-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, RFzaKJW8R1AwDzC4StVFoQzh1qof6ddcPZFVeDoO1w79nlhuM22NCt6q4/0kxbFI snqxef0rcjgbhCPbpKrblw== 0000950152-02-004512.txt : 20020523 0000950152-02-004512.hdr.sgml : 20020523 20020523133814 ACCESSION NUMBER: 0000950152-02-004512 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020331 FILED AS OF DATE: 20020523 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BARR ROSENBERG SERIES TRUST CENTRAL INDEX KEY: 0000832545 STATE OF INCORPORATION: CA FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05547 FILM NUMBER: 02660776 BUSINESS ADDRESS: STREET 1: 3435 STELZER RD STREET 2: C/O FURMAN SELZ CITY: COLUMBUS STATE: OH ZIP: 43219 BUSINESS PHONE: 2128083942 MAIL ADDRESS: STREET 1: C/O FURMAN SELZ STREET 2: 237 PARK AVE CITY: NEW YORK STATE: NY ZIP: 10017 FORMER COMPANY: FORMER CONFORMED NAME: ROSENBERG SERIES TRUST DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: ROSENBERG SMALL CAPITALIZATION FUND DATE OF NAME CHANGE: 19881030 N-30D 1 l94111an-30d.txt BARR ROSENBERG SERIES TRUST FORM N-30D - -------------------------------------------------------------------------------- BARR ROSENBERG SERIES TRUST - -------------------------------------------------------------------------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND AXA ROSENBERG VALUE MARKET NEUTRAL 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 AXA ROSENBERG U.S. DISCOVERY FUND AXA ROSENBERG EUROPEAN FUND ANNUAL REPORT ------------------------------------------------ MARCH 31, 2002 ------------------------------------------------ BARR ROSENBERG SERIES TRUST ------------------------------------------------------------ AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND AXA ROSENBERG VALUE MARKET NEUTRAL 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 AXA ROSENBERG U.S. DISCOVERY FUND AXA ROSENBERG EUROPEAN FUND - -------------------------------------------------------------------------------- May 1, 2002 Dear Fellow Shareholder: We get a great feeling when we make money for our investors when the overall market is losing value. All of our U.S. funds beat their benchmarks and posted a positive absolute return for the fiscal year ended March 31, 2002. Our international funds trailed their benchmarks during the past twelve months, but they remain ahead of their benchmarks since inception. - The AXA Rosenberg U.S. Small Capitalization Fund, Institutional Share class, has a 5-star overall Morningstar Rating(TM)(1) (out of 5,040 domestic equity funds) as of March 31, 2002. The Adviser and Investor Share classes for this Fund have 4-star overall ratings. - The AXA Rosenberg Value Market Neutral Fund has a 3-star overall Morningstar Rating(TM) (out of 5,040 domestic equity funds) for the Institutional and Investor Share classes as of March 31, 2002. The Institutional and Investor Share classes are in the top 6% and 8%, respectively, of the Lipper(2) Specialty Diversified Equity Funds peer group (50 funds) over the one-year period ended March 31, 2002. - The AXA Rosenberg Select Sectors Market Neutral Fund, Institutional and Investor Share classes, have a 3-star overall Morningstar Rating(TM) (out of 5,040 domestic equity funds) as of March 31, 2002. The Institutional and Investor Share classes are ranked in the top 14% and 16%, respectively, in the Lipper Specialty Diversified Equity Funds peer group over the one-year period ended March 31, 2002. - The AXA Rosenberg International Small Capitalization Fund(3) has a 3-star overall Morningstar Rating(TM) for its Institutional and Investor Share classes (out of 1,396 international equity funds) as of March 31, 2002. The Institutional and Investor Share classes are ranked in the top 43% and 44%, respectively, in the Lipper International Funds peer group (89 funds) over the one-year period ended March 31, 2002. - The AXA Rosenberg Enhanced 500 Fund(3), Institutional and Investor Share classes, are ranked in the top 13% and 11%, respectively, of the Lipper Large Cap Core Funds peer group (814 funds) over the one-year period ended March 31, 2002. - The AXA Rosenberg Multi-Strategy Market Neutral Fund, Institutional Share class, is in the top 10% of its Lipper Specialty Diversified Equity Funds peer group (50 funds) over the one-year period ended March 31, 2002. - The AXA Rosenberg European and U.S. Discovery Funds were launched in July and September of 2001, respectively. We believe that this strong performance is based upon our stock-picking skills rather than luck. To be a skillful, active stock picker, it is key to build a strong team of investment professionals and maintain a defined investment philosophy and disciplined investment process. The qualities that allow us to differentiate ourselves from other stock pickers are: - A high level of skill: consistent, superior performance - A stable, disciplined, repeatable process - A well-defined and demonstrable proprietary advantage - Successful implementation in diverse markets - An analytical context that explains performance variations - Continuing enhancement through ongoing research 1 During the last year, stock investors were sorely tested. The longest economic expansion in U.S. history ended in March, and a recession began. For the full year ended December 31, 2001, the broad U.S. stock market lost more than 10% of its value, producing the first back-to-back calendar year losses since 1973-74. Growth stocks in general and technology stocks in particular were especially hard hit. Despite the large declines in prices for growth and technology stocks since March 2000, the valuations for these stocks remained high throughout the past year. Each time a technology and growth stock rally began in the sector during the last year, enthusiasm pushed prices ahead of continued weak company fundamentals and prices soon fell. Like other recent periods, your portfolio dodged this trouble. How did this happen? Early in the year 2000, our published research revealed to us what we believed to be a speculative bubble in growth stocks. This real bubble was based on several signs that were apparent to us. Many of the growth and "new economy" stocks were trading at multiples of forecasted earnings that suggested extremely high earnings growth very far into the future. We know that the analysts' most optimistic growth projections are consistently over-optimistic. And, we doubted how far into the future analysts can truly forecast earnings. Among "new economy" companies, we saw that investors seemed to confuse consumer satisfaction with profits. At the same time, we saw features in the economic and investment environment that were uniformly positive and conducive to an over-exuberance among investors. In this environment, positive investment returns fueled a bandwagon effect, especially among the appealing "new economy" companies. Since our investment beliefs are based on sound economic fundamentals, and we believe that earnings truly matter in stock valuations, we avoided the harmful investment results that many suffered by sticking with our beliefs. This means that we were able to allow our investors to continue to meet their financial goals. The insights at this point in the investment cycle that we offer up as guidance to you as you assess the investment future are: - A great deal of the air in the growth/technology stock bubble has been let out. But, valuations remain high for the growth part of the market. We believe growth will tend to lag for a while longer. - There is strong proof that diversification has benefits. - Rational thinking and investing will win out in the long term. The AXA Rosenberg Mutual Funds were the subject of many favorable mentions during the year; some of which were mentioned in our earlier letters. Since October 2001, feature articles have appeared in Investment News, "Positive Returns are Foreign to these Funds," November 19, 2001; Wall Street Journal, "Hedging Their Bets: Some Funds Try Long-Short Approach," November 5, 2001; Bloomberg Wealth Manager, "A Change in the Menu," November 2001; Business Week, "You Can Sit on Two Stools," October 1, 2001; Investment News, "Neutralizing Returns," October 2, 2001; Business Week, "The Worst May Not Be Over," October 8, 2001; Wall Street Journal, "Mutual Fund Quarterly Review," October 8, 2001. It is important to remember that we cannot control market cycles, so investors must know how to handle market cycles. Markets always fluctuate, and to be able to deal with the inevitable cycles, investors need to include both diversification and asset allocation as a foundation to any portfolio. To help our clients meet their investment goals, we now offer a complete array of investment choices among the nine funds we offer, with choices in a number of asset allocation categories. It is important to know that based on our disciplined investment process, all of our funds are managed based on the same investment principles regardless of the investment category of the fund. We thank you for your continued support, and we will promise to do all that we can to continue to deserve it. We look forward to serving you through 2002 and beyond. Sincerely, /s/ Richard L. Saalfeld Richard L. Saalfeld President & CEO AXA Rosenberg Mutual Funds 2 Performance data represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market, economic, political, currency exchange rates and other conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. Investments in shares of the AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Select Sectors Market Neutral Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund are more volatile and risky than some other forms of investments. Since the Funds have both a long and a short portfolio, an investment in the AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Select Sectors Market Neutral Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of funds typically have a high portfolio turnover that could increase transaction costs and cause short- term capital gains to be realized. While it may be the intent of the Manager to take long positions in stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. Portfolio holdings are subject to change and may not represent current or future holdings. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. For more complete information about the AXA Rosenberg Mutual Funds, including management fees, expenses and other ongoing charges, please call 1-800-555-5737 (Institutional Share/Registered Investment Advisors) and 1-800-447-3332 (Investor Shares, Class A Shares and Class B Shares) for a prospectus. Please read it carefully before investing. - --------------- (1) For each fund with at least a three-year history, Morningstar calculates a Morningstar Rating metric each month by subtracting the return on a 90-day U.S. Treasury Bill from the fund's load-adjusted return for the same period, and then adjusting this excess return for risk. The top 10% of funds in each broad asset class receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. This fund was compared with 5,040 domestic equity funds. The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten-year (if applicable) Morningstar Rating metrics. The AXA Rosenberg U.S. Small Capitalization Fund, Institutional Shares, received 5, 4, and 5 stars, respectively, out of 5,040, 3,293, and 926 domestic equity funds for the 3, 5, and 10-year periods. The Adviser and Investor Share classes received 5 and 4 stars, respectively, for the 3 and 5-year periods. The Adviser and Investor Share classes of the Fund were not rated for the 10-year period. The AXA Rosenberg Value Market Neutral Fund, Institutional and Investor Share classes, received a 3-star rating out of 5,040 domestic equity funds for the 3-year period. The AXA Rosenberg Select Sectors Market Neutral Fund, Institutional and Investor Share classes, received a 3-star rating for the 3-year period out of 5,040 domestic equity funds. The AXA Rosenberg Value Market Neutral Fund and the AXA Rosenberg Select Sectors Market Neutral Fund were not rated for the 5 and 10-year periods. The AXA Rosenberg International Small Capitalization Fund, Institutional and Investor Share classes, received 4 and 3 stars for the 3 and 5-year periods out of 1,396 and 931 international equity funds, respectively. The Fund was not rated for the 10-year period. Morningstar ratings are as of March 31, 2002 and are for the specified share class(es) only. Other classes may have different performance characteristics. (2) Lipper rankings are based on total returns at net asset value, without the imposition of a sales charge that would reduce total return figures. The Lipper ranking for the 5-year period ended 3/31/02 for the AXA Rosenberg International Small Capitalization Fund is 74% and 80% for the Institutional and Investor Share classes, respectively, out of 31 funds. The AXA Rosenberg International Small Capitalization Fund was not ranked for the 10-year period. The AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg Enhanced 500 Fund and the AXA Rosenberg Multi-Strategy Market Neutral Funds were not ranked for the 5 and 10-year periods. (3) Although the rankings or ratings represent performance that is superior to the fund's peers, this Fund experienced negative performance for short-term periods. 3 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND - -------------------------------------------------------------------------------- AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg U.S. Small Capitalization Fund 3/31/1992 1 3/31/1993 1.225 3/31/1994 1.382 3/31/1995 1.551 3/31/1996 2.105 3/31/1997 2.516 3/31/1998 3.647 3/31/1999 2.897 3/31/2000 3.805 3/31/2001 3.757 3/31/2002 4.656 Russell 2000 Index 3/31/1992 1 3/31/1993 1.149 3/31/1994 1.275 3/31/1995 1.345 3/31/1996 1.736 3/31/1997 1.824 3/31/1998 2.591 3/31/1999 2.17 3/31/2000 2.979 3/31/2001 2.522 3/31/2002 2.875
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 LAST 3 LAST 5 LAST 10 INCEPTION INCEPTION YEAR YEARS YEARS YEARS (1/21/97) (10/22/96) ------ ------ ------ ------- --------- ---------- Institutional Shares (USCIX)............... 23.92% 17.14% 13.10% 16.63% Adviser Shares (LIFUX)..................... 23.61% 16.87% 12.83% -- 11.63% Investor Shares (BRSCX).................... 23.50% 16.81% 12.78% -- 13.06% Russell 2000 Index(1)...................... 13.98% 9.84% 9.52% 11.14% 7.37% 8.69%
For the year ended March 31, 2002, small capitalization stocks led an otherwise disappointing equity market and consistently outperformed larger cap stocks. U.S. equity market returns improved solidly in the three months after September 11(th), but fell back in early 2002. U.S. economic conditions seemed to be improving as the fiscal year ended, but the strength and speed of the recovery remain uncertain. The Federal Reserve's aggressive cycle of interest rate cuts of 2001 came to an end in early 2002, thus shifting investor focus towards a rebound in corporate earnings. The technology sector continued to lag the broader market as investors further reconciled the disappointing earnings with the still high prices for the overall sector. Small cap value stocks had another tremendous year. For the year ending March 31, 2002, the Russell 2000 Value Index(2) rose 23.47% compared with a rise of 4.95% for the Russell 2000 Growth Index(3). While the spread of value over growth was about 1/3 as large as a year earlier, investor focus remained on the relationship between company fundamentals, especially earnings, and stock prices during the past year. Both the market environment and investor focus benefited the performance of the Fund relative to the Russell 2000 Index. The Manager's stock selection models tend to favor stocks that are seen as underpriced relative to their fundamental financial characteristics, including their likely future earnings, when compared with other similar stocks. When investors focus on these fundamental features of stocks, the success of the models generally increases. 4 The Fund also has a slight value profile relative to the Russell 2000 Index. During the last year, the value exposures helped relative performance. In particular, the Fund's lower price-to-earnings ratio compared with the Russell 2000 Index contributed positively to performance. The Fund's industry exposures had little impact on relative performance during the year in aggregate. Among industries, the negative impact of a small overexposure to the weak oil industry (0.8% above the Russell 2000 Index exposure) was offset by the positive contribution from underweighting non-electrical utility stocks (1.4% below the Russell 2000 Index exposure). Much of the Fund's outperformance was attributable to the independent effect of stock selection and not the aggregate influence of risk factor and industry exposures. This result is not surprising given the Fund's tight management of risk factor and industry exposures and given the market environment over the past 12 months. Fundamental to the Manager's stock selection process is the belief that a portfolio of stocks that produce more future earnings per dollar of initial cost (an "earnings advantage") than the benchmark should be rewarded with above benchmark performance. In the past year, the stocks held by the Fund produced more future earnings per dollar of cost than the benchmark, and investors rewarded these superior earnings companies with superior returns. Total returns for the Institutional Shares represents the historical performance for the Barr Rosenberg Series Trust Small Capitalization Fund which was launched in February 1989 until it was converted to the AXA Rosenberg U.S. Small Capitalization Fund on August 5, 1996. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Small capitalization funds typically carry additional risks since smaller companies generally have experienced a greater degree of market volatility than average. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- (1) The Russell 2000 Index is the benchmark for the AXA Rosenberg U.S. Small Capitalization Fund. It is an unmanaged index of approximately 2,000 small capitalization companies with market value up to $3.3 billion (as of March 31, 2002). Investors cannot invest directly in any Index. (2) The Russell 2000 Value Index measures the performance of the Russell 2000 Index companies with lower price-to-book ratios and lower forecasted earnings growth values. (3) The Russell 2000 Growth Index measures the performance of the Russell 2000 Index companies with higher price-to-book ratios and higher forecasted earnings growth values. 5 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS -- 99.1% AIRCRAFT -- 0.3% 23,700 Curtiss-Wright................. $ 1,576,050 21,400 SIFCO Industries*.............. 121,338 7,500 Standex International.......... 183,150 ------------ 1,880,538 ------------ AIRLINES -- 0.9% 27,900 Airborne....................... 487,971 146,700 Alaska Air Group*.............. 4,883,643 13,700 Offshore Logistics*............ 295,235 ------------ 5,666,849 ------------ AUTOS -- 0.2% 2,600 Arctic Cat..................... 52,390 43,600 Edelbrock...................... 568,980 36,200 Noble International............ 458,654 19,100 R&B*........................... 158,742 ------------ 1,238,766 ------------ BANKING -- 9.7% 53,520 1st Source..................... 1,267,354 93 Abigail Adams National Bancorp...................... 1,628 4,400 Acadiana Bancshares............ 106,480 13,090 American Business Financial Services..................... 144,383 13,700 American Financial Holdings.... 364,557 30,000 ASTA Funding*.................. 452,100 35,000 BancorpSouth................... 690,200 124,200 BankUnited Financial*.......... 1,860,516 5,300 Berkshire Bancorp.............. 151,050 1,200 Big Foot Financial............. 20,868 11,300 BNCCORP*....................... 93,112 6,940 BostonFed Bancorp.............. 175,235 21 BWC Financial*................. 462 15 Capital Corp. of the West*..... 285 19,400 Capital Trust, Class A*........ 97,000 2,400 Carver Bancorp................. 27,480 13,200 Cascade Financial*............. 128,568 770 CB Bancshares.................. 28,575 21,000 CFS Bancorp.................... 286,650 61,700 Colonial BancGroup............. 920,564 1,500 Colony Bancorp................. 20,700 8,800 Commonwealth Bancorp........... 218,328 8,700 Community West Bancshares*..... 40,020 4,300 Corus Bankshares............... 204,379 28,200 Cowlitz Bancorporation......... 162,432 4,000 CPB............................ 137,400 8,900 Desert Community Bank.......... 236,295 600 Downey Financial............... 27,360 34,900 Eagle Bancshares............... 895,883 2,300 EFC Bancorp.................... 32,154 4,504 Elmira Savings Bank, FSB....... 119,942 14,400 FFLC Bancorp................... 362,160 8,300 FFW............................ 118,275 12,450 Fidelity Bancorp............... 241,904 49,300 Fidelity National.............. 456,025 600 First Bancorp of Indiana....... 8,250 9,000 First Bancshares............... 122,220 300 First Banks America*........... 12,294 2,600 First Bell Bancorp............. 40,430 32,900 First Citizens BancShares, Class A...................... 3,387,383
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) BANKING (CONTINUED) 2,700 First Federal Bankshares....... $ 34,020 200 First Kansas Financial......... 2,740 2,000 First Midwest Financial........ 26,900 9,000 First Mutual Bancshares........ 123,750 4,000 First Regional Bancorp*........ 49,600 1,000 FIRSTFED AMERICA BANCORP....... 23,900 2,100 FirstFed Bancorp............... 14,175 49,200 FirstFed Financial*............ 1,286,580 16,000 Flagstar Bancorp............... 372,480 15,900 Florida Banks*................. 129,903 7,000 FMS Financial.................. 80,430 19,800 Franklin Bank NA............... 362,736 15,700 FSF Financial.................. 301,440 122,100 Gold Banc Corporation.......... 1,098,900 3,100 Grand Central Financial........ 34,100 3,924 Hanmi Financial*............... 66,708 100 Harrodsburg First Financial Bancorp...................... 1,200 2,800 Hawthorne Financial*........... 81,900 1,600 Hemlock Federal Financial...... 38,672 10,500 Hingham Institution for Savings...................... 278,250 32,300 HPSC*.......................... 225,777 44,410 Hudson United Bancorp.......... 1,412,682 3,700 Humboldt Bancorp*.............. 37,148 1,900 IBERIABANK..................... 65,873 252,900 Independence Community Bank.... 7,114,076 8,200 Independence Federal Savings Bank......................... 89,380 31,200 InterCept Group*............... 1,131,000 8,250 International Bancshares....... 364,073 17,400 Intervest Bancshares*.......... 160,950 30,000 ITLA Capital*.................. 742,500 13,300 Jacksonville Bancorp........... 308,560 3,900 Kankakee Bancorp............... 153,660 4,800 Local Financial*............... 75,552 100 LSB Financial.................. 1,690 10,100 MAF Bancorp.................... 356,025 3,621 Mahaska Investment Co. ........ 47,942 8,533 MASSBANK....................... 392,518 200 Mayflower Co-operative Bank.... 2,798 8,800 MB Financial................... 263,560 10,200 MFB............................ 223,992 15,900 Middleton Doll Company......... 105,735 2,700 Monterey Bay Bancorp*.......... 45,900 1,300 Mystic Financial............... 21,450 10,800 Nara Bancorp................... 234,900 4,400 New Hampshire Thrift Bancshares................... 71,716 65,800 New York Community Bancorp..... 1,819,370 9,100 North Valley Bancorp........... 149,240 2,600 Northeast Indiana Bancorp...... 35,750 1,700 Northway Financial............. 48,620 19,500 Onyx Acceptance*............... 93,600 2,100 Park Bancorp................... 38,850 2,200 Parkvale Financial............. 55,220 7,000 Patriot National Bancorp....... 56,700 1,300 Pelican Financial.............. 7,657 2,300 Peoples BancTrust Co. ......... 27,945 21,300 PFF Bancorp.................... 664,560 500 Pointe Financial............... 7,100 23,097 Progress Financial............. 206,487
See accompanying notes to the financial statements. 6 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) BANKING (CONTINUED) 1,700 Provident Financial Holdings*.................... $ 50,303 5,500 QCR Holdings*.................. 71,555 25,100 Quaker City Bancorp*........... 795,168 36,000 R&G Financial, Class B......... 717,480 2,000 RHBT Financial................. 26,240 2,100 Sierra Bancorp................. 21,630 1,300 SNB Bancshares................. 20,995 23,100 South Financial Group.......... 470,085 6,050 Southern Financial Bancorp..... 150,948 7,200 Southern Missouri Bancorp...... 122,400 14,800 Southside Bancshares........... 201,280 3,150 Southwest Bancorp.............. 63,838 316,800 Staten Island Bancorp.......... 6,234,623 43,560 Sterling Financial*............ 982,278 25,200 Student Loan................... 2,308,320 10,000 Sun Community Bancorp*......... 118,400 2,800 Superior Financial............. 46,340 12,100 Team Financial................. 107,690 3,900 Teche Holding.................. 93,990 10,600 TF Financial................... 249,100 5,600 The Banc Corporation*.......... 39,200 3,600 The Trust Company of New Jersey....................... 85,140 600 Timberland Bancorp............. 9,315 17,100 UCBH Holdings.................. 615,258 149,100 UICI*.......................... 2,825,444 93,786 UMB Financial.................. 4,021,543 12,900 Union Bankshares*.............. 154,800 400 UnionBancorp................... 5,760 2,500 United Financial Holdings...... 28,500 4,800 W Holding Company.............. 84,720 17,820 Wainwright Bank & Trust........ 147,015 4,900 Washington Banking............. 64,925 27,060 Washington Federal............. 647,816 9,700 Wells Financial................ 191,090 72,100 Westcorp....................... 1,575,385 42,056 WFS Financial*................. 1,047,615 3,600 Woronoco Bancorp............... 67,500 1,300 WSFS Financial................. 23,556 ------------ 59,417,086 ------------ BIOTECHNOLOGY -- 0.2% 242,214 Bio-Technology General*........ 1,189,271 11,200 Lipid Sciences*................ 62,160 ------------ 1,251,431 ------------ BUILDING -- 3.6% 8,600 Anthony & Sylvan Pools*........ 55,900 18,900 Beazer Homes USA*.............. 1,465,695 26,625 Dominion Homes*................ 468,600 300 Dover Investment, Class A*..... 5,400 131,900 KB Home........................ 5,724,460 88,220 M.D.C. Holdings................ 3,811,104 12,800 Matrix Service*................ 112,000 8,700 Meritage*...................... 555,930 107,600 Modtech Holdings*.............. 1,177,144 38,400 Orleans Homebuilders*.......... 290,304
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) BUILDING (CONTINUED) 60,200 Ryland Group................... $ 5,430,040 49,700 Skyline........................ 1,543,185 14,100 Toll Brothers*................. 702,885 37,600 Willbros Group*................ 627,544 ------------ 21,970,191 ------------ CHEMICALS -- 2.2% 72,200 A. Schulman.................... 1,320,538 65,500 Albemarle...................... 1,805,180 9,900 American Pacific*.............. 98,109 20,493 American Vanguard.............. 462,322 31,700 Bairnco........................ 178,471 42,900 ChemFirst...................... 1,147,575 23,200 H.B. Fuller.................... 694,840 39,000 International Specialty Products*.................... 373,620 53,100 LESCO.......................... 493,830 62,300 Minerals Technologies.......... 3,268,881 42,800 Octel*......................... 806,780 29,200 PolyOne........................ 356,240 76,000 RPM............................ 1,181,800 108,600 USEC........................... 695,040 12,200 Wellman........................ 200,690 ------------ 13,083,916 ------------ CONSTRUCTION MATERIALS -- 0.9% 152,000 AMCOL International............ 919,600 22,600 Ameron International........... 1,621,550 11,200 Centex Construction Products... 445,536 14,600 Continental Materials*......... 378,140 5,000 Devcon International*.......... 32,250 1,500 Donnelly....................... 26,550 11,300 Florida Rock Industries........ 450,192 27,900 Lancaster Colony............... 1,033,416 1,900 Oil-Dri Corporation of America...................... 17,708 50,400 Rock of Ages*.................. 332,640 ------------ 5,257,582 ------------ DEFENSE -- 0.9% 19,800 Allied Research*............... 461,340 44,900 Conrad Industries*............. 226,745 46,000 DRS Technologies*.............. 1,908,540 15,400 FLIR Systems*.................. 735,350 54,048 Kaman, Class A................. 916,114 33,500 Pemco Aviation Group*.......... 812,375 62,880 Todd Shipyards*................ 682,248 ------------ 5,742,712 ------------ DRUGS -- 1.4% 8,300 Cambrex........................ 349,430 23,800 Diagnostic Products............ 1,028,160 8,400 E-Z-EM, Class A*............... 100,380 65,300 E-Z-EM, Class B*............... 669,325 25,000 Hi-Tech Pharmacal*............. 271,625 56,600 Immucor*....................... 792,400 29,500 Meridian Bioscience............ 200,571 44,500 NBTY*.......................... 759,170
See accompanying notes to the financial statements. 7 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) DRUGS (CONTINUED) 35,800 Nutraceutical International*... $ 211,220 312,500 Perrigo*....................... 3,734,375 14,900 Pharmaceutical Resources*...... 315,731 ------------ 8,432,387 ------------ DURABLES -- 0.2% 17,600 Harman International Industries................... 868,560 90,600 Royal Appliance Manufacturing*............... 484,710 ------------ 1,353,270 ------------ ELECTRIC UTILITIES -- 0.4% 58,700 Central Vermont Public Service...................... 1,048,382 2,600 Green Mountain Power........... 47,450 13,300 Hawaiian Electric Industries... 585,333 6,800 PNM Resources.................. 208,488 6,700 UIL Holdings................... 389,270 ------------ 2,278,923 ------------ FINANCIAL INVESTMENTS -- 0.1% 33,900 California First National Bancorp...................... 383,070 1,000 PICO Holdings*................. 14,900 38,100 Willis Lease Finance*.......... 178,308 ------------ 576,278 ------------ FOOD -- 3.2% 10,600 Andersons...................... 108,226 158,100 Corn Products International.... 5,090,820 59,200 Dole Food...................... 1,835,200 4,600 Farmer Brothers................ 1,393,800 130,300 Flowers Foods*................. 3,318,741 149,300 Interstate Bakeries............ 3,614,553 38,400 J & J Snack Foods*............. 1,435,392 50,200 John B. Sanfilippo & Son*...... 301,200 1,900 National Beverage*............. 25,270 2,800 Pilgrim's Pride, Class B....... 39,256 65,600 Ralcorp Holdings*.............. 1,784,320 2,800 Sanderson Farms................ 75,600 1,800 Seaboard....................... 540,000 3,000 Sherwood Brands, Class A*...... 17,400 500 Zapata*........................ 12,950 ------------ 19,592,728 ------------ HEALTH -- 1.0% 77,800 Beverly Enterprises*........... 560,160 31,400 LabOne*........................ 543,220 15,070 MEDTOX Scientific*............. 156,728 400 National Home Health Care*..... 4,828 70,285 PacifiCare Health Systems*..... 1,226,473 17,600 SunLink Health Systems*........ 90,464 411,700 US Oncology*................... 3,627,077 ------------ 6,208,950 ------------ HOUSEHOLD -- 2.8% 28,500 Alliance Gaming*............... 870,105 22,700 American Biltrite.............. 317,800 12,400 American Locker Group*......... 155,000 4,900 Bassett Furniture Industries... 100,450 2,400 Chase.......................... 26,040 8,100 Chromcraft Revington*.......... 103,275
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) HOUSEHOLD (CONTINUED) 23,100 Coastcast...................... $ 103,950 1,300 Deswell Industries............. 28,602 134,700 Direct Focus*.................. 5,125,334 100 Escalade*...................... 6,900 3,700 Flexsteel Industries........... 55,500 65,200 Genlyte Group*................. 2,448,912 33,650 Johnson Outdoors, Class A*..... 331,453 176,100 Kimball International, Class B............................ 2,872,191 1,490 Knape & Vogt Manufacturing..... 18,104 900 La-Z-Boy....................... 24,705 18,200 Mity Enterprises*.............. 233,870 52,200 Movado Group................... 1,145,790 3,200 Ohio Art Co. .................. 71,040 2,500 Pubco*......................... 23,050 71,400 Russ Berrie & Co. ............. 2,299,080 30,100 Southwall Technologies*........ 390,999 3,300 Summa Industries*.............. 29,865 10,600 West Pharmaceutical Services... 321,710 ------------ 17,103,725 ------------ INSTRUMENTS -- 6.6% 150,600 American Medical Systems Holdings*.................... 3,390,006 4,200 Arrow International............ 198,240 300 Astro-Med...................... 1,098 14,100 Atrion*........................ 388,314 63,400 Bio-Rad Laboratories, Class A*........................... 2,380,670 2,700 BioLogic Systems*.............. 13,311 43,500 Checkpoint Systems*............ 693,825 1,800 CNS*........................... 12,456 129,100 CONMED*........................ 3,227,500 37,300 Datascope...................... 1,094,755 249,000 Edwards Lifesciences*.......... 6,959,551 92,220 Esterline Technologies*........ 1,881,288 49,299 IDEXX Laboratories*............ 1,323,185 68,200 Integra LifeSciences Holdings*.................... 1,918,466 48,400 Invacare....................... 1,819,840 29,402 Invivo*........................ 354,000 10,600 Isco........................... 105,470 18,900 Kewaunee Scientific............ 196,560 16,700 Lakeland Industries*........... 161,990 10,100 Medstone International*........ 45,450 74,700 Mentor......................... 2,695,176 57,000 Mine Safety Appliances......... 2,140,350 32,100 Misonix*....................... 234,009 92,300 MTS Systems.................... 1,010,685 22,800 Napco Security Systems*........ 132,240 40,472 New Brunswick Scientific*...... 362,224 5,200 Ocular Sciences*............... 145,615 10,000 Programming & Systems* (b)..... 0 2,900 Raven Industries............... 68,411 41,400 Respironics*................... 1,341,360 105,100 Sola International*............ 1,547,072 16,500 Spacelabs Medical*............. 231,990 13,200 Span-America Medical Systems... 102,960 87,400 STERIS*........................ 1,823,164 28,200 Sypris Solutions*.............. 423,846 30,300 Utah Medical Products*......... 481,770
See accompanying notes to the financial statements. 8 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 17,000 Vital Signs.................... $ 626,960 16,800 Wright Medical Group*.......... 337,512 ------------ 39,871,319 ------------ INSURANCE -- 4.3% 600 Arch Capital Group*............ 15,486 2,500 Bancinsurance*................. 11,875 66,100 Brown & Brown.................. 2,075,540 16,600 Crawford & Co., Class B........ 224,930 31,600 FBL Financial Group, Class A... 592,500 55,700 Financial Industries........... 779,800 38,500 Great American Financial Resources.................... 694,925 7,810 Independence Holding........... 139,409 35,900 Interstate National Dealer Services*.................... 179,500 30,300 Kansas City Life Insurance..... 1,175,640 101,700 LandAmerica Financial Group.... 3,521,871 11,700 Midland........................ 498,420 117,900 MIM*........................... 1,945,350 16,200 National Security Group........ 226,800 14,500 National Western Life Insurance, Class A*.......... 1,656,625 149,900 NDCHealth...................... 5,454,861 1,900 NWH*........................... 24,225 94,900 Ohio Casualty*................. 1,797,406 92,600 PMA Capital, Class A........... 2,124,244 2,500 RLI............................ 129,250 39,600 SCPIE Holdings................. 672,408 1,300 Security Capital, Class A*..... 13,000 27,300 Standard Management*........... 148,239 115,100 Stewart Information Services*.................... 2,302,000 200 United Fire & Casualty......... 6,590 ------------ 26,410,894 ------------ IT HARDWARE -- 5.2% 3,500 Allen Organ, Class B........... 112,875 15,400 Amtech Systems*................ 107,646 97,300 ATMI*.......................... 3,060,085 2,900 Ault*.......................... 11,600 34,000 Benchmark Electronics*......... 952,000 51,000 Cobra Electronics*............. 384,540 37,795 Comtech Telecommunications*.... 399,493 143,700 Digi International*............ 783,165 30,900 Dupont Photomask*.............. 1,606,800 59,300 EMS Technologies*.............. 1,343,145 8,800 Espey Mfg. & Electronics....... 175,912 171,200 ESS Technology*................ 3,550,688 138,400 Hutchinson Technology*......... 2,985,288 168,700 Imation*....................... 4,475,611 105,400 Inter-Tel...................... 1,946,738 60,500 Itron*......................... 1,799,875 5,100 Lifeline Systems*.............. 130,050 26,700 M-WAVE*........................ 186,900 44,400 Mykrolis*...................... 678,876 67,800 Network Equipment Technologies*................ 349,170 13,200 Nortech Systems*............... 138,996 3,500 Park Electrochemical........... 101,500 99,900 Photronics*.................... 3,369,627 18,100 SMTEK International*........... 48,870
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) IT HARDWARE (CONTINUED) 46,700 Sparton*....................... $ 396,950 87,635 Standard Microsystems*......... 2,015,605 9,600 Teledyne Technologies*......... 159,168 1,200 Ultratech Stepper*............. 24,960 33,180 Video Display*................. 278,347 ------------ 31,574,480 ------------ LIQUOR & TOBACCO -- 0.2% 28,882 Robert Mondavi, Class A*....... 1,038,019 7,400 Todhunter International*....... 71,040 ------------ 1,109,059 ------------ MACHINERY -- 5.6% 10,400 AGCO*.......................... 237,328 54,800 Ampco-Pittsburgh............... 638,420 157,700 Ball........................... 7,446,593 933 BHA Group Holdings, Class A.... 15,628 35,700 Butler Manufacturing........... 958,545 61,100 Cascade*....................... 861,510 5,500 Chicago Rivet & Machine........ 157,300 4,500 Drew Industries*............... 57,150 7,000 Federal Screw Works............ 255,010 38,700 Gehl*.......................... 586,305 5,850 Graco.......................... 238,973 113,310 Griffon*....................... 1,897,943 7,600 Hardinge....................... 104,120 1,600 Harsco......................... 62,624 3,200 Interlott Technologies*........ 17,280 6,000 Kennametal..................... 242,580 6,600 L.S. Starrett, Class A......... 144,012 232,700 Lennox International........... 3,076,294 71,200 Lifetime Hoan.................. 484,238 176,000 Lincoln Electric Holdings...... 5,028,320 7,600 Lufkin Industries.............. 205,200 18,700 MagneTek*...................... 218,790 13,000 Mestek*........................ 290,550 75,000 Middleby*...................... 480,000 14,800 Minuteman International........ 151,108 26,600 Nordson........................ 801,990 14,100 P & F Industries*.............. 102,225 100 Paul Mueller Co. .............. 3,026 700 Peerless Mfg.*................. 12,866 2,488 Q.E.P. Company*................ 10,706 9,900 Regal-Beloit................... 252,945 33,773 Rofin-Sinar Technologies*...... 295,514 66,900 Tecumseh Products, Class B..... 3,311,550 191,700 Timken......................... 4,426,353 16,500 Twin Disc...................... 274,725 39,700 Water Pik Technologies*........ 402,955 7,400 Woodward Governor.............. 509,120 ------------ 34,259,796 ------------ MEDIA -- 3.7% 323,300 American Greetings, Class A.... 5,867,895 106,500 Banta.......................... 3,803,115 113,100 Bowne & Co. ................... 1,591,317 75 Courier........................ 2,959 45,700 Equity Marketing*.............. 562,110
See accompanying notes to the financial statements. 9 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 12,400 Franklin Covey*................ $ 31,744 3,300 Grey Global Group.............. 2,247,300 75,500 Media General, Class A......... 4,794,250 18,700 Outlook Group*................. 95,557 51,600 Scholastic*.................... 2,796,204 600 Standard Register.............. 16,872 58,100 Thomas Nelson.................. 705,915 10,900 Tufco Technologies*............ 65,291 ------------ 22,580,529 ------------ METALS -- 1.5% 105,100 Chase Industries*.............. 1,182,375 6,000 Commercial Metals.............. 252,000 11,300 Commonwealth Industries........ 83,620 52,900 IMCO Recycling*................ 470,810 5,500 L.B. Foster, Class A*.......... 31,518 70,910 Mueller Industries*............ 2,481,141 16,200 Oregon Steel Mills*............ 123,120 55,800 Quanex......................... 1,980,900 35,300 Ryerson Tull................... 386,535 105,100 Southern Peru Copper........... 1,361,045 61,800 Steel Technologies............. 527,154 44,000 Universal Stainless & Alloy Products*.................... 509,960 ------------ 9,390,178 ------------ MISCELLANEOUS FINANCIAL -- 0.8% 5,000 Affiliated Managers Group*..... 359,150 148,600 American Capital Strategies.... 4,600,656 1,200 Jefferies Group................ 57,840 12,600 Maxcor Financial Group*........ 76,734 ------------ 5,094,380 ------------ OFFICE MACHINERY -- 1.6% 104,300 Coinstar*...................... 3,513,867 45,700 Hunt........................... 468,425 38,900 Kronos*........................ 1,827,522 25,900 Metrologic Instruments*........ 190,106 66,400 Nam Tai Electronics............ 1,251,640 30,700 Printronix*.................... 368,400 96,900 Storage Technology*............ 2,077,536 10,400 Stratasys*..................... 94,120 ------------ 9,791,616 ------------ OIL -- 0.8% 3,400 Barnwell Industries............ 68,850 43,900 Castle Energy.................. 248,035 74,700 Denbury Resources*............. 633,456 1,500 Dominion Resources Black Warrior Trust................ 31,575 160,900 Energy Partners*............... 1,288,809 14,520 Howell......................... 172,207 2,300 Isramco*....................... 8,280 1,500 Marine Petroleum Trust......... 42,045 10,800 Maynard Oil*................... 210,600 34,400 Patina Oil & Gas............... 1,084,288 53,500 PetroCorp*..................... 526,975
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) OIL (CONTINUED) 7,600 PrimeEnergy*................... $ 60,876 12,500 Williams Coal Seam Gas Royalty Trust........................ 148,000 54,100 Wiser Oil*..................... 286,189 ------------ 4,810,185 ------------ OIL DISTRIBUTION -- 1.3% 105,900 Frontier Oil................... 2,274,732 62,600 Holly.......................... 1,161,230 191,500 ONEOK.......................... 3,992,775 2,500 TransMontaigne*................ 13,000 15,500 World Fuel Services............ 303,800 ------------ 7,745,537 ------------ OIL SERVICES -- 0.9% 6,800 Chiles Offshore*............... 156,400 47,500 Kaneb Services LLC............. 1,061,625 2,000 NATCO Group, Class A*.......... 16,180 66,300 Oceaneering International*..... 1,922,700 8,700 Oil States International*...... 93,960 92,215 Paradigm Geophysical*.......... 361,483 15,900 Petroleum Development*......... 101,744 26,400 Resource America, Class A...... 291,192 19,200 TMBR/Sharp Drilling*........... 292,800 68,400 Veritas DGC*................... 1,156,644 5,900 W-H Energy Services*........... 127,440 ------------ 5,582,168 ------------ OTHER UTILITIES -- 0.1% 550 Sevenson Environmental Services..................... 7,150 106,400 U.S. Liquids*.................. 356,440 500 Waste Holdings*................ 3,150 ------------ 366,740 ------------ PAPER -- 1.1% 31,400 American Woodmark.............. 1,980,618 13,300 Baltek*........................ 105,070 4,200 Carmel Container Systems*...... 22,260 3,800 CSS Industries*................ 123,538 8,400 DSG International*............. 27,644 115,100 Glatfelter..................... 2,064,894 32,715 Greif Brothers, Class A........ 1,167,926 30,700 Nashua*........................ 181,130 15,100 Nortek*........................ 543,600 8,700 Rock-Tenn, Class A............. 186,615 11,400 Schweitzer-Mauduit International................ 283,290 ------------ 6,686,585 ------------ REAL ESTATE ASSETS -- 0.8% 38,900 AMREP*......................... 284,748 21,000 DeWolfe Companies*............. 425,250 38,200 Getty Realty................... 718,160 800 ILX Resorts*................... 5,440 120,000 Insignia Financial Group*...... 1,374,000 16,900 J.W. Mays*..................... 202,800 24,500 Jones Lang LaSalle*............ 542,675 1,400 LNR Property................... 49,098 4,500 Mego Financial*................ 22,500
See accompanying notes to the financial statements. 10 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) REAL ESTATE ASSETS (CONTINUED) 51,800 Newmark Homes.................. $ 882,102 500 Patriot Transportation Holding*..................... 16,000 1,700 United Capital*................ 42,092 ------------ 4,564,865 ------------ REAL ESTATE INVESTMENT TRUSTS -- 6.2% 13,200 American Community Property Trust*....................... 94,380 65,500 Amli Residential Properties Trust........................ 1,651,910 136,500 Brandywine Realty Trust........ 3,262,350 108,600 CBL & Associates Properties.... 3,839,010 56,800 FBR Asset Investment........... 1,544,960 142,000 Glenborough Realty Trust....... 3,053,000 21,700 Hanover Capital Mortgage Holdings..................... 187,705 160,200 Healthcare Realty Trust........ 4,863,672 84,900 Highwoods Properties........... 2,384,841 100,200 Home Properties of New York.... 3,451,890 128,900 Innkeepers USA Trust........... 1,463,015 27,800 Keystone Property Trust........ 391,980 21,600 Koger Equity................... 385,992 114,700 Macerich....................... 3,458,205 3,000 Malan Realty Investors......... 13,560 45,900 Novastar Financial............. 862,920 136,601 Prentiss Properties Trust...... 4,032,462 10,400 Presidential Realty, Class B... 71,760 48,200 Prime Group Realty Trust....... 369,212 8,900 Ramco-Gershenson Properties Trust........................ 158,064 26,600 Roberts Realty Investors....... 190,456 104,400 Senior Housing Properties Trust........................ 1,503,360 1,100 Transcontinental Realty Investors*................... 18,260 53,400 Winston Hotels................. 501,960 ------------ 37,754,924 ------------ RETAIL -- 7.2% 100 1-800-FLOWERS.COM*............. 1,362 35 America's Car-Mart*............ 346 200 AnnTaylor Stores*.............. 8,644 4,200 Arden Group, Class A*.......... 281,400 41,100 Blair.......................... 756,240 120,100 Burlington Coat Factory Warehouse.................... 2,311,925 16,400 Cash America International..... 144,320 31,900 Cato, Class A.................. 710,732 35,300 Charming Shoppes*.............. 279,576 165,400 Chico's FAS*................... 5,573,979 26,450 Christopher & Banks*........... 868,883 210,000 Claire's Stores................ 4,090,800 64,100 Dress Barn*.................... 1,898,001 7,800 Foodarama Supermarkets*........ 349,440 44,450 Footstar*...................... 1,355,281 21,950 Fresh Brands................... 373,150 67,415 Friedman's, Class A............ 724,711 20,000 Gart Sports Co.*............... 604,000 38,500 Hastings Entertainment*........ 303,765 18,400 Jos. A. Bank Clothiers*........ 247,480 7,100 Lands' End*.................... 318,577 30,200 Lillian Vernon................. 193,280 164,200 Longs Drug Stores.............. 4,576,254 60,500 Michaels Stores*............... 2,286,900
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) RETAIL (CONTINUED) 4,800 Mothers Work*.................. $ 78,240 93,100 PETsMart*...................... 1,262,436 33,700 Pier 1 Imports................. 693,883 163,200 Ruddick........................ 2,715,648 6,000 Rush Enterprises*.............. 43,200 4,800 S&K Famous Brands*............. 52,272 52,200 ShopKo Stores*................. 944,820 3,800 Sonic Automotive*.............. 113,924 33,000 Spiegel, Class A............... 45,210 29,500 Sport Chalet*.................. 265,500 23,800 The Children's Place Retail Stores*...................... 785,400 42,700 Tractor Supply*................ 1,964,200 3,100 United Retail Group*........... 21,576 20,900 Village Supermarket, Class A*........................... 731,291 30,500 Weis Markets................... 925,675 135,100 Zale*.......................... 5,485,059 ------------ 44,387,380 ------------ SERVICES -- 5.0% 46,100 aaiPharma*..................... 1,656,834 17,600 Almost Family*................. 198,880 7,100 Ambassadors Group*............. 97,767 50,300 Angelica....................... 779,147 33,000 Childtime Learning Centers*.... 118,800 61,700 Cornell Companies*............. 666,360 24,400 Covance*....................... 494,832 4,700 Crestline Capital*............. 158,108 29,800 Cross Media Marketing*......... 387,400 3,900 Ecology and Environment, Class A............................ 40,560 54,300 eResearch Technology*.......... 868,257 25,200 Exponent*...................... 335,412 22,100 FTI Consulting*................ 684,658 74,800 Healthcare Services Group*..... 856,460 41,100 Horizon Health*................ 641,160 3,800 Imperial Parking*.............. 98,990 168,500 Information Resources*......... 1,548,515 64,100 ITT Educational Services*...... 2,884,500 18,000 Kelly Services, Class A........ 508,140 39,700 Kendle International*.......... 738,023 10,472 Michael Baker*................. 149,226 7,700 Monro Muffler Brake*........... 132,440 89,900 MPS Group*..................... 786,625 101,200 NCO Group*..................... 2,809,312 5,800 Nobel Learning Communities*.... 40,542 26,100 Opinion Research*.............. 156,600 98,000 PAREXEL International*......... 1,571,920 142,000 Pittston Brink's Group......... 3,564,201 50,700 Pre-Paid Legal Services*....... 1,447,992 4,300 RCM Technologies*.............. 20,253 19,054 SOURCECORP*.................... 561,902 199,400 Stewart Enterprises, Class A*........................... 1,190,617 3,600 Sunrise Assisted Living*....... 98,136 121,800 Sylvan Learning Systems*....... 3,440,850 62,800 TeleTech Holdings*............. 843,404 17,100 Whitman Education Group*....... 101,232 ------------ 30,678,055 ------------
See accompanying notes to the financial statements. 11 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) SOAPS & COSMETICS -- 0.5% 39,200 Cascade International* (b)..... $ 0 42,300 CPAC........................... 262,683 13,595 Del Laboratories*.............. 259,936 750 Inter Parfums.................. 5,888 6,400 Katy Industries*............... 40,543 105,300 Pennzoil-Quaker State.......... 2,260,791 100 Stepan......................... 2,685 ------------ 2,832,526 ------------ SOFTWARE -- 6.9% 177,150 Activision*.................... 5,284,384 211,000 American Management Systems*... 3,941,691 2,600 CIBER*......................... 23,790 40,100 Dynamics Research*............. 1,012,926 167,500 eFunds*........................ 2,688,375 54,300 Elite Information Group*....... 613,047 34,222 Group 1 Software*.............. 477,397 77,800 GTECH Holdings*................ 3,792,750 139,398 Hyperion Solutions*............ 3,765,140 212,845 Intergraph*.................... 3,748,200 83,900 JDA Software Group*............ 2,674,732 7,300 Made2Manage Systems*........... 49,275 3,500 Manatron*...................... 13,125 167,100 MSC.Software*.................. 3,843,300 28,200 Ontrack Data International*.... 277,206 156,100 Perot Systems, Class A*........ 3,114,195 8,538 Prophet 21*.................... 103,737 18,400 Quality Systems*............... 280,232 9,400 Roxio*......................... 213,286 15,000 Software Spectrum*............. 271,500 81,600 SS&C Technologies*............. 840,480 50,100 Sybase*........................ 875,247 137,700 Sykes Enterprises*............. 1,334,313 115,900 Systems & Computer Technology*.................. 1,528,721 45,916 Take-Two Interactive Software*.................... 922,912 31,500 TSR*........................... 178,920 ------------ 41,868,881 ------------ TELEPHONE -- 0.1% 15,100 Atlantic Tele-Network.......... 194,488 7,500 Hector Communications*......... 108,750 100 Shenandoah Telecommunications........... 3,900 ------------ 307,138 ------------ TEXTILES -- 1.2% 60,400 Brown Shoe Co. ................ 1,175,384 7,100 Deckers Outdoor*............... 37,204 26,200 Garan.......................... 1,408,250 3,161 Haggar......................... 38,880 26,400 Hampshire Group*............... 495,000 28,700 Kellwood....................... 697,123 12,400 Oxford Industries.............. 327,360 141,200 Phillips-Van Heusen............ 1,992,333 1,472 Quaker Fabric*................. 16,442 68,200 Russell........................ 1,016,180
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) TEXTILES (CONTINUED) 13,200 Stride Rite.................... $ 108,900 2,600 Superior Uniform Group......... 27,950 16,000 Tandy Brands Accessories*...... 151,200 ------------ 7,492,206 ------------ TRANSPORTATION -- 3.2% 53,900 Alexander & Baldwin............ 1,488,179 80,000 AMERCO*........................ 1,392,800 16,100 C2*............................ 138,299 47,800 Celadon Group*................. 322,650 3,400 J.B. Hunt Transport Services*.................... 96,662 3,200 Kirby*......................... 95,680 11,200 Knightsbridge Tankers.......... 203,392 35,600 Landstar System*............... 3,303,680 3,350 Marten Transport*.............. 61,104 75,900 Navigant International*........ 1,100,550 28,400 Old Dominion Freight Line*..... 399,872 1,300 Providence & Worcester Railroad Co. ......................... 10,361 61,100 Roadway........................ 2,260,700 24,200 Ryder System................... 714,868 72,700 SEACOR SMIT*................... 3,562,300 27,200 USFreightways.................. 963,968 124,400 Yellow*........................ 3,282,916 ------------ 19,397,981 ------------ TRAVEL/ENTERTAINMENT -- 3.5% 5,680 Ark Restaurants*............... 40,101 157,100 Aztar*......................... 3,440,490 17,700 Bob Evans Farms................ 499,494 60,400 CBRL Group..................... 1,719,588 40,300 Dave & Buster's*............... 419,120 4,800 Frisch's Restaurants........... 94,704 35,900 Garden Fresh Restaurant*....... 346,435 40,200 Hollywood Casino, Class A*..... 662,898 77,800 Lakes Gaming*.................. 540,710 100,300 Landry's Restaurants........... 2,302,888 18,960 Lone Star Steakhouse & Saloon....................... 396,074 98,350 Magna Entertainment, Class A*........................... 796,635 6,300 Max & Erma's Restaurants*...... 85,050 32,400 Panera Bread, Class A*......... 2,064,204 78,500 Prime Hospitality*............. 1,032,275 106,100 Ryan's Family Steak Houses*.... 2,546,400 49,200 Schlotzsky's*.................. 280,440 19,700 Sonesta International Hotels, Class A...................... 107,168 9,000 Sonic*......................... 231,390 124,800 Sun International Hotels*...... 3,395,808 1,100 WestCoast Hospitality*......... 7,700 ------------ 21,009,572 ------------ WHOLESALE -- 2.8% 2,250 Aceto.......................... 25,965 62,700 Action Performance Companies*................... 3,087,975 3,385 All American Semiconductor*.... 13,202 47,800 Allou Health & Beauty, Class A*........................... 286,322 60,300 Aviall*........................ 544,509 43,900 Central Garden & Pet Co.*...... 461,828 80,600 Enesco Group*.................. 556,140
See accompanying notes to the financial statements. 12 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ------------ COMMON STOCKS (CONTINUED) WHOLESALE (CONTINUED) 7,850 FinishMaster*.................. $ 87,920 109,400 Gentiva Health Services*....... 2,708,744 34,300 GTSI*.......................... 306,985 24,400 Handleman*..................... 250,588 85,600 Hughes Supply.................. 3,334,976 66,600 Huttig Building Products*...... 368,964 9,900 McRae Industries, Class A...... 57,420 18,400 Noland......................... 483,000 40,800 Pomeroy Computer Resources*.... 619,344 9,500 Schnitzer Steel Industries..... 161,500 24,450 SCP Pool*...................... 767,730 99,300 Spartan Stores*................ 746,736 24,400 Swiss Army Brands*............. 168,360 29,700 Traffix*....................... 217,701 59,000 United Natural Foods*.......... 1,469,690 200 United Stationers*............. 7,620 1,600 Watsco, Class B................ 28,800 500 Workflow Management*........... 2,890 ------------ 16,764,909 ------------ TOTAL COMMON STOCKS............ 603,387,235 ------------ RIGHTS -- 0.0% BUILDING -- 0.0% 4,200 Miller Building Systems* (b)... 0 ------------ TOTAL RIGHTS................... 0 ------------ VALUE ------------ REPURCHASE AGREEMENTS -- 1.4% State Street Bank, dated 3/28/02, due 4/1/02 at 0.75% with a maturity value of $8,267,689 (Collateralized by Fannie Mae securities)....... $ 8,267,000 ------------ TOTAL REPURCHASE AGREEMENTS.... 8,267,000 ------------ TOTAL INVESTMENTS (COST $493,609,952) (a) -- 100.5%....................... 611,654,235 LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.5)%............. (3,304,961) ------------ NET ASSETS -- 100.0%........... $608,349,274 ============
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation.............. $130,023,413 Unrealized depreciation.............. (11,979,130) ------------ Net unrealized appreciation.......... $118,044,283 ============
(b) Bankrupt security/delisted; fair-valued by Management. See accompanying notes to the financial statements. 13 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND - -------------------------------------------------------------------------------- AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg International Small Capitalization Fund 9/23/1996 1 3/31/1997 1.013 3/31/1998 1.038 3/31/1999 0.947 3/31/2000 1.25 3/31/2001 1.115 3/31/2002 1.062 CRlexUS Salomon Smith Barney World ex US EMI 9/23/1996 1 1 3/31/1997 0.991 0.976 3/31/1998 0.996 1.055 3/31/1999 0.883 1.024 3/31/2000 1.07 1.272 3/31/2001 0.9 0.999 3/31/2002 0.86 0.999
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 LAST 3 LAST 5 INCEPTION INCEPTION YEAR YEARS YEARS (9/23/96) (10/29/96) ------ ------ ------ --------- ---------- Institutional Shares (ICSIX)....................... -4.80% 3.90% 0.94% 1.09% Investor Shares (RISIX)............................ -5.08% 3.53% 0.60% 0.72% Class A Shares (RSCAX)(1).......................... -5.39% 3.35% 0.41% 0.57% Class A Shares*.................................... -10.56% 1.41% -0.71% -0.46% Class B Shares (RSCBX)(1).......................... -5.83% 2.79% -0.08% 0.12% Class B Shares**................................... -10.43% 1.51% -0.48% -0.06% CRIexUS(2)......................................... -4.21% -0.81% -2.75% -2.65% -2.71%
Most of the major global equity markets finished in the negative territory for the year ended March 31, 2002. Hit by sudden global economic slowdown and terrorist attacks in the U.S., stocks fell in the first half of the year. Market returns improved solidly after September 11(th). The economic conditions seemed to be improving as the fiscal year ended, but the strength and speed of the recovery remain uncertain. Small cap stocks outperformed large cap stocks during the year. For the year as a whole, international small stocks, as measured by the Cazenove Rosenberg Global Smaller Companies Index excluding the U.S. (CRIexUS), lost 4.21%. In Europe, stock markets started the year with strong gains in April. The bounce quickly ended, and the market resumed its decline as negative economic news and disappointing corporate earnings hit the markets. Stocks recovered after the sell-off in September as investors were encouraged by the early signs of economic recovery. Value stocks outperformed growth stocks, and small cap stocks outpaced large cap stocks during the year. For the fiscal year ended March 31, 2002, small stocks in Europe lost 3.99%. In Japan, the market fell for most of the year, and the Nikkei 225 Index(3) hit 18-year lows twice. The Japanese economy was plagued by weak domestic consumption and bad debt problems in its banking system. However, the 14 market managed to rebound strongly after the government released the anti-deflation package and imposed tighter restrictions on short-selling activities in February. For the year, small stocks in Japan were down 13.74%. Elsewhere in Asia, markets were down in the first half of the year as the export-driven Asian economies were hit hard by the sudden slowdown of the global economy. Stocks rebounded strongly after September on the hope that the global economy had finally bottomed out and an economic recovery was imminent. For the year as a whole, small stocks in the region gained 16.2%. In Canada, stocks moved up strongly in the second half of the year. The early signs of an economic recovery in the U.S. and rising commodity prices helped lift the Canadian stocks. Small stocks outpaced large stocks as measured by the MSCI Canada Index(4), by more than 18%. During the year, small stocks in Canada gained 14.38%. For the fiscal year ended March 31, 2002, the AXA Rosenberg International Small Capitalization Fund underperformed its benchmark, the Cazenove Rosenberg Global Smaller Companies Index excluding the U.S. by 0.59%. The underperformance was concentrated in September. The alpha recovered nicely in the 4th quarter. Since inception, the Fund's performance has still exceeded that of the benchmark. The Manager strives to add value consistently through bottom-up stock selection, avoiding heavy bets on countries and industries. The Manager follows a systematic and disciplined approach to international investing. As of March 31, 2002, portfolio holdings were diversified over 21 countries and over 400 companies. The top 10 holdings accounted for about 16% of the total portfolio. Approximately 68% of the holdings were invested in Europe. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market, economic, political, currency exchange rates and other conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. International investing involves increased risk and volatility. Small capital funds typically carry additional risks since smaller companies generally have experienced a greater degree of market volatility than average. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. Portfolio holdings are subject to change and may not represent current or future holdings. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) The Cazenove Rosenberg Global Smaller Companies Index excluding the U.S. (CRIexUS) is the benchmark for the AXA Rosenberg International Small Capitalization Fund. It is an unmanaged index of non-U.S. small capitalization companies with market capitalization up to $9.0 billion. The index includes 21 developed countries: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and U.K. Investors cannot invest directly in any Index. (3) The Nikkei 225 Index is an index of 225 leading stocks traded on the Tokyo Stock Exchange. (4) Large stock returns are based on individual country and regional MSCI Standard Indices.
15 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS -- 92.0% AUSTRALIA -- 3.1% Banking -- 0.0% 2,430 Bendigo Bank.................... $ 9,156 ----------- Building -- 0.0% 2,200 Downer EDI...................... 1,045 900 Leighton Holdings............... 5,476 ----------- 6,521 ----------- Chemicals -- 0.2% 20,400 Orica........................... 84,051 ----------- Financial Investments -- 0.3% 50,900 Australian Foundation Investment Company....................... 86,657 ----------- Food -- 0.4% 130,100 Goodman Fielder................. 105,539 30,000 Ridley Corporation.............. 20,174 ----------- 125,713 ----------- Health -- 0.0% 5,000 Ramsay Health Care.............. 13,129 ----------- Instruments -- 0.2% 111,900 Pacific Dunlop.................. 72,860 ----------- Machinery -- 0.1% 16,900 G.U.D. Holdings................. 21,917 ----------- Media -- 0.5% 16,000 Prime Television................ 20,494 20,290 Seven Network................... 79,808 26,600 Ten Network Holdings............ 33,078 29,600 Village Roadshow................ 28,120 ----------- 161,500 ----------- Metals -- 0.3% 28,060 Newmont Mining.................. 80,569 27,600 Ticor........................... 19,591 ----------- 100,160 ----------- Miscellaneous Financial -- 0.1% 18,293 Challenger International........ 29,191 ----------- Oil -- 0.2% 43,900 Orogen Minerals................. 44,047 1,200 Washington H. Soul Pattinson & Company....................... 33,303 ----------- 77,350 ----------- Real Estate Assets -- 0.1% 30,000 Australand Holdings............. 25,618 ----------- Retail -- 0.2% 25,609 Origin Energy................... 42,506 10,995 Sigma Company................... 29,047 ----------- 71,553 ----------- Services -- 0.1% 14,900 Spotless Group.................. 36,262 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) AUSTRALIA (CONTINUED) Travel/Entertainment -- 0.2% 23,500 Jupiters........................ $ 64,842 ----------- Wholesale -- 0.2% 68,700 Metcash Trading................. 67,831 ----------- 1,054,311 ----------- BELGIUM -- 1.1% Banking -- 1.0% 220 Banque Nationale de Belgique.... 362,936 ----------- Financial Investments -- 0.1% 1,300 Econocom Group.................. 26,640 ----------- 389,576 ----------- CANADA -- 4.8% Banking -- 0.4% 4,200 Laurentian Bank of Canada....... 98,326 5,000 Trilon Financial, Class A....... 54,218 ----------- 152,544 ----------- Electric Utilities -- 0.3% 2,900 ATCO, Class I................... 89,977 ----------- Food -- 0.3% 6,900 Onex............................ 95,668 ----------- Instruments -- 0.4% 4,100 ATS Automation Tooling Systems*...................... 47,826 4,400 Dorel Industries, Class B*...... 87,316 ----------- 135,142 ----------- Insurance -- 0.3% 600 E-L Financial................... 90,636 ----------- IT Hardware -- 0.0% 100 CAE............................. 735 ----------- Liquor & Tobacco -- 0.0% 500 Rothmans........................ 9,715 ----------- Media -- 0.9% 3,400 Alliance Atlantis Communications, Class B*...... 38,382 4,300 G.T.C. Transcontinental Group, Class A....................... 94,334 7,700 Moore Corp.*.................... 100,146 6,500 Torstar, Class B................ 98,596 ----------- 331,458 ----------- Metals -- 0.3% 3,000 IPSCO........................... 51,486 4,300 Teck Cominco, Class B........... 40,294 ----------- 91,780 ----------- Oil -- 0.2% 2,000 Canadian Natural Resources...... 64,686 ----------- Other Utilities -- 0.0% 1 Philip Services*................ 1 -----------
See accompanying notes to the financial statements. 16 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) CANADA (CONTINUED) Paper -- 0.9% 13,700 Canfor.......................... $ 88,019 10,800 Cascades........................ 97,345 3,000 Domtar.......................... 32,719 3,100 Nexfor.......................... 17,196 1,500 Norske Skog Canada.............. 6,816 800 Tembec*......................... 6,293 3,410 West Fraser Timber Co. ......... 92,977 ----------- 341,365 ----------- Real Estate Assets -- 0.1% 1,200 Brookfield Properties........... 22,866 ----------- Retail -- 0.3% 9,100 Hudson's Bay.................... 86,699 ----------- Software -- 0.1% 2,000 BCE Emergis*.................... 15,294 400 Cognos*......................... 10,568 ----------- 25,862 ----------- Telephone -- 0.3% 2,400 Corus Entertainment, Class B*... 55,284 2,900 Manitoba Telecom Services....... 54,732 ----------- 110,016 ----------- 1,649,150 ----------- DENMARK -- 3.0% Banking -- 1.6% 10,600 Sydbank......................... 553,567 ----------- Biotechnology -- 0.6% 10,200 Novozymes, Class B.............. 198,707 ----------- Financial Investments -- 0.2% 5,400 Alm. Brand...................... 60,837 ----------- Food -- 0.6% 6,900 Aarhus Oliefabrik, Class A...... 218,634 ----------- 1,031,745 ----------- FINLAND -- 4.6% Drugs -- 1.0% 108,600 Tamro........................... 348,653 ----------- Electric Utilities -- 1.7% 108,700 Fortum.......................... 577,514 ----------- Insurance -- 0.2% 3,000 Pohjola Group, Class D.......... 67,000 ----------- Machinery -- 0.5% 1,900 Kone, Class B................... 174,044 ----------- Paper -- 1.2% 52,700 M-real, Class B................. 396,309 ----------- 1,563,520 ----------- FRANCE -- 8.9% Banking -- 1.5% 6,301 Natexis Banques Populaires...... 505,723 ----------- Cellular -- 0.1% 807 Radiall......................... 49,282 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Construction Materials -- 0.9% 6,975 Ciments Francais................ $ 316,115 ----------- Financial Investments -- 0.5% 1,750 Eurazeo......................... 92,213 200 Francarep....................... 12,737 509 Societe Fonciere, Financiere Et De Participations............. 52,309 ----------- 157,259 ----------- Food -- 0.8% 676 Groupe Bourbon.................. 37,154 588 Sucriere de Pithiviers Le Vieil......................... 220,578 ----------- 257,732 ----------- Machinery -- 0.0% 2 Crometal........................ 130 ----------- Media -- 1.1% 40,430 Havas Advertising............... 364,351 ----------- Metals -- 0.7% 1,100 CFF Recycling................... 46,063 3,484 Vallourec....................... 193,612 ----------- 239,675 ----------- Miscellaneous Financial -- 0.1% 7,000 Viel et Compagnie*.............. 26,442 ----------- Oil -- 0.0% 35 Elf Gabon....................... 5,435 ----------- Paper -- 1.9% 35 Exacompta Clairefontaine........ 2,870 11,000 La Rochette..................... 119,475 30,405 Worms et Compagnie.............. 543,769 ----------- 666,114 ----------- Real Estate Assets -- 0.2% 5,368 Selectibail..................... 79,612 ----------- Retail -- 0.6% 14,782 Etam*........................... 216,650 ----------- Services -- 0.4% 885 Groupe ONET..................... 131,253 ----------- Transportation -- 0.1% 48,516 Eurotunnel*..................... 46,981 ----------- 3,062,754 ----------- GERMANY -- 11.5% Autos -- 0.7% 6,937 Leoni........................... 180,042 150 Porsche......................... 68,178 ----------- 248,220 ----------- Chemicals -- 0.9% 31,050 MG Technologies................. 313,950 ----------- Construction Materials -- 0.3% 9,909 Villeroy & Boch................. 86,360 -----------
See accompanying notes to the financial statements. 17 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) GERMANY (CONTINUED) Drugs -- 1.8% 970 Biotest......................... $ 10,874 19,180 Merck........................... 582,295 ----------- 593,169 ----------- Electric Utilities -- 1.2% 31,490 Bewag Aktiengesellschaft, Class A............................. 412,078 ----------- Food -- 0.3% 760 Oelmuehle Hamburg............... 116,029 ----------- Instruments -- 1.3% 6,410 Fresenius....................... 437,860 ----------- Liquor & Tobacco -- 0.4% 4,780 Brau und Brunnen*............... 141,782 ----------- Machinery -- 1.4% 13,530 Duerr........................... 292,138 2,170 KSB............................. 189,330 ----------- 481,468 ----------- Media -- 0.5% 10,630 Schlott Sebaldus................ 186,400 ----------- Other Utilities -- 0.0% 800 INTERSEROH...................... 8,166 ----------- Real Estate Assets -- 0.0% 240 IVG Holding..................... 2,429 ----------- Retail -- 0.4% 3,180 AVA Allgemeine Handelsgesellschaft der Verbraucher................... 104,589 5,000 Horten.......................... 41,439 ----------- 146,028 ----------- Wholesale -- 2.3% 12,077 Baywa........................... 54,260 37,280 Continental..................... 551,266 3,850 Gehe............................ 155,846 ----------- 761,372 ----------- 3,935,311 ----------- HONG KONG -- 2.8% Banking -- 0.9% 14,000 International Bank of Asia...... 3,482 51,000 JCG Holdings.................... 30,732 56,000 Liu Chong Hing Bank............. 59,591 24,000 Wing Hang Bank.................. 86,618 24,000 Wing Lung Bank.................. 106,157 ----------- 286,580 ----------- Building -- 0.2% 90,000 Hopewell Holdings............... 69,233 ----------- Cellular -- 0.1% 43,000 SmarTone Telecommunications Holdings*..................... 50,719 ----------- Drugs -- 0.0% 200,000 Vital Biotech Holdings*......... 9,231 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) HONG KONG (CONTINUED) Financial Investments -- 0.1% 122,000 HKR International............... $ 32,847 84,000 Peregrine Investment Holdings* (b)........................... 0 ----------- 32,847 ----------- Food -- 0.0% 45,000 Lam Soon Hong Kong*............. 11,539 ----------- IT Hardware -- 0.0% 36,000 Wong's International (Holdings).................... 15,693 ----------- Liquor & Tobacco -- 0.0% 36,000 San Miguel Brewery Hong Kong.... 11,077 ----------- Media -- 0.1% 195,000 Oriental Press Group............ 25,251 ----------- Real Estate Assets -- 0.6% 4,000 China Motor Bus Co. ............ 34,103 8,000 Hang Lung Group................. 6,821 52,000 Henderson China Holdings........ 24,334 98,000 Kerry Properties................ 91,092 138,000 New World China Land*........... 39,366 12,000 Wing On Co. International....... 4,500 ----------- 200,216 ----------- Retail -- 0.1% 28,600 Dairy Farm International Holdings*..................... 20,592 8,000 YGM Trading..................... 4,769 ----------- 25,361 ----------- Telephone -- 0.3% 136,000 i-Cable Communications*......... 90,669 ----------- Textiles -- 0.1% 50,000 High Fashion International...... 11,987 52,000 Tungtex (Holdings) Company...... 12,334 30,000 USI Holdings*................... 3,269 ----------- 27,590 ----------- Transportation -- 0.1% 4,000 Kowloon Motor Bus Holdings...... 19,231 46,000 Orient Overseas International... 21,526 ----------- 40,757 ----------- Travel/Entertainment -- 0.2% 260,000 Golden Harvest Entertainment*... 17,334 100,000 Hongkong & Shanghai Hotels...... 42,309 ----------- 59,643 ----------- 956,406 ----------- IRELAND -- 0.2% Soaps & Cosmetics -- 0.2% 50,000 IWP International............... 78,516 ----------- ITALY -- 7.6% Banking -- 0.8% 42,000 Banca Popolare di Novara........ 289,462 ----------- Building -- 0.8% 562,000 SMI............................. 273,091 -----------
See accompanying notes to the financial statements. 18 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) ITALY (CONTINUED) Construction Materials -- 1.9% 25,000 Buzzi Unicem.................... $ 207,631 46,617 Italcementi..................... 418,888 ----------- 626,519 ----------- Insurance -- 0.2% 23,000 Compagnia Assicuratrice Unipol........................ 79,057 3,400 Premafin Finanziaria*........... 4,731 ----------- 83,788 ----------- IT Hardware -- 0.3% 3,230 Ericsson........................ 92,285 ----------- Machinery -- 0.4% 45,421 Danieli & Co. .................. 136,707 ----------- Media -- 0.0% 3,000 Cofide.......................... 1,801 ----------- Metals -- 1.3% 180,658 GIM............................. 159,497 98,000 Pirelli & C..................... 277,859 ----------- 437,356 ----------- Paper -- 1.0% 78,000 Ifil (Finanziaria di Partecipazioni)............... 360,650 ----------- Textiles -- 0.3% 28,716 Vincenzo Zucchi................. 110,228 ----------- Travel/Entertainment -- 0.6% 133,000 Cremonini....................... 202,471 ----------- 2,614,358 ----------- JAPAN -- 14.5% Autos -- 0.9% 9,000 Ahresty......................... 18,063 10,000 Aichi Machine Industry Co. ..... 22,258 1,000 Amatsuji Steel Ball Mfg. Co. ... 6,187 1,000 Chuo Malleable Iron Co. ........ 1,992 3,000 Exedy........................... 15,596 2,000 Fuji Univance................... 3,471 15,000 Kanto Auto Works................ 82,394 4,000 Mitsuba......................... 14,094 15,000 Nissan Shatai Co. .............. 29,766 1,000 Sumitomo Wiring Systems......... 5,433 20,000 U-Shin.......................... 78,622 2,000 Unipres......................... 2,912 4,000 Yachiyo Industry Co. ........... 15,694 5,000 Yasunaga........................ 10,714 2,000 Yorozu.......................... 5,402 ----------- 312,598 ----------- Banking -- 0.9% 8,500 Shinki Co. ..................... 50,345 1,000 The Akita Bank.................. 3,237 1,200 The Bank of Iwate............... 31,780 4,000 The Chiba Kogyo Bank*........... 21,187 2,000 The Eighteenth Bank............. 7,530 8,000 The Kagoshima Bank.............. 24,748 27,000 The Keiyo Bank.................. 60,708
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Banking (continued) 15,000 The Tochigi Bank................ $ 71,981 2,500 The Tokyo Tomin Bank*........... 22,032 ----------- 293,548 ----------- Building -- 1.4% 9,000 Fukuda.......................... 22,613 3,000 Hibiya Engineering.............. 15,324 7,000 Hitachi Plant Engineering & Construction Co. ............. 17,852 5,000 Kyudenko........................ 16,373 26,000 Maeda........................... 73,565 21,000 Maeda Road Construction......... 71,302 5,000 Nippon Densetsu Kogyo Co. ...... 16,939 8,000 Nippon Dentsu Co. .............. 17,686 10,000 Nippon Hodo..................... 38,480 7,000 Sanki Engineering Co. .......... 32,693 12,000 Sanyo Engineering & Construction.................. 29,698 3,000 Taikisha........................ 16,954 6,000 Tetra........................... 8,511 11,000 Tohuku Telecommunications Construction Co. ............. 17,761 4,000 Tokyo Energy & Systems.......... 11,257 4,000 Tsukishima Kikai Co. ........... 21,096 6,000 UEKI............................ 8,375 8,000 Yurtec.......................... 21,428 ----------- 457,907 ----------- Chemicals -- 0.5% 3,000 Hokko Chemical Industry Co. .... 9,960 4,000 Komatsu Seiren Co. ............. 7,364 1,000 Kureha Chemical Industry Co. ... 2,912 3,000 Nippon Pigment Co.*............. 2,897 5,000 Nippon Shokubai Co. ............ 19,429 9,000 NOF............................. 17,995 2,000 Osaka Organic Chemical Industry...................... 6,232 3,000 Sakai Chemical Industry Co. .... 9,688 18,000 Toagosei Co. ................... 27,163 2,000 Tokyo Printing Ink Mfg. Co. .... 3,923 16,000 Toyo Tire & Rubber Co. ......... 22,092 26,000 Yokohama Rubber Co. ............ 57,283 ----------- 186,938 ----------- Construction Materials -- 0.6% 9,000 Asahi Organic Chemicals Industry Co. .......................... 20,168 6,000 Japan Steel Tower Co. .......... 10,005 5,000 Komai Tekko..................... 9,582 13,000 Mitsubishi Plastics............. 17,656 1,000 Nihon Yamamura Glass Co. ....... 1,479 3,000 Noritz.......................... 23,315 17,000 Okabe........................... 42,328 1,000 Sankyo Rikagaku Co. ............ 4,361 19,000 Sanwa Shutter................... 47,165 3,000 Takada Kiko..................... 10,141 3,000 Takahashi Curtain Wall.......... 4,980 ----------- 191,180 -----------
See accompanying notes to the financial statements. 19 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Defense -- 0.1% 10,000 Namura Shipbuilding Co. ........ $ 13,657 3,000 Sasakura Engineering Co. ....... 8,828 ----------- 22,485 ----------- Drugs -- 0.8% 16,000 Nikken Chemicals................ 39,839 17,000 Nippon Shinyaku Co. ............ 78,501 3,000 Rohto Pharmaceutical Co. ....... 18,946 5,000 Seikagaku....................... 32,067 2,000 Teikoku Hormone Mfg. Co. ....... 10,035 3,800 Torii Pharmaceutical Co. ....... 51,752 15,000 Tsumura & Co.*.................. 46,176 ----------- 277,316 ----------- Durables -- 0.0% 3,000 Sun Wave*....................... 4,233 3,000 Zojirushi....................... 10,005 ----------- 14,238 ----------- Financial Investments -- 0.6% 11,000 Central Leasing................. 69,717 3,000 Diamond Lease................... 36,986 7,000 Kyosei Rentemu.................. 29,788 16,000 Tokyo Leasing................... 67,605 ----------- 204,096 ----------- Food -- 0.7% 13 Coca-Cola Central Japan Co. .... 61,893 28,000 Itoham Foods.................... 77,747 9,000 Kinki Coca-Cola Bottling Co. ... 57,653 1,000 Mikuni Coca-Cola Bottling Co. .......................... 7,583 6,000 Nichiwa Sangyo.................. 9,733 300 Shikoku Coca-Cola Bottling Co. .......................... 2,424 19,000 Tokatsu Foods................... 37,560 ----------- 254,593 ----------- Health -- 0.1% 3,000 SRL............................. 25,352 ----------- Household -- 0.1% 8,000 Mizuno.......................... 21,730 ----------- Instruments -- 0.1% 4,000 Hitachi Medical................. 33,078 1,000 Honda Tsushin Kogyo Co. ........ 4,489 1,000 Sumitomo Special Metals Co.*.... 5,282 ----------- 42,849 ----------- Insurance -- 0.0% 10,000 The Fuji Fire & Marine Insurance Co. .......................... 15,996 ----------- IT Hardware -- 1.2% 2,000 Asti............................ 5,734 1,000 Excel........................... 7,409 12,000 FDK*............................ 29,969 1,000 Fuji Electric Ind. Co. ......... 3,848 17,000 Hitachi Kokusai Electric........ 70,804 4,000 Iriso Electronics............... 8,481
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) IT Hardware (continued) 13,200 Komatsu Electronic Metals Co.*.......................... $ 36,851 4,000 Kuramoto Seisakusho............. 41,649 6,000 New Japan Radio Co. ............ 29,200 17,000 Nihon Inter Electronics......... 20,395 2,000 Shindengen Electric Manufacturing................. 5,282 9,000 Toko............................ 24,446 9,000 Toshiba Ceramics Co.*........... 21,934 40,000 Toshiba TEC..................... 92,052 ----------- 398,054 ----------- Liquor & Tobacco -- 0.1% 12,000 Mercian......................... 17,746 ----------- Machinery -- 0.9% 8,000 Aida Engineering................ 24,990 12,000 Amada Machinics Co. ............ 23,541 7,000 Asahi Diamond Industrial Co. ... 31,690 200 DMW............................. 4,633 3,000 Fuji Seiko...................... 4,753 24,000 Furukawa Co. ................... 23,179 12,000 Hitachi Construction Machinery Co. .......................... 28,973 15,000 Hitachi Koki Co. ............... 41,310 1,500 Maezawa Industries.............. 7,130 2,000 Nakano Refrigerators Co. ....... 7,545 3,000 Nihon Kaiheiki Ind. Co. ........ 8,964 4,400 Nitto Electric Works............ 26,227 12,000 Okuma*.......................... 21,730 6,000 Organo.......................... 20,236 2,000 Piolax.......................... 10,578 4,000 Shinko Kogyo Co. ............... 4,527 400 Zuiko........................... 2,417 ----------- 292,423 ----------- Media -- 0.3% 1,000 Asahi Broadcasting.............. 44,894 4,000 Nissha Printing Co. ............ 20,402 8,000 RKB Mainichi Broadcasting....... 36,820 2,000 Sanko Sangyo.................... 7,817 ----------- 109,933 ----------- Metals -- 0.3% 12,000 Kurimoto........................ 18,833 8,000 Nittetsu Mining Co. ............ 14,185 2,000 Toyo Kohan Co. ................. 4,799 9,000 Toyokuni Electric Cable Co. .... 26,484 17,000 Yodogawa Steel Works............ 34,119 ----------- 98,420 ----------- Miscellaneous Financial -- 0.2% 17,000 Marusan Securities Co. ......... 53,744 5,000 Sakura Friend Securities Co. ... 7,847 11,000 Tokai Tokyo Securities Co. ..... 16,267 2,000 Tsubasa Securities Co. ......... 4,361 ----------- 82,219 -----------
See accompanying notes to the financial statements. 20 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Office Machinery -- 0.3% 10,000 Canon N.T.C..................... $ 22,409 6,000 Chinon Industries*.............. 8,466 23,000 General Co. .................... 52,929 1,000 Nisca........................... 4,074 4,000 Richo Elemex.................... 16,599 2,000 Tarmon Co. ..................... 7,092 3,000 YE Data......................... 5,659 ----------- 117,228 ----------- Oil -- 0.1% 10,000 Kanto Natural Gas Development Co. .......................... 38,330 ----------- Oil Distribution -- 0.0% 4,000 San-Ai Oil Co. ................. 9,416 ----------- Other Utilities -- 0.0% 7,000 Otaki Gas Co. .................. 15,845 ----------- Paper -- 0.2% 10,000 Chuetsu Pulp & Paper............ 15,619 7,000 Daio Paper...................... 49,489 ----------- 65,108 ----------- Real Estate Assets -- 0.6% 4,000 Aoki Marine Co. ................ 8,360 5,000 Hosoda.......................... 10,941 9,000 Musasino Kogyo Co.*............. 19,014 30,000 Nice............................ 49,345 23,000 Recruit Cosmos Co. ............. 44,426 37,000 Tokyo Tatemono Co. ............. 59,184 ----------- 191,270 ----------- Retail -- 0.8% 4,900 Aoyama Trading Co. ............. 47,619 11,000 Charle.......................... 55,110 1,400 Chiyoda Co. .................... 9,507 8,000 Daiwa........................... 9,960 4,717 Edion*.......................... 20,821 3,500 Himaraya........................ 6,549 3,100 Homac........................... 17,519 5,000 Matsuzakaya Co. ................ 11,657 1,300 Ministop Co. ................... 16,273 2,000 Nagano Tokyu Department Store*........................ 4,331 3,000 Rio Chain Co. .................. 9,688 2,500 Shimachu Co. ................... 35,274 9,000 The Maruetsu.................... 19,965 800 Three F Co. .................... 5,433 4,000 Traveler........................ 12,676 ----------- 282,382 ----------- Services -- 0.2% 2,000 Daishinto....................... 4,089 13,000 Eikoh........................... 46,199 5,000 Horiuchi Color.................. 21,692 1,000 Shingakukai Co. ................ 3,169 500 Shuei Yobiko Co. ............... 4,923 1,200 Wesco........................... 2,408 ----------- 82,480 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Soaps & Cosmetics -- 0.2% 9,000 Avon Products................... $ 16,298 2,000 Ivy Cosmetics................... 8,481 18,000 Sunstar......................... 39,929 ----------- 64,708 ----------- Software -- 0.4% 8,000 Creo Co. ....................... 30,241 5,000 Intec*.......................... 30,369 7,000 Japan Process Development Co. .......................... 26,408 2,000 Sumisho Electronics Co. ........ 19,467 23,000 Tsuzuki Denki Co.*.............. 43,558 ----------- 150,043 ----------- Textiles -- 0.1% 5,000 Fujix........................... 14,713 1,000 Sotoh Co. ...................... 3,773 ----------- 18,486 ----------- Transportation -- 0.4% 3,000 Kawanishsi Warehouse Co. ....... 14,441 1,000 Meiko Trans Co. ................ 2,490 26,000 Seino Transportation Co. ....... 115,548 7,000 Senko Co. ...................... 13,310 ----------- 145,789 ----------- Travel/Entertainment -- 0.5% 10,000 Adores.......................... 13,204 2,400 Daiichi kosho................... 36,760 5,000 Horipro......................... 25,276 1,000 Mefos........................... 7,772 15,000 Taikan Co. ..................... 27,049 32 Taito........................... 29,698 18,000 Tokyo Dome...................... 44,411 ----------- 184,170 ----------- Wholesale -- 0.9% 3,000 Atol............................ 11,318 1,000 Denkodo......................... 3,848 18,000 Denkyosha....................... 48,893 7,000 Gigas Kansai.................... 33,010 2,000 Kato Sangyo Co. ................ 8,285 3,000 Mitani.......................... 9,507 1,000 Morito Co. ..................... 3,622 5,000 Nagahori........................ 8,375 4,000 Nagase & Company................ 15,694 500 Nojima.......................... 2,113 3,600 Ryosan Co. ..................... 38,707 4,000 Ryoyo Electro................... 37,424 1,000 Sangetsu Co. ................... 12,849 16,000 Sekido.......................... 26,318 1,000 Toho Pharmaceutical Co. ........ 2,339 26,000 Uehara Sei Shoji................ 50,417 ----------- 312,719 ----------- 4,997,595 -----------
See accompanying notes to the financial statements. 21 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) MALAYSIA -- 0.0% Durables -- 0.0% 840 Silverstone* (b)................ $ 0 ----------- Travel/Entertainment -- 0.0% 24,000 Rekapacific* (b)................ 0 ----------- NETHERLANDS -- 4.9% Financial Investments -- 0.0% 190 Delta Deelnemingen Fonds........ 4,459 ----------- Household -- 0.0% 2,751 EVC International*.............. 4,800 ----------- Media -- 1.8% 3,400 Roto Smeets de Boer............. 76,527 64,120 Wegener......................... 549,873 ----------- 626,400 ----------- Real Estate Assets -- 1.3% 18,920 Corio........................... 453,910 ----------- Services -- 0.7% 25,187 Stork........................... 243,902 ----------- Software -- 0.6% 57,360 Getronics....................... 190,656 ----------- Textiles -- 0.4% 4,212 Gamma Holding................... 130,079 ----------- Wholesale -- 0.1% 6,209 Amstelland...................... 37,375 ----------- 1,691,581 ----------- NEW ZEALAND -- 0.4% Electric Utilities -- 0.3% 41,590 Contact Energy.................. 71,218 10,600 Natural Gas Corporation Holdings...................... 5,553 5,000 TrustPower...................... 7,373 ----------- 84,144 ----------- Wholesale -- 0.1% 21,018 Nufarm.......................... 45,542 ----------- 129,686 ----------- NORWAY -- 0.3% Banking -- 0.3% 3,300 Gjensidige NOR Sparebank........ 111,349 ----------- SINGAPORE -- 1.9% Banking -- 0.3% 12,000 Industrial & Commercial Bank.... 36,119 26,000 Overseas Union Trust............ 64,299 ----------- 100,418 ----------- Household -- 0.0% 56,000 Hour Glass...................... 14,578 ----------- Instruments -- 0.0% 51,000 Sunright*....................... 12,446 ----------- IT Hardware -- 0.1% 29,000 WBL............................. 33,342 ----------- Miscellaneous Financial -- 0.1% 158,000 Lum Chang Holdings.............. 26,992 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) Real Estate Assets -- 1.1% 72,000 Allgreen Properties............. $ 46,467 10,000 Cycle & Carriage................ 23,103 24,000 Fraser & Neave.................. 101,524 15,000 Keppel.......................... 33,353 24,000 Keppel Land..................... 23,429 30,000 Orchard Parade Holdings*........ 6,833 35,000 Singapore Land.................. 65,296 20,000 United Engineers................ 13,558 100,000 United Industrial............... 39,048 27,000 United Overseas Land............ 27,089 ----------- 379,700 ----------- Real Estate Investment Trusts -- 0.1% 58,000 MCL Land........................ 31,770 ----------- Services -- 0.0% 5,000 Wearnes International........... 1,559 ----------- Telephone -- 0.1% 54,000 Intraco......................... 28,700 ----------- Transportation -- 0.1% 71,000 Comfort Group................... 26,184 ----------- 655,689 ----------- SPAIN -- 5.2% Building -- 2.8% 22,630 Fomento de Construcciones y Contratas..................... 546,469 81,750 Obrascon Huarte Lain............ 445,742 ----------- 992,211 ----------- Insurance -- 0.7% 33,540 Corporacion Mapfre.............. 225,597 ----------- Machinery -- 0.4% 3,770 Construcciones y Auxiliar de Ferrocarriles................. 123,336 ----------- Media -- 0.4% 132,610 Grupo Picking Pack*............. 144,611 ----------- Telephone -- 0.3% 4,003 ACS, Actividades de Construccion y Servicios................... 110,703 ----------- Wholesale -- 0.6% 436,920 Ercros*......................... 190,585 ----------- 1,787,043 ----------- SWEDEN -- 0.6% Airlines -- 0.2% 9,600 SAS*............................ 70,900 ----------- Media -- 0.1% 4,300 Elanders, B Shares.............. 43,589 ----------- Paper -- 0.3% 11,123 Billerud*....................... 90,739 ----------- 205,228 -----------
See accompanying notes to the financial statements. 22 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) SWITZERLAND -- 3.1% Instruments -- 0.4% 95 Daetwyler Holding............... $ 127,096 5 Sulzer.......................... 1,096 ----------- 128,192 ----------- Insurance -- 0.4% 20 Helvetia Patria Holding......... 2,783 250 Schweizerische National- Versicherungs-Gesellschaft.... 120,109 ----------- 122,892 ----------- IT Hardware -- 1.7% 20,760 Ascom Holding................... 290,082 2,830 Unaxis Holding.................. 313,406 ----------- 603,488 ----------- Machinery -- 0.6% 3,880 Zellweger Luwa*................. 206,712 ----------- 1,061,284 ----------- UNITED KINGDOM -- 13.5% Building -- 0.9% 13,000 George Wimpey................... 50,908 24,000 The Berkeley Group.............. 271,016 ----------- 321,924 ----------- Food -- 0.0% 3,477 Robert Wiseman Dairies.......... 5,694 ----------- Instruments -- 0.5% 288,000 Senior.......................... 161,994 ----------- Insurance -- 1.7% 14,000 Jardine Lloyd Thompson Group.... 120,214 133,000 John Mowlem & Co. .............. 461,170 ----------- 581,384 ----------- IT Hardware -- 0.2% 25,000 TT Electronics.................. 59,630 ----------- Machinery -- 2.4% 218,000 Delta........................... 363,205 70,000 Rexam........................... 481,454 100 Wagon........................... 299 ----------- 844,958 ----------- Oil Services -- 0.7% 50,000 Ramco Energy*................... 249,200 ----------- Other Utilities -- 0.8% 15,000 Bristol Water Holdings.......... 259,524 ----------- Retail -- 0.5% 10,000 CD Bramall...................... 44,144 68,913 Somerfield*..................... 112,116 ----------- 156,260 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Services -- 1.2% 67,559 Reed Executive.................. $ 141,420 71,706 Savills......................... 197,224 78,000 Spring Group.................... 66,088 ----------- 404,732 ----------- Soaps & Cosmetics -- 0.6% 20,400 Body Shop International......... 27,670 200,000 McBride......................... 162,336 133 Paterson Zochonis............... 1,537 ----------- 191,543 ----------- Software -- 2.3% 57,100 Azlan Group*.................... 115,014 14,000 Dicom Group..................... 89,114 241,480 Merant*......................... 398,886 120,000 Parity Group.................... 82,022 102,000 RM.............................. 114,746 ----------- 799,782 ----------- Transportation -- 0.8% 34,669 Malcolm Group................... 36,039 236,000 Stagecoach Holdings............. 255,409 ----------- 291,448 ----------- Travel/Entertainment -- 0.9% 288,000 ALPHA Airports Group............ 255,295 2,322 Wolverhampton & Dudley Breweries..................... 22,484 16,530 Yates Group..................... 33,896 ----------- 311,675 ----------- 4,639,748 ----------- TOTAL COMMON STOCKS............. 31,614,850 ----------- PREFERRED STOCKS -- 0.2% CANADA -- 0.2% Construction Materials -- 0.2% 1,400 Lafarge Canada.................. 60,110 ----------- TOTAL PREFERRED STOCKS.......... 60,110 ----------- WARRANTS -- FOREIGN SECURITIES -- 0.0% SINGAPORE -- 0.0% Building -- 0.0% 6,300 IPCO International @ 1.30, 12/17/02...................... 126 ----------- TOTAL WARRANTS -- FOREIGN SECURITIES.................... 126 -----------
See accompanying notes to the financial statements. 23 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
VALUE ----------- REPURCHASE AGREEMENTS -- 4.2% State Street Bank, dated 3/28/02, due 4/1/02 at 0.50% with a maturity value of $1,439,080 (Collateralized by Fannie Mae securities)........ $ 1,439,000 ----------- TOTAL REPURCHASE AGREEMENTS..... 1,439,000 ----------- TOTAL INVESTMENTS (COST $33,940,593) (a) -- 96.4%..... 33,114,086 OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.6%........... 1,248,784 ----------- NET ASSETS -- 100.0%............ $34,362,870 ===========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized depreciation of securities as follows: Unrealized appreciation............... $ 2,759,662 Unrealized depreciation............... (3,586,169) ----------- Net unrealized depreciation........... $ (826,507) ===========
(b) Bankrupt security/delisted; fair-valued by Management. FORWARD CROSS-CURRENCY EXCHANGE CONTRACTS
DELIVERY CONTRACT AMOUNT UNREALIZED DATE (LOCAL CURRENCY) DEPRECIATION -------- ---------------- ------------ Sold Danish Krones in exchange for Swedish Kronas 130,000............ 4/2/02 107,146 $(24) Deliver Swedish Kronas in exchange for Euro 33,306.... 4/9/02 300,000 $(93) Deliver Norwegian Krones in exchange for Euro 129,879... 4/16/02 1,000,000 $(78)
See accompanying notes to the financial statements. 24 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND - -------------------------------------------------------------------------------- AXA ROSENBERG VALUE MARKET NEUTRAL FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] Axa Rosenberg Value Market Neutral Fund U.S. 90-day Treasury bills 12/16/1997 1 1 3/31/1998 0.997 1.015 3/31/1999 0.924 1.064 3/31/2000 0.794 1.116 3/31/2001 0.92 1.181 3/31/2002 1.045 1.217
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 LAST 3 INCEPTION INCEPTION YEAR YEARS (12/16/97) (12/18/97) ------ ------ ---------- ---------- Institutional Shares (BMNIX)................................ 13.53% 4.17% 1.03% Investor Shares (BRMIX)..................................... 13.24% 3.83% 0.68% Class A Shares (RVMAX)(1)................................... 12.98% 3.64% 0.63% Class A Shares*............................................. 6.81% 1.71% -0.68% Class B Shares (RVMBX)(1)................................... 12.34% 3.12% 0.12% Class B Shares**............................................ 7.34% 1.85% -0.34% U.S. 90-day Treasury Bills.................................. 3.05% 4.59% 4.68% 4.68%
Both the Institutional and Investor Shares of the AXA Rosenberg Value Market Neutral Fund outperformed the U.S. 90-day Treasury Bill hurdle by a wide margin over the trailing 12-month period ending March 31, 2002. Though performance has been above expectations in recent months, the Fund's active return since inception is less than the benchmark. In the months leading up to the terrorist attack of September 11(th), the U.S. equity market was already in decline with value leading growth in the mid/small cap universe(2). U.S. equity market returns improved solidly in the three months after September 11(th), but fell back in early 2002. Economic conditions seemed to be improving as the calendar year ended, but the strength and speed of the recovery remains uncertain. The Federal Reserve's aggressive cycle of interest rate cuts in 2001 came to an end in early 2002, thus shifting investor focus towards a rebound in corporate earnings. The technology sector continued to lag the broader market as investors further reconciled the disappointing earnings with the still high prices for the overall sector. For the year ending March 31, 2002, the market managed to produce a return of 25 basis points; value outperformed growth by 13.27%(3). The market environment and investor focus (both pre- and post-September 11(th) helped the performance of the Fund over the year. The Manager's stock selection models tend to favor stocks that are seen as underpriced relative to their fundamental financial characteristics, including their likely future earnings, when compared with other similar 25 stocks. When investors focus on these fundamental features of stocks, the success of the models generally increases. At the core of the Manager's stock selection process is the belief that a portfolio of long positions that produce more future earnings per dollar of initial cost (an "earnings advantage") than the stocks sold short should be rewarded with positive active return. In the past year, the stocks held long by the Fund produced more earnings per dollar of cost than the short positions, and investors rewarded these superior earnings companies with superior returns. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Investment in shares of the AXA Rosenberg Value Market Neutral Fund is more volatile and risky than some other forms of investments. Since the Fund has both a long and a short portfolio, an investment in the AXA Rosenberg Value Market Neutral Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of funds typically have a high portfolio turnover that could increase transaction costs and cause short- term capital gains to be realized. While it may be the intent of the Manager to take long positions in stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Since risk in the AXA Rosenberg Value Market Neutral Fund relates specifically to the Manager's stock selection techniques and not to any systematic or economy-wide factors, the proper benchmark is an asset that also has the least exposure to systematic influences. U.S. 90-day T-bills are such an asset. An investment in 90-day T-bills is different from an investment in the AXA Rosenberg Value Market Neutral Fund because T-bills are backed by the full faith and credit of the U.S. Government. T-bills have a fixed rate of return, and investors do not bear the risk of losing their investment. The income received from T-bills is free from state income tax. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) Over the period April 1, 2001 through August 31, 2001, the return of the S&P 500 Index was -1.74%, and the performance of the Russell 2500 Value Index relative to the Russell 2500 Growth Index was 3.32%. (3) Again, we use the S&P 500 Index as a proxy for the market, and the Russell 2500 style indices as proxies for mid/small cap value and growth.
26 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS -- 95.1% AIRCRAFT -- 0.4% 1,500 Curtiss-Wright.................. $ 99,750 4,700 Ducommun*....................... 92,590 5,100 Standex International........... 124,542 ----------- 316,882 ----------- AIRLINES -- 0.1% 2,700 Airborne........................ 47,223 2,200 AirNet Systems*................. 22,946 900 Alaska Air Group*............... 29,961 ----------- 100,130 ----------- AUTOS -- 1.8% 3,100 Amcast Industrial............... 17,050 9,400 BorgWarner...................... 591,448 5,000 Noble International............. 63,350 2,600 Strattec Security*.............. 121,316 36,200 Visteon......................... 599,110 ----------- 1,392,274 ----------- BANKING -- 3.7% 100 ACE Cash Express*............... 959 6,900 Advanta, Class A................ 88,044 1,400 American Business Financial Services...................... 15,442 700 ASTA Funding*................... 10,549 1,900 Berkshire Bancorp............... 54,150 3,000 Capital Trust, Class A*......... 15,000 500 Central Bancorp................. 13,875 1,100 Chittenden...................... 32,065 13,000 Colonial BancGroup.............. 193,960 7,800 Countrywide Credit Industries... 349,050 500 Downey Financial................ 22,800 1,600 First Bancshares................ 21,728 900 First Citizens BancShares, Class A............................. 92,664 2,400 First Tennessee National........ 84,120 1,400 Franklin Bank NA................ 25,648 16,000 Hibernia, Class A............... 305,600 6,900 HPSC*........................... 48,231 6,300 Irwin Financial................. 117,873 4,600 ITLA Capital*................... 113,850 700 Jacksonville Bancorp............ 16,240 1,400 Kankakee Bancorp................ 55,160 1,300 LSB Financial................... 21,970 3,000 North Central Bancshares........ 71,640 100 Pinnacle Bancshares............. 900 331 Quaker City Bancorp*............ 10,486 1,100 R&G Financial, Class B.......... 21,923 3,800 Student Loan.................... 348,080 10,800 UICI*........................... 204,660 7,035 UMB Financial................... 301,661 3,300 Wainwright Bank & Trust......... 27,225 900 Washington Savings Bank FSB..... 6,210 300 Wells Financial................. 5,910 7,700 Westcorp........................ 168,245 ----------- 2,865,918 ----------- BIOTECHNOLOGY -- 0.2% 16,900 Bio-Technology General*......... 82,979 5,800 Nabi Biopharmaceuticals*........ 35,728 ----------- 118,707 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) BUILDING -- 2.6% 1,000 Centex.......................... $ 51,930 9,435 D.R. Horton..................... 355,700 16,600 Lennar.......................... 875,816 8,910 M.D.C. Holdings................. 384,912 800 Ryland Group.................... 72,160 7,800 Skyline......................... 242,190 ----------- 1,982,708 ----------- CHEMICALS -- 2.8% 2,783 American Vanguard............... 62,784 10,100 Bairnco......................... 56,863 1,800 ChemFirst....................... 48,150 20,400 Lubrizol........................ 709,716 31,900 Sherwin-Williams................ 908,512 28,000 USEC............................ 179,200 10,100 Wellman......................... 166,145 ----------- 2,131,370 ----------- COMPUTER -- 0.0% 6,500 Interactive Systems Worldwide*.................... 33,995 ----------- CONSTRUCTION MATERIALS -- 1.0% 6,000 Ameron International............ 430,500 1,500 Continental Materials*.......... 38,850 7,100 Lafarge North America........... 307,004 500 Rock of Ages*................... 3,300 ----------- 779,654 ----------- DEFENSE -- 0.6% 3,700 Allied Research*................ 86,210 4,100 Cubic........................... 268,017 1,000 Kaman, Class A.................. 16,950 2,400 Pemco Aviation Group*........... 58,200 ----------- 429,377 ----------- DRUGS -- 3.5% 100 Barr Laboratories*.............. 6,582 20,800 Bausch & Lomb................... 927,056 2,500 Cambrex......................... 105,250 1,100 Diagnostic Products............. 47,520 3,300 E-Z-EM, Class B*................ 33,825 5,600 Hi-Tech Pharmacal*.............. 60,844 4,300 Immucor*........................ 60,200 6,600 Meridian Bioscience............. 44,873 23,900 Mylan Laboratories.............. 704,094 17,100 NBTY*........................... 291,726 7,000 Nutraceutical International*.... 41,300 24,400 Perrigo*........................ 291,580 1,000 United-Guardian................. 6,050 ----------- 2,620,900 ----------- DURABLES -- 0.6% 2,500 Royal Appliance Manufacturing*................ 13,375 5,900 Whirlpool....................... 445,745 ----------- 459,120 -----------
See accompanying notes to the financial statements. 27 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) ELECTRIC UTILITIES -- 2.0% 35,500 Northeast Utilities............. $ 705,385 14,000 PNM Resources................... 429,240 20,800 Reliant Resources*.............. 351,728 ----------- 1,486,353 ----------- FINANCIAL INVESTMENTS -- 0.1% 1,900 Air Methods*.................... 13,680 1,000 PICO Holdings*.................. 14,900 4,100 Willis Lease Finance*........... 19,188 ----------- 47,768 ----------- FOOD -- 2.7% 8,600 Corn Products International..... 276,920 760 Farmer Brothers................. 230,280 11,200 Interstate Bakeries............. 271,152 4,100 John B. Sanfilippo & Son*....... 24,600 7,300 Panamerican Beverages, Class A............................. 132,568 27,400 PepsiAmericas................... 395,108 25,800 Smithfield Foods*............... 673,380 ----------- 2,004,008 ----------- HEALTH -- 2.2% 8,700 Coventry Health Care*........... 226,200 6,800 DaVita*......................... 172,040 11,900 Health Net*..................... 326,536 47,300 Humana*......................... 639,969 2,100 LabOne*......................... 36,330 2,625 National Home Health Care*...... 31,684 10,900 PacifiCare Health Systems*...... 190,205 ----------- 1,622,964 ----------- HOUSEHOLD -- 3.5% 3,800 American Biltrite............... 53,200 26,600 Brunswick....................... 726,712 11,900 Direct Focus*................... 452,795 5,000 Falcon Products................. 30,600 9,200 Johnson Outdoors, Class A*...... 90,620 25,600 Kimball International, Class B............................. 417,536 400 Liqui-Box....................... 26,640 36,700 Pactiv*......................... 734,734 4,000 Russ Berrie & Co. .............. 128,800 1,600 Trans-Lux....................... 8,160 ----------- 2,669,797 ----------- INSTRUMENTS -- 5.6% 11,100 American Medical Systems Holdings*..................... 249,861 2,500 Analogic........................ 103,975 7,800 Bio-Rad Laboratories, Class A*............................ 292,890 100 BioLogic Systems*............... 493 800 Checkpoint Systems*............. 12,760 7,350 CONMED*......................... 183,750 400 Cooper Companies................ 18,960 20,100 DENTSPLY International.......... 744,906 19,000 Edwards Lifesciences*........... 531,050 5,000 Esterline Technologies*......... 102,000 3,000 FEI*............................ 106,650 5,400 Integra LifeSciences Holdings*..................... 151,902 600 Invacare........................ 22,560 1,900 Invivo*......................... 22,876
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 2,100 Kewaunee Scientific............. $ 21,840 700 Lakeland Industries*............ 6,790 900 Medstone International*......... 4,050 7,800 Mentor.......................... 281,424 11,000 Mine Safety Appliances.......... 413,050 9,300 MTS Systems..................... 101,835 3,055 New Brunswick Scientific*....... 27,342 9,300 Sola International*............. 136,896 1,800 Span-America Medical Systems.... 14,040 26,500 STERIS*......................... 552,790 1,400 Thermo Electron*................ 29,022 3,700 Utah Medical Products*.......... 58,830 ----------- 4,192,542 ----------- INSURANCE -- 2.5% 4,000 American Financial Group........ 114,880 200 Clark/Bardes*................... 5,760 8,070 Fidelity National Financial..... 212,806 9,000 Great American Financial Resources..................... 162,450 6,300 HCC Insurance Holdings.......... 176,085 2,500 Interstate National Dealer Services*..................... 12,500 4,900 LandAmerica Financial Group..... 169,687 100 Midland......................... 4,260 6,700 MIM*............................ 110,550 1,600 National Western Life Insurance, Class A*...................... 182,800 2,100 Nationwide Financial Services, Class A....................... 89,880 10,700 NDCHealth....................... 389,373 4,700 Phoenix Companies*.............. 90,240 2,700 PMA Capital, Class A............ 61,938 500 Radian Group.................... 24,540 300 Wesco Financial................. 93,780 ----------- 1,901,529 ----------- IT HARDWARE -- 5.1% 6,100 ATMI*........................... 191,845 7,700 Cobra Electronics*.............. 58,058 6,300 Comtech Telecommunications*..... 66,591 8,100 Digi International*............. 44,145 2,200 Dupont Photomask*............... 114,400 5,200 Entegris*....................... 83,980 700 Espey Mfg. & Electronics........ 13,993 12,100 ESS Technology*................. 250,954 32,100 Fairchild Semiconductor, Class A*............................ 918,060 23,200 Harris.......................... 833,112 10,200 Hutchinson Technology*.......... 220,014 13,600 Imation*........................ 360,808 8,400 Inter-Tel....................... 155,148 5,000 Itron*.......................... 148,750 9,100 Network Equipment Technologies*................. 46,865 1,800 Nortech Systems*................ 18,954 100 Park Electrochemical............ 2,900 3,900 Photronics*..................... 131,547 100 SMTEK International*............ 270 5,100 Sparton*........................ 43,350 5,600 Standard Microsystems*.......... 128,800 ----------- 3,832,544 -----------
See accompanying notes to the financial statements. 28 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) LIQUOR & TOBACCO -- 0.2% 700 Adolph Coors, Class B........... $ 47,229 2,800 Robert Mondavi, Class A*........ 100,632 ----------- 147,861 ----------- MACHINERY -- 8.9% 10,200 Ampco-Pittsburgh................ 118,830 13,600 Ball............................ 642,192 2,400 Butler Manufacturing............ 64,440 4,800 CTB International*.............. 72,720 14,300 Cummins......................... 675,389 1,000 Eastern Company................. 16,150 1,800 Energizer Holdings*............. 42,750 6,500 ESCO Technologies*.............. 252,460 850 Federal Screw Works............. 30,966 5,700 Graco........................... 232,845 16,280 Griffon*........................ 272,690 600 Hardinge........................ 8,220 8,800 Harsco.......................... 344,432 1,600 International Aluminum.......... 35,248 7,700 L.S. Starrett, Class A.......... 168,014 20,000 Lennox International............ 264,400 5,700 Lincoln Electric Holdings....... 162,849 1,400 Lufkin Industries............... 37,800 1,400 Minuteman International......... 14,294 1,000 P & F Industries*............... 7,250 6,500 Pentair......................... 292,305 2,125 Q.E.P. Company*................. 9,144 41,200 Rockwell Automation............. 826,471 18,200 Snap-on......................... 619,710 5,000 Tecumseh Products, Class B...... 247,500 15,500 Teleflex........................ 847,384 15,300 Timken.......................... 353,277 1,800 Twin Disc....................... 29,970 2,100 Water Pik Technologies*......... 21,315 800 York International.............. 28,720 ----------- 6,739,735 ----------- MEDIA -- 3.5% 17,700 American Greetings, Class A..... 321,255 10,600 Banta........................... 378,526 2,200 Belo, Class A................... 51,150 14,900 Bowne & Co. .................... 209,643 1,400 Equity Marketing*............... 17,220 875 Grey Global Group............... 595,875 8,100 Media General, Class A*......... 514,350 5,600 Outlook Group*.................. 28,616 10,200 Scholastic*..................... 552,738 ----------- 2,669,373 ----------- METALS -- 1.4% 2,700 Chase Industries*............... 30,375 4,300 Commercial Metals............... 180,600 12,500 Intermet........................ 87,750 12,800 Mueller Industries*............. 447,872 4,800 Quanex.......................... 170,400 4,800 Southern Peru Copper............ 62,160 5,500 Steel Technologies.............. 46,915 ----------- 1,026,072 -----------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) MISCELLANEOUS FINANCIAL -- 2.1% 2,800 Affiliated Managers Group*...... $ 201,124 12,700 American Capital Strategies..... 393,192 9,300 Eaton Vance..................... 371,535 7,000 Friedman, Billings, Ramsey Group, Class A*............... 49,000 3,450 John Nuveen, Class A............ 190,268 5,700 Maxcor Financial Group*......... 34,713 9,300 Raymond James Financial......... 318,339 ----------- 1,558,171 ----------- OFFICE MACHINERY -- 3.9% 8,200 Coinstar*....................... 276,258 20,500 Diebold......................... 835,170 3,300 Hunt............................ 33,825 4,400 Metrologic Instruments*......... 32,296 3,600 Nam Tai Electronics............. 67,860 17,900 NCR*............................ 801,025 1,700 Printronix*..................... 20,400 40,700 Storage Technology*............. 872,608 ----------- 2,939,442 ----------- OIL -- 0.0% 2,400 Williams Coal Seam Gas Royalty Trust......................... 28,416 100 Wiser Oil*...................... 529 ----------- 28,945 ----------- OIL DISTRIBUTION -- 0.9% 1,700 Adams Resources & Energy*....... 13,600 10,000 Ashland......................... 455,100 2,400 Frontier Oil.................... 51,552 1,600 MarkWest Hydrocarbon*........... 12,480 5,200 Quaker Chemical................. 121,420 ----------- 654,152 ----------- OIL SERVICES -- 2.3% 12,400 FMC Technologies*............... 247,132 27,700 GlobalSantaFe................... 905,790 4,900 Kaneb Services.................. 109,515 7,400 NATCO Group, Class A*........... 59,866 9,000 Oceaneering International*...... 261,000 5,200 Paradigm Geophysical*........... 20,384 12,600 Petroleum Development*.......... 80,627 2,500 Resource America, Class A....... 27,575 300 TMBR/Sharp Drilling*............ 4,575 2,000 Veritas DGC*.................... 33,820 ----------- 1,750,284 ----------- OTHER UTILITIES -- 0.0% 7,900 U.S. Liquids*................... 26,465 ----------- PAPER -- 1.4% 2,800 American Woodmark............... 176,616 5,800 Baltek*......................... 45,820 14,400 Boise Cascade................... 521,856 1,000 Carmel Container Systems*....... 5,300 100 CSS Industries*................. 3,251 4,100 DSG International*.............. 13,493 500 Glatfelter...................... 8,970
See accompanying notes to the financial statements. 29 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) PAPER (CONTINUED) 9,400 Lydall*......................... $ 133,292 3,200 Nashua*......................... 18,880 4,300 Rock-Tenn, Class A.............. 92,235 ----------- 1,019,713 ----------- REAL ESTATE ASSETS -- 0.4% 1,100 DeWolfe Companies*.............. 22,275 8,600 Insignia Financial Group*....... 98,470 2,700 J.W. Mays*...................... 32,400 8,100 Newmark Homes................... 137,935 ----------- 291,080 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.7% 600 Amli Residential Properties Trust......................... 15,132 800 Brandywine Realty Trust......... 19,120 10,000 CBL & Associates Properties..... 353,500 4,400 Highwoods Properties............ 123,596 12,000 iStar Financial................. 346,800 13,700 Prentiss Properties Trust....... 404,424 600 Transcontinental Realty Investors*.................... 9,960 ----------- 1,272,532 ----------- RETAIL -- 6.1% 2,100 Blair........................... 38,640 29,700 Borders Group*.................. 710,127 8,200 Burlington Coat Factory Warehouse..................... 157,850 22,800 Caremark Rx*.................... 444,600 2,000 Chico's FAS*.................... 67,400 5,200 Dress Barn*..................... 153,972 1,000 Foodarama Supermarkets*......... 44,800 23,700 Foot Locker*.................... 383,466 4,400 Friedman's, Class A............. 47,300 3,400 Jos. A. Bank Clothiers*......... 45,730 9,400 Longs Drug Stores............... 261,978 10,200 Office Depot*................... 202,470 5,700 REX Stores*..................... 103,740 26,400 Ross Stores..................... 998,712 300 S&K Famous Brands*.............. 3,267 4,400 Sport Chalet*................... 39,600 7,900 Tractor Supply*................. 363,400 6,900 United Retail Group*............ 48,024 2,700 Village Supermarket, Class A*... 94,473 9,300 Zale*........................... 377,580 ----------- 4,587,129 ----------- SERVICES -- 7.3% 3,500 aaiPharma*...................... 125,790 10,600 Angelica........................ 164,194 4,400 BioReliance*.................... 100,936 8,800 Cornell Companies*.............. 95,040 26,600 Covance*........................ 539,448 6,100 CPI............................. 100,345 500 Crestline Capital*.............. 16,820 14,700 First American.................. 312,816 6,500 Healthcare Services Group*...... 74,425 4,300 Horizon Health*................. 67,080 12,700 Information Resources*.......... 116,713
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 4,000 ITT Educational Services*....... $ 180,000 600 Kelly Services, Class A......... 16,938 5,700 Kendle International*........... 105,963 30,100 KPMG Consulting*................ 608,020 4,800 Michael Baker*.................. 68,400 23,900 MPS Group*...................... 209,125 5,100 Opinion Research*............... 30,600 7,600 PAREXEL International*.......... 121,904 20,415 Pittston Brink's Group.......... 512,417 36,900 Quintiles Transnational*........ 654,975 7,000 Regis........................... 196,560 7,600 Spherion*....................... 83,980 5,100 Sunrise Assisted Living*........ 139,026 500 TeleTech Holdings*.............. 6,715 21,000 The New Dun & Bradstreet........ 840,210 500 U.S. Laboratories*.............. 6,710 500 URS*............................ 15,850 ----------- 5,511,000 ----------- SOAPS & COSMETICS -- 0.2% 7,300 CPAC............................ 45,333 12,300 Inter Parfums................... 96,555 800 Stepan.......................... 21,480 ----------- 163,368 ----------- SOFTWARE -- 6.2% 15,150 Activision*..................... 451,925 27,500 Alliance Data Systems*.......... 691,349 4,800 American Management Systems*.... 89,669 4,600 CACI International, Class A*.... 161,506 12,000 CIBER*.......................... 109,800 5,500 Elite Information Group*........ 62,095 1,100 Fair, Isaac & Co. .............. 69,729 6,450 Group 1 Software*............... 89,978 12,600 GTECH Holdings*................. 614,250 1,400 Hyperion Solutions*............. 37,814 11,600 Indus International*............ 60,552 20,300 Intergraph*..................... 357,483 8,400 JDA Software Group*............. 267,792 23,700 Perot Systems, Class A*......... 472,815 3,800 Progress Software*.............. 68,932 1,900 Quality Systems*................ 28,937 4,100 Roxio*.......................... 93,029 2,800 Software Spectrum*.............. 50,680 9,700 SS&C Technologies*.............. 99,910 35,900 Sybase*......................... 627,173 12,100 Sykes Enterprises*.............. 117,249 1,800 Symantec*....................... 74,178 ----------- 4,696,845 ----------- TELEPHONE -- 0.2% 3,300 Atlantic Tele-Network........... 42,504 2,100 Hector Communications*.......... 30,450 1,000 Hotel Reservations Network, Class A*...................... 58,930 ----------- 131,884 -----------
See accompanying notes to the financial statements. 30 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) TEXTILES -- 1.8% 600 Deckers Outdoor*................ $ 3,144 31,400 Liz Claiborne................... 890,504 33,400 Tommy Hilfiger*................. 479,290 ----------- 1,372,938 ----------- TRANSPORTATION -- 2.1% 600 Alexander & Baldwin............. 16,566 4,100 Covenant Transport, Class A*.... 60,106 2,300 Kirby*.......................... 68,770 2,500 Landstar System*................ 232,000 8,700 Marten Transport*............... 158,688 5,700 Old Dominion Freight Line*...... 80,256 5,700 P.A.M. Transportation Services*..................... 144,210 6,800 Roadway......................... 251,600 9,800 USFreightways................... 347,312 7,700 Yellow*......................... 203,203 ----------- 1,562,711 ----------- TRAVEL/ENTERTAINMENT -- 1.9% 12,500 Aztar*.......................... 273,750 200 Bob Evans Farms................. 5,644 14,600 CBRL Group...................... 415,662 1,900 Garden Fresh Restaurant*........ 18,335 7,600 Lakes Gaming*................... 52,820 8,600 Marcus.......................... 138,632 300 Max & Erma's Restaurants*....... 4,050 4,400 Panera Bread, Class A*.......... 280,324 3,100 Schlotzsky's*................... 17,670 3,300 Sonesta International Hotels, Class A....................... 17,952 1,500 Sun International Hotels*....... 40,815 5,400 Wendy's International........... 188,892 ----------- 1,454,546 ----------- WHOLESALE -- 1.6% 5,750 Aceto........................... 66,355 2,000 Action Performance Companies*... 98,500 6,600 Advanced Marketing Services..... 158,400 1,600 AMCON Distributing.............. 7,360
SHARES VALUE - ------- ----------- COMMON STOCKS (CONTINUED) WHOLESALE (CONTINUED) 1,800 Central Garden & Pet*........... $ 18,936 10,200 Daisytek International*......... 162,282 100 Enesco Group*................... 690 4,900 Gentiva Health Services*........ 121,324 6,700 Hughes Supply................... 261,032 9,500 Huttig Building Products*....... 52,630 700 Noland.......................... 18,375 900 Pomeroy Computer Resources*..... 13,662 6,400 Swiss Army Brands*.............. 44,160 3,600 TESSCO Technologies*............ 54,720 5,400 United Natural Foods*........... 134,514 ----------- 1,212,940 ----------- TOTAL COMMON STOCKS............. 71,805,726 ----------- REPURCHASE AGREEMENTS -- 6.5% Bear Stearns, dated 3/28/02, due 4/1/02 at 1.85% with a maturity value of $4,889,184 (Collateralized by U.S. Treasury Bond)................ 4,888,180 ----------- TOTAL REPURCHASE AGREEMENTS..... 4,888,180 ----------- TOTAL INVESTMENTS (COST $61,284,084) (a) -- 101.6%.... 76,693,906 LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.6)%.............. (1,219,069) ----------- NET ASSETS -- 100.0%............ $75,474,837 ===========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation............... $16,173,782 Unrealized depreciation............... (763,960) ----------- Net unrealized appreciation........... $15,409,822 ===========
See accompanying notes to the financial statements. 31 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS -- 93.3% AIRLINES -- 1.2% 12,800 AirTran Holdings*................ $ 77,440 19,200 CNF.............................. 633,408 9,000 SkyWest.......................... 224,370 ----------- 935,218 ----------- AUTOS -- 1.9% 29,800 Dana............................. 639,806 22,800 Gentex*.......................... 675,564 6,800 IMPCO Technologies*.............. 88,128 ----------- 1,403,498 ----------- BANKING -- 2.3% 27,600 Bay View Capital*................ 188,784 1,700 Integra Bank..................... 33,150 11,000 Investors Financial Services..... 836,550 11,500 Net.B@nk*........................ 194,350 16,000 Silicon Valley Bancshares*....... 484,000 ----------- 1,736,834 ----------- BIOTECHNOLOGY -- 1.6% 9,200 Aphton*.......................... 108,652 5,500 EntreMed*........................ 41,800 1,500 Genzyme Molecular Oncology*...... 8,700 8,400 Human Genome Sciences*........... 183,036 2,800 Myriad Genetics*................. 93,828 9,400 OSI Pharmaceuticals*............. 368,010 400 Regeneron Pharmaceutical*........ 9,996 14,100 SuperGen*........................ 79,383 10,000 Techne*.......................... 275,700 2,800 Vion Pharmaceuticals*............ 11,480 ----------- 1,180,585 ----------- BUILDING -- 0.5% 13,200 Champion Enterprises*............ 105,600 4,800 Insituform Technologies, Class A*............................. 121,296 7,900 Quanta Services*................. 136,591 ----------- 363,487 ----------- CELLULAR -- 0.1% 17,400 Centennial Communications*....... 62,640 3,100 Leap Wireless International*..... 26,102 ----------- 88,742 ----------- CHEMICALS -- 2.4% 100 Alcide*.......................... 2,450 3,000 BioSphere Medical*............... 21,927 7,700 Cabot Microelectronics*.......... 520,905 45,600 Lyondell Chemical................ 757,416 9,600 MacDermid........................ 207,936 6,700 The Scotts Company, Class A*..... 306,726 ----------- 1,817,360 ----------- CONSTRUCTION MATERIALS -- 0.3% 4,900 CoorsTek*........................ 188,258 200 Nanophase Technologies*.......... 1,662 ----------- 189,920 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) DEFENSE -- 0.1% 2,100 Dril-Quip*....................... $ 53,865 ----------- DRUGS -- 4.6% 17,600 Alkermes*........................ 458,656 16,900 Amylin Pharmaceuticals*.......... 169,169 18,000 AtheroGenics*.................... 130,320 1,600 Cellegy Pharmaceuticals*......... 11,056 5,200 Cerus*........................... 278,564 10,100 Columbia Laboratories*........... 49,995 7,200 CV Therapeutics*................. 260,640 900 DepoMed*......................... 4,500 9,600 Durect*.......................... 74,784 8,300 Emisphere Technologies*.......... 141,183 9,035 Enzo Biochem*.................... 183,049 1,900 Esperion Therapeutics*........... 11,571 5,400 Impax Laboratories*.............. 37,476 18,000 Isis Pharmaceuticals*............ 289,440 3,500 Kos Pharmaceuticals*............. 97,440 11,000 MGI Pharma*...................... 151,360 2,000 Millennium Pharmaceuticals*...... 44,620 4,800 Neose Technologies*.............. 153,840 200 Orphan Medical*.................. 2,600 16,600 Pain Therapeutics*............... 158,696 8,800 POZEN*........................... 50,864 20,000 Sepracor*........................ 388,000 17,300 Tularik*......................... 284,412 558 Vertex Pharmaceuticals*.......... 15,546 ----------- 3,447,781 ----------- DURABLES -- 0.1% 7,000 National R.V. Holdings*.......... 85,540 ----------- ELECTRIC UTILITIES -- 2.9% 34,900 DPL.............................. 891,695 19,600 Great Plains Energy.............. 489,020 19,700 PPL.............................. 780,317 ----------- 2,161,032 ----------- FINANCIAL INVESTMENTS -- 1.2% 4,600 IGEN International*.............. 174,248 18,300 InterDigital Communications*..... 175,497 14,200 Macrovision*..................... 378,430 10,900 Rambus*.......................... 84,911 1,300 SurModics........................ 56,680 ----------- 869,766 ----------- FOOD -- 2.5% 1,700 Aurora Foods*.................... 7,123 18,500 Cadiz*........................... 166,500 17,400 Charles River Laboratories International*................. 539,400 13,200 Delta & Pine Land................ 250,404 3,800 Gum Tech International*.......... 32,832 5,100 Tejon Ranch*..................... 159,630 15,347 Tootsie Roll Industries.......... 705,809 ----------- 1,861,698 -----------
See accompanying notes to the financial statements. 32 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) HEALTH -- 1.8% 1,800 Alliance Imaging*................ $ 22,140 6,900 CryoLife*........................ 144,210 7,000 IMPATH*.......................... 287,280 12,100 LifePoint Hospitals*............. 447,216 4,900 Lincare Holdings*................ 132,888 5,300 Manor Care*...................... 123,490 500 Res-Care*........................ 4,065 9,800 Specialty Laboratories*.......... 234,122 ----------- 1,395,411 ----------- HOUSEHOLD -- 3.0% 16,900 Boyds Collection*................ 110,695 4,700 Daktronics*...................... 37,553 32,500 Herman Miller.................... 772,850 4,600 Quixote.......................... 85,797 400 Research Frontiers*.............. 7,072 800 Rogers*.......................... 26,568 32,600 Thomas & Betts................... 689,816 21,600 Tupperware....................... 491,400 400 WMS Industries*.................. 7,600 ----------- 2,229,351 ----------- INSTRUMENTS -- 6.2% 1,600 Aksys*........................... 14,048 17,300 Applera Corporation -- Applied Biosystems Group............... 386,655 13,800 Aradigm*......................... 64,860 2,300 ArthroCare*...................... 41,423 9,700 Aspect Medical Systems*.......... 86,330 7,800 BEI Medical Systems*............. 46,410 14,800 Bruker Daltonics*................ 141,784 8,600 Caliper Technologies*............ 111,542 5,800 ChromaVision Medical Systems*.... 28,420 16,100 Ciphergen Biosystems*............ 96,922 13,900 Cognex*.......................... 403,934 6,600 Conceptus*....................... 142,230 8,200 Cyberonics*...................... 131,118 5,100 Diametrics Medical*.............. 21,369 6,000 Dionex*.......................... 145,980 2,400 Endocardial Solutions*........... 19,464 1,700 Endocare*........................ 33,507 14,400 Harvard Bioscience*.............. 126,576 10,900 i-STAT*.......................... 79,461 13,800 Illumina*........................ 130,548 18,200 Ixia*............................ 154,700 4,100 Keithley Instruments............. 90,077 15,900 Millipore........................ 703,416 300 PharmaNetics*.................... 2,175 800 ResMed*.......................... 32,104 7,000 Tollgrade Communications*........ 171,570 11,400 Transgenomic*.................... 103,056 15,700 TriPath Imaging*................. 89,961 4,000 Urologix*........................ 72,680 15,800 UTStarcom*....................... 414,434 23,700 Waters*.......................... 662,889 ----------- 4,749,643 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) INSURANCE -- 2.9% 30,300 21st Century Insurance Group..... $ 548,127 5,300 Annuity And Life Re (Holdings)... 102,555 42,800 Conseco*......................... 154,936 2,900 Markel*.......................... 590,179 2,300 White Mountains Insurance Group.......................... 794,420 ----------- 2,190,217 ----------- IT HARDWARE -- 5.5% 4,100 Advanced Energy Industries*...... 147,436 6,300 Amphenol, Class A*............... 294,840 15,500 AVX.............................. 324,570 8,700 DSP Group*....................... 178,089 4,000 DuraSwitch Industries*........... 29,400 300 Energy Conversion Devices*....... 6,225 9,100 Helix Technology................. 230,412 5,300 Jabil Circuit*................... 124,709 10,600 Kopin*........................... 96,566 11,696 Micrel*.......................... 294,973 13,300 Microtune*....................... 191,121 2,000 Plantronics*..................... 41,840 7,200 Plexus*.......................... 169,920 7,300 Polycom*......................... 179,580 3,400 Powerwave Technologies*.......... 43,758 18,900 RF Micro Devices*................ 338,310 4,300 Rudolph Technologies*............ 185,588 3,400 SafeNet*......................... 54,672 6,000 Technitrol....................... 143,040 4,000 Tekelec*......................... 45,840 24,000 Teradyne*........................ 946,320 4,500 Therma-Wave*..................... 64,980 3,800 Trikon Technologies*............. 55,784 ----------- 4,187,973 ----------- MACHINERY -- 3.8% 7,800 A.S.V.*.......................... 91,650 45,500 American Power Conversion*....... 672,490 25,500 Capstone Turbine*................ 83,130 11,600 Electro Scientific Industries*... 425,140 6,200 Excel Technology*................ 136,152 17,200 FuelCell Energy*................. 271,072 16,000 Global Power Equipment Group*.... 199,520 8,000 Ionics*.......................... 256,480 5,900 Littlefuse*...................... 146,143 12,000 Mettler-Toledo International*.... 543,120 1,300 Quipp*........................... 17,550 12,600 Valence Technology*.............. 38,430 ----------- 2,880,877 ----------- MEDIA -- 3.5% 10,200 Acme Communications*............. 105,468 5,400 Beasley Broadcast Group*......... 80,514 14,500 Entravision Communications, Class A*............................. 214,600 21,200 Journal Register*................ 449,440 19,600 Lamar Advertising*............... 796,152
See accompanying notes to the financial statements. 33 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) MEDIA (CONTINUED) 6,600 Pixar*........................... $ 242,880 2,000 Private Media Group*............. 11,280 4,900 R. H. Donnelley*................. 149,107 23,200 Spanish Broadcasting System, Class A*....................... 314,360 12,300 Wallace Computer Services........ 248,460 ----------- 2,612,261 ----------- METALS -- 3.7% 22,000 Andrew*.......................... 368,060 20,600 CommScope*....................... 358,440 6,300 Lone Star Technologies*.......... 143,703 1,100 MAXXAM*.......................... 14,575 15,200 Phelps Dodge..................... 639,920 12,600 Precision Castparts.............. 446,166 47,300 United States Steel.............. 858,495 ----------- 2,829,359 ----------- MISCELLANEOUS FINANCIAL -- 2.9% 17,900 BlackRock*....................... 798,340 17,400 LaBranche & Co.*................. 540,270 18,300 Neuberger Berman................. 857,355 ----------- 2,195,965 ----------- OFFICE MACHINERY -- 2.9% 19,000 Advanced Digital Information*.... 247,190 7,200 Avocent*......................... 192,888 2,000 Brocade Communications Systems*....................... 54,000 10,300 Echelon*......................... 185,400 14,500 McDATA, Class B*................. 175,450 47,900 Network Appliance*............... 976,202 13,100 Presstek*........................ 75,980 7,900 RadiSys*......................... 142,279 8,600 SBS Technologies*................ 109,908 ----------- 2,159,297 ----------- OIL -- 2.7% 8,000 EOG Resources.................... 324,480 5,100 McMoRan Exploration*............. 16,830 5,200 Newfield Exploration*............ 192,348 4,500 Penn Virginia.................... 180,675 5,700 PetroQuest Energy*............... 32,661 6,100 Prima Energy*.................... 151,890 5,800 Spinnaker Exploration*........... 241,570 11,200 St. Mary Land & Exploration...... 243,152 8,500 Stone Energy*.................... 329,375 13,100 Tom Brown*....................... 357,630 ----------- 2,070,611 ----------- OIL DISTRIBUTION -- 0.3% 10,300 NorthWestern..................... 226,600 ----------- OIL SERVICES -- 4.3% 4,100 Cal Dive International*.......... 102,090 11,600 Cooper Cameron*.................. 592,876 41,300 ENSCO International.............. 1,244,782 14,800 Patterson-UTI Energy*............ 440,152 33,700 Rowan Cos.*...................... 776,448 7,500 RPC.............................. 111,750 ----------- 3,268,098 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) OTHER UTILITIES -- 0.5% 11,900 Waste Connections*............... $ 398,769 ----------- PAPER -- 1.2% 7,400 Deltic Timber.................... 223,850 18,500 Packaging Corp. of America*...... 366,115 10,100 Pope & Talbot.................... 148,066 3,800 Potlatch......................... 128,022 2,800 Trex*............................ 66,248 ----------- 932,301 ----------- REAL ESTATE ASSETS -- 0.8% 20,000 Sotheby's Holdings, Class A*..... 321,000 800 United Park City Mines*.......... 18,504 8,000 Vector Group..................... 228,800 ----------- 568,304 ----------- REAL ESTATE INVESTMENT TRUSTS -- 0.7% 4,800 Apartment Investment & Management, Class A............ 232,176 13,600 Crescent Real Estate Equities.... 263,840 1,600 Tanger Factory Outlet Centers.... 42,848 ----------- 538,864 ----------- RETAIL -- 5.5% 26,300 Abercrombie & Fitch, Class A*.... 810,040 11,800 American Eagle Outfitters*....... 292,286 13,100 BJ's Wholesale Club*............. 585,570 500 Charlotte Russe Holding*......... 12,970 9,800 Chronimed*....................... 67,914 7,000 Cost Plus*....................... 191,537 5,100 Duane Reade*..................... 173,298 8,100 Factory 2-U Stores*.............. 104,490 2,200 Glacier Water Services*.......... 26,400 9,700 Guitar Center*................... 169,944 11,800 Pacific Sunwear of California*... 290,280 12,900 RadioShack....................... 387,516 51,100 Saks*............................ 671,965 1,300 Stein Mart*...................... 13,013 8,300 Talbots.......................... 293,820 8,200 Wilsons The Leather Experts*..... 98,072 ----------- 4,189,115 ----------- SERVICES -- 5.5% 10,890 Acacia Research*................. 124,255 8,700 Albany Molecular Research*....... 208,539 11,400 Applied Molecular Evolution*..... 98,040 5,900 Central Parking.................. 135,641 5,000 CheckFree*....................... 76,650 13,400 Corporate Executive Board*....... 502,647 21,900 CuraGen*......................... 351,714 8,400 Deltagen*........................ 56,616 20,600 DeVry*........................... 620,678 21,000 Edison Schools*.................. 291,900 200 Education Management*............ 8,434 10,600 Exact Sciences*.................. 103,138 13,900 Exelixis*........................ 191,681 13,200 Getty Images*.................... 395,472
See accompanying notes to the financial statements. 34 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 6,100 Iron Mountain*................... $ 193,492 2,000 Learning Tree International*..... 48,400 6,300 Microvision*..................... 71,946 9,300 On Assignment*................... 166,470 500 Princeton Review*................ 4,350 4,200 Resources Connection*............ 121,506 3,300 Rollins.......................... 69,630 1,600 SatCon Technology*............... 5,200 600 SpectRx*......................... 2,676 4,600 SRI/Surgical Express*............ 70,196 4,900 Steiner Leisure*................. 105,644 10,000 Tetra Tech*...................... 142,900 5,300 Universal Access Global*......... 8,003 ----------- 4,175,818 ----------- SOAPS & COSMETICS -- 0.1% 6,600 Elizabeth Arden*................. 76,890 ----------- SOFTWARE -- 6.6% 4,800 Actuate*......................... 34,656 11,400 Advent Software*................. 674,423 12,400 Citrix Systems*.................. 214,272 17,000 CSG Systems International*....... 483,990 1,200 Digimarc*........................ 23,484 8,700 Digital Insight*................. 239,685 16,200 Identix*......................... 143,694 23,672 Jack Henry & Associates.......... 525,045 38,100 Legato Systems*.................. 343,281 4,100 Mercury Computer Systems*........ 131,036 10,200 Mercury Interactive*............. 384,030 11,400 National Instruments*............ 476,748 11,450 Netegrity*....................... 169,346 10,400 Numerical Technologies*.......... 140,504 9,200 NYFIX*........................... 137,632 4,400 OTG Software*.................... 37,972 50,500 Parametric Technology*........... 305,020 6,000 Rational Software*............... 94,980 5,550 Sanchez Computer Associates*..... 37,463 21,400 Sonus Networks*.................. 56,068 10,700 SpeechWorks International*....... 83,888 400 Support.Com*..................... 1,208 900 Synplicity*...................... 7,020 11,300 TriZetto Group*.................. 137,295 9,300 WebEx Communications*............ 152,985 ----------- 5,035,725 ----------- TELEPHONE -- 2.7% 9,100 Allegiance Telecom*.............. 27,300 87,800 Citizens Communications*......... 943,850 13,700 Crown Media Holdings, Class A*... 169,880 5,600 General Communication, Class A*............................. 48,720 9,600 IDT*............................. 193,824 5,500 LodgeNet Entertainment*.......... 94,050 39,500 Mediacom Communications*......... 553,395 ----------- 2,031,019 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) TEXTILES -- 0.2% 13,500 Unifi*........................... $ 126,900 ----------- TRANSPORTATION -- 1.8% 14,600 C.H. Robinson Worldwide.......... 490,560 9,800 Expeditors International of Washington..................... 597,800 900 Florida East Coast Industries, Class A........................ 25,479 6,600 Forward Air*..................... 208,890 ----------- 1,322,729 ----------- TRAVEL/ENTERTAINMENT -- 1.1% 8,700 Bally Total Fitness Holding*..... 190,965 8,900 California Pizza Kitchen*........ 222,589 6,100 Championship Auto Racing Teams*......................... 86,071 4,800 Hilton Hotels.................... 68,640 14,600 Station Casinos*................. 243,090 ----------- 811,355 ----------- WHOLESALE -- 1.4% 5,200 AAR.............................. 56,004 12,600 Fluor............................ 513,954 300 Nu Horizons Electronics*......... 2,955 5,300 NuCo2*........................... 67,628 3,400 Performance Food Group*.......... 111,044 8,500 Priority Healthcare, Class B*.... 221,085 1,500 Timberland, Class A*............. 63,375 ----------- 1,036,045 ----------- TOTAL COMMON STOCKS.............. 70,434,823 ----------- WARRANTS -- 0.0% OIL -- 0.0% 1,600 Magnum Hunter Resources @ 15, 3/21/05........................ 12,480 ----------- TOTAL WARRANTS................... 12,480 ----------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $71,126,785) -- 93.3%.......... $70,447,303 ===========
- --------------- * Non-income producing security See accompanying notes to the financial statements. 35 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND - -------------------------------------------------------------------------------- AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg Select Sectors Market Neutral Fund U.S. 90-day Treasury bills 10/19/1998 1 1 3/31/1999 1.051 1.02 3/31/2000 1.155 1.071 3/31/2001 1.099 1.132 3/31/2002 1.2 1.167
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 LAST 3 INCEPTION INCEPTION YEAR YEARS (10/19/98) (11/11/98) ------ ------ ---------- ---------- Institutional Shares (SSMNX)................................ 9.20% 4.52% 5.44% Investor Shares (RMNIX)..................................... 8.96% 4.21% 5.14% Class A Shares (RSSAX)(1)................................... 8.77% 4.04% 4.94% Class A Shares*............................................. 2.80% 2.11% 3.22% Class B Shares (RSSBX)(1)................................... 8.20% 3.49% 4.40% Class B Shares**............................................ 3.20% 2.23% 3.61% U.S. 90-day Treasury Bills.................................. 3.05% 4.59% 4.58% 4.57%
For the year ended March 31, 2002, the Institutional Shares of the Fund outperformed its benchmark, U.S. 90-day Treasury Bills, by 6.15%. Since inception, the Fund is ahead of the benchmark by 86 basis points on an annualized basis. In the months leading up to the terrorist attack of September 11th, the U.S. equity market was already in decline with value leading growth by a significant margin in the large cap universe(2). U.S. equity market returns improved solidly in the three months after September 11(th), but fell back in early 2002. Economic conditions seemed to be improving as the calendar year ended, but the strength and speed of the recovery remains uncertain. The Federal Reserve's aggressive cycle of interest rate cuts in 2001 came to an end in early 2002, thus shifting investor focus towards a rebound in corporate earnings. The technology sector continued to lag the broader market as investors further reconciled the disappointing earnings with the still high prices for the overall sector. For the year ending March 31, 2002, the market managed to produce a return of 25 basis points; growth finished ahead of value(3). The Fund takes long and short positions primarily in the 500 largest capitalization stocks principally traded in the U.S. Like the AXA Rosenberg Value Market Neutral Fund, the AXA Rosenberg Select Sectors Market Neutral Fund's strategy is biased toward stocks that the Manager believes will deliver superior cumulative earnings per dollar of cost. But unlike the AXA Rosenberg Value Market Neutral Fund, which has only minor sector over and underweights, the AXA Rosenberg Select Sectors Market Neutral Fund will typically have larger exposures to different business sectors and 36 industries based on bottom-up company analysis. Over the trailing year, net industry exposure added more than 5% to active return. The largest single contributor in this category was a negative exposure to the telephone industry. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Investment in shares of the AXA Rosenberg Select Sectors Market Neutral Fund is more volatile and risky than some other forms of investments. Since the Fund has both a long and a short portfolio, an investment in the AXA Rosenberg Select Sectors Market Neutral Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of funds typically have a high portfolio turnover that could increase transaction costs and cause short-term capital gains to be realized. While it may be the intent of the Manager to take long positions in stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Since risk in the AXA Rosenberg Select Sectors Market Neutral Fund relates specifically to the Manager's stock selection techniques and not to any systematic or economy-wide factors, the proper benchmark is an asset that also has the least exposure to systematic influences. U.S. 90-day T-bills are such an asset. An investment in 90-day T-bills is different from an investment in the AXA Rosenberg Select Sectors Market Neutral Fund because T-bills are backed by the full faith and credit of the U.S. Government. T-bills have a fixed rate of return, and investors do not bear the risk of losing their investment. The income received from T-bills is free from state income tax. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) Over the period April 1, 2001 through August 31, 2001, the return of the S&P 500 Index was -1.74%, and the performance of the S&P 500/BARRA Value Index relative to the S&P 500/BARRA Growth Index was 7.59%. (3) Again, we use the S&P 500 Index to represent the market, and the S&P/BARRA style indices to represent value and growth.
37 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS -- 88.4% AUTOS -- 2.5% 2,400 General Motors................... $ 145,080 2,300 TRW.............................. 118,381 ----------- 263,461 ----------- BANKING -- 13.6% 5,100 Bank of America.................. 346,902 700 Banknorth Group.................. 18,445 3,200 Comerica......................... 200,224 2,400 Countrywide Credit Industries.... 107,400 3,400 Fannie Mae....................... 271,592 1,600 First Tennessee National......... 56,080 2,600 North Fork Bancorporation........ 92,456 7,100 Wells Fargo & Company............ 350,740 ----------- 1,443,839 ----------- BIOTECHNOLOGY -- 0.3% 500 IDEC Pharmaceuticals*............ 32,150 ----------- BUILDING -- 0.6% 1,300 Centex........................... 67,509 ----------- CELLULAR -- 0.7% 800 Telephone and Data Systems....... 70,600 ----------- CHEMICALS -- 0.8% 2,900 Sherwin-Williams................. 82,592 ----------- DEFENSE -- 1.2% 2,400 Textron.......................... 122,640 ----------- DRUGS -- 2.8% 500 Forest Laboratories*............. 40,850 2,700 Mylan Laboratories............... 79,542 4,300 Pfizer........................... 170,882 ----------- 291,274 ----------- DURABLES -- 2.9% 4,700 Harley-Davidson.................. 259,111 600 Whirlpool........................ 45,330 ----------- 304,441 ----------- ELECTRIC UTILITIES -- 2.6% 4,500 Entergy.......................... 195,345 300 Pinnacle West Capital............ 13,605 3,900 Reliant Resources*............... 65,949 ----------- 274,899 ----------- FOOD -- 3.2% 6,500 PepsiCo.......................... 334,750 ----------- HEALTH -- 2.0% 2,800 UnitedHealth Group............... 213,976 ----------- HOUSEHOLD -- 0.4% 700 Hillenbrand Industries........... 43,141 ----------- INSTRUMENTS -- 7.0% 7,000 Johnson & Johnson................ 454,650 2,300 Johnson Controls................. 203,113 3,700 Thermo Electron*................. 76,701 ----------- 734,464 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) INSURANCE -- 6.6% 3,200 Marsh & McLennan Cos............. $ 360,768 2,900 MBIA............................. 158,601 2,600 Old Republic International....... 83,122 1,800 Radian Group..................... 88,344 ----------- 690,835 ----------- IT HARDWARE -- 3.6% 1,000 General Dynamics................. 93,950 1,900 Microchip Technology*............ 79,477 2,000 NVIDIA*.......................... 88,720 3,500 Texas Instruments................ 115,850 ----------- 377,997 ----------- MACHINERY -- 2.2% 2,100 ITT Industries................... 132,384 1,400 United Technologies.............. 103,880 ----------- 236,264 ----------- MEDIA -- 2.5% 300 Omnicom Group.................... 28,320 1,600 Viacom, Class A*................. 77,760 6,600 Walt Disney...................... 152,328 ----------- 258,408 ----------- MISCELLANEOUS FINANCIAL -- 2.4% 1,900 Ambac Financial Group............ 112,233 2,200 Bear Stearns Companies........... 138,050 ----------- 250,283 ----------- OFFICE MACHINERY -- 0.9% 2,000 NCR*............................. 89,500 ----------- OIL -- INTEGRATED -- 2.5% 1,000 Amerada Hess..................... 79,360 6,200 Occidental Petroleum............. 180,730 ----------- 260,090 ----------- OIL DISTRIBUTION -- 2.7% 4,100 Sempra Energy.................... 103,115 7,900 Williams Cos..................... 186,124 ----------- 289,239 ----------- OIL SERVICES -- 0.1% 400 GlobalSantaFe.................... 13,080 ----------- OTHER UTILITIES -- 0.8% 2,200 KeySpan.......................... 80,058 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.4% 1,700 Public Storage................... 62,917 1,800 Vornado Realty Trust............. 79,488 ----------- 142,405 -----------
See accompanying notes to the financial statements. 38 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) RETAIL -- 8.5% 5,800 AutoNation*...................... $ 80,736 700 AutoZone*........................ 48,195 2,500 Bed Bath & Beyond*............... 84,375 3,400 Best Buy Co.*.................... 269,280 3,400 Caremark Rx*..................... 66,300 800 Dollar Tree Stores*.............. 26,248 2,600 Family Dollar Stores............. 87,126 1,400 Office Depot*.................... 27,790 5,400 TJX Companies.................... 216,054 ----------- 906,104 ----------- SERVICES -- 2.2% 1,900 Apollo Group, Class A*........... 101,745 3,000 H&R Block........................ 133,350 ----------- 235,095 ----------- SOFTWARE -- 6.7% 600 Affiliated Computer Services, Class A*....................... 33,678 5,200 Electronic Data Systems.......... 301,548 3,800 First Data....................... 331,550 2,600 Unisys*.......................... 32,838 ----------- 699,614 ----------- TEXTILES -- 0.8% 2,000 V. F............................. 86,500 ----------- TRAVEL/ENTERTAINMENT -- 2.9% 200 Blockbuster, Class A............. 4,694 3,000 Darden Restaurants............... 121,770 2,400 Harrah's Entertainment*.......... 106,224 2,000 Wendy's International............ 69,960 ----------- 302,648 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) WHOLESALE -- 1.0% 3,500 Sysco............................ $ 104,370 ----------- TOTAL COMMON STOCKS.............. 9,302,226 ----------- REPURCHASE AGREEMENTS -- 8.1% Bear Stearns, dated 3/28/02, due 4/1/02 at 1.85% with a maturity value of $854,365 (Collateralized by U.S. Treasury Bond)................. 854,190 ----------- TOTAL REPURCHASE AGREEMENTS...... 854,190 ----------- TOTAL INVESTMENTS (COST $9,019,720) (a) -- 96.5%....... 10,156,416 OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.5%............ 363,303 ----------- NET ASSETS -- 100.0%............. $10,519,719 ===========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................ $1,213,606 Unrealized depreciation................ (76,910) ---------- Net unrealized appreciation............ $1,136,696 ==========
See accompanying notes to the financial statements. 39 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 90.3% AIRLINES -- 0.1% 300 Southwest Airlines................ $ 5,805 ---------- AUTOS -- 3.2% 20,600 Ford Motor........................ 339,694 ---------- BANKING -- 6.6% 6,600 American Express.................. 270,336 700 Capital One Financial............. 44,695 2,600 Northern Trust.................... 156,286 3,700 PNC Financial Services Group...... 227,513 ---------- 698,830 ---------- BIOTECHNOLOGY -- 4.1% 4,700 Amgen*............................ 280,496 3,000 Biogen*........................... 147,180 ---------- 427,676 ---------- CELLULAR -- 0.1% 700 Sprint (PCS Group)*............... 7,203 ---------- COMPUTER -- 1.1% 12,700 Sun Microsystems*................. 112,014 ---------- DRUGS -- 3.8% 2,500 Allergan.......................... 161,625 2,700 King Pharmaceuticals*............. 94,527 4,700 Millennium Pharmaceuticals*....... 104,857 1,800 Sepracor*......................... 34,920 ---------- 395,929 ---------- ELECTRIC UTILITIES -- 1.1% 3,000 PPL............................... 118,830 ---------- FOOD -- 0.6% 3,200 Coca-Cola Enterprises............. 60,096 ---------- HOUSEHOLD -- 1.4% 4,700 Newell Rubbermaid................. 150,212 ---------- INSTRUMENTS -- 4.4% 4,000 Agilent Technologies*............. 139,840 4,800 Applera Corporation -- Applied Biosystems Group................ 107,280 3,200 Medtronic......................... 144,672 2,600 Waters*........................... 72,722 ---------- 464,514 ---------- INSURANCE -- 5.1% 1,800 Chubb............................. 131,580 4,100 St. Paul Companies................ 187,985 2,300 XL Capital, Class A............... 214,705 ---------- 534,270 ---------- IT HARDWARE -- 6.0% 5,700 Altera*........................... 124,659 1,000 Jabil Circuit*.................... 23,530 5,400 Linear Technology................. 238,788 1,600 PMC-Sierra*....................... 26,048 2,900 QUALCOMM*......................... 109,156 2,700 Teradyne*......................... 106,461 ---------- 628,642 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) MEDIA -- 1.8% 6,700 Liberty Media, Class A*........... $ 84,688 2,400 Univision Communications, Class A*.............................. 100,800 ---------- 185,488 ---------- MISCELLANEOUS FINANCIAL -- 4.8% 18,100 Charles Schwab.................... 236,929 4,700 Morgan Stanley Dean Witter & Co. ............................ 269,357 ---------- 506,286 ---------- OFFICE MACHINERY -- 2.4% 11,000 EMC*.............................. 131,120 5,900 Network Appliance*................ 120,242 ---------- 251,362 ---------- OIL -- 0.8% 2,100 EOG Resources..................... 85,176 ---------- OIL - INTEGRATED -- 8.1% 4,500 ChevronTexaco..................... 406,215 10,300 Exxon Mobil....................... 451,449 ---------- 857,664 ---------- OIL DISTRIBUTION -- 1.2% 4,400 Dynegy, Class A................... 127,600 ---------- OIL SERVICES -- 0.8% 2,100 Nabors Industries*................ 88,725 ---------- OTHER UTILITIES -- 0.6% 1,300 Kinder Morgan..................... 62,959 ---------- PAPER -- 0.1% 200 Weyerhaeuser...................... 12,572 ---------- REAL ESTATE INVESTMENT TRUSTS -- 1.4% 5,000 Equity Residential Properties Trust........................... 143,700 ---------- RETAIL -- 7.9% 3,900 Dollar General.................... 63,492 14,200 Gap............................... 213,568 7,000 Kroger*........................... 155,120 3,800 RadioShack........................ 114,152 500 Safeway*.......................... 22,510 6,700 Walgreen.......................... 262,573 ---------- 831,415 ---------- SERVICES -- 2.5% 1,100 IMS Health........................ 24,695 3,600 Paychex........................... 142,920 3,200 Robert Half International*........ 94,464 ---------- 262,079 ---------- SOFTWARE -- 7.7% 4,700 Adobe Systems..................... 189,363 4,300 Amdocs*........................... 114,595 6,600 BEA Systems*...................... 90,486 4,000 Citrix Systems*................... 69,120 1,400 Mercury Interactive*.............. 52,710 16,000 Oracle*........................... 204,800 1,900 Sabre Holdings*................... 88,749 ---------- 809,823 ----------
See accompanying notes to the financial statements. 40 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) TELEPHONE -- 7.2% 2,300 Cablevision Systems, Class A*..... $ 78,200 9,400 General Motors, Class H*.......... 154,630 11,500 SBC Communications................ 430,560 5,300 Yahoo!*........................... 97,891 ---------- 761,281 ---------- TEXTILES -- 2.5% 12,700 Sara Lee.......................... 263,652 ---------- TRAVEL/ENTERTAINMENT -- 2.9% 3,500 Hilton Hotels..................... 50,050 5,000 Starbucks*........................ 115,650 3,600 Starwood Hotels & Resorts Worldwide....................... 135,396 ---------- 301,096 ---------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $10,042,691) -- 90.3%........... $9,494,593 ==========
- --------------- * Non-income producing security. See accompanying notes to the financial statements. 41 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND - -------------------------------------------------------------------------------- AXA ROSENBERG ENHANCED 500 FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] Enhanced 500 Fund S&P 500 6/7/2000 1 1 3/31/2001 0.773 0.803 3/31/2002 0.786 0.805
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE LAST 1 INCEPTION YEAR (6/7/00) ------ --------- Institutional Shares (REDIX)................................ 1.69% -12.44% Class A Shares (RENAX)(1)................................... 1.23% -12.90% Class A Shares*............................................. -1.82% -14.35% Class B Shares (RENBX)(1)................................... 0.58% -13.36% Class B Shares**............................................ -4.42% -15.27% S&P 500 Index(2)............................................ 0.24% -11.26%
This was an eventful year. The tragic events on September 11(th) interrupted trading in major stock exchanges and added uncertainty to an already weak U.S. economy. The domestic equity market reached the lowest point of the year on September 21(st) when trading resumed. The equity market returns improved solidly in the three months after September 11(th). Between the low point of September 21(st) and December 31(st), the S&P 500 Index posted a near "bull market" return. The fallout of Enron yet spurred another round of "selling" in the equity market in early 2002. For the year ended March 31, 2002, the S&P 500 Index rose less than one percent. As the fiscal year came to an end, the economic conditions seemed to be improving. In March, the Federal Reserve issued a change from "weak" to "neutral" regarding interest rate stance. The strength and the speed of the recovery, however, remain uncertain. Investors were still under the pressure of continued weak corporate earnings reports, lofty valuation in the large cap segment of the market, and lingering questions about the reliability of company accounting statements. For the year ended March 31, 2002, small capitalization value stocks continued to lead the market. Small cap stocks consistently outperformed large cap stocks, continuing a trend which began in early 2000. In the past twelve months, the Russell 2000 Index(3) rose 13.98% compared with a gain of 0.24% for the S&P 500 Index. Value stocks topped growth stocks in every cap segment of the market. The spread between value and growth is wider in the small cap segment than in the large cap segment. 42 Both the market environment and investor focus favored the Fund's performance relative to its S&P 500 benchmark. The Manager's stock selection models tend to favor stocks that are seen as underpriced relative to their fundamental financial characteristics, including their likely future earnings, when compared with other similar stocks. When investors focus on these fundamental features of stocks, the success of the models generally increases. For the year ended March 31, 2002, the Fund outperformed its S&P 500 Index benchmark. Since its inception on June 7, 2000, the Fund has trailed its benchmark performance. From a performance attribution perspective, the Fund's active exposures to risk factors and the independent stock selection effect helped relative performance. Among risk factors, the Fund's lower price-to-earnings profile, above average yield and slightly below market beta had the largest positive impact. The Fund's slight differences in industry weightings relative to the S&P 500 Index had a small negative impact on relative performance during the year. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 3.00% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) The S&P 500 Index is the benchmark for the AXA Rosenberg Enhanced 500 Fund. It is an unmanaged, broad-based index of 500 widely held common stocks. Investors cannot invest directly in any Index. (3) The Russell 2000 Index measures the performance of approximately 2,000 small capitalization companies with market value up to $3.3 billion.
43 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 98.5% AIRCRAFT -- 0.9% 300 Boeing............................ $ 14,475 600 Honeywell International........... 22,962 ---------- 37,437 ---------- AIRLINES -- 0.2% 100 FedEx*............................ 5,810 200 Southwest Airlines................ 3,870 ---------- 9,680 ---------- AUTOS -- 0.6% 200 Delphi Automotive Systems......... 3,198 600 Ford Motor........................ 9,894 200 General Motors.................... 12,090 ---------- 25,182 ---------- BANKING -- 13.8% 400 American Express.................. 16,384 100 AmSouth Bancorporation............ 2,198 1,000 Bank of America................... 68,020 200 Bank of New York.................. 8,404 400 Bank One.......................... 16,712 100 BB&T.............................. 3,811 300 Cendant*.......................... 5,760 400 Comerica.......................... 25,028 300 Concord EFS*...................... 9,975 300 Countrywide Credit Industries..... 13,425 600 Fannie Mae........................ 47,928 100 Fifth Third Bancorp............... 6,748 400 FleetBoston Financial............. 14,000 200 Freddie Mac....................... 12,674 3,300 General Electric.................. 123,585 100 Household International........... 5,680 600 J.P. Morgan Chase & Co. .......... 21,390 100 KeyCorp........................... 2,665 300 MBNA.............................. 11,571 700 Mellon Financial.................. 27,013 200 National City..................... 6,152 100 PNC Financial Services Group...... 6,149 400 Regions Financial................. 13,740 100 SouthTrust........................ 2,640 100 State Street...................... 5,538 100 SunTrust Banks.................... 6,673 100 Synovus Financial................. 3,048 700 U.S. Bancorp...................... 15,799 600 Wachovia.......................... 22,248 300 Washington Mutual................. 9,939 1,100 Wells Fargo & Company............. 54,340 ---------- 589,237 ---------- BIOTECHNOLOGY -- 0.4% 300 Amgen*............................ 17,904 ---------- BUILDING -- 0.9% 200 Centex............................ 10,386 300 KB Home........................... 13,020 300 Pulte............................. 14,355 ---------- 37,761 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) CELLULAR -- 0.2% 100 ALLTEL............................ $ 5,555 300 Sprint (PCS Group)*............... 3,087 ---------- 8,642 ---------- CHEMICALS -- 1.5% 200 Dow Chemical...................... 6,544 700 Du Pont (E.I.) de Nemours......... 33,005 300 Engelhard......................... 9,309 100 Praxair........................... 5,980 400 Sherwin-Williams.................. 11,392 ---------- 66,230 ---------- COMPUTER -- 0.8% 100 Apple Computer*................... 2,367 900 Dell Computer*.................... 23,499 1,000 Sun Microsystems*................. 8,820 ---------- 34,686 ---------- DEFENSE -- 0.6% 100 Lockheed Martin................... 5,758 100 Raytheon.......................... 4,105 300 Textron........................... 15,330 ---------- 25,193 ---------- DRUGS -- 6.8% 900 Abbott Laboratories............... 47,340 300 Bausch & Lomb..................... 13,371 600 Bristol-Myers Squibb.............. 24,294 400 Eli Lilly & Co. .................. 30,480 200 Immunex*.......................... 6,052 900 Merck & Co. ...................... 51,822 2,200 Pfizer............................ 87,428 400 Pharmacia......................... 18,032 500 Schering-Plough................... 15,650 ---------- 294,469 ---------- DURABLES -- 0.5% 100 Harley-Davidson................... 5,513 200 Whirlpool......................... 15,110 ---------- 20,623 ---------- ELECTRIC UTILITIES -- 3.7% 300 Allegheny Energy.................. 12,405 300 Ameren............................ 12,825 300 American Electric Power........... 13,827 300 Cinergy........................... 10,725 400 Consolidated Edison............... 16,764 100 Dominion Resources................ 6,516 200 Duke Energy....................... 7,560 600 Edison International*............. 10,050 400 Entergy........................... 17,364 100 Exelon............................ 5,297 100 FirstEnergy....................... 3,458 300 Pinnacle West Capital............. 13,605 100 Reliant Energy.................... 2,579 200 Southern.......................... 5,298 100 TXU............................... 5,451 600 Xcel Energy....................... 15,210 ---------- 158,934 ----------
See accompanying notes to the financial statements. 44 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) FOOD -- 3.3% 210 Archer-Daniels-Midland............ $ 2,925 100 Campbell Soup..................... 2,680 800 Coca-Cola......................... 41,808 100 Coca-Cola Enterprises............. 1,878 100 ConAgra Foods..................... 2,425 100 General Mills..................... 4,885 100 H.J. Heinz........................ 4,150 100 Kellogg........................... 3,357 1,100 PepsiCo........................... 56,650 200 Unilever NV -- ADR................ 11,360 200 Wm. Wrigley Jr. .................. 10,662 ---------- 142,780 ---------- HEALTH -- 2.3% 200 CIGNA............................. 20,278 200 HCA-The Healthcare Company........ 8,816 600 Humana*........................... 8,118 100 Tenet Healthcare*................. 6,702 400 UnitedHealth Group................ 30,568 400 Wellpoint Health Networks*........ 25,468 ---------- 99,950 ---------- HOUSEHOLD -- 0.4% 100 Mattel............................ 2,084 100 Newell Rubbermaid................. 3,196 500 Pactiv*........................... 10,010 ---------- 15,290 ---------- INSTRUMENTS -- 4.8% 100 Agilent Technologies*............. 3,496 600 Baxter International.............. 35,712 100 Becton, Dickinson & Co. .......... 3,772 700 Boston Scientific*................ 17,563 100 Guidant*.......................... 4,332 1,600 Johnson & Johnson................. 103,920 200 Johnson Controls.................. 17,662 400 Medtronic......................... 18,084 ---------- 204,541 ---------- INSURANCE -- 4.5% 100 AFLAC............................. 2,950 200 Allstate.......................... 7,554 800 American International Group...... 57,712 100 Aon............................... 3,500 100 Hartford Financial Services Group........................... 6,812 100 John Hancock Financial Services... 3,819 400 Lincoln National.................. 20,292 400 Loews............................. 23,432 100 Marsh & McLennan Cos.............. 11,274 300 MBIA.............................. 16,407 200 MetLife........................... 6,300 300 MGIC Investment................... 20,529 500 UnumProvident..................... 13,965 ---------- 194,546 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) IT HARDWARE -- 5.1% 100 Altera*........................... $ 2,187 100 Analog Devices*................... 4,504 200 Applied Materials*................ 10,854 100 Broadcom, Class A*................ 3,590 2,400 Cisco Systems*.................... 40,632 300 General Dynamics.................. 28,185 2,200 Intel............................. 66,902 100 Linear Technology................. 4,422 1,100 Lucent Technologies............... 5,203 100 Maxim Integrated Products*........ 5,571 200 Micron Technology*................ 6,580 700 Motorola.......................... 9,940 1,000 Nortel Networks................... 4,490 200 QUALCOMM*......................... 7,528 500 Texas Instruments................. 16,550 100 Xilinx*........................... 3,986 ---------- 221,124 ---------- LIQUOR & TOBACCO -- 2.9% 200 Adolph Coors, Class B............. 13,494 600 Anheuser-Busch Cos................ 31,320 1,300 Philip Morris Companies........... 68,471 300 UST............................... 11,679 ---------- 124,964 ---------- MACHINERY -- 3.7% 200 Ball.............................. 9,444 100 Caterpillar....................... 5,685 300 Crane............................. 8,202 100 Emerson Electric.................. 5,739 200 Fortune Brands.................... 9,874 300 Gillette.......................... 10,203 100 Illinois Tool Works............... 7,235 300 ITT Industries.................... 18,912 100 Masco............................. 2,745 400 Rockwell Automation............... 8,024 1,300 Tyco International................ 42,016 400 United Technologies............... 29,680 ---------- 157,759 ---------- MEDIA -- 2.7% 1,300 AOL Time Warner*.................. 30,745 200 Clear Channel Communications*..... 10,282 100 Gannett........................... 7,610 100 Interpublic Group of Cos.......... 3,428 100 Tribune........................... 4,546 900 Viacom, Class A*.................. 43,740 700 Walt Disney....................... 16,156 ---------- 116,507 ---------- METALS -- 0.5% 100 Alcan............................. 3,963 300 Alcoa............................. 11,322 200 Barrick Gold...................... 3,712 300 Worthington Industries............ 4,608 ---------- 23,605 ----------
See accompanying notes to the financial statements. 45 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) MISCELLANEOUS FINANCIAL -- 3.6% 300 Ambac Financial Group............. $ 17,721 400 Charles Schwab.................... 5,236 1,900 Citigroup......................... 94,088 100 Franklin Resources................ 4,192 200 Merrill Lynch & Co. .............. 11,076 400 Morgan Stanley Dean Witter & Co. ............................ 22,924 ---------- 155,237 ---------- OFFICE MACHINERY -- 1.0% 100 Eastman Kodak..................... 3,117 700 EMC*.............................. 8,344 600 Hewlett-Packard................... 10,764 300 NCR*.............................. 13,425 100 Pitney Bowes...................... 4,280 100 Veritas Software*................. 4,383 ---------- 44,313 ---------- OIL -- 0.1% 100 Anadarko Petroleum................ 5,644 ---------- OIL -- INTEGRATED -- 5.3% 300 Amerada Hess...................... 23,808 400 ChevronTexaco..................... 36,108 2,300 Exxon Mobil....................... 100,809 700 Occidental Petroleum.............. 20,405 100 Phillips Petroleum................ 6,280 700 Royal Dutch Petroleum -- ADR...... 38,024 100 Unocal............................ 3,895 ---------- 229,329 ---------- OIL DISTRIBUTION -- 0.8% 300 Ashland........................... 13,653 100 Dynegy, Class A................... 2,900 100 El Paso........................... 4,403 400 Sempra Energy..................... 10,060 100 Williams Cos...................... 2,356 ---------- 33,372 ---------- OIL SERVICES -- 0.8% 100 Baker Hughes...................... 3,825 800 Halliburton....................... 13,656 200 Schlumberger...................... 11,764 100 Transocean Sedco Forex............ 3,323 ---------- 32,568 ---------- OTHER UTILITIES -- 0.6% 300 Nicor............................. 13,665 200 Peoples Energy.................... 7,876 200 Waste Management.................. 5,450 ---------- 26,991 ---------- PAPER -- 2.5% 100 Bemis Company..................... 5,435 100 International Paper............... 4,301 200 Kimberly-Clark.................... 12,930 100 Minnesota Mining & Mfg............ 11,501 800 Procter & Gamble.................. 72,072 ---------- 106,239 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.1% 100 Equity Office Properties Trust.... $ 2,999 ---------- RETAIL -- 7.6% 100 Albertson's....................... 3,314 300 AutoZone*......................... 20,655 500 Bed Bath & Beyond*................ 16,875 300 Best Buy Co.*..................... 23,760 100 Costco Wholesale*................. 3,982 100 CVS............................... 3,433 300 Gap............................... 4,512 1,000 Home Depot........................ 48,610 100 Kohl's*........................... 7,115 300 Kroger*........................... 6,648 800 Limited........................... 14,320 200 Lowe's Cos........................ 8,698 100 May Department Stores............. 3,485 100 Safeway*.......................... 4,502 500 Sears, Roebuck & Co. ............. 25,635 100 Staples*.......................... 1,997 300 Target............................ 12,936 500 TJX Companies..................... 20,005 1,400 Wal-Mart Stores................... 85,806 300 Walgreen.......................... 11,757 ---------- 328,045 ---------- SERVICES -- 1.0% 300 Deluxe............................ 13,878 400 H&R Block......................... 17,780 100 Paychex........................... 3,970 500 Quintiles Transnational*.......... 8,875 ---------- 44,503 ---------- SOAPS & COSMETICS -- 0.3% 200 Colgate-Palmolive................. 11,430 ---------- SOFTWARE -- 6.2% 100 Autodesk.......................... 4,669 200 Automatic Data Processing......... 11,654 500 Compaq Computer................... 5,225 200 Computer Associates International................... 4,378 100 Electronic Data Systems........... 5,799 400 First Data........................ 34,900 600 International Business Machines... 62,400 1,800 Microsoft*........................ 108,558 1,800 Oracle*........................... 23,040 100 PeopleSoft*....................... 3,653 100 Siebel Systems*................... 3,261 ---------- 267,537 ---------- TELEPHONE -- 3.3% 1,100 AT&T.............................. 17,270 600 BellSouth......................... 22,116 500 Qwest Communications International................... 4,110 1,100 SBC Communications................ 41,184 300 Sprint (FON Group)................ 4,587 900 Verizon Communications............ 41,085 900 WorldCom -- WorldCom Group*....... 6,066 200 Yahoo!*........................... 3,694 ---------- 140,112 ----------
See accompanying notes to the financial statements. 46 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) TEXTILES -- 1.0% 400 Liz Claiborne..................... $ 11,344 100 NIKE, Class B..................... 6,001 300 Reebok International*............. 8,109 300 Sara Lee.......................... 6,228 300 V. F.............................. 12,975 ---------- 44,657 ---------- TRANSPORTATION -- 1.5% 700 Burlington Northern Santa Fe...... 21,126 200 Carnival.......................... 6,530 200 CSX............................... 7,622 100 Norfolk Southern.................. 2,394 400 Union Pacific..................... 24,856 ---------- 62,528 ---------- TRAVEL/ENTERTAINMENT -- 1.1% 300 Darden Restaurants................ 12,177 300 Harrah's Entertainment*........... 13,278 400 McDonald's........................ 11,100 100 Starbucks*........................ 2,313 200 Wendy's International............. 6,996 ---------- 45,864 ---------- WHOLESALE -- 0.6% 100 Cardinal Health................... 7,089 100 McKesson.......................... 3,743 300 SUPERVALU......................... 7,740 200 Sysco............................. 5,964 ---------- 24,536 ---------- TOTAL COMMON STOCKS............... 4,232,948 ----------
VALUE ---------- REPURCHASE AGREEMENTS -- 0.8% Bear Stearns, dated 3/28/02, due 4/1/02 at 1.85% with a maturity value of $34,890 (Collateralized by Freddie Mac securities)...... $ 34,883 ---------- TOTAL REPURCHASE AGREEMENTS....... 34,883 ---------- TOTAL INVESTMENTS (COST $4,573,749) (a) --99.3%... 4,267,831 OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.7%............. 31,407 ---------- NET ASSETS -- 100.0%.............. $4,299,238 ==========
- --------------- * Non-income producing security. ADR -- American Depositary Receipt. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized depreciation of securities as follows: Unrealized appreciation................. $ 405,112 Unrealized depreciation................. (711,030) --------- Net unrealized depreciation............. $(305,918) =========
See accompanying notes to the financial statements. 47 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND - -------------------------------------------------------------------------------- AXA ROSENBERG INTERNATIONAL EQUITY FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg International Equity Fund MSCI-EAFE 6/7/2000 1 1 3/31/2001 0.815 0.764 3/31/2002 0.747 0.701
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 INCEPTION INCEPTION YEAR (6/7/00) (12/5/00) ------ --------- --------- Institutional Shares (REQIX)................................ -8.36% -14.87% Investor Shares (RIEIX)..................................... -8.83% -13.55% Class A Shares (REQAX)(1)................................... -8.77% -15.29% Class A Shares*............................................. -13.83% -17.91% Class B Shares (REQBX)(1)................................... -9.48% -15.80% Class B Shares**............................................ -13.79% -17.59% MSCI-EAFE Index(2).......................................... -8.22% -21.04% -15.82%
Most of the major global equity markets finished in the negative territory for the year ended March 31, 2002. Hit by a sudden global economic slowdown and the terrorist attacks in the U.S., stocks fell in the first half of the year. Market returns improved solidly after September 11(th). The economic conditions seemed to be improving as the fiscal year ended, but the strength and speed of the recovery remain uncertain. Small cap stocks outperformed large cap stocks during the year. For the year as whole, international stocks, as measured by the MSCI-EAFE Index, was down 8.22%. In Europe, stock markets started the year with strong gains in April. The bounce quickly ended, and the market resumed its decline as negative economic news and disappointing corporate earnings were released during the year. Stocks recovered after the sell-off in September as investors were encouraged by the early signs of economic recovery. Value stocks outperformed growth stocks, and small cap stocks outpaced large cap stocks during the year. For the year as a whole, stocks in Europe lost 4.95%. In Japan, the market fell for most of the year, and the Nikkei 225 Index(3) hit 18-year lows twice. The Japanese economy was plagued by weak domestic consumption and bad debt problems in its banking system. However, the market managed to rebound strongly after the government released the anti-deflation package and imposed tighter restrictions on short-selling activities in February. During the year, stocks in Japan were down 21.59%. 48 Elsewhere in Asia, markets were down in the first half of the year as the export-driven Asian economies were hit hard by the sudden slowdown in the global economy. Stocks rebounded strongly after September on the hope that the global economy might finally bottom out and that recovery was underway. For the year, stocks in the region gained 7.03%. For the fiscal year ended March 31, 2002, the Fund slightly underperformed its benchmark, the MSCI-EAFE Index. The underperformance was mostly attributable to stock selection. However, the Fund's performance still exceeded that of the benchmark since inception. The Manager strives to add value consistently through bottom-up stock selection and avoids heavy bets on countries and industries. The Manager follows a systematic and disciplined approach to international investing. As of March 31, 2002, the portfolio holdings were diversified over 21 countries and over 230 companies. The top 10 holdings accounted for about 22% of the total portfolio. Approximately 70% of the holdings were invested in Europe. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market, economic, political, currency exchange rates and other conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. International investing involves increased risk and volatility. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. Portfolio holdings are subject to change and may not represent current or future holdings. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) The Morgan Stanley Capital International Europe, Australasia, Far East Index (MSCI-EAFE) is an international, unmanaged, weighted stock market index that includes over 1,000 securities listed on the stock exchanges of 21 developed market countries from Europe, Australia, Asia and the Far East. Investors cannot invest directly in any Index. (3) The Nikkei 225 Index is an index of 225 leading stocks traded on the Tokyo Stock Exchange.
49 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 98.3% AUSTRALIA -- 3.4% Airlines -- 0.1% 2,932 Qantas Airways.................... $ 7,026 ---------- Banking -- 1.8% 3,162 Australia & New Zealand Banking Group........................... 29,988 2,100 Commonwealth Bank of Australia.... 35,909 3,277 National Australia Bank........... 59,761 800 Westpac Banking Corporation....... 6,665 ---------- 132,323 ---------- Building -- 0.0% 1,111 Downer EDI........................ 528 ---------- Construction Materials -- 0.0% 1,054 Boral............................. 2,228 ---------- Financial Investments -- 0.1% 3,900 Macquarie Infrastructure Group.... 7,160 ---------- Food -- 0.2% 4,472 Coca-Cola Amatil.................. 13,867 1,301 National Foods.................... 2,027 ---------- 15,894 ---------- Instruments -- 0.0% 5,100 Pacific Dunlop.................... 3,321 ---------- Insurance -- 0.4% 3,000 AMP............................... 30,421 1,000 Insurance Australia Group......... 1,815 ---------- 32,236 ---------- IT Hardware -- 0.0% 632 WMC............................... 3,282 ---------- Media -- 0.0% 1,758 Ten Network Holdings.............. 2,186 ---------- Metals -- 0.5% 1,680 Rio Tinto......................... 33,793 ---------- Oil -- 0.0% 1,451 Orogen Minerals................... 1,456 ---------- Retail -- 0.3% 3,432 Woolworths........................ 22,859 ---------- Wholesale -- 0.0% 2,300 Metcash Trading................... 2,271 ---------- 266,563 ---------- BELGIUM -- 0.5% Liquor & Tobacco -- 0.5% 1,360 Interbrew......................... 37,670 ---------- DENMARK -- 0.1% Biotechnology -- 0.1% 450 Novozymes, Class B................ 8,766 ---------- FINLAND -- 1.9% Drugs -- 0.2% 500 Orion-Yhtyma, Class A............. 9,815 1,900 Tamro............................. 6,100 ---------- 15,915 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) FINLAND (CONTINUED) Electric Utilities -- 0.4% 4,864 Fortum............................ $ 25,842 160 Wartsila.......................... 2,554 ---------- 28,396 ---------- Insurance -- 0.1% 400 Pohjola Group, Class D............ 8,933 ---------- IT Hardware -- 1.0% 4,000 Nokia............................. 84,553 ---------- Paper -- 0.2% 1,800 M-real, Class B................... 13,536 ---------- 151,333 ---------- FRANCE -- 8.6% Airlines -- 0.2% 1,118 Air France........................ 19,507 ---------- Autos -- 1.1% 1,800 PSA Peugeot Citroen............... 88,880 ---------- Banking -- 2.2% 1,622 Credit Lyonnais................... 61,780 280 Natexis Banques Populaires........ 22,473 1,330 Societe Generale, Class A......... 84,121 ---------- 168,374 ---------- Chemicals -- 0.5% 764 Compagnie Generale des Etablissements Michelin, Class B............................... 29,020 1,259 Rhodia............................ 12,477 ---------- 41,497 ---------- Construction Materials -- 0.7% 269 Ciments Francais.................. 12,191 270 Compagnie de Saint-Gobain......... 44,071 ---------- 56,262 ---------- Defense -- 0.2% 60 Dassault Aviation................. 18,844 ---------- Drugs -- 2.1% 2,322 Aventis........................... 160,437 ---------- Insurance -- 0.8% 760 Assurances Generales de France.... 37,395 784 CNP Assurances.................... 26,326 ---------- 63,721 ---------- Machinery -- 0.2% 1,234 Alstom............................ 16,503 ---------- Media -- 0.5% 850 Lagardere......................... 40,340 ---------- Paper -- 0.1% 336 Worms et Compagnie................ 6,009 ---------- 680,374 ---------- GERMANY -- 7.4% Chemicals -- 1.5% 1,912 BASF.............................. 77,563 1,129 Bayer............................. 38,314 ---------- 115,877 ----------
See accompanying notes to the financial statements. 50 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) GERMANY (CONTINUED) Drugs -- 0.3% 910 Merck............................. $ 27,627 ---------- Electric Utilities -- 2.4% 1,970 E.On.............................. 99,852 2,391 RWE............................... 89,694 ---------- 189,546 ---------- Insurance -- 0.3% 42 Allianz Lebensversicherungs....... 24,256 ---------- Metals -- 0.6% 3,160 ThyssenKrupp...................... 49,622 ---------- Software -- 2.3% 2,750 Siemens........................... 179,934 ---------- 586,862 ---------- HONG KONG -- 1.9% Banking -- 0.2% 8,000 Bank of East Asia................. 15,949 ---------- Building -- 0.0% 4,000 Hopewell Holdings................. 3,077 ---------- Electric Utilities -- 0.3% 4,000 CLP Holdings...................... 16,411 2,000 Hongkong Electric Holdings........ 7,564 ---------- 23,975 ---------- Other Utilities -- 0.2% 14,000 Hong Kong & China Gas Company..... 19,476 ---------- Real Estate Assets -- 0.5% 10,000 Hang Lung Properties.............. 9,359 6,000 Henderson Investment.............. 4,846 6,000 Kerry Properties.................. 5,577 8,000 New World China Land*............. 2,282 13,000 New World Development Company..... 10,667 1,000 Sun Hung Kai Properties........... 7,596 ---------- 40,327 ---------- Transportation -- 0.4% 3,000 Kowloon Motor Bus Holdings........ 14,423 10,891 MTR............................... 15,778 ---------- 30,201 ---------- Travel/Entertainment -- 0.2% 6,000 Hongkong & Shanghai Hotels........ 2,539 12,000 Shangri-La Asia................... 10,154 ---------- 12,693 ---------- Wholesale -- 0.1% 2,000 Yue Yuen Industrial (Holdings).... 5,449 ---------- 151,147 ---------- ITALY -- 7.2% Autos -- 0.5% 3,000 Fiat.............................. 41,744 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) ITALY (CONTINUED) Banking -- 1.1% 8,000 Banca di Roma..................... $ 19,263 4,000 Banca Popolare di Milano Scrl..... 15,040 17,000 IntesaBci......................... 51,018 ---------- 85,321 ---------- Construction Materials -- 0.9% 2,000 Italmobiliare..................... 69,181 ---------- Insurance -- 1.7% 4,000 Assicurazioni Generali............ 98,721 2,000 Societa Assicuratrice Industriale..................... 33,849 ---------- 132,570 ---------- Media -- 0.0% 1,123 Seat Pagine Gialle*............... 869 ---------- Metals -- 0.5% 14,000 Pirelli........................... 21,801 5,000 Pirelli & C....................... 14,177 ---------- 35,978 ---------- Oil -- 0.6% 3,000 ENI............................... 43,969 ---------- Telephone -- 1.9% 19,000 Telecom Italia.................... 156,474 ---------- 566,106 ---------- JAPAN -- 20.8% Autos -- 2.5% 4,100 Denso............................. 62,180 3,000 Fuji Heavy Industries............. 14,645 500 Honda Motor....................... 21,013 1,100 Toyota Industries................. 17,595 3,000 Toyota Motor...................... 86,467 ---------- 201,900 ---------- Banking -- 1.0% 3 Mitsubishi Tokyo Financial Group........................... 18,335 4 Mizuho Holdings................... 9,537 2,000 San-in Godo Bank.................. 6,021 300 Sanyo Shinpan Finance Co. ........ 7,719 4,000 Sumitomo Mitsui Banking........... 16,660 5,000 The Hokuriku Bank*................ 7,734 1,000 The Shizuoka Bank................. 6,459 500 The Tokyo Tomin Bank*............. 4,406 ---------- 76,871 ---------- Building -- 1.2% 100 Daito Trust Construction Co. ..... 1,641 5,000 Daiwa House Industry Co. ......... 31,312 3,000 Maeda............................. 8,488 3,000 Nippon Hodo....................... 11,544 2,000 Nishimatsu Construction Co. ...... 5,282 6,000 Obayashi.......................... 16,886 3,000 Sekisui Chemical Co. ............. 8,330 1,000 Taisei............................ 2,188 3,000 Toda.............................. 6,610 ---------- 92,281 ----------
See accompanying notes to the financial statements. 51 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Cellular -- 1.2% 11 KDDI.............................. $ 28,136 18 Nippon Telegraph and Telephone.... 69,129 ---------- 97,265 ---------- Chemicals -- 1.4% 5,000 Bridgestone....................... 67,907 1,000 Kaneka............................ 6,474 6,000 Mitsui Chemicals.................. 26,257 3,000 Sumitomo Rubber Industries........ 11,205 ---------- 111,843 ---------- Construction Materials -- 0.3% 9,000 Mitsubishi Materials.............. 14,939 4,000 Taiheiyo Cement................... 6,157 ---------- 21,096 ---------- Drugs -- 2.2% 2,000 Nippon Shinyaku Co. .............. 9,235 1,000 Ono Pharmaceutical................ 30,407 1,000 Sankyo Co. ....................... 15,279 3,000 Taisho Pharmacuetical Co. ........ 45,384 1,000 Takeda Chemical Industries........ 40,518 1,000 Teikoku Hormone Mfg. Co. ......... 5,018 1,000 Yamanouchi Pharmaceutical Co. .... 24,975 ---------- 170,816 ---------- Durables -- 0.7% 800 Sony.............................. 41,589 3,000 Victor Company of Japan........... 9,914 ---------- 51,503 ---------- Electric Utilities -- 0.5% 2,000 Kyushu Electric Power............. 28,189 800 Tokyo Electric Power.............. 15,151 ---------- 43,340 ---------- Financial Investments -- 0.1% 1,000 Tokyo Leasing..................... 4,225 ---------- Insurance -- 1.1% 4,000 Mitsui Sumitomo Insurance Co. .... 18,803 2,000 Nichido Fire & Marine Insuance Co. ............................ 9,658 8,000 Tokio Marine & Fire Insurance Co. ............................ 56,800 ---------- 85,261 ---------- IT Hardware -- 2.5% 400 Futaba............................ 10,563 400 Kyocera........................... 27,676 7,000 Matsushita Electric Industrial.... 85,351 5,000 Mitsubishi Electric............... 23,013 300 Murata Manufacturing Co. ......... 19,240 1,000 Oki Electric Industry Co. ........ 2,430 100 Rohm.............................. 15,015 2,000 Toshiba........................... 8,375 1,000 Toshiba TEC....................... 2,301 ---------- 193,964 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Liquor & Tobacco -- 1.1% 2,000 Asahi Breweries................... $ 16,147 6 Japan Tobacco..................... 36,353 5,000 Kirin Brewery Co. ................ 33,991 ---------- 86,491 ---------- Machinery -- 1.3% 2,000 Hitachi Koki Co. ................. 5,508 2,000 Ishikawajima-Harima Heavy Industries Co. ................. 3,697 12,000 Kawasaki Heavy Industries*........ 11,952 3,000 Kubota............................ 9,258 1,000 Makita............................ 6,519 16,000 Mitsubishi Heavy Indstries........ 52,394 1,000 Torishima Pump Manufacturing Co. ............................ 3,848 1,000 Toyo Seikan Kaisha................ 12,095 ---------- 105,271 ---------- Media -- 0.6% 4,000 Dai Nippon Printing Co. .......... 44,939 ---------- Metals -- 0.0% 1,000 Kurimoto.......................... 1,569 1,000 Nittetsu Mining Co. .............. 1,773 ---------- 3,342 ---------- Miscellaneous Financial -- 0.4% 5,000 Nikko Securities Co. ............. 22,070 6,000 Shinko Securities Co. ............ 10,458 ---------- 32,528 ---------- Office Machinery -- 0.9% 1,000 Canon............................. 37,122 1,000 Fuji Photo Film Co. .............. 31,463 ---------- 68,585 ---------- Oil Distribution -- 0.2% 11,000 Japan Energy...................... 14,524 ---------- Other Utilities -- 0.2% 7,000 Tokyo Gas Co. .................... 16,954 ---------- Real Estate Assets -- 0.1% 2,000 Sumitomo Realty & Development Co. ............................ 10,412 ---------- Retail -- 0.6% 200 FamilyMart Co. ................... 3,244 300 Fast Retailing Co. ............... 7,470 1,000 Ito-Yokado Co. ................... 39,763 ---------- 50,477 ---------- Transportation -- 0.3% 5 East Japan Railway Co. ........... 21,013 1,000 Kawasaki Kisen Kaisha............. 1,177 ---------- 22,190 ---------- Travel/Entertainment -- 0.3% 800 Heiwa............................. 11,988 500 Sankyo Co., Gunma................. 12,638 ---------- 24,626 ----------
See accompanying notes to the financial statements. 52 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) JAPAN (CONTINUED) Wholesale -- 0.1% 300 Ryosan Co. ....................... $ 3,226 900 Ryoyo Electro..................... 8,420 ---------- 11,646 ---------- 1,642,350 ---------- LUXEMBOURG -- 0.5% Metals -- 0.5% 1,548 Arcelor*.......................... 21,202 1,333 Arcelor*.......................... 17,886 ---------- 39,088 ---------- NETHERLANDS -- 7.7% Banking -- 1.4% 5,740 ABN AMRO Holding.................. 109,015 ---------- Cellular -- 0.2% 3,650 Koninklijke (Royal) KPN*.......... 18,692 ---------- Chemicals -- 0.3% 490 Akzo Nobel........................ 22,913 ---------- IT Hardware -- 1.6% 4,060 Koninklijke (Royal) Philips Electronics..................... 123,862 ---------- Liquor & Tobacco -- 0.3% 820 Heineken Holding, Class A......... 25,038 ---------- Media -- 0.0% 160 Wegener........................... 1,372 ---------- Oil -- Integrated -- 3.4% 4,910 Royal Dutch Petroleum............. 268,788 ---------- Services -- 0.2% 740 Randstad Holding.................. 11,278 480 Stork............................. 4,648 ---------- 15,926 ---------- Software -- 0.1% 2,400 Getronics......................... 7,977 ---------- Wholesale -- 0.2% 1,230 Buhrmann.......................... 16,096 ---------- 609,679 ---------- NEW ZEALAND -- 0.2% Food -- 0.2% 15,200 Carter Holt Harvey................ 12,981 ---------- NORWAY -- 0.2% Food -- 0.2% 400 Norsk Hydro....................... 19,362 ---------- SINGAPORE -- 0.8% Cellular -- 0.1% 11,000 Singapore Telecommunications...... 9,485 ---------- IT Hardware -- 0.1% 5,000 ST Assembly Test Services*........ 8,352 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) SINGAPORE (CONTINUED) Real Estate Assets -- 0.6% 6,000 Allgreen Properties............... $ 3,872 9,000 Capitaland........................ 8,542 3,000 Fraser & Neave.................... 12,691 5,000 Keppel............................ 11,118 3,000 Singapore Land.................... 5,597 7,000 United Industrial................. 2,733 ---------- 44,553 ---------- Travel/Entertainment -- 0.0% 11,000 Raffles Holdings.................. 3,072 ---------- 65,462 ---------- SPAIN -- 3.0% Banking -- 0.8% 5,080 Banco Bilbao Vizcaya Argentaria... 60,494 ---------- Building -- 0.1% 1,220 Obrascon Huarte Lain.............. 6,652 ---------- Electric Utilities -- 0.8% 4,780 Iberdrola......................... 62,384 ---------- Insurance -- 0.1% 1,750 Corporacion Mapfre................ 11,771 ---------- Machinery -- 0.0% 40 Zardoya Otis...................... 433 ---------- Oil -- 1.1% 7,440 Repsol YPF........................ 93,789 ---------- Transportation -- 0.1% 280 Aurea Concesiones de Infraestructuras del Estado..... 5,179 ---------- 240,702 ---------- SWEDEN -- 2.3% Airlines -- 0.1% 1,400 SAS*.............................. 10,340 ---------- Banking -- 1.1% 13,200 Nordea............................ 75,187 ---------- Cellular -- 0.0% 100 Tele2, Class B*................... 3,002 ---------- Durables -- 0.6% 2,600 Electrolux, Class B............... 46,186 ---------- Financial Investments -- 0.4% 3,100 Investor, Class B................. 34,866 ---------- IT Hardware -- 0.1% 1,000 Saab, Class B..................... 11,633 ---------- 181,214 ---------- SWITZERLAND -- 7.1% Airlines -- 0.0% 30 SAirGroup*........................ 2 ---------- Chemicals -- 0.0% 41 Syngenta*......................... 2,505 ---------- Drugs -- 2.7% 2,700 Roche Holding..................... 209,908 ----------
See accompanying notes to the financial statements. 53 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) SWITZERLAND (CONTINUED) Financial Investments -- 1.4% 2,180 UBS*.............................. $ 107,328 ---------- Food -- 1.3% 460 Nestle............................ 102,295 ---------- Household -- 0.3% 1,274 Swatch Group*..................... 27,536 ---------- Insurance -- 1.2% 1,070 Swiss Re.......................... 98,456 ---------- IT Hardware -- 0.2% 200 Ascom Holding..................... 2,795 90 Unaxis Holding.................... 9,967 ---------- 12,762 ---------- 560,792 ---------- UNITED KINGDOM -- 24.7% Aircraft -- 0.3% 8,000 Rolls-Royce....................... 21,474 ---------- Autos -- 0.2% 5,000 Tomkins........................... 18,423 ---------- Banking -- 4.3% 6,000 Abbey National.................... 85,098 4,000 Barclays.......................... 123,603 5,000 Royal Bank of Scotland Group...... 128,730 ---------- 337,431 ---------- Cellular -- 2.2% 95,000 Vodafone Group.................... 175,526 ---------- Drugs -- 1.5% 5,000 GlaxoSmithKline................... 117,765 ---------- Electric Utilities -- 0.7% 11,000 Scottish Power.................... 56,312 ---------- Financial Investments -- 2.8% 12,000 CGNU.............................. 126,622 16,000 Old Mutual........................ 23,240 3,000 Prudential........................ 30,246 9,000 Royal & Sun Alliance Insurance Group........................... 37,807 ---------- 217,915 ---------- Food -- 1.8% 1,526 Associated British Foods.......... 11,148 16,000 Unilever.......................... 128,046 ---------- 139,194 ---------- Insurance -- 1.1% 3,000 John Mowlem & Co. ................ 10,402 34,000 Legal & General Group............. 78,192 ---------- 88,594 ---------- IT Hardware -- 0.1% 7,000 Cookson Group..................... 9,868 ---------- Machinery -- 0.5% 3,800 Morgan Crucible................... 9,984 4,000 Rexam............................. 27,512 ---------- 37,496 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Media -- 0.3% 3,000 United Business Media............. $ 26,102 ---------- Metals -- 0.4% 6,000 BHP Billiton...................... 34,197 ---------- Oil -- Integrated -- 4.4% 20,000 BP Amoco.......................... 178,000 24,000 Shell Transport & Trading Co. .... 178,739 ---------- 356,739 ---------- Oil Services -- 0.1% 2,600 Hunting........................... 6,664 ---------- Retail -- 1.5% 12,000 J Sainsbury....................... 68,267 6,000 Safeway........................... 25,098 3,000 Scottish & Newcastle.............. 23,923 ---------- 117,288 ---------- Soaps & Cosmetics -- 0.1% 3,000 Body Shop International........... 4,069 ---------- Telephone -- 1.5% 26,000 BT Group*......................... 103,667 4,000 Cable & Wireless.................. 12,745 3 Thus Group*....................... 1 ---------- 116,413 ---------- Transportation -- 0.2% 12,034 Stagecoach Holdings............... 13,024 ---------- Travel/Entertainment -- 0.7% 5,000 Six Continents.................... 53,186 ---------- 1,947,680 ---------- TOTAL INVESTMENTS (COST $8,196,553) (a) -- 98.3%........ 7,768,131 OTHER ASSETS IN EXCESS OF LIABILITIES -- 1.7%............. 133,761 ---------- NET ASSETS -- 100.0%.............. $7,901,892 ==========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized depreciation of securities as follows: Unrealized appreciation................. $ 464,247 Unrealized depreciation................. (892,669) --------- Net unrealized depreciation............. $(428,422) =========
See accompanying notes to the financial statements. 54 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - -------------------------------------------------------------------------------- FORWARD CROSS-CURRENCY EXCHANGE CONTRACTS
DELIVERY CONTRACT AMOUNT UNREALIZED DATE (LOCAL CURRENCY) DEPRECIATION -------- ---------------- ------------ Sold Australian Dollars in exchange for Hong Kong Dollars 82,668..... 4/3/02 20,000 $ (73) Sold British Pounds in exchange for Swiss Francs 60,000............. 4/2/02 25,126 $(103) Sold British Pounds in exchange for Swedish Kronas 25,000............. 4/2/02 1,702 $ (10) Deliver Swiss Francs in exchange for Euro 44,356........ 4/2/02 65,000 $ (47)
See accompanying notes to the financial statements. 55 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND - -------------------------------------------------------------------------------- AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg Multi-Strategy U.S. 90-day Market Neutral Fund Treasury bills 9/29/2000 1 1 3/31/2001 0.964 1.029 3/31/2002 1.082 1.06
AVERAGE ANNUAL TOTAL RETURNS AS OF 3/31/02
SINCE SINCE LAST 1 INCEPTION INCEPTION YEAR (9/29/00) (8/23/01) ------ --------- --------- Institutional Shares (MSMNX)................................ 12.21% 5.40% Investor Shares (RMSIX)..................................... 3.58%*** Class A Shares (RMNAX)(1)................................... 10.38% 4.08% Class A Shares*............................................. 4.27% 0.20% Class B Shares (RMNBX)(1)................................... 9.68% 3.44% Class B Shares**............................................ 4.68% 0.79% U.S. 90-day Treasury Bills.................................. 3.05% 3.96% 1.46%***
For the year ending March 31, 2002, the AXA Rosenberg Multi-Strategy Market Neutral Fund outperformed its benchmark, U.S. 90-day Treasury Bills, by 9.16%. Since inception, the Fund has outperformed the benchmark by 1.44% on an annualized basis. The Fund is an equally-weighted combination of three distinct market neutral strategies -- Value Market Neutral, Large Cap Market Neutral and Growth Market Neutral. Because each strategy has an unique earnings profile, the Manager expects that over the long run, there will not be a systematic relationship between the returns of the Fund and the value/growth cycle in the U.S. equity market. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Investment in shares of the AXA Rosenberg Multi-Strategy Market Neutral Fund is more volatile and risky than some other forms of investments. Since the Fund has both a long and a short portfolio, an investment in the AXA Rosenberg Multi-Strategy Market Neutral Fund will involve risks associated with twice the number of investment decisions made for a typical stock fund. These types of funds typically have a high portfolio turnover that could increase transaction costs and cause short-term capital gains to be realized. While it may be the intent of the Manager to take long positions in 56 stocks that outperform the market and short positions in stocks that underperform the market, in various market climates, there is no assurance that the Manager will be successful. Since risk in the AXA Rosenberg Multi-Strategy Market Neutral Fund relates specifically to the Manager's stock selection techniques and not to any systematic or economy-wide factors, the proper benchmark is an asset that also has the least exposure to systematic influences. U.S. 90-day T-bills are such an asset. An investment in 90-day T-bills is different from an investment in the AXA Rosenberg Multi-Strategy Market Neutral Fund because T-bills are backed by the full faith and credit of the U.S. Government. T-bills have a fixed rate of return, and investors do not bear the risk of losing their investment. The income received from T-bills is free from state income tax. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. *** Cumulative (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses.
57 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS -- 93.9% AIRLINES -- 0.1% 500 Mesa Air Group*.................. $ 5,600 ----------- AUTOS -- 1.8% 300 Aftermarket Technology*.......... 5,601 200 Amcast Industrial................ 1,100 400 BorgWarner....................... 25,168 1,700 General Motors................... 102,765 400 Kroll*........................... 6,660 500 Navistar International*.......... 22,150 200 Spartan Motors*.................. 1,559 1,400 Visteon.......................... 23,170 ----------- 188,173 ----------- BANKING -- 7.6% 100 American Business Financial Services....................... 1,103 200 American Home Mortgage Holdings....................... 3,100 3,000 Bank of America.................. 204,060 2,000 Colonial BancGroup............... 29,840 900 Comerica......................... 56,313 1,700 Concord EFS*..................... 56,525 1,400 Countrywide Credit Industries.... 62,650 300 Euronet Worldwide*............... 5,100 1,200 Fannie Mae....................... 95,856 100 First Citizens BancShares, Class A.............................. 10,296 600 First Tennessee National......... 21,030 300 InterCept Group*................. 10,875 400 ITLA Capital*.................... 9,900 500 National Processing*............. 14,290 500 New York Community Bancorp....... 13,825 100 North Fork Bancorporation........ 3,556 600 Student Loan..................... 54,960 600 UICI*............................ 11,370 1,155 UMB Financial.................... 49,526 1,500 Wells Fargo & Company............ 74,100 300 Wintrust Financial............... 6,891 ----------- 795,166 ----------- BIOTECHNOLOGY -- 0.8% 300 AVI BioPharma*................... 2,436 1,000 Bio-Technology General*.......... 4,910 1,000 Genzyme-General Division*........ 43,670 1,000 Gilead Sciences*................. 35,990 200 SONUS Pharmaceuticals*........... 1,186 ----------- 88,192 ----------- BUILDING -- 0.8% 300 Centex........................... 15,579 400 Champion Enterprises*............ 3,200 800 Lennar........................... 42,208 600 Skyline.......................... 18,630 300 Willbros Group*.................. 5,007 ----------- 84,624 ----------- CELLULAR -- 0.6% 700 Telephone and Data Systems....... 61,775 ----------- CHEMICALS -- 0.9% 400 Du Pont (E.I.) de Nemours........ 18,860 2,800 Sherwin-Williams................. 79,744 ----------- 98,604 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) COMPUTER -- 1.0% 4,000 Dell Computer*................... $ 104,440 500 Interactive Systems Worldwide*... 2,615 ----------- 107,055 ----------- CONSTRUCTION MATERIALS -- 0.3% 400 Ameron International............. 28,700 300 Elcor............................ 6,660 ----------- 35,360 ----------- DEFENSE -- 0.9% 200 Alliant Techsystems*............. 20,398 300 Allied Research*................. 6,990 200 DRS Technologies*................ 8,298 300 FLIR Systems*.................... 14,325 300 Pemco Aviation Group*............ 7,275 700 Textron.......................... 35,770 ----------- 93,056 ----------- DRUGS -- 3.6% 1,100 Bausch & Lomb.................... 49,027 200 Bradley Pharmaceuticals*......... 2,130 400 Cambrex.......................... 16,840 800 Forest Laboratories, Class A*.... 65,360 200 Hi-Tech Pharmacal*............... 2,173 500 IDEC Pharmaceuticals*............ 32,150 500 Immucor*......................... 7,000 600 Interneuron Pharmaceuticals*..... 5,250 300 Meridian Bioscience.............. 2,040 2,400 Mylan Laboratories............... 70,704 1,100 NBTY*............................ 18,766 3,000 Perrigo*......................... 35,850 1,200 Pfizer........................... 47,688 400 Pharmaceutical Resources*........ 8,476 300 SangStat Medical*................ 8,058 400 Versicor*........................ 7,232 500 VIVUS*........................... 4,430 200 Zonagen*......................... 882 ----------- 384,056 ----------- DURABLES -- 0.8% 800 Harley-Davidson.................. 44,104 100 Royal Appliance Manufacturing*... 535 500 Whirlpool........................ 37,775 ----------- 82,414 ----------- ELECTRIC UTILITIES -- 1.2% 1,400 Entergy.......................... 60,774 1,900 Northeast Utilities.............. 37,753 500 Pinnacle West Capital............ 22,675 ----------- 121,202 ----------- FINANCIAL INVESTMENTS -- 0.0% 300 Headwaters*...................... 4,590 ----------- FOOD -- 2.6% 800 Corn Products International...... 25,760 400 Dreyer's Grand Ice Cream......... 16,476 100 Farmer Brothers.................. 30,300 300 Flowers Foods*................... 7,641 300 H.J. Heinz....................... 12,450 200 Horizon Organic Holding*......... 3,290
See accompanying notes to the financial statements. 58 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) FOOD (CONTINUED) 300 Penford.......................... $ 4,830 800 Pepsi Bottling Group............. 20,696 2,400 PepsiCo.......................... 123,600 900 Smithfield Foods*................ 23,490 ----------- 268,533 ----------- HEALTH -- 3.0% 200 American Healthways*............. 5,428 1,300 DaVita*.......................... 32,890 2,200 Health Net*...................... 60,368 3,400 Humana*.......................... 46,002 200 LabOne*.......................... 3,460 220 MEDTOX Scientific*............... 2,288 300 National Home Health Care*....... 3,621 300 Pediatrix Medical Group*......... 12,228 400 Sierra Health Services*.......... 5,232 1,200 Tenet Healthcare*................ 80,424 900 UnitedHealth Group............... 68,778 ----------- 320,719 ----------- HOUSEHOLD -- 1.5% 1,300 Brunswick........................ 35,516 300 Chromcraft Revington*............ 3,825 600 Direct Focus*.................... 22,830 300 HON Industries................... 8,523 700 Johnson Outdoors, Class A*....... 6,895 700 Mattel........................... 14,588 200 Ohio Art Co...................... 4,440 1,900 Pactiv*.......................... 38,038 600 Russ Berrie & Co................. 19,320 200 Southwall Technologies*.......... 2,598 ----------- 156,573 ----------- INSTRUMENTS -- 6.6% 200 Advanced Neuromodulation Systems*....................... 6,708 600 Bio-Rad Laboratories, Class A*... 22,530 200 Bio-Vascular*.................... 1,654 300 BioLase Technology*.............. 1,680 2,500 Boston Scientific*............... 62,725 800 Checkpoint Systems*.............. 12,760 200 Cholestech*...................... 3,574 200 Conceptus*....................... 4,310 600 CONMED*.......................... 15,000 1,800 DENTSPLY International........... 66,708 1,000 Edwards Lifesciences*............ 27,950 200 Endocardial Solutions*........... 1,622 300 Endocare*........................ 5,913 300 Esterline Technologies*.......... 6,120 200 Fischer Imaging*................. 2,440 300 Hologic*......................... 4,635 300 Integra LifeSciences Holdings*... 8,439 100 Interpore International*......... 1,120 600 Invacare......................... 22,560 300 Invivo*.......................... 3,612 300 Isco............................. 2,985 2,200 Johnson & Johnson................ 142,890 900 Johnson Controls................. 79,479 200 Kewaunee Scientific.............. 2,080
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 200 MedAmicus*....................... $ 2,168 200 Medical Action Industries*....... 2,596 300 Mentor........................... 10,824 200 Merit Medical Systems*........... 4,040 300 Mesa Laboratories*............... 2,310 800 Mine Safety Appliances........... 30,040 1,100 MTS Systems...................... 12,045 300 Napco Security Systems*.......... 1,740 300 NMT Medical*..................... 2,400 400 Ocular Sciences*................. 11,201 300 Photon Dynamics*................. 15,267 300 Possis Medical*.................. 5,910 400 Quidel*.......................... 2,644 1,600 STERIS*.......................... 33,376 300 Strategic Diagnostics*........... 1,554 600 Sypris Solutions*................ 9,018 1,000 Thermo Electron*................. 20,730 800 Thoratec*........................ 8,760 500 Utah Medical Products*........... 7,950 ----------- 694,067 ----------- INSURANCE -- 3.5% 300 Aon.............................. 10,500 400 Brown & Brown.................... 12,560 300 Clark/Bardes*.................... 8,640 300 LandAmerica Financial Group...... 10,389 700 Loews............................ 41,006 800 Marsh & McLennan Companies....... 90,192 800 MBIA............................. 43,752 700 MIM*............................. 11,550 300 National Western Life Insurance, Class A*....................... 34,275 500 Nationwide Financial Services, Class A........................ 21,400 1,300 Old Republic International....... 41,561 1,100 Phoenix Companies*............... 21,120 300 PMA Capital, Class A............. 6,882 200 Radian Group..................... 9,816 ----------- 363,643 ----------- IT HARDWARE -- 7.3% 1,800 Applied Materials*............... 97,686 300 Artisan Components*.............. 4,980 1,000 ChipPAC, Class A*................ 9,820 600 Cisco Systems*................... 10,158 600 Cobra Electronics*............... 4,524 1,100 Digi International*.............. 5,995 200 Dupont Photomask*................ 10,400 600 Emulex*.......................... 19,758 200 Espey Mfg. & Electronics......... 3,998 1,100 ESS Technology*.................. 22,814 1,200 Fairchild Semiconductor, Class A*............................. 34,320 2,300 Flextronics International*....... 41,975 100 General Dynamics................. 9,395 300 Genesis Microchip*............... 7,800 1,000 Harris........................... 35,910 500 Hutchinson Technology*........... 10,785 1,300 Imation*......................... 34,489 3,400 Intel............................ 103,394
See accompanying notes to the financial statements. 59 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) IT HARDWARE (CONTINUED) 400 Inter-Tel........................ $ 7,388 300 Itron*........................... 8,925 300 Level 3 Communications*.......... 33,600 600 Marvell Technology Group*........ 26,280 900 Micron Technology*............... 29,610 1,000 National Semiconductor*.......... 33,690 200 Nortech Systems*................. 2,106 1,000 NVIDIA*.......................... 44,360 300 OmniVision Technologies*......... 3,309 400 PLX Technology*.................. 4,880 800 Polycom*......................... 19,680 500 Silicon Laboratories*............ 17,665 200 SMTEK International*............. 540 800 SonicWALL*....................... 10,432 900 Terayon Communication Systems*... 7,632 400 Xicor*........................... 4,252 900 Xilinx*.......................... 35,874 300 Zoran*........................... 13,104 ----------- 771,528 ----------- LIQUOR & TOBACCO -- 1.8% 700 Adolph Coors, Class B............ 47,229 2,700 Philip Morris Companies.......... 142,209 ----------- 189,438 ----------- MACHINERY -- 4.1% 200 Advanced Technical Products*..... 5,300 600 Ampco-Pittsburgh................. 6,990 100 Applied Films*................... 2,460 1,100 Cummins.......................... 51,953 400 Drew Industries*................. 5,080 200 Engineered Support Systems....... 9,250 1,700 Fortune Brands................... 83,929 300 Gehl*............................ 4,545 1,100 Griffon*......................... 18,425 400 Harsco........................... 15,656 800 ITT Industries................... 50,432 600 L.S. Starrett, Class A........... 13,092 2,100 Lennox International............. 27,762 200 Peerless Mfg.*................... 3,676 900 Pentair.......................... 40,473 300 Silgan Holdings*................. 10,029 600 Tecumseh Products, Class B....... 29,700 600 Teleflex......................... 32,802 900 Timken........................... 20,781 ----------- 432,335 ----------- MEDIA -- 3.2% 700 Bowne & Co....................... 9,849 700 Clear Channel Communications*.... 35,987 500 Equity Marketing*................ 6,150 100 Grey Global Group................ 68,100 1,400 Interpublic Group of Cos......... 47,992 500 Media General, Class A*.......... 31,750 1,200 Metro-Goldwyn-Mayer*............. 19,944 700 Scholastic*...................... 37,933 1,700 Viacom, Class A*................. 82,620 ----------- 340,325 -----------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) METALS -- 0.6% 800 Intermet......................... $ 5,616 600 Mueller Industries*.............. 20,994 400 Oregon Steel Mills............... 3,040 700 Quanex........................... 24,850 800 Steel Technologies............... 6,824 ----------- 61,324 ----------- MISCELLANEOUS FINANCIAL -- 1.6% 500 Ambac Financial Group............ 29,535 200 American Capital Strategies...... 6,192 2,000 Ameritrade Holding, Class A*..... 12,980 700 Bear Stearns..................... 43,925 600 Federated Investors, Class B..... 19,410 400 Interactive Data*................ 7,020 450 John Nuveen, Class A............. 24,818 400 Legg Mason....................... 21,232 ----------- 165,112 ----------- OFFICE MACHINERY -- 1.7% 500 Brocade Communications Systems*....................... 13,500 300 Ciprico*......................... 1,755 700 Coinstar*........................ 23,583 600 Hunt............................. 6,150 300 Metrologic Instruments*.......... 2,202 1,300 NCR*............................. 58,175 300 Printronix*...................... 3,600 400 Secure Computing*................ 7,844 2,100 Storage Technology*.............. 45,024 300 Stratasys*....................... 2,715 2,100 Western Digital*................. 13,083 ----------- 177,631 ----------- OIL -- INTEGRATED -- 0.8% 400 Amerada Hess..................... 31,744 1,900 Occidental Petroleum............. 55,385 ----------- 87,129 ----------- OIL DISTRIBUTION -- 0.6% 600 Ashland.......................... 27,306 1,200 Sempra Energy.................... 30,180 200 TransMontaigne*.................. 1,040 ----------- 58,526 ----------- OIL SERVICES -- 0.8% 1,900 GlobalSantaFe.................... 62,130 300 Kaneb Services................... 6,705 400 Paradigm Geophysical*............ 1,568 1,400 Petroleum Development*........... 8,959 ----------- 79,362 ----------- OTHER UTILITIES -- 0.3% 300 Casella Waste Systems, Class A*............................. 3,576 800 KeySpan 29,112 ----------- 32,688 ----------- PAPER -- 0.4% 200 American Woodmark................ 12,615 800 Boise Cascade.................... 28,992
See accompanying notes to the financial statements. 60 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) PAPER (CONTINUED) 100 CSS Industries*.................. $ 3,251 300 Nashua*.......................... 1,770 ----------- 46,628 ----------- REAL ESTATE ASSETS -- 0.1% 400 Jones Lang LaSalle*.............. 8,860 200 Newmark Homes.................... 3,406 ----------- 12,266 ----------- REAL ESTATE INVESTMENT TRUSTS -- 1.5% 1,200 CBL & Associates Properties...... 42,420 1,200 iStar Financial.................. 34,680 1,600 Prentiss Properties Trust........ 47,232 400 Public Storage................... 14,804 500 Vornado Realty Trust............. 22,080 ----------- 161,216 ----------- RETAIL -- 10.0% 900 1-800-FLOWERS.COM*............... 12,258 1,900 Amazon.com*...................... 27,170 2,200 AutoNation*...................... 30,624 1,600 AutoZone*........................ 110,160 600 Barnes & Noble*.................. 18,594 800 Bed Bath & Beyond*............... 27,000 1,000 Best Buy*........................ 79,200 200 Blair............................ 3,680 1,400 Borders Group*................... 33,474 2,100 Caremark Rx*..................... 40,950 3,900 Charming Shoppes*................ 30,888 1,000 Costco Wholesale*................ 39,820 1,100 eBay*............................ 62,304 3,300 Foot Locker*..................... 53,394 500 Global Sports*................... 8,550 1,100 Home Depot....................... 53,471 800 Longs Drug Stores................ 22,296 3,200 Office Depot*.................... 63,520 1,200 Petsmart*........................ 16,272 2,100 Priceline.com*................... 10,983 900 Ross Stores...................... 34,047 2,200 Staples*......................... 43,934 500 The Finish Line, Class A*........ 9,225 1,400 Ticketmaster*.................... 41,412 2,500 TJX Companies.................... 100,025 500 Tractor Supply*.................. 23,000 800 Wal-Mart Stores.................. 49,032 300 Wet Seal*........................ 10,467 ----------- 1,055,750 ----------- SERVICES -- 3.9% 400 aaiPharma*....................... 14,376 300 Angelica......................... 4,647 600 Apollo Group, Class A*........... 32,130 300 BioReliance*..................... 6,882 300 Carriage Services, Class A*...... 1,515 800 Cornell Companies*............... 8,640 1,200 Covance*......................... 24,336 800 Equifax.......................... 23,920 200 eResearch Technology*............ 3,198 1,000 Gartner Group, Class A*.......... 12,900
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 1,500 H & R Block...................... $ 66,675 500 Healthcare Services Group*....... 5,725 1,300 Information Resources*........... 11,947 300 Kendle International*............ 5,577 700 KPMG Consulting*................. 14,140 1,100 MPS Group*....................... 9,625 500 NCO Portfolio Management*........ 3,250 300 Nobel Learning Communities*...... 2,097 400 Opinion Research*................ 2,400 800 PAREXEL International*........... 12,832 900 Pittston Brink's Group........... 22,590 1,800 Quintiles Transnational*......... 31,950 200 Right Management Consultants*.... 5,064 200 RMH Teleservices*................ 3,960 1,800 The New Dun & Bradstreet......... 72,018 300 U.S. Laboratories*............... 4,026 300 Wackenhut Corrections*........... 4,500 ----------- 410,920 ----------- SOAPS & COSMETICS -- 0.3% 200 Chattem*......................... 4,686 900 Dial............................. 16,218 400 Stepan........................... 10,740 ----------- 31,644 ----------- SOFTWARE -- 11.5% 750 Activision*...................... 22,373 1,100 Affiliated Computer Services, Class A*....................... 61,743 1,300 Alliance Data Systems*........... 32,682 200 Ansoft*.......................... 3,670 200 CACI International, Class A*..... 7,022 400 Cerner*.......................... 19,084 300 Concord Communications*.......... 6,345 300 DocuCorp International*.......... 2,268 500 Documentum*...................... 12,725 1,700 Electronic Data Systems.......... 98,583 600 Elite Information Group*......... 6,774 300 F5 Networks*..................... 6,972 2,100 First Data....................... 183,224 400 Group 1 Software*................ 5,580 1,100 GTECH Holdings*.................. 53,625 600 Hyperion Solutions*.............. 16,206 900 Indus International*............. 4,698 900 Intergraph*...................... 15,849 1,400 International Business Machines....................... 145,600 200 Intrado*......................... 4,358 1,000 Intuit*.......................... 38,360 700 J.D. Edwards & Co.*.............. 12,628 400 JDA Software Group*.............. 12,752 2,900 Microsoft*....................... 174,899 800 Network Associates*.............. 19,360 400 Ontrack Data International*...... 3,932 1,200 PeopleSoft*...................... 43,836 500 Per-Se Technologies*............. 6,040 1,500 Perot Systems, Class A*.......... 29,925 200 Progress Software*............... 3,628 100 Prophet 21*...................... 1,215 500 Retek*........................... 13,125
See accompanying notes to the financial statements. 61 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 1,200 SS&C Technologies*............... $ 12,360 1,600 Sybase*.......................... 27,952 600 Sykes Enterprises*............... 5,814 1,500 Symantec*........................ 61,815 500 Tier Technologies*............... 8,825 300 TSR*............................. 1,704 1,900 Unisys*.......................... 23,997 ----------- 1,211,548 ----------- TELEPHONE -- 0.8% 300 Atlantic Tele-Network............ 3,864 200 Hector Communications*........... 2,900 300 Hotel Reservations Network, Class A*............................. 17,679 500 Overture Services*............... 13,960 2,500 Yahoo!*.......................... 46,175 ----------- 84,578 ----------- TEXTILES -- 0.9% 1,200 Collins & Aikman*................ 8,040 800 Liz Claiborne.................... 22,688 300 Mohawk Industries*............... 18,027 1,000 Tommy Hilfiger*.................. 14,350 700.. V.F. ............................ 30,275 ----------- 93,380 ----------- TRANSPORTATION -- 1.3% 300 J.B. Hunt Transport Services*.... 8,529 500 Landstar System*................. 46,400 400 P.A.M. Transportation Services*...................... 10,120 700 Roadway Express.................. 25,900 500 Union Pacific.................... 31,070 600 Yellow*.......................... 15,834 ----------- 137,853 ----------- TRAVEL/ENTERTAINMENT -- 2.1% 300 AMC Entertainment*............... 4,092 500 Blockbuster, Class A............. 11,735 1,000 CBRL Group....................... 28,470 300 CKE Restaurants.................. 2,685 1,000 Darden Restaurants............... 40,590 300 Garden Fresh Restaurant*......... 2,895 1,400 Harrah's Entertainment*.......... 61,964 600 Hollywood Entertainment*......... 10,080 500 Lakes Gaming*.................... 3,475 300 Movie Gallery*................... 5,151 300 MTR Gaming Group*................ 4,629 200 Multimedia Games*................ 7,070
SHARES VALUE - ------ ----------- COMMON STOCKS (CONTINUED) TRAVEL/ENTERTAINMENT (CONTINUED) 300 Penn National Gaming*............ $ 10,506 100 Sun International Hotels*........ 2,721 700 Wendy's International............ 24,486 ----------- 220,549 ----------- WHOLESALE -- 0.7% 300 Action Performance Companies*.... 14,775 200 D & K Healthcare Resources....... 12,004 100 Henry Schein*.................... 4,405 400 Hughes Supply.................... 15,584 300 Keystone Automotive Industries*.................... 5,154 200 Sysco............................ 5,964 300 Traffix*......................... 2,199 300 United Natural Foods*............ 7,473 300 Women First HealthCare*.......... 2,967 ----------- 70,525 ----------- TOTAL COMMON STOCKS.............. 9,885,657 ----------- WARRANTS -- 0.0% TRAVEL/ENTERTAINMENT -- 0.0% 7 Creative Host Services @ 8.32, 10/2/03........................ 0 ----------- TOTAL WARRANTS................... 0 ----------- REPURCHASE AGREEMENTS -- 3.3% Bear Stearns, dated 3/28/02, due 4/1/02 at 1.85% with a maturity value of $345,047 (Collateralized by Freddie Mac securities).................... 344,976 ----------- TOTAL REPURCHASE AGREEMENTS...... 344,976 ----------- TOTAL INVESTMENTS (COST $8,747,151) (A) -- 97.2%....... 10,230,633 OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.8%............ 292,615 ----------- NET ASSETS -- 100.0%............. $10,523,248 ===========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation................ $1,604,483 Unrealized depreciation................ (121,001) ---------- Net unrealized appreciation............ $1,483,482 ==========
See accompanying notes to the financial statements. 62 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 92.5% AIRLINES -- 1.5% 1,100 AirTran Holdings*................. $ 6,655 900 CNF............................... 29,691 900 Northwest Airlines*............... 17,163 300 SkyWest........................... 7,479 5,200 Southwest Airlines................ 100,620 ---------- 161,608 ---------- AUTOS -- 1.2% 5,100 Ford Motor........................ 84,099 1,200 Gentex*........................... 35,556 400 IMPCO Technologies*............... 5,184 ---------- 124,839 ---------- BANKING -- 4.2% 2,400 American Express.................. 98,304 1,300 Bay View Capital*................. 8,892 500 Capital One Financial............. 31,925 500 Investors Financial Services...... 38,025 700 Net.B@nk*......................... 11,830 2,000 Northern Trust.................... 120,220 1,200 PNC Financial Services Group...... 73,788 2,600 Providian Financial............... 19,630 800 Silicon Valley Bancshares*........ 24,200 400 Southwest Bancorporation of Texas*.......................... 13,336 ---------- 440,150 ---------- BIOTECHNOLOGY -- 2.7% 800 Abgenix*.......................... 15,112 300 ABIOMED*.......................... 3,330 400 Amgen*............................ 23,872 800 Aphton*........................... 9,448 300 Avigen*........................... 3,330 300 BioCryst Pharmaceuticals*......... 1,371 200 Biogen*........................... 9,812 400 Corvas International*............. 2,276 500 Diversa*.......................... 6,350 600 EntreMed*......................... 4,560 400 Genome Therapeutics*.............. 2,264 400 Genzyme Transgenics*.............. 1,320 300 Geron*............................ 2,283 1,700 Human Genome Sciences*............ 37,043 700 Incyte Genomics*.................. 8,330 300 Keryx Biopharmaceuticals*......... 1,647 400 Kosan Biosciences*................ 3,080 800 Medarex*.......................... 12,903 800 MedImmune*........................ 31,464 700 Myriad Genetics*.................. 23,457 300 Noven Pharmaceuticals*............ 6,222 300 Onyx Pharmaceuticals*............. 1,374 600 PRAECIS Pharmaceuticals*.......... 3,120 300 Progenics Pharmaceuticals*........ 4,500 500 Protein Design Labs*.............. 8,565 400 Regeneration Technologies*........ 2,900 100 Regeneron Pharmaceutical*......... 2,499 300 Ribozyme Pharmaceuticals*......... 870 1,700 Techne*........................... 46,869 600 Texas Biotechnology*.............. 3,690
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) BIOTECHNOLOGY (CONTINUED) 400 Titan Pharmaceuticals*............ $ 2,804 ---------- 286,665 ---------- BUILDING -- 0.2% 200 Horizon Offshore*................. 2,346 700 Insituform Technologies, Class A*.............................. 17,689 ---------- 20,035 ---------- CELLULAR -- 0.6% 1,200 Centennial Communications*........ 4,320 1,100 Dobson Communications*............ 3,465 500 Leap Wireless International*...... 4,210 3,200 Nextel Communications, Class A*... 17,216 500 Sprint (PCS Group)*............... 5,145 500 United States Cellular*........... 20,500 1,000 Western Wireless, Class A*........ 8,740 ---------- 63,596 ---------- CHEMICALS -- 0.7% 400 BioSphere Medical*................ 2,924 300 Eden Bioscience*.................. 720 3,200 Lyondell Chemical................. 53,152 300 The Scotts Company, Class A*...... 13,734 ---------- 70,530 ---------- COMPUTER -- 0.5% 1,800 Gateway*.......................... 11,376 5,200 Sun Microsystems*................. 45,864 ---------- 57,240 ---------- CONSTRUCTION MATERIALS -- 0.1% 300 CoorsTek*......................... 11,526 ---------- DEFENSE -- 0.1% 500 Garmin*........................... 11,460 300 Innovative Solutions & Support*... 2,958 ---------- 14,418 ---------- DRUGS -- 7.4% 300 3 Dimensional Pharmaceuticals*.... 2,049 1,200 Alkermes*......................... 31,272 1,200 Amylin Pharmaceuticals*........... 12,012 900 AtheroGenics*..................... 6,516 3,300 Bristol-Myers Squibb.............. 133,617 300 Cerus*............................ 16,071 500 Chiron*........................... 22,945 400 Cubist Pharmaceuticals*........... 7,392 500 CV Therapeutics*.................. 18,100 400 Dendreon*......................... 2,476 1,000 Eli Lilly & Co. .................. 76,200 400 Emisphere Technologies*........... 6,804 992 Enzo Biochem*..................... 20,098 900 Genencor International*........... 10,215 400 Guilford Pharmaceuticals*......... 2,848 300 Hyseq*............................ 1,596 900 Impax Laboratories*............... 6,246 800 Isis Pharmaceuticals*............. 12,864 1,000 King Pharmaceuticals*............. 35,010 3,600 Millennium Pharmaceuticals*....... 80,316 300 Neose Technologies*............... 9,615 300 Neurogen*......................... 3,828
See accompanying notes to the financial statements. 63 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) DRUGS (CONTINUED) 700 Pain Therapeutics*................ $ 6,692 2,100 Pharmacia......................... 94,668 400 POZEN*............................ 2,312 2,300 Schering-Plough................... 71,990 1,500 Sepracor*......................... 29,100 600 Tanox*............................ 8,496 1,500 Tularik*.......................... 24,660 100 United Therapeutics*.............. 1,346 600 Vertex Pharmaceuticals*........... 16,716 300 Vical*............................ 2,775 ---------- 776,845 ---------- DURABLES -- 0.0% 400 National R.V. Holdings*........... 4,888 ---------- ELECTRIC UTILITIES -- 1.3% 300 AES*.............................. 2,700 1,500 DPL............................... 38,325 900 Great Plains Energy............... 22,455 1,900 PPL............................... 75,259 ---------- 138,739 ---------- FINANCIAL INVESTMENTS -- 0.4% 400 Competitive Technologies*......... 1,240 1,200 Macrovision*...................... 31,980 800 Rambus*........................... 6,232 ---------- 39,452 ---------- FOOD -- 2.7% 600 Aurora Foods*..................... 2,514 1,500 Cadiz*............................ 13,500 200 Cagle's, Class A*................. 1,770 800 Charles River Laboratories International*.................. 24,800 2,600 Coca-Cola......................... 135,876 1,200 Coca-Cola Enterprises............. 22,536 800 Delta & Pine Land................. 15,176 300 Gum Tech International*........... 2,592 500 Hain Celestial Group*............. 11,125 500 Tejon Ranch*...................... 15,650 824 Tootsie Roll Industries........... 37,896 ---------- 283,435 ---------- HEALTH -- 1.4% 200 Alliance Imaging*................. 2,460 700 CryoLife*......................... 14,630 300 IMPATH*........................... 12,312 700 LifePoint Hospitals*.............. 25,872 1,200 Lincare Holdings*................. 32,544 1,500 Manor Care*....................... 34,950 300 RehabCare Group*.................. 8,550 500 Specialty Laboratories*........... 11,945 ---------- 143,263 ---------- HOUSEHOLD -- 1.5% 200 AEP Industries*................... 6,880 500 Callaway Golf..................... 9,625 600 Daktronics*....................... 4,794 1,600 Herman Miller..................... 38,048 900 Newell Rubbermaid................. 28,764 300 Quixote........................... 5,595
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) HOUSEHOLD (CONTINUED) 300 Rogers*........................... $ 9,963 1,100 Thomas & Betts.................... 23,276 1,100 Tupperware........................ 25,025 200 WMS Industries*................... 3,800 ---------- 155,770 ---------- INSTRUMENTS -- 4.9% 1,400 Agilent Technologies*............. 48,944 100 Aksys*............................ 878 1,700 Applera Corporation -- Applied Biosystems Group................ 37,995 800 Aradigm*.......................... 3,760 300 ArthroCare*....................... 5,403 600 Aspect Medical Systems*........... 5,340 400 BEI Medical Systems*.............. 2,380 900 Bruker Daltonics*................. 8,622 500 Caliper Technologies*............. 6,485 400 ChromaVision Medical Systems*..... 1,960 800 Ciphergen Biosystems*............. 4,816 300 Closure Medical*.................. 5,904 700 Cognex*........................... 20,342 400 Cyberonics*....................... 6,396 300 CyberOptics*...................... 3,891 300 Diametrics Medical*............... 1,257 400 Digital Lightwave*................ 2,492 300 Dionex*........................... 7,299 900 Finisar*.......................... 6,930 700 Harvard Bioscience*............... 6,153 300 i-STAT*........................... 2,187 700 Illumina*......................... 6,622 800 Intuitive Surgical*............... 7,520 900 Ixia*............................. 7,650 400 Keithley Instruments.............. 8,788 300 LoJack*........................... 1,584 200 Measurement Specialties*.......... 1,390 3,200 Medtronic......................... 144,672 600 Micro Therapeutics*............... 4,740 600 Millipore......................... 26,544 300 Molecular Devices*................ 5,451 100 PerkinElmer....................... 1,850 300 Sequenom*......................... 2,070 400 Tollgrade Communications*......... 9,804 700 Transgenomic*..................... 6,328 1,400 TriPath Imaging*.................. 8,022 700 UTStarcom*........................ 18,361 2,300 Waters*........................... 64,331 300 Zygo*............................. 4,866 ---------- 520,027 ---------- INSURANCE -- 3.3% 1,700 21st Century Insurance Group...... 30,753 800 American International Group...... 57,712 400 Annuity And Life Re (Holdings).... 7,740 600 Chubb............................. 43,860 5,600 Conseco*.......................... 20,272 200 Markel*........................... 40,702 1,100 St. Paul Companies................ 50,435 300 Unico American.................... 1,696
See accompanying notes to the financial statements. 64 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) INSURANCE (CONTINUED) 100 White Mountains Insurance Group... $ 34,540 600 XL Capital, Class A............... 56,010 ---------- 343,720 ---------- IT HARDWARE -- 6.9% 300 Advanced Energy Industries*....... 10,788 1,000 Altera*........................... 21,870 900 Avanex*........................... 3,609 400 AVX............................... 8,376 400 AXT*.............................. 4,280 200 California Micro Devices*......... 870 500 Centillium Communications*........ 6,050 100 COMARCO*.......................... 1,041 1,300 Comverse Technology*.............. 16,471 1,700 Crown Castle International*....... 11,237 700 DDi*.............................. 5,971 500 DuraSwitch Industries*............ 3,675 500 EMCORE*........................... 4,805 300 Energy Conversion Devices*........ 6,225 1,600 Enterasys Networks*............... 6,768 400 Exar*............................. 8,216 300 Globecomm Systems*................ 2,124 600 GlobespanVirata*.................. 8,952 400 Helix Technology.................. 10,128 200 hi/fn*............................ 2,360 200 Ibis Technology*.................. 2,944 500 InterVoice-Brite*................. 3,200 400 IXYS*............................. 4,676 900 Jabil Circuit*.................... 21,177 2,800 Linear Technology................. 123,816 6,900 Lucent Technologies*.............. 32,637 600 Mattson Technology*............... 4,200 200 Maxwell Technologies*............. 1,860 200 Merrimac Industries*.............. 2,500 500 Micrel*........................... 12,610 600 MIPS Technologies, Class A*....... 4,416 1,800 Molex............................. 62,406 600 Monolithic System Technology*..... 6,900 300 Plexus*........................... 7,080 600 PMC-Sierra*....................... 9,768 1,000 QLogic*........................... 49,520 300 Rudolph Technologies*............. 12,948 1,700 Sanmina-SCI*...................... 19,975 2,800 Solectron*........................ 21,840 900 Stratos Lightwave*................ 3,978 300 Technitrol........................ 7,152 500 Tekelec*.......................... 5,730 2,000 Tellabs*.......................... 20,940 300 Telular*.......................... 2,247 2,300 Teradyne*......................... 90,689 800 Texas Instruments................. 26,480 100 Therma-Wave*...................... 1,444 1,000 TranSwitch*....................... 3,260 300 Trikon Technologies*.............. 4,404 400 TriQuint Semiconductor*........... 4,804 600 Vicor*............................ 10,140 ---------- 729,557 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) MACHINERY -- 1.8% 400 A.S.V.*........................... $ 4,700 2,900 American Power Conversion*........ 42,862 300 American Superconductor*.......... 2,265 400 C&D Technologies.................. 8,408 200 Dover............................. 8,200 600 Electro Scientific Industries*.... 21,990 400 Excel Technology*................. 8,784 1,300 FuelCell Energy*.................. 20,488 300 Global Power Equipment Group*..... 3,741 600 Mettler-Toledo International*..... 27,156 500 Proton Energy Systems*............ 3,250 200 Quipp*............................ 2,700 1,600 Valence Technology*............... 4,880 600 Weatherford International*........ 28,578 ---------- 188,002 ---------- MEDIA -- 3.4% 600 Acme Communications*.............. 6,204 200 Catalina Marketing*............... 7,300 2,600 Entravision Communications, Class A*.............................. 38,480 300 Gray Communications Systems....... 4,806 1,000 Journal Register*................. 21,200 900 Lamar Advertising*................ 36,558 5,700 Liberty Media, Class A*........... 72,048 2,700 PRIMEDIA*......................... 8,559 800 Private Media Group*.............. 4,512 100 R.H. Donnelley*................... 3,043 900 Readers Digest Association........ 20,169 1,400 Spanish Broadcasting System, Class A*.............................. 18,970 400 TMP Worldwide*.................... 13,788 900 Univision Communications, Class A*.............................. 37,800 600 Wallace Computer Services......... 12,120 2,400 Walt Disney....................... 55,392 ---------- 360,949 ---------- METALS -- 1.3% 1,100 Andrew*........................... 18,403 1,100 CommScope*........................ 19,140 800 Phelps Dodge...................... 33,680 3,400 United States Steel............... 61,710 ---------- 132,933 ---------- MISCELLANEOUS FINANCIAL -- 2.6% 100 BlackRock*........................ 4,460 4,000 Charles Schwab.................... 52,360 1,800 Citigroup......................... 89,136 600 LaBranche & Co.*.................. 18,630 1,200 Morgan Stanley Dean Witter & Co. ............................ 68,772 800 Neuberger Berman.................. 37,480 ---------- 270,838 ---------- OFFICE MACHINERY -- 2.5% 1,800 Advanced Digital Information*..... 23,418 600 Echelon*.......................... 10,800 9,300 EMC*.............................. 110,856 1,200 McDATA, Class B*.................. 14,520 3,200 Network Appliance*................ 65,216 400 RadiSys*.......................... 7,204 300 RADWARE*.......................... 3,441
See accompanying notes to the financial statements. 65 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) OFFICE MACHINERY (CONTINUED) 700 SBS Technologies*................. $ 8,946 400 Veritas Software*................. 17,532 ---------- 261,933 ---------- OIL -- 2.1% 600 Devon Energy...................... 28,962 1,700 EOG Resources..................... 68,952 100 Evergreen Resources*.............. 4,170 600 Kerr-McGee........................ 37,710 1,900 McMoRan Exploration*.............. 6,270 100 Newfield Exploration*............. 3,699 300 Penn Virginia..................... 12,045 300 Prima Energy*..................... 7,470 600 St. Mary Land & Exploration....... 13,026 400 Stone Energy*..................... 15,500 700 Tom Brown*........................ 19,110 ---------- 216,914 ---------- OIL -- INTEGRATED -- 2.6% 1,200 ChevronTexaco..................... 108,324 3,800 Exxon Mobil....................... 166,554 ---------- 274,878 ---------- OIL DISTRIBUTION -- 0.6% 800 Dynegy, Class A................... 23,200 600 El Paso........................... 26,418 500 NorthWestern...................... 11,000 300 Plains Resources*................. 7,464 ---------- 68,082 ---------- OIL SERVICES -- 2.1% 1,000 Baker Hughes...................... 38,250 1,000 BJ Services*...................... 34,470 300 Cal Dive International*........... 7,470 2,300 ENSCO International............... 69,322 800 Nabors Industries*................ 33,800 1,500 Rowan Cos.*....................... 34,560 400 RPC............................... 5,960 ---------- 223,832 ---------- OTHER UTILITIES -- 0.4% 1,400 Allied Waste Industries*.......... 18,200 500 Kinder Morgan..................... 24,215 ---------- 42,415 ---------- PAPER -- 0.3% 500 Pope & Talbot..................... 7,330 400 Potlatch.......................... 13,476 300 Trex*............................. 7,098 ---------- 27,904 ---------- REAL ESTATE ASSETS -- 0.4% 1,800 Sotheby's Holdings, Class A*...... 28,890 100 United Park City Mines*........... 2,313 400 Vector Group...................... 11,440 ---------- 42,643 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS -- 0.7% 200 Apartment Investment & Management, Class A......................... $ 9,674 1,400 Crescent Real Estate Equities..... 27,160 1,400 Equity Residential Properties Trust........................... 40,236 ---------- 77,070 ---------- RETAIL -- 7.9% 200 1-800 CONTACTS*................... 2,130 1,200 7-Eleven*......................... 13,380 1,400 Abercrombie & Fitch, Class A*..... 43,120 300 Charlotte Russe Holding*.......... 7,782 500 Chronimed*........................ 3,465 200 Coldwater Creek*.................. 3,552 400 Cost Plus*........................ 10,945 2,600 Dollar General.................... 42,328 300 Duane Reade*...................... 10,194 800 Factory 2-U Stores*............... 10,320 4,900 Gap............................... 73,696 200 Glacier Water Services*........... 2,400 6,500 Kroger*........................... 144,040 700 Pacific Sunwear of California*.... 17,220 3,900 RadioShack........................ 117,156 2,300 Safeway*.......................... 103,546 2,300 Saks*............................. 30,245 100 Stein Mart*....................... 1,001 400 Talbots........................... 14,160 3,900 Walgreen.......................... 152,841 400 Wilsons The Leather Experts*...... 4,784 1,100 Winn-Dixie Stores................. 17,644 ---------- 825,949 ---------- SERVICES -- 3.4% 550 Acacia Research*.................. 6,276 900 Albany Molecular Research*........ 21,573 1,100 Applied Molecular Evolution*...... 9,460 400 Arena Pharmaceuticals*............ 3,984 900 CheckFree*........................ 13,797 300 Corporate Executive Board*........ 11,253 1,900 CuraGen*.......................... 30,514 800 Deltagen*......................... 5,392 900 DeVry*............................ 27,117 1,100 Edison Schools*................... 15,290 300 Forrester Research*............... 5,730 300 Genaissance Pharmaceuticals*...... 888 1,400 Getty Images*..................... 41,944 2,000 IMS Health........................ 44,900 200 Learning Tree International*...... 4,840 500 Maxygen*.......................... 6,260 400 Microvision*...................... 4,568 600 On Assignment*.................... 10,740 800 Paychex........................... 31,760 300 PDI*.............................. 5,088 300 Pharmacopeia*..................... 3,993 200 Resources Connection*............. 5,786 900 Robert Half International*........ 26,568 300 SatCon Technology*................ 975 200 Steiner Leisure*.................. 4,312
See accompanying notes to the financial statements. 66 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND SCHEDULE OF SECURITIES SOLD SHORT (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) SERVICES (CONTINUED) 500 Syntroleum*....................... $ 2,975 875 Tetra Tech*....................... 12,504 ---------- 358,487 ---------- SOAPS & COSMETICS -- 0.1% 400 Estee Lauder Companies, Class A... 13,664 ---------- SOFTWARE -- 9.2% 700 Actuate*.......................... 5,054 700 ACTV*............................. 1,056 300 Adept Technology*................. 900 1,200 Adobe Systems..................... 48,348 500 Advent Software*.................. 29,580 1,200 Amdocs*........................... 31,980 400 Automatic Data Processing......... 23,308 3,600 BEA Systems*...................... 49,356 2,500 BMC Software*..................... 48,625 1,900 Broadwing*........................ 13,281 300 Carreker*......................... 2,616 3,000 Citrix Systems*................... 51,840 400 Click Commerce*................... 508 1,700 Compuware*........................ 21,947 500 CSG Systems International*........ 14,235 200 Datalink*......................... 1,160 500 Digital Insight*.................. 13,775 500 Docent*........................... 885 300 Eclipsys*......................... 4,923 700 Electronic Arts*.................. 42,560 600 Identix*.......................... 5,322 300 Interactive Intelligence*......... 1,644 1,900 Jack Henry & Associates........... 42,142 2,700 Legato Systems*................... 24,327 300 MapInfo*.......................... 3,000 600 MatrixOne*........................ 5,352 300 Mercury Computer Systems*......... 9,588 1,600 Mercury Interactive*.............. 60,240 600 Micromuse*........................ 5,256 200 Moldflow*......................... 2,700 900 National Instruments*............. 37,638 700 Netegrity*........................ 10,353 700 Numerical Technologies*........... 9,457 1,000 NYFIX*............................ 14,960 400 ONYX Software*.................... 1,996 1,200 Openwave Systems*................. 7,632 9,200 Oracle*........................... 117,760 5,500 Parametric Technology*............ 33,220 1,200 Peregrine Systems*................ 11,424 1,000 Sabre Holdings*................... 46,710 400 Sanchez Computer Associates*...... 2,700 1,300 Sapient*.......................... 6,175 1,600 Siebel Systems*................... 52,176 800 SpeechWorks International*........ 6,272 300 Stellent*......................... 2,889 800 Support.Com*...................... 2,416 400 Synplicity*....................... 3,120
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) SOFTWARE (CONTINUED) 600 TriZetto Group*................... $ 7,290 500 Ulticom*.......................... 3,820 500 Verity*........................... 8,840 300 Wind River Systems*............... 4,077 ---------- 956,433 ---------- TELEPHONE -- 6.0% 900 Adelphia Communications, Class A*.............................. 13,410 1,100 Allegiance Telecom*............... 3,300 1,200 American Tower, Class A*.......... 6,492 1,600 Cablevision Systems, Class A*..... 54,400 5,600 Citizens Communications*.......... 60,200 300 Cox Communications, Class A*...... 11,292 1,500 Crown Media Holdings, Class A*.... 18,600 8,600 General Motors, Class H*.......... 141,470 300 IDT*.............................. 6,057 700 Insight Communications*........... 14,665 3,300 Mediacom Communications*.......... 46,233 900 Pegasus Communications*........... 2,718 600 SBA Communications*............... 1,974 3,300 SBC Communications................ 123,552 1,400 Time Warner Telecom*.............. 8,512 200 Washington Post, Class B.......... 121,406 ---------- 634,281 ---------- TEXTILES -- 0.7% 3,500 Sara Lee.......................... 72,660 ---------- TRANSPORTATION -- 0.8% 800 C.H. Robinson Worldwide........... 26,880 500 Expeditors International of Washington...................... 30,500 500 Florida East Coast Industries, Class A......................... 14,155 400 Forward Air*...................... 12,660 ---------- 84,195 ---------- TRAVEL/ENTERTAINMENT -- 1.5% 500 Bally Total Fitness Holding*...... 10,975 800 California Pizza Kitchen*......... 20,008 100 Gaylord Entertainment*............ 2,660 1,300 Hilton Hotels..................... 18,590 500 Speedway Motorsports*............. 14,255 1,800 Starbucks*........................ 41,634 1,300 Starwood Hotels & Resorts Worldwide....................... 48,893 200 Station Casinos*.................. 3,330 ---------- 160,345 ---------- WHOLESALE -- 0.5% 800 Fluor............................. 32,632 300 Performance Food Group*........... 9,798 400 Priority Healthcare, Class B*..... 10,404 ---------- 52,834 ---------- TOTAL SECURITIES SOLD SHORT (PROCEEDS $10,155,377) -- 92.5%........... $9,733,544 ==========
- --------------- * Non-income producing security. See accompanying notes to the financial statements. 67 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND - -------------------------------------------------------------------------------- AXA ROSENBERG U.S. DISCOVERY FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg Russell 2500 U.S. Discovery Fund Index 9/4/2001 1 1 3/31/2002 1.113 1.086
PERFORMANCE UPDATE AS OF 3/31/02 -- CUMULATIVE TOTAL RETURNS
SINCE SINCE INCEPTION INCEPTION (9/4/01) (10/3/01) --------- --------- Institutional Shares (RDISX)................................ 11.25% Investor Shares (RDIVX)..................................... 18.34% Class A Shares (RDVAX)(1)................................... 10.76% Class A Shares*............................................. 4.70% Class B Shares (RDVBX)(1)................................... 10.49% Class B Shares**............................................ 5.49% Russell 2500 Index(2)....................................... 8.62% 21.75%
After a sharp decline in the market in September, including a steep drop in the first week of trading after September 11(th), the U.S. equity market rebounded solidly in the final three months of 2001. Returns fell back in early 2002 before recovering somewhat in March. In the period from September 2001 through March 2002, mid and small capitalization stocks consistently outperformed large cap stocks. U.S. economic conditions seemed to be improving as the fiscal year ended, but the strength and speed of the recovery remain uncertain. The Federal Reserve's aggressive cycle of interest rate cuts of 2001 came to an end in early 2002, thus shifting investor focus towards a rebound in corporate earnings. The technology sector continued to lag the broader market as investor's further reconciled the disappointing earnings with the still high prices for the overall sector. During the seven month existence of the Fund, mid and small cap value stocks dominated their growth counterparts, but the path to leadership was extremely volatile. In the final three months of 2001, the Russell 2500 Value Index(3) rose 16.26% compared with a rise of 23.61% for the Russell 2500 Growth Index(4). In the first three months of 2002, much of the growth stock rebound was undone, and the Russell 2500 Value Index topped the Russell 2500 Growth Index by 11.89%. After a display of enthusiasm at the end of 2001, investor focus in 2002 returned to the relationship between company fundamentals, especially earnings, and stock prices during the past year. 68 The performance of the AXA Rosenberg U.S. Discovery Fund swung with the shifts in market environment and investor focus in the past seven months. After posting strong relative performance in its first month (September 2001), the Institutional Class of Shares saw performance trail the benchmark during the growth surge from October to December 2001. The Investor Class of Shares started in October and thus did not benefit from the environment in September, but rather only saw the performance shortfall in the first three months of its existence. By December 2001, both classes of shares trailed their Russell 2500 Index benchmark. In the first three months of 2002, the Fund rebounded solidly to top the Russell 2500 Index by 4.66% (Institutional Shares) and 4.57% (Investor Shares). The Fund benefited from the early 2002 shift in both the market environment and investor focus. The Manager's stock selection models tend to favor stocks that are seen as underpriced relative to their fundamental financial characteristics, including their likely future earnings, when compared with other similar stocks. When investors focus on these fundamental features of stocks, the success of the strategy generally increases. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market conditions so that an investor's shares, when redeemed, may be worth more or less than their original cost. Small capitalization funds typically carry additional risks since smaller companies generally have experienced a greater degree of market volatility than average. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) The Russell 2500 Index is the benchmark for the AXA Rosenberg U.S. Discovery Fund. It is an unmanaged index of approximately 2,500 mid and small capitalization companies with market value up to $7.4 billion (as of March 31, 2002). Investors cannot invest directly in any Index. (3) The Russell 2500 Value Index measures the performance of the Russell 2500 Index companies with lower price-to-book ratios and lower forecasted growth values. (4) The Russell 2500 Growth Index measures the performance of the Russell 2500 Index companies with higher price-to-book ratios and higher forecasted growth values.
69 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 96.5% AIRCRAFT -- 0.3% 12 Curtiss-Wright, Class B........... $ 783 300 Standex International............. 7,326 ---------- 8,109 ---------- AUTOS -- 1.7% 300 BorgWarner........................ 18,876 2,200 Visteon........................... 36,410 ---------- 55,286 ---------- BANKING -- 8.3% 100 American Business Financial Services........................ 1,103 600 BankUnited Financial*............. 8,988 100 BNCCORP*.......................... 824 500 Colonial BancGroup................ 7,460 300 First Citizens BancShares, Class A............................... 30,887 500 FirstFed Financial*............... 13,075 300 Flagstar Bancorp.................. 6,984 300 FMS Financial..................... 3,447 200 Franklin Bank NA.................. 3,664 200 FSF Financial..................... 3,840 800 Gold Banc Corporation............. 7,200 100 Grand Central Financial........... 1,100 500 Hibernia, Class A................. 9,550 800 Independence Community Bank....... 22,504 200 Intervest Bancshares*............. 1,850 200 Jacksonville Bancorp.............. 4,640 200 Matrix Bancorp*................... 2,350 200 MFB............................... 4,392 200 Middleton Doll Company............ 1,330 900 New York Community Bancorp........ 24,885 200 Onyx Acceptance*.................. 960 400 PFF Bancorp....................... 12,480 600 Provident Bankshares.............. 14,400 1,300 Roslyn Bancorp.................... 26,910 200 Student Loan...................... 18,320 100 TF Financial...................... 2,350 420 UMB Financial..................... 18,010 200 Wells Financial................... 3,940 400 Westcorp.......................... 8,740 ---------- 266,183 ---------- BUILDING -- 5.5% 800 Centex............................ 41,544 100 D.R. Horton....................... 3,770 300 Dominion Homes*................... 5,280 600 KB Home........................... 26,040 800 Lennar............................ 42,208 400 Ryland Group...................... 36,080 400 Toll Brothers*.................... 19,940 ---------- 174,862 ---------- CHEMICALS -- 2.5% 300 American Pacific*................. 2,973 300 Bairnco........................... 1,689 200 ChemFirst......................... 5,350 600 H.B. Fuller....................... 17,970 200 OM Group.......................... 14,460 1,300 Sherwin-Williams.................. 37,024 ---------- 79,466 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) CONSTRUCTION MATERIALS -- 0.9% 600 AMCOL International............... $ 3,630 500 Lafarge North America............. 21,620 300 Rock of Ages*..................... 1,980 ---------- 27,230 ---------- DRUGS -- 2.0% 900 Bausch & Lomb..................... 40,113 300 E-Z-EM, Class B*.................. 3,075 400 Meridian Bioscience............... 2,720 1,500 Perrigo*.......................... 17,925 ---------- 63,833 ---------- DURABLES -- 0.4% 100 Harman International Industries... 4,935 400 Royal Appliance Manufacturing*.... 2,140 100 Winnebago......................... 4,199 ---------- 11,274 ---------- ELECTRIC UTILITIES -- 3.3% 1,900 Northeast Utilities............... 37,753 200 OGE Energy........................ 4,794 1,500 Reliant Resources*................ 25,365 1,200 SCANA............................. 36,720 ---------- 104,632 ---------- FINANCIAL INVESTMENTS -- 0.0% 200 Willis Lease Finance*............. 936 ---------- FOOD -- 2.9% 300 Andersons......................... 3,063 300 Flowers Foods*.................... 7,641 700 Ralcorp Holdings*................. 19,040 200 Seaboard.......................... 60,000 100 Tyson Foods, Class A.............. 1,248 ---------- 90,992 ---------- HEALTH -- 1.6% 2,700 Humana*........................... 36,531 800 PacifiCare Health Systems*........ 13,960 ---------- 50,491 ---------- HOUSEHOLD -- 3.2% 200 American Locker Group*............ 2,500 1,300 Brunswick......................... 35,516 500 Direct Focus*..................... 19,025 200 Genlyte Group*.................... 7,512 100 Ohio Art Co. ..................... 2,220 1,000 Pactiv*........................... 20,020 200 Pubco*............................ 1,844 200 Russ Berrie & Co. ................ 6,440 300 Southwall Technologies*........... 3,897 100 West Pharmaceutical Services...... 3,035 ---------- 102,009 ---------- INSTRUMENTS -- 4.4% 400 American Medical Systems Holdings*....................... 9,004 200 Atrion*........................... 5,508 600 Bio-Rad Laboratories, Class A*.... 22,530 900 Checkpoint Systems*............... 14,355 700 CONMED*........................... 17,500 900 Edwards Lifesciences*............. 25,155
See accompanying notes to the financial statements. 70 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) INSTRUMENTS (CONTINUED) 200 Isco.............................. $ 1,990 500 Mentor............................ 18,040 100 Mine Safety Appliances............ 3,755 700 MTS Systems....................... 7,665 100 Napco Security Systems*........... 580 300 New Brunswick Scientific*......... 2,685 600 Sola International*............... 8,832 200 Span-America Medical Systems...... 1,560 100 Utah Medical Products*............ 1,590 ---------- 140,749 ---------- INSURANCE -- 4.8% 300 American National Financial....... 2,520 300 American National Insurance....... 28,350 800 Fidelity National Financial....... 21,096 500 LandAmerica Financial Group....... 17,315 100 National Western Life Insurance, Class A*........................ 11,425 1,300 Ohio Casualty*.................... 24,622 1,900 Phoenix Companies*................ 36,480 500 PMA Capital, Class A.............. 11,470 ---------- 153,278 ---------- IT HARDWARE -- 5.4% 300 Dupont Photomask*................. 15,600 800 ESS Technology*................... 16,592 1,400 Fairchild Semiconductor, Class A*.............................. 40,040 1,300 Harris............................ 46,683 700 Imation*.......................... 18,571 600 Network Equipment Technologies*... 3,090 500 Photronics*....................... 16,865 200 SMTEK International*.............. 540 300 Sparton*.......................... 2,550 400 Standard Microsystems*............ 9,200 200 Video Display*.................... 1,678 ---------- 171,409 ---------- LIQUOR & TOBACCO -- 0.9% 400 Adolph Coors, Class B............. 26,988 ---------- MACHINERY -- 5.9% 100 Butler Manufacturing.............. 2,685 800 Cummins........................... 37,784 1,600 Energizer Holdings*............... 38,000 300 Gehl*............................. 4,545 860 Griffon*.......................... 14,405 1,300 Lennox International.............. 17,186 400 Lifetime Hoan..................... 2,720 300 Lufkin Industries................. 8,100 400 Tecumseh Products, Class B........ 19,800 400 Teleflex.......................... 21,868 800 Timken............................ 18,472 ---------- 185,565 ---------- MEDIA -- 2.2% 900 Bowne & Co. ...................... 12,663 400 Media General, Class A............ 25,400 600 Scholastic*....................... 32,514 ---------- 70,577 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) METALS -- 0.5% 400 L.B. Foster, Class A*............. $ 2,292 500 Southern Peru Copper.............. 6,475 300 Steel Technologies................ 2,559 300 Universal Stainless & Alloy Products*....................... 3,477 ---------- 14,803 ---------- MISCELLANEOUS FINANCIAL -- 1.5% 300 Affiliated Managers Group*........ 21,549 800 American Capital Strategies....... 24,768 300 Maxcor Financial Group*........... 1,827 ---------- 48,144 ---------- OFFICE MACHINERY -- 1.0% 400 Nam Tai Electronics............... 7,540 1,100 Storage Technology*............... 23,584 ---------- 31,124 ---------- OIL -- 0.7% 300 Castle Energy..................... 1,695 300 Dominion Resources Black Warrior Trust........................... 6,315 330 Howell............................ 3,914 200 Maynard Oil*...................... 3,900 300 Williams Coal Seam Gas Royalty Trust........................... 3,552 300 Wiser Oil*........................ 1,587 ---------- 20,963 ---------- OIL DISTRIBUTION -- 0.9% 1,300 ONEOK............................. 27,105 ---------- OIL SERVICES -- 1.1% 900 FMC Technologies*................. 17,937 400 Kaneb Services LLC................ 8,940 200 Oceaneering International*........ 5,800 200 TMBR/Sharp Drilling*.............. 3,050 ---------- 35,727 ---------- OTHER UTILITIES -- 0.0% 200 U.S. Liquids*..................... 670 ---------- PAPER -- 2.2% 100 Baltek*........................... 790 1,100 Boise Cascade..................... 39,864 500 Glatfelter........................ 8,970 300 Nashua*........................... 1,770 400 Rock-Tenn, Class A................ 8,580 500 Smurfit-Stone Container*.......... 8,570 ---------- 68,544 ---------- REAL ESTATE ASSETS -- 0.1% 200 Newmark Homes..................... 3,406 ---------- REAL ESTATE INVESTMENT TRUSTS -- 5.3% 300 American Community Property Trust*.......................... 2,145 1,400 Duke Realty....................... 36,400 500 Glenborough Realty Trust.......... 10,750 200 Hanover Capital Mortgage Holdings........................ 1,730 600 Hospitality Properties Trust...... 20,598 1,500 iStar Financial................... 43,350 700 Koger Equity...................... 12,509 300 Prime Group Realty Trust.......... 2,298 600 Senior Housing Properties Trust... 8,640
See accompanying notes to the financial statements. 71 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) REAL ESTATE INVESTMENT TRUSTS (CONTINUED) 700 SL Green Realty................... $ 23,520 200 Urstadt Biddle Properties......... 2,260 400 Winston Hotels.................... 3,760 ---------- 167,960 ---------- RETAIL -- 7.0% 500 AutoZone*......................... 34,425 300 Blair............................. 5,520 800 Chico's FAS*...................... 26,960 800 Dollar Tree Stores*............... 26,248 300 Dress Barn*....................... 8,883 1,200 Foot Locker*...................... 19,416 400 Friedman's, Class A............... 4,300 600 Longs Drug Stores................. 16,722 1,500 Office Depot*..................... 29,775 300 Ruddick........................... 4,992 300 Sonic Automotive*................. 8,994 300 Weis Markets...................... 9,105 700 Zale*............................. 28,420 ---------- 223,760 ---------- SERVICES -- 3.4% 500 Accredo Health*................... 28,635 300 Childtime Learning Centers*....... 1,080 100 ChoicePoint*...................... 5,760 400 Cornell Companies*................ 4,320 300 CPI............................... 4,935 200 Horizon Health*................... 3,120 200 Information Resources*............ 1,838 400 ITT Educational Services*......... 18,000 200 Nobel Learning Communities*....... 1,398 2,100 Quintiles Transnational*.......... 37,275 ---------- 106,361 ---------- SOAPS & COSMETICS -- 1.2% 1,800 Pennzoil-Quaker State............. 38,646 ---------- SOFTWARE -- 6.1% 750 Activision*....................... 22,373 1,400 Alliance Data Systems*............ 35,196 300 Elite Information Group*.......... 3,387 300 Fair, Isaac & Co. ................ 19,017 1,400 Intergraph*....................... 24,654 800 MSC.Software*..................... 18,400 400 Ontrack Data International*....... 3,932 200 Prophet 21*....................... 2,430 600 Roxio*............................ 13,614 200 Software Spectrum*................ 3,620 2,200 Sybase*........................... 38,434 800 Sykes Enterprises*................ 7,752 ---------- 192,809 ---------- TELEPHONE -- 0.9% 200 Atlantic Tele-Network............. 2,576 300 Hotel Reservations Network, Class A*.............................. 17,679 200 Shenandoah Telecommunications..... 7,800 ---------- 28,055 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) TEXTILES -- 2.2% 500 Coach*............................ $ 25,355 200 Hampshire Group*.................. 3,750 200 Liz Claiborne..................... 5,672 500 Mohawk Industries*................ 30,045 200 Tandy Brands Accessories*......... 1,890 200 Tommy Hilfiger*................... 2,870 ---------- 69,582 ---------- TRANSPORTATION -- 0.9% 600 Alexander & Baldwin............... 16,566 200 Marten Transport*................. 3,648 200 Roadway........................... 7,400 ---------- 27,614 ---------- TRAVEL/ENTERTAINMENT -- 3.0% 900 Aztar*............................ 19,710 1,000 Darden Restaurants................ 40,590 200 Hollywood Casino, Class A*........ 3,298 300 Lakes Gaming*..................... 2,085 400 Landry's Restaurants.............. 9,184 200 Max & Erma's Restaurants*......... 2,700 600 Sun International Hotels*......... 16,326 ---------- 93,893 ---------- WHOLESALE -- 2.3% 300 Action Performance Companies*..... 14,775 300 FinishMaster*..................... 3,360 600 Gentiva Health Services*.......... 14,856 300 Henry Schein*..................... 13,215 400 Hughes Supply..................... 15,584 600 Huttig Building Products*......... 3,324 300 United Natural Foods*............. 7,473 ---------- 72,587 ---------- TOTAL INVESTMENTS (COST $2,600,925) (a) -- 96.5%........ 3,055,622 OTHER ASSETS IN EXCESS OF LIABILITIES -- 3.5%............. 111,107 ---------- NET ASSETS -- 100.0%.............. $3,166,729 ==========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized appreciation of securities as follows: Unrealized appreciation.................. $474,630 Unrealized depreciation.................. (19,933) -------- Net unrealized appreciation.............. $454,697 ========
See accompanying notes to the financial statements. 72 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND - -------------------------------------------------------------------------------- AXA ROSENBERG EUROPEAN FUND (BASED ON THE PERFORMANCE OF INSTITUTIONAL SHARES ONLY) $ Millions [LINE GRAPH] AXA Rosenberg MSCI-Europe European Fund Index 7/23/2001 1 1 3/31/2002 0.976 0.992
PERFORMANCE UPDATE AS OF 3/31/02 -- CUMULATIVE TOTAL RETURNS
SINCE INCEPTION (7/23/01) --------- Institutional Shares (AEUIX)................................ -2.40% Class A Shares (REUAX)(1)................................... -2.70% Class A Shares*............................................. -8.03% Class B Shares (REUBX)(1)................................... -3.19% Class B Shares**............................................ -8.03% MSCI Europe Index(2)........................................ -0.75%
Stocks finished in the negative territory for the year ended March 31, 2002. The year started with strong gains in April, but the rally quickly faded as the economic growth in Europe slowed down. The market drifted downward in the following months as negative economic news and disappointing corporate earnings hit the market, and the market reached its lowest point after the terrorist attacks in the U.S. on September 11(th). The equity market returns improved solidly in the three months after the sell-off in September. Economic conditions seemed to be improving as the fiscal year ended, but the strength and speed of the recovery remain uncertain. Since the inception of the Fund, European stocks, as measured by the MSCI Europe Index, was down -0.75%. Once again, investors were focused on the bottom line and on the magnitude and quality of companies' earnings after the collapse of the energy trader Enron in the U.S. Stocks of companies with complex structure, high level of debt and questionable accounting practices were under pressure. There was a degree of sector rotation coincided with the value/growth shifts during the year. Financials and Insurance outperformed in the first quarter of the year benefited from a low interest rate environment. On the other hand, Telecommunications, Technology and Media stocks fell as the economy slowed down but rebounded sharply after September. Over the entire year, value stocks outperformed growth stocks. 73 The Fund underperformed its benchmark, the MSCI Europe Index. The performance of the Fund swung with the market environment and investor focus in the past 9 months. After a rough start in July, the Fund underperformed the benchmark during the period from September to November due to the extreme market reaction to the terrorist attacks in the U.S. and the subsequent strong rally of the beaten-down growth stocks. The performance of the Fund recovered in the last quarter of the year as investors again focused on the corporate earnings and the underlying economics. While the Manager strives to add value consistently through bottom-up stock selection, avoiding heavy bets on countries and industries, some small exposures to certain sectors and countries, (particularly underweight positions in IT Hardware and overweight positions in Integrated Oil and Swiss stocks), were heavily penalized as the markets rebounded from the events of September 11(th). The Manager follows a systematic and disciplined approach to investing. As of March 31, 2002, the portfolio holdings were diversified over 15 countries and 122 companies. The top 10 holdings accounted for about 35% of the total portfolio. Approximately 35% of the holdings were invested in the United Kingdom. The price-to-positive-earnings ratio of the portfolio was around 15, and the median market capitalization of the holdings was approximately $29 billion. Performance data in both the graph and the table represents past performance which does not guarantee future results. Investment return and principal value may increase or decrease depending upon market, economic, political, currency exchange rates and other conditions affecting a fund's portfolio, so that an investor's shares, when redeemed, may be worth more or less than their original cost. International investing involves increased risk and volatility. Small capital funds typically carry additional risks since smaller companies generally have experienced a greater degree of market volatility than average. Total return includes change in share price and reinvestment of distributions. Total return set forth reflects the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. In such cases, and without the waiver of fees, total return would have been lower. Portfolio holdings are subject to change and may not represent current or future holdings. AXA Rosenberg Mutual Funds are distributed by Barr Rosenberg Funds Distributor, Inc. - --------------- * Reflects maximum 5.50% sales charge. ** Reflects the applicable contingent deferred sales charge (CDSC) maximum 5.00%. (1) Prior to the inception of Class A and Class B Shares on October 1, 2001, the performance is based on Institutional Share performance adjusted to reflect the deduction of fees and expenses. (2) The Morgan Stanley Capital International Europe Index is an unmanaged, weighted equity index comprised of 16 developed European markets, including the U.K., based on large and medium capitalization securities. Investors cannot invest directly in any Index.
74 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS -- 97.4% BELGIUM -- 0.2% Banking -- 0.0% 2 Banque Nationale de Belgique...... $ 3,299 ---------- Liquor & Tobacco -- 0.2% 370 Interbrew......................... 10,249 ---------- 13,548 ---------- DENMARK -- 1.1% Biotechnology -- 0.1% 520 Novozymes, Class B................ 10,130 ---------- Liquor & Tobacco -- 0.3% 500 Carlsberg, Class B................ 18,953 ---------- Telephone -- 0.7% 1,600 TDC............................... 51,449 ---------- 80,532 ---------- FINLAND -- 1.1% Chemicals -- 0.1% 1,100 Kemira............................ 7,859 ---------- Drugs -- 0.3% 600 Orion-Yhtyma, Class A............. 11,777 2,109 Tamro............................. 6,771 ---------- 18,548 ---------- Electric Utilities -- 0.5% 6,200 Fortum............................ 32,941 600 Wartsila.......................... 9,579 ---------- 42,520 ---------- Insurance -- 0.2% 600 Pohjola Group, Class D............ 13,400 ---------- Machinery -- 0.0% 30 Metso............................. 364 ---------- 82,691 ---------- FRANCE -- 12.3% Airlines -- 0.2% 753 Air France........................ 13,138 ---------- Autos -- 1.5% 2,200 PSA Peugeot Citroen............... 108,632 ---------- Banking -- 2.2% 912 Credit Lyonnais................... 34,737 240 Natexis Banques Populaires........ 19,263 1,680 Societe Generale, Class A......... 106,259 ---------- 160,259 ---------- Building -- 0.1% 55 Eiffage........................... 4,086 ---------- Chemicals -- 0.6% 1,068 Compagnie Generale des Etablissements Michelin, Class B............................... 40,567 ---------- Construction Materials -- 1.5% 300 Ciments Francais.................. 13,596 590 Compagnie de Saint-Gobain......... 96,303 ---------- 109,899 ---------- Defense -- 0.3% 70 Dassault Aviation................. 21,984 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) FRANCE (CONTINUED) Drugs -- 3.0% 3,170 Aventis........................... $ 219,029 ---------- Financial Investments -- 0.1% 96 Societe Fonciere, Financiere Et De Participations.................. 9,866 ---------- Insurance -- 1.0% 910 Assurances Generales de France.... 44,775 896 CNP Assurances.................... 30,086 ---------- 74,861 ---------- IT Hardware -- 0.2% 280 Sagem............................. 16,891 ---------- Machinery -- 0.3% 1,839 Alstom............................ 24,595 ---------- Media -- 1.0% 1,860 Havas Advertising................. 16,762 1,150 Lagardere......................... 54,577 ---------- 71,339 ---------- Oil -- 0.1% 64 Elf Gabon......................... 9,938 ---------- Paper -- 0.2% 810 Worms et Compagnie................ 14,486 ---------- 899,570 ---------- GERMANY -- 11.9% Chemicals -- 2.8% 3,277 BASF.............................. 132,937 2,087 Bayer............................. 70,825 ---------- 203,762 ---------- Drugs -- 0.1% 290 Merck............................. 8,804 ---------- Electric Utilities -- 4.4% 3,500 E.On.............................. 177,403 3,630 RWE............................... 136,173 ---------- 313,576 ---------- Insurance -- 0.9% 30 Allianz Lebensversicherungs....... 17,326 137 Ergo Versicherungs Gruppe......... 27,609 220 AMB Generali Holding.............. 22,839 ---------- 67,774 ---------- Metals -- 0.3% 1,480 ThyssenKrupp...................... 23,241 ---------- Software -- 3.4% 3,830 Siemens........................... 250,596 ---------- 867,753 ---------- GREECE -- 0.4% Telephone -- 0.4% 2,260 Hellenic Telecommunications Organization.................... 32,808 ---------- ITALY -- 7.2% Autos -- 0.8% 4,000 Fiat.............................. 55,659 ----------
See accompanying notes to the financial statements. 75 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) ITALY (CONTINUED) Banking -- 1.8% 10,000 Banca di Roma..................... $ 24,078 36,000 IntesaBci......................... 108,038 ---------- 132,116 ---------- Building -- 0.1% 13,000 SMI............................... 6,317 ---------- Insurance -- 2.3% 7,000 Assicurazioni Generali............ 172,761 ---------- Metals -- 0.5% 15,000 Pirelli........................... 23,359 5,000 Pirelli & C....................... 14,177 ---------- 37,536 ---------- Oil -- 0.8% 4,000 ENI............................... 58,625 ---------- Paper -- 0.2% 3,000 Ifil (Finanziaria di Partecipazioni)................. 13,871 ---------- Telephone -- 0.7% 6,000 Telecom Italia.................... 49,413 ---------- 526,298 ---------- LUXEMBOURG -- 0.5% Metals -- 0.5% 2,427 Arcelor*.......................... 33,242 ---------- NETHERLANDS -- 11.0% Banking -- 1.9% 7,290 ABN AMRO Holding.................. 138,453 ---------- Cellular -- 0.4% 5,740 Koninklijke (Royal) KPN*.......... 29,394 ---------- Chemicals -- 1.3% 1,980 Akzo Nobel........................ 92,586 ---------- IT Hardware -- 1.5% 3,700 Koninklijke (Royal) Philips Electronics..................... 112,879 ---------- Liquor & Tobacco -- 0.4% 1,040 Heineken Holding, Class A......... 31,755 ---------- Office Machinery -- 0.2% 1,010 Oce............................... 11,930 ---------- Oil -- Integrated -- 4.6% 6,200 Royal Dutch Petroleum............. 339,408 ---------- Real Estate Assets -- 0.2% 480 Corio............................. 11,516 ---------- Services -- 0.3% 920 Randstad Holding.................. 14,022 480 Stork............................. 4,648 ---------- 18,670 ---------- Software -- 0.2% 3,780 Getronics......................... 12,564 ---------- Textiles -- 0.0% 110 Gamma Holding..................... 3,397 ---------- 802,552 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) SPAIN -- 4.5% Banking -- 1.7% 10,420 Banco Bilbao Vizcaya Argentaria... $ 124,084 ---------- Building -- 0.1% 1,420 Obrascon Huarte Lain.............. 7,743 ---------- Electric Utilities -- 1.0% 3,900 Iberdrola......................... 50,899 1,200 Union Fenosa...................... 19,378 ---------- 70,277 ---------- Insurance -- 0.2% 1,710 Corporacion Mapfre................ 11,502 ---------- Oil -- 1.4% 8,290 Repsol YPF........................ 104,505 ---------- Transportation -- 0.1% 530 Aurea Concesiones de Infraestructuras del Estado..... 9,802 ---------- 327,913 ---------- SWEDEN -- 1.3% Cellular -- 0.5% 1,100 Tele2, Class B*................... 33,027 ---------- Financial Investments -- 0.5% 3,900 Investor, Class B................. 43,864 ---------- IT Hardware -- 0.2% 1,200 Saab, Class B..................... 13,960 ---------- Machinery -- 0.1% 264 SKF, Class B...................... 6,155 ---------- 97,006 ---------- SWITZERLAND -- 10.9% Drugs -- 3.5% 3,200 Roche Holding..................... 248,781 ---------- Financial Investments -- 1.8% 2,700 UBS*.............................. 132,929 ---------- Food -- 3.0% 1,000 Nestle............................ 222,381 ---------- Household -- 0.6% 2,018 Swatch Group*..................... 43,617 ---------- Insurance -- 1.7% 1,390 Swiss Re.......................... 127,900 ---------- IT Hardware -- 0.3% 420 Ascom Holding..................... 5,869 120 Unaxis Holding.................... 13,289 ---------- 19,158 ---------- 794,766 ---------- UNITED KINGDOM -- 35.0% Aircraft -- 0.5% 10,000 Rolls-Royce....................... 26,842 623 Smiths Industries................. 7,195 ---------- 34,037 ----------
See accompanying notes to the financial statements. 76 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED) -- MARCH 31, 2002 - --------------------------------------------------------------------------------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Banking -- 8.2% 7,000 Abbey National.................... $ 99,281 4,000 Barclays.......................... 123,603 11,000 HSBC Holdings..................... 127,192 10,000 Lloyds TSB Group.................. 102,670 6,000 Royal Bank of Scotland Group...... 154,476 ---------- 607,222 ---------- Cellular -- 3.2% 126,000 Vodafone Group.................... 232,802 ---------- Drugs -- 3.2% 10,000 GlaxoSmithKline................... 235,529 ---------- Electric Utilities -- 1.0% 14,000 Scottish Power.................... 71,670 ---------- Financial Investments -- 4.7% 12,000 CGNU.............................. 126,622 20,000 Old Mutual........................ 29,050 15,000 Prudential........................ 151,229 10,000 Royal & Sun Alliance Insurance Group........................... 42,008 ---------- 348,909 ---------- Food -- 0.5% 5,000 Associated British Foods.......... 36,526 ---------- Insurance -- 1.3% 4,000 John Mowlem & Co. ................ 13,870 36,000 Legal & General Group............. 82,791 ---------- 96,661 ---------- IT Hardware -- 0.1% 3,000 TT electronics.................... 7,156 ---------- Liquor & Tobacco -- 0.5% 5,000 South African Breweries........... 34,924 ---------- Machinery -- 0.6% 4,000 Morgan Crucible................... 10,509 5,000 Rexam............................. 34,390 ---------- 44,899 ---------- Metals -- 1.2% 15,000 BHP Billiton...................... 85,493 ---------- Oil -- Integrated -- 4.3% 23,263 BP Amoco.......................... 207,040 15,000 Shell Transport & Trading Co. .... 111,713 ---------- 318,753 ---------- Oil Services -- 0.1% 3,000 Hunting........................... 7,690 ---------- Real Estate Investment Trusts -- 0.6% 2,000 Daejan Holdings................... 42,435 ---------- Retail -- 2.9% 3,000 GUS............................... 29,904 17,000 J Sainsbury....................... 96,711 8,000 Safeway........................... 33,464 4,000 Scottish & Newcastle.............. 31,898 2,478 W.H. Smith........................ 17,008 ---------- 208,985 ----------
SHARES VALUE - ------ ---------- COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) Soaps & Cosmetics -- 0.1% 3,455 Body Shop International........... $ 4,686 463 Paterson Zochonis................. 5,352 ---------- 10,038 ---------- Software -- 0.1% 9,000 Dimension Data Holdings*.......... 7,433 ---------- Telephone -- 0.5% 11,000 Cable & Wireless.................. 35,048 3 Thus Group*....................... 1 ---------- 35,049 ---------- Transportation -- 0.2% 13,000 Stagecoach Holdings............... 14,069 ---------- Travel/Entertainment -- 1.2% 7,000 Six Continents.................... 74,461 1,564 Wolverhampton & Dudley Breweries....................... 15,148 ---------- 89,609 ---------- 2,569,889 ---------- TOTAL INVESTMENTS (COST $7,185,338) (A) -- 97.4%........ 7,128,568 OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.6%............. 193,468 ---------- NET ASSETS -- 100.0%.............. $7,322,036 ==========
- --------------- * Non-income producing security. (a) Represents cost for financial reporting purposes, is substantially the same as cost for federal income tax purposes, and differs from value by net unrealized depreciation of securities as follows: Unrealized appreciation................. $ 315,656 Unrealized depreciation................. (372,426) --------- Net unrealized depreciation............. $ (56,770) =========
FORWARD CROSS-CURRENCY EXCHANGE CONTRACTS
DELIVERY CONTRACT AMOUNT UNREALIZED DATE (LOCAL CURRENCY) DEPRECIATION -------- ---------------- ------------ Deliver Swedish Kronas in exchange for Euro 8,864..... 4/2/02 80,000 $(10) Deliver Swiss Francs in exchange for Euro 44,356........ 4/2/02 65,000 $(47)
See accompanying notes to the financial statements. 77 BARR ROSENBERG SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA AXA ROSENBERG AXA ROSENBERG INTERNATIONAL ROSENBERG U.S. SMALL SMALL VALUE MARKET CAPITALIZATION CAPITALIZATION NEUTRAL FUND FUND FUND -------------- -------------- ------------ ASSETS Investments, at value* (cost $493,609,952, $33,940,593, $61,284,084, respectively)................................. $611,654,235 $33,114,086 $ 76,693,906 Deposits with broker and custodian bank for securities sold short...................................................... -- -- 69,423,296 Cash........................................................ 4,005 336 13,254 Foreign currency, at value (cost $0, $691,928, $0, respectively).............................................. -- 696,122 -- Collateral for securities loaned............................ 3,098,859 -- -- Dividends and interest receivable........................... 747,872 124,094 68,563 Receivable for capital shares issued........................ 174,263 -- 62,200 Receivable for securities sold short........................ -- -- 768,275 Receivable for investments sold............................. 7,048,101 1,131,891 693,256 Reclaims receivable......................................... -- 79,048 -- Deferred organization expenses.............................. -- -- 8,886 Prepaid expenses............................................ 24,915 23,371 27,259 ------------ ----------- ------------ Total Assets............................................. 622,752,250 35,168,948 147,758,895 ------------ ----------- ------------ LIABILITIES Securities sold short (proceeds $0, $0, $71,126,785, respectively).............................................. -- -- 70,447,303 Payable for investments purchased........................... 10,575,822 747,127 1,210,428 Payable to cover securities sold short...................... -- -- 477,869 Payable for capital shares redeemed......................... 15,890 -- -- Net unrealized depreciation on foreign exchange contracts... -- 195 -- Payable for return of collateral received for securities loaned..................................................... 3,098,859 -- -- Accrued expenses and other liabilities: Manager fees............................................... 391,720 16,701 75,383 Administration fees........................................ 6,666 377 999 12b-1 fees (Investor Shares, Class A Shares and Class B Shares).................................................. 23,619 1,319 1,776 Service fees (Adviser Shares).............................. 5,744 -- -- Other accrued expenses..................................... 284,656 40,359 70,300 ------------ ----------- ------------ Total Liabilities........................................ 14,402,976 806,078 72,284,058 ------------ ----------- ------------ NET ASSETS.................................................. $608,349,274 $34,362,870 $ 75,474,837 ============ =========== ============ NET ASSETS CONSIST OF: Capital..................................................... $473,417,294 $43,515,361 $116,388,156 Accumulated net investment income........................... -- 97,952 3,194 Accumulated net realized gains/(losses) on investments, foreign currency transactions and securities sold short.... 16,887,697 (8,421,239) (57,005,817) Net unrealized appreciation/(depreciation) on investments... 118,044,283 (826,507) 15,409,822 Net unrealized depreciation on foreign currency transactions............................................... -- (2,697) -- Net unrealized appreciation on securities sold short........ -- -- 679,482 ------------ ----------- ------------ NET ASSETS.................................................. $608,349,274 $34,362,870 $ 75,474,837 ============ =========== ============ Institutional Shares: Net Assets.................................................. $482,205,226 $28,026,997 $ 69,629,292 Shares Outstanding.......................................... 43,143,190 3,306,613 7,776,563 Net Asset Value, Offering and Redemption Price per Share.... $ 11.18 $ 8.48 $ 8.95 ============ =========== ============ Adviser Shares: Net Assets.................................................. $ 17,694,660 $ -- $ -- Shares Outstanding.......................................... 1,591,494 -- -- Net Asset Value, Offering and Redemption Price per Share.... $ 11.12 $ -- $ -- ============ =========== ============ Investor Shares: Net Assets.................................................. $108,449,388 $ 6,333,605 $ 5,355,248 Shares Outstanding.......................................... 9,788,711 751,178 598,503 Net Asset Value, Offering and Redemption Price per Share.... $ 11.08 $ 8.43 $ 8.95 ============ =========== ============ Class A Shares: Net Assets.................................................. $ -- $ 1,136 $ 389,809 Shares Outstanding.......................................... -- 134 43,591 Net Asset Value, Redemption Price per Share................. $ -- $ 8.46 $ 8.94 ============ =========== ============ Class A Shares -- Maximum Sales Charge...................... -- 5.50% 5.50% ------------ ----------- ------------ Maximum Offering Price Per Share (100%/(100%-Maximum Sales Charge) of net asset value adjusted to the nearest cent)... $ -- $ 8.95 $ 9.46 ============ =========== ============ Class B Shares: Net Assets.................................................. $ -- $ 1,132 $ 100,488 Shares Outstanding.......................................... -- 134 11,248 Net Asset Value, Offering Price per Share**................. $ -- $ 8.45 $ 8.93 ============ =========== ============
- --------------- * Includes securities on loan of $3,014,289 for the AXA Rosenberg U.S. Small Capitalization Fund. ** Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 78 BARR ROSENBERG SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA AXA ROSENBERG AXA ROSENBERG SELECT SECTORS ROSENBERG INTERNATIONAL MARKET NEUTRAL ENHANCED 500 EQUITY FUND FUND FUND -------------- ------------ ------------- ASSETS Investments, at value (cost $9,019,720, $4,573,749, $8,196,553, respectively)................................. $10,156,416 $4,267,831 $ 7,768,131 Deposits with broker and custodian bank for securities sold short..................................................... 9,604,562 -- -- Cash........................................................ -- -- 14,701 Foreign currency, at value (cost $0, $0, $156,144, respectively)............................................. -- -- 155,830 Dividends and interest receivable........................... 14,783 5,461 31,402 Receivable for capital shares issued........................ 25,000 -- 19 Receivable for securities sold short........................ 392,149 -- -- Receivable for investments sold............................. 428,285 149,007 280,746 Receivable from Manager..................................... -- 14,083 18,790 Reclaims receivable......................................... -- -- 9,624 Prepaid expenses............................................ 20,206 33,326 33,236 ----------- ---------- ----------- Total Assets............................................ 20,641,401 4,469,708 8,312,479 ----------- ---------- ----------- LIABILITIES Securities sold short (proceeds $10,042,691, $0, $0, respectively)............................................. 9,494,593 -- -- Payable for investments purchased........................... 354,839 167,956 372,638 Payable to cover securities sold short...................... 257,473 -- -- Net unrealized depreciation on foreign exchange contracts... -- -- 233 Accrued expenses and other liabilities: Manager fees.............................................. 1,131 -- -- 12b-1 fees (Investor Shares, Class A Shares and Class B Shares)................................................. 100 2 5 Other accrued expenses.................................... 13,546 2,512 37,711 ----------- ---------- ----------- Total Liabilities....................................... 10,121,682 170,470 410,587 ----------- ---------- ----------- NET ASSETS.................................................. $10,519,719 $4,299,238 $ 7,901,892 =========== ========== =========== NET ASSETS CONSIST OF: Capital..................................................... $11,142,028 $5,418,297 $11,379,212 Accumulated net investment income/(loss).................... 4,646 4,466 (4,200) Accumulated net realized losses on investments, foreign currency transactions and securities sold short........... (2,311,749) (817,607) (3,045,085) Net unrealized appreciation/(depreciation) on investments... 1,136,696 (305,918) (428,422) Net unrealized appreciation on foreign currency transactions.............................................. -- -- 387 Net unrealized appreciation on securities sold short........ 548,098 -- -- ----------- ---------- ----------- NET ASSETS.................................................. $10,519,719 $4,299,238 $ 7,901,892 =========== ========== =========== Institutional Shares: Net Assets.................................................. $10,036,762 $4,297,018 $ 7,882,159 Shares Outstanding.......................................... 981,715 552,834 1,112,081 Net Asset Value, Offering and Redemption Price per Share.... $ 10.22 $ 7.77 $ 7.09 =========== ========== =========== Investor Shares: Net Assets.................................................. $ 471,202 $ -- $ 17,562 Shares Outstanding.......................................... 45,582 -- 2,491 Net Asset Value, Offering and Redemption Price per Share.... $ 10.34 $ -- $ 7.05 =========== ========== =========== Class A Shares: Net Assets.................................................. $ 10,810 $ 1,112 $ 1,087 Shares Outstanding.......................................... 1,058 143 154 Net Asset Value, Redemption Price per Share................. $ 10.22 $ 7.76 $ 7.08 =========== ========== =========== Class A Shares -- Maximum Sales Charge...................... 5.50% 3.00% 5.50% ----------- ---------- ----------- Maximum Offering Price Per Share (100%/(100%-Maximum Sales Charge) of net asset value adjusted to the nearest cent)..................................................... $ 10.81 $ 8.00 $ 7.49 =========== ========== =========== Class B Shares: Net Assets.................................................. $ 945 $ 1,108 $ 1,084 Shares Outstanding.......................................... 93 143 153 Net Asset Value, Offering Price per Share*.................. $ 10.20 $ 7.75 $ 7.06 =========== ========== ===========
- --------------- * Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 79 BARR ROSENBERG SERIES TRUST STATEMENTS OF ASSETS AND LIABILITIES MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA ROSENBERG AXA AXA MULTI-STRATEGY ROSENBERG ROSENBERG MARKET NEUTRAL U.S. DISCOVERY EUROPEAN FUND FUND FUND -------------- -------------- ---------- ASSETS Investments, at value (cost $8,747,151, $2,600,925, $7,185,338, respectively)................................. $10,230,633 $3,055,622 $7,128,568 Deposits with broker and custodian bank for securities sold short..................................................... 10,099,736 -- -- Cash........................................................ -- 99,216 39,238 Foreign currency, at value (cost $0, $0, $144,495, respectively)............................................. -- -- 143,946 Dividends and interest receivable........................... 8,492 3,333 32,959 Receivable for securities sold short........................ 209,827 -- -- Receivable for investments sold............................. 149,120 37,609 226,303 Receivable from Manager..................................... 6,408 25,402 62,070 Reclaims receivable......................................... -- -- 1,265 Deferred offering costs..................................... -- 6,164 27,381 Prepaid expenses............................................ 27,716 33,023 27,893 ----------- ---------- ---------- Total Assets............................................ 20,731,932 3,260,369 7,689,623 ----------- ---------- ---------- LIABILITIES Securities sold short (proceeds $10,155,377, $0, $0, respectively)............................................. 9,733,544 -- -- Payable for investments purchased........................... 203,972 93,569 355,247 Payable to cover securities sold short...................... 259,193 -- -- Net unrealized depreciation on foreign exchange contracts... -- -- 57 Accrued expenses and other liabilities: 12b-1 fees (Investor Shares, Class A Shares and Class B Shares)................................................. 4 71 1 Other accrued expenses.................................... 11,971 -- 12,282 ----------- ---------- ---------- Total Liabilities....................................... 10,208,684 93,640 367,587 ----------- ---------- ---------- NET ASSETS.................................................. $10,523,248 $3,166,729 $7,322,036 =========== ========== ========== NET ASSETS CONSIST OF: Capital..................................................... $11,122,644 $2,833,684 $7,502,040 Accumulated net investment income........................... -- 1,444 19,677 Accumulated net realized losses on investments, foreign currency transactions and securities sold short........... (2,504,711) (123,096) (142,730) Net unrealized appreciation/(depreciation) on investments... 1,483,482 454,697 (56,770) Net unrealized depreciation on foreign currency transactions.............................................. -- -- (181) Net unrealized appreciation on securities sold short........ 421,833 -- -- ----------- ---------- ---------- NET ASSETS.................................................. $10,523,248 $3,166,729 $7,322,036 =========== ========== ========== Institutional Shares: Net Assets.................................................. $10,514,270 $2,979,707 $7,319,809 Shares Outstanding.......................................... 1,036,745 268,556 750,001 Net Asset Value, Offering and Redemption Price per Share.... $ 10.14 $ 11.10 $ 9.76 =========== ========== ========== Investor Shares: Net Assets.................................................. $ 7,096 $ 98,216 $ -- Shares Outstanding.......................................... 701 8,864 -- Net Asset Value, Offering and Redemption Price per Share.... $ 10.13 $ 11.08 $ -- =========== ========== ========== Class A Shares: Net Assets.................................................. $ 942 $ 31,079 $ 1,115 Shares Outstanding.......................................... 93 2,807 115 Net Asset Value, Redemption Price per Share................. $ 10.12 $ 11.07 $ 9.74 =========== ========== ========== Class A Shares -- Maximum Sales Charge...................... 5.50% 5.50% 5.50% ----------- ---------- ---------- Maximum Offering Price Per Share (100%/(100%-Maximum Sales Charge) of net asset value adjusted to the nearest cent)..................................................... $ 10.71 $ 11.71 $ 10.31 =========== ========== ========== Class B Shares: Net Assets.................................................. $ 940 $ 57,727 $ 1,112 Shares Outstanding.......................................... 93 5,227 115 Net Asset Value, Offering Price per Share*.................. $ 10.11 $ 11.04 $ 9.71 =========== ========== ==========
- --------------- * Redemption price per share varies by length of time shares are held. See accompanying notes to the financial statements. 80 BARR ROSENBERG SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA AXA ROSENBERG AXA ROSENBERG INTERNATIONAL ROSENBERG U.S. SMALL SMALL VALUE MARKET CAPITALIZATION CAPITALIZATION NEUTRAL FUND FUND FUND -------------- -------------- ------------ Investment Income: Dividends (Net of withholding taxes of $0, $168,892, $615, respectively)........................................... $ 7,219,756 $ 1,214,991 $ 828,828 Interest.................................................. 150,015 -- 1,803,969 Securities lending fees................................... 27,068 -- -- ------------ ----------- ----------- Total Investment Income................................. 7,396,839 1,214,991 2,632,797 ------------ ----------- ----------- Expenses: Manager fees.............................................. 4,499,288 388,301 1,047,980 Administration fees....................................... 743,306 58,079 104,051 12b-1 fees (Investor Shares).............................. 193,598 12,844 12,330 12b-1 fees (Class A Shares)............................... -- 2 339 12b-1 fees (Class B Shares)............................... -- 5 113 Service fees (Adviser Shares)............................. 25,617 -- -- Professional fees......................................... 215,062 7,428 28,546 Custodian fees............................................ 195,281 221,996 31,745 Fund accounting fees...................................... 59,925 86,572 92,860 Organization fees......................................... -- -- 8,139 Registration and filing fees.............................. 54,621 43,541 35,137 Transfer agent fees....................................... 170,401 20,501 19,588 Trustees' fees............................................ 226,135 15,608 32,505 Dividend expense for securities sold short................ -- -- 300,467 Other expenses............................................ 380,401 37,218 42,887 ------------ ----------- ----------- Total expenses before waivers........................... 6,763,635 892,095 1,756,687 Less expenses waived by the Manager..................... (434,809) (273,849) (178,679) Less expenses waived by the Administrator............... (276,515) (21,569) (38,675) ------------ ----------- ----------- Net Expenses............................................ 6,052,311 596,677 1,539,333 ------------ ----------- ----------- Net Investment Income....................................... 1,344,528 618,314 1,093,464 ------------ ----------- ----------- Net Realized Gains/(Losses) from: Investments............................................... 49,507,375 (7,621,685) (1,047,405) Foreign currency transactions............................. -- (15,384) -- Securities sold short..................................... -- -- 6,886,633 Net Change in Unrealized Appreciation/(Depreciation) from: Investments............................................... 62,315,324 4,214,649 8,626,186 Foreign currency transactions............................. -- 8,905 -- Securities sold short..................................... -- -- (6,879,933) ------------ ----------- ----------- Net Realized and Unrealized Gains/(Losses) from Investments, Foreign Currency Transactions and Securities Sold Short... 111,822,699 (3,413,515) 7,585,481 ------------ ----------- ----------- Change in net assets resulting from operations.............. $113,167,227 $(2,795,201) $ 8,678,945 ============ =========== ===========
See accompanying notes to the financial statements. 81 BARR ROSENBERG SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA AXA ROSENBERG AXA ROSENBERG SELECT SECTORS ROSENBERG INTERNATIONAL MARKET NEUTRAL ENHANCED 500 EQUITY FUND FUND FUND -------------- ------------ ------------- Investment Income: Dividends (Net of withholding taxes of $0, $221, $23,576, respectively)........................................... $ 135,002 $ 60,393 $ 191,844 Interest.................................................. 318,464 1,233 -- ----------- --------- ----------- Total Investment Income................................. 453,466 61,626 191,844 ----------- --------- ----------- Expenses: Manager fees.............................................. 118,943 20,414 71,260 Administration fees....................................... 17,770 6,084 12,526 12b-1 fees (Investor Shares).............................. 312 -- 57 12b-1 fees (Class A Shares)............................... 15 3 2 12b-1 fees (Class B Shares)............................... 5 5 5 Professional fees......................................... 2,128 320 557 Custodian fees............................................ 4,956 975 105,770 Fund accounting fees...................................... 65,868 70,772 89,964 Registration and filing fees.............................. 27,417 45,168 45,768 Transfer agent fees....................................... 13,182 10,764 12,629 Trustees' fees............................................ 2,606 285 2,316 Dividend expense for securities sold short................ 83,412 -- -- Other expenses............................................ 2,011 899 5,807 ----------- --------- ----------- Total expenses before waivers/reimbursements............ 338,625 155,689 346,661 Less expenses waived/reimbursed by the Manager.......... (88,373) (118,977) (220,893) Less expenses waived by the Administrator............... (17,770) (6,084) (12,526) ----------- --------- ----------- Net Expenses............................................ 232,482 30,628 113,242 ----------- --------- ----------- Net Investment Income....................................... 220,984 30,998 78,602 ----------- --------- ----------- Net Realized Gains/(Losses) from: Investments............................................... 1,534,306 (294,322) (1,950,104) Foreign currency transactions............................. -- -- 60,270 Securities sold short..................................... (155,128) -- -- Net Change in Unrealized Appreciation/(Depreciation) from: Investments............................................... 1,105,670 336,828 1,145,487 Foreign currency transactions............................. -- -- 3,757 Securities sold short..................................... (1,688,285) -- -- ----------- --------- ----------- Net Realized and Unrealized Gains/(Losses) from Investments, Foreign Currency Transactions and Securities Sold Short... 796,563 42,506 (740,590) ----------- --------- ----------- Change in net assets resulting from operations.............. $ 1,017,547 $ 73,504 $ (661,988) =========== ========= ===========
See accompanying notes to the financial statements. 82 BARR ROSENBERG SERIES TRUST STATEMENTS OF OPERATIONS FOR THE YEAR ENDED MARCH 31, 2002 - --------------------------------------------------------------------------------
AXA ROSENBERG AXA AXA MULTI-STRATEGY ROSENBERG ROSENBERG MARKET NEUTRAL U.S. DISCOVERY EUROPEAN FUND FUND* FUND** -------------- -------------- --------- Investment Income: Dividends (Net of withholding taxes of $8, $0, $10,082, respectively)........................................... $ 97,786 $ 22,259 $ 89,243 Interest.................................................. 323,774 853 -- ----------- --------- --------- Total Investment Income................................. 421,560 23,112 89,243 ----------- --------- --------- Expenses: Manager fees.............................................. 175,664 13,702 36,546 Administration fees....................................... 17,533 2,253 7,128 12b-1 fees (Investor Shares).............................. 15 108 -- 12b-1 fees (Class A Shares)............................... 2 5 2 12b-1 fees (Class B Shares)............................... 5 182 5 Professional fees......................................... 1,924 694 1,849 Custodian fees............................................ 4,775 21,562 59,057 Fund accounting fees...................................... 94,836 41,788 53,479 Offering costs............................................ -- 8,259 61,063 Registration and filing fees.............................. 40,987 37,563 30,001 Transfer agent fees....................................... 12,663 7,956 9,377 Trustees' fees............................................ 2,273 727 2,186 Dividend expense for securities sold short................ 50,820 -- -- Other expenses............................................ 3,544 3,041 6,070 ----------- --------- --------- Total expenses before waivers/reimbursements............ 405,041 137,840 266,763 Less expenses waived/reimbursed by the Manager.......... (161,003) (117,899) (198,718) Less expenses waived by the Administrator............... (17,533) (2,253) (7,128) ----------- --------- --------- Net Expenses............................................ 226,505 17,688 60,917 ----------- --------- --------- Net Investment Income....................................... 195,055 5,424 28,326 ----------- --------- --------- Net Realized Gains/(Losses) from: Investments............................................... 1,746,678 (122,331) (142,730) Foreign currency transactions............................. -- -- (8,649) Securities sold short..................................... (204,124) -- -- Net Change in Unrealized Appreciation/(Depreciation) from: Investments............................................... 1,923,072 454,697 (56,770) Foreign currency transactions............................. -- -- (181) Securities sold short..................................... (2,315,236) -- -- ----------- --------- --------- Net Realized and Unrealized Gains/(Losses) from Investments, Foreign Currency Transactions and Securities Sold Short... 1,150,390 332,366 (208,330) ----------- --------- --------- Change in net assets resulting from operations.............. $ 1,345,445 $ 337,790 $(180,004) =========== ========= =========
- --------------- * From commencement of operations on September 4, 2001. ** From commencement of operations on July 23, 2001. See accompanying notes to the financial statements. 83 BARR ROSENBERG SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG U.S. SMALL INTERNATIONAL SMALL AXA ROSENBERG CAPITALIZATION FUND CAPITALIZATION FUND VALUE MARKET NEUTRAL FUND ------------------------------ ---------------------------- ---------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2002 2001 2002 2001 2002 2001 ------------- ------------- ------------ ------------ ------------ ------------ INVESTMENT ACTIVITIES: OPERATIONS: Net investment income........ $ 1,344,528 $ 1,101,408 $ 618,314 $ 455,116 $ 1,093,464 $ 2,967,874 Net realized gains/(losses) from: Investments................ 49,507,375 (3,307,899) (7,621,685) 1,028,448 (1,047,405) (14,797,823) Foreign currency transactions............. -- -- (15,384) (28,329) -- -- Securities sold short...... -- -- -- -- 6,886,633 8,952,947 Net change in unrealized appreciation/(depreciation) from: Investments................ 62,315,324 (4,531,644) 4,214,649 (6,562,854) 8,626,186 (3,709,619) Foreign currency transactions............. -- -- 8,905 11,390 -- -- Securities sold short...... -- -- -- -- (6,879,933) 15,659,911 ------------- ------------- ------------ ------------ ------------ ------------ Change in net assets resulting from operations............... 113,167,227 (6,738,135) (2,795,201) (5,096,229) 8,678,945 9,073,290 ------------- ------------- ------------ ------------ ------------ ------------ DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Shares....... (1,752,857) (1,295,682) (583,726) (625,789) (1,681,098) (3,241,301) Adviser Shares............. (35,193) (12,709) -- -- -- -- Investor Shares............ (154,950) (20,609) (136,226) (17,211) (83,404) (169,699) Class A Shares............. -- -- (25) -- (477) -- Class B Shares............. -- -- (23) -- (21) -- ------------- ------------- ------------ ------------ ------------ ------------ (1,943,000) (1,329,000) (720,000) (643,000) (1,765,000) (3,411,000) ------------- ------------- ------------ ------------ ------------ ------------ Net realized gains on investments Institutional Shares....... (22,016,310) (14,323,833) (12,593) (5,417,835) -- -- Adviser Shares............. (688,195) (297,212) -- -- -- -- Investor Shares............ (4,017,113) (442,852) (3,142) (185,632) -- -- Class A Shares............. -- -- (1) -- -- -- Class B Shares............. -- -- (1) -- -- -- ------------- ------------- ------------ ------------ ------------ ------------ (26,721,618) (15,063,897) (15,737) (5,603,467) -- -- ------------- ------------- ------------ ------------ ------------ ------------ Change in net assets from distributions............ (28,664,618) (16,392,897) (735,737) (6,246,467) (1,765,000) (3,411,000) ------------- ------------- ------------ ------------ ------------ ------------ CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares....... 118,979,737 71,503,106 21,963,762 15,154,386 4,314,489 13,380,876 Adviser Shares............. 10,181,016 4,203,986 -- -- -- -- Investor Shares............ 57,865,316 68,360,657 29,764,247 2,797,872 24,158,234 5,043,214 Class A Shares............. -- -- 1,012 -- 365,565 -- Class B Shares............. -- -- 1,013 -- 97,099 -- ------------- ------------- ------------ ------------ ------------ ------------ 187,026,069 144,067,749 51,730,034 17,952,258 28,935,387 18,424,090 ------------- ------------- ------------ ------------ ------------ ------------ Proceeds from shares issued in exchange for shares of Barr Rosenberg VIT Market Neutral Fund Institutional Shares....... -- -- -- -- 3,936,144 -- ------------- ------------- ------------ ------------ ------------ ------------ Dividends reinvested Institutional Shares....... 23,071,954 14,689,175 595,081 6,043,623 1,680,790 3,241,299 Adviser Shares............. 612,966 247,769 -- -- -- -- Investor Shares............ 4,157,890 456,900 138,843 202,599 83,195 162,111 Class A Shares............. -- -- 25 -- 477 -- Class B Shares............. -- -- 24 -- 21 -- ------------- ------------- ------------ ------------ ------------ ------------ 27,842,810 15,393,844 733,973 6,246,222 1,764,483 3,403,410 ------------- ------------- ------------ ------------ ------------ ------------ Cost of shares redeemed* Institutional Shares....... (137,322,169) (103,330,114) (33,305,405) (12,871,670) (8,893,065) (34,478,080) Adviser Shares............. (3,438,248) (3,844,411) -- -- -- -- Investor Shares............ (31,764,433) (14,824,191) (24,946,874) (2,580,072) (23,056,736) (7,694,371) ------------- ------------- ------------ ------------ ------------ ------------ (172,524,850) (121,998,716) (58,252,279) (15,451,742) (31,949,801) (42,172,451) ------------- ------------- ------------ ------------ ------------ ------------ Change in net assets from capital transactions..... 42,344,029 37,462,877 (5,788,272) 8,746,738 2,686,213 (20,344,951) ------------- ------------- ------------ ------------ ------------ ------------ Net change in net assets...... 126,846,638 14,331,845 (9,319,210) (2,595,958) 9,600,158 (14,682,661) NET ASSETS: Beginning of period.......... 481,502,636 467,170,791 43,682,080 46,278,038 65,874,679 80,557,340 ------------- ------------- ------------ ------------ ------------ ------------ End of period................ $ 608,349,274 $ 481,502,636 $ 34,362,870 $ 43,682,080 $ 75,474,837 $ 65,874,679 ============= ============= ============ ============ ============ ============ Undistributed Net Investment Income....................... $ -- $ 269,775 $ 97,952 $ 52,753 $ 3,194 $ 580,893 ============= ============= ============ ============ ============ ============
- --------------- * Net of any redemption fees. See accompanying notes to the financial statements. 84 BARR ROSENBERG SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
AXA ROSENBERG AXA ROSENBERG AXA ROSENBERG SELECT SECTORS ENHANCED 500 INTERNATIONAL MARKET NEUTRAL FUND FUND EQUITY FUND --------------------------- -------------------------- --------------------------- YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED PERIOD ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2002 2001 2002 2001* 2002 2001* ----------- ------------ ---------- ------------ ----------- ------------ INVESTMENT ACTIVITIES: OPERATIONS: Net investment income........ $ 220,984 $ 875,614 $ 30,998 $ 22,468 $ 78,602 $ 313,989 Net realized gains/(losses) from: Investments................ 1,534,306 (1,822,503) (294,322) (523,285) (1,950,104) (516,613) Foreign currency transactions............. -- -- -- -- 60,270 (63,535) Securities sold short...... (155,128) 652,687 -- -- -- -- Net change in unrealized appreciation/(depreciation) from: Investments................ 1,105,670 (4,116,332) 336,828 (642,746) 1,145,487 (1,573,909) Foreign currency transactions............. -- -- -- -- 3,757 (3,370) Securities sold short...... (1,688,285) 2,950,372 -- -- -- -- ----------- ------------ ---------- ----------- ----------- ----------- Change in net assets resulting from operations............... 1,017,547 (1,460,162) 73,504 (1,143,563) (661,988) (1,843,438) ----------- ------------ ---------- ----------- ----------- ----------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Shares....... (336,026) (1,080,095) (31,986) (17,000) (400,875) -- Investor Shares............ (2,930) (3,905) -- -- (1,022) -- Class A Shares............. (23) -- (8) -- (52) -- Class B Shares............. (21) -- (6) -- (51) -- ----------- ------------ ---------- ----------- ----------- ----------- Change in net assets from distributions............ (339,000) (1,084,000) (32,000) (17,000) (402,000) -- ----------- ------------ ---------- ----------- ----------- ----------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares....... 2,687,346 519,636 353,754 5,070,226 1,661,666 9,972,909 Investor Shares............ 552,091 46,227 -- -- 255,447 1,759 Class A Shares............. 10,460 -- 1,495 -- 1,012 -- Class B Shares............. 1,010 -- 1,010 -- 1,012 -- ----------- ------------ ---------- ----------- ----------- ----------- 3,250,907 565,863 356,259 5,070,226 1,919,137 9,974,668 ----------- ------------ ---------- ----------- ----------- ----------- Proceeds from shares issued in exchange for shares of AXA Rosenberg Japan Fund Institutional Shares....... -- -- -- -- -- 947,546 Investor Shares............ -- -- -- -- -- 22,796 ----------- ------------ ---------- ----------- ----------- ----------- -- -- -- -- -- 970,342 ----------- ------------ ---------- ----------- ----------- ----------- Dividends reinvested Institutional Shares....... 336,026 1,080,095 2,597 208 38,552 -- Investor Shares............ 2,889 3,798 -- -- 1,022 -- Class A Shares............. 23 -- 8 -- 52 -- Class B Shares............. 21 -- 6 -- 51 -- ----------- ------------ ---------- ----------- ----------- ----------- 338,959 1,083,893 2,611 208 39,677 -- ----------- ------------ ---------- ----------- ----------- ----------- Cost of shares redeemed** Institutional Shares....... (5,514,796) (15,090,128) (10,272) (275) (1,830,131) (6,983) Investor Shares............ (113,005) (875,502) -- -- (257,390) -- Class A Shares............. -- -- (460) -- (1) -- Class B Shares............. -- -- -- -- (1) -- ----------- ------------ ---------- ----------- ----------- ----------- (5,627,801) (15,965,630) (10,732) (275) (2,087,523) (6,983) ----------- ------------ ---------- ----------- ----------- ----------- Change in net assets from capital transactions..... (2,037,935) (14,315,874) 348,138 5,070,159 (128,709) 10,938,027 ----------- ------------ ---------- ----------- ----------- ----------- Net change in net assets...... (1,359,388) (16,860,036) 389,642 3,909,596 (1,192,697) 9,094,589 NET ASSETS: Beginning of period.......... 11,879,107 28,739,143 3,909,596 -- 9,094,589 -- ----------- ------------ ---------- ----------- ----------- ----------- End of period................ $10,519,719 $ 11,879,107 $4,299,238 $ 3,909,596 $ 7,901,892 $ 9,094,589 =========== ============ ========== =========== =========== =========== Undistributed Net Investment Income/(Loss)................ $ 4,646 $ 112,937 $ 4,466 $ 5,468 $ (4,200) $ 252,601 =========== ============ ========== =========== =========== ===========
- --------------- * From commencement of operations on June 7, 2000. ** Net of any redemption fees. See accompanying notes to the financial statements. 85 BARR ROSENBERG SERIES TRUST STATEMENTS OF CHANGES IN NET ASSETS - --------------------------------------------------------------------------------
AXA ROSENBERG MULTI-STRATEGY AXA ROSENBERG AXA ROSENBERG MARKET NEUTRAL FUND U.S. DISCOVERY FUND EUROPEAN FUND --------------------------- ------------------- ------------- YEAR ENDED PERIOD ENDED PERIOD ENDED PERIOD ENDED MARCH 31, MARCH 31, MARCH 31, MARCH 31, 2002 2001* 2002** 2002*** ----------- ------------ ------------------- ------------- INVESTMENT ACTIVITIES: OPERATIONS: Net investment income............................ $ 195,055 $ 408,477 $ 5,424 $ 28,326 Net realized gains/(losses) from: Investments.................................... 1,746,678 2,259 (122,331) (142,730) Foreign currency transactions.................. -- -- -- (8,649) Securities sold short.......................... (204,124) (3,835,176) -- -- Net change in unrealized appreciation/(depreciation) from: Investments.................................... 1,923,072 (439,590) 454,697 (56,770) Foreign currency transactions.................. -- -- -- (181) Securities sold short.......................... (2,315,236) 2,737,069 -- -- ----------- ----------- ---------- ---------- Change in net assets resulting from operations................................... 1,345,445 (1,126,961) 337,790 (180,004) ----------- ----------- ---------- ---------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income Institutional Shares........................... (408,612) (233,000) (5,739) -- Investor Shares................................ (319) -- (160) -- Class A Shares................................. (35) -- (2) -- Class B Shares................................. (34) -- (100) -- ----------- ----------- ---------- ---------- (409,000) (233,000) (6,001) -- ----------- ----------- ---------- ---------- Net realized gains on investments Institutional Shares........................... -- (199,279) -- -- ----------- ----------- ---------- ---------- Change in net assets from distributions........ (409,000) (432,279) (6,001) -- ----------- ----------- ---------- ---------- CAPITAL TRANSACTIONS: Proceeds from shares issued Institutional Shares........................... 947,370 24,584,054 2,673,591 7,500,020 Investor Shares................................ 28,109 -- 83,110 -- Class A Shares................................. 1,010 -- 30,312 1,010 Class B Shares................................. 1,010 -- 51,010 1,010 ----------- ----------- ---------- ---------- 977,499 24,584,054 2,838,023 7,502,040 ----------- ----------- ---------- ---------- Dividends reinvested Institutional Shares........................... 408,612 432,025 5,739 -- Investor Shares................................ 319 -- 160 -- Class A Shares................................. 35 -- 2 -- Class B Shares................................. 34 -- 2 -- ----------- ----------- ---------- ---------- 409,000 432,025 5,903 -- ----------- ----------- ---------- ---------- Cost of shares redeemed**** Institutional Shares........................... (6,701,200) (8,533,305) (8,986) -- Investor Shares................................ (22,030) -- -- -- ----------- ----------- ---------- ---------- (6,723,230) (8,533,305) (8,986) -- ----------- ----------- ---------- ---------- Change in net assets from capital transactions................................. (5,336,731) 16,482,774 2,834,940 7,502,040 ----------- ----------- ---------- ---------- Net change in net assets........................... (4,400,286) 14,923,534 3,166,729 7,322,036 NET ASSETS: Beginning of period.............................. 14,923,534 -- -- -- ----------- ----------- ---------- ---------- End of period.................................... $10,523,248 $14,923,534 $3,166,729 $7,322,036 =========== =========== ========== ========== Undistributed Net Investment Income................ $ -- $ 184,155 $ 1,444 $ 19,677 =========== =========== ========== ==========
- --------------- * From commencement of operations on September 29, 2000. ** From commencement of operations on September 4, 2001. *** From commencement of operations on July 23, 2001. **** Net of any redemption fees. See accompanying notes to the financial statements. 86 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 - -------------------------------------------------------------------------------- 1. ORGANIZATION. Barr Rosenberg Series Trust (the "Trust") was established as a Massachusetts business trust under the laws of Massachusetts on April 1, 1988. The Trust is an open-end diversified management investment company offering nine portfolios: AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Market Neutral 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, AXA Rosenberg U.S. Discovery Fund (commenced operations on September 4, 2001) and AXA Rosenberg European Fund (commenced operations on July 23, 2001), collectively (the "Funds"), or individually (the "Fund"). Each Fund is authorized to issue Institutional Shares and Investor Shares. In addition, all Funds (except the AXA Rosenberg U.S. Small Capitalization Fund) are authorized to issue Class A Shares (commenced operations on October 1, 2001) and Class B Shares (commenced operations on October 1, 2001). Also, the AXA Rosenberg U.S. Small Capitalization Fund is authorized to issue Adviser Shares. Each class of shares in the Funds has identical rights and privileges except with respect to fees paid under shareholder service or distribution plans, voting rights on matters affecting a single class of shares and the exchange privilege of each class of shares. 2. REORGANIZATION. The Trust entered into an Agreement and Plan of Reorganization pursuant to which all of the assets and liabilities of the Barr Rosenberg VIT Market Neutral Fund transferred to the AXA Rosenberg Value Market Neutral Fund in exchange for shares of the AXA Rosenberg Value Market Neutral Fund. The reorganization, which qualified as a tax-free exchange for federal income tax purposes, was completed on April 27, 2001. The following is a summary of shares outstanding, net assets, net asset value per share, accumulated net realized losses and unrealized appreciation immediately before and after the reorganization:
AFTER BEFORE REORGANIZATION REORGANIZATION ------------------------------ -------------- BARR ROSENBERG AXA ROSENBERG AXA ROSENBERG VIT MARKET VALUE MARKET VALUE MARKET NEUTRAL FUND NEUTRAL FUND NEUTRAL FUND -------------- ------------- -------------- Institutional Shares Shares............................................ 443,332 7,448,778 7,956,667 Net Assets........................................ $ 3,936,144 $ 57,725,402 $ 61,661,546 Net Asset Value................................... $ 8.88 $ 7.75 $ 7.75 Unrealized Appreciation.............................. $ 768,579 $ 9,482,637 $ 10,251,216 Accumulated Net Realized Losses...................... $(1,209,455) $(60,577,257) $(61,786,712)
The AXA Rosenberg Value Market Neutral Fund retained its investment objective and financial history after the reorganization. 3. SIGNIFICANT ACCOUNTING POLICIES. The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual amounts could differ from those estimates. The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. Security Valuation Portfolio securities listed on a national exchange or exchanges for which market quotations are available are valued at their last quoted sale price on each business day. If there is no such reported sale, the most recently quoted bid price is used for long securities and the ask price is used for securities sold short. Debt obligations with sixty days or less remaining until maturity are valued at their amortized cost. Unlisted securities for which market quotations are readily available are valued at the most recent quoted bid price for long securities and the ask price is used for securities sold short. Other assets and securities for which no quotation is readily available are valued at fair value as determined in good faith by the Trustees or persons under their supervision. 87 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- Security Transactions and Related Investment Income Security transactions are accounted for on the trade date, with realized gains or losses on the sale of investments determined by using the identified cost method. Dividend income is recorded on the ex-date, net of any non-refundable tax withholdings. Interest income (including amortization of premium and accretion of discount) is recorded as earned. Foreign Currency Transactions The accounting records of the Funds are maintained in U.S. dollars. All monetary items denominated in foreign currencies are translated to U.S. dollars based upon the prevailing exchange rate at the close of each business day. Net realized gains and losses on foreign currency transactions represent net gains and losses from currency gains and losses realized between the trade and settlement dates on securities transactions, and the difference between the amount of net investment income accrued and the U.S. dollar amount actually received. Further, the effects of changes in foreign currency exchange rates on investments in securities are not segregated in the Statement of Operations from the effects of changes in market prices of those securities, but are included with the net realized gain or loss and unrealized appreciation or depreciation on investments. Forward Foreign Currency Contracts Forward foreign currency contracts are valued at the daily exchange rate of the underlying currency. The forward foreign currency contracts are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized appreciation or depreciation until the contractual settlement date. Gains or losses from the purchase or sale of forward foreign currency contracts are recorded as realized on the settlement date. Foreign Securities The AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg International Equity Fund and the AXA Rosenberg European Fund pursue their respective objectives by investing in foreign securities. There are certain additional risks involved when investing in foreign securities that are not inherent with investments in domestic securities. These risks may involve adverse political and economic developments and the possible imposition of currency exchange or other foreign governmental laws or restrictions. Real Estate Investment Trusts The Funds may own shares of real estate investment trusts ("REITS") which report information on the source of their distributions annually. Certain distributions received from REITS during the year, which are known to be a return of capital, are recorded as a reduction to the cost of the individual REIT. Short Sales The AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund are authorized to engage in short-selling which obligates the Fund to replace the security borrowed by purchasing the security at current market value sometime in the future. The Fund will incur a loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will realize a gain if the price of the security declines between those dates. Until the Fund replaces the borrowed security, the Fund will maintain a segregated account with cash and/or U.S. government securities sufficient to cover its short position on a daily basis. At March 31, 2002, the values of securities sold short in the AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund and the AXA Rosenberg Multi-Strategy Market Neutral Fund amounted to $70,447,303, $9,494,593 and $9,733,544, respectively. The collateral for the securities sold short includes the Bear Stearns Deposit Account and the securities held long as shown in the Schedule of Portfolio Investments. 88 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- Securities Lending Under the Security Lending Program, securities held by the AXA Rosenberg U.S. Small Capitalization Fund are loaned by State Street Bank, as agent, to certain brokers (the "Borrowers"). The Borrowers provide cash and/or certain cash equivalents as collateral against loans in an amount at least equal to 100% of the market value of the loaned securities. At March 31, 2002, the value of securities loaned amounted to $3,014,289 against which cash collateral of $3,098,859 was held. The cash collateral is invested in short-term investments. A portion of the income generated upon investment of the collateral is remitted to the Borrowers, and the remainder is allocated between the AXA Rosenberg U.S. Small Capitalization Fund and State Street Bank in its capacity as lending agent. Security lending fee income, net of related expenses, is recorded as earned. The AXA Rosenberg U.S. Small Capitalization Fund bears the risk of loss with respect to the investment of the cash collateral. Expense Allocation Expenses directly attributable to a Fund are charged to that Fund; expenses not directly attributable to a Fund are allocated proportionately among each Fund within the Trust in relation to the net assets of each Fund or on another reasonable basis. Expenses specific to a class are charged to that class. Expenses other than class specific expenses are allocated daily to each class based upon the proportion of relative net assets or another reasonable basis. Dividends and Distributions Dividends and distributions to shareholders are recorded on the ex-dividend date. Distributions are made on a tax basis which may differ from generally accepted accounting principles. These differences are primarily due to differing treatments for foreign currency transactions, distributions from Real Estate Investment Trusts (REITS), redemptions-in-kind and wash sales for book and tax purposes. Permanent book and tax basis differences will result in reclassifications to capital accounts. At March 31, 2002, the following reclassifications have been made to increase/(decrease) such accounts with offsetting adjustments made to capital:
ACCUMULATED NET REALIZED ACCUMULATED NET GAINS/(LOSSES) ON INVESTMENTS, INVESTMENT FOREIGN CURRENCY TRANSACTIONS AND INCOME/(LOSS) SECURITIES SOLD SHORT --------------- --------------------------------- AXA Rosenberg U.S. Small Capitalization Fund........ $328,697 $(328,697) AXA Rosenberg International Small Capitalization Fund.............................................. 146,885 (146,885) AXA Rosenberg Value Market Neutral Fund............. 93,837 (26,464) AXA Rosenberg Select Sectors Market Neutral Fund.... 9,725 (9,725) AXA Rosenberg International Equity Fund............. 66,597 (63,595) AXA Rosenberg Multi-Strategy Market Neutral Fund.... 29,790 (6,391) AXA Rosenberg U.S. Discovery Fund................... 2,021 (765) AXA Rosenberg European Fund......................... (8,649) 8,649
Federal Income Taxes It is each Fund's policy to comply with the requirements of the Internal Revenue Code under Subchapter M, applicable to regulated investment companies, and to distribute all of its taxable income, including any net realized gain on investments, to its shareholders. Therefore, no provision is made for federal income taxes. Organizational Expenses Costs incurred in connection with the organization and initial registration of the AXA Rosenberg Value Market Neutral Fund have been deferred and are being amortized on a straight-line basis over a sixty month period commencing December 1997. Organization costs incurred in relation to the AXA Rosenberg U.S. Discovery Fund and the AXA Rosenberg European Fund have been expensed. 89 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- Offering Costs Costs incurred in connection with the initial registration of the AXA Rosenberg U.S. Discovery Fund and the AXA Rosenberg European Fund have been deferred and are being amortized on a straight-line basis over a twelve-month period commencing September 4, 2001 and July 23, 2001, respectively. 4. MANAGEMENT, ADMINISTRATION, FUND ACCOUNTING, DISTRIBUTION AND SHAREHOLDER SERVICE AGREEMENTS. AXA Rosenberg Investment Management LLC (the "Manager") provides advisory and management services to the Funds under separate management contracts. The Manager is entitled to a fee, computed daily and paid monthly, at the annual rate of 0.90% for the AXA Rosenberg U.S. Small Capitalization Fund, 1.00% for the AXA Rosenberg International Small Capitalization Fund, 1.50% for the AXA Rosenberg Value Market Neutral Fund, 1.00% for the AXA Rosenberg Select Sectors Market Neutral Fund, 0.50% for the AXA Rosenberg Enhanced 500 Fund, 0.85% for the AXA Rosenberg International Equity Fund, 1.50% for the AXA Rosenberg Multi-Strategy Market Neutral Fund, 0.90% for the AXA Rosenberg U.S. Discovery Fund and 0.75% for the AXA Rosenberg European Fund of each Fund's average net assets. The Manager has contractually agreed to waive fees and reimburse the Funds to limit the annual expenses to the following: 1.15% of the average net assets of the AXA Rosenberg U.S. Small Capitalization Fund, 1.50% of the average net assets of the AXA Rosenberg International Small Capitalization Fund, 0.75% of the average net assets of the AXA Rosenberg Enhanced 500 Fund, 1.35% of the average net assets of the AXA Rosenberg International Equity Fund, 1.15% of the average net assets of the AXA Rosenberg U.S. Discovery Fund and 1.25% of the average net assets of the AXA Rosenberg European Fund. This includes the management fee but excludes the Service Fees and the Distribution and Shareholder Service Fees. The Manager has agreed to maintain an operating expense ratio for the AXA Rosenberg Value Market Neutral Fund of 1.75%, for the AXA Rosenberg Select Sectors Market Neutral Fund of 1.25% and for the AXA Rosenberg Multi-Strategy Market Neutral Fund of 1.50% of each Fund's average net assets, exclusive of the dividend expense on short sales and the Distribution and Shareholder Service Fees. Any amounts waived or reimbursed by the Manager in a particular fiscal year will be subject to repayment by the Fund to the Manager to the extent that from time to time through the next two fiscal years the repayment will not cause the Fund's expenses to exceed the stated limit during the respective year. As of the period ending March 31, 2002, the reimbursement that may potentially be made by the Funds is as follows:
EXPIRES EXPIRES MARCH 31, 2003 MARCH 31, 2004 -------------- -------------- AXA Rosenberg U.S. Small Capitalization Fund........... $195,127 $434,809 AXA Rosenberg International Small Capitalization Fund.................................................. 175,323 273,849 AXA Rosenberg Value Market Neutral Fund................ 179,348 178,679 AXA Rosenberg Select Sectors Market Neutral Fund....... 69,920 88,373 AXA Rosenberg Enhanced 500 Fund........................ 75,810 118,977 AXA Rosenberg International Equity Fund................ 147,879 220,893 AXA Rosenberg Multi-Strategy Market Neutral Fund....... 79,210 161,003 AXA Rosenberg U.S. Discovery Fund...................... -- 117,899 AXA Rosenberg European Fund............................ -- 198,718
BISYS Fund Services Ohio, Inc. ("BISYS" or the "Administrator"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trust's administrator and assists the Trust in all aspects of its administration and operation. The Administrator is entitled to a fee, computed daily and paid monthly, at an annual rate of 0.15% of the average net assets of the Funds. The Administrator has voluntarily waived a portion of its fees in the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund and the AXA Rosenberg Value Market Neutral Fund. In addition, the Administrator has agreed to waive all fees in the AXA Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg Enhanced 500 Fund, AXA Rosenberg International Equity Fund, AXA Rosenberg Multi-Strategy Market Neutral Fund, AXA Rosenberg U.S. Discovery Fund and the AXA Rosenberg European Fund until the net assets reach $25 million. 90 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- BISYS serves the Trust as fund accountant. Under the terms of the fund accounting agreement, BISYS is entitled to receive an annual fee per Fund. The Trust has adopted a Distribution and Shareholder Service Plan for its Investor Shares, Class A Shares and Class B Shares, pursuant to Rule 12b-1 under the 1940 Act. The Investor Shares, Class A Shares and Class B Shares of the Funds are sold on a continuous basis by the Trust's Distributor, Barr Rosenberg Funds Distributor, Inc. (the "Distributor"), an indirect wholly-owned subsidiary of The BISYS Group, Inc. Under the Distribution and Shareholder Service Plan, the Funds pay the Distributor for expenses primarily intended to result in the sale of the Investor Shares, Class A Shares and Class B Shares. The annual Distribution and Shareholder Service Fee consists of the following: up to 0.25% of the respective average daily net assets of the Investor Shares, up to 0.50% of the respective average daily net assets of the Class A Shares and up to 1.00% of the respective average daily net assets of the Class B Shares. In addition, the Trustees have authorized each Fund to pay up to 0.15% of its average daily net assets attributable to Investor Shares for sub-transfer and sub-accounting services in connection with such shares. Various service organizations act as servicing agents of the Adviser Shares of the AXA Rosenberg U.S. Small Capitalization Fund. Such shares are subject to an annual Service Fee of up to 0.25% of the average daily net assets attributable to such shares in accordance with a Service Plan adopted by the Trust. Effective June 1, 2001, the annual Service Fee was increased from 0.25% to 0.30% of the average daily net assets attributable to such shares. 5. EARLY REDEMPTION FEE. For the Funds, certain shares purchased on or after September 1, 2001, that were redeemed or exchanged in less than 30 days, are assessed a fee of 2% of the current net asset value of the shares. The fee, applied to shares redeemed or exchanged in the order in which they are purchased, is retained by the Fund for the benefit of remaining shareholders to defray Fund portfolio transaction expenses and facilitate portfolio management. For the year ended March 31, 2002, the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund and the AXA Rosenberg International Equity Fund earned early redemption fees in the amount of $71,336, $75,563, $12,162, $116 and $6,397, respectively. Such amounts are included in the cost of shares redeemed which are recorded as net amounts. 6. SECURITY PURCHASES AND SALES. For the year ended March 31, 2002, purchases and sales of securities (excluding short-term securities) were as follows:
PURCHASES SALES ------------ ------------ AXA Rosenberg U.S. Small Capitalization Fund........... $519,533,792 $502,993,557 AXA Rosenberg International Small Capitalization Fund.................................................. 55,221,944 62,464,342 AXA Rosenberg Value Market Neutral Fund................ 82,827,827 88,236,883 AXA Rosenberg Select Sectors Market Neutral Fund....... 33,179,516 34,992,604 AXA Rosenberg Enhanced 500 Fund........................ 4,785,567 4,475,080 AXA Rosenberg International Equity Fund................ 11,152,778 11,276,127 AXA Rosenberg Multi-Strategy Market Neutral Fund....... 25,065,845 30,464,252 AXA Rosenberg U.S. Discovery Fund...................... 4,614,386 1,889,633 AXA Rosenberg European Fund............................ 13,714,954 6,383,517
91 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- 7. SALES AND REDEMPTIONS OF SHARES. The Funds are authorized to issue an unlimited number of shares of beneficial interest with no par value. Transactions in shares of beneficial interest were as follows:
YEAR ENDED MARCH 31, 2002 ------------------------------------------------------------------------------------- AXA AXA AXA ROSENBERG AXA ROSENBERG ROSENBERG SELECT AXA AXA ROSENBERG INTERNATIONAL VALUE SECTORS ROSENBERG ROSENBERG U.S. SMALL SMALL MARKET MARKET ENHANCED INTERNATIONAL CAPITALIZATION CAPITALIZATION NEUTRAL NEUTRAL 500 EQUITY FUND FUND FUND FUND FUND FUND -------------- -------------- ----------- --------- --------- ------------- Shares sold: Institutional.................... 11,450,046 2,647,769 493,395 265,315 46,282 209,245 Adviser.......................... 1,006,522 -- -- -- -- -- Investor......................... 5,658,543 3,439,550 2,749,277 53,906 -- 31,806 Class A****...................... -- 131 43,531 1,056 205 146 Class B****...................... -- 131 11,245 91 142 145 ----------- ----------- ----------- -------- ------- -------- 18,115,111 6,087,581 3,297,448 320,368 46,629 241,342 ----------- ----------- ----------- -------- ------- -------- Shares sold in exchange for shares of Barr Rosenberg VIT Market Neutral Fund: Institutional.................... -- -- 507,890 -- -- -- ----------- ----------- ----------- -------- ------- -------- Issued upon reinvestment of distributions: Institutional.................... 2,342,330 74,947 209,836 34,714 343 5,678 Adviser.......................... 62,484 -- -- -- -- -- Investor......................... 425,577 17,575 10,386 295 -- 151 Class A.......................... -- 3 60 2 1 8 Class B.......................... -- 3 3 2 1 8 ----------- ----------- ----------- -------- ------- -------- 2,830,391 92,528 220,285 35,013 345 5,845 ----------- ----------- ----------- -------- ------- -------- Shares redeemed: Institutional.................... (13,302,892) (4,010,528) (1,068,555) (552,350) (1,343) (216,505) Adviser.......................... (331,610) -- -- -- -- -- Investor......................... (3,159,732) (2,896,413) (2,648,792) (11,112) -- (32,413) Class A.......................... -- -- -- -- (63) -- Class B.......................... -- -- -- -- -- -- ----------- ----------- ----------- -------- ------- -------- (16,794,234) (6,906,941) (3,717,347) (563,462) (1,406) (248,918) ----------- ----------- ----------- -------- ------- -------- Net increase/(decrease): Institutional.................... 489,484 (1,287,812) 142,566 (252,321) 45,282 (1,582) Adviser.......................... 737,396 -- -- -- -- -- Investor......................... 2,924,388 560,712 110,871 43,089 -- (456) Class A.......................... -- 134 43,591 1,058 143 154 Class B.......................... -- 134 11,248 93 143 153 ----------- ----------- ----------- -------- ------- -------- 4,151,268 (726,832) 308,276 (208,081) 45,568 (1,731) =========== =========== =========== ======== ======= ======== YEAR ENDED MARCH 31, 2002 --------------------------------- AXA ROSENBERG MULTI- AXA STRATEGY ROSENBERG AXA MARKET U.S. ROSENBERG NEUTRAL DISCOVERY EUROPEAN FUND* FUND** FUND*** --------- --------- --------- Shares sold: Institutional.................... 103,543 268,939 750,001 Adviser.......................... -- -- -- Investor......................... 2,891 8,848 -- Class A****...................... 89 2,807 115 Class B****...................... 89 5,227 115 -------- -------- ------- 106,612 285,821 750,231 -------- -------- ------- Shares sold in exchange for shares of Barr Rosenberg VIT Market Neutral Fund: Institutional.................... -- -- -- -------- -------- ------- Issued upon reinvestment of distributions: Institutional.................... 43,469 580 -- Adviser.......................... -- -- -- Investor......................... 34 16 -- Class A.......................... 4 -- -- Class B.......................... 4 -- -- -------- -------- ------- 43,511 596 -- -------- -------- ------- Shares redeemed: Institutional.................... (692,583) (963) -- Adviser.......................... -- -- -- Investor......................... (2,224) -- -- Class A.......................... -- -- -- Class B.......................... -- -- -- -------- -------- ------- (694,807) (963) -- -------- -------- ------- Net increase/(decrease): Institutional.................... (545,571) 268,556 750,001 Adviser.......................... -- -- -- Investor......................... 701 8,864 -- Class A.......................... 93 2,807 115 Class B.......................... 93 5,227 115 -------- -------- ------- (544,684) 285,454 750,231 ======== ======== =======
- --------------- * From commencement of operations on August 23, 2001 (Investor Shares). ** From commencement of operations on September 4, 2001 (Institutional Shares) and October 3, 2001 (Investor Shares). *** From commencement of operations on July 23, 2001 (Institutional Shares). **** From commencement of operations on October 1, 2001 (for all funds except the AXA Rosenberg U.S. Small Capitalization Fund). 92 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - --------------------------------------------------------------------------------
YEAR ENDED MARCH 31, 2001 ------------------------------------------------------------------------------------------------- AXA AXA AXA AXA ROSENBERG ROSENBERG AXA ROSENBERG ROSENBERG SELECT AXA AXA MULTI- ROSENBERG INTERNATIONAL VALUE SECTORS ROSENBERG ROSENBERG STRATEGY U.S. SMALL SMALL MARKET MARKET ENHANCED INTERNATIONAL MARKET CAPITALIZATION CAPITALIZATION NEUTRAL NEUTRAL 500 EQUITY NEUTRAL FUND FUND FUND FUND FUND* FUND** FUND*** -------------- -------------- ---------- ---------- --------- ------------- --------- Shares sold: Institutional................ 7,251,114 1,396,097 1,759,709 49,833 507,560 1,000,002 2,481,212 Adviser...................... 437,910 -- -- -- -- -- -- Investor..................... 7,021,446 271,414 672,181 4,323 -- 207 -- ----------- ---------- ---------- ---------- ------- --------- --------- 14,710,470 1,667,511 2,431,890 54,156 507,560 1,000,209 2,481,212 ----------- ---------- ---------- ---------- ------- --------- --------- Shares sold in exchange for shares of AXA Rosenberg Japan Fund: Institutional................ -- -- -- -- -- 113,751 -- Adviser...................... -- -- -- -- -- -- -- Investor..................... -- -- -- -- -- 2,740 -- ----------- ---------- ---------- ---------- ------- --------- --------- -- -- -- -- -- 116,491 -- ----------- ---------- ---------- ---------- ------- --------- --------- Issued upon reinvestment of dividends: Institutional................ 1,534,919 619,859 457,811 120,951 23 -- 46,908 Adviser...................... 25,972 -- -- -- -- -- -- Investor..................... 48,044 20,843 22,897 420 -- -- -- ----------- ---------- ---------- ---------- ------- --------- --------- 1,608,935 640,702 480,708 121,371 23 -- 46,908 ----------- ---------- ---------- ---------- ------- --------- --------- Shares redeemed: Institutional................ (10,660,036) (1,201,194) (4,609,497) (1,456,074) (31) (90) (945,804) Adviser...................... (396,575) -- -- -- -- -- -- Investor..................... (1,345,415) (241,952) (1,038,684) (84,577) -- -- -- ----------- ---------- ---------- ---------- ------- --------- --------- (12,402,026) (1,443,146) (5,648,181) (1,540,651) (31) (90) (945,804) ----------- ---------- ---------- ---------- ------- --------- --------- Net increase/(decrease): Institutional................ (1,874,003) 814,762 (2,391,977) (1,285,290) 507,552 1,113,663 1,582,316 Adviser...................... 67,307 -- -- -- -- -- -- Investor..................... 5,724,075 50,305 (343,606) (79,834) -- 2,947 -- ----------- ---------- ---------- ---------- ------- --------- --------- 3,917,379 865,067 (2,735,583) (1,365,124) 507,552 1,116,610 1,582,316 =========== ========== ========== ========== ======= ========= =========
- --------------- * From commencement of operations on June 7, 2000 (Institutional Shares). ** From commencement of operations on June 7, 2000 (Institutional Shares) and December 5, 2000 (Investor Shares). *** From commencement of operations on September 29, 2000 (Institutional Shares). 8. LINE OF CREDIT. A loan agreement to a maximum amount of 33.33% of total net assets for the AXA Rosenberg Value Market Neutral Fund has been established by the custodian for temporary purposes. In addition, an unsecured committed line of credit to a maximum amount of $20,000,000 has been established by the custodian for general purposes for the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg International Equity Fund, AXA Rosenberg U.S. Discovery Fund and the AXA Rosenberg European Fund. A commitment fee of 0.09% per annum will be incurred on the unused portion of the line of credit which is allocated to the Funds. There were no borrowings on the line of credit for the year ended March 31, 2002. 93 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- 9. DISTRIBUTIONS TO SHAREHOLDERS. The tax character of distributions paid during the fiscal year ended March 31, 2002 was as follows:
DISTRIBUTIONS PAID FROM ------------------------------ TOTAL NET INVESTMENT NET LONG-TERM TOTAL TAXABLE DISTRIBUTIONS INCOME CAPITAL GAINS DISTRIBUTIONS PAID -------------- ------------- ------------- ------------- AXA Rosenberg U.S. Small Capitalization Fund............... $1,614,303 $27,050,315 $28,664,618 $28,664,618 AXA Rosenberg International Small Capitalization Fund...... 735,737 -- 735,737 735,737 AXA Rosenberg Value Market Neutral Fund.................... 1,765,000 -- 1,765,000 1,765,000 AXA Rosenberg Select Sectors Market Neutral Fund........... 339,000 -- 339,000 339,000 AXA Rosenberg Enhanced 500 Fund............................ 32,000 -- 32,000 32,000 AXA Rosenberg International Equity Fund.................... 402,000 -- 402,000 402,000 AXA Rosenberg Multi-Strategy Market Neutral Fund........... 409,000 -- 409,000 409,000 AXA Rosenberg U.S. Discovery Fund.......................... 6,001 -- 6,001 6,001
As of March 31, 2002, the components of accumulated earnings/(deficit) on a tax basis was as follows:
UNDISTRIBUTED UNREALIZED UNDISTRIBUTED LONG-TERM ACCUMULATED ACCUMULATED CAPITAL APPRECIATION/ ORDINARY INCOME CAPITAL GAINS EARNINGS AND OTHER LOSSES (DEPRECIATION) --------------- ------------- ----------- ------------------- -------------- AXA Rosenberg U.S. Small Capitalization Fund........... $ -- $17,860,532 $17,860,532 $ -- $117,071,448 AXA Rosenberg International Small Capitalization Fund..... 107,307 -- 107,307 (8,350,153) (909,645) AXA Rosenberg Value Market Neutral Fund.................. -- -- -- (56,602,210) 15,688,891 AXA Rosenberg Select Sectors Market Neutral Fund........... 4,646 -- 4,646 (2,219,213) 1,592,258 AXA Rosenberg Enhanced 500 Fund.......................... 4,466 -- 4,466 (652,014) (471,511) AXA Rosenberg International Equity Fund................... -- -- -- (2,883,617) (593,703) AXA Rosenberg Multi-Strategy Market Neutral Fund........... -- -- -- (2,432,750) 1,833,354 AXA Rosenberg U.S. Discovery Fund.......................... 1,445 -- 1,445 (121,798) 453,398 AXA Rosenberg European Fund..... 21,363 -- 21,363 (106,726) (94,641) TOTAL ACCUMULATED EARNINGS/(DEFICIT) ------------------ AXA Rosenberg U.S. Small Capitalization Fund........... $134,931,980 AXA Rosenberg International Small Capitalization Fund..... (9,152,491) AXA Rosenberg Value Market Neutral Fund.................. (40,913,319) AXA Rosenberg Select Sectors Market Neutral Fund........... (622,309) AXA Rosenberg Enhanced 500 Fund.......................... (1,119,059) AXA Rosenberg International Equity Fund................... (3,477,320) AXA Rosenberg Multi-Strategy Market Neutral Fund........... (599,396) AXA Rosenberg U.S. Discovery Fund.......................... 333,045 AXA Rosenberg European Fund..... (180,004)
As of March 31, 2002, the following Funds had net capital loss carryforwards, which are available to offset future realized gains.
EXPIRES ------------------------------------------------------------------------------------ 2003 2005 2006 2007 2008 2009 2010 TOTAL ------- -------- -------- ----------- ----------- ----------- ---------- ----------- AXA Rosenberg International Small Capitalization Fund...................... $ -- $ -- $ -- $ -- $ -- $ -- $5,837,140 $ 5,837,140 AXA Rosenberg Value Market Neutral Fund.............. -- -- -- 16,655,181 28,459,569 11,040,106 -- 56,154,856 AXA Rosenberg Select Sectors Market Neutral Fund....... -- -- -- -- 1,559,877 -- 659,336 2,219,213 AXA Rosenberg Enhanced 500 Fund...................... -- -- -- -- -- 130,342 407,144 537,486 AXA Rosenberg International Equity Fund............... 20,835 261,584 282,014 -- 7,313 112,715 1,280,844 1,965,305 AXA Rosenberg Multi-Strategy Market Neutral Fund....... -- -- -- -- -- -- 2,432,750 2,432,750 AXA Rosenberg U.S. Discovery Fund...................... -- -- -- -- -- -- 13,615 13,615 AXA Rosenberg European Fund...................... -- -- -- -- -- -- 106,726 106,726
94 BARR ROSENBERG SERIES TRUST NOTES TO FINANCIAL STATEMENTS MARCH 31, 2002 (CONTINUED) - -------------------------------------------------------------------------------- Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the year ended March 31, 2002, the Funds deferred to April 1, 2002 post October capital losses and post October currency losses of:
CAPITAL LOSSES CURRENCY LOSSES -------------- --------------- AXA Rosenberg International Small Capitalization Fund.................................................. $2,513,013 $ -- AXA Rosenberg Value Market Neutral Fund................ 447,354 -- AXA Rosenberg Enhanced 500 Fund........................ 114,528 -- AXA Rosenberg International Equity Fund................ 913,879 4,433 AXA Rosenberg U.S. Discovery Fund...................... 108,183 --
The differences between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to: tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains/losses on certain derivative instruments, the difference between book and tax amortization methods for premium and market discount, the realization for tax purposes of unrealized gains/losses on investments in passive foreign investment companies, and the return of capital adjustments from real estate investment trusts. OTHER TAX INFORMATION (UNAUDITED). For corporate shareholders of the AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg Value Market Neutral Fund, AXA Rosenberg Select Sectors Market Neutral Fund, AXA Rosenberg Enhanced 500 Fund, AXA Rosenberg Multi-Strategy Market Neutral Fund and the AXA Rosenberg U.S. Discovery Fund, 100.00%, 45.48%, 41.25%, 100.00%, 27.13% and 100.00% of the total ordinary income distributions paid during the fiscal year ended March 31, 2002, qualify for the corporate dividends received deduction, respectively. The AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg International Equity Fund and the AXA Rosenberg European Fund may elect to pass on the benefits of the foreign tax credit to its shareholders for the year ended March 31, 2002. The following information is presented with respect to the election:
AXA ROSENBERG INTERNATIONAL AXA SMALL ROSENBERG AXA CAPITALIZATION INTERNATIONAL ROSENBERG FUND EQUITY FUND EUROPEAN FUND -------------- ------------- ------------- Gross Income from Foreign Countries................... $1,046,315 $192,372 $44,068 Gross Income from Foreign Countries Per Share......... $ 0.258 $ 0.173 $ 0.059 Income Taxes Paid to Foreign Countries................ $ 168,892 $ 23,576 $10,082 Income Taxes Paid to Foreign Countries Per Share...... $ 0.042 $ 0.021 $ 0.013
95 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 -------------- -------------- -------------- -------------- -------------- INSTITUTIONAL SHARES Net asset value, beginning of period.......................... $ 9.57 $ 10.06 $ 7.66 $ 9.76 $ 7.13 -------- -------- -------- -------- -------- Investment activities: Net investment income........... 0.03* 0.03* -- 0.01* 0.02* Net realized and unrealized gains/(losses) on investments.................. 2.17 (0.16) 2.40 (2.02) 3.14 -------- -------- -------- -------- -------- Total from investment activities................... 2.20 (0.13) 2.40 (2.01) 3.16 -------- -------- -------- -------- -------- Distributions: Net investment income........... (0.04) (0.03) --** (0.01) (0.01) Net realized gains on investments.................. (0.55) (0.33) -- (0.08) (0.52) -------- -------- -------- -------- -------- Total distributions............. (0.59) (0.36) -- (0.09) (0.53) -------- -------- -------- -------- -------- Net asset value, end of period.... $ 11.18 $ 9.57 $ 10.06 $ 7.66 $ 9.76 ======== ======== ======== ======== ======== Total return...................... 23.92% (1.26)% 31.36% (20.56)% 44.95% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)........................ $482,205 $408,148 $447,879 $445,476 $537,891 Net investment income net of waivers/reimbursements....... 0.33% 0.26% 0.02% 0.16% 0.19% Expenses before waivers/reimbursements....... 1.29% 1.25% 1.23% 1.19% 1.30% Expenses net of waivers/reimbursements....... 1.15% 1.15% 1.15% 1.15% 1.15% Portfolio turnover rate......... 101.08% 128.79% 141.78% 123.66% 77.70%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. See accompanying notes to the financial statements. 96 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 -------------- -------------- -------------- -------------- -------------- ADVISER SHARES Net asset value, beginning of period.......................... $ 9.53 $10.02 $ 7.65 $ 9.75 $ 7.14 ------- ------ ------ ------- ------- Investment activities: Net investment income/(loss).... --* 0.01* -- --* (0.01)* Net realized and unrealized gains/(losses) on investments.................. 2.17 (0.16) 2.37 (2.02) 3.14 ------- ------ ------ ------- ------- Total from investment activities................... 2.17 (0.15) 2.37 (2.02) 3.13 ------- ------ ------ ------- ------- Distributions: Net investment income........... (0.03) (0.01) --** -- -- Net realized gains on investments.................. (0.55) (0.33) -- (0.08) (0.52) ------- ------ ------ ------- ------- Total distributions............. (0.58) (0.34) -- (0.08) (0.52) ------- ------ ------ ------- ------- Net asset value, end of period.... $ 11.12 $ 9.53 $10.02 $ 7.65 $ 9.75 ======= ====== ====== ======= ======= Total return...................... 23.61% (1.43)% 31.00% (20.70)% 44.50% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)........................ $17,695 $8,137 $7,884 $15,465 $17,448 Net investment income/(loss) net of waivers/reimbursements.... 0.05% 0.07% (0.16)% (0.00)% (0.06)% Expenses before waivers/reimbursements....... 1.53% 1.45% 1.39% 1.35% 1.56% Expenses net of waivers/reimbursements....... 1.39% 1.35% 1.31% 1.29% 1.40% Portfolio turnover rate......... 101.08% 128.79% 141.78% 123.66% 77.70%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. See accompanying notes to the financial statements. 97 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 -------------- -------------- -------------- -------------- -------------- INVESTOR SHARES Net asset value, beginning of period.......................... $ 9.50 $ 10.00 $ 7.63 $ 9.73 $ 7.13 -------- ------- ------- ------- ------- Investment activities: Net investment loss............. --* (0.01)* -- (0.01)* (0.02)* Net realized and unrealized gains/(losses) on investments.................. 2.15 (0.14) 2.37 (2.01) 3.14 -------- ------- ------- ------- ------- Total from investment activities................... 2.15 (0.15) 2.37 (2.02) 3.12 -------- ------- ------- ------- ------- Distributions: Net investment income........... (0.02) (0.02) -- -- -- Net realized gains on investments.................. (0.55) (0.33) -- (0.08) (0.52) -------- ------- ------- ------- ------- Total distributions............. (0.57) (0.35) -- (0.08) (0.52) -------- ------- ------- ------- ------- Net asset value, end of period.... $ 11.08 $ 9.50 $ 10.00 $ 7.63 $ 9.73 ======== ======= ======= ======= ======= Total return...................... 23.50% (1.52)% 31.06% (20.74)% 44.42% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)........................ $108,449 $65,217 $11,400 $16,228 $33,724 Net investment loss net of waivers/reimbursements....... (0.05)% (0.13)% (0.13)% (0.15)% (0.24)% Expenses before waivers/reimbursements....... 1.65% 1.53% 1.50% 1.77% 2.05% Expenses net of waivers/reimbursements....... 1.51% 1.43% 1.28% 1.42% 1.59% Portfolio turnover rate......... 101.08% 128.79% 141.78% 123.66% 77.70%
- --------------- * Calculated based on the average shares outstanding during the period. See accompanying notes to the financial statements. 98 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 -------------- -------------- -------------- -------------- -------------- INSTITUTIONAL SHARES Net asset value, beginning of period.......................... $ 9.13 $ 11.81 $ 9.11 $ 10.10 $ 10.13 ------- ------- ------- ------- ------- Investment activities: Net investment income........... 0.15* 0.11 0.15 0.12* 0.08* Net realized and unrealized gains/(losses) on investments and foreign currency transactions................. (0.61) (1.28) 2.74 (1.02) 0.14 ------- ------- ------- ------- ------- Total from investment activities................... (0.46) (1.17) 2.89 (0.90) 0.22 ------- ------- ------- ------- ------- Distributions: Net investment income........... (0.19) (0.16) (0.19) (0.09) (0.05) Net realized gains on investments and foreign currency transactions........ --** (1.35) -- -- (0.20) ------- ------- ------- ------- ------- Total distributions............. (0.19) (1.51) (0.19) (0.09) (0.25) ------- ------- ------- ------- ------- Net asset value, end of period.... $ 8.48 $ 9.13 $ 11.81 $ 9.11 $ 10.10 ======= ======= ======= ======= ======= Total return...................... (4.80)% (10.78)% 32.04% (8.83)% 2.51% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)........................ $28,027 $41,951 $44,628 $34,292 $39,218 Net investment income net of waivers/reimbursements....... 1.71% 0.99% 1.43% 1.29% 0.82% Expenses before waivers/reimbursements....... 2.24% 1.93% 1.96% 1.97% 2.64% Expenses net of waivers/reimbursements....... 1.50% 1.50% 1.50% 1.50% 1.50% Portfolio turnover rate......... 147.52% 148.53% 148.72% 111.05% 77.72%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. See accompanying notes to the financial statements. 99 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998 -------------- -------------- -------------- -------------- -------------- INVESTOR SHARES Net asset value, beginning of period.......................... $ 9.09 $11.77 $ 9.10 $10.09 $10.13 ------ ------ ------ ------ ------ Investment activities: Net investment income........... 0.07* 0.08 0.13 0.07* 0.06* Net realized and unrealized gains/(losses) on investments and foreign currency transactions................. (0.55) (1.29) 2.71 (1.00) 0.14 ------ ------ ------ ------ ------ Total from investment activities................... (0.48) (1.21) 2.84 (0.93) 0.20 ------ ------ ------ ------ ------ Distributions: Net investment income........... (0.18) (0.12) (0.17) (0.06) (0.04) Net realized gains on investments and foreign currency transactions........ --** (1.35) -- -- (0.20) ------ ------ ------ ------ ------ Total distributions............. (0.18) (1.47) (0.17) (0.06) (0.24) ------ ------ ------ ------ ------ Net asset value, end of period.... $ 8.43 $ 9.09 $11.77 $ 9.10 $10.09 ====== ====== ====== ====== ====== Total return...................... (5.08)% (11.08)% 31.47% (9.16)% 2.22% RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)........................ $6,334 $1,731 $1,650 $1,697 $1,375 Net investment income net of waivers/reimbursements....... 0.79% 0.67% 1.14% 0.79% 0.61% Expenses before waivers/reimbursements....... 2.67% 2.24% 2.28% 2.66% 3.35% Expenses net of waivers/reimbursements....... 1.78% 1.81% 1.81% 1.95% 1.91% Portfolio turnover rate......... 147.52% 148.53% 148.72% 111.05% 77.72%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. See accompanying notes to the financial statements. 100 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 7.71 ------ Investment activities: Net investment income..................................... --* Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.94 ------ Total from investment activities.......................... 0.94 ------ Distributions: Net investment income..................................... (0.19) Net realized gains on investments and foreign currency transactions........................................... --** ------ Total distributions....................................... (0.19) ------ Net asset value, end of period.............................. $ 8.46 ====== Total return (excludes sales charge)........................ 12.40%*** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment income net of waivers/reimbursements....... 0.10%**** Expenses before waivers/reimbursements.................... 3.13%**** Expenses net of waivers/reimbursements.................... 2.00%**** Portfolio turnover rate................................... 147.52%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. *** Not annualized. **** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 101 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL SMALL CAPITALIZATION FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS B SHARES Net asset value, beginning of period........................ $ 7.71 ------ Investment activities: Net investment loss....................................... (0.02)* Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.94 ------ Total from investment activities.......................... 0.92 ------ Distributions: Net investment income..................................... (0.18) Net realized gains on investments and foreign currency transactions........................................... --** ------ Total distributions....................................... (0.18) ------ Net asset value, end of period.............................. $ 8.45 ====== Total return (excludes redemption charge)................... 12.12%*** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.40)%**** Expenses before waivers/reimbursements.................... 3.63%**** Expenses net of waivers/reimbursements.................... 2.50%**** Portfolio turnover rate................................... 147.52%
- --------------- * Calculated based on the average shares outstanding during the period. ** Distribution per share was less than $0.005. *** Not annualized. **** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 102 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a) -------------- -------------- -------------- -------------- ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period..................... $ 8.11 $ 7.42 $ 8.99 $ 9.97 $ 10.00 ------- ------- ------- -------- -------- Investment activities: Net investment income...... 0.13* 0.34* 0.34 0.29* 0.10* Net realized and unrealized gains/(losses) on investments and securities sold short... 0.93 0.78 (1.58) (1.00) (0.13) ------- ------- ------- -------- -------- Total from investment activities.............. 1.06 1.12 (1.24) (0.71) (0.03) ------- ------- ------- -------- -------- Distributions: Net investment income...... (0.22) (0.43) (0.33) (0.27) -- ------- ------- ------- -------- -------- Total distributions........ (0.22) (0.43) (0.33) (0.27) -- ------- ------- ------- -------- -------- Net asset value, end of period..................... $ 8.95 $ 8.11 $ 7.42 $ 8.99 $ 9.97 ======= ======= ======= ======== ======== Total return................. 13.53% 15.96% (14.13)% (7.31)% (0.30)%** RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)................... $69,629 $61,923 $74,401 $162,404 $168,080 Net investment income net of waivers/reimbursements... 1.61% 4.56% 2.82% 2.97% 3.31%*** Expenses (including dividend expense) before waivers/reimbursements... 2.49% 3.05% 3.40% 3.07% 3.33%*** Expenses (including dividend expense) net of waivers/reimbursements... 2.18% 2.72% 3.04% 2.85% 2.75%*** Expenses (excluding dividend expense) net of waivers/reimbursements... 1.75% 1.84% 2.00% 2.00% 2.00%*** Portfolio turnover rate.... 126.45% 129.80% 139.22% 205.32% 232.93%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on December 16, 1997 to March 31, 1998. See accompanying notes to the financial statements. 103 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD ENDED ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999 MARCH 31, 1998(a) -------------- -------------- -------------- -------------- ----------------- INVESTOR SHARES Net asset value, beginning of period..................... $ 8.10 $ 7.41 $ 8.98 $ 9.96 $ 10.00 ------ ------ ------ ------- ------- Investment activities: Net investment income...... 0.09* 0.31* 0.32 0.25* 0.08* Net realized and unrealized gains/(losses) on investments and securities sold short... 0.96 0.78 (1.59) (1.00) (0.12) ------ ------ ------ ------- ------- Total from investment activities.............. 1.05 1.09 (1.27) (0.75) (0.04) ------ ------ ------ ------- ------- Distributions: Net investment income...... (0.20) (0.40) (0.30) (0.23) -- ------ ------ ------ ------- ------- Total distributions........ (0.20) (0.40) (0.30) (0.23) -- ------ ------ ------ ------- ------- Net asset value, end of period..................... $ 8.95 $ 8.10 $ 7.41 $ 8.98 $ 9.96 ====== ====== ====== ======= ======= Total return................. 13.24% 15.49% (14.41)% (7.66)% (0.40)%** RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)................... $5,355 $3,952 $6,155 $37,387 $35,223 Net investment income net of waivers/reimbursements... 1.05% 4.23% 2.36% 2.53% 2.82%*** Expenses (including dividend expense) before waivers/reimbursements... 2.79% 3.37% 3.70% 3.52% 3.87%*** Expenses (including dividend expense) net of waivers/reimbursements... 2.48% 3.04% 3.35% 3.31% 3.34%*** Expenses (excluding dividend expense) net of waivers/reimbursements... 2.04% 2.16% 2.29% 2.45% 2.50%*** Portfolio turnover rate.... 126.45% 129.80% 139.22% 205.32% 232.93%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on December 18, 1997 to March 31, 1998. See accompanying notes to the financial statements. 104 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 9.56 ------- Investment Activities: Net investment loss....................................... (0.02)* Net realized and unrealized losses on investments and securities sold short.................................. (0.38) ------- Total from investment activities.......................... (0.40) ------- Distributions: Net investment income..................................... (0.22) ------- Total distributions....................................... (0.22) ------- Net asset value, end of period.............................. $ 8.94 ======= Total return (excludes sales charge)........................ (3.92)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 390 Net investment loss net of waivers/reimbursements......... (0.54)%*** Expenses (including dividend expense) before waivers/reimbursements................................. 3.01%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 2.64%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 2.25%*** Portfolio turnover rate................................... 126.45%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 105 BARR ROSENBERG SERIES TRUST AXA ROSENBERG VALUE MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ------------------ CLASS B SHARES Net asset value, beginning of period........................ $ 9.56 ------- Investment activities: Net investment loss....................................... (0.05)* Net realized and unrealized losses on investments and securities sold short.................................. (0.38) ------- Total from investment activities.......................... (0.43) ------- Distributions: Net investment income..................................... (0.20) ------- Total distributions....................................... (0.20) ------- Net asset value, end of period.............................. $ 8.93 ======= Total return (excludes redemption charge)................... (4.11)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 100 Net investment loss net of waivers/reimbursements......... (1.05)%*** Expenses (including dividend expense) before waivers/reimbursements................................. 3.51%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 3.14%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 2.75%*** Portfolio turnover rate................................... 126.45%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 106 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999(a) -------------- -------------- -------------- ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................... $ 9.61 $ 11.05 $ 10.46 $ 10.00 ------- ------- ------- ------- Investment activities: Net investment income............ 0.18* 0.53* 0.44 0.11 Net realized and unrealized gains/(losses) on investments and securities sold short..... 0.69 (1.12) 0.57 0.40 ------- ------- ------- ------- Total from investment activities.................... 0.87 (0.59) 1.01 0.51 ------- ------- ------- ------- Distributions: Net investment income............ (0.26) (0.85) (0.42) (0.05) ------- ------- ------- ------- Total distributions.............. (0.26) (0.85) (0.42) (0.05) ------- ------- ------- ------- Net asset value, end of period..... $ 10.22 $ 9.61 $ 11.05 $ 10.46 ======= ======= ======= ======= Total return....................... 9.20% (4.79)% 9.82% 5.14%** RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)......................... $10,037 $11,855 $27,835 $28,814 Net investment income net of waivers/reimbursements........ 1.87% 5.19% 3.99% 3.15%*** Expenses (including dividend expense) before waivers/reimbursements........ 2.84% 2.67% 2.81% 3.90%*** Expenses (including dividend expense) net of waivers/reimbursements........ 1.95% 2.12% 2.27% 2.75%*** Expenses (excluding dividend expense) net of waivers/reimbursements........ 1.25% 1.25% 1.25% 1.25%*** Portfolio turnover rate.......... 313.22% 399.02% 368.26% 145.22%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 19, 1998 to March 31, 1999. See accompanying notes to the financial statements. 107 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE PERIOD ENDED ENDED ENDED ENDED MARCH 31, 2002 MARCH 31, 2001 MARCH 31, 2000 MARCH 31, 1999(a) -------------- -------------- -------------- ----------------- INVESTOR SHARES Net asset value, beginning of period........................... $ 9.73 $10.99 $10.43 $10.00 ------ ------ ------ ------ Investment activities: Net investment income............ 0.10* 0.50* 0.43 0.07 Net realized and unrealized gains/(losses) on investments and securities sold short..... 0.76 (1.10) 0.53 0.40 ------ ------ ------ ------ Total from investment activities.................... 0.86 (0.60) 0.96 0.47 ------ ------ ------ ------ Distributions: Net investment income............ (0.25) (0.66) (0.40) (0.04) ------ ------ ------ ------ Total distributions.............. (0.25) (0.66) (0.40) (0.04) ------ ------ ------ ------ Net asset value, end of period..... $10.34 $ 9.73 $10.99 $10.43 ====== ====== ====== ====== Total return....................... 8.96% (5.06)% 9.39% 4.71%** RATIOS TO AVERAGE NET ASSETS/ SUPPLEMENTAL DATA: Net Assets, end of period (000)......................... $ 471 $ 24 $ 904 $ 539 Net investment income net of waivers/reimbursements........ 0.99% 4.90% 3.72% 2.26%*** Expenses (including dividend expense) before waivers/reimbursements........ 3.42% 2.96% 3.11% 3.73%*** Expenses (including dividend expense) net of waivers/reimbursements........ 2.42% 2.41% 2.55% 2.77%*** Expenses (excluding dividend expense) net of waivers/reimbursements........ 1.56% 1.54% 1.52% 1.46%*** Portfolio turnover rate.......... 313.22% 399.02% 368.26% 145.22%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on November 11, 1998 to March 31, 1999. See accompanying notes to the financial statements. 108 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $11.17 ------ Investment activities: Net investment income..................................... --* Net realized and unrealized losses on investments and securities sold short.................................. (0.70) ------ Total from investment activities.......................... (0.70) ------ Distributions: Net investment income..................................... (0.25) ------ Total distributions....................................... (0.25) ------ Net asset value, end of period.............................. $10.22 ====== Total return (excludes sales charge)........................ (6.13)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 11 Net investment income net of waivers/reimbursements....... 0.07%*** Expenses (including dividend expense) before waivers/reimbursements................................. 3.73%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 2.63%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 1.75%*** Portfolio turnover rate................................... 313.22%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 109 BARR ROSENBERG SERIES TRUST AXA ROSENBERG SELECT SECTORS MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS B SHARES Net asset value, beginning of period........................ $11.17 ------ Investment activities: Net investment loss....................................... (0.01)* Net realized and unrealized losses on investments and securities sold short.................................. (0.72) ------ Total from investment activities.......................... (0.73) ------ Distributions: Net investment income..................................... (0.24) ------ Total distributions....................................... (0.24) ------ Net asset value, end of period.............................. $10.20 ====== Total return (excludes redemption charge)................... (6.43)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.11)%*** Expenses (including dividend expense) before waivers/reimbursements................................. 4.23%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 3.13%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 2.25%*** Portfolio turnover rate................................... 313.22%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 110 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE PERIOD ENDED ENDED MARCH 31, 2002 MARCH 31, 2001(a) -------------- ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................ $ 7.70 $10.00 ------ ------ Investment activities: Net investment income..................................... 0.06 0.04 Net realized and unrealized gains/(losses) on investments............................................ 0.07 (2.31) ------ ------ Total from investment activities.......................... 0.13 (2.27) ------ ------ Distributions: Net investment income..................................... (0.06) (0.03) ------ ------ Total distributions....................................... (0.06) (0.03) ------ ------ Net asset value, end of period.............................. $ 7.77 $ 7.70 ====== ====== Total return................................................ 1.69% (22.71)%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $4,297 $3,910 Net investment income net of waivers/reimbursements....... 0.76% 0.59%** Expenses before waivers/reimbursements.................... 3.81% 2.90%** Expenses net of waivers/reimbursements.................... 0.75% 0.75%** Portfolio turnover rate................................... 111.54% 88.81%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on June 7, 2000 to March 31, 2001. See accompanying notes to the financial statements. 111 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ------------------ CLASS A SHARES Net asset value, beginning of period........................ $ 7.10 ------ Investment activities: Net investment income..................................... 0.01 Net realized and unrealized gains on investments.......... 0.70 ------ Total from investment activities.......................... 0.71 ------ Distributions: Net investment income..................................... (0.05) ------ Total distributions....................................... (0.05) ------ Net asset value, end of period.............................. $ 7.76 ====== Total return (excludes sales charge)........................ 10.07%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment income net of waivers/reimbursements....... 0.24%** Expenses before waivers/reimbursements.................... 5.17%** Expenses net of waivers/reimbursements.................... 1.25%** Portfolio turnover rate................................... 111.54%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 112 BARR ROSENBERG SERIES TRUST AXA ROSENBERG ENHANCED 500 FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ------------------ CLASS B SHARES Net asset value, beginning of period........................ $ 7.10 ------ Investment activities: Net investment loss....................................... (0.01) Net realized and unrealized gains on investments.......... 0.70 ------ Total from investment activities.......................... 0.69 ------ Distributions: Net investment income..................................... (0.04) ------ Total distributions....................................... (0.04) ------ Net asset value, end of period.............................. $ 7.75 ====== Total return (excludes redemption charge)................... 9.79%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.24)%** Expenses before waivers/reimbursements.................... 5.67%** Expenses net of waivers/reimbursements.................... 1.75%** Portfolio turnover rate................................... 111.54%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 113 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE PERIOD ENDED ENDED MARCH 31, 2002 MARCH 31, 2001(a) -------------- ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................ $ 8.14 $10.00 ------ ------ Investment activities: Net investment income..................................... 0.07* 0.28 Net realized and unrealized losses on investments and foreign currency transactions.......................... (0.76) (2.14) ------ ------ Total from investment activities.......................... (0.69) (1.86) ------ ------ Distributions: Net investment income..................................... (0.36) -- ------ ------ Total distributions....................................... (0.36) -- ------ ------ Net asset value, end of period.............................. $ 7.09 $ 8.14 ====== ====== Total return................................................ (8.36)% (18.50)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $7,882 $9,071 Net investment income net of waivers/reimbursements....... 0.94% 4.20%*** Expenses before waivers/reimbursements.................... 4.13% 3.48%*** Expenses net of waivers/reimbursements.................... 1.35% 1.35%*** Portfolio turnover rate................................... 132.84% 86.18%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on June 7, 2000 to March 31, 2001. See accompanying notes to the financial statements. 114 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE PERIOD ENDED ENDED MARCH 31, 2002 MARCH 31, 2001(a) -------------- ------------------ INVESTOR SHARES Net asset value, beginning of period........................ $ 8.13 $8.98 ------- ----- Investment activities: Net investment income..................................... 0.05* 0.27 Net realized and unrealized losses on investments and foreign currency transactions.......................... (0.78) (1.12) ------- ----- Total from investment activities.......................... (0.73) (0.85) ------- ----- Distributions: Net investment income..................................... (0.35) -- ------- ----- Total distributions....................................... (0.35) -- ------- ----- Net asset value, end of period.............................. $ 7.05 $8.13 ======= ===== Total return................................................ (8.83)% (9.47)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 18 $ 24 Net investment income net of waivers/reimbursements....... 0.64% 25.10%*** Expenses before waivers/reimbursements.................... 4.27% 4.09%*** Expenses net of waivers/reimbursements.................... 1.60% 1.60%*** Portfolio turnover rate................................... 132.84% 86.18%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on December 5, 2000 to March 31, 2001. See accompanying notes to the financial statements. 115 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 6.92 ------- Investment activities: Net investment loss....................................... (0.02)* Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.54 ------- Total from investment activities.......................... 0.52 ------- Distributions: Net investment income..................................... (0.36) ------- Total distributions....................................... (0.36) ------- Net asset value, end of period.............................. $ 7.08 ======= Total return (excludes sales charge)........................ 7.71%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.55)%*** Expenses before waivers/reimbursements.................... 5.59%*** Expenses net of waivers/reimbursements.................... 1.85%*** Portfolio turnover rate................................... 132.84%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 116 BARR ROSENBERG SERIES TRUST AXA ROSENBERG INTERNATIONAL EQUITY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS B SHARES Net asset value, beginning of period........................ $ 6.92 ------- Investment activities: Net investment loss....................................... (0.04)* Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.53 ------- Total from investment activities.......................... 0.49 ------- Distributions: Net investment income..................................... (0.35) ------- Total distributions....................................... (0.35) ------- Net asset value, end of period.............................. $ 7.06 ======= Total return (excludes redemption charge)................... 7.26%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (1.05)%*** Expenses before waivers/reimbursements.................... 6.09%*** Expenses net of waivers/reimbursements.................... 2.35%*** Portfolio turnover rate................................... 132.84%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 117 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIODS INDICATED.
FOR THE YEAR FOR THE PERIOD ENDED ENDED MARCH 31, 2002 MARCH 31, 2001(a) -------------- ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................ $ 9.43 $ 10.00 ------- ------- Investment activities: Net investment income..................................... 0.16* 0.22 Net realized and unrealized gains/(losses) on investments and securities sold short.............................. 0.95 (0.58) ------- ------- Total from investment activities.......................... 1.11 (0.36) ------- ------- Distributions: Net investment income..................................... (0.40) (0.11) Net realized gains on investments and securities sold short.................................................. -- (0.10) ------- ------- Total distributions....................................... (0.40) (0.21) ------- ------- Net asset value, end of period.............................. $ 10.14 $ 9.43 ======= ======= Total return................................................ 12.21% (3.56)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $10,514 $14,924 Net investment income net of waivers/reimbursements....... 1.67% 4.59%*** Expenses (including dividend expense) before waivers/reimbursements................................. 3.45% 3.19%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 1.93% 2.15%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 1.50% 1.50%*** Portfolio turnover rate................................... 231.34% 216.10%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on September 29, 2000 to March 31, 2001. See accompanying notes to the financial statements. 118 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- INVESTOR SHARES Net asset value, beginning of period........................ $ 10.19 ------- Investment activities: Net investment income..................................... 0.01* Net realized and unrealized gains on investments and securities sold short.................................. 0.32 ------- Total from investment activities.......................... 0.33 ------- Distributions: Net investment income..................................... (0.39) ------- Total distributions....................................... (0.39) ------- Net asset value, end of period.............................. $ 10.13 ======= Total return................................................ 3.58%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 7 Net investment income net of waivers/reimbursements....... 0.22%*** Expenses (including dividend expense) before waivers/reimbursements................................. 4.43%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 2.34%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 1.75%*** Portfolio turnover rate................................... 231.34%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on August 23, 2001 to March 31, 2002. See accompanying notes to the financial statements. 119 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 11.30 ------- Investment activities: Net investment loss....................................... (0.01)* Net realized and unrealized losses on investments and securities sold short.................................. (0.78) ------- Total from investment activities.......................... (0.79) ------- Distributions: Net investment income..................................... (0.39) ------- Total distributions....................................... (0.39) ------- Net asset value, end of period.............................. $ 10.12 ======= Total return (excludes sales charge)........................ (6.62)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.16)%*** Expenses (including dividend expense) before waivers/reimbursements................................. 4.58%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 2.51%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 2.00%*** Portfolio turnover rate................................... 231.34%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 120 BARR ROSENBERG SERIES TRUST AXA ROSENBERG MULTI-STRATEGY MARKET NEUTRAL FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS B SHARES Net asset value, beginning of period........................ $ 11.30 ------- Investment activities: Net investment loss....................................... (0.04)* Net realized and unrealized losses on investments and securities sold short.................................. (0.77) ------- Total from investment activities.......................... (0.81) ------- Distributions: Net investment income..................................... (0.38) ------- Total distributions....................................... (0.38) ------- Net asset value, end of period.............................. $ 10.11 ======= Total return (excludes redemption charge)................... (6.91)%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.72)%*** Expenses (including dividend expense) before waivers/reimbursements................................. 5.08%*** Expenses (including dividend expense) net of waivers/reimbursements................................. 3.01%*** Expenses (excluding dividend expense) net of waivers/reimbursements................................. 2.50%*** Portfolio turnover rate................................... 231.34%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 121 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................ $10.00 ------ Investment activities: Net investment income..................................... 0.02* Net realized and unrealized gains on investments.......... 1.10 ------ Total from investment activities.......................... 1.12 ------ Distributions: Net investment income..................................... (0.02) ------ Total distributions....................................... (0.02) ------ Net asset value, end of period.............................. $11.10 ====== Total return................................................ 11.25%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $2,980 Net investment income net of waivers/reimbursements....... 0.38%*** Expenses before waivers/reimbursements.................... 9.02%*** Expenses net of waivers/reimbursements.................... 1.15%*** Portfolio turnover rate................................... 78.02%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on September 4, 2001 to March 31, 2002. See accompanying notes to the financial statements. 122 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- INVESTOR SHARES Net asset value, beginning of period........................ $ 9.38 ------ Investment activities: Net investment income..................................... --* Net realized and unrealized gains on investments.......... 1.72 ------ Total from investment activities.......................... 1.72 ------ Distributions: Net investment income..................................... (0.02) ------ Total distributions....................................... (0.02) ------ Net asset value, end of period.............................. $11.08 ====== Total return................................................ 18.34%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 98 Net investment income net of waivers/reimbursements....... 0.03%*** Expenses before waivers/reimbursements.................... 10.26%*** Expenses net of waivers/reimbursements.................... 1.40%*** Portfolio turnover rate................................... 78.02%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 3, 2001 to March 31, 2002. See accompanying notes to the financial statements. 123 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 9.08 ------ Investment activities: Net investment income..................................... --* Net realized and unrealized gains on investments.......... 2.01 ------ Total from investment activities.......................... 2.01 ------ Distributions: Net investment income..................................... (0.02) ------ Total distributions....................................... (0.02) ------ Net asset value, end of period.............................. $11.07 ====== Total return (excludes sales charge)........................ 22.11%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 31 Net investment income net of waivers/reimbursements....... 0.32%*** Expenses before waivers/reimbursements.................... 10.43%*** Expenses net of waivers/reimbursements.................... 1.65%*** Portfolio turnover rate................................... 78.02%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 124 BARR ROSENBERG SERIES TRUST AXA ROSENBERG U.S. DISCOVERY FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ------------------ CLASS B SHARES Net asset value, beginning of period........................ $ 9.08 ------ Investment activities: Net investment loss....................................... (0.04)* Net realized and unrealized gains on investments.......... 2.02 ------ Total from investment activities.......................... 1.98 ------ Distributions: Net investment income..................................... (0.02) ------ Total distributions....................................... (0.02) ------ Net asset value, end of period.............................. $11.04 ====== Total return (excludes redemption charge)................... 21.93%** RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 58 Net investment loss net of waivers/reimbursements......... (0.81)%*** Expenses before waivers/reimbursements.................... 10.93%*** Expenses net of waivers/reimbursements.................... 2.15%*** Portfolio turnover rate................................... 78.02%
- --------------- * Calculated based on the average shares outstanding during the period. ** Not annualized. *** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 125 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- INSTITUTIONAL SHARES Net asset value, beginning of period........................ $10.00 ------ Investment activities: Net investment income..................................... 0.04 Net realized and unrealized losses on investments and foreign currency transactions.......................... (0.28) ------ Total from investment activities.......................... (0.24) ------ Net asset value, end of period.............................. $ 9.76 ====== Total return................................................ (2.40)%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $7,320 Net investment income net of waivers/reimbursements....... 0.58%** Expenses before waivers/reimbursements.................... 5.45%** Expenses net of waivers/reimbursements.................... 1.25%** Portfolio turnover rate................................... 90.92%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on July 23, 2001 to March 31, 2002. See accompanying notes to the financial statements. 126 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ----------------- CLASS A SHARES Net asset value, beginning of period........................ $ 8.82 ------ Investment activities: Net investment loss....................................... -- Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.92 ------ Total from investment activities.......................... 0.92 ------ Net asset value, end of period.............................. $ 9.74 ====== Total return (excludes sales charge)........................ 10.43%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.09)%** Expenses before waivers/reimbursements.................... 7.30%** Expenses net of waivers/reimbursements.................... 1.75%** Portfolio turnover rate................................... 90.92%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 127 BARR ROSENBERG SERIES TRUST AXA ROSENBERG EUROPEAN FUND FINANCIAL HIGHLIGHTS - -------------------------------------------------------------------------------- SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD INDICATED.
FOR THE PERIOD ENDED MARCH 31, 2002(a) ------------------ CLASS B SHARES Net asset value, beginning of period........................ $ 8.82 ------ Investment activities: Net investment loss....................................... (0.03) Net realized and unrealized gains on investments and foreign currency transactions.......................... 0.92 ------ Total from investment activities.......................... 0.89 ------ Net asset value, end of period.............................. $ 9.71 ====== Total return (excludes redemption charge)................... 10.09%* RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA: Net Assets, end of period (000)........................... $ 1 Net investment loss net of waivers/reimbursements......... (0.59)%** Expenses before waivers/reimbursements.................... 7.80%** Expenses net of waivers/reimbursements.................... 2.25%** Portfolio turnover rate................................... 90.92%
- --------------- * Not annualized. ** Annualized. (a) From commencement of operations on October 1, 2001 to March 31, 2002. See accompanying notes to the financial statements. 128 REPORT OF INDEPENDENT ACCOUNTANTS To the Trustees and Shareholders of Barr Rosenberg Series Trust, In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments and schedules of securities sold short, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AXA Rosenberg U.S. Small Capitalization Fund, AXA Rosenberg International Small Capitalization Fund, AXA Rosenberg Value Market Neutral 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, AXA Rosenberg U.S. Discovery Fund, and AXA Rosenberg European Fund (constituting Barr Rosenberg Series Trust, hereafter referred to as the "Trust") at March 31, 2002, and the results of each of their operations, the changes in each of their net assets and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements are free of material misstatements. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities and securities sold short at March 31, 2002 by correspondence with the custodians and brokers, provide a reasonable basis for our opinion. PRICEWATERHOUSECOOPERS LLP San Francisco, California May 17, 2002 129 TRUSTEES AND OFFICERS OF BARR ROSENBERG SERIES TRUST (UNAUDITED)
NAME, ADDRESS* AND AGE OF TRUSTEE NUMBER OF PORTFOLIOS OTHER (TERM OF OFFICE** AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS LENGTH OF TIME SERVED) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE --------------------------------- ----------------------- -------------------- --------------- INTERESTED TRUSTEES Kenneth Reid#, 52 (13 years)........... Global Chief Investment Officer, AXA 10 None Rosenberg Investment Management, LLC, January 1999 to present; General Partner and Director of Research, Rosenberg Institutional Equity Management, June 1986 to December 1998.
- --------------- * The mailing address of each of the Trustees is c/o Barr Rosenberg Series Trust, 3435 Stelzer Road, Columbus, OH 43219. ** There is no stated term of office for the Trustees of the Trust. # Dr. Reid is an "interested person," as defined in the 1940 Act, due to his position as Global Chief Investment Officer of AXA Rosenberg Investment Management, LLC, the investment adviser to the Funds. TRUSTEES AND OFFICERS OF BARR ROSENBERG SERIES TRUST
NAME, ADDRESS* AND AGE OF TRUSTEE NUMBER OF PORTFOLIOS OTHER (TERM OF OFFICE** AND PRINCIPAL OCCUPATION(S) IN FUND COMPLEX DIRECTORSHIPS LENGTH OF TIME SERVED) DURING PAST 5 YEARS OVERSEEN BY TRUSTEE HELD BY TRUSTEE --------------------------------- ----------------------- -------------------- --------------- DISINTERESTED TRUSTEES Nils H. Hakansson(+), 65 (12 years).... Sylvan C. Coleman Professor of 10 None Finance and Accounting, Haas School of Business, University of California, Berkeley, July 1969 to present. Dwight M. Jaffee(+), 59 (3 years)...... Professor of Finance and Real Estate, 10 None Haas School of Business, University of California, Berkeley, July 1991 to present. William F. Sharpe(+), 68 (13 years).... STANCO 25 Professor of Finance 10 None Emeritus, Stanford University, September 1999 to present; STANCO 25 Professor of Finance, Stanford University, September 1995 to September 1999; Chairman, Financial Engines Incorporated (online investment advice), March 1996 to present.
- --------------- * The mailing address of each of the Trustees is c/o Barr Rosenberg Series Trust, 3435 Stelzer Road, Columbus, OH 43219. ** There is no stated term of office for the Trustees of the Trust. (+) Member of the Audit Committee. 130 OFFICERS OF BARR ROSENBERG SERIES TRUST (UNAUDITED)
NAME AND ADDRESS* PRINCIPAL OCCUPATION(S) (AGE) POSITION WITH THE TRUST DURING PAST 5 YEARS ----------------- ----------------------- ----------------------- Richard L. Saalfeld, (58)............ 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 1995; Consultant, December 1992 to March 1993. Barr M. Rosenberg**, (58)............ 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. Edward H. Lyman, (58)................ 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. Steven Pierce, (36).................. Chief Financial Officer Vice President, Financial Services, BISYS Fund Services, April 1999 to present; Manager of Investment Operations, CNA Insurance, October 1996 to April 1999. Sara Donaldson, (42)................. 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. Christopher Kelley, (37)............. Clerk Vice President and Senior Counsel, BISYS Fund Services, April 2001 to present; Senior Vice President and Deputy General Counsel, Funds Distributor, Inc., July 2000 to April 2001; Vice President and Associate General Counsel, Funds Distributor, Inc., July 1996 to July 2000. Alaina V. Metz, (35)................. Assistant Clerk Chief Administrative Officer, BISYS Fund Services, 1995 to present.
- --------------- * The mailing address of each of the officers is c/o Barr Rosenberg Series Trust, 3435 Stelzer Road, Columbus, OH 43219. ** Dr. Rosenberg will be away on a one-year sabbatical commencing April 1, 2002. 131 BARR ROSENBERG SERIES TRUST Manager AXA Rosenberg Investment Management LLC Four Orinda Way, Building E Orinda, CA 94563 Administrator BISYS Fund Services, Inc. 3435 Stelzer Road Columbus, OH 43219 Transfer and Shareholder Servicing Agent BISYS Fund Services, Inc. 3435 Stelzer Road Columbus, OH 43219 Distributor Barr Rosenberg Funds Distributor, Inc. c/o BISYS Fund Services, Inc. 3435 Stelzer Road Columbus, OH 43219 Custodians State Street Bank and Trust Company Mutual Funds Division Boston, MA 02102 Custodial Trust Company 101 Carnegie Center Princeton, NJ 08540 Independent Accountants PricewaterhouseCoopers LLP 333 Market Street San Francisco, CA 94105 Counsel Ropes & Gray One International Place Boston, MA 02110 This report is for the information of the shareholders of Barr Rosenberg Series Trust. Its use in connection with any offering of the Trust's shares is authorized only in case of a concurrent or prior delivery of the Trust's current prospectus. (BRG-0034) (3/02) -----END PRIVACY-ENHANCED MESSAGE-----