians of Assets Custodial Trust Company 101 Carnegie Center Princeton, New Jersey 08540 State Street Bank and Trust Company Mutual Funds Division Boston, Massachusetts 02102 Independent Accountants PricewaterhouseCoopers LLP 333 Market Street San Francisco, California 94104 BRG-0036 Legal Counsel Ropes & Gray One International Plaza Boston, Massachusetts 02110 Investment Company Act File No. 811-05547 EX-99.17(B) 7 a2040299zex-99_17b.txt EXHIBIT 99.17(B) Exhibit 17(b) BARR ROSENBERG SERIES TRUST Supplement dated August 18, 2000 to Prospectus dated July 31, 2000 This supplement is provided to update, and should be read in conjunction with, the information provided in the Prospectus. MANAGEMENT DISCUSSION OF FUND PERFORMANCE The average annual total return for the AXA Rosenberg Japan Fund for the 10-year period ended March 31, 2000 is 0.82%. The subsection entitled "AXA Rosenberg Japan Fund" in the section entitled "Management Discussion of Fund Performance" is hereby amended accordingly. FINANCIAL HIGHLIGHTS The section entitled "Financial Highlights" is replaced hereby in its entirety by the following: The financial highlights table is intended to help you understand each Fund's financial performance for the past five years (or, if shorter, the period of the Fund's operations). Certain information reflects financial results for a single Fund share. The total returns in the tables represent the rate that an investor would have earned (or lost) on an investment in the particular Fund (assuming reinvestment of all dividends and distributions). This information has been audited by PricewaterhouseCoopers LLP, whose report, along with the Trust's financial statements, is included in the Fund's Annual Report, which is available upon request. BRG-0036S1
INCOME FROM INVESTMENT OPERATIONS ---------------------------------------------- NET REALIZED AND UNREALIZED GAIN/(LOSS) NET ASSET ON INVESTMENTS VALUE, NET AND FOREIGN TOTAL FROM BEGINNING INVESTMENT CURRENCY INVESTMENT FISCAL YEAR OR PERIOD OF PERIOD INCOME (LOSS) TRANSACTIONS OPERATIONS - --------------------- --------- -------------- -------------- -------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $ 7.66 $ -- $ 2.40 $ 2.40 Year ended 3/31/99..... 9.76 0.01(a) -2.02 -2.01 Year ended 3/31/98..... 7.13 0.02(a) 3.14 3.16 Year ended 3/31/97..... 7.60 0.04 1.39 1.43 Year ended 3/31/96..... 6.97 0.03 2.34 2.37 Adviser Shares Year ended 3/31/00..... $ 7.65 $ -- $ 2.37 $ 2.37 Year ended 3/31/99..... 9.75 --(a) -2.02 -2.02 Year ended 3/31/98..... 7.14 -0.01(a) 3.14 3.13 1/21/97(d) to 3/31/97.............. 7.38 0.02 -0.26 -0.24 Investor Shares Year ended 3/31/00..... $ 7.63 $ -- $ 2.37 $ 2.37 Year ended 3/31/99..... 9.73 -0.01(a) -2.01 -2.02 Year ended 3/31/98..... 7.13 -0.02(a) 3.14 3.12 10/22/96(d) to 3/31/97.............. 8.49 0.07 0.47 0.54 AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $ 9.11 $ 0.15 $ 2.74 $ 2.89 Year ended 3/31/99..... 10.10 0.12(a) -1.02 -0.90 Year ended 3/31/98..... 10.13 0.08(a) 0.14 0.22 9/23/96(d) to 3/31/97.............. 10.00 0.02(a) 0.11 0.13 Investor Shares Year ended 3/31/00..... $ 9.10 $ 0.13 $ 2.71 $ 2.84 Year ended 3/31/99..... 10.09 0.07(a) -1.00 -0.93 Year ended 3/31/98..... 10.13 0.06(a) 0.14 0.20 10/29/96(d) to 3/31/97.............. 10.04 0.02(a) 0.07 0.09 AXA ROSENBERG JAPAN FUND Institutional Shares Year ended 3/31/00..... $ 5.46 $ -0.07 $ 2.54 $ 2.47 Year ended 3/31/99..... 4.72 -0.02(a) 0.76 0.74 Year ended 3/31/98..... 6.20 -0.04(a) -1.44 -1.48 Year ended 3/31/97..... 8.77 -0.05(a) -2.45 -2.50 Year ended 3/31/96..... 8.96 0.04 -0.15 -0.11 Investor Shares Year ended 3/31/00..... $ 5.44 $ -0.07 $ 2.52 $ 2.45 Year ended 3/31/99..... 4.71 -0.04(a) 0.77 0.73 Year ended 3/31/98..... 6.20 -0.04(a) -1.45 -1.49 10/22/96(d) to 3/31/97.............. 8.08 -0.01(a) -1.80 -1.81 AXA ROSENBERG VALUE MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $ 8.99 $ 0.34 $ -1.58 $ -1.24 Year ended 3/31/99..... 9.97 0.29(a) -1.00 -0.71 12/16/97(d) to 3/31/98.............. 10.00 0.10(a) -0.13 -0.03 Investor Shares Year ended 3/31/00..... $ 8.98 $ 0.32 $ -1.59 $ -1.27 Year ended 3/31/99..... 9.96 0.25(a) -1.00 -0.75 12/18/97(d) to 3/31/98.............. 10.00 0.08(a) -0.12 -0.04 AXA ROSENBERG DOUBLE ALPHA MARKET FUND Institutional Shares Year ended 3/31/00..... $ 9.81 $ 0.35 $ -0.57 $ -0.22 4/22/98(d) to 3/31/99.............. 10.00 0.26 -0.21 0.05 Investor Shares Year ended 3/31/00..... $ 9.79 $ 0.32 $ -0.56 $ -0.24 4/22/98(d) to 3/31/99.............. 10.00 0.21 -0.20 0.01 AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $10.46 $ 0.44 $ 0.57 $ 1.01 10/19/98(d) to 3/31/99.............. 10.00 0.11 0.40 0.51 Investor Shares Year ended 3/31/00..... $10.43 $ 0.43 $ 0.53 $ 0.96 11/11/98(d) to 3/31/99.............. 10.00 0.07 0.40 0.47
FOOTNOTES TO THE FINANCIAL HIGHLIGHTS (a) Calculated based on the average shares outstanding during the period. (b) Distribution per share was less than $0.005. (c) Annualized. (d) Class inception date. 2
DIVIDENDS AND DISTRIBUTIONS ------------------------------------------------------------------- DISTRIBUTIONS IN EXCESS OF NET REALIZED DISTRIBUTIONS FROM GAIN ON NET REALIZED INVESTMENTS DIVIDENDS GAINS ON AND NET ASSET FROM NET INVESTMENTS AND FOREIGN TOTAL VALUE, INVESTMENT FOREIGN CURRENCY CURRENCY DISTRIBUTIONS END OF TOTAL FISCAL YEAR OR PERIOD INCOME TRANSACTIONS TRANSACTIONS TO SHAREHOLDERS PERIOD RETURN - --------------------- -------------- ------------------ -------------- --------------- --------- -------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $ --(b) $ -- $ -- $ -- $10.06 31.36% Year ended 3/31/99..... -0.01 -0.08 -- -0.09 7.66 -20.56% Year ended 3/31/98..... -0.01 -0.52 -- -0.53 9.76 44.95% Year ended 3/31/97..... -0.05 -1.85 -- -1.90 7.13 19.53% Year ended 3/31/96..... -0.01 -1.73 -- -1.74 7.60 35.69% Adviser Shares Year ended 3/31/00..... $ --(b) $ -- $ -- $ -- $10.02 31.00% Year ended 3/31/99..... -- -0.08 -- -0.08 7.65 -20.70% Year ended 3/31/98..... -- -0.52 -- -0.52 9.75 44.50% 1/21/97(d) to 3/31/97.............. -- -- -- -- 7.14 -3.25% Investor Shares Year ended 3/31/00..... $ -- $ -- $ -- $ -- $10.00 31.06% Year ended 3/31/99..... -- -0.08 -- -0.08 7.63 -20.74% Year ended 3/31/98..... -- -0.52 -- -0.52 9.73 44.42% 10/22/96(d) to 3/31/97.............. -0.05 -1.85 -- -1.90 7.13 6.84% AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $ -0.19 $ -- $ -- $ -0.19 $11.81 32.04% Year ended 3/31/99..... -0.09 -- -- -0.09 9.11 -8.83% Year ended 3/31/98..... -0.05 -0.06 -0.14 -0.25 10.10 2.51% 9/23/96(d) to 3/31/97.............. -- -- -- -- 10.13 1.30% Investor Shares Year ended 3/31/00..... -0.17 $ -- $ -- -0.17 $11.77 31.47% Year ended 3/31/99..... -0.06 -- -- -0.06 9.10 -9.16% Year ended 3/31/98..... -0.04 -0.06 -0.14 -0.24 10.09 2.22% 10/29/96(d) to 3/31/97.............. -- -- -- -- 10.13 0.90% AXA ROSENBERG JAPAN FUND Institutional Shares Year ended 3/31/00..... -0.01 $ -- $ -- $ -0.01 $ 7.92 45.24% Year ended 3/31/99..... -- -- -- -- 5.46 15.68% Year ended 3/31/98..... -- -- -- -- 4.72 -23.87% Year ended 3/31/97..... -0.04 -- -0.03 -0.07 6.20 -28.68% Year ended 3/31/96..... -- -- -0.08 -0.08 8.77 -1.20% Investor Shares Year ended 3/31/00..... $ -- $ -- $ -- $ -- $ 7.89 45.04% Year ended 3/31/99..... -- -- -- -- 5.44 15.50% Year ended 3/31/98..... -- -- -- -- 4.71 -24.03% 10/22/96(d) to 3/31/97.............. -0.04 -- -0.03 -0.07 6.20 -22.59% AXA ROSENBERG VALUE MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $ -0.33 $ -- $ -- $ -0.33 $ 7.42 -14.13% Year ended 3/31/99..... -0.27 -- -- -0.27 8.99 -7.31% 12/16/97(d) to 3/31/98.............. -- -- -- -- 9.97 -0.30% Investor Shares Year ended 3/31/00..... $ -0.30 $ -- $ -- $ -0.30 $ 7.41 -14.41% Year ended 3/31/99..... -0.23 -- -- -0.23 8.98 -7.66% 12/18/97(d) to 3/31/98.............. -- -- -- -- 9.96 -0.40% AXA ROSENBERG DOUBLE ALPHA MARKET FUND Institutional Shares Year ended 3/31/00..... $ -0.35 $ -0.83 $ -- $ -1.18 $ 8.41 -2.63% 4/22/98(d) to 3/31/99.............. -0.24 -- -- -0.24 9.81 0.53% Investor Shares Year ended 3/31/00..... $ -0.32 $ -0.83 $ -- $ -1.15 $ 8.40 -2.78% 4/22/98(d) to 3/31/99.............. -0.22 -- -- -0.22 9.79 0.18% AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $ -0.42 $ -- $ -- $ -0.42 $11.05 9.82% 10/19/98(d) to 3/31/99.............. -0.05 -- -- -0.05 10.46 5.14% Investor Shares Year ended 3/31/00..... $ -0.40 $ -- $ -- $ -0.40 $10.99 9.39% 11/11/98(d) to 3/31/99.............. -0.04 -- -- -0.04 10.43 4.71% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA ---------------------------------- NET INVESTMENT INCOME/(LOSS) NET ASSETS, BEFORE END OF PERIOD WAIVERS/ FISCAL YEAR OR PERIOD (000'S OMITTED) REIMBURSEMENTS - --------------------- --------------- ----------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $447,879 -0.05% Year ended 3/31/99..... 445,476 0.10% Year ended 3/31/98..... 537,891 0.04% Year ended 3/31/97..... 82,116 -0.12% Year ended 3/31/96..... 60,046 0.22% Adviser Shares Year ended 3/31/00..... $ 7,884 -0.23% Year ended 3/31/99..... 15,465 -0.06% Year ended 3/31/98..... 17,448 -0.22% 1/21/97(d) to 3/31/97.............. 208 0.07%(c) Investor Shares Year ended 3/31/00..... $ 11,400 -0.34% Year ended 3/31/99..... 16,228 -0.50% Year ended 3/31/98..... 33,724 -0.70% 10/22/96(d) to 3/31/97.............. 2,375 0.07%(c) AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... $ 44,628 0.98% Year ended 3/31/99..... 34,292 0.82% Year ended 3/31/98..... 39,218 -0.32% 9/23/96(d) to 3/31/97.............. 12,859 -5.85%(c) Investor Shares Year ended 3/31/00..... $ 1,650 0.67% Year ended 3/31/99..... 1,697 0.08% Year ended 3/31/98..... 1,375 -0.83% 10/29/96(d) to 3/31/97.............. 185 -5.52%(c) AXA ROSENBERG JAPAN FUND Institutional Shares Year ended 3/31/00..... $ 1,512 -8.52% Year ended 3/31/99..... 1,053 -13.32% Year ended 3/31/98..... 866 -13.49% Year ended 3/31/97..... 1,009 -12.54% Year ended 3/31/96..... 1,378 -6.38% Investor Shares Year ended 3/31/00..... $ 95 -8.58% Year ended 3/31/99..... 48 -14.06% Year ended 3/31/98..... 50 -9.10% 10/22/96(d) to 3/31/97.............. 13 -11.83%(c) AXA ROSENBERG VALUE MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $ 74,401 2.46% Year ended 3/31/99..... 162,404 2.75% 12/16/97(d) to 3/31/98.............. 168,080 2.72%(c) Investor Shares Year ended 3/31/00..... $ 6,155 2.01% Year ended 3/31/99..... 37,387 2.31% 12/18/97(d) to 3/31/98.............. 35,223 2.28%(c) AXA ROSENBERG DOUBLE ALPHA MARKET FUND Institutional Shares Year ended 3/31/00..... $ 7,528 2.12% 4/22/98(d) to 3/31/99.............. 7,032 1.18%(c) Investor Shares Year ended 3/31/00..... $ 75 0.79% 4/22/98(d) to 3/31/99.............. 257 1.39%(c) AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... $ 27,835 3.45% 10/19/98(d) to 3/31/99.............. 28,814 2.00%(c) Investor Shares Year ended 3/31/00..... $ 904 3.16% 11/11/98(d) to 3/31/99.............. 539 1.30%(c)
FOOTNOTES TO THE FINANCIAL HIGHLIGHTS (a) Calculated based on the average shares outstanding during the period. (b) Distribution per share was less than $0.005. (c) Annualized. (d) Class inception date. 3
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA ------------------------------------------------------------------------------- EXPENSES EXPENSES (INCLUDING (EXCLUDING DIVIDEND DIVIDEND NET INVESTMENT EXPENSE, EXPENSE, INCOME/(LOSS) IF ANY) IF ANY) NET OF EXPENSES NET OF NET OF WAIVER/ BEFORE WAIVER/ WAIVER/ WAIVER/ PORTFOLIO FISCAL YEAR OR PERIOD REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS REIMBURSEMENTS TURNOVER RATIO - --------------------- --------------- -------------- -------------- -------------- -------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... 0.02% 1.23% --% 1.15% 141.78% Year ended 3/31/99..... 0.16% 1.19% --% 1.15% 123.66% Year ended 3/31/98..... 0.19% 1.30% --% 1.15% 77.70% Year ended 3/31/97..... 0.35% 1.54% --% 1.07% 126.83% Year ended 3/31/96..... 0.47% 1.15% --% 0.90% 71.87% Adviser Shares Year ended 3/31/00..... -0.16% 1.39% --% 1.31% 141.78% Year ended 3/31/99..... -0.00% 1.35% --% 1.29% 123.66% Year ended 3/31/98..... -0.06% 1.56% --% 1.40% 77.70% 1/21/97(d) to 3/31/97.............. 0.46%(c) 1.54%(c) --% 1.15%(c) 126.83% Investor Shares Year ended 3/31/00..... -0.13% 1.50% --% 1.28% 141.78% Year ended 3/31/99..... -0.15% 1.77% --% 1.42% 123.66% Year ended 3/31/98..... -0.24% 2.05% --% 1.59% 77.70% 10/22/96(d) to 3/31/97.............. 0.46%(c) 1.54%(c) --% 1.15%(c) 126.83% AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND Institutional Shares Year ended 3/31/00..... 1.43% 1.96% --% 1.50% 148.72% Year ended 3/31/99..... 1.29% 1.97% --% 1.50% 111.05% Year ended 3/31/98..... 0.82% 2.64% --% 1.50% 77.72% 9/23/96(d) to 3/31/97.............. 0.11%(c) 7.46%(c) --% 1.50%(c) 6.71% Investor Shares Year ended 3/31/00..... 1.14% 2.28% --% 1.81% 148.72% Year ended 3/31/99..... 0.79% 2.66% --% 1.95% 111.05% Year ended 3/31/98..... 0.61% 3.35% --% 1.91% 77.72% 10/29/96(d) to 3/31/97.............. 0.44%(c) 7.46%(c) --% 1.50%(c) 6.71% AXA ROSENBERG JAPAN FUND Institutional Shares Year ended 3/31/00..... -0.71% 9.31% --% 1.50% 100.31% Year ended 3/31/99..... -0.50% 14.32% --% 1.50% 152.20% Year ended 3/31/98..... -0.74% 14.25% --% 1.50% 102.13% Year ended 3/31/97..... -0.63% 13.33% --% 1.42% 51.70% Year ended 3/31/96..... -0.22% 7.16% --% 1.00% 60.60% Investor Shares Year ended 3/31/00..... -0.95% 9.40% --% 1.75% 100.31% Year ended 3/31/99..... -0.91% 14.95% --% 1.80% 152.50% Year ended 3/31/98..... -0.82% 10.12% --% 1.85% 102.13% 10/22/96(d) to 3/31/97.............. 0.00%(c) 13.33%(c) --% 1.50%(c) 51.70% AXA ROSENBERG VALUE MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... 2.82% 3.40% 3.04% 2.00% 139.22% Year ended 3/31/99..... 2.97% 3.07% 2.85% 2.00% 205.32% 12/16/97(d) to 3/31/98.............. 3.31%(c) 3.33%(c) 2.75%(c) 2.00%(c) 232.93% Investor Shares Year ended 3/31/00..... 2.36% 3.70% 3.35% 2.29% 139.22% Year ended 3/31/99..... 2.53% 3.52% 3.31% 2.45% 205.32% 12/18/97(d) to 3/31/98.............. 2.82%(c) 3.87%(c) 3.34%(c) 2.50%(c) 232.93% AXA ROSENBERG DOUBLE ALPHA MARKET FUND Institutional Shares Year ended 3/31/00..... 3.76% 1.99% --% 0.35% 144.75% 4/22/98(d) to 3/31/99.............. 2.81%(c) 1.98%(c) --% 0.35%(c) 154.45% Investor Shares Year ended 3/31/00..... 2.42% 2.23% --% 0.60% 144.75% 4/22/98(d) to 3/31/99.............. 3.07%(c) 2.14%(c) --% 0.45%(c) 154.45% AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND Institutional Shares Year ended 3/31/00..... 3.99% 2.81% 2.27% 1.25% 368.26% 10/19/98(d) to 3/31/99.............. 3.15%(c) 3.90%(c) 2.75%(c) 1.25%(c) 145.22% Investor Shares Year ended 3/31/00..... 3.72% 3.11% 2.55% 1.52% 368.26% 11/11/98(d) to 3/31/99.............. 2.26%(c) 3.73%(c) 2.77%(c) 1.46%(c) 145.22%
FOOTNOTES TO THE FINANCIAL HIGHLIGHTS (a) Calculated based on the average shares outstanding during the period. (b) Distribution per share was less than $0.005. (c) Annualized. (d) Class inception date. 4 -----END PRIVACY-ENHANCED MESSAGE-----