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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
STATEMENT OF ADDITIONAL INFORMATION
JULY 31, 2000
This Statement of Additional Information is not a prospectus. This Statement
of Additional Information relates to the prospectus dated July 31, 2000 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, 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
of the Barr Rosenberg Series Trust (the "Prospectus") and should be read in
conjunction therewith. A copy of the Prospectus may be obtained from the Barr
Rosenberg Series Trust, 3435 Stelzer Road, Columbus, Ohio 43219.
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TABLE OF CONTENTS
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INVESTMENT OBJECTIVES AND POLICIES........................................ 3
MISCELLANEOUS INVESTMENT PRACTICES........................................ 9
INVESTMENT RESTRICTIONS................................................... 10
INCOME DIVIDENDS, DISTRIBUTIONS AND TAX STATUS............................ 12
MANAGEMENT OF THE TRUST................................................... 15
INVESTMENT ADVISORY AND OTHER SERVICES.................................... 18
PORTFOLIO TRANSACTIONS.................................................... 25
TOTAL RETURN CALCULATIONS................................................. 27
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES.......................... 29
DETERMINATION OF NET ASSET VALUE.......................................... 38
PURCHASE AND REDEMPTION OF SHARES......................................... 38
FINANCIAL STATEMENTS...................................................... 39
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INVESTMENT OBJECTIVES AND POLICIES
The investment objective and policies of each 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, 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") of the Barr Rosenberg Series Trust (the
"Trust") are summarized in the Prospectus under the heading "Risk/Return
Summary" and described in more detail in the Prospectus under the headings
"Principal Investment Strategies" and "Principal Risks."
The following is an additional description of certain investments of the
Funds.
INDEX FUTURES (ALL FUNDS). An index futures contract (an "Index Future") is
a contract to buy or sell an integral number of units of an Index at a specified
future date at a price agreed upon when the contract is made. A unit is the
value of the relevant Index from time to time. Entering into a contract to buy
units is commonly referred to as buying or purchasing a contract or holding a
long position in an Index.
Index Futures contracts can be traded through all major commodity brokers.
Currently, contracts are expected to expire on the tenth day of March, June,
September and December. A Fund will ordinarily be able to close open positions
on the United States futures exchange on which Index Futures are then traded at
any time up to and including the expiration day.
Upon entering into a futures contract, a Fund will be required to deposit
initial margin with its custodian in a segregated account in the name of the
futures broker. Variation margin will be paid to and received from the broker on
a daily basis as the contracts are marked to market. For example, when a Fund
has purchased an Index Future and the price of the relevant Index has risen,
that position will have increased in value and the Fund will receive from the
broker a variation margin payment equal to that increase in value. Conversely,
when a Fund has purchased an Index Future and the price of the relevant Index
has declined, the position would be less valuable and the Fund would be required
to make a variation margin payment to the broker.
The price of Index Futures may not correlate perfectly with movement in the
underlying Index due to certain market distortions. First, all participants in
the futures market are subject to margin deposit and maintenance requirements.
Rather than meeting additional margin deposit requirements, investors may close
futures contracts through offsetting transactions which could distort the normal
relationship between the Index and futures markets. Secondly, the deposit
requirements in the futures market are less onerous than margin requirements in
the securities market, and as a result the futures market may attract more
speculators than does the securities market. Increased participation by
speculators in the futures market may also cause temporary price distortions. In
addition, with respect to the AXA Rosenberg Japan Fund, AXA Rosenberg
International Small Capitalization Fund, AXA Rosenberg International Equity Fund
and AXA Rosenberg Multi-Strategy Market Neutral Fund trading hours for Index
Futures may not correspond perfectly to hours of trading on the Tokyo Stock
Exchange. This may result in a disparity between the price of Index Futures and
the value of the underlying Index due to the lack of continuous arbitrage
between the Index Futures price and the value of the underlying Index.
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FOREIGN CURRENCY TRANSACTIONS (AXA ROSENBERG INTERNATIONAL SMALL
CAPITALIZATION FUND, AXA ROSENBERG JAPAN FUND, AXA ROSENBERG INTERNATIONAL
EQUITY FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND). The Funds
do not currently intend to hedge the foreign currency risk associated with
investments in securities denominated in foreign currencies. However, the
Funds reserve the right to buy or sell foreign currencies or to deal in
forward foreign currency contracts to hedge against possible variations in
foreign exchange rates pending the settlement of securities transactions. The
Funds also reserve the right to use currency futures contracts and related
options thereon for similar purposes. By entering into a futures or forward
contract for the purchase or sale, for a fixed amount of dollars, of the
amount of foreign currency involved in the underlying security transactions,
a Fund will be able to protect itself against a possible loss resulting from
an adverse change in the relationship between the U.S. dollar and the subject
foreign currency during the period between the date on which the security is
purchased or sold and the date on which payment is made or received. A Fund's
dealing in forward contracts will be limited to this type of transaction. A
Fund will not engage in currency futures transactions for leveraging
purposes. A put option on a futures contract gives a Fund the right to assume
a short position in the futures contract until the expiration of the option.
A call option on a futures contract gives a Fund the right to assume a long
position in the futures contract until the expiration of the option.
CURRENCY FORWARD CONTRACTS (AXA ROSENBERG INTERNATIONAL SMALL
CAPITALIZATION FUND, AXA ROSENBERG JAPAN FUND, AXA ROSENBERG INTERNATIONAL
EQUITY FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND). A forward
foreign currency exchange contract involves an obligation to purchase or sell
a specific currency at a future date, which may be any fixed number of days
from the date of the contract as agreed by the parties, at a price set at the
time of the contract. In the case of a cancelable forward contract, the
holder has the unilateral right to cancel the contract at maturity by paying
a specified fee. The contracts traded in the interbank market are negotiated
directly between currency traders (usually large commercial banks) and their
customers. A forward contract generally has no deposit requirement, and no
commissions are charged at any stage for trades.
CURRENCY FUTURES TRANSACTIONS (AXA ROSENBERG INTERNATIONAL SMALL
CAPITALIZATION FUND, AXA ROSENBERG JAPAN FUND, AXA ROSENBERG INTERNATIONAL
EQUITY FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND). A currency
futures contract sale creates an obligation by the seller to deliver the amount
of currency called for in the contract in a specified delivery month for a
stated price. A currency futures contract purchase creates an obligation by the
purchaser to take delivery of the underlying amount of currency in a specified
delivery month at a stated price. Futures contracts are traded only on commodity
exchanges -- known as "contract markets" -- approved for such trading by the
Commodity Futures Trading Commission ("CFTC"), and must be executed through a
futures commission merchant, or brokerage firm, which is a member of the
relevant contract market.
Although futures contracts by their terms call for actual delivery or
acceptance, in most cases the contracts are closed out before the settlement
date without the making or taking of delivery. Closing out a futures contract
sale is effected by purchasing a futures contract for the same aggregate amount
of the specific type of financial instrument or commodity and the same delivery
date. If the price of the initial sale of the futures contract exceeds the price
of the offsetting purchase, the seller is paid the difference and realizes a
gain. Conversely, if the price of the offsetting purchase exceeds the price of
the initial sale, the seller realizes a loss. Similarly, the closing out of a
futures contract purchase is effected by the purchaser entering into a
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futures contract sale. If the offsetting sale price exceeds the purchase price,
the purchaser realizes a gain, and if the purchase price exceeds the offsetting
sale price, the purchaser realizes a loss.
The purchase or sale of a futures contract differs from the purchase or sale
of a security, in that no price or premium is paid or received. Instead, an
amount of cash or U.S. Treasury bills generally not exceeding 5% of the contract
amount must be deposited with the broker. This amount is known as initial
margin. Subsequent payments to and from the broker, known as variation margin,
are made on a daily basis as the price of the underlying futures contract
fluctuates making the long and short positions in the futures contract more or
less valuable, a process known as "marking to the market." At any time prior to
the settlement date of the futures contract, the position may be closed out by
taking an opposite position which will operate to terminate the position in the
futures contract. A final determination of variation margin is then made,
additional cash is required to be paid to or released by the broker, and the
purchaser realizes a loss or gain. In addition, a commission is paid on each
completed purchase and sale transaction.
Unlike a currency futures contract, which requires the parties to buy and
sell currency on a set date, an option on a futures contract entitles its holder
to decide on or before a future date whether to enter into such a contract. If
the holder decides not to enter into the contract, the premium paid for the
option is lost. Since the value of the option is fixed at the point of sale,
there are no daily payments of cash in the nature of "variation" or
"maintenance" margin payments to reflect the change in the value of the
underlying contract as there are by a purchaser or seller of a currency futures
contract.
The ability to establish and close out positions on options on futures will
be subject to the development and maintenance of a liquid secondary market. It
is not certain that this market will develop or be maintained.
The Funds will write (sell) only covered put and call options on currency
futures. This means that a Fund will provide for its obligations upon exercise
of the option by segregating sufficient cash or short-term obligations or by
holding an offsetting position in the option or underlying currency future, or a
combination of the foregoing. Set forth below is a description of methods of
providing cover that the Funds currently expect to employ, subject to applicable
exchange and regulatory requirements. If other methods of providing appropriate
cover are developed, a Fund reserves the right to employ them to the extent
consistent with applicable regulatory and exchange requirements.
A Fund will, so long as it is obligated as the writer of a call option on
currency futures, own on a contract-for-contract basis an equal long position in
currency futures with the same delivery date or a call option on currency
futures with the difference, if any, between the market value of the call
written and the market value of the call or long currency futures purchased
maintained by the Fund in cash, U.S. government securities, or other high-grade
liquid debt obligations in a segregated account with its custodian. If at the
close of business on any day the market value of the call purchased by a Fund
falls below 100% of the market value of the call written by the Fund, the Fund
will so segregate an amount of cash, U.S. government securities, or other high-
grade liquid debt obligations equal in value to the difference. Alternatively, a
Fund may cover the call option through segregating with its custodian an amount
of the particular foreign currency equal to the amount of foreign currency per
futures contract option times the number of options written by the Fund.
In the case of put options on currency futures written by a Fund, the Fund
will hold the aggregate exercise price in cash, U.S. government securities, or
other high-grade liquid debt obligations in a segregated
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account with its custodian, or own put options on currency futures or short
currency futures, with the difference, if any, between the market value of the
put written and the market value of the puts purchased or the currency futures
sold maintained by the Fund in cash, U.S. government securities, or other
high-grade liquid debt obligations in a segregated account with its custodian.
If at the close of business on any day the market value of the put options
purchased or the currency futures sold by a Fund falls below 100% of the market
value of the put options written by the Fund, the Fund will so segregate an
amount of cash, U.S. government securities, or other high-grade liquid debt
obligations equal in value to the difference.
A Fund may not enter into currency futures contracts or related options
thereon if immediately thereafter the amount committed to margin plus the amount
paid for premiums for unexpired options on currency futures contracts exceeds 5%
of the market value of the Fund's total assets.
LIMITATIONS ON THE USE OF CURRENCY FUTURES CONTRACTS (AXA ROSENBERG
INTERNATIONAL SMALL CAPITALIZATION FUND, AXA ROSENBERG JAPAN FUND,
AXA ROSENBERG INTERNATIONAL EQUITY FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET
NEUTRAL FUND). A Fund's ability to engage in the currency futures transactions
described above will depend on the availability of liquid markets in such
instruments. Markets in currency futures are relatively new and still
developing. It is impossible to predict the amount of trading interest that may
exist in various types of currency futures. Therefore no assurance can be given
that a Fund will be able to utilize these instruments effectively for the
purposes set forth above. Furthermore, a Fund's ability to engage in such
transactions may be limited by tax considerations.
RISK FACTORS IN CURRENCY FUTURES TRANSACTIONS (AXA ROSENBERG INTERNATIONAL
SMALL CAPITALIZATION FUND, AXA ROSENBERG JAPAN FUND, AXA ROSENBERG INTERNATIONAL
EQUITY FUND AND AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND). Investment
in currency futures contracts involves risk. Some of that risk may be caused by
an imperfect correlation between movements in the price of the futures contract
and the price of the currency being hedged. The hedge will not be fully
effective where there is such imperfect correlation. To compensate for imperfect
correlations, a Fund may purchase or sell futures contracts in a greater amount
than the hedged currency if the volatility of the hedged currency is
historically greater than the volatility of the futures contracts. Conversely, a
Fund may purchase or sell fewer contracts if the volatility of the price of the
edged currency is historically less than that of the futures contracts. The risk
of imperfect correlation generally tends to diminish as the maturity date of the
futures contract approaches.
The successful use of transactions in futures and related options also
depends on the ability of the Adviser to forecast correctly the direction and
extent of exchange rate and stock price movements within a given time frame.
It is impossible to forecast precisely what the market value of securities a
Fund anticipates buying will be at the expiration or maturity of a currency
forward or futures contract. Accordingly, in cases where a Fund seeks to
protect against an increase in value of the currency in which the securities
are denominated through a foreign currency transaction, it may be necessary
for the Fund to purchase additional foreign currency on the spot market (and
bear the expense of such currency purchase) if the market value of the
securities to be purchased is less than the amount of foreign currency the
Fund contracted to purchase. Conversely, it may be necessary to sell on the
spot market some of the foreign currency received upon the sale of the
portfolio security or securities if the market value of such security or
securities exceeds the value of the securities purchased. When a Fund
purchases forward or futures contracts (or options thereon) to hedge against
a possible increase in the price of the currency in which the securities the
Fund anticipates
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purchasing are denominated, it is possible that the market may instead
decline. If a Fund does not then invest in such securities because of concern
as to possible further market decline or for other reasons, the Fund may
realize a loss on the forward or futures contract that is not offset by a
reduction in the price of the securities purchased. As a result, a Fund's
total return for such period may be less than if it had not engaged in the
forward or futures transaction.
Foreign currency transactions that are intended to hedge the value of
securities a Fund contemplates purchasing do not eliminate fluctuations in the
underlying prices of those securities. Rather, such currency transactions simply
establish a rate of exchange which can be used at some future point in time.
Additionally, although these techniques tend to minimize the risk of loss due to
a change in the value of the currency involved, they tend to limit any potential
gain that might result from the increase in the value of such currency.
The amount of risk a Fund assumes when it purchases an option on a currency
futures contract is the premium paid for the option plus related transaction
costs. In addition to the correlation risks discussed above, the purchase of an
option also entails the risk that changes in the value of the underlying futures
contract will not be fully reflected in the value of the option purchased.
The liquidity of a secondary market in a currency futures contract may be
adversely affected by "daily price fluctuation limits" established by commodity
exchanges which limit the amount of fluctuation in a futures contract price
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, thus
preventing the liquidation of open futures positions. Prices have in the past
exceeded the daily limit on a number of consecutive trading days.
A Fund's ability to engage in currency forward and futures transactions may
be limited by tax considerations.
WARRANTS (AXA ROSENBERG JAPAN FUND). The AXA Rosenberg Japan Fund may from
time to time purchase warrants; however, not more than 5% of its net assets (at
the time of purchase) will be invested in warrants or rights other than warrants
acquired in units or attached to other securities. Of such 5%, not more than 2%
of such net assets at the time of purchase may be invested in warrants that are
not listed on the New York Stock Exchange or American Stock Exchange. Warrants
have no voting rights, pay no dividends and have no rights with respect to the
assets of the corporation issuing them. Warrants represent options to purchase
equity securities of an issuer at a specific price for a specific period of
time. They do not represent ownership of such securities, but only the right to
buy them.
SHORT SALES (THE MARKET NEUTRAL FUNDS). The AXA Rosenberg Value Market
Neutral Fund, the AXA Rosenberg Select Sectors Market Neutral Fund and the
AXA Rosenberg Multi-Strategy Market Neutral Fund (collectively, the "Market
Neutral Funds") will seek, and the AXA Rosenberg Double Alpha Market Fund may
occasionally seek, to realize additional gains through short sales. Short
sales are transactions in which a Fund sells a security it does not own, in
anticipation of a decline in the value of that security relative to the long
positions held by the Fund. To complete such a transaction, a Fund must
borrow the security to make delivery to the buyer. A Fund then is obligated
to replace the security borrowed by purchasing it at the market price at or
prior to the time of replacement. The price at such time may be more or less
than the price at which the security was sold by a Fund. Until the security
is replaced, a Fund is required to repay the lender
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any dividends or interest that accrue during the period of the loan. To borrow
the security, a Fund also may be required to pay a premium, which would increase
the cost of the security sold. The net proceeds of the short sale will be
retained by the broker (or by the Fund's custodian in a special custody
account), to the extent necessary to meet margin requirements, until the short
position is closed out. A Fund also will incur transaction costs in effecting
short sales.
A Fund will incur a loss as a result of the short sale if the price of the
security increases between the date of the short sale and the date on which the
Fund replaces the borrowed security. A Fund may realize a gain if the security
declines in price between those dates. The amount of any gain will be decreased,
and the amount of any loss increased, by the amount of the premium, dividends,
interest or expenses a Fund may be required to pay in connection with a short
sale. There can be no assurance that a Fund will be able to close out a short
position at any particular time or at an acceptable price.
S&P 500 INDEX FUTURES AND RELATED OPTIONS (AXA ROSENBERG DOUBLE ALPHA
MARKET FUND AND AXA ROSENBERG ENHANCED 500 FUND). An S&P 500 Index Future
contract (an "Index Future") is a contract to buy or sell an integral number
of units of the Standard & Poor's 500 Composite Stock Price Index (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 of the S&P 500 Index from time to time.
Entering into a contract to buy units of the S&P 500 Index is commonly
referred to as buying or purchasing a contract or holding a long position in
the S&P 500 Index. Index Futures can be traded through all major commodity
brokers. Currently, contracts are expected to expire on the tenth day of
March, June, September and December. The AXA Rosenberg Double Alpha Market
Fund and the AXA Rosenberg Enhanced 500 Fund will ordinarily be able to close
open positions on the United States futures exchange on which Index Futures
are then traded at any time up to and including the expiration day.
In contrast to a purchase of common stock, no price is paid or received
by the Fund upon the purchase of a futures contract. Upon entering into a
futures contract, the 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 types of instruments that may be deposited as initial margin,
and the required amount of initial margin, are determined by the futures
exchange(s) 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 S&P 500 Index fluctuates, making
the position in the futures contract more or less valuable, a process known
as "marking to the market." For example, when the Fund has purchased an Index
Future and the price of the S&P 500 Index has risen, that position will have
increased in value and the Fund will receive from the broker a variation
margin payment equal to that increase in value. Conversely, when the Fund has
purchased an Index Future and the price of the S&P 500 Index has declined,
the position would be less valuable and the Fund would be required to make a
variation margin paymnet to the broker. When the Fund terminates a position
in a futures contract, a final determination of variation margin is made,
additional cash is paid by or to the Fund, and the Fund realizes a gain or a
loss.
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The price of Index Futures may not correlate perfectly with movement in the
underlying index due to certain market distortions. First, all participants in
the futures market are subject to margin deposit and maintenance requirements.
Rather than meeting additional margin deposit requirements, investors may close
futures contracts through offsetting transactions which could distort the normal
relationship between the S&P 500 Index and futures markets. Second, the deposit
requirements in the futures market are less onerous than margin requirements in
the securities market, and as a result the futures market may attract more
speculators than does the securities market. Increased participation by
speculators in the futures market may also cause temporary price distortions.
A position in Index Futures may be closed out only if there is a
secondary market for such futures. There can be no assurance that a liquid
secondary market will exist for any particular contract or at any particular
time. In such event, it may not be possible to close a futures position and,
in the event of adverse price movements, the Fund would continue to be
required to make daily cash payments of variation margin.
Generally, a futures contract is terminated by entering into an
offsetting transaction. An offsetting transaction for a futures contract
purchase is effected by entering into a futures contract sale for the same
aggregate amount of the specified financial instrument with the same delivery
date. If the offsetting sale price exceeds the purchase price, the Fund
realizes a gain, and if the purchase price exceeds the offsetting price, the
Fund realizes a loss.
Options on index futures contracts give the purchaser the right, in return
for the premium paid, to assume a position in an index futures contract (a long
position if the option is a call and a short position if the option is a put) at
a specified exercise price at any time during the period of the option. Upon
exercise of the option, the holder would assume the underlying futures position
and would receive a variation margin payment of cash or securities approximating
the increase in the value of the holder's option position. If an option is
exercised on the last trading day prior to the expiration date of the option,
the settlement will be made entirely in cash based on the difference between the
exercise price of the option and the closing level of the index on which the
futures contract is based on the expiration date. Purchasers of options who fail
to exercise their options prior to the exercise date suffer a loss of the
premium paid.
The ability to establish and close out positions in options on futures
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 and the AXA Rosenberg Enhanced 500
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.
STANDARD & POOR'S DEPOSITARY RECEIPTS (AXA ROSENBERG DOUBLE ALPHA MARKET FUND
AND AXA ROSENBERG ENHANCED 500 FUND). Subject to the limitations set forth
in the Funds' investment restrictions, each of the AXA Rosenberg Double Alpha
Market Fund and AXA Rosenberg Enhanced 500 Fund may invest in Standard &
Poor's Depositary Receipts ("SPDRs"). The SPDR Trust is a unit investment
trust that holds shares of all the companies in the S&P 500 and closely
tracks the price performance and dividend yield of the Index. An investment
in SPDRs allows the relevant Fund, in effect, to invest in the entire
portfolio of the 500 highly capitalized stocks of the S&P 500 in a single
transaction. Investments in SPDRs are subject to risks similar to those
associated with investments in other diversified stock portfolios. One
primary consideration is that the general level of stock prices may decline,
causing the value of SPDRs, because they represent interests in a broadly
based stock portfolio, also to decline. Although the SPDR is designed to
provide investment results that generally correspond to the price and yield
performance of the S&P 500 Index, there is no guarantee that the SPDR Trust
will be able to exactly replicate the performance of the Index because of
expenses and other factors.
MISCELLANEOUS INVESTMENT PRACTICES
PORTFOLIO TURNOVER. A change in securities held by a Fund is known as
"portfolio turnover" and almost always involves the payment by a Fund of
brokerage commissions or dealer markup and other transaction costs on the sale
of securities as well as on the reinvestment of the proceeds in other
securities. Portfolio turnover is not a limiting factor with respect to
investment decisions. The portfolio turnover rate for the
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AXA Rosenberg U.S. Small Capitalization Fund for the fiscal years ended March
31, 2000 and 1999 was 141.78% and 123.66%, respectively. The portfolio
turnover rate for the AXA Rosenberg Japan Fund for the fiscal years ended
March 31, 2000 and 1999 was 100.31% and 152.20%, respectively. The portfolio
turnover rate for the AXA Rosenberg International Small Capitalization Fund
for the for the fiscal years ended March 31, 2000 and 1999 was 148.72% and
111.05%, respectively. The portfolio turnover rate for the AXA Rosenberg
Value Market Neutral Fund for the fiscal years ended March 31, 2000 and 1999
was 139.22% and 205.32%, respectively. The portfolio turnover rates for the
AXA Rosenberg Double Alpha Market Fund for the fiscal year ended March 31,
2000 and for the period from inception through March 31, 1999 were 144.75%
and 154.45%, respectively. The portfolio turnover rate for the AXA Rosenberg
Select Sectors Market Neutral Fund for the fiscal year ended March 31, 2000
and for the period from inception through March 31, 1999 were 368.26% and
145.22%, respectively. As disclosed in the Prospectus, high portfolio
turnover involves correspondingly greater brokerage commissions and other
transaction costs, which will be borne directly by the Funds, and could
involve realization of capital gains that would be taxable when distributed
to shareholders of a Fund. To the extent that portfolio turnover results in
the realization of net short-term capital gains, such gains are ordinarily
taxed to shareholders at ordinary income tax rates.
NOTICE ON SHAREHOLDER APPROVAL. Unless otherwise indicated in the
Prospectus or this Statement of Additional Information, the investment objective
and policies of each of the Funds may be changed without shareholder approval.
INVESTMENT RESTRICTIONS
Without a vote of the majority of the outstanding voting securities of a
Fund, the Trust will not take any of the following actions with respect to such
Fund:
(1) Borrow money in excess of 10% of the value (taken at the lower of cost
or current value) of the Fund's total assets (not including the amount borrowed)
at the time the borrowing is made, and then only from banks as a temporary
measure to facilitate the meeting of redemption requests (not for leverage)
which might otherwise require the untimely disposition of portfolio investments
or for extraordinary or emergency purposes or for payments of variation margin.
Such borrowings will be repaid before any additional investments are purchased.
Short sales and related borrowings of securities are not subject to this
restriction.
(2) Pledge, hypothecate, mortgage or otherwise encumber its assets in excess
of 10% of the Fund's total assets (taken at cost) and then only to secure
borrowings permitted by Restriction 1 above. (For the purposes of this
restriction, collateral arrangements with respect to options, short sales, stock
index, interest rate, currency or other futures, options on futures contracts
and collateral arrangements with respect to initial and variation margin are not
deemed to be a pledge or other encumbrance of assets. Collateral arrangements
with respect to swaps and other derivatives are also not deemed to be a pledge
or other encumbrance of assets.)
(3) Purchase securities on margin, except such short-term credits as may be
necessary for the clearance of purchases and sales of securities. (For this
purpose, the deposit or payment of initial or variation margin in connection
with futures contracts or related options transactions is not considered the
purchase of a security on margin.)
(4) Make short sales of securities or maintain a short position if, when
added together, more than 100% of the value of a Fund's net assets would be
(i) deposited as collateral for the obligation to replace securities
10
<PAGE>
borrowed to effect short sales, and (ii) allocated to segregated accounts in
connection with short sales. Short sales "against the box" are not subject to
this limitation.
(5) Underwrite securities issued by other persons except to the extent that,
in connection with the disposition of its portfolio investments, it may be
deemed to be an underwriter under federal securities laws.
(6) Purchase or sell real estate, although it may purchase securities of
issuers which deal in real estate, including securities of real estate
investment trusts, and may purchase securities which are secured by interests in
real estate.
(7) Concentrate more than 25% of the value of its total assets in any one
industry.
(8) Invest in securities of other investment companies, except to the extent
permitted by the Investment Company Act of 1940, as amended (the "1940 Act"), or
by an exemptive order issued by the Securities and Exchange Commission.
(9) Purchase or sell commodities or commodity contracts except that each of
the Funds may purchase and sell stock index and other financial futures
contracts and options thereon.
(10) Make loans, except by purchase of debt obligations or by entering into
repurchase agreements or through the lending of the Funds' portfolio securities.
(11) Issue senior securities. (For the purpose of this restriction none of
the following is deemed to be a senior security: any pledge or other encumbrance
of assets permitted by restriction (2) above; any borrowing permitted by
restriction (1) above; short sales permitted by restriction (4) above; any
collateral arrangements with respect to short sales, swaps, options, future
contracts and options on future contracts and with respect to initial and
variation margin; and the purchase or sale of options, future contracts or
options on future contracts.)
Notwithstanding the latitude permitted by Restriction 9 above, the Funds
have no current intention of purchasing interest rate futures.
It is contrary to the present policy of each of the Funds, which may be
changed by the Trustees of the Trust without shareholder approval, to:
(a) Invest in warrants or rights (other than warrants or rights acquired by
a Fund as a part of a unit or attached to securities at the time of
purchase), except that the AXA Rosenberg Japan Fund may invest in warrants or
rights to the extent set forth in the subsection entitled "Warrants" in the
Investment Objectives and Policies Section of this SAI.
(b) Write, purchase or sell options on particular securities (as opposed to
market indices).
(c) Buy or sell oil, gas or other mineral leases, rights or royalty
contracts.
(d) Make investments for the purpose of exercising control of a company's
management.
(e) Invest in (a) securities which at the time of investment are not readily
marketable and (b) repurchase agreements maturing in more than seven days if, as
a result, more than 15% of the Fund's net assets (taken at current value) would
then be invested in such securities.
(f) With respect to 75% of its total assets, invest in a security if, as a
result of such investment, (a) more than 5% of the Fund's total assets would be
invested in the securities of that issuer, or (b) it would hold more
11
<PAGE>
than 10% (taken at the time of such investment) of the outstanding voting
securities of any one issuer, except that this restriction does not apply to
securities issued or guaranteed by the U.S. government or its agencies or
instrumentalities.
Unless otherwise indicated, all percentage limitations on investments set
forth herein and in the Prospectus will apply at the time of the making of an
investment and shall not be considered violated unless an excess or deficiency
occurs or exists immediately after and as a result of such investment.
The phrase "shareholder approval," as used in the Prospectus and herein, and
the phrase "vote of a majority of the outstanding voting securities," as used
herein, means the affirmative vote of the lesser of (1) more than 50% of the
outstanding shares of a Fund or the Trust, as the case may be, or (2) 67% or
more of the shares of a Fund or the Trust, as the case may be, present at a
meeting if more than 50% of the outstanding shares are represented at the
meeting in person or by proxy.
INCOME DIVIDENDS, DISTRIBUTIONS AND TAX STATUS
The tax status of the Funds and the distributions which they may make are
summarized in the Prospectus under the headings "Distributions" and "Taxes." The
Funds intend to qualify each year as a regulated investment company under the
Internal Revenue Code of 1986, as amended. In order to qualify as a "regulated
investment company" and to qualify for the special tax treatment accorded
regulated investment companies and their shareholders, each Fund must, among
other things, (a) derive at least 90% of its gross income from dividends,
interest, payments with respect to certain securities loans, gains from the sale
or other disposition of securities or foreign currencies or other income
(including but not limited to gains from options, futures or forward contracts)
derived with respect to its business of investing in such securities or
currencies; (b) diversify its holdings so that, at the close of each quarter of
its taxable year, (i) at least 50% of the value of its total assets consists of
cash, cash items, U.S. government securities, securities of other regulated
investment companies, and other securities limited generally with respect to any
one issuer to not more than 5% of the total assets of such Fund and not more
than 10% of the outstanding voting securities of such issuer, and (ii) not more
than 25% of the value of its total assets is invested in the securities of any
issuer (other than U.S. government securities or securities of other regulated
investment companies); and (c) distribute annually at least 90% of the sum of
its taxable net investment income, its net tax-exempt income (if any), and, the
excess, if any, of net short-term capital gains over net long-term capital
losses for such year. To the extent a Fund qualifies for treatment as a
regulated investment company, the Fund will not be subject to federal income tax
on income paid to its shareholders in the form of dividends or capital gain
distributions.
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 may be subject to foreign withholding taxes
on income and gains derived from foreign investments. Such taxes would reduce
the yield on such Funds' investments, but, as discussed in the Prospectus, may
be taken as either a deduction or a credit by U.S. citizens and corporations.
Investment by either Fund in certain "passive foreign investment companies"
could subject the Fund to a U.S. federal income tax or other charge on
distributions received from, or on the sale of its investment in, such a
company. Such a tax cannot be eliminated by making distributions to Fund
shareholders. A Fund may avoid this tax by making an election to mark such
securities to the market annually. Alternatively, where it is in a position to
do so, a Fund may elect
12
<PAGE>
to treat a passive foreign investment company as a "qualified electing fund," in
which case different rules will apply, although the Funds generally do not
expect to be in the position to make such elections.
As described in the Prospectus under the heading "Distributions," each Fund
intends to pay out substantially all of its ordinary income and net short-term
capital gains, and to distribute substantially all of its net capital gains, if
any, after giving effect to any available capital loss carryover. Net capital
gain is the excess of net gains from assets held for more than one year over net
losses from capital assets held for not more than one year. In order to avoid an
excise tax imposed on certain undistributed income, a Fund must distribute prior
to each calendar year end without regard to the Fund's fiscal year end (i) 98%
of the Fund's ordinary income, (ii) 98% of the Fund's capital gain net income,
if any, realized in the one-year period ending on October 31, and (iii) 100% of
any undistributed income from prior years.
In general, all dividend distributions derived from ordinary income and
short-term capital gain are taxable to investors as ordinary income.
Distributions of long-term gains (generally taxed at a 20% rate) will be taxable
to shareholders as such, regardless of how long a shareholder has held the
shares in the Fund. Distributions will be taxable as described above whether
received in cash or in shares through the reinvestment of distributions. The
dividends-received deduction for corporations will generally apply to a Fund's
dividends from investment income to the extent derived from dividends received
by the Fund from domestic corporations, provided the Fund and the shareholder
each meet the relevant holding period requirements.
Dividends and distributions on a Fund's shares are generally subject to
federal income tax as described herein to the extent they do not exceed the
Fund's realized income and gains, even though such dividends and distributions
may economically represent a return of a particular shareholder's investment.
Such distributions are likely to occur in respect of shares purchased at a time
when a Fund's net asset value reflects gains that are either unrealized, or
realized but not distributed.
Certain tax-exempt organizations or entities may not be subject to federal
income tax on dividends or distributions from a Fund. Each organization or
entity should review its own circumstances and the federal tax treatment of its
income.
Each Fund is generally required to withhold and remit to the U.S. Treasury
31% of the taxable dividends and other distributions, whether distributed in
cash or reinvested in shares of the Fund, paid or credited to any shareholder
account for which an incorrect or no taxpayer identification number has been
provided or where the Fund is notified that the shareholder has underreported
income in the past (or the shareholder fails to certify that he is not subject
to such withholding). However, the general back-up withholding rules set forth
above will not apply to tax-exempt entities so long as each such entity
furnishes a Fund with an appropriate certificate.
The Internal Revenue Service recently revised its regulations affecting the
application to foreign investors of the back-up withholding and withholding tax
rules described above. The new regulations generally will become effective for
payments made after December 31, 2000. In some circumstances, the new rules will
increase the certification and filing requirements imposed on foreign investors
in order to qualify for exemption from the 31% back-up withholding tax and for
reduced withholding tax rates under income tax treaties. Foreign investors in
the Fund should consult their tax advisors with respect to the potential
application of these new regulations.
13
<PAGE>
To the extent such investments are permissible for a particular Fund, the
Fund's transactions in options, futures contracts, hedging transactions, forward
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, convert
long-term capital gains into short-term capital gains 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.
"Constructive sale" provisions apply to activities by the Funds which lock
in gain on an "appreciated financial position." Generally, a "position" is
defined to include stock, a debt instrument, or partnership interest, or an
interest in any of the foregoing, including through a short sale, a swap
contract, or a future or forward contract. The entry into a short sale, a swap
contract or a future or forward contract relating to an appreciated direct
position in any stock or debt instrument, or the acquisition of stock or debt
instrument at a time when a Fund occupies an offsetting (short) appreciated
position in the stock or debt instrument, is treated as a "constructive sale"
that gives rise to the immediate recognition of gain (but not loss). The
application of these new provisions may cause a Fund to recognize taxable income
from these offsetting transactions in excess of the cash generated by such
activities.
THE TAX DISCUSSION SET FORTH ABOVE IS A SUMMARY INCLUDED FOR GENERAL
INFORMATION PURPOSES ONLY. EACH SHAREHOLDER IS ADVISED TO CONSULT ITS OWN TAX
ADVISER WITH RESPECT TO THE SPECIFIC TAX CONSEQUENCES TO IT OF AN INVESTMENT IN
THE FUNDS, INCLUDING THE EFFECT AND APPLICABILITY OF STATE, LOCAL, FOREIGN, AND
OTHER TAX LAWS AND THE POSSIBLE EFFECTS OF CHANGES IN FEDERAL OR OTHER TAX LAWS.
THIS DISCUSSION IS NOT INTENDED AS A SUBSTITUTE FOR CAREFUL TAX PLANNING.
14
<PAGE>
MANAGEMENT OF THE TRUST
The Trust's trustees oversee the general conduct of the Funds' business. The
Trustees and officers of the Trust and their principal occupations during the
past five years are as follows:
<TABLE>
<CAPTION>
NAME (AGE) POSITION WITH THE TRUST PRINCIPAL OCCUPATION
---------- ----------------------- ------------------------------------------------------------
<S> <C> <C>
Barr M. Rosenberg (57).... Vice President Director of Research, AXA Rosenberg Investment Management
LLC, January 1999 to present; Chairman, AXA Rosenberg Group
LLC, January 1999 to present; Director, Barr Rosenberg
Research Center LLC, January 1999 to present; Managing
General Partner and Chief Investment Officer, Rosenberg
Institutional Equity Management, January 1985 to
December 1998.
Kenneth Reid* (50)........ Trustee Chief Executive Officer, AXA Rosenberg Investment Management
LLC, January 1999 to present; General Partner and Director
of Research, Rosenberg Institutional Equity Management,
June 1986 to December 1998.
Marlis S. Fritz (50)...... Vice President Vice Chairman and Global Marketing Director, AXA Rosenberg
Group LLC, January 1999 to present; Managing Director, AXA
Rosenberg Global Services LLC, January 1999 to present;
General Partner and Director of Marketing, Rosenberg
Institutional Equity Management, April 1985 to
December 1998.
Nils H. Hakansson (62).... Trustee Sylvan C. Coleman Professor of Finance and Accounting, Haas
School of Business, University of California, Berkeley, June
1969 to present; Director, Supershare Services Corporation
(investment management), Los Angeles, California,
November 1989 to 1995.
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
NAME (AGE) POSITION WITH THE TRUST PRINCIPAL OCCUPATION
---------- ----------------------- ------------------------------------------------------------
<S> <C> <C>
William F. Sharpe (66).... Trustee STANCO 25 Professor of Finance Emeritus, Stanford
University, September 1999 to present; STANCO 25 Professor
of Finance, Stanford University, September 1995 to
September 1999; Professor of Finance, Stanford University,
September 1992 to September 1995; Timken Professor Emeritus
of Finance, Stanford University, September 1989 to
September 1992; Timken Professor of Finance, Stanford
University, September 1970 to 1989; Chairman, Financial
Engines Incorporated, Los Altos, California (online
investment advice), March 1996 to present.
Dwight M. Jaffee (56)..... Trustee Professor of Finance and Real Estate, Haas School of
Business, University of California, Berkeley, California,
July 1991 to present.
Po-Len Hew (33)........... Treasurer Director of Finance, AXA Rosenberg Global Services LLC,
January 1999 to present; Chief Financial Officer, Barr
Rosenberg Investment Management Inc., April 1994 to
December 1998; Accounting Manager, Rosenberg Institutional
Equity Management, October 1989 to December 1998.
Sara Ronan (40)........... Clerk Global Services Coordinator and Paralegal, AXA Rosenberg
Global Services LLC, January 1999 to present; Paralegal,
Barr Rosenberg Investment Management, September 1997 to
December 1998; Director of Marketing, MIG Realty Advisors,
January 1996 to September 1997; Vice President, Liquidity
Financial Advisors, May, 1985 to January 1996.
Edward H. Lyman (55)...... Vice President Chief Operating Officer, AXA Rosenberg Group LLC,
January 1999 to present; Chief Executive Officer, AXA
Rosenberg Global Services LLC, January 1999 to present;
Executive Vice President, Barr Rosenberg Investment
Management, Inc. and General Counsel to the Rosenberg Group
of companies, 1990 to present.
</TABLE>
16
<PAGE>
<TABLE>
<CAPTION>
NAME (AGE) POSITION WITH THE TRUST PRINCIPAL OCCUPATION
---------- ----------------------- ------------------------------------------------------------
<S> <C> <C>
Richard L. Saalfeld (56).. President President and Chief Executive Officer, AXA Rosenberg Mutual
Funds, a division of AXA Rosenberg Investment Management
LLC, January 1999 to present; President and Chief Executive
Officer of mutual fund unit of Rosenberg Institutional
Equity Management, June 1996 to December 1998; Consultant
to Rosenberg Institutional Equity Management,
September 1995 to May 1996; Chairman and Chief Executive
Officer of CoreLink Resources, Inc. (mutual fund marketing
organization), Concord, California, April 1993 to
August 1995; Consultant, December 1992 to March 1993.
</TABLE>
------------------------
* Trustee who is an "interested person" (as defined in the 1940 Act) of the
Trust or the Adviser.
The mailing address of each of the officers and Trustees is c/o Barr
Rosenberg Series Trust, 3435 Stelzer Road, Columbus, OH 43219.
The principal occupations of the officers and Trustees for the last five
years have been with the employers as shown above, although in some cases they
have held different positions with such employers.
The Trust pays the Trustees other than those who are interested persons of
the Trust or Adviser an annual fee of $45,540 plus an additional fee for each
meeting attended. The Trust does not pay any pension or retirement benefits for
its Trustees. The Trust does not pay any compensation to officers or Trustees of
the Trust other than those Trustees who are not interested persons of the Trust
or Adviser. The following table sets forth information concerning the total
compensation accrued and payable to each of the Trustees of the Trust or Adviser
in the fiscal year ended March 31, 2000:
<TABLE>
<CAPTION>
TOTAL
PENSION OR COMPENSATION
RETIREMENT FROM
BENEFITS ESTIMATED REGISTRANT
AGGREGATE ACCRUED AS ANNUAL AND FUND
COMPENSATION PART OF FUND BENEFITS UPON COMPLEX* PAID TO
NAME OF PERSON, POSITION FROM REGISTRANT EXPENSES RETIREMENT DIRECTORS
------------------------ --------------- ------------ ------------- ----------------
<S> <C> <C> <C> <C>
Nils H. Hakansson Trustee............. $70,290** $0 $0 $81,180**
William F. Sharpe Trustee............. $70,290** $0 $0 $81,180**
Dwight M. Jaffee Trustee.............. $70,290** $0 $0 $81,180**
Kenneth Reid Trustee.................. $ 0 $0 $0 $ 0
</TABLE>
------------------------
* Prior to the introduction of the AXA Rosenberg Enhanced 500 Fund, the AXA
Rosenberg International Equity Fund and the AXA Rosenberg Multi-Strategy
Market Neutral Fund, the Fund Complex consisted of seven funds: the AXA
Rosenberg U.S. Small Capitalization Fund, the AXA Rosenberg International
Small Capitalization Fund, the AXA Rosenberg Japan Fund, the AXA Rosenberg
Value Market Neutral Fund, the AXA Rosenberg Double Alpha Market Fund, the
AXA Rosenberg Select Sectors Market
17
<PAGE>
Neutral Fund and the Barr Rosenberg VIT Market Neutral Fund. The AXA
Rosenberg Enhanced 500 Fund, the AXA Rosenberg International Equity Fund and
the AXA Rosenberg Multi-Strategy Market Neutral Fund were not operational
for the fiscal year ended March 31, 2000.
** Reflects fees accrued for the fiscal year regardless of the actual payment
date.
Messrs. Rosenberg, Reid, Lyman and Saalfeld and Ms. Fritz, Ronan and Hew,
each being an officer or employee of the Adviser or its affiliates, will each
benefit from the management fees paid by the Trust to the Adviser, but receive
no direct compensation from the Trust.
INVESTMENT ADVISORY AND OTHER SERVICES
INVESTMENT ADVISORY CONTRACTS. As disclosed in the Prospectus under the
heading "Management of the Trust," under management contracts (each a
"Management Contract") between the Trust, on behalf of each Fund, and AXA
Rosenberg Investment Management LLC (the "Adviser"), subject to the control of
the Trustees of the Trust and such policies as the Trustees may determine, the
Adviser will furnish continuously an investment program for each Fund and will
make investment decisions on behalf of each Fund and place all orders for the
purchase and sale of portfolio securities. Subject to the control of the
Trustees, the Adviser furnishes office space and equipment, provides certain
bookkeeping and clerical services and pays all salaries, fees and expenses of
officers and Trustees of the Trust who are affiliated with the Adviser. As
indicated under "Portfolio Transactions -Brokerage and Research Services," the
Trust's portfolio transactions may be placed with broker-dealers which furnish
the Adviser, at no cost, certain research, statistical and quotation services of
value to the Adviser in advising the Trust or its other clients.
Each of the Funds has agreed to pay the Adviser a monthly management fee at
the annual percentage rate of the relevant Fund's average daily net assets set
forth in the Prospectus. The Adviser has informed the Trust that it will waive
some or all of its management fees under the Management Contracts and, if
necessary, will bear certain expenses of each Fund until further notice (but in
any event at least through 3/31/01) so that each Fund's total annual operating
expenses (exclusive of nonrecurring account fees, extraordinary expenses and
dividends and interest paid on securities sold short) applicable to each class
will not exceed the percentage of each Fund's average daily net assets
attributable to that class as set forth in the Prospectus. In addition, the
Adviser's compensation under each Management Contract is subject to reduction to
the extent that in any year the expenses of a Fund (including investment
advisory fees but excluding taxes, portfolio brokerage commissions and any
distribution and shareholder service expenses paid by a class of shares of a
Fund pursuant to a distribution and shareholder service plan or otherwise)
exceed the limits on investment company expenses imposed by any statute or
regulatory authority of any jurisdiction in which shares of the Fund are
qualified for offer and sale.
Each Management Contract provides that the Adviser shall not be subject to
any liability to the Trust or to any shareholder of the Trust in connection with
the performance of its services thereunder in the absence of willful
misfeasance, bad faith, gross negligence or reckless disregard of its
obligations and duties thereunder.
Each Management Contract will continue in effect for a period no more than
one year from the date of its execution, and renewals thereof must be approved
by (i) vote, cast in person at a meeting called for that purpose, of a majority
of those Trustees who are not "interested persons" of the Adviser or the Trust,
and by
18
<PAGE>
(ii) the majority vote of either the full Board of Trustees or the vote of a
majority of the outstanding shares of the relevant Fund. Each Management
Contract automatically terminates on assignment, and is terminable on not more
than 60 days' notice by the Trust to the Adviser. In addition, each Management
Contract may be terminated on not more than 60 days' written notice by the
Adviser to the Trust.
The Adviser is wholly owned by AXA Rosenberg Group LLC. AXA Rosenberg Group
LLC is contractually controlled by AXA-IM Rose Inc. AXA-IM Rose Inc. is wholly
owned by AXA-IM Holdings U.S. Inc. AXA-IM Holdings U.S. Inc. is wholly owned by
AXA Investment Managers S.A., a French societe anonyme, which, in turn, is
owned, collectively, by AXA Assurances IARD, S.A., a French societe anonyme, and
AXA-UAP, a French holding company. AXA Assurances IARD, S.A. is owned,
collectively, by AXA France Assurance, a French insurance holding company, and
UAP Incendie Accidents, a French casualty and insurance company, each of which,
in turn, is wholly owned by AXA-UAP. Finaxa, a French holding company,
beneficially owns more than 25% of the voting securities ("Controls") of
AXA-UAP. Mutuelles AXA, a group of four French mutual insurance companies, one
of which Controls Finaxa, acting as a group, Controls both AXA-UAP and Finaxa.
Each of these entities may be deemed a controlling person of the Adviser.
As discussed in this Statement of Additional Information under the heading
"Management of the Trust," Kenneth Reid is a Trustee of the Trust and the Chief
Executive Officer of the Adviser; Barr M. Rosenberg is a Vice President of the
Trust and the Director of Research of the Adviser. Dr. Rosenberg, Dr. Reid and
Marlis S. Fritz, the former general partners of Rosenberg Institutional Equity
Management, may be deemed to be controlling persons of the Adviser as a result
of their interest in AXA Rosenberg Group LLC, the parent of the Adviser.
During the last three fiscal years, the AXA Rosenberg U.S. Small
Capitalization Fund has paid the following amounts as management fees to the
Adviser pursuant to its Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
4/1/97 -- 3/31/98......................... $2,571,254 $206,166
4/1/98 -- 3/31/99......................... $5,065,260 $ 0
4/1/99 -- 3/31/00......................... $4,256,903 $ 99,734
</TABLE>
During the last three fiscal years, the AXA Rosenberg Japan Fund has paid
the following amounts as management fees to the Adviser pursuant to its
Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
4/1/97 -- 3/31/98......................... $10,618 $10,618
4/1/98 -- 3/31/99......................... $ 9,032 $ 9,032
4/1/99 -- 3/31/00......................... $14,156 $14,156
</TABLE>
19
<PAGE>
During the last three fiscal years, the AXA Rosenberg International Small
Capitalization Fund has paid the following amounts as management fees to the
Adviser pursuant to its Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
4/1/97 -- 3/31/98......................... $245,559 $221,059
4/1/98 -- 3/31/99......................... $424,779 $173,417
4/1/99 -- 3/31/00......................... $412,576 $165,265
</TABLE>
Since its inception (12/16/97), the AXA Rosenberg Value Market Neutral
Fund paid the following amounts as management fees to the Adviser pursuant to
its Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
12/16/97 -- 3/31/98....................... $ 700,708 $121,673
4/1/98 -- 3/31/99......................... $5,247,271 $439,246
4/1/99 -- 3/31/00......................... $2,268,838 $359,765
</TABLE>
Since its inception (4/22/98), the AXA Rosenberg Double Alpha Market Fund
paid the following amounts as management fees to the Adviser pursuant to its
Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
4/22/98 -- 3/31/99........................ $6,732 $6,732
4/1/99 -- 3/31/00........................ $7,682 $7,682
</TABLE>
Since its inception (10/19/98), the AXA Rosenberg Select Sectors Market
Neutral Fund paid the following amounts as management fees to the Adviser
pursuant to its Management Contract:
<TABLE>
<CAPTION>
TIME PERIOD MANAGEMENT FEE AMOUNT WAIVED
----------- -------------- -------------
<S> <C> <C>
10/19/98 -- 3/31/99....................... $ 93,840 $ 93,840
4/1/99 -- 3/31/00....................... $251,180 $108,374
</TABLE>
ADMINISTRATIVE SERVICES. The Trust has entered into a Fund Administration
Agreement with BISYS Fund Services Ohio, Inc. (the "Administrator") pursuant to
which the Administrator provides certain management and administrative services
necessary for the Funds' operations including: (i) general supervision of the
operation of the Funds including coordination of the services performed by the
Funds' investment adviser, transfer agent, custodian, independent accountants
and legal counsel, regulatory compliance, including the compilation of
information for documents such as reports to, and filings with, the SEC and
state securities commissions, and preparation of proxy statements and
shareholder reports for the Funds; (ii) general supervision relative to the
compilation of data required for the preparation of periodic reports distributed
to the Funds' officers and Board of Trustees; and (iii) furnishing office space
and certain facilities required for conducting the business of the Funds. The
Trust's principal underwriter is an affiliate of the Administrator. For these
services, the Administrator is entitled to receive a fee, payable monthly, at
the annual rate of 0.15%
20
<PAGE>
of the average daily net assets of the Trust. For the periods indicated, the
Administrator was entitled to receive, and waived, the following amounts:
<TABLE>
<CAPTION>
ENTITLED TO
FUND TIME PERIOD RECEIVE WAIVED
---- ------------------- ----------- --------
<S> <C> <C> <C>
AXA Rosenberg U.S. Small 4/1/99 to 3/31/00 $709,490 $265,333
Capitalization Fund 4/1/98 to 3/31/99 $844,211 $343,817
4/1/97 to 3/31/98 $428,543 $142,850
AXA Rosenberg International 4/1/99 to 3/31/00 $ 61,877 $ 23,128
Small Capitalization Fund 4/1/98 to 3/31/99 $ 63,717 $ 25,953
4/1/97 to 3/31/98 $ 36,834 $ 23,451
AXA Rosenberg Japan Fund 4/1/99 to 3/31/00 $ 2,123 $ 2,123
4/1/98 to 3/31/99 $ 1,355 $ 1,355
4/1/97 to 3/31/98 $ 1,593 $ 1,593
AXA Rosenberg Value 4/1/99 to 3/31/00 $179,120 $ 66,947
Market Neutral Fund 4/1/98 to 3/31/99 $414,258 $168,759
12/16/97 (inception $ 55,610 $ 19,476
date) to 3/31/98
AXA Rosenberg Double 4/1/99 to 3/31/00 $ 11,523 $ 11,523
Alpha Market Fund 4/22/98 (inception $ 10,097 $ 10,097
date) to 3/31/99
AXA Rosenberg Select Sectors 4/1/99 to 3/31/00 $ 37,677 $ 28,083
Market Neutral Fund 10/19/98 (inception $ 14,076 $ 6,955
date) to 3/31/99
</TABLE>
The Trust has also entered into a Fund Accounting Agreement with BISYS
Fund Services, Inc. (the "Fund Accountant") pursuant to which the Fund
Accountant provides certain accounting services necessary for the Funds'
operations. For these services, the Fund Accountant is entitled to receive an
annual fee of $30,000 for each of the AXA Rosenberg U.S. Small Capitalization
Fund, AXA Rosenberg International Small Capitalization Fund and AXA Rosenberg
Japan Fund, and $50,000 for each of the 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. For the periods indicated, the Funds paid, and the Fund Accountant
waived, the following amounts in fund accounting fees:
<TABLE>
<CAPTION>
FUND TIME PERIOD AMOUNT PAID AMOUNT WAIVED
---- ------------------- ----------- -------------
<S> <C> <C> <C>
AXA Rosenberg U.S. Small 4/1/99 to 3/31/00 $ 59,822 $ 0
Capitalization Fund 4/1/98 to 3/31/99 $ 60,767 $ 0
4/1/97 to 3/31/98 $ 76,899 $ 7,500
AXA Rosenberg International 4/1/99 to 3/31/00 $ 76,550 $ 0
Small Capitalization Fund 4/1/98 to 3/31/99 $ 90,266 $ 0
4/1/97 to 3/31/98 $103,482 $ 7,500
AXA Rosenberg Japan Fund 4/1/99 to 3/31/00 $ 37,206 $ 0
4/1/98 to 3/31/99 $ 38,842 $ 0
4/1/97 to 3/31/98 $ 35,288 $ 7,500
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
FUND TIME PERIOD AMOUNT PAID AMOUNT WAIVED
---- ------------------- ----------- -------------
<S> <C> <C> <C>
AXA Rosenberg Value 4/1/99 - 3/31/00 $ 88,693 $ 0
Market Neutral Fund 4/1/98 - 3/31/99 $107,649 $ 0
12/16/97 (inception $ 16,401 $ 0
date) to 3/31/98
AXA Rosenberg Double 4/1/99 - 3/31/00 $ 51,202 $ 0
Alpha Market Fund 4/22/98 (inception $ 42,666 $ 0
date) to 3/31/99
AXA Rosenberg Select Sectors 4/1/99 - 3/31/00 $ 59,849 $ 0
Market Neutral Fund 10/19/98 (inception $ 24,816 $ 0
date) to 3/31/99
</TABLE>
DISTRIBUTOR AND DISTRIBUTION AND SHAREHOLDER SERVICE PLAN. As stated in
the Prospectus under the heading "Management of the Trust -- Distributor,"
Institutional Shares and Investor Shares of each Fund and Adviser Shares of
the AXA Rosenberg U.S. Small Capitalization Fund are sold on a continuous
basis by the Trust's distributor, Barr Rosenberg Funds Distributor, Inc. (the
"Distributor"). Under the Distributor's Contract between the Trust and the
Distributor (the "Distributor's Contract"), the Distributor is not obligated
to sell any specific amount of shares of the Trust and will purchase shares
for resale only against orders for shares.
Pursuant to a Distribution and Shareholder Service Plan (the "Plan")
described in the Prospectus, in connection with the distribution of Investor
Shares of the Trust and/or in connection with the provision of direct client
service, personal services, maintenance of shareholder accounts and reporting
services to holders of Investor Shares of the Trust, the Distributor receives
certain distribution and shareholder service fees from the Trust. The
Distributor may pay all or a portion of the distribution and service fees it
receives from the Trust to participating and introducing brokers. The Funds
pay no fees in connection with the distribution of Institutional Shares and
Adviser Shares.
For the periods indicated, the Funds incurred distribution and shareholder
service expenses and the Distributor paid broker-dealers and other selling
and/or servicing institutions as follows:
<TABLE>
<CAPTION>
PAID OUT BY
AMOUNT DISTRIBUTOR
DISTRIBUTION RETAINED AS
TIME EXPENSES BY AMOUNT DESCRIBED
FUND PERIOD INCURRED DISTRIBUTOR WAIVED ABOVE
---- -------- ------------ ----------- -------- -----------
<S> <C> <C> <C> <C> <C>
AXA Rosenberg U.S. Small 4/1/99 to 3/31/00 $ 34,400 $ - $ 19,543 $ 14,857
Capitalization Fund 4/1/98 to 3/31/99 $ 131,917 $ 24,206 $ 74,944 $ 32,767
4/1/97 to 3/31/98 $ 64,573 $ 19,895 $ 36,584 $ 8,094
AXA Rosenberg International 4/1/99 to 3/31/00 $ 4,504 $ 887 $ - $ 3,617
Small Capitalization Fund 4/1/98 to 3/31/99 $ 10,810 $ 1,021 $ 5,405 $ 4,384
4/1/97 to 3/31/98 $ 2,457 $ 575 $ 1,360 $ 522
22
<PAGE>
AXA Rosenberg 4/1/99 to 3/31/00 $ 266 $ 248 $ - $ 18
Japan Fund 4/1/98 to 3/31/99 $ 221 $ 54 $ 110 $ 57
4/1/97 to 3/31/98 $ 154 $ 62 $ 98 $ -
AXA Rosenberg Value 4/1/99 to 3/31/00 $ 38,217 $ 13,392 $ - $ 24,825
Market Neutral Fund 4/1/98 to 3/31/99 $ 120,307 $ 21,517 $ - $ 98,790
12/16/97 (inception $ 12,626 $ 4,440 $ - $ 8,186
date) to 3/31/98
AXA Rosenberg Double 4/1/99 to 3/31/00 $ 290 $ 278 $ - $ 12
Alpha Market Fund 4/22/98 (inception $ 448 $ 394 $ - $ 54
date) to 3/31/99
AXA Rosenberg Select Sectors 4/1/99 to 3/31/00 $ 2,469 $ 1,456 $ - $ 1,013
Market Neutral Fund 10/19/98 (inception $ 379 $ 291 $ - $ 88
date) to 3/31/99
</TABLE>
The following table sets forth the amounts paid by the Funds for each
principal type of distribution-related activity during the fiscal year ended
March 31, 2000:
<TABLE>
<CAPTION>
AXA
AXA AXA ROSENBERG
AXA ROSENBERG ROSENBERG SELECT
ROSENBERG INTERNATIONAL AXA AXA DOUBLE SECTORS
U.S. SMALL SMALL ROSENBERG ROSENBERG ALPHA MARKET
CAPITALIZATION CAPITALIZATION JAPAN VALUE MARKET MARKET NEUTRAL
ACTVIITY FUND FUND FUND NEUTRAL FUND FUND FUND
-------- -------------- -------------- --------- ------------ --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Advertising.................. $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
Printing and Mailing of
Prospectuses to Other Than
Current Shareholders..... $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
Compensation to
Underwriters................. $14,857 $ 4,504 $266 $ 38,217 $290 $2,469
Compensation to Broker-
Dealers.................... $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
Compensation to Sales
Personnel.................. $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
Interest, Carrying or Other
Financing Charges.......... $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
Other........................ $ 0 $ 0 $ 0 $ 0 $ 0 $ 0
</TABLE>
The Plan may be terminated with respect to Investor Shares by vote of a
majority of the Trustees of the Trust who are not interested persons of the
Trust and who have no direct or indirect financial interest in the operation
of the Plan or the Distributor's Contract (the "Independent Trustees"), or
by vote of a majority of the outstanding voting securities of the Investor
Class. Any change in the Plan that would materially increase the cost to
Investor Shares requires approval by holders of that class of Shares. The
23
<PAGE>
Trustees of the Trust review quarterly a written report of such costs and the
purposes for which such costs have been incurred. Except as described above, the
Plan may be amended by vote of the Trustees of the Trust, including a majority
of the Independent Trustees, cast in person at a meeting called for the purpose.
For so long as the Plan is in effect, selection and nomination of those
Trustees of the Trust who are not interested persons of the Trust shall be
committed to the discretion of such disinterested persons.
The Distributor's Contract may be terminated with respect to any Fund or
Investor Shares thereof at anytime by not more than 60 days' nor less than 30
days' written notice without payment of any penalty either by the Distributor
or by such Fund or class and will terminate automatically, without the
payment of any penalty, in the event of its assignment.
The Plan and the Distributor's Contract will continue in effect with
respect to Investor Shares for successive one-year periods, provided that
each such continuance is specifically approved (i) by the vote of a majority
of the Independent Trustees and (ii) by the vote of a majority of the entire
Board of Trustees (or by vote of a majority of the outstanding Investor
Shares, in the case of the Distributor's Contract) cast in person at a
meeting called for that purpose.
If the Plan or the Distributor's Contract is terminated (or not renewed)
with respect to one or more Funds, it may continue in effect with respect to
any Fund as to which it has not been terminated (or has been renewed).
The Trustees of the Trust believe that the Plan will provide benefits to
the Trust. The Trustees believe that the Plan will result in greater sales
and/or fewer redemptions of Investor Shares, although it is impossible to
know for certain the level of sales and redemptions of Investor Shares that
would occur in the absence of the Plan or under alternative distribution
schemes. The Trustees believe that the effects on sales and/or redemptions
benefit the Trust by reducing Fund expense ratios and/or by affording greater
flexibility to the Trust.
The 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 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
relevant Funds' assets on an ongoing basis, over time these fees will increase
the cost of your investment and may cost you more than paying other types of
sales charges.
CUSTODIAL ARRANGEMENTS. Custodial Trust Company, Princeton, NJ 08540, for
the AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Double Alpha
Market Fund, the AXA Rosenberg Select Sectors Market Neutral Fund, the AXA
Rosenberg Enhanced 500 Fund and the AXA Rosenberg Multi-Strategy Market Neutral
Fund, and State Street Bank and Trust Company, Boston, Massachusetts 02102, for
the AXA Rosenberg U.S. Small Capitalization Fund, the AXA Rosenberg Japan Fund,
the AXA Rosenberg International Small Capitalization Fund and the AXA Rosenberg
International Equity Fund, are the Trust's custodians (each a "Custodian" and,
collectively, the "Custodians"). As such, each Custodian holds in safekeeping
certificated securities and cash belonging to the Trust and, in such capacity,
is the registered owner of securities in book-entry form belonging to the
relevant Fund. Upon instruction, each Custodian
24
<PAGE>
receives and delivers cash and securities of the relevant Fund in connection
with Fund transactions and collects all dividends and other distributions made
with respect to Fund portfolio securities.
INDEPENDENT ACCOUNTANTS. The Trust's independent accountants are
PricewaterhouseCoopers LLP. PricewaterhouseCoopers LLP conducts an annual
audit of the Trust's financial statements, assists in the preparation of the
Trust's federal and state income tax returns and the Trust's filings with the
Securities and Exchange Commission, and consults with the Trust as to matters
of accounting and federal and state income taxation.
PORTFOLIO TRANSACTIONS
INVESTMENT DECISIONS. The purchase and sale of portfolio securities for the
Funds and for the other investment advisory clients of the Adviser are made by
the Adviser with a view to achieving each client's investment objective. For
example, a particular security may be purchased or sold on behalf of certain
clients of the Adviser even though it could also have been purchased or sold for
other clients at the same time.
Likewise, a particular security may be purchased on behalf of one or more
clients when the Adviser is selling the same security on behalf of one or more
other clients. In some instances, therefore, the Adviser, acting for one client
may sell indirectly a particular security to another client. It also happens
that two or more clients may simultaneously buy or sell the same security, in
which event purchases or sales are effected PRO RATA on the basis of cash
available or other equitable basis so as to avoid any one account's being
preferred over any other account.
BROKERAGE AND RESEARCH SERVICES. Transactions on stock exchanges and other
agency transactions involve the payment of negotiated brokerage commissions.
Such commissions vary among different brokers. There is generally no stated
commission in the case of securities traded in the over-the-counter markets, but
the price paid for such securities usually includes an undisclosed dealer
commission or mark up. In placing orders for the portfolio transactions of a
Fund, the Adviser will seek the best price and execution available, except to
the extent it may be permitted to pay higher brokerage commissions for brokerage
and research services as described below. The determination of what may
constitute best price and execution by a broker-dealer in effecting a securities
transaction involves a number of considerations, including, without limitation,
the overall net economic result to the Fund (involving price paid or received
and any commissions and other costs paid), the efficiency with which the
transaction is effected, the ability to effect the transaction at all where a
large block is involved, availability of the broker to stand ready to execute
possibly difficult transactions in the future and the financial strength and
stability of the broker. Because of such factors, a broker-dealer effecting a
transaction may be paid a commission higher than that charged by another
broker-dealer. Most of the foregoing are judgmental considerations.
Over-the-counter transactions often involve dealers acting for their own
account. It is the Adviser's policy to place over-the-counter market orders for
a Fund with primary market makers unless better prices or executions are
available elsewhere.
Although the Adviser does not consider the receipt of research services as a
factor in selecting brokers to effect portfolio transactions for a Fund, the
Adviser will receive such services from brokers who are expected to handle a
substantial amount of a Fund's portfolio transactions. Research services may
include a wide variety of analyses, reviews and reports on such matters as
economic and political developments, industries,
25
<PAGE>
companies, securities and portfolio strategy. The Adviser uses such research in
servicing other clients as well as the Trust.
As permitted by Section 28(e) of the Securities Exchange Act of 1934, as
amended, and subject to such policies as the Trustees of the Trust may
determine, the Adviser may pay an unaffiliated broker or dealer that provides
"brokerage and research services" (as defined in the Act) to the Adviser an
amount of commission for effecting a portfolio investment transaction in excess
of the amount of commission another broker or dealer would have charged for
effecting that transaction.
For the period indicated, the Funds paid brokerage commissions as follows:
<TABLE>
<CAPTION>
4/1/97 -- 3/31/98 4/1/98 -- 3/31/99 4/1/99 -- 3/31/00
------------------ ------------------ ------------------
<S> <C> <C> <C>
AXA Rosenberg U.S. Small Capitalization Fund...... $1,096,445 $2,056,871 $1,707,050
AXA Rosenberg Japan Fund.......................... $ 3,750 $ 3,072 $ 1,657
AXA Rosenberg International Small Capitalization
Fund............................................ $ 100,120 $ 124,891 $ 137,982
AXA Rosenberg Value Market Neutral Fund........... $ 627,891 $2,848,977 $1,291,469
AXA Rosenberg Double Alpha Market Fund............ -- $ 1,856 $ 1,728
AXA Rosenberg Select Sectors Market Neutral
Fund............................................ -- $ 119,872 $ 201,910
</TABLE>
The Funds may pay brokerage commissions to Donaldson Lufkin and Jenrette and
Nomura International, each of which may be deemed to be an "affiliate of an
affiliate" of the Trust. Securities and Exchange Commission rules require that
commissions paid to an affiliate of an affiliate by the Fund for portfolio
transactions not exceed "usual and customary" brokerage commissions. The rules
define "usual and customary" commissions to include amounts which are
"reasonable and fair compared to the commission, fee or other remuneration
received or to be received by other brokers in connection with comparable
transactions involving similar securities being purchased or sold on a
securities exchange during a comparable period of time." The Trustees,
including those who are not "interested persons" of the Trust, have adopted
procedures for evaluating the reasonableness of commissions paid to such
affiliates and will review these procedures periodically. During the fiscal
year ended March 31, 2000, the AXA Rosenberg U.S. Small Capitalization Fund,
the AXA Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select
Sectors Market Neutral Fund paid $52,823, $31,185, and $4,225, respectively
to Donaldson Lufkin and Jenrette in brokerage commissions. The AXA Rosenberg
International Small Capitalization Fund and the AXA Rosenberg Japan Fund paid
$73 and $20 respectively to Nomura International in brokerage commissions.
26
<PAGE>
TOTAL RETURN CALCULATIONS
Each Fund computes its average annual total return separately for its share
classes by determining the average annual compounded rates of return during
specified periods that would equate the initial amount invested in a particular
share class to the ending redeemable value of such investment in such class,
according to the following formula:
P(1 + T)TO THE POWER OF N = ERV
<TABLE>
<C> <C> <S>
Where:
T = Average annual total return
ERV = Ending redeemable value of a hypothetical $1,000 investment
made at the beginning of a period at the end of such period
P = A hypothetical initial investment of $1,000
n = Number of years
</TABLE>
Each Fund computes its cumulative total return separately for its share
classes by determining the cumulative rates of return during specified periods
that would equate the initial amount invested in a particular share class to the
ending redeemable value of such investment in such class, according to the
following formula:
<TABLE>
<C> <C> <S>
T = ERV-1,000
---------
1,000
</TABLE>
<TABLE>
<C> <C> <S>
Where:
T = Cumulative rate of return
ERV = Ending redeemable value of a hypothetical $1,000 investment
made at the beginning of a period at the end of such period.
</TABLE>
The calculations of average annual total return and cumulative total return
assume that any dividends and distributions are reinvested immediately, rather
than paid to the investor in cash. The ending redeemable value (variable "ERV"
in each formula) is determined by assuming complete redemption of the
hypothetical investment and the deduction of all nonrecurring charges at the end
of the period covered by the computations.
Unlike bank deposits or other investments that pay a fixed yield or return
for a stated period of time, the return for each Fund will fluctuate from time
to time and does not provide a basis for determining future returns. Average
annual total return and cumulative return are based on many factors, including
market conditions, the composition of a Fund's portfolio and a Fund's operating
expenses.
Average annual total returns are calculated separately for Investor Shares
and Institutional Shares and Adviser Shares for the AXA Rosenberg U.S. Small
Capitalization Fund. Investor Shares, Adviser Shares and Institutional Shares
are subject to different fees and expenses and may have different performance
for the same period.
27
<PAGE>
The average annual total returns for the Funds for the period ended
March 31, 2000 were as follows:
<TABLE>
<CAPTION>
SINCE INCEPTION
10 (INCEPTION
FUND CLASS OF SHARES 1 YEAR 5 YEARS YEARS DATE)
---- ---------------- -------- -------- -------- ---------------
<S> <C> <C> <C> <C> <C>
AXA Rosenberg............................ Institutional 31.36% 19.66% 16.17%
U.S. Small Investor 31.06% 14.69% (10/22/96)
Capitalization Fund Adviser 31.00% 12.40% (1/21/97)
AXA Rosenberg............................ Institutional 32.04% 6.54% (9/23/96)
International Small Investor 31.47% 6.28% (10/29/96)
Capitalization Fund
AXA Rosenberg............................ Institutional 45.24% -2.07% 0.82%
Japan Fund Investor 45.04% -0.44% (10/22/96)
AXA Rosenberg............................ Institutional -14.13% -9.60% (12/16/97)
Value Market Neutral Fund Investor -14.41% -9.94% (12/18/97)
AXA Rosenberg............................ Institutional -2.63% -1.09% (4/22/98)
Double Alpha Market Fund Investor -2.78% -1.35% (4/22/98)
AXA Rosenberg............................ Institutional 9.82% 10.43% (10/19/98)
Select Sectors Market Neutral Fund Investor 9.39% 10.29% (11/11/98)
</TABLE>
PERFORMANCE COMPARISONS. Investors may judge the performance of the Funds
by comparing them to the performance of other mutual fund portfolios with
comparable investment objectives and policies through various mutual fund or
market indices such as those prepared by Dow Jones & Co., Inc. and Standard &
Poor's and to data prepared by Lipper, Inc., a widely recognized independent
service which monitors the performance of mutual funds. Comparisons may also be
made to indices or data published in MONEY MAGAZINE, FORBES, BARRON'S, THE WALL
STREET JOURNAL, MORNINGSTAR, INC., IBBOTSON ASSOCIATES, CDA/WIESENBERGER, THE
NEW YORK TIMES, BUSINESS WEEK, U.S.A. TODAY, INSTITUTIONAL INVESTOR and other
periodicals. In addition to performance information, general information about
the Funds that appears in a publication such as those mentioned above may be
included in advertisements, sales literature and reports to shareholders. The
Funds may also include in advertisements and reports to shareholders information
discussing the performance of the Adviser in comparison to other investment
advisers and to other institutions.
From time to time, the Trust may include the following types of information
in advertisements, supplemental sales literature and reports to shareholders:
(1) discussions of general economic or financial principles (such as the effects
of inflation, the power of compounding and the benefits of dollar cost
averaging); (2) discussions of general economic trends; (3) presentations of
statistical data to supplement such discussions; (4) descriptions of past or
anticipated portfolio holdings for the Funds; (5) descriptions of investment
strategies for the Funds; (6) descriptions or comparisons of various investment
products, which may or may not include the Funds; (7) comparisons of investment
products (including the Funds) with relevant market or industry indices or other
appropriate benchmarks; (8) discussions of fund rankings or ratings by
recognized rating organizations; and (9) testimonials describing the experience
of persons that have
28
<PAGE>
invested in a Fund. The Trust may also include calculations, such as
hypothetical compounding examples, which describe hypothetical investment
results in such communications. Such performance examples will be based on an
express set of assumptions and are not indicative of the performance of a Fund.
DESCRIPTION OF THE TRUST AND OWNERSHIP OF SHARES
The Trust is a diversified open-end series investment company organized as a
Massachusetts business trust. A copy of the Agreement and Declaration of Trust
of the Trust, as amended (the "Declaration of Trust"), is on file with the
Secretary of The Commonwealth of Massachusetts. The fiscal year of the Trust
ends on March 31. The Trust changed its name to "Barr Rosenberg Series Trust"
from "Rosenberg Series Trust" on August 5, 1996.
Interests in the Trust's portfolios are currently represented by shares
of nine series, the AXA Rosenberg Enhanced 500 Fund, the AXA Rosenberg
International Equity Fund, the AXA Rosenberg Multi-Strategy Market Neutral
Fund, the AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Double
Alpha Market Fund, the AXA Rosenberg Select Sectors Market Neutral Fund, the
AXA Rosenberg U.S. Small Capitalization Fund, the AXA Rosenberg International
Small Capitalization Fund and the AXA Rosenberg Japan Fund, issued pursuant
to the Declaration of Trust. The rights of shareholders and powers of the
Trustees of the Trust with respect to such shares are described in the
Prospectus.
The AXA Rosenberg U.S. Small Capitalization Fund is divided into three
classes of shares: Institutional Shares, Investor Shares and Adviser Shares.
Each other series of the Trust is divided into two classes of shares:
Institutional Shares and Investor Shares.
Each class of shares of each Fund represents interests in the assets of the
Fund and has identical dividend, liquidation and other rights and the same terms
and conditions except that expenses, if any, related to the distribution and
shareholder servicing of a particular class are borne solely by such class and
each class may, at the discretion of the Trustees of the Trust, also pay a
different share of other expenses, not including advisory or custodial fees or
other expenses related to the management of the Trust's assets, if these
expenses are actually incurred in a different amount by that class, or if the
class receives services of a different kind or to a different degree than the
other classes. All other expenses are allocated to each class on the basis of
the net asset value of that class in relation to the net asset value of the
particular Fund.
The Declaration of Trust provides for the perpetual existence of the Trust.
The Trust may, however, be terminated at any time by vote of at least two-thirds
of the outstanding shares of each series of the Trust.
VOTING RIGHTS. Shareholders are entitled to one vote for each full share
held (with fractional votes for fractional shares held) and will vote (to the
extent provided herein) in the election of Trustees and the termination of the
Trust and on other matters submitted to the vote of shareholders. Shareholders
will vote by individual series on all matters except (i) when required by the
1940 Act, shares shall be voted in the aggregate and not by individual series,
and (ii) when the Trustees have determined that the matter affects only the
interests of one or more series, then only shareholders of such series shall be
entitled to vote thereon. Shareholders of one series shall not be entitled to
vote on matters exclusively affecting another series, such matters including,
without limitation, the adoption of or change in any fundamental policies or
restrictions of the other series and the approval of the investment advisory
contracts of the other series.
29
<PAGE>
Each class of shares of each Fund has identical voting rights except that
each class has exclusive voting rights on any matter submitted to shareholders
that relates solely to that class, and has separate voting rights on any matter
submitted to shareholders in which the interests of one class differ from the
interests of any other class. Each class of shares has exclusive voting rights
with respect to matters pertaining to any distribution and shareholder service
plan applicable to that class. All classes of shares of a Fund will vote
together, except with respect to any distribution and shareholder service plan
applicable to a class or when a class vote is required as specified above or
otherwise by the 1940 Act.
There will normally be no meetings of shareholders for the purpose of
electing Trustees, except that in accordance with the 1940 Act (i) the Trust
will hold a shareholders' meeting for the election of Trustees at such time as
less than a majority of the Trustees holding office have been elected by
shareholders, and (ii) if, as a result of a vacancy in the Board of Trustees,
less than two-thirds of the Trustees holding office have been elected by the
shareholders, that vacancy may only be filled by a vote of the shareholders. In
addition, Trustees may be removed from office by a written consent signed by the
holders of two-thirds of the outstanding shares and filed with the Trust's
custodian or by a vote of the holders of two-thirds of the outstanding shares at
a meeting duly called for the purpose, which meeting shall be held upon the
written request of the holders of not less than 10% of the outstanding shares.
Upon written request by the holders of at least 1% of the outstanding shares
stating that such shareholders wish to communicate with the other shareholders
for the purpose of obtaining the signatures necessary to demand a meeting to
consider removal of a Trustee, the Trust has undertaken to provide a list of
shareholders or to disseminate appropriate materials (at the expense of the
requesting shareholders). Except as set forth above, the Trustees shall continue
to hold office and may appoint successor Trustees. Voting rights are not
cumulative.
No amendment may be made to the Declaration of Trust without the affirmative
vote of a majority of the outstanding shares of the Trust except (i) to change
the Trust's name or to cure technical problems in the Declaration of Trust and
(ii) to establish, designate or modify new and existing series, sub-series or
classes of shares of any series of Trust shares or other provisions relating to
Trust shares in response to applicable laws or regulations.
SHAREHOLDER AND TRUSTEE LIABILITY. Under Massachusetts law, shareholders
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 Trust and requires that
notice of such disclaimer be given in each agreement, obligation, or instrument
entered into or executed by the Trust or the Trustees. The Declaration of Trust
provides for indemnification out of all the property of the relevant series for
all loss and expense of any shareholder of that series held personally liable
for the obligations of the Trust. Thus, the risk of a shareholder incurring
financial loss on account of shareholder liability is considered remote since it
is limited to circumstances in which the disclaimer is inoperative and the
series of which he is or was a shareholder would be unable to meet its
obligations.
The Declaration of Trust further provides that the Trustees will not be
liable for errors of judgment or mistakes of fact or law. However, nothing in
the Declaration of Trust protects a Trustee against any liability to which the
Trustee 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. The Declaration of Trust also provides for indemnification by the
Trust of the Trustees and the officers of the Trust against liabilities and
expenses reasonably incurred in connection with litigation in which they may be
involved because of their offices with
30
<PAGE>
the Trust, except if it is determined in the manner specified in the Declaration
of Trust that such Trustees are liable to the Trust or its shareholders by
reason of willful misfeasance, bad faith, gross negligence or reckless disregard
of his or her duties. In addition, the Adviser has agreed to indemnify each
Trustee who is not "an interested person" of the Trust to the maximum extent
permitted by the 1940 Act against any liabilities arising by reason of such
Trustee's status as a Trustee of the Trust.
OWNERS OF 5% OR MORE OF A FUND'S SHARES.
The following chart sets forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg U.S. Small
Capitalization Fund as of July 5, 2000. Those persons who beneficially own more
than 25% of a particular class of shares may be deemed to control such class. As
a result, it may not be possible for matters subject to a vote of a majority of
the outstanding voting securities of the Fund to be approved without the
affirmative vote of such shareholder, and it may be possible for such matters to
be approved by such shareholder without the affirmative vote of any other
shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
THE EVANGELICAL LUTHERANS 3,065,430.470 6.6590%
JEANIE SETO
135 SANTILLI HWY
EVERETT, MA 02149
CHARLES SCHWAB & CO INC 12,992,568.967 28.2238%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
CITIZENS BANK 6,115,464.521 13.2846%
101 N WASHINGTON AVE
SAGINAW, MI 48607
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 256,598.692 23.4467%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
NATIONAL INVESTOR SERVICES CORP 73,511.504 6.7171%
55 WATER ST 32ND FLOOR
NEW YORK, NY 10041
NATIONAL FINANCIAL SERVICES CORPORATION 95,651.173 8.7401%
</TABLE>
31
<PAGE>
ADVISER SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
FTC AND CO 52,784.785 6.0861%
PO BOX 173736
DENVER, CO 80217
PRUDENTIAL SECURITIES 172,880.608 19.9331%
FOR EXCLSV BNFT OF OUR CUSTOMERS
1 NEW YORK PLZ
NEW YORK, NY 10292
SMITH BARNEY INC 208,825.510 24.0775%
333 W 34TH ST 7TH FLOOR
NEW YORK, NY 10001
RODERICK M WILLIAMS 92,423.044 10.6564%
GM NAMEPLATE INC 401K PRFT SHRG PLN
2040 15TH AVE WEST
SEATTLE, WA 98119
CIBC WORLD MARKETS CORP 79,113.924 9.1218%
FBO 033-51493-16
CHURCH STREET STATION
NY, NY 10008
</TABLE>
32
<PAGE>
The following chart sets forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg Japan Fund
as of July 5, 2000. Those persons who beneficially own more than 25% of a
particular class of shares may be deemed to control such class. As a result, it
may not be possible for matters subject to a vote of a majority of the
outstanding voting securities of the Fund to be approved without the affirmative
vote of such shareholder, and it may be possible for such matters to be approved
by such shareholder without the affirmative vote of any other shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
KOKO M BAKER 14,381.094 7.5354%
C/O RIEM 4 ORINDA WAY
ORINDA, CA 94563
AXA ROSENBERG GROUP 160,153.845 83.9171%
4 ORINDA WAY BLDG E
ORINDA, CA 94563
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
SANDRA B COOK 1,248.388 12.5846%
SANDRA B COOK FAMILY TRUST
425 N MARTINGALE RD 19 FLOOR
SCHAUMBURG, IL 60173
NATIONAL INVESTOR SERVICES CORP 1,474.815 14.8672%
55 WATER ST. 32ND FLOOR
NEW YORK, NY 10041
OMPRAKASH N SUREKA 3,309.685 33.3639%
ANURADHA O SUREKA
5431 W STONEBRIDGE CT
PEORIA, IL 61615
ARTHUR Y LISS 1,985.567 20.0159%
1400 N WOODWARD AVE 100
BLOOMFIELD, MI 48304
CHARLES B MURDOCK 961.478 9.6924%
AMANDA S MURDOCK
818 THACKSTON DR
SPARTANBURG, SC 29307
</TABLE>
33
<PAGE>
The following chart sets forth the names, addresses and percentage ownership
of those shareholders owning of record 5% or more of the outstanding shares of
the AXA Rosenberg International Small Capitalization Fund as of July 5, 2000.
Those persons who beneficially own more than 25% of a particular class of shares
may be deemed to control such class. As a result, it may not be possible for
matters subject to a vote of a majority of the outstanding voting securities of
the Fund to be approved without the affirmative vote of such shareholder, and it
may be possible for such matters to be approved by such shareholder without the
affirmative vote of any other shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 3,794,407.802 97.3253%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 83,400.436 60.3349%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
NATIONAL INVESTOR SERVICES CORP 13,494.938 9.7627%
55 WATER ST 32ND FLOOR
NEW YORK, NY 10041
NATIONAL FINANCIAL SERVICES CORPORATION 14,729.385 10.6558%
ONE WORLD FINANCIAL CENTER
NEW YORK, NY 10281
</TABLE>
34
<PAGE>
The following charts set forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg Value
Market Neutral Fund as of July 5, 2000. Those persons who beneficially own more
than 25% of a particular class of shares may be deemed to control such class. As
a result, it may not be possible for matters subject to a vote of a majority of
the outstanding voting securities of the Fund to be approved without the
affirmative vote of such shareholder, and it may be possible for such matters to
be approved by such shareholder without the affirmative vote of any other
shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 870,789.697 9.7086%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
CUSTODIAL TRUST CO AS PLDG OF BARR 938,347.015 10.4618%
ROSENBERG DOUBLE ALPHA MARKET FUND
101 CARNEGIE CTR
PRINCETON, NJ 08540
ROSENBERG ALPHA LP 833,256.324 9.2901%
4 ORINDA WAY BLDG E
ORINDA, CA 94563
LEHMAN BROTHERS SPECIAL FINL INC 3,148,863.016 35.1073%
3 WORLD FINANCIAL CENTER 6TH FL
NEW YORK, NY 10285
BARR & JUNE ROSENBERG FOUNDATION 2,049,386.636 22.8490%
17 LA PUNTA
ORINDA, CA 94563
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 273,771.457 52.0304%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
NATIONAL INVESTOR SERVICES CORP 57,164.370 10.8641%
55 WATER ST 32ND FLOOR
NEW YORK, NY 10041
</TABLE>
35
<PAGE>
The following charts set forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg Double
Alpha Market Fund as of July 5, 2000. Those persons who beneficially own more
than 25% of a particular class of shares may be deemed to control such class. As
a result, it may not be possible for matters subject to a vote of a majority of
the outstanding voting securities of the Fund to be approved without the
affirmative vote of such shareholder, and it may be possible for such matters to
be approved by such shareholder without the affirmative vote of any other
shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 380,743.530 41.1765%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
US BANK NATIONAL ASSOC 526,073.515 58.8935%
THE SAINT PAUL CHAMBER
PO BOX 64010
ST PAUL, MN 55164
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
JEFFRY DIXON 500.783 9.8703%
1567 MATTERHORN DR NE
CEDAR RAPIDS, IA 52402
WEI HAN W CHU 795.159 15.6724%
611 E KINGSLEY ST
PHILADELPHIA, PA 19128
ROBERT W COLLIER 258.403 5.0931%
119 N 12TH ST
OAKDALE, LA 71463
JENNIFER P STELTER 346.432 6.8281%
125 W FIRST ST
PELLA, IA 50219
SUSAN L DUVAL 690.816 13.6158%
11460 ZION RD
BLOOMINGTON, MN 55437
SUSAN M DOHERTY 260.681 5.1380%
550 JUNIPERO SERRA BLVD
STANFORD, CA 94305
JOHN W FREITAS 339.235 6.6863%
284 REVERE ST
REVERE, MA 02151
RUTH M THEOBALD 279.955 5.5179%
J KARL THEOBALD
1030 GRANITE DR
GRANITE SHOALS, TX 78654
</TABLE>
36
<PAGE>
The following charts set forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg Select
Sectors Market Neutral Fund as of July 5, 2000. Those persons who beneficially
own more than 25% of a particular class of shares may be deemed to control such
class. As a result, it may not be possible for matters subject to a vote of a
majority of the outstanding voting securities of the Fund to be approved without
the affirmative vote of such shareholder, and it may be possible for such
matters to be approved by such shareholder without the affirmative vote of any
other shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 177,169.113 9.3535%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
AXA ROSENBERG GROUP 104,491.508 5.5166%
4 ORINDA WAY BLDG E
ORINDA, CA 94563
ROSENBERG ALPHA LP 379,535.205 20.0373%
4 ORINDA WAY BLDG E
ORINDA, CA 94563
BARR & JUNE ROSENBERG FOUNDATION 907,673.156 47.9201%
17 LA PUNTA
ORINDA, CA 94563
</TABLE>
INVESTOR SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
CHARLES SCHWAB & CO INC 881.294 15.7851%
THE EXCLUSIVE USE OF OUR CUSTOMERS
101 MONTGOMERY ST
SAN FRANCISCO, CA 94104
WEBSTER MRAK & BLUMBERG 913.650 16.3646%
1325 4TH AVE STE 600
SEATTLE, WA 98101
INVESTEC ERNST COMPANY 3,370.666 60.3728%
121-08215-16
ONE BATTERY PARK PLAZA
NY, NY 10004
</TABLE>
The following chart sets forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg Enhanced
500 Fund as of July 5, 2000. Those persons who beneficially own more than
25% of a particular class of shares may be deemed to control such class. As
a result, it may not be possible for matters subject to a vote of a majority
of the outstanding voting securities of the Fund to be approved without the
affirmative vote of such shareholder, and it may be possible for such matters
to be approved by such shareholder without the affirmative vote of any other
shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
Equitable Life Assurance 500,000.00 99.9995%
Society of the United States
1290 Avenue of the
Americas
New York, NY 10104
</TABLE>
The following chart sets forth the names, addresses and percentage ownership
of those shareholders owning beneficially and of record (except as otherwise
indicated) 5% or more of the outstanding shares of the AXA Rosenberg
International Equity Fund as of July 5, 2000. Those persons who beneficially
own more than 25% of a particular class of shares may be deemed to control
such class. As a result, it may not be possible for matters subject to a
vote of a majority of the outstanding voting securities of the Fund to be
approved without the affirmative vote of such shareholder, and it may be
possible for such matters to be approved by such shareholder without the
affirmative vote of any other shareholder.
INSTITUTIONAL SHARES
<TABLE>
<CAPTION>
NAME AND ADDRESS NUMBER OF SHARES OWNERSHIP PERCENTAGE
---------------- ---------------- --------------------
<S> <C> <C>
Equitable Life Assurance 1,000,000.00 99.9998%
Society of the United States
1290 Avenue of the
Americas
New York, NY 10104
</TABLE>
Except as follows, the officers and Trustees of the Trust, as a group, owned
less than 1% of any class of outstanding shares of the Trust as of July 5,
2000. AXA Rosenberg Japan Fund, Institutional Shares: as of July 5, 2000,
Richard L. Saalfeld held 1862.197 shares and William F. Sharpe held 1584.277
shares, for a total between them of 1.81% of the outstanding shares of that
class; AXA Rosenberg International Small Capitalization Fund, Institutional
Shares: as of July 5, 2000, William F. Sharpe held 1046.922 shares,
37
<PAGE>
Dwight M. Jaffee held 575.425 shares and Barr Rosenberg held 38,570.113 shares,
for a total between them of 1.03% of the outstanding shares of that class.
Except as noted above, the officers and Trustees of the Trust, as a group,
own less than 1% of any class of outstanding shares of the Funds. The
officers and Trustees of the Trust, as a group, own more than 1% of the
securities of certain classes of outstanding shares of the Trust's other
funds.
DETERMINATION OF NET ASSET VALUE
As indicated in the Prospectus, the net asset value of each Fund share is
determined on each day on which the New York Stock Exchange is open for trading.
The Trust expects that the days, other than weekend days, that the New York
Stock Exchange will not be open are New Year's Day, Martin Luther King's Day,
President's Day, Good Friday, Memorial Day, Independence Day (observed), Labor
Day, Thanksgiving Day and Christmas Day.
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 for long securities and the most recent
quoted ask price for securities sold short, except that debt obligations with
sixty days or less remaining until maturity may be valued at their amortized
cost. Exchange-traded options on futures are valued at the settlement price as
determined by the appropriate clearing corporation. Futures contracts are valued
by comparing the gain or loss by reference to the current 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.
PURCHASE AND REDEMPTION OF SHARES
The procedures for purchasing shares of each of the Funds and for
determining the offering price of such shares are described in the Prospectus.
The Trust has elected to be governed by Rule 18f-1 under the 1940 Act pursuant
to which the Trust is obligated to redeem shares solely in cash for any
shareholder during any 90-day period up to the lesser of (i) $250,000 or
(ii) 1% of the total net asset value of the Trust at the beginning of such
period. The procedures for redeeming shares of each of the Funds are described
in the Prospectus.
The Funds have authorized one or more brokers to accept on their behalf
purchase and redemption orders. Such brokers are authorized to designate other
intermediaries to accept purchase and redemption orders on the Funds' behalf.
The Funds will be deemed to have received a purchase or redemption order when an
authorized broker or, if applicable, a broker's authorized designee, accepts
such order. Such orders will be priced at the respective Funds' net asset value
per share next determined after such orders are accepted by an authorized broker
or the broker's authorized designee.
38
<PAGE>
FINANCIAL STATEMENTS
The Report of Independent Accountants, financial highlights and financial
statements of the Funds included in the Trust's 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.
39
